Edgar Filing: FIRST TRUST ENERGY INFRASTRUCTURE FUND

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22528
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First Trust Energy Infrastructure Fund
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(Exact name of registrant as specified in charter)

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

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

registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: November 30
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Date of reporting period: November 30, 2011
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

FIRST TRUST
------------------
E N E R G Y
INFRASTRUCTURE
------------------
FUND

ANNUAL REPORT
For the Period
September 27, 2011
(Commencement of Operations)
through November 30, 2011

FIRST TRUST
Energy Income Partners, LLC

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TABLE OF CONTENTS
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FIRST TRUST ENERGY INFRASTRUCTURE FUND (FIF)
ANNUAL REPORT
NOVEMBER 30, 2011

Shareholder Letter.......................................................... 1
At A Glance................................................................. 2
Portfolio Commentary........................................................ 3
Portfolio of Investments.................................................... 6
Statement of Assets and Liabilities......................................... 10
Statement of Operations..................................................... 11
Statement of Changes in Net Assets.......................................... 12
Statement of Cash Flows..................................................... 13
Financial Highlights........................................................ 14
Notes to Financial Statements............................................... 15
Report of Independent Registered Public Accounting Firm..................... 21
Additional Information...................................................... 22
Board of Trustees and Officers.............................................. 25
Privacy Policy.............................................................. 27

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

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

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the First Trust Energy Infrastructure Fund (the "Fund") to be materially
different from any future results, performance or achievements expressed or
implied by the forward-looking statements. When evaluating the information
included in this report, you are cautioned not to place undue reliance on these
forward-looking statements, which reflect the judgment of the Advisor and/or
Sub-Advisor and their respective representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

There is no assurance that the Fund will achieve its investment objective. The
Fund is subject to market risk, which is the possibility that the market values
of securities owned by the Fund will decline and that the value of the Fund
shares may therefore be less than what you paid for them. Accordingly, you can
lose money by investing in the Fund. See "Risk Considerations" in the Notes to
Financial Statements 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
http://www.ftportfolios.com or speak with your financial advisor. Investment
returns, net asset value and common share price will fluctuate and Fund shares,
when sold, may be worth more or less than their original cost.

HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment. 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 EIP
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 risks of investing in the Fund are spelled out
in the prospectus, the statement of additional information, this report and
other Fund regulatory filings.

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SHAREHOLDER LETTER
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FIRST TRUST ENERGY INFRASTRUCTURE FUND (FIF)
ANNUAL LETTER FROM THE PRESIDENT
NOVEMBER 30, 2011

Dear Shareholders:

I am pleased to present you with the annual report for your investment in First
Trust Energy Infrastructure Fund (the "Fund").

First Trust Advisors L.P. ("First Trust"), now in our 21st year, has always
believed that staying invested in quality products and having a long-term
horizon can help investors reach their financial goals. Like many successful
investors, we understand that success in the markets doesn't just happen--it
requires a long-term investment perspective through all kinds of markets.
Although the markets have been somewhat choppy over the past six months, the
equity market is well above the lows it sank to during the recent recession.

The report you hold contains detailed information about your investment; a
portfolio commentary from the Fund's management team that provides a recap of
the period; a performance analysis and a market and Fund outlook. Additionally,
you will find the Fund's financial statements for the period this report covers.
I encourage you to read this document and discuss it with your financial
advisor. A successful investor is also typically a knowledgeable one, as we have
found to be the case at First Trust.

First Trust remains committed to being a long-term investor and investment
manager and to bringing you quality investment solutions regardless of market
ups and downs. We offer a variety of products that may fit many financial plans
to help those investors seeking long-term investment success. You may want to
talk to your advisor about the other investments First Trust offers that might
also fit your financial goals.

First Trust will continue to make available up-to-date information about your
investments so you and your financial advisor are current on any First Trust
investments you own. We value our relationship with you, and thank you for the
opportunity to assist you in achieving your financial goals. I look forward to
2012 and to the next edition of your Fund's report.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees of First Trust Energy Infrastructure Fund and
Chief Executive Officer of First Trust

FIRST TRUST ENERGY INFRASTRUCTURE FUND
"AT A GLANCE"
AS OF NOVEMBER 30, 2011 (UNAUDITED)

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FUND STATISTICS
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Symbol on New York Stock Exchange FIF
Common Share Price $19.82
Common Share Net Asset Value ("NAV") $21.38
Premium (Discount) to NAV (7.30)%
Net Assets Applicable to Common Shares $375,232,199
Current Monthly Distribution per Common Share (1) $0.1085
Current Annualized Distribution per Common Share $1.3020
Current Distribution Rate on Closing Common Share Price (2) 6.57%
Current Distribution Rate on NAV (2) 6.09%
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COMMON SHARE PRICE & NAV (WEEKLY CLOSING PRICE)
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Common Share Price NAV
9/27/11 20.00 19.06
9/11 20.00 19.06
20.00 19.29
20.15 19.93
20.29 20.87
10/11 20.00 21.25
19.90 21.16
19.96 21.04
19.85 20.99
19.64 20.43
11/11 19.82 21.38

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PERFORMANCE
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Cumulative Total Return
-----------------------
Inception
(9/27/2011)
to 11/30/2011
Fund Performance (3)
NAV 11.94%
Market Value -0.90%

Index Performance
Philadelphia Stock Exchange Utility Index 3.62%
Alerian MLP Total Return Index 7.51%
Blended Benchmark (4) 5.57%
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% OF TOTAL
INDUSTRY CLASSIFICATION(4) INVESTMENTS
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Pipelines 66.9%
Electric Power 24.1
Propane 3.6
Coal 2.2
Marine 2.1
Other 1.1
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Total 100.0%
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% OF TOTAL
TOP 10 HOLDINGS INVESTMENTS
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Kinder Morgan Management, LLC 7.9%
Enbridge Energy Partners, L.P. 5.9
Williams Cos., Inc. 5.4
NextEra Energy, Inc. 4.3
NiSource, Inc. 4.1
TransCanada Corp. 4.0
Plains All American Pipeline, L.P. 3.7
El Paso Corp. 3.5
Southern Co. 3.5
Northeast Utilities 3.2
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Total 45.5%
======

(1) Most recent distribution paid or declared through 11/30/2011. Subject to
change in the future.

(2) Distribution rates are calculated by annualizing the most recent
distribution paid or declared through the report date and then dividing by
Common Share price or NAV, as applicable, as of 11/30/2011. Subject to
change in the future.

(3) Total return is based on the combination of reinvested dividend, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan and changes in NAV per share for net asset
value returns and changes in Common Share price for market value returns.
Total returns do not reflect sales load and are not annualized for periods
less than one year. Past performance is not indicative of future results.

(4) The blended benchmark consists of the following: Philadelphia Stock
Exchange Utility Index (50%) and Alerian MLP Total Return Index (50%).

Page 2

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PORTFOLIO COMMENTARY
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FIRST TRUST ENERGY INFRASTRUCTURE FUND (FIF)
ANNUAL REPORT
NOVEMBER 30, 2011

SUB-ADVISOR

ENERGY INCOME PARTNERS, LLC

Energy Income Partners, LLC ("EIP" or "Sub-Advisor"), Westport, CT, was founded
in 2003 to provide professional asset management services in the area of
energy-related master limited partnerships ("MLPs") and other high-payout
securities such as pipeline companies, utilities and former Canadian income
trusts. EIP mainly focuses on investments in energy-related infrastructure
assets such as pipelines, petroleum storage and terminals that receive fee-based
or regulated income from their corporate customers. EIP manages or supervises
approximately $1.5 billion of assets, as of November 30, 2011. The other funds
advised by EIP include a partnership for U.S. high net worth individuals and a
master-and-feeder fund for institutions. EIP also manages separately managed
accounts. EIP is a registered investment advisor and serves as an advisor or
sub-advisor to two registered investment companies other than the Fund.

PORTFOLIO MANAGEMENT TEAM

JAMES J. MURCHIE
FOUNDER AND CEO OF ENERGY INCOME PARTNERS, LLC

Mr. Murchie founded EIP in 2003 and is the portfolio manager for all funds
advised by EIP which focus on energy-related master limited partnerships and
other high payout securities of companies that operate energy infrastructure.
From 2005 to mid-2006, Mr. Murchie and the EIP investment team joined Pequot
Capital Management. In July 2006, Mr. Murchie and the EIP investment team left
Pequot and re-established EIP. From 1998 to 2003, Mr. Murchie managed a
long/short fund that invested in energy and cyclical equities and commodities.
From 1995 to 1997, he was a managing director at Tiger Management where his
primary responsibilities were investments in energy, commodities and related
equities. From 1990 to 1995, Mr. Murchie was a principal at Sanford C. Bernstein
where he was a top-ranked energy analyst and sat on the Research Department's
Recommendation Review Committee. Before joining Bernstein, he spent 8 years at
British Petroleum in 7 operating and staff positions of increasing
responsibility. He has served on the Board of Clark Refining and Marketing
Company and as President and Treasurer of the Oil Analysts Group of New York.
Mr. Murchie holds degrees from Rice University and Harvard University.

EVA PAO
PRINCIPAL OF ENERGY INCOME PARTNERS, LLC

Ms. Pao has been with EIP since its inception in 2003 and is co-portfolio
manager for all of the funds advised by EIP. She joined EIP in 2003, serving as
Managing Director of EIP until the EIP investment team joined Pequot Capital
Management. From 2005 to mid-2006, Ms. Pao served as Vice President of Pequot
Capital Management. Prior to Harvard Business School, Ms. Pao was a Manager at
Enron Corp where she managed a portfolio in Canadian oil and gas equities for
Enron's internal hedge fund that specialized in energy-related equities and
managed a natural gas trading book. She received a B.A. from Rice University in
1996. She received an M.B.A. from the Harvard Business School in 2002.

COMMENTARY

FIRST TRUST ENERGY INFRASTRUCTURE FUND

The investment objective of the First Trust Energy Infrastructure Fund ("FIF" or
the "Fund") is to seek a high level of total return with an emphasis on current
distributions paid to shareholders. The Fund pursues its objective by investing
primarily in securities of companies engaged in the energy infrastructure
sector. These companies principally include publicly-traded master limited
partnerships and limited liability companies taxed as partnerships ("MLPs"), MLP
affiliates, Canadian income trusts and their successor companies, pipeline
companies, utilities and other infrastructure-related companies that derive at
least 50% of their revenues from operating or providing services in support of
infrastructure assets such as pipelines, power transmission and pertroleum and
natural gas storage in the petroleum, natural gas and power generation
industries (collectively, "Energy Infrastructure Companies"). Under normal
market conditions, the Fund invests at least 80% of its managed assets in
securities of Energy Infrastructure Companies. There can be no assurance that
the Fund's investment objective will be achieved. The Fund may not be
appropriate for all investors.

MARKET RECAP

As measured by the Alerian MLP Total Return Index ("AMZX") and the Philadelphia
Stock Exchange Utility Index ("UTY") the total return for energy-related MLPs
and utilities over the period from the Fund's inception on September 27, 2011
through its fiscal year end of November 30, 2011, was 7.51% and 3.62%,
respectively. These figures are according to data collected from Alerian Capital

Page 3

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PORTFOLIO COMMENTARY - (CONTINUED)
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Management and Bloomberg. While in the short term, share appreciation can be
volatile, we believe that over the longer term, share appreciation will
approximate growth in per share quarterly cash distributions. Over the last 10
years, growth in per share MLP distributions and utility dividends has averaged
about 6.2% and 5.0%, respectively. Over the last 12 months, the cash
distributions of MLPs and utilities increased by about 4.9% and 2.7%,
respectively (Source: Alerian Capital Management and Bloomberg).

PERFORMANCE ANALYSIS

On a net asset value ("NAV") basis, since its inception on September 27, 2011,
the Fund provided a total return(1) of 11.94% for the fiscal year ended November
30, 2011. This compares, according to collected data, to a total return of 5.57%
for the average of the two benchmarks (7.51% for AMZX and 3.62% for UTY). On a
market value basis, the Fund had a total return(1) for the fiscal year ended
November 30, 2011, of -0.90%. The Fund traded at a discount to NAV of -7.30% on
November 30, 2011.

The Fund declared its first three regularly scheduled monthly common share
distributions for December, January and February each in the amount of $0.1085
per share on October 31, 2011.

The outperformance of the Fund's NAV relative to the 5.57% average of the AMZX
and UTY benchmarks was driven largely by owning non-MLPs in the portfolio and
owning companies that primarily have non-cyclical and/or regulated businesses
like pipelines and storage terminals. The Fund also underweighted or avoided
certain securities that are in the benchmarks that we view as less attractive
investments, including some that operate in some of the non-cyclical businesses
we generally view favorably. Overall, we believe the most important long-term
driver of value will be the maintenance and growth of the dividends of the
Fund's portfolio companies.

MARKET AND FUND OUTLOOK

The Fund aims to be invested in energy infrastructure companies with mostly
non-cyclical cash flows, investment-grade ratings, conservative balance sheets,
modest and/or flexible organic growth commitments and liquidity on their
revolving lines of credit. Since the Fund invests in securities that tend to
have high dividend payout ratios (as measured versus earnings), securities with
unpredictable cyclical cash flows make them a poor fit, in the opinion of the
Sub-Advisor. While there are some businesses within the Fund's portfolio whose
cash flows are cyclical, they are usually small and analyzed in the context of
each company's financial and operating leverage and payout ratio.

While the Fund limits its investment in publicly-traded partnerships (primarily
MLPs) to below 25% of managed assets(2), it has a larger effective exposure to
the asset class through MLP affiliates. These affiliates include the
institutional shares of Kinder Morgan (KMR) and Enbridge Capital Management, LLC
(EEQ), as well as the parent corporations of MLP subsidiaries such as Kinder
Morgan, Inc. (KMI), Oneok, Inc. (OKE), Enbridge, Inc. (ENB), Williams Companies
(WMB) and El Paso Corporation (EP).

It is interesting to note that MLPs have played an integral role in the
restructuring of some more diversified energy conglomerates. The first phase of
this restructuring, which has occurred over the last few years, has been
diversified conglomerates creating an MLP subsidiary that contains assets such
as pipelines and storage terminals. The more recent phase has been the
divestiture by some of these parent companies of most or all of their cyclical
businesses, leaving the parent company looking very similar to an old-fashioned
pipeline utility with a large holding in a subsidiary MLP. These diversified
energy conglomerates are doing this so that their regulated infrastructure
assets with more predictable cash flows may be better valued by the market.

As a result, it is often the MLP subsidiary that issues new shares to fund new
projects, as MLP investors are more receptive to such share issuance. There has
been a healthy level of secondary financing activity for MLPs during the
reporting period as they continue to fund their ongoing investments in new
pipelines, processing and storage facilities. Through November 30, 2011, there
were 49 secondary equity offerings for MLPs that raised $12.2 billion. This
compares to $11.4 billion raised in 2010. There have also been 10 MLP IPOs so
far in 2011 (as of November 30). MLPs also found access to the public debt
markets, raising $15.6 billion in 22 offerings during the same time period. This
compares to $13.8 billion in 2010 (Source: Barclays Capital). The combination of
equity and debt raised about $28 billion, which represents about 11% of the
roughly $250 billion MLP market cap.

1 Total return is based on the combination of reinvested dividends, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan and changes in NAV per share for net asset
value returns and changes in Common Share price for market value returns.
Total returns do not reflect sales load. Past performance is not
indicative of future results.

2 Managed assets means the total asset value of the Fund minus the sum of
the Fund's liabilities other than the principal amount of borrowings.

Page 4

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PORTFOLIO COMMENTARY - (CONTINUED)
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The total return proposition of owning Energy Infrastructure Companies has been
and continues to be their yield plus their growth. The yield of MLPs, weighted
by market capitalization, on November 30, 2011, was 6.4% (based on AMZX), and
for utilities (as measured by UTY) was 4.1% on November 30, 2011. The growth in
the quarterly cash distributions that make up this yield has averaged 6.2%
annually over the last ten years for MLPs and 5.0% for the utilities. In the
opinion of the Sub-Advisor, this growth has been, and will continue to be,
driven by three factors: 1) modest increases in volume from growth from both
underlying petroleum demand as the economy recovers and increases in North
American oil and gas production (particularly in new supply areas); 2) inflation
and cost escalators in tariffs and contracts for assets such as pipelines, power
transmission and regulated power generation; and 3) accretion from profitable
capital projects and acquisitions. The capital projects continue to be related
to growth in areas such as the Canadian Oil Sands, the new oil and natural gas
shale resources and the need for more infrastructure related to bio-fuels and
other environmental mandates (including the conversion of many coal-fired power
plants to natural gas, and the need to incorporate renewable power such as wind
into the supply mix of electricity as required by renewable power standards of
numerous states). We believe thus far, the MLPs and the regulated pipeline and
power utilities as a group have done a good job capitalizing on these
opportunities. The continued restructuring in the energy infrastructure space
discussed above will, in the opinion of the Sub-Advisor, help facilitate
financing the build out of this infrastructure.

DISCLOSURE

The Fund's portfolio holdings are subject to change without notice. The mention
of specific securities is not a recommendation or solicitation for any person to
buy, sell or hold any particular security. There is no assurance that the Fund
currently holds these securities.

Page 5

FIRST TRUST ENERGY INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (a)
NOVEMBER 30, 2011

SHARES/
UNITS DESCRIPTION VALUE
------------ --------------------------------------------------------------------------- --------------
MASTER LIMITED PARTNERSHIPS - 30.6%

GAS UTILITIES - 1.2%
107,664 AmeriGas Partners, L.P. ................................................... $ 4,724,296
--------------

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.6%
86,500 Brookfield Renewable Energy Partners, L.P. (b)............................. 2,145,644
--------------

OIL, GAS & CONSUMABLE FUELS - 28.8%
19,700 Alliance Resource Partners, L.P. .......................................... 1,407,565
90,460 Buckeye Partners, L.P. (b)................................................. 5,771,348
112,000 El Paso Pipeline Partners, L.P. ........................................... 3,670,240
124,000 Energy Transfer Equity, L.P. (b)........................................... 4,375,960
31,600 Enterprise Products Partners, L.P. (b)..................................... 1,437,484
96,223 Holly Energy Partners, L.P. ............................................... 5,361,546
109,300 Magellan Midstream Partners, L.P. (b)...................................... 6,993,014
318,952 Natural Resource Partners, L.P. (b)........................................ 8,777,559
179,000 NuStar Energy, L.P. (b).................................................... 9,816,360
29,600 NuStar GP Holdings, LLC ................................................... 878,824
45,000 ONEOK Partners, L.P. ...................................................... 2,275,200
256,443 Plains All American Pipeline, L.P. (b)..................................... 16,632,893
102,700 Spectra Energy Partners, L.P. ............................................. 3,108,729
81,803 Sunoco Logistics Partners, L.P. (b)........................................ 8,446,978
263,545 TC Pipelines, L.P. ........................................................ 12,539,471
289,828 Teekay LNG Partners, L.P. (b).............................................. 9,329,563
156,817 TransMontaigne Partners, L.P. ............................................. 4,793,896
41,300 Williams Partners, L.P. ................................................... 2,397,878
--------------
108,014,508
--------------

TOTAL MASTER LIMITED PARTNERSHIPS ......................................... 114,884,448
(Cost $109,336,500) --------------

COMMON STOCKS - 90.1%

ELECTRIC UTILITIES - 20.9%
136,000 Duke Energy Corp. (c)...................................................... 2,835,600
274,600 Emera, Inc. (CAD) (b)...................................................... 8,822,631
231,450 Exelon Corp. (b) (c)....................................................... 10,255,549
69,800 Fortis, Inc. (CAD) (b)..................................................... 2,293,248
60,000 ITC Holdings Corp. (b)..................................................... 4,435,200
351,200 NextEra Energy, Inc. (b) (c)............................................... 19,470,528
421,000 Northeast Utilities (b) (c)................................................ 14,570,810
361,700 Southern Co. (b) (c)....................................................... 15,882,247
--------------
78,565,813
--------------

GAS UTILITIES - 4.1%
40,800 ONEOK, Inc. (b) (c)........................................................ 3,392,928
392,600 UGI Corp. (b) (c).......................................................... 11,762,296
--------------
15,155,224
--------------

MULTI-UTILITIES - 13.1%
35,000 Atco, Ltd. (CAD) (b)....................................................... 2,139,222
35,500 Canadian Utilities, Ltd. (CAD) (b)......................................... 2,163,866
522,600 Centerpoint Energy, Inc. (b)............................................... 10,399,740
261,400 Dominion Resources, Inc. (b) (c)........................................... 13,493,468
50,000 National Grid PLC, ADR .................................................... 2,471,000

Page 6 See Notes to Financial Statements

FIRST TRUST ENERGY INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (a) - (Continued)
NOVEMBER 30, 2011

SHARES/
UNITS DESCRIPTION VALUE
------------ --------------------------------------------------------------------------- --------------
COMMON STOCKS - (Continued)

MULTI-UTILITIES - (Continued)
808,500 NiSource, Inc. (b) (c)..................................................... $ 18,522,735
--------------
49,190,031
--------------

OIL, GAS & CONSUMABLE FUELS - 52.0%
639,700 El Paso Corp. (b) (c)...................................................... 15,998,897
860,684 Enbridge Energy Management, LLC (d) (e) (f)................................ 26,922,195
187,051 Enbridge Energy Management, LLC (b) (f).................................... 5,959,459
549,600 Enbridge Income Fund Holdings, Inc. (CAD) (b).............................. 10,453,689
380,469 Enbridge, Inc. (CAD) (b) (c)............................................... 13,419,142
197,300 Keyera Corp. (CAD) (b)..................................................... 8,898,279
506,058 Kinder Morgan Management, LLC (b) (f)...................................... 35,813,725
292,300 Kinder Morgan, Inc. (b).................................................... 8,622,850
352,100 Pembina Pipeline Corp. (CAD) (b)........................................... 10,270,087
427,850 Spectra Energy Corp. (b) (c)............................................... 12,587,347
435,400 TransCanada Corp. (b) (c).................................................. 18,199,720
238,000 Veresen, Inc. (CAD) (b).................................................... 3,397,500
761,600 Williams Cos., Inc. (b) (c)................................................ 24,584,448
--------------
195,127,338
--------------

TOTAL COMMON STOCKS ....................................................... 338,038,406
(Cost $308,214,023) --------------

TOTAL INVESTMENTS - 120.7% ................................................ 452,922,854
(Cost $417,550,523) (g) --------------

NUMBER OF
CONTRACTS DESCRIPTION VALUE
------------ --------------------------------------------------------------------------- --------------
CALL OPTIONS WRITTEN - (0.5%)

Dominion Resources, Inc. Calls
525 @ 55 due January 12 ....................................................... (7,875)
975 @ 55 due April 12 ......................................................... (87,750)
--------------
(95,625)
--------------
Duke Energy Corp. Calls
509 @ 21 due January 12 ....................................................... (17,815)
91 @ 21 due April 12 ......................................................... (5,460)
--------------
(23,275)
--------------
El Paso Corp. Call
2,000 @ 26 due April 12 ......................................................... (146,000)
--------------

Enbridge, Inc. Calls
1,500 @ 35 due December 11 ...................................................... (105,000)
600 @ 37.5 due January 12 ..................................................... (30,000)
--------------
(135,000)
--------------

See Notes to Financial Statements Page 7

FIRST TRUST ENERGY INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (a) - (Continued)
NOVEMBER 30, 2011

NUMBER OF
CONTRACTS DESCRIPTION VALUE
------------ --------------------------------------------------------------------------- --------------
CALL OPTIONS WRITTEN - (Continued)

Exelon Corp. Calls
147 @ 45 due December 11 ...................................................... $ (3,087)
250 @ 46 due December 11 ...................................................... (1,250)
300 @ 44 due January 12 ....................................................... (34,500)
640 @ 45 due January 12 ....................................................... (44,800)
--------------
(83,637)
--------------
NextEra Energy, Inc. Calls
1,000 @ 55 due December 11 ...................................................... (95,000)
800 @ 60 due January 12 ....................................................... (6,000)
200 @ 60 due March 12 ......................................................... (7,000)
--------------
(108,000)
--------------
NiSource, Inc. Calls
1,658 @ 22.5 due December 11 .................................................... (99,480)
1,500 @ 22.5 due January 12 ..................................................... (157,500)
1,400 @ 25 due April 12 ......................................................... (70,000)
--------------
(326,980)
--------------
Northeast Utilities Calls
1,000 @ 35 due December 11 ...................................................... (40,000)
700 @ 35 due January 12........................................................ (56,000)
700 @ 35 due April 12 ......................................................... (77,000)
--------------
(173,000)
--------------
ONEOK, Inc. Call
200 @ 85 due December 11 ...................................................... (20,000)
--------------
Southern Co. Calls
449 @ 44 due January 12 ....................................................... (36,369)
7 @ 45 due January 12 ....................................................... (259)
2,044 @ 45 due February 12 ...................................................... (104,244)
--------------
(140,872)
--------------
Spectra Energy Corp. Calls
400 @ 29 due December 11 ...................................................... (36,400)
700 @ 30 due December 11 ...................................................... (17,500)
500 @ 30 due March 12 ......................................................... (57,500)
800 @ 31 due March 12 ......................................................... (60,000)
--------------
(171,400)
--------------
TransCanada Corp. Calls
1,200 @ 45 due February 12 ...................................................... (48,000)
1,000 @ 45 due May 12 ........................................................... (100,000)
--------------
(148,000)
--------------
UGI Corp. Calls
829 @ 30 due December 11 ...................................................... (29,015)
1,471 @ 30 due January 12 ....................................................... (102,970)
--------------
(131,985)
--------------
Williams Cos., Inc. Calls
1,000 @ 33 due December 11 ...................................................... (59,000)
1,008 @ 34 due December 11 ...................................................... (29,232)
309 @ 32 due January 12 ....................................................... (57,783)
600 @ 34 due January 12 ....................................................... (61,200)

Page 8 See Notes to Financial Statements

FIRST TRUST ENERGY INFRASTRUCTURE FUND
PORTFOLIO OF INVESTMENTS (a) - (Continued)
NOVEMBER 30, 2011

NUMBER OF
CONTRACTS DESCRIPTION VALUE
------------ --------------------------------------------------------------------------- --------------
CALL OPTIONS WRITTEN - (Continued)

Williams Cos., Inc. Calls - (Continued)
514 @ 32 due February 12....................................................... $ (104,856)
--------------
(312,071)
--------------
TOTAL CALL OPTIONS WRITTEN ................................................ (2,015,845)
(Premiums received $1,735,315) --------------

OUTSTANDING LOAN - (27.2%) ................................................ (102,000,000)
NET OTHER ASSETS AND LIABILITIES - 7.0% ................................... 26,325,190
--------------
NET ASSETS - 100.0% ....................................................... $ 375,232,199
--------------

-------------------
(a) All percentages shown in the Portfolio of Investments are based on
net assets.

(b) All or a portion of this security is available to serve as
collateral on the outstanding loan.

(c) Call options were written on a portion of the common stock position
and are fully covered by the common stock position.

(d) This security, sold within the terms of a private placement
memorandum, is exempt from registration upon resale under Rule 144A
under the Securities Act of 1933, as amended (the "1933 Act"), and
may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities
in the Notes to Financial Statements).

(e) This security is fair valued in accordance with procedures adopted
by the Fund's Board of Trustees.

(f) Non-income producing security which pays in-kind distributions.

(g) Aggregate cost for federal income tax purposes is $417,384,526. As
of November 30, 2011, the aggregate gross unrealized appreciation
for all securities in which there was an excess of value over tax
cost was $36,169,757 and the aggregate gross unrealized depreciation
for all securities in which there was an excess of tax cost over
value was $631,429.

ADR American Depositary Receipt
CAD Canadian Dollar

VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of November 30,
2011 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE

LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
11/30/2011 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Master Limited Partnerships*...................... $ 114,884,448 $ 114,884,448 $ -- $ --
Common Stocks:
Oil, Gas & Consumable Fuels.................... 195,127,338 168,205,143 26,922,195 --
Other Industry Categories*..................... 142,911,068 142,911,068 -- --
-------------- -------------- -------------- --------------
TOTAL INVESTMENTS.............................. $ 452,922,854 $ 426,000,659 $ 26,922,195 $ --
============== ============== ============== ==============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
11/30/2011 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Call Options Written........................... $ (2,015,845) $ (2,015,845) $ -- $ --
============== ============== ============== ==============

* See the Portfolio of Investments for the industry breakout. Industry
categories are only shown separately if they include holdings in two or
more levels.

See Notes to Financial Statements Page 9

FIRST TRUST ENERGY INFRASTRUCTURE FUND
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2011

ASSETS:

Investments, at value
(Cost $417,550,523) ......................................................................... $ 452,922,854
Cash.......................................................................................... 30,292,584
Prepaid expenses ............................................................................. 6,099
Receivables:
Dividends.................................................................................. 1,266,784
Investment securities sold................................................................. 55,899
Interest................................................................................... 6,754
-------------
Total Assets............................................................................. 484,550,974
-------------

LIABILITIES:
Outstanding loan.............................................................................. 102,000,000
Options written, at value (Premiums received $1,735,315)...................................... 2,015,845
Payables:
Investment securities purchased............................................................ 4,194,699
Offering costs............................................................................. 525,504
Investment advisory fees................................................................... 362,115
Interest and fees on loan.................................................................. 70,020
Audit and tax fees......................................................................... 50,500
Administrative fees........................................................................ 29,613
Custodian fees............................................................................. 29,360
Printing fees.............................................................................. 24,120
Trustees' fees and expenses................................................................ 6,430
Legal fees................................................................................. 6,068
Transfer agent fees........................................................................ 2,167
Financial reporting fees................................................................... 1,490
Other liabilities ............................................................................ 844
-------------
Total Liabilities........................................................................ 109,318,775
-------------
NET ASSETS ................................................................................... $ 375,232,199
=============
NET ASSETS CONSIST OF:
Paid-in capital .............................................................................. $ 334,344,006
Par value .................................................................................... 175,502
Accumulated net investment income (loss) ..................................................... 509,363
Accumulated net realized gain (loss) on investments, written options and foreign
currency transactions ...................................................................... 5,109,829
Net unrealized appreciation (depreciation) on investments, written options and
foreign currency translation ................................................................. 35,093,499
-------------
NET ASSETS ................................................................................... $ 375,232,199
=============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) ......................... $ 21.38
=============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)... 17,550,236
=============

Page 10 See Notes to Financial Statements

FIRST TRUST ENERGY INFRASTRUCTURE FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED NOVEMBER 30, 2011 (a)

INVESTMENT INCOME:

Dividends (net of foreign withholding tax of $75,784)......................................... $ 1,918,145
Interest...................................................................................... 6,754
-------------
Total investment income.................................................................... 1,924,899
-------------

EXPENSES:
Investment advisory fees...................................................................... 695,330
Interest and fees on loan..................................................................... 106,475
Administrative fees........................................................................... 57,332
Audit and tax fees............................................................................ 50,500
Custodian fees................................................................................ 29,360
Legal fees.................................................................................... 27,809
Printing fees................................................................................. 24,120
Trustees' fees and expenses................................................................... 6,454
Transfer agent fees........................................................................... 3,945
Financial reporting fees...................................................................... 2,313
Other......................................................................................... 8,887
-------------
Total expenses............................................................................. 1,012,525
-------------
NET INVESTMENT INCOME (LOSS).................................................................. 912,374
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................................................ 5,012,635
Written options (b)........................................................................ 97,194
Foreign currency transactions.............................................................. (403,011)
-------------
Net realized gain (loss)...................................................................... 4,706,818
-------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................................................ 35,372,331
Written options (b)........................................................................ (280,530)
Foreign currency translation............................................................... 1,698
-------------
Net change in unrealized appreciation (depreciation).......................................... 35,093,499
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................................................... 39,800,317
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................... $ 40,712,691
=============

(a) The Fund was seeded on August 18, 2011 and commenced operations on
September 27, 2011.

(b) Primary risk exposure is equity option contracts.

See Notes to Financial Statements Page 11

FIRST TRUST ENERGY INFRASTRUCTURE FUND
STATEMENT OF CHANGES IN NET ASSETS

PERIOD
ENDED
11/30/2011 (a)
-------------

OPERATIONS:
Net investment income (loss)....................................................... $ 912,374
Net realized gain (loss)........................................................... 4,706,818
Net change in unrealized appreciation (depreciation)............................... 35,093,499
-------------
Net increase (decrease) in net assets resulting from operations.................... 40,712,691
-------------

CAPITAL TRANSACTIONS:
Proceeds from Common Shares sold (b)............................................... 335,209,508
Proceeds from Common Shares reinvested............................................. --
Offering costs..................................................................... (690,000)
-------------
Net increase (decrease) in net assets resulting from capital transactions.......... 334,519,508
-------------
Total increase (decrease) in net assets............................................ 375,232,199

NET ASSETS:
Beginning of period................................................................ --
-------------
End of period...................................................................... $ 375,232,199
=============
Accumulated net investment income (loss) at end of period.......................... $ 509,363
=============

CAPITAL TRANSACTIONS WERE AS FOLLOWS:
Common Shares sold (b)............................................................. 17,550,236
Common Shares issued as reinvestment under the Dividend Reinvestment Plan.......... --
-------------
Common Shares at end of period..................................................... 17,550,236
=============

-------------------
(a) The Fund was seeded on August 18, 2011 and commenced operations on
September 27, 2011.

(b) Includes 295,000 shares sold from the over allotment option of the initial
public offering. The shares were sold on November 10, 2011, the trade
date, at the initial offering price of $19.10, which differed from the
closing common share price of $20.01 and the closing NAV per share of
$20.85 on that date.

Page 12 See Notes to Financial Statements

FIRST TRUST ENERGY INFRASTRUCTURE FUND
STATEMENT OF CASH FLOWS
FOR THE PERIOD ENDED NOVEMBER 30, 2011 (a)

CASH FLOWS FROM OPERATING ACTIVITIES:

Net increase (decrease) in net assets resulting from operations ................... $ 40,712,691
Adjustments to reconcile net increase (decrease) in net assets resulting from
operations to net cash used in operating activities: ............................
Purchases of investments ...................................................... (445,364,329)
Sales of investments .......................................................... 35,043,393
Proceeds from written options 2,418,463 .......................................
Return of capital received from investment in MLPs ............................ 1,335,894
Net realized gain/loss on investments and options ............................. (5,109,829)
Net change in unrealized appreciation/depreciation on investments and options . (35,091,801)

CHANGES IN ASSETS AND LIABILITIES:
Increase in interest receivable ............................................... (6,754)
Increase in dividends receivable (b) .......................................... (1,266,784)
Increase in prepaid expenses .................................................. (6,099)
Increase in interest and fees on loan payable ................................. 70,020
Increase in investment advisory fees payable .................................. 362,115
Increase in audit and tax fees payable ........................................ 50,500
Increase in legal fees payable ................................................ 6,068
Increase in printing fees payable ............................................. 24,120
Increase in administrative fees payable ....................................... 29,613
Increase in custodian fees payable ............................................ 29,360
Increase in transfer agent fees payable ....................................... 2,167
Increase in Trustees' fees and expenses payable ............................... 6,430
Increase in financial reporting fees payable .................................. 1,490
Increase in other liabilities payable ......................................... 844
-------------
CASH USED IN OPERATING ACTIVITIES ................................................. $(406,752,428)
-------------

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds of Common Shares sold ................................................ 335,209,508
Offering costs ................................................................ (164,496)
Issuances of loan ............................................................. 102,000,000
-------------
CASH FLOWS PROVIDED BY FINANCING ACTIVITIES ....................................... 437,045,012
-------------
Increase in cash .................................................................. 30,292,584
Cash at beginning of period ....................................................... --
-------------
CASH AT END OF PERIOD ............................................................. $ 30,292,584
=============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest and fees ................................. $ 36,455
=============

-------------------
(a) The Fund was seeded on August 18, 2011 and commenced operations on
September 27, 2011.

(b) Includes net change in unrealized appreciation (depreciation) on foreign
currency of $1,698.

See Notes to Financial Statements Page 13

FIRST TRUST ENERGY INFRASTRUCTURE FUND
FINANCIAL HIGHLIGHTS
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD

PERIOD
ENDED
11/30/2011 (a)
-------------

Net asset value, beginning of period ... $ 19.10 (b)
-------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) ..................................................... 0.05
Net realized and unrealized gain (loss) .......................................... 2.30
-------------
Total from investment operations ................................................. 2.35
-------------
Common Shares offering costs charged to paid-in capital........................... (0.04)
-------------
Capital reduction resulting from issuance of Common Shares
related to over allotment .................................................... (0.03)
-------------
Net asset value, end of period ................................................... $ 21.38
=============
Market value, end of period ...................................................... $ 19.82
=============
TOTAL RETURN BASED ON NET ASSET VALUE (c)......................................... 11.94 %
=============
TOTAL RETURN BASED ON MARKET VALUE (c)........................................... (0.90)%
=============
--------------------

RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................................. $ 375,232
Ratio of total expenses to average net assets .................................... 1.66% (d)
Ratio of total expenses to average net assets excluding interest expense
and fees on loan ............................................................ 1.48% (d)
Ratio of net investment income (loss) to average net assets ...................... 1.49% (d)
Portfolio turnover rate .......................................................... 8%
INDEBTEDNESS:
Total loan outstanding (in 000's) ................................................ $ 102,000
Asset coverage per $1,000 of indebtedness (e)..................................... $ 4,679

--------------------

(a) Initial seed date of August 18, 2011. The Fund commenced operations on
September 27, 2011.

(b) Net of sales load of $0.90 per Common Share on initial offering.

(c) Total return is based on the combination of reinvested dividend, capital
gain and return of capital distributions, if any, at prices obtained by
the Dividend Reinvestment Plan, and changes in net asset value per share
for net asset value returns and changes in Common Share price for market
value returns. Total returns do not reflect sales load and are not
annualized for periods less than one year. Past performance is not
indicative of future results.

(d) Annualized.

(e) Calculated by taking the Fund's total assets less the Fund's total
liabilities (not including the loan outstanding) and dividing by the
outstanding loan balance in 000's.

Page 14 See Notes to Financial Statements

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

1. FUND DESCRIPTION

First Trust Energy Infrastructure Fund (the "Fund") is a non-diversified,
closed-end management investment company organized as a Massachusetts business
trust on February 22, 2011 and is registered with the Securities and Exchange
Commission ("SEC") under the Investment Company Act of 1940, as amended (the
"1940 Act"). The Fund trades under the ticker symbol FIF on the New York Stock
Exchange ("NYSE").

The Fund's investment objective is to seek a high level of total return with an
emphasis on current distributions paid to shareholders. The Fund seeks to
achieve its objective by investing primarily in securities of companies engaged
in the energy infrastructure sector. Energy infrastructure companies principally
include publicly-traded master limited partnerships and limited liability
companies taxed as partnerships ("MLPs"), MLP affiliates, Canadian income trusts
and their successor companies (collectively, "Canadian Income Equities"),
pipeline companies, utilities, and other companies that derive at least 50% of
their revenues from operating or providing services in support of infrastructure
assets such as pipelines, power transmission and petroleum and natural gas
storage in the petroleum, natural gas and power generation industries
(collectively, "Energy Infrastructure Companies"). For purposes of the Fund's
investment objective, total return includes capital appreciation of, and all
distributions received from, securities in which the Fund invests, taking into
account the varying tax characteristics of such securities. 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 following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of the Fund is determined daily
as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time,
on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The NAV per Common Share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund) by the total
number of Common Shares outstanding.

The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees, and in accordance with provisions of
the 1940 Act. The following securities, for which accurate and reliable market
quotations are readily available, will be valued as follows:

Common stocks, MLPs and other securities listed on any national or foreign
exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
Stock Exchange Alternative Investment Market ("AIM")) are valued at the
last sale price on the exchange on which they are principally traded. If
there are no transactions on the valuation day, the securities are valued
at the mean between the most recent bid and asked prices.

Securities listed on the NASDAQ or the AIM are valued at the official
closing price. If there is no official closing price on the valuation day,
the securities are valued at the mean between the most recent bid and
asked prices.

Securities traded in the over-the-counter market are valued at their
closing bid prices.

Exchange-traded options and 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 options and futures contracts
are valued at the mean between the most recent bid and asked prices.
Over-the-counter options and futures contracts are valued at their closing
bid prices.

Short-term investments that mature in less than 60 days when purchased are
valued at amortized cost.

All market quotations used in valuing the Fund's securities will be obtained
from a third party pricing service. If no quotation is received from a pricing
service, attempts will be made to obtain one or more broker quotes for the
security. In the event the pricing service does not provide a valuation, broker
quotations are not readily available, or the valuations received are deemed
unreliable, the Fund's Board of Trustees has designated First Trust Advisors
L.P. ("First Trust") to use a fair value method to value the Fund's securities.
Additionally, if events occur after the close of the principal markets for
certain securities (e.g., domestic debt and foreign securities) that could
materially affect the Fund's NAV, First Trust will use a fair value method to
value the Fund's securities. The use of fair value pricing is governed by
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with the provisions of the 1940 Act. As a general principle, the fair value of a
security is the amount which the Fund might reasonably expect to receive for the
security upon its current sale. However, in light of the judgment involved in
fair valuations, there can be no assurance that a fair value assigned to a
particular security will be the amount which the Fund might be able to receive
upon its current sale. Fair valuation of a security will be based on the
consideration of all available information, including, but not limited to the
following:

1) the type of security;

2) the size of the holding;

3) the initial cost of the security;

4) transactions in comparable securities;

Page 15

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

5) price quotes from dealers and/or pricing services;

6) relationships among various securities;

7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;

8) an analysis of the issuer's financial statements; and

9) the existence of merger proposals or tender offers that might affect
the value of the security.

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

1) the value of similar foreign securities traded on other foreign
markets;

2) ADR trading of similar securities;

3) closed-end fund trading of similar securities;

4) foreign currency exchange activity;

5) the trading prices of financial products that are tied to baskets of
foreign securities;

6) factors relating to the event that precipitated the pricing problem;

7) whether the event is likely to recur; and

8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.

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

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

o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:

o Quoted prices for similar securities in active markets.

o Quoted prices for identical or similar securities in markets
that are non-active. A non-active market is a market where
there are few transactions for the security, 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
security (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).

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

o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
security.

The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of November 30, 2011, is
included with the Fund's Portfolio of Investments.

B. OPTION CONTRACTS:

The Fund is subject to equity price risk in the normal course of pursuing its
investment objective and may enter into options written to hedge against changes
in the value of equities. Also, by writing (selling) options, the Fund seeks to
generate additional income, in the form of premiums received for writing
(selling) the options. The Fund may write (sell) covered call or put options
("options") on all or a portion of the common stock of energy companies held in
the Fund's portfolio as determined to be appropriate by Energy Income Partners,
LLC ("EIP" or the "Sub-Advisor"). The number of options the Fund can write
(sell) is limited by the amount of common stock of energy companies the Fund
holds in its portfolio. The Fund will not write (sell) "naked" or uncovered
options. When the Fund writes (sells) an option, an amount equal to the premium
received by the Fund is included in "Options written, at value" on the Fund's
Statement of Assets and Liabilities. Options are marked-to-market daily and
their value will be affected by changes in the value and dividend rates of the
underlying equity securities, changes in interest rates, changes in the actual
or perceived volatility of the securities markets and the underlying equity
securities and the remaining time to the options' expiration. The value of
options may also be adversely affected if the market for the options becomes
less liquid or trading volume diminishes.

Options the Fund writes (sells) will either be exercised, expire or be cancelled
pursuant to a closing transaction. If the price of the underlying equity
security exceeds the option's exercise price, it is likely that the option
holder will exercise the option. If an option written (sold) by the Fund is
exercised, the Fund would be obligated to deliver the underlying equity security
to the option holder upon payment of the strike price. In this case, the option
premium received by the Fund will be added to the amount realized on the sale of
the underlying security for purposes of determining gain or loss. If the price
of the underlying equity security is less than the option's strike price, the
option will likely expire without being exercised. The option premium received
by the Fund will, in this case, be treated as short-term capital gain on the
expiration date of the option. The Fund may also elect to close out its position
in an option prior to its expiration by purchasing an option of the same series
as the option written (sold) by the Fund. Gain or loss on options is presented
separately as "Net realized gain (loss) on written options" on the Statement of
Operations.

The options that the Fund writes (sells) give the option holder the right, but
not the obligation, to purchase a security from the Fund at the strike price on
or prior to the option's expiration date. The ability to successfully implement
the writing (selling) of covered call options depends on the ability of the
Sub-Advisor to predict pertinent market movements, which cannot be assured.
Thus, the use of options may require the Fund to sell portfolio securities at
inopportune times or for prices other than current market value, which may limit
the amount of appreciation the Fund can realize on an investment, or may cause
the Fund to hold a security that it might otherwise sell. As the writer (seller)

Page 16

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

of a covered option, the Fund foregoes, during the option's life, the
opportunity to profit from increases in the market value of the security
covering the option above the sum of the premium and the strike price of the
option, but has retained the risk of loss should the price of the underlying
security decline. The writer (seller) of an option has no control over the time
when it may be required to fulfill its obligation as a writer (seller) of the
option. Once an option writer (seller) has received an exercise notice, it
cannot effect a closing purchase transaction in order to terminate its
obligation under the option and must deliver the underlying security to the
option holder at the exercise price.

Over-the-counter ("OTC") options have the risk of the potential inability of
counterparties to meet the terms of their contracts. The Fund's maximum equity
price risk for purchased options is limited to the premium initially paid. In
addition, certain risks may arise upon entering into option contracts including
the risk that an illiquid secondary market will limit the Fund's ability to
close out an option contract prior to the expiration date and that a change in
the value of the option contract may not correlate exactly with changes in the
value of the securities hedged.

C. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis, including amortization of premiums and accretion of
discounts. The Fund will rely to some extent on information provided by the
MLPs, which is not necessarily timely, to estimate taxable income allocable to
the MLP units held in the Fund's portfolio.

Distributions received from the Fund's investments in MLPs generally are
comprised of return of capital and investment income. The Fund records estimated
return of capital and investment income based on historical information
available from each MLP. These estimates may subsequently be revised based on
information received from the MLPs after their tax reporting periods are
concluded.

D. RESTRICTED SECURITIES:

The Fund may invest up to 15% of its Managed Assets in restricted securities.
Managed Assets means the total asset value of the Fund minus the sum of the
Fund's liabilities other than the principal amount of borrowings. Restricted
securities are securities that may not be offered for public sale without first
being registered under the Securities Act of 1933, as amended (the "1933 Act").
Prior to registration, restricted securities may only be resold in transactions
exempt from registration under Rule 144A under the 1933 Act, normally to
qualified institutional buyers. As of November 30, 2011, the Fund held a
restricted security as shown in the following table. The Fund does not have the
right to demand that such security be registered. The security is valued
according to the valuation procedures as stated in the Portfolio Valuation note
(Note 2A).

ACQUISITION SHARES/ % OF
SECURITY DATE UNITS PRICE CARRYING COST VALUE NET ASSETS
-----------------------------------------------------------------------------------------------------------------------

Enbridge Energy Management, LLC 11/14/2011 860,684 $31.28 $ 25,700,000 $ 26,922,195 7.2%

E. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

The Fund will distribute to holders of its Common Shares monthly dividends of
all or a portion of its net income after the payment of interest and dividends
in connection with leverage, if any. Distributions will automatically be
reinvested into additional Common Shares pursuant to the Fund's Dividend
Reinvestment Plan unless cash distributions are elected by the shareholder.

Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. Certain capital accounts in the
financial statements are periodically adjusted for permanent differences in
order to reflect their tax character. These permanent differences are primarily
due to the varying treatment of income and gain/loss on portfolio securities
held by the Fund and have no impact on net assets or net asset value per share.
Temporary differences, which arise from recognizing certain items of income,
expense and gain/loss in different periods for financial statement and tax
purposes, will reverse at some point in the future. Permanent differences
incurred during the period ended November 30, 2011, primarily a result of
differing book and tax treatment on realization of foreign currency
gains/(losses), have been reclassified at year end to reflect a decrease in
accumulated net investment income (loss) by $403,011 and an increase in
accumulated net realized gain (loss) on investments by $403,011. Net assets were
not affected by this reclassification.

As of November 30, 2011, the distributable earnings and net assets on a tax
basis were as follows:

Undistributed ordinary income..................... $ 5,507,810
Undistributed capital gains....................... --
-------------
Total undistributed earnings...................... 5,507,810
Accumulated capital and other losses.............. (54,615)
Net unrealized appreciation (depreciation)........ 35,259,496
-------------
Total accumulated earnings (losses)............... 40,712,691
Other .......................................... --
Paid-in capital................................... 334,519,508
-------------
Net assets........................................ $375,232,199
=============

Page 17

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

F. INCOME TAXES:

The Fund intends to qualify as a regulated investment company by complying with
the requirements under Subchapter M of the Internal Revenue Code of 1986, as
amended, which includes distributing substantially all of its net investment
income and net realized gains to shareholders. Accordingly, no provision has
been made for federal or 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 98.2% of the Fund's taxable income exceeds the
distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws which
allow it to carry realized capital losses forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
At November 30, 2011, the Fund had no capital loss carryforward for federal
income tax purposes.

Certain capital losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the period ended
November 30, 2011, the Fund elected to defer net realized currency losses of
$54,615 incurred between November 1, 2011 and November 30, 2011.

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 year 2011 remains open to
federal and state audit. As of November 30, 2011 management has evaluated the
application of these standards to the Fund and has determined that no provision
for income tax is required in the Fund's financial statements for uncertain tax
positions.

G. EXPENSES:

The Fund will pay all expenses directly related to its operations.

H. FOREIGN CURRENCY:

The books and records of the Fund are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statement of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statement of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received. The portion of foreign
currency gains and losses related to fluctuation in exchange rates between the
initial purchase trade date and subsequent sale trade date is included in "Net
realized gain (loss) on foreign currency transactions" on the Statement of
Operations.

I. ORGANIZATION AND OFFERING COSTS:

Organization costs consisted of costs incurred to establish the Fund and enable
it to legally conduct business. These costs included filing fees, listing fees,
legal services pertaining to the organization of the business and audit fees
relating to the initial registration and auditing the initial statement of
assets and liabilities, among other fees. Offering costs consisted of legal fees
pertaining to the Fund's shares offered for sale, registration fees,
underwriting fees, and printing of the initial prospectus, among other fees.
First Trust paid all organization expenses. The Fund's Common Share offering
costs of $690,000 were recorded as a reduction of the proceeds from the sale of
Common Shares during the period ended November 30, 2011.

J. ACCOUNTING PRONOUNCEMENT:

In May 2011, the Financial Accounting Standards Board ("FASB") issued ASU
2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure
Requirements in U.S. GAAP and IFRSs", modifying Topic 820, Fair Value
Measurements and Disclosures. At the same time, the International Accounting
Standards Board ("IASB") issued International Financial Reporting Standard
("IFRS") 13, Fair Value Measurement. The objective of the FASB and IASB is
convergence of their guidance on fair value measurements and disclosures.
Specifically, the ASU requires reporting entities to disclose (i) the amounts of
any transfers between Level 1 and Level 2, and the reasons for the transfers,
(ii) for Level 3 fair value measurements, quantitative information about
significant unobservable inputs used, (iii) a description of the valuation
processes used by the reporting entity, and (iv) a narrative description of the
sensitivity of the fair value measurement to changes in unobservable inputs if a
change in those inputs might result in a significantly higher or lower fair
value measurement. The effective date of the ASU is for interim and annual
periods beginning after December 15, 2011, and is therefore not effective for
the current fiscal year. Management is in the process of assessing the impact of
the updated standards on the Fund's financial statements, if any.

Page 18

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

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. First Trust is responsible for the ongoing monitoring of
the Fund's investment portfolio, managing the Fund's business affairs and
providing certain administrative services necessary for the management of the
Fund. For these investment management services, First Trust is entitled to a
monthly fee calculated at an annual rate of 1.00% of the Fund's Managed Assets.
First Trust also provides fund reporting services to the Fund for a flat annual
fee in the amount of $9,250.

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

First Trust Capital Partners, LLC ("FTCP"), an affiliate of First Trust,
purchased, through a wholl-owned subsidiary, a 20% ownership interest in each of
the Sub-Advisor and EIP Partners, LLC, an affiliate of the Sub-Advisor. In
addition, as of September 29, 2011, FTCP purchased a preferred interest in the
Sub-Advisor. The preferred interest is non-voting and does not share in the
profits or losses of the Sub-Advisor. The Sub-Advisor may buy back any or all of
FTCP's preferred interest at any time and FTCP may sell back to the Sub-Advisor
up to fifty percent of its preferred interest on or after March 29, 2013 and any
or all of its preferred interest after September 29, 2014. As of the date of
this report the Sub-Advisor has bought back just over twenty percent (20%) of
FTCP's preferred interest.

BNY Mellon Investment Servicing (US) Inc. serves as the Fund's Administrator,
Fund Accountant and Transfer Agent in accordance with certain fee arrangements.
The Bank of New York Mellon serves as the Fund's Custodian in accordance with
certain fee arrangements.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustee") is paid an annual retainer of
$10,000 per trust for the first 14 trusts of the First Trust Fund Complex and an
annual retainer of $7,500 per trust for each subsequent trust in the First Trust
Fund Complex. The annual retainer is allocated equally among each of the trusts.
No additional meeting fees are paid in connection with Board or Committee
meetings.

Additionally, the Lead Independent Trustee is paid $10,000 annually, the
Chairman of the Audit Committee is paid $5,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
is paid $2,500 annually to serve in such capacities, with such compensation paid
by the trusts in the First Trust Fund Complex and divided among those trusts.
Trustees are also reimbursed by the trusts in the First Trust Fund Complex for
travel and out-of-pocket expenses in connection with all meetings. The Lead
Independent Trustee and each Committee chairman will serve two-year terms before
rotating to serve as chairman of another committee or as Lead Independent
Trustee. The officers and "Interested" Trustee receive no compensation from the
Fund for serving in such capacities.

4. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the period ended November 30, 2011 were $449,559,028
and $35,099,292, respectively.

Written option activity for the Fund was as follows:

NUMBER
OF
WRITTEN OPTIONS CONTRACTS PREMIUMS
--------------------------------------------------------------------------------
Options outstanding at beginning of the period -- $ --
Options Written............................ 38,787 2,418,463
Options Expired............................ (1,842) (97,194)
Options Exercised.......................... (7,419) (585,954)
Options Closed............................. -- --
--------- ----------
Options outstanding at November 30, 2011... 29,526 $1,735,315
========= ==========

5. BORROWINGS

On October 6, 2011, the Fund entered into a committed facility agreement with
the Bank of Nova Scotia ("Scotia") that has a maximum commitment amount of
$145,000,000. The borrowing rate under the facility is equal to the 1-month
LIBOR plus 65 basis points. In addition, under the facility, the Fund pays a
commitment fee of 0.20% on the undrawn amount of such facility. The average
amount outstanding between October 6, 2011 and November 30, 2011 was
$57,875,000, with a weighted average interest rate of 0.90%. As of November 30,
2011, the Fund had outstanding borrowings of $102,000,000 under this committed
facility agreement. The high and low annual interest rates for the period ended
November 30, 2011 were 0.92% and 0.89%, respectively. The interest rate at
November 30, 2011 was 0.92%.

6. INDEMNIFICATION

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

Page 19

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011

7. RISK CONSIDERATIONS

Risks are inherent in all investing. The following summarizes some, but not all,
of the risks that should be considered for the Fund. For additional information
about the risks associated with investing in the Fund, please see the Fund's
prospectus and statement of additional information, as well as other Fund
regulatory filings.

INVESTMENT AND MARKET RISK: An investment in the Fund's Common Shares is subject
to investment risk, including the possible loss of the entire principal
invested. An investment in Common Shares represents an indirect investment in
the securities owned by the Fund. The value of these securities, like other
market investments, may move up or down, sometimes rapidly and unpredictably.
Common Shares at any point in time may be worth less than the original
investment, even after taking into account the reinvestment of Fund dividends
and distributions. Security prices can fluctuate for several reasons including
the general condition of the securities markets, or when political or economic
events affecting the issuers occur. When the Advisor or Sub-Advisor determines
that it is temporarily unable to follow the Fund's investment strategy or that
it is impractical to do so (such as when a market disruption event has occurred
and trading in the securities is extremely limited or absent), the Fund may take
temporary defensive positions.

INDUSTRY CONCENTRATION RISK: The Fund invests at least 80% of its Managed Assets
in securities issued by Energy Infrastructure Companies. Given this industry
concentration, the Fund is more susceptible to adverse economic or regulatory
occurrences affecting that industry than an investment company that is not
concentrated in a single industry. Energy Infrastructure Company issuers may be
subject to a variety of factors that may adversely affect their business or
operations, including high interest costs in connection with capital
construction programs, high leverage costs associated with environmental and
other regulations, the effects of economic slowdown, surplus capacity, increased
competition from other providers of services, uncertainties concerning the
availability of fuel at reasonable prices, the effects of energy conservation
policies and other factors.

MLP RISK: An investment in MLP units involves risks which differ from an
investment in common stock of a corporation. Holders of MLP units have limited
control and voting rights on matters affecting the partnership. In addition,
there are certain tax risks associated with an investment in MLP units and
conflicts of interest exist between common unit holders and the general partner,
including those arising from incentive distribution payments.

LEVERAGE RISK: The use of leverage results in additional risks and can magnify
the effect of any losses. The funds borrowed pursuant to a leverage borrowing
program constitute a substantial lien and burden by reason of their prior claim
against the income of the Fund and against the net assets of the Fund in
liquidation. If the Fund is not in compliance with certain credit facility
provisions, the Fund may not be permitted to declare dividends or other
distributions.

RESTRICTED SECURITIES RISK: The Fund may invest in unregistered or otherwise
restricted securities. The term "restricted securities" refers to securities
that are unregistered or are held by control persons of the issuer and
securities that are subject to contractual restrictions on their resale. As a
result, restricted securities may be more difficult to value and the Fund may
have difficulty disposing of such assets either in a timely manner or for a
reasonable price. In order to dispose of an unregistered security, the Fund,
where it has contractual rights to do so, may have to cause such security to be
registered. A considerable period may elapse between the time the decision is
made to sell the security and the time the security is registered so that the
Fund could sell it. Contractual restrictions on the resale of securities vary in
length and scope and are generally the result of a negotiation between the
issuer and acquirer of the securities. The Fund would, in either case, bear
market risks during that period.

8. SUBSEQUENT EVENTS

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

Effective January 1, 2012, each Independent Trustee will be paid a fixed annual
retainer of $125,000 per year and an annual per fund fee of $4,000 for each
closed-end fund or other actively managed fund and $1,000 for each index fund in
the First Trust Fund Complex. The fixed annual retainer will be allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.

Additionally, the Lead Independent Trustee will be paid $15,000 annually, the
Chairman of the Audit Committee will be paid $10,000 annually, and each of the
Chairmen of the Nominating and Governance Committee and the Valuation Committee
will be paid $5,000 annually to serve in such capacities, with such compensation
allocated pro rata among each fund in the First Trust Fund Complex based on net
assets. Trustees continue to be reimbursed for travel and out-of-pocket expenses
in connection with all meetings. The Lead Independent Trustee and each committee
chairman will serve two-year terms before rotating to serve as chairman of
another committee or as Lead Independent Trustee. The officers and "Interested"
Trustee receive no compensation from the Fund for acting in such capacities.

Effective January 23, 2012, Mr. Bowen resigned from his position as the
President and Chief Executive Officer of the Fund. He will continue as a
Trustee, the Chairman of the Board and member of the Executive Committee. The
Board elected Mr. Bradley to serve as the President and Chief Executive Officer
and Mr. Dykas to serve as the Treasurer, Chief Financial Officer and Chief
Accounting Officer of the Fund.

Page 20

--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------

TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST ENERGY
INFRASTRUCTURE FUND:

We have audited the accompanying statement of assets and liabilities of First
Trust Energy Infrastructure Fund (the "Fund"), including the portfolio of
investments, as of November 30, 2011, and the related statements of operations,
changes in net assets, cash flows and the financial highlights for the period
from August 18, 2011 (initial seed date) through November 30, 2011. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). 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. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, 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. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of November 30, 2011, by correspondence with the Fund's
custodian and brokers; where replies were not received, we performed other
auditing procedures. We believe that our audit provides a reasonable basis for
our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of First
Trust Energy Infrastructure Fund as of November 30, 2011, and the results of its
operations, its cash flows, changes in its net assets, and the financial
highlights for the period from August 18, 2011 (initial seed date) through
November 30, 2011, in conformity with accounting principles generally accepted
in the United States of America.

/s/ Deloitte & Touche LLP

Chicago, Illinois
January 24, 2012

Page 21

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

DIVIDEND REINVESTMENT PLAN

If your Common Shares are registered directly with the Fund or if you hold your
Common Shares with a brokerage firm that participates in the Fund's Dividend
Reinvestment Plan (the "Plan"), unless you elect, by written notice to the Fund,
to receive cash distributions, all dividends, including any capital gain
distributions, on your Common Shares will be automatically reinvested by BNY
Mellon Investment Servicing (US) Inc. (the "Plan Agent"), in additional Common
Shares under the Plan. If you elect to receive cash distributions, you will
receive all distributions in cash paid by check mailed directly to you by the
Plan Agent, as the dividend paying agent.

If you decide to participate in the Plan, the number of Common Shares you will
receive will be determined as follows:

(1) If Common Shares are trading at or above net asset value ("NAV") at
the time of valuation, the Fund will issue new shares at a price
equal to the greater of (i) NAV per Common Share on that date or
(ii) 95% of the market price on that date.

(2) If Common Shares are trading below NAV at the time of valuation, the
Plan Agent will receive the dividend or distribution in cash and
will purchase Common Shares in the open market, on the NYSE or
elsewhere, for the participants' accounts. It is possible that the
market price for the Common Shares may increase before the Plan
Agent has completed its purchases. Therefore, the average purchase
price per share paid by the Plan Agent may exceed the market price
at the time of valuation, resulting in the purchase of fewer shares
than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and
distributions received in cash to purchase Common Shares in the open
market within 30 days of the valuation date except where temporary
curtailment or suspension of purchases is necessary to comply with
federal securities laws. Interest will not be paid on any uninvested
cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving
written notice to the Plan Agent, or by telephone at (866) 340-1104, in
accordance with such reasonable requirements as the Plan Agent and the Fund may
agree upon. If you withdraw or the Plan is terminated, you will receive a
certificate for each whole share in your account under the Plan, and you will
receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage
commissions.

The Plan Agent maintains all Common Shareholders' accounts in the Plan and gives
written confirmation of all transactions in the accounts, including information
you may need for tax records. Common Shares in your account will be held by the
Plan Agent in non-certificated form. The Plan Agent will forward to each
participant any proxy solicitation material and will vote any shares so held
only in accordance with proxies returned to the Fund. Any proxy you receive will
include all Common Shares you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions
in Common Shares. However, all participants will pay a pro rata share of
brokerage commissions incurred by the Plan Agent when it makes open market
purchases.

Automatically reinvesting dividends and distributions does not mean that you do
not have to pay income taxes due upon receiving dividends and distributions.
Capital gains and income are realized although cash is not received by you.
Consult your financial advisor for more information.

If you hold your Common Shares with a brokerage firm that does not participate
in the Plan, you will not be able to participate in the Plan and any dividend
reinvestment may be effected on different terms than those described above.

The Fund reserves the right to amend or terminate the Plan if in the judgment of
the Board of Trustees the change is warranted. There is no direct service charge
to participants in the Plan; however, the Fund reserves the right to amend the
Plan to include a service charge payable by the participants. Additional
information about the Plan may be obtained by writing BNY Mellon Investment
Servicing (US) Inc., 301 Bellevue Parkway, Wilmington, Delaware 19809.

--------------------------------------------------------------------------------

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Fund 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 located at http://www.ftportfolios.com; and (3) on the
Securities and Exchange Commission's ("SEC") website located at
http://www.sec.gov.

Page 22

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q
are available (1) by calling (800) 988-5891; (2) on the Fund's website located
at http://www.ftportfolios.com; (3) on the SEC's website at http://www.sec.gov;
and (4) for review and copying at the SEC's Public Reference Room ("PRR") in
Washington, DC. Information regarding the operation of the PRR may be obtained
by calling (800) SEC-0330.

NYSE CERTIFICATION INFORMATION

In accordance with Section 303A-12 of the New York Stock Exchange ("NYSE")
Listed Company Manual, the Fund's President has certified to the NYSE that, as
of August 15, 2011, he was not aware of any violation by the Fund of NYSE
corporate governance listing standards. In addition, the Fund's reports to the
SEC on Forms N-CSR, N-CSRS and N-Q contain certifications by the Fund's
principal executive officer and principal financial officer that relate to the
Fund's public disclosure in such reports and are required by Rule 30a-2 under
the 1940 Act.

ADVISORY AND SUB-ADVISORY AGREEMENTS

BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AND
SUB-ADVISORY AGREEMENTS

The Board of Trustees of First Trust Energy Infrastructure Fund (the "Fund"),
including the Independent Trustees, approved the Investment Management Agreement
(the "Advisory Agreement") between the Fund and First Trust Advisors L.P. (the
"Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory
Agreement" and together with the Advisory Agreement, the "Agreements") among the
Fund, the Advisor and Energy Income Partners, LLC (the "Sub-Advisor"), at a
meeting held on March 21, 2011. The Board determined that the Agreements are in
the best interests of the Fund in light of the services, expenses and such other
matters as the Board considered to be relevant in the exercise of its reasonable
business judgment.

To reach this determination, the Board considered its duties under the
Investment Company Act of 1940, as amended (the "1940 Act"), as well as under
the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. To assist the Board in its evaluation of the Agreements, the
Independent Trustees received a separate report from each of the Advisor and the
Sub-Advisor in advance of the Board meeting responding to a request for
information provided on behalf of the Independent Trustees that, among other
things, outlined the services to be provided by the Advisor and the Sub-Advisor
(including the relevant personnel responsible for these services and their
experience); the proposed advisory fee and sub-advisory fee for the Fund as
compared to fees charged by investment advisors to comparable funds and as
compared to fees charged to other clients of the Advisor and the Sub-Advisor;
estimated expenses of the Fund as compared to expense ratios of comparable
funds; the nature of expenses to be incurred in providing services to the Fund
and the potential for economies of scale, if any; financial data on the Advisor
and the Sub-Advisor; any fall-out benefits to the Advisor and the Sub-Advisor;
and information on the Advisor's and the Sub-Advisor's compliance programs. The
Independent Trustees also met separately with their independent legal counsel to
discuss the information provided by the Advisor and the Sub-Advisor. The Board
applied its business judgment to determine whether the arrangements between the
Fund and the Advisor and among the Fund, the Advisor and the Sub-Advisor are
reasonable business arrangements from the Fund's perspective as well as from the
perspective of shareholders.

In reviewing the Agreements, the Board considered the nature, quality and extent
of services to be provided by the Advisor and the Sub-Advisor under the
Agreements, and noted that employees of the Advisor provide management services
to other investment companies in the First Trust complex with diligence and
care. With respect to the Advisory Agreement, the Board considered that the
Advisor will be responsible for the overall management and administration of the
Fund, including the oversight of the Sub-Advisor.The Board noted the compliance
program that had been developed by the Advisor and considered that the
compliance program includes policies and procedures for monitoring the
Sub-Advisor's compliance with the 1940 Act and the Fund's investment objectives
and policies. The Board noted the efforts expended by the Advisor in organizing
the Fund and making arrangements for entities to provide services to the Fund.
With respect to the Sub-Advisory Agreement, the Board noted the background and
experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's
investment style. At the meeting, the Trustees received a presentation from
representatives of the Sub-Advisor and were able to ask questions about the
Sub-Advisor's proposed investment strategies for the Fund as well as the
Sub-Advisor's compliance program. In light of the information presented and the
considerations made, the Board concluded that the nature, quality and extent of
services to be provided to the Fund by the Advisor and the Sub-Advisor under the
Agreements are expected to be satisfactory.

The Board considered the advisory and sub-advisory fees to be paid under the
Agreements. The Board reviewed data prepared by Lipper Inc. ("Lipper"), an
independent source, showing the proposed advisory fee and the estimated expense
ratio assuming an asset level for the Fund as compared to the advisory fees and
expense ratios of a limited peer group selected by Lipper. The Board noted that
the Fund's proposed advisory fee and estimated expense ratio were below and
above, respectively, the median advisory fee and expense ratio of the peer
group. The Board also reviewed data prepared by the Advisor showing the proposed
advisory fee as compared to an additional group of peer funds. The Board
considered the proposed sub-advisory fee rate and how it would relate to the

Page 23

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ADDITIONAL INFORMATION - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

overall management fee structure of the Fund, noting that the fees to be paid to
the Sub-Advisor would be paid by the Advisor from its advisory fee. The Board
considered the advisory fees charged by the Advisor to other closed-end funds,
and noted that the Advisor provides advisory services to another closed-end fund
for which the Sub-Advisor also acts as the sub-advisor with investment
objectives and policies similar to the Fund that has the same advisory and
sub-advisory fee rates. The Board also considered information provided by the
Sub-Advisor as to the fees it charges to other similar clients, noting that the
sub-advisory fee rate is generally lower than the fee rate charged by the
Sub-Advisor to other similar clients. Since the Fund is newly organized, the
Board did not consider investment performance of the Fund. The Board considered
performance information on the similar closed-end fund overseen by the Board and
managed by the Advisor for which the same portfolio managers of the Sub-Advisor
serve as such. On the basis of all the information provided on the fees and
expenses of the Fund, the Board concluded that the advisory and sub-advisory
fees were reasonable and appropriate in light of the nature, quality and extent
of services expected to be provided by the Advisor and the Sub-Advisor under the
Agreements.

The Board considered the Advisor's representation that the proposed advisory
fees was not structured to pass the benefits of any economies of scale on to
shareholders. The Board noted that the Advisor has continued to invest in
personnel and infrastructure for the Advisor's fund complex and indicated that,
because the Fund is a closed-end fund, the Advisor believed that any discussion
of economies of scale was not material to a discussion of the advisory fee
structure. The Board took the costs to be borne by the Advisor in connection
with its services to be performed under the Advisory Agreement into
consideration and noted that the Advisor was unable to estimate the
profitability of the Advisory Agreement to the Advisor. The Board noted that the
Sub-Advisor commented on its estimated profitability under the Sub-Advisory
Agreement in its written response to the Board and noted that the sub-advisory
fee rate was negotiated at arm's length between the Advisor and the Sub-Advisor,
and that the Sub-Advisor would be paid by the Advisor. The Board considered
fall-out benefits described by the Advisor that may be realized from its
relationship with the Fund, including the Advisor's compensation for fund
reporting services pursuant to a separate Fund Reporting Services Agreement. The
Board also considered the fall-out benefits described by the Sub-Advisor that
may be realized from its relationship with the Fund, including the use of soft
dollars and the ownership interest of an affiliate of the Advisor in the
Sub-Advisor.

Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, determined that the terms of the
Agreements are fair and reasonable and that the approval of the Agreements is in
the best interests of the Fund. No single factor was determinative in the
Board's analysis.

Page 24

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BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

NUMBER OF
PORTFOLIOS IN
THE FIRST TRUST OTHER
NAME, ADDRESS, TERM OF OFFICE FUND COMPLEX TRUSTEESHIPS OR
DATE OF BIRTH AND AND LENGTH OF PRINCIPAL OCCUPATIONS OVERSEEN BY DIRECTORSHIPS
POSITION WITH THE FUND SERVICE (2) DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------

Richard E. Erickson, Trustee o Three-Year Term Physician; President, Wheaton Orthopedics; 82 None
c/o First Trust Advisors L.P. Co-Owner and Co-Director (January 1996
120 East Liberty Drive, o Since Fund to May 2007), Sports Med Center for
Suite 400 Inception Fitness; Limited Partner, Gundersen Real
Wheaton, IL 60187 Estate Limited Partnership; Member,
D.O.B.: 04/51 Sportsmed LLC

Thomas R. Kadlec, Trustee o Three-Year Term President (March 2010 to Present), Senior 82 Director of ADM
c/o First Trust Advisors L.P. Vice President and Chief Financial Officer Investor Services,
120 East Liberty Drive, o Since Fund (May 2007 to March 2010), Vice President Inc. and ADM
Suite 400 Inception and Chief Financial Officer (1990 to May Investor Services
Wheaton, IL 60187 2007), ADM Investor Services, Inc. (Futures International
D.O.B.: 11/57 Commission Merchant)

Robert F. Keith, Trustee o Three-Year Term President (2003 to Present), Hibs 82 Director of Trust
c/o First Trust Advisors L.P. Enterprises (Financial and Management Company of
120 East Liberty Drive, o Since Fund Consulting) Illinois
Suite 400 Inception
Wheaton, IL 60187
D.O.B.: 11/56

Niel B. Nielson, Trustee o Three-Year Term President (June 2002 to Present), Covenant 82 Director of
c/o First Trust Advisors L.P. College Covenant
120 East Liberty Drive, o Since Fund Transport Inc.
Suite 400 Inception
Wheaton, IL 60187
D.O.B.: 03/54

------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen, Trustee, o Three-Year Chief Executive Officer (December 2010 82 None
President, Chairman of the Board Trustee Term to Present), President, (until December
and CEO(1) Indefinite 2010), First Trust Advisors L.P. and First
120 East Liberty Drive, Officer Term Trust Portfolios L.P.; Chairman of the
Suite 400 Board of Directors, BondWave LLC (Software
Wheaton, IL 60187 o Since Fund Development Company/Investment Advisor)
D.O.B.: 09/55 Inception and Stonebridge Advisors LLC (Investment

-------------------
(1) Mr. Bowen is deemed an "interested person" of the Fund due to his position
as Chief Executive Officer of First Trust Advisors L.P., investment
advisor of the Fund.

(2) Currently, Robert F. Keith, as a Class I Trustee, is serving as a trustee
until the Fund's 2014 annual meeting of shareholders. Richard E. Erickson
and Thomas R. Kadlec, as Class II Trustees, are serving as trustees until
the Fund's 2012 annual meeting of shareholders. James A. Bowen and Niel B.
Nielson, as Class III Trustees, are serving as trustees until the Fund's
2013 annual meeting of shareholders. Officers of the Fund have an
indefinite term. The term "officer" means the president, vice president,
secretary, treasurer, controller or any other officer who performs a
policy making function.

Page 25

--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

NAME, ADDRESS POSITION AND OFFICES TERM OF OFFICE AND PRINCIPAL OCCUPATIONS
AND DATE OF BIRTH WITH FUND LENGTH OF SERVICE DURING PAST 5 YEARS

------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES(3)
------------------------------------------------------------------------------------------------------------------------------------

Mark R. Bradley Treasurer, Chief o Indefinite Term Chief Operating Officer (December 2010 to Present)
120 E. Liberty Drive, Financial Officer and and Chief Financial Officer, First Trust Advisors
Suite 400 Chief Accounting Officer o Since Fund Inception L.P. and First Trust Portfolios L.P.; Chief Financial
Wheaton, IL 60187 Officer, BondWave LLC (Software Development
D.O.B.: 11/57 Company/Investment Advisor) and Stonebridge
Advisors LLC (Investment Advisor)

Erin E. Chapman Assistant Secretary o Indefinite Term Assistant General Counsel (October 2007 to
120 E. Liberty Drive, Present), Associate Counsel (March 2006 to October
Suite 400 o Since Fund Inception 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 Portfolios L.P.; Associate Attorney (November 2003
D.O.B.: 08/76 to March 2006), Doyle & Bolotin, Ltd.

James M. Dykas Assistant Treasurer o Indefinite Term Controller (January 2011 to Present), Senior Vice
120 E. Liberty Drive, President (April 2007 to January 2011), Vice
Suite 400 o Since Fund Inception President (January 2005 to April 2007), First Trust
Wheaton, IL 60187 Advisors L.P. and First Trust Portfolios L.P.
D.O.B.: 01/66

Roseanne Gatta Assistant Secretary o Indefinite Term Board Liaison Associate (July 2010 to Present), First
120 E. Liberty Drive, Trust Advisors L.P. and First Trust Portfolios L.P.;
Suite 400 o Since Fund Inception Assistant Vice President (February 2001 to July
Wheaton, IL 60187 2010), PNC Global Investment Services
D.O.B.: 07/55

Christopher R. Fallow Assistant Vice President o Indefinite Term Assistant Vice President (August 2006 to Present),
120 E. Liberty Drive, Associate (January 2005 to August 2006), First Trust
Suite 400 o Since Fund Inception Advisors L.P. and First Trust Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 04/79

W. Scott Jardine Secretary o Indefinite Term General Counsel, First Trust Advisors L.P., First
120 E. Liberty Drive, Trust Portfolios L.P. and BondWave LLC
Suite 400 o Since Fund Inception (Software Development Company/Investment
Wheaton, IL 60187 Advisor): Secretary of Stonebridge Advisors LLC
D.O.B.: 05/60 (Investment Advisor)

Daniel J. Lindquist Vice President o Indefinite Term Senior Vice President (September 2005 to
120 E. Liberty Drive, Present), First Trust Advisors L.P. and First Trust
Suite 400 o Since Fund Inception Portfolios L.P.
Wheaton, IL 60187
D.O.B.: 02/70

Coleen D. Lynch Assistant Vice President o Indefinite Term Assistant Vice President (January 2008 to Present),
120 E. Liberty Drive, First Trust Advisors L.P. and First Trust Portfolios
Suite 400 o Since Fund Inception L.P.; Vice President (May 1998 to January 2008),
Wheaton, IL 60187 Van Kampen Asset Management and Morgan
D.O.B.: 07/58 Stanley Investment Management

Kristi A. Maher Assistant Secretary and o Indefinite Term Deputy General Counsel (May 2007 to Present),
120 E. Liberty Drive, Chief Compliance Officer o Assistant Secretary Assistant General Counsel (March 2004 to May
Suite 400 Since Fund Inception 2007), First Trust Advisors L.P. and First Trust
Wheaton, IL 60187 o Chief Compliance Officer Portfolios L.P.
D.O.B.: 12/66 Since January 2011

-------------------
(3) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.

Page 26

--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------

FIRST TRUST ENERGY INFRASTRUCTURE FUND
NOVEMBER 30, 2011 (UNAUDITED)

The open-end and closed-end funds advised by First Trust Advisors L.P. (each a
"Fund") value our relationship with you and consider 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:

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

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

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

o 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:

o 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.

o 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 with affiliates of the Fund.

PRIVACY ONLINE

We allow third-party companies, including AddThis, to collect certain anonymous
information when you visit our website. These companies may use non-personally
identifiable information during your visits to this and other websites in order
to provide advertisements about goods and services likely to be of greater
interest to you. These companies typically use a cookie, third party web beacon
or pixel tags, to collect this information. To learn more about this behavioral
advertising practice, you can visit www.networkadvertising.org.

CONFIDENTIALITY AND SECURITY

With regard to our internal security procedures, we restrict access to your
nonpublic personal information to those individuals 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).

Page 27

This Page Left Blank Intentionally.

FIRST TRUST

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 E. Liberty Drive, Suite 400
Wheaton, IL 60187

INVESTMENT SUB-ADVISOR
Energy Income Partners, LLC
49 Riverside Avenue
Westport, CT 06880

ADMINISTRATOR,
FUND ACCOUNTANT &
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809

CUSTODIAN
The Bank of New York Mellon
1 Wall Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603

[BLANK BACK COVER]

ITEM 2. CODE OF ETHICS.

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

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

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

As of the end of the period covered by the report, the Registrant's board of
trustees has determined that Thomas

R. Kadlec and Robert F. Keith are qualified to serve as audit committee
financial experts serving on its audit committee and that each of them is
"independent," as defined by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Audit Fees (Registrant) -- The aggregate fees billed from Registrant's
inception on September 27, 2011 through November 30, 2011 for professional
services rendered by the principal accountant for the audit of the Registrant's
annual financial statements or services that are normally provided by the
accountant in connection with statutory and regulatory filings or engagements
for such fiscal year were $2,000.

(b) Audit-Related Fees (Registrant) -- The aggregate fees billed from
Registrant's inception on September 27, 2011 through November 30, 2011 for
assurance and related services by the principal accountant that are reasonably
related to the performance of the audit of the Registrant's financial statements
and are not reported under paragraph (a) of this Item were $0.

Audit-Related Fees (Investment Adviser) -- The aggregate fees billed
from Registrant's inception on September 27, 2011 through November 30, 2011 for
assurance and related services by the principal accountant that are reasonably
related to the performance of the audit of the Registrant's financial statements
and are not reported under paragraph (a) of this Item were $21,000. These were
for the organizational and offering fees of the Registrant.

(c) Tax Fees (Registrant) -- The aggregate fees billed from Registrant's
inception on September 27, 2011 through November 30, 2011 for professional
services rendered by the principal accountant for tax compliance, tax advice,
and tax planning to the Registrant were $0.

Tax Fees (Investment Adviser) -- The aggregate fees billed from
Registrant's inception on September 27, 2011 through November 30, 2011 for
professional services rendered by the principal accountant for tax compliance,
tax advice, and tax planning to the Registrant's investment adviser were $0.

(d) All Other Fees (Registrant) -- The aggregate fees billed from
Registrant's inception on September 27, 2011 through November 30, 2011 for
products and services provided by the principal accountant to the Registrant,
other than the services reported in paragraphs (a) through (c) of this Item were
$0.

All Other Fees (Investment Adviser) -- The aggregate fees billed from
Registrant's inception on September 27, 2011 through November 30, 2011 for
products and services provided by the principal accountant to the Registrant's
investment adviser, other than services reported in paragraphs (a) through (c)
of this Item were $0.

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

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

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

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

(b) 0%

(d) 0%

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

(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the Registrant from Registrant's
inception on September 27, 2011 through November 30, 2011 were $0 for the
Registrant and $2,480 for the Registrant's investment adviser.

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

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

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

ITEM 6. INVESTMENTS.

(a) Schedule of Investments in securities of unaffiliated issuers as of
the close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this form.

(b) Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

PROXY VOTING POLICIES AND PROCEDURES

If an adviser exercises voting authority with respect to client securities,
Advisers Act Rule 206(4)-6 requires the adviser to adopt and implement written
policies and procedures reasonably designed to ensure that client securities are
voted in the best interest of the client. This is consistent with legal
interpretations which hold that an adviser's fiduciary duty includes handling
the voting of proxies on securities held in client accounts over which the
adviser exercises investment or voting discretion, in a manner consistent with
the best interest of the client.

Absent unusual circumstances, EIP exercises voting authority with respect to
securities held in client accounts pursuant to provisions in its advisory
agreements. Accordingly, EIP has adopted these policies and procedures with the
aim of meeting the following requirements of Rule 206(4)-6:

o ensuring that proxies are voted in the best interest of clients;

o addressing material conflicts that may arise between EIP's interests
and those of its clients in the voting of proxies;

o disclosing to clients how they may obtain information on how EIP
voted proxies with respect to the client's securities;

o describing to clients EIP's proxy voting policies and procedures
and, upon request, furnishing a copy of the policies and procedures
to the requesting client.

ENGAGEMENT OF RISKMETRICS GROUP

With the aim of ensuring that proxies are voted in the best interest of EIP
clients, EIP has engaged RiskMetrics Group ("RiskMetrics"), formerly known as
Institutional Shareholder Services, as its independent proxy voting service to
provide EIP with proxy voting recommendations, as well as to handle the
administrative mechanics of proxy voting. EIP has directed RiskMetrics to
utilize its Proxy Voting Guidelines in making recommendations to vote, as those
guidelines may be amended from time to time.

CONFLICTS OF INTEREST IN PROXY VOTING

There may be instances where EIP's interests conflict, or appear to conflict,
with client interests in the voting of proxies. For example, EIP may provide
services to, or have an investor who is a senior member of, a company whose
management is soliciting proxies. There may be a concern that EIP would vote in
favor of management because of its relationship with the company or a senior
officer. Or, for example, EIP (or its senior executive officers) may have
business or personal relationships with corporate directors or candidates for
directorship.

EIP addresses these conflicts or appearances of conflicts by ensuring that
proxies are voted in accordance with the recommendations made by RiskMetrics, an
independent third party proxy voting service. As previously noted, in most
cases, proxies will be voted in accordance with RiskMetrics's own pre-existing
proxy voting guidelines.

DISCLOSURE ON HOW PROXIES WERE VOTED

EIP will disclose to clients in its Form ADV how clients can obtain information
on how their proxies were voted, by contacting EIP at its office in Westport,
CT. EIP will also disclose in the ADV a summary of these proxy voting policies
and procedures and that upon request, clients will be furnished a full copy of
these policies and procedures.

It is the responsibility of the CCO to ensure that any requests made by clients
for proxy voting information are responded to in a timely fashion and that a
record of requests and responses are maintained in EIP's books and records.

PROXY MATERIALS

EIP personnel will instruct custodians to forward to RiskMetrics all proxy
materials received on securities held in EIP client accounts.

LIMITATIONS

In certain circumstances, where EIP has determined that it is consistent with
the client's best interest, EIP will not take steps to ensure that proxies are
voted on securities in the client's account. The following are circumstances
where this may occur:

*Limited Value: Proxies will not be required to be voted on securities in
a client's account if the value of the client's economic interest in the
securities is indeterminable or insignificant (less than $1,000). Proxies will
also not be required to be voted for any securities that are no longer held by
the client's account.

*Securities Lending Program: When securities are out on loan, they are
transferred into the borrower's name and are voted by the borrower, in its
discretion. In most cases, EIP will not take steps to see that loaned securities
are voted. However, where EIP determines that a proxy vote, or other shareholder
action, is materially important to the client's account, EIP will make a good
faith effort to recall the security for purposes of voting, understanding that
in certain cases, the attempt to recall the security may not be effective in
time for voting deadlines to be met.

*Unjustifiable Costs: In certain circumstances, after doing a cost-benefit
analysis, EIP may choose not to vote where the cost of voting a client's proxy
would exceed any anticipated benefits to the client of the proxy proposal.

OVERSIGHT OF POLICY

The CCO is responsible for overseeing these proxy voting policies and
procedures. In addition, the CCO will review these policies and procedures not
less than annually with a view to determining whether their implementation has
been effective and that they are operating as intended and in such a fashion as
to maintaining EIP's compliance with all applicable requirements.

RECORDKEEPING ON PROXIES

In it the responsibility of EIP's CCO to ensure that the following proxy
voting records are maintained:

o a copy of EIP's proxy voting policies and procedures;

o a copy of all proxy statements received on securities in client
accounts (EIP may rely on RiskMetrics or the SEC's EDGAR system to
satisfy this requirement);

o a record of each vote cast on behalf of a client (EIP relies on
RiskMetrics to satisfy this requirement);

o a copy of any document prepared by EIP that was material to making a
voting decision or that memorializes the basis for that decision;

o a copy of each written client request for information on how proxies
were voted on the client's behalf or for a copy of EIP's proxy
voting policies and procedures, and

o a copy of any written response to any client request for information
on how proxies were voted on their behalf or furnishing a copy of
EIP's proxy voting policies and procedures.

The CCO will see that these books and records are made and maintained in
accordance with the requirements and time periods provided in Rule 204-2 of the
Advisers Act.

For any registered investment companies advised by EIP, votes made on its behalf
will be stored electronically or otherwise recorded so that they are available
for preparation of the Form N-PX, Annual Report of Proxy Voting Record of
Registered Management Investment Company.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(a)(1) IDENTIFICATION OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS AND
DESCRIPTION OF ROLE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

Information provided as of February 1, 2012.

James Murchie, Chief Executive Officer and Founder of Energy Income Partners,
LLC ("EIP" or "Sub-Advisor"), and Eva Pao, principal of EIP, are co-portfolio
managers responsible for the day-to-day management of the registrant's
portfolio. Both portfolio managers have served in such capacity for the Fund for
38 months.

JAMES J. MURCHIE
Founder and CEO of Energy Income Partners, LLC

Mr. Murchie founded EIP in 2003 and is the portfolio manager for all funds
advised by EIP which focus on energy-related master limited partnerships, income
trusts and similar securities. From 2005 to mid-2006, Mr. Murchie and the EIP
investment team joined Pequot Capital Management. In July 2006, Mr. Murchie and
the EIP investment team left Pequot and re-established EIP. From 1998 to 2003,
Mr. Murchie managed a long/short fund that invested in energy and cyclical
equities and commodities. From 1995 to 1997, he was a managing director at Tiger
Management where his primary responsibilities were investments in energy,
commodities and related equities. From 1990 to 1995, Mr. Murchie was a principal
at Sanford C. Bernstein where he was a top-ranked energy analyst and sat on the
Research Department's Recommendation Review Committee. Before joining Bernstein,
he spent 8 years at British Petroleum in 7 operating and staff positions of
increasing responsibility. He has served on the board of Clark Refining and
Marketing Company and as President and Treasurer of the Oil Analysts Group of
New York. Mr. Murchie holds degrees from Rice University and Harvard University.

EVA PAO
Principal of Energy Income Partners, LLC

(a)(2) OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER AND POTENTIAL CONFLICTS OF
INTEREST

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER

Information provided as of November 30, 2011.

------------------------- ----------------- -------------- --------------- ------------------------ -----------------------
# of Accounts Managed Total Assets for which
Total # of for which Advisory Fee Advisory Fee is Based
Name of Portfolio Type of Accounts Total Assets is Based on on Performance
Manager or Team Member Accounts Managed (millions) Performance (millions)
------------------------- ----------------- -------------- --------------- ------------------------ -----------------------

1. James Murchie Registered 2 $592 mill 0 $0
Investment
Companies:
----------------- -------------- --------------- ------------------------ -----------------------
Other Pooled
Investment
Vehicles: 3 $151 mill 3 $151 mill
----------------- -------------- --------------- ------------------------ -----------------------
Other Accounts: 380 $267 mill 2 $39
------------------------- ----------------- -------------- --------------- ------------------------ -----------------------
Registered
Investment
2. Eva Pao Companies: 2 $592 mill 0 $0
----------------- -------------- --------------- ------------------------ -----------------------
Other Pooled
Investment
Vehicles: 3 $151 mill 3 $151 mill
----------------- -------------- --------------- ------------------------ -----------------------
Other Accounts: 380 $267 mill 2 $39
------------------------- ----------------- -------------- --------------- ------------------------ -----------------------

POTENTIAL CONFLICTS OF INTERESTS

The EIP investment professionals that serve as portfolio managers of the
registrant also serve as portfolio managers to three private investment funds
(the "Private Funds"), each of which has a performance-based fee, one open-ended
mutual fund, and 380 separately managed accounts, 2 of which have a
performance-based fee.

EIP has written policies and procedures regarding Order Aggregation and
Allocation to ensure that all accounts are treated fairly and equitably and that
no account is disadvantaged. EIP will generally execute client transactions on
an aggregated basis when the Firm believes that to do so will allow it to obtain
best execution and to negotiate more favorable commission rates or avoid certain
transaction costs that might have otherwise been paid had such orders been
placed independently. EIP's ability to implement this may be limited by an
Account's custodian, directed brokerage arrangements or other constraints
limiting EIP's use of a common executing broker.

An aggregated order may be allocated on a basis different from that specified
herein provided all clients receive fair and equitable treatment and there is a
legitimate reason for the different allocation. Reasons for deviation may
include (but are not limited to): a client's investment guidelines and
restrictions, available cash, liquidity requirements, leverage targets,
rebalancing total risk exposure across all clients, tax or legal reasons, and to
avoid odd-lots or in cases when a normal allocation would result in a de minimis
allocation to one or more clients.

(a)(3) COMPENSATION STRUCTURE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
MEMBERS

Information provided as of February 1, 2012.

The portfolio managers are compensated by a competitive minimum base salary and
share in the profits of EIP in relationship to their ownership of EIP. The
profits of EIP are influenced by the assets managed by the funds and the
performance of the funds. While a portion of the portfolio manager's
compensation is tied to performance through incentive fees earned through the
Private Funds, the portfolio managers are not incentivized to take undue risk in
circumstances when the funds' performance lags as their investment fees may
sometimes have a high water mark or be subject to a hurdle rate. Moreover, the
Registrant's portfolio managers are the principal owners of EIP and are
incentivized to maximize the long-term performance of all of its funds. The
compensation of the Portfolio team members is determined according to prevailing
rates within the industry for similar positions. EIP wishes to attract, retain
and reward high quality personnel through competitive compensation.

(a)(4) DISCLOSURE OF SECURITIES OWNERSHIP

Information provided as of November 30, 2011.

Dollar Range of Fund Shares
Name Beneficially Owned
------------- ---------------------------
James Murchie $0
Eva Pao $0

(b) Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

At the Registrant's organizational meeting, the Registrant's Board of Trustees
adopted a Nominating and Governance Committee Charter which includes procedures
by which shareholders may recommend nominees to the Registrant's Board of
Trustees as described below:

Any proposal to elect any person nominated by shareholders for election as
trustee may only be brought before an annual meeting of the Registrant if timely
written notice (the "Shareholder Notice") is provided to the secretary of the
Registrant. Unless a greater or lesser period is required under applicable law,
to be timely, the Shareholder Notice must be delivered to or mailed and received
at Registrant's address, 120 East Liberty Drive, Suite 400, Wheaton, Illinois
60187, Attn: W. Scott Jardine, not less than forty-five (45) days nor more than
sixty (60) days prior to the first anniversary date of the date of the
Registrant's proxy statement released to shareholders for the prior year's
annual meeting; provided, however, if and only if the annual meeting is not
scheduled to be held within a period that commences thirty (30) days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty (30) days after such anniversary date (an annual meeting date outside
such period being referred to herein as an "Other Annual Meeting Date"), such
Shareholder Notice must be given in the manner provided herein by the later of
the close of business on (i) the date forty-five (45) days prior to such Other
Annual Meeting Date or (ii) the tenth (10th) business day following the date
such Other Annual Meeting Date is first publicly announced or disclosed.

Any shareholder submitting a nomination of any person or persons (as the case
may be) for election as a trustee or trustees of the Registrant shall deliver,
as part of such Shareholder Notice: (i) a statement in writing setting forth (A)
the name, age, date of birth, business address, residence address and
nationality of the person or persons to be nominated; (B) the class or series
and number of all shares of the Registrant owned of record or beneficially by
each such person or persons, as reported to such shareholder by such nominee(s);
(C) any other information regarding each such person required by paragraphs (a),
(d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of
Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as
amended (the "Exchange Act") (or any successor provision thereto); (D) any other
information regarding the person or persons to be nominated that would be
required to be disclosed in a proxy statement or other filings required to be
made in connection with solicitation of proxies for election of trustees or
directors pursuant to Section 14 of the Exchange Act and the rules and
regulations promulgated thereunder; and (E) whether such shareholder believes
any nominee is or will be an "interested person" of the Registrant (as defined
in the Investment Company Act of 1940) and, if not an "interested person,"
information regarding each nominee that will be sufficient for the Registrant to
make such determination; and (ii) the written and signed consent of any person
to be nominated to be named as a nominee and to serve as a trustee if elected.
In addition, the trustees may require any proposed nominee to furnish such other
information as they may reasonably require or deem necessary to determine the
eligibility of such proposed nominee to serve as a trustee.

Without limiting the foregoing, any shareholder who gives a Shareholder Notice
of any matter proposed to be brought before a shareholder meeting (whether or
not involving nominees for trustees) shall deliver, as part of such Shareholder
Notice: (i) the description of and text of the proposal to be presented; (ii) a
brief written statement of the reasons why such shareholder favors the proposal;
(iii) such shareholder's name and address as they appear on the Registrant's
books; (iv) any other information relating to the shareholder that would be
required to be disclosed in a proxy statement or other filings required to be
made in connection with the solicitation of proxies with respect to the
matter(s) proposed pursuant to Section 14 of the Exchange Act; (v) the class or
series and number of all shares of the Registrant owned beneficially and of
record by such shareholder; (vi) any material interest of such shareholder in
the matter proposed (other than as a shareholder); (vii) a representation that
the shareholder intends to appear in person or by proxy at the shareholder
meeting to act on the matter(s) proposed; (viii) if the proposal involves
nominee(s) for trustees, a description of all arrangements or understandings
between the shareholder and each proposed nominee and any other person or
persons (including their names) pursuant to which the nomination(s) are to be
made by the shareholder; and (ix) in the case of a shareholder (a "Beneficial
Owner") that holds shares entitled to vote at the meeting through a nominee or
"street name" holder of record, evidence establishing such Beneficial Owner's
indirect ownership of, and entitlement to vote, shares at the meeting of
shareholders. As used herein, shares "beneficially owned" shall mean all shares
which such person is deemed to beneficially own pursuant to Rules 13d-3 and
13d-5 under the Exchange Act.

A copy of the Nominating and Governance Committee Charter is available on the
Registrant's website at www.ftportfolios.com.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The Registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded
that the Registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as
amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of
a date within 90 days of the filing date of the report that includes
the disclosure required by this paragraph, based on their evaluation
of these controls and procedures required by Rule 30a-3(b) under the
1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b)
under the Securities Exchange Act of 1934, as amended (17 CFR
240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the Registrant's second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect,
the Registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.

(registrant) First Trust Energy Infrastructure Fund
------------------------------------------------

By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and Chief Executive
Officer
(principal executive officer)

Date January 24, 2012
----------------------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.

By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------
Mark R. Bradley, President and Chief Executive
Officer
(principal executive officer)

Date January 24, 2012
----------------------

By (Signature and Title)* /s/ James M. Dykas
------------------------------------------------
James M. Dykas, Treasurer, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)

Date January 24, 2012
----------------------

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