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 811-21496
                                                    ----------------------------

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
--------------------------------------------------------------------------------
               (Exact name of registrant as specified in charter)

                              1001 Warrenville Road
                                    Suite 300
                                 LISLE, IL 60532
--------------------------------------------------------------------------------
               (Address of principal executive offices) (Zip code)

                                W. Scott Jardine
                           First Trust Portfolios, LP
                              1001 Warrenville Road
                                    Suite 300
                                 LISLE, IL 60532
--------------------------------------------------------------------------------
                     (Name and address of agent for service)

        registrant's telephone number, including area code: 630-241-4141
                                                           -------------

                         Date of fiscal year end: MAY 31
                                                 -------

                     Date of reporting period: MAY 31, 2006
                                              -------------

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.

--------------------------------------------------------------------------------
       MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND &
                                INCOME FUND
                      SEMI ANNUAL REPORT DATED MAY 31, 2006
--------------------------------------------------------------------------------


--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------

        MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND &
                                INCOME FUND (MFD)
                                  MAY 31, 2006

Shareholder Letter .........................................................   1
Portfolio Commentary .......................................................   2
Portfolio of Investments ...................................................   5
Statement of Assets and Liabilities ........................................  10
Statement of Operations ....................................................  11
Statements 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 ....................  19
Additional Information .....................................................  20
    Dividend Reinvestment Plan
    Proxy Voting Policies and Procedures
    Portfolio Holdings
    By-Law Amendments
    NYSE Certification Information
    Tax Information
    Advisory Agreement
Board of Trustees and Officers .............................................  24

                  CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This Annual Report contains certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933. Forward-looking statements
include statements regarding the goals, beliefs, plans or current expectations
of First Trust Advisors L.P. (the "Advisor") and/or Macquarie Fund Adviser, LLC
("MFA") 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 Macquarie/First Trust Global
Infrastructure/Utilities Dividend & Income Fund's (the "Fund") actual results,
performance or achievements 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 Annual Report, you
are cautioned not to place undue reliance on these forward-looking statements,
which reflect the judgment of the Advisor and/or MFA 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.

                             HOW TO READ THIS REPORT

This report contains information that can 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 letter from the Fund's President, James A. Bowen, together with
the portfolio commentary by Jon Fitch, Portfolio Manager of MFA, one of the
Fund's sub-advisors, you will obtain an understanding of how the market
environment affected the Fund's performance. The statistical information that
follows can 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 Mr. Bowen,
personnel of the Advisor, MFA and Four Corners Capital Management, LLC, the
Fund's other sub-advisor, are just that: informed opinions. They should not be
considered to be promises or advice. The opinions, like the statistics, cover
the period through the date on the cover of this report. Of course, the risks of
investing in the Fund are spelled out in the prospectus.

INVESTMENTS IN THE FUND ARE NOT DEPOSITS WITH OR OTHER LIABILITIES OF MACQUARIE
BANK LIMITED ACN 008 583 542, OR ANY ENTITY IN THE MACQUARIE BANK GROUP, AND ARE
SUBJECT TO INVESTMENT RISK, INCLUDING POSSIBLE DELAYS IN REPAYMENT AND LOSS OF
INCOME AND CAPITAL INVESTED. NONE OF MACQUARIE BANK LIMITED, MACQUARIE FUND
ADVISER, LLC, FOUR CORNERS CAPITAL MANAGEMENT, LLC, AND ANY MEMBER COMPANY OF
THE MACQUARIE BANK GROUP GUARANTEES ANY PARTICULAR RATE OF RETURN OR THE
PERFORMANCE OF THE FUND, NOR DO THEY GUARANTEE THE REPAYMENT OF CAPITAL FROM THE
FUND OR ANY TAX TREATMENT OF ANY DISTRIBUTION BY THE FUND.



--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------

        MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND &
                                INCOME FUND (MFD)
                                  ANNUAL REPORT
                                  MAY 31, 2006

Dear Shareholder:

We are pleased to present you with this annual report of the Macquarie/First
Trust Global Infrastructure/Utilities Dividend & Income Fund (the "Fund") (NYSE
Symbol: MFD). Over the one-year period ended May 31, 2006, the Fund posted solid
returns to shareholders. Despite continued interest rate increases, the Fund
achieved gains in both market price and net asset value and outperformed its
benchmark index, the S&P U.S. Utilities Accumulation Index.

As you know, the Fund's investment objective is to seek a high level of current
return consisting of dividends, interest and other similar income while
attempting to preserve capital. The Fund is composed of two components. The
"Core Component" consists primarily of equity and equity-like securities issued
by infrastructure issuers and the "Senior Loan Component" is comprised of
infrastructure senior secured floating-rate loans.

Macquarie Fund Adviser, LLC ("MFA"), a member of the Macquarie group of
companies, continues to manage the Core Component of the Fund. Four Corners
Capital Management, LLC ("Four Corners") continues to manage the Fund's assets
within the Senior Loan Component of the portfolio. Both firms are leaders in
their respective areas of portfolio management.

This report contains a portfolio commentary, including a recap of the Fund's
performance results, a listing of the Fund's investments and other financial
statements for the reporting period. I encourage you to read the portfolio
commentary, which includes more details of the Fund's performance and the
investment strategy.

We value our relationship with our shareholders and thank you for your continued
confidence.

Sincerely,


/s/ James A. Bowen

James A. Bowen
President of the Macquarie/First Trust Global Infrastructure/Utilities Dividend
& Income Fund
July 14, 2006


                                                                          Page 1


JON FITCH
CHIEF EXECUTIVE OFFICER, MACQUARIE FUND ADVISER, LLC
CO-PORTFOLIO MANAGER, MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES
DIVIDEND & INCOME FUND (MFD)

Mr. Fitch has been active in the analysis of infrastructure and utilities stocks
since 1997 and has over eighteen years' business experience encompassing
business management, equity analysis, strategic consulting and banking.

Mr. Fitch is a co-portfolio manager and lead analyst for the "Core Component" of
MFD, which consists primarily of equity securities and equity-like securities
issued by infrastructure issuers. Mr. Fitch is also a portfolio manager for
three additional Macquarie Infrastructure funds: another U.S. closed-end fund
and two Australian open-end funds.

From 1997 to 2000, Mr. Fitch led the equity research coverage of the
infrastructure and utilities sector in Australia for Macquarie Securities
Limited ("MSL"), a wholly owned subsidiary of Macquarie Bank Limited ("MBL").
From 2001 to 2003, Mr. Fitch was located in Hong Kong, where he was responsible
for establishing a Hong Kong based equity research team and research coverage
for a number of Asian infrastructure and utility companies. Mr. Fitch returned
to Australia in mid 2003 where he was responsible for coverage of Australian
utilities and energy stocks for MSL. In February 2004, Mr. Fitch was named Chief
Executive Officer, Macquarie Fund Adviser, LLC.

Mr. Fitch has a Bachelor of Commerce in Marketing from the University of NSW
Sydney, a Masters of Business in Accounting and Finance from the University of
Technology Sydney and a Graduate Diploma in Applied Finance and Investment from
the Securities Institute of Australia. Mr. Fitch is also a Fellow of the
Financial Services Institute of Australasia.

--------------------------------------------------------------------------------
                              PORTFOLIO COMMENTARY
--------------------------------------------------------------------------------

OVERVIEW:

The Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund
("MFD" or the "Fund") posted a market price total return of 11.5% for the twelve
months ended May 31, 2006. The Fund's net asset value ("NAV") total return was
13.5% over the same period.

During the twelve-month period ended May 31, 2006, the Fund paid distributions
from net investment income totaling $1.65 per share, representing a yield of
7.8% based on the Fund's market price and 6.9% based on the Fund's NAV, each as
of May 31, 2006. In addition to the net investment income distributions paid
during the twelve-month period, the Fund also paid annual capital gain
distributions totaling $0.63 per share in December 2005.

The following commentary reviews MFD's overall investment strategy, performance
and portfolio composition as of May 31, 2006.

INVESTMENT STRATEGY:

MFD's investment objective is to seek a high level of current return consisting
of dividends, interest and other similar income while attempting to preserve
capital. In pursuing this objective, MFD's investments will focus predominantly
on securities of companies involved in the management, ownership and/or
operation of infrastructure and utility assets.

Under normal market conditions, MFD will seek to invest more than 50% of the
Fund's total assets outside of the U.S. These investments will focus on
developed economies. First Trust Advisors L.P. ("First Trust" or the "Advisor"),
Macquarie Fund Adviser LLC ("MFA") and Four Corners Capital Management, LLC
("Four Corners"), collectively the sub-advisors, believe that international
diversity has two major benefits for investors. First, it gives investors
exposure to the fundamentals of different economies, providing diversity against
U.S. domiciled investments. Second, by investing in select developed economies,
MFD should be able to provide investors with exposure to a much broader range of
infrastructure/utility businesses.

The Fund is comprised of two components: The "Core Component," consisting
primarily of equity and equity-like securities issued by infrastructure issuers,
and the "Senior Loan Component," comprised of U.S. dollar denominated senior
secured floating-rate loans of infrastructure issuers. The Core Component is
funded by the issuance of equity, while the Senior Loan Component is funded by a
revolving credit facility. This provides a unique leverage structure for the
Fund, whereby the floating rate nature of the revolving credit facility has been
matched to the floating rate nature of the senior secured loans. This is
intended to protect the Fund against rising interest rates.


Page 2


--------------------------------------------------------------------------------
                       PORTFOLIO COMMENTARY - (CONTINUED)
--------------------------------------------------------------------------------

PERFORMANCE:

Despite the impact of ongoing interest rate concerns, MFD still managed to post
solid returns to shareholders. For the twelve months ended May 31, 2006, MFD
generated a market price total return of 11.5% and an NAV total return of 13.5%.
These returns compare favorably to the 9.4% gain posted by the S&P U.S.
Utilities Accumulation Index (in U.S. dollars).

Consistent with the overall strategy of the Fund, equity investments in the Core
Component of MFD remained focused on the U.K., Australia and Canada. As such,
the Fund gained an advantage from its exposure to U.K. water utilities and
merger and acquisition activity within the U.K./European infrastructure space,
and subsequently outperformed the S&P U.S. Utilities Accumulation Index. MFD did
not, however, benefit directly from higher energy prices, which aided
competitive utility-type businesses, given its limited exposure to these types
of companies. The Fund continues to focus on non-competitive types of businesses
for investment opportunities as MFA believes these operations provide better
income predictability. With regard to the Fund's U.K. investments, MFD's water
utility investments continued to benefit from improved operational performance
and earnings which followed the finalization of the U.K. water regulatory review
process in 2004. The share price performance for a number of water companies
exceeded 10% (in local currency terms) during the period. This sector remains a
focus for the Fund as it provides solid low-risk cash yields.

During the twelve-month period ended May 31, 2006, the Fund significantly
increased its exposure in Australia from 6% to 17% through investments in
tollroads (Transurban Group) and diversified infrastructure businesses (Babcock
& Brown Infrastructure Group and initial public offerings of Spark
Infrastructure Group and SP AusNet in December 2005). MFA believes these
companies offer attractive investment qualities - strong strategic positions
with sustainable and growing cash flow streams.

In Canada, investments within the Core Component of the portfolio represented a
diverse mix of infrastructure assets, including diversified consumer services,
contracted power generation and pipelines. Over the period, the strongest price
performer was Pembina Pipeline (up 17%), which benefitted from developments in
the Western Canadian Oil Sands Basin.

With respect to the U.S., MFD has shifted its focus away from utilities and
towards pipeline infrastructure companies with high components of fee-based
income (via Master Limited Partnerships). Over the period, the Fund decreased
its weighting in the U.S. from 10% to 8%. Magellan Midstream Partners L.P.
represented 2.2% of the portfolio, the Fund's largest U.S. position at May 31,
2006.

Overall currency movements had a positive influence on NAV during the twelve
months ended May 31, 2006. Over this period, the U.S. dollar was down 12%
against the Canadian dollar, down 4% against the Euro, down 3% against the
British Pound, up 11% against the New Zealand dollar and up 1% against the
Australian dollar. Additionally, the U.S. Dollar Index (an indicator of
movements against a basket of non-U.S. currencies) was down about 4% over the
period.

It should be noted that a negative movement in the U.S. dollar has a positive
impact for MFD's NAV/yield (i.e., the value of the Fund's offshore holdings
increases as foreign sourced income streams become more valuable in U.S.
dollars). As of May 31, 2006, MFD's largest country weightings were in the U.K.
(21%), Australia (17%) and Canada (15%).

SENIOR LOANS

The performance of the Senior Loan Component of the portfolio met expectations
during the fiscal year ended May 31, 2006. The Senior Loan Component of the Fund
is invested in U.S. dollar-denominated senior secured floating-rate corporate
loans, primarily in the global utilities, infrastructure and related industries.
In general, the senior loan market performed well during the year. The U.S.
economy continued to perform well and default rates in the senior loan market
remained at historically low levels.

The senior loan component is intended to help provide the Fund with a stable
income stream from which to pay dividends. As floating rate debt instruments
whose interest rates are set at a credit spread (the risk premium) over
short-term interest rates, senior loans tend to benefit from rising interest
rates, subject to approximately a 60 to 90 day lag, as their yields typically
increase in similar proportion. Additionally, because of the short lag between
when short-term rates increase and the interest rate on the loan resets, there
is typically limited, if any, negative impact on loan prices from interest rate
increases.


                                                                          Page 3


--------------------------------------------------------------------------------
                       PORTFOLIO COMMENTARY - (CONTINUED)
--------------------------------------------------------------------------------

PORTFOLIO COMPOSITION:

As of May 31, 2006, the Core Component represented 73.5% of the Fund's total
investments and the Senior Loan Component 26.5%. With respect to the Core
Component, the Fund had investments in 28 equity/equity-like securities as of
May 31, 2006, providing both geographic and industry diversity. With respect to
the Senior Loan Component, the Fund had invested in 48 senior secured loan
facilities spread across a number of infrastructure-related industries. The
portfolio components of the Fund as of May 31, 2006, are summarized in the
charts below.

INDUSTRY DIVERSIFICATION+

  [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]

Water-Utilities                                                            21.2%
Electric-Utilities                                                         12.4%
Diversified Consumer Services                                               7.7%
Multi-Utilities                                                             2.8%
Gas-Pipelines                                                              14.9%
Power Generation                                                            4.3%
Gas-Utilities                                                               4.2%
Transportation Infrastructure                                               6.0%
Senior Floating Rate Interests                                             26.5%

COUNTRY DIVERSIFICATION+

  [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]

Australia                                                                  16.8%
Canada                                                                     14.5%
United Kingdom                                                             21.2%
Italy                                                                       6.0%
New Zealand                                                                 3.1%
Spain                                                                       4.0%
United States                                                               7.9%
Senior Secured Loans                                                       26.5%

      +     Percentages are based on total investments. Please note that the
            percentages shown on the Portfolio of Investments are based on net
            assets.

OUTLOOK

MFA continues to see interest rate uncertainties persisting over the near term.
Nevertheless, MFA believes that while the Fund remains exposed to broader market
concerns, investors can be reassured by the following aspects of the MFD
portfolio:

      o     DIVERSIFICATION - Investments within the MFD portfolio are spread
            across both a number of countries (thereby limiting interest rate
            exposure of the portfolio to any specific country) and various
            infrastructure businesses (offering exposure to companies operating
            with differing fundamentals).

      o     SUSTAINABILITY - A significant part of the MFA investment process
            involves measuring the sustainability of a company's cash flows.
            This includes determining the impact of higher interest rates on
            underlying fundamentals.

Notwithstanding the near-term interest rate concerns, MFA continues to highlight
the themes noted in the MFD Semi-Annual Report (for the six-months ended
November 30, 2005). These themes, which continue to provide the Fund with an
attractive investment environment, include industry consolidation and increased
investment in gas and electricity transmission infrastructure in the U.S.
Resulting from legislative changes; new energy infrastructure projects in North
America; sector consolidation, regulatory reform, new asset privatizations and
capital management initiatives in the U.K. and Europe; and further new listings
in Australia and New Zealand.

MFA remains positive about the growth prospects for the infrastructure sector
and is confident that MFD is well positioned to participate in this growth.


Page 4


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 2006

                                                                     MARKET
   SHARES                      DESCRIPTIONo                          VALUE
------------  ----------------------------------------------     --------------

COMMON STOCKS - 69.8%

     AUSTRALIA - 22.9%
     330,015  Australian Pipeline Trust ....................     $    1,013,656
   4,250,000  Babcock & Brown Infrastructure Group .........          4,956,607
  14,906,607  Envestra Ltd. ................................         12,465,922
   1,717,775  GasNet Australia Group........................          2,955,355
     588,148  Hastings Diversified Utilities Fund ..........          1,182,571
  10,924,022  SP AusNet ++..................................         10,214,566
  10,490,000  Spark Infrastructure Group....................          8,436,099
   1,650,000  Transurban Group..............................          8,320,875
                                                                 --------------
                                                                     49,545,651
                                                                 --------------
     ITALY - 8.1%
     750,000  Enel SPA......................................          6,686,093
   1,613,728  Snam Rete Gas SPA.............................          7,100,099
   1,400,000  Terna SPA.....................................          3,790,749
                                                                 --------------
                                                                     17,576,941
                                                                 --------------
     NEW ZEALAND - 4.3%
   7,000,000  Auckland International Airport Ltd. ..........          9,248,922
                                                                 --------------
     SPAIN - 5.5%
     100,000  Enagas SA.....................................          2,131,025
      60,000  Iberdrola SA..................................          1,925,396
     225,000  Red Electrica de Espana ++....................          7,789,393
                                                                 --------------
                                                                     11,845,814
                                                                 --------------
     UNITED KINGDOM - 29.0%
     700,000  AWG plc.......................................         14,321,856
     575,000  Kelda Group plc...............................          8,113,123
     395,329  Pennon Group plc..............................          9,386,232
     705,149  Severn Trent plc..............................         14,864,604
   1,282,999  United Utilities plc..........................         15,868,812
                                                                 --------------
                                                                     62,554,627
                                                                 --------------
              TOTAL COMMON STOCKS...........................        150,771,955
              (Cost $135,982,749)                                --------------

MASTER LIMITED PARTNERSHIPS - 10.9%

     UNITED STATES - 10.9%
     174,700  Amerigas Partners, L.P. ......................          5,066,300
     135,200  Enbridge Energy Partners, L.P. ...............          5,883,904
     125,000  Kinder Morgan Energy Partners, L.P. ..........          5,900,000
     190,000  Magellan Midstream Partners, L.P. ............          6,581,600
                                                                 --------------

              TOTAL MASTER LIMITED PARTNERSHIPS.............         23,431,804
              (Cost $22,868,333)                                 --------------


                       See Notes to Financial Statements.                 Page 5


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MAY 31, 2006

                                                                     MARKET
   SHARES                      DESCRIPTIONo                          VALUE
------------  ----------------------------------------------     --------------

CANADIAN INCOME TRUSTS - 19.9%

   1,000,300  Northland Power Income Fund ..................     $   12,704,673
     850,300  Pembina Pipeline Income Fund..................         12,544,144
     691,800  The Consumer's Waterheater Income Fund........          8,918,348
     629,200  UE Waterheater Income Fund ...................          8,711,121
                                                                 --------------
              TOTAL CANADIAN INCOME TRUSTS .................         42,878,286
              (Cost $27,018,551)                                 --------------



                                                     BANK LOAN
 PRINCIPAL                                            RATINGS+                          STATED          MARKET
   VALUE               DESCRIPTIONo                MOODY'S   S&P         COUPON        MATURITY*        VALUE
------------  ---------------------------------    --------------     -------------    ---------    --------------
                                                                                       
SENIOR FLOATING RATE TERM LOAN INTERESTS** - 36.2%

     COMMERCIAL SERVICES & SUPPLIES - 2.0%
              ENVIRONMENTAL & FACILITIES SERVICES - 2.0%
$  1,119,236  Duratek, Inc. ...................     B1       BB-       7.94%-8.19%     12/16/09          1,116,438
   1,636,364  Envirocare of Utah, LLC .........    NR(a)    NR(a)         7.85%         4/13/10          1,653,410
   1,500,000  EnviroSolutions Real Property
                 Holdings, Inc. ...............     B2       B-        8.39%-8.54%      7/07/12          1,512,188
                                                                                                    --------------
              TOTAL COMMERCIAL SERVICES & SUPPLIES                                                       4,282,036
                                                                                                    --------------

     DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4%
              INTEGRATED TELECOMMUNICATION SERVICES - 1.4%
   1,000,000  Iowa Telecommunications
                 Services, Inc. ...............     Ba3      BB-       6.40%-6.73%     11/23/11          1,002,708
   1,000,000  Madison River Capital, LLC ......     B1       B+           7.26%         7/30/12          1,004,375
     966,667  Valor Telecommunications
                 Enterprises, LLC .............     Ba3      BB-       6.73%-6.81%      2/14/12            967,185
                                                                                                    --------------
              TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES                                               2,974,268
                                                                                                    --------------

     ELECTRIC UTILITIES - 8.5%
              ELECTRIC UTILITIES - 8.5%
   1,000,000  Astoria Generating Company
                 Acquisitions, LLC (c).........     B3        B           8.69%         8/23/13          1,013,750
     329,066  Calpine Corp.,
                 (Debtor in Possession) (d)....    NR(a)    NR(a)         7.23%        12/20/07            332,219
     829,787  Calpine Corp.,
                 (Debtor in Possession) (c) (d)    NR(a)    NR(a)         8.98%        12/20/07            848,457
     709,545  Cogentrix Delaware
                 Holdings, Inc. ...............     Ba2      BB+          6.50%         4/14/12            710,579
   2,000,000  Coleto Creek WLE, L.P. (c) ......     B1       BB-          8.38%         6/30/12          2,001,250
   2,679,574  Covanta Energy Corp. ............     B1       B+        7.96%-8.08%      6/24/12          2,679,574
     920,820  Midwest Generation, LLC .........     Ba2      BB-       6.50%-6.86%      4/27/11            924,273
     997,500  Mirant North America, LLC .......     Ba3      BB-          6.83%         1/03/13            997,500
   3,000,000  NRG Energy, Inc. ................     Ba2      BB-          6.98%         2/01/13          3,010,782
     881,203  NSG Holdings II, LLC ............     B1       B+           7.98%        12/13/11            891,667
   2,000,000  Plum Point Energy
                 Associates, LLC ..............     B1        B        7.17%-8.34%      3/14/14          2,019,166
   1,892,963  Rocky Mountain Energy
                 Center, LLC ..................     B1        B        9.38%-9.48%      6/24/11          1,949,752



Page 6                 See Notes to Financial Statements.


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MAY 31, 2006



                                                     BANK LOAN
 PRINCIPAL                                            RATINGS+                          STATED          MARKET
   VALUE               DESCRIPTIONo                MOODY'S   S&P         COUPON        MATURITY*        VALUE
------------  ---------------------------------    --------------     -------------    ---------    --------------
                                                                                  
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED

     ELECTRIC UTILITIES - (CONTINUED)
              ELECTRIC UTILITIES - (CONTINUED)
$  1,000,000  Wolf Hollow I, L.P. (c)..........     B2        B           9.44%        12/22/12     $    1,017,500
                                                                                                    --------------
              TOTAL ELECTRIC UTILITIES                                                                  18,396,469
                                                                                                    --------------
     ENERGY EQUIPMENT & SERVICES - 0.9%
              OIL & GAS EQUIPMENT & SERVICES - 0.9%
   1,991,935  Targa Resources, Inc. ...........     Ba3      B+        7.23%-7.47%     10/31/12          2,003,140
                                                                                                    --------------
              TOTAL ENERGY EQUIPMENT & SERVICES                                                          2,003,140
                                                                                                    --------------

     HEALTH CARE PROVIDERS & SERVICES - 4.9%
              HEALTH CARE FACILITIES - 2.6%
   2,721,680  Lifepoint Hospitals, Inc. .......     Ba3      BB           6.91%         4/15/12          2,723,568
   2,970,000  Select Medical Corp..............     B1       BB-       6.84%-8.75%      2/24/12          2,952,263
                                                                                                    --------------
                                                                                                         5,675,831
                                                                                                    --------------
              HEALTH CARE SERVICES - 0.9%
   1,970,000  CHS/Community Health
                 Systems, Inc. ................     Ba3      BB-       6.85%-6.97%      8/19/11          1,980,260
                                                                                                    --------------
              MANAGED HEALTH CARE - 1.4%
   1,965,000  IASIS Healthcare Corp. ..........     B1       B+        7.23%-7.26%      6/22/11          1,984,241
     997,500  Vanguard Health Systems, Inc. ...     B2        B           6.95%         9/23/11          1,004,358
                                                                                                    --------------
                                                                                                         2,988,599
                                                                                                    --------------
              TOTAL HEALTH CARE PROVIDERS & SERVICES                                                    10,644,690
                                                                                                    --------------

     INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.9%
              INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.9%
   2,000,000  Dynergy Holdings, Inc. ..........     Ba3      BB-          6.97%         1/31/12          2,000,000
                                                                                                    --------------
              TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS                                         2,000,000
                                                                                                    --------------
     MEDIA - 7.4%
              BROADCASTING & CABLE TV - 6.9%
     982,500  Bragg Communications, Inc. ......    NR(a)     NR           7.23%         8/31/11            987,413
   4,000,000  Century Cable Holdings, LLC (e)       NR       NR          10.00%         6/30/09          3,880,832
   2,000,000  Cequel Communications, LLC ......     B1       B+           7.32%        12/05/13          1,988,214
   2,996,275  Charter Communications
                 Operating, LLC ...............     B2        B           7.76%         4/17/13          3,008,832
   2,000,000  CSC Holdings, Inc. ..............     Ba3      BB        6.67%-6.88%      3/29/13          1,998,270
   3,000,000  UPC Distribution Holding B.V. ...     B1        B           7.11%         4/28/13          3,006,963
                                                                                                    --------------
                                                                                                        14,870,524
                                                                                                    --------------
              PUBLISHING - 0.5%
     997,500  Quebecor Media Inc. .............     B1        B           7.07%         1/17/13          1,005,293
                                                                                                    --------------
              TOTAL MEDIA                                                                               15,875,817
                                                                                                    --------------

     MULTI-UTILITIES - 2.0%
              MULTI-UTILITIES - 2.0%
   2,124,509  KGEN, LLC (c)....................     B3       B-          13.98%         8/05/11          2,188,244
   2,000,000  Thermal North America, Inc. .....     Ba3      BB-          6.78%        10/12/13          2,002,500
                                                                                                    --------------
              TOTAL MULTI-UTILITIES                                                                      4,190,744
                                                                                                    --------------



                       See Notes to Financial Statements.                 Page 7


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MAY 31, 2006



                                                     BANK LOAN
 PRINCIPAL                                            RATINGS+                          STATED          MARKET
   VALUE               DESCRIPTIONo                MOODY'S   S&P         COUPON        MATURITY*        VALUE
------------  ---------------------------------    --------------     -------------    ---------    --------------
                                                                                  
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED

      OIL, GAS & CONSUMABLE FUELS - 7.5%
              INTEGRATED OIL & GAS - 0.5%
$  1,000,000  MarkWest Energy Partners, L.P....     B1       B+        7.32%-7.36%     12/29/10     $    1,000,000
                                                                                                    --------------
              OIL & GAS EXPLORATION & PRODUCTION - 3.1%
   1,870,718  Mainline, L.P. ..................     Ba3      BB-          7.31%        12/17/11          1,884,749
   1,834,406  Plains Resources Inc. ...........     Ba2      BB           6.69%         8/12/11          1,836,699
   1,515,964  SemCrude, L.P....................     Ba3       B        7.16%-7.33%      3/16/11          1,515,964
   1,500,000  Venoco, Inc. (c).................    Caa1      B-       10.13%-10.25%     3/30/11          1,506,563
                                                                                                    --------------
                                                                                                         6,743,975
                                                                                                    --------------
              OIL & GAS REFINING, MARKETING & TRANSPORTATION - 3.9%
     995,000  Cheniere LNG Holdings, LLC.......     NR       BB           7.73%         8/31/12          1,002,152
   1,995,000  Eagle Rock Gas Gathering &
                 Processing, Ltd. .............     NR       NR           7.49%        10/01/12          2,012,456
   2,506,890  El Paso Corp.....................     B3       B+           6.35%        11/23/09          2,518,728
     990,000  EPCO Holdings, Inc. .............     Ba3      B+        7.08%-7.22%      8/18/10            997,602
     990,000  LB Pacific, L.P..................     B1       B-        7.71%-7.73%      3/03/12          1,002,375
     997,500  Regency Gas Services, LLC........     B1       B+           7.23%         5/30/11            997,500
                                                                                                    --------------
                                                                                                         8,530,813
                                                                                                    --------------
              TOTAL OIL, GAS & CONSUMABLE FUELS                                                         16,274,788
                                                                                                    --------------
     ROAD & RAIL - 0.7%
              RAILROADS - 0.7%
   1,530,862  Railamerica Transportation Corp.      Ba3      BB           7.25%         9/29/11          1,546,171
                                                                                                    --------------
              TOTAL ROAD & RAIL                                                                          1,546,171
                                                                                                    --------------
              TOTAL SENIOR FLOATING RATE TERM LOAN INTERESTS..................................          78,188,123
              (Cost $77,936,897)                                                                    --------------

              TOTAL INVESTMENTS - 136.8%......................................................         295,270,168
              (Cost $263,806,530) (b)

              NET OTHER ASSETS AND LIABILITIES - 1.7%.........................................           3,590,767
              LOAN OUTSTANDING - (38.5)%......................................................         (83,000,000)
                                                                                                    --------------
              NET ASSETS - 100.0%.............................................................      $  215,860,935
                                                                                                    ==============


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

  o   All percentages shown in the Portfolio of Investments are based on net
      assets.
(a)   This Senior Loan Interest was privately rated upon issuance. The rating
      agency does not provide ongoing surveillance on the rating.
(b)   Aggregate cost for federal income tax purposes is $266,681,771.
(c)   This issue is secured by a second lien on the issuer's assets.
(d)   This borrower has filed for protection in federal bankruptcy court.
(e)   This Senior Loan Interest was purchased subsequent to the borrower's
      filing for protection in federal bankruptcy court and has priority over
      other debt holders.
  +   Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard
      & Poor's Ratings Group are considered to be below investment grade.
 ++   As of May 31, 2006, this security has not paid a distribution to the Fund.
 NR   Not rated.


Page 8                 See Notes to Financial Statements.


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MAY 31, 2006

  *   Senior Loans generally are subject to mandatory and/or optional
      prepayment. Prepayment of Senior Loans may occur because of the mandatory
      prepayment conditions and because there may be significant economic
      incentives for a borrower to optionally prepay. As a result, the actual
      remaining maturity of Senior Loans may be substantially less than the
      stated maturities shown. Senior Loans generally have maturities that range
      from five to eight years; however, the Fund estimates that refinancing and
      prepayments result in an average maturity of the Senior Loans held in its
      portfolio to be approximately 18-30 months.
 **   Senior Loans in which the Fund invests generally pay interest at rates
      which are periodically predetermined by reference to a base lending rate
      plus a premium. These base lending rates are generally (i) the lending
      rate offered by one or more major European banks, such as the London
      Inter-Bank Offered Rate ("LIBOR"), (ii) the prime rate offered by one or
      more major United States banks, or (iii) the certificate of deposit rate.


                       See Notes to Financial Statements.                 Page 9


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2006


                                                                                                  
ASSETS:
Investments, at value
   (Cost $263,806,530) .......................................................................       $ 295,270,168
Cash .........................................................................................           1,339,257
Foreign currency (Cost $30,029) ..............................................................              30,202
Prepaid expenses .............................................................................              22,113
Receivables:
    Investment securities sold ...............................................................           3,083,518
    Dividends ................................................................................           1,756,560
    Interest .................................................................................             678,544
                                                                                                     -------------
   Total Assets ..............................................................................         302,180,362
                                                                                                     -------------
LIABILITIES:
Payables:
    Outstanding loan .........................................................................          83,000,000
    Investment securities purchased ..........................................................           2,000,000
    Investment advisory fees .................................................................             754,109
    Interest and fees due on loan ............................................................             399,254
    Audit and legal fees .....................................................................              66,213
    Printing fees ............................................................................              37,863
    Custodian fees ...........................................................................              28,370
    Administrative fees ......................................................................              23,678
Accrued expenses and other liabilities .......................................................               9,940
                                                                                                     -------------
    Total Liabilities ........................................................................          86,319,427
                                                                                                     -------------
NET ASSETS ...................................................................................       $ 215,860,935
                                                                                                     =============
NET ASSETS CONSIST OF:
Accumulated net investment loss ..............................................................       $  (1,162,035)
Accumulated net realized gain on investments sold, foreign currencies and net other assets ...          14,438,487
Net unrealized appreciation of investments, foreign currencies and net other assets ..........          31,492,428
Par value ....................................................................................              89,802
Paid-in capital ..............................................................................         171,002,253
                                                                                                     -------------
    Net Assets ...............................................................................       $ 215,860,935
                                                                                                     =============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) .........................       $       24.04
                                                                                                     =============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)...           8,980,236
                                                                                                     =============



Page 10                See Notes to Financial Statements.


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED MAY 31, 2006


                                                                                                  
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,052,476) .....................................       $  16,213,502
Interest .....................................................................................           5,897,270
Other ........................................................................................              17,999
                                                                                                     -------------
   Total investment income ...................................................................          22,128,771
                                                                                                     -------------
EXPENSES:
Interest and fees on outstanding loan payable ................................................           3,856,330
Investment advisory fees .....................................................................           2,955,143
Administration fees ..........................................................................             276,411
Custodian fees ...............................................................................             120,584
Audit and legal fees .........................................................................             114,641
Printing fees ................................................................................              67,474
Trustees' fees and expenses ..................................................................              39,657
Other ........................................................................................             270,386
                                                                                                     -------------
   Total expenses ............................................................................           7,700,626
                                                                                                     -------------
NET INVESTMENT INCOME ........................................................................          14,428,145
                                                                                                     -------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) on:
  Securities transactions ....................................................................          17,779,424
  Foreign currencies and net other assets ....................................................             (22,599)
                                                                                                     -------------
Net realized gain on investments during the year .............................................          17,756,825
                                                                                                     -------------
Net change in unrealized appreciation/(depreciation) of:
  Investments ................................................................................          (6,266,374)
  Foreign currencies and net other assets ....................................................              29,648
                                                                                                     -------------
Net change in unrealized depreciation of investments during the year .........................          (6,236,726)
                                                                                                     -------------
Net realized and unrealized gain on investments ..............................................          11,520,099
                                                                                                     -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .........................................       $  25,948,244
                                                                                                     =============



                       See Notes to Financial Statements.                Page 11


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS



                                                                                     YEAR                YEAR
                                                                                    ENDED                ENDED
                                                                                  5/31/2006            5/31/2005
                                                                                 -------------       -------------
                                                                                               
OPERATIONS:
Net investment income ......................................................     $  14,428,145       $  11,078,633
Net realized gain on investments during the year ...........................        17,756,825           4,673,822
Net change in unrealized appreciation/(depreciation) of investments
   during the year .........................................................        (6,236,726)         37,012,678
                                                                                 -------------       -------------
Net increase in net assets resulting from operations .......................        25,948,244          52,765,133

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................................       (14,817,389)        (15,176,599)
Dividends paid from net realized gains .....................................        (5,657,549)                 --
                                                                                 -------------       -------------
Total distributions to shareholders ........................................       (20,474,938)        (15,176,599)
                                                                                 -------------       -------------
Net increase in net assets .................................................         5,473,306          37,588,534

NET ASSETS:
Beginning of year ..........................................................       210,387,629         172,799,095
                                                                                 -------------       -------------
End of year ................................................................     $ 215,860,935       $ 210,387,629
                                                                                 =============       =============
Accumulated net investment loss at end of year .............................     $  (1,162,035)      $  (1,789,965)
                                                                                 =============       =============



Page 12                See Notes to Financial Statements.


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED MAY 31, 2006


                                                                                                
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations .............................   $ 25,948,244
Adjustments to reconcile net increase in net assets resulting
  from operations to net cash provided by operating activities:
   Changes in assets and liabilities:
   Increase in investments, at value* ............................................     (9,530,939)
   Increase in dividends receivable ..............................................       (965,743)
   Increase in interest receivable ...............................................       (137,086)
   Increase in prepaid expenses ..................................................         (3,501)
   Increase in receivable for investment securities sold .........................     (2,082,268)
   Decrease in payable for investment securities purchased .......................     (1,072,961)
   Increase in interest and fees due on loan .....................................        149,473
   Increase in investment advisory fees payable ..................................         39,168
   Increase in audit and legal fees payable ......................................          1,821
   Increase in administrative fees payable .......................................            899
   Increase in custodian fees payable ............................................         18,984
   Decrease in Trustees' fees and expenses payable ...............................         (9,463)
   Decrease in accrued expenses and other liabilities ............................         (5,073)
                                                                                     ------------
CASH PROVIDED BY OPERATING ACTIVITIES ............................................                    $ 12,351,555

CASH FLOWS FROM FINANCING ACTIVITIES:
   Distributions to shareholders from net investment income and net realized gains    (20,474,938)
   Issuances of loan .............................................................     16,000,000
   Prepayments of loan ...........................................................     (8,000,000)
                                                                                     ------------
CASH USED BY FINANCING ACTIVITIES ................................................                     (12,474,938)
                                                                                                      ------------
Decrease in cash** ...............................................................                        (123,383)
Cash and foreign currency at beginning of year ...................................                       1,492,842
                                                                                                      ------------
CASH AND FOREIGN CURRENCY AT END OF YEAR .........................................                    $  1,369,459
                                                                                                      ============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
   Cash paid during the year for interest ........................................                    $  3,706,857


----------------------------------------------------------
*     Includes net change in unrealized appreciation/(depreciation) on
      investments of $6,266,374.
**    Includes net change in unrealized appreciation/(depreciation) of foreign
      currency of $173.


                       See Notes to Financial Statements.                Page 13


MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
FINANCIAL HIGHLIGHTS
FOR A COMMON SHARE OUTSTANDING THROUGHOUT EACH PERIOD



                                                                                       YEAR            YEAR           PERIOD
                                                                                       ENDED           ENDED           ENDED
                                                                                     5/31/2006       5/31/2005      5/31/2004*
                                                                                     (AUDITED)       (AUDITED)       (AUDITED)
                                                                                    -----------     -----------     -----------
                                                                                                           
Net asset value, beginning of period ............................................   $     23.43     $     19.24     $     19.10
                                                                                    -----------     -----------     -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...........................................................          1.61            1.23            0.11
Net realized and unrealized gain/(loss) on investments ..........................          1.28            4.65            0.07
                                                                                    -----------     -----------     -----------
Total from investment operations ................................................          2.89            5.88            0.18
                                                                                    -----------     -----------     -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
  Dividends paid from net investment income .....................................         (1.65)          (1.69)             --
  Dividends paid from net realized gains ........................................         (0.63)             --              --
                                                                                    -----------     -----------     -----------
Total from distributions ........................................................         (2.28)          (1.69)             --
                                                                                    -----------     -----------     -----------
Common shares offering costs charged to paid-in capital .........................            --              --           (0.04)
                                                                                    -----------     -----------     -----------
Net asset value, end of period ..................................................   $     24.04     $     23.43     $     19.24
                                                                                    ===========     ===========     ===========
Market value, end of period .....................................................   $     21.04     $     20.87     $     17.70
                                                                                    ===========     ===========     ===========
TOTAL RETURN BASED ON NET ASSET VALUE (A)+ ......................................         13.50%          32.15%           0.73%
                                                                                    ===========     ===========     ===========
TOTAL RETURN BASED ON MARKET VALUE (B)+ .........................................         11.52%          27.96%         (11.50)%
                                                                                    ===========     ===========     ===========

RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................................   $   215,861     $   210,388     $   172,799
Ratio of total expenses to average net assets excluding interest expense and fees          1.79%           1.78%           1.47%**
Ratio of total expenses to average net assets ...................................          3.59%           2.78%            N/A
Ratio of net investment income to average net assets ............................          6.73%           5.65%           3.14%**
Portfolio turnover rate .........................................................            60%             43%              0%

DEBT:
Loan outstanding (in 000's) .....................................................   $    83,000     $    75,000             N/A
Asset coverage per $1,000 of indebtedness (c) ...................................   $     3,601     $     3,805             N/A


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

*     The Fund commenced operations on March 16, 2004.
**    Annualized.
(a)   Total return based on net asset value is the combination of reinvested
      dividend distributions and reinvested capital gains distributions, if any,
      at prices obtained by the Dividend Reinvestment Plan and changes in net
      asset value per share and does not reflect sales load.
(b)   Total return based on market value is the combination of reinvested
      dividend distributions and reinvested capital gains distributions, if any,
      at prices obtained by the Dividend Reinvestment Plan and changes in Common
      Share market price per share, all based on Common Share market price per
      share.
(c)   Calculated by subtracting the Fund's total liabilities (not including the
      loan outstanding) from the Fund's total assets, and dividing by the
      outstanding loan balance.
+     Total return is not annualized for periods less than one year.
N/A   Not applicable.


Page 14                See Notes to Financial Statements.


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

                               1. FUND DESCRIPTION

Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund
(the "Fund") is a non-diversified, closed-end management investment company
organized as a Massachusetts business trust on January 21, 2004 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 MFD on the New York Stock Exchange ("NYSE").

The Fund's primary investment objective is to seek a high level of current
return consisting of dividends, interest and other similar income while
attempting to preserve capital. In pursuit of this objective, the Fund seeks to
manage its investments and expenses so that a significant portion of its
distributions to the Fund's Common Shareholders will qualify as tax-advantaged
dividends, subject to the continued availability of favorable tax treatment for
such qualifying dividends. The Fund seeks to achieve its investment objective by
investing in a non-diversified portfolio of equity, debt, preferred or
convertible securities and other instruments (for instance, other instruments
could include Canadian income trusts and Australian stapled securities) issued
by U.S. and non-U.S. issuers ("Infrastructure Issuers") that have as their
primary focus (in terms of income and/or assets) the management, ownership
and/or operation of infrastructure and utilities assets ("Infrastructure
Assets") in a select group of countries.

                       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 computed based
upon the value of the Fund's portfolio and other assets. The NAV is determined
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. Domestic debt securities and foreign
securities are priced using data reflecting the earlier closing of the principal
markets for those securities. The NAV is computed by dividing the value of all
assets of the Fund (including accrued interest and dividends), less all
liabilities (including accrued expenses and dividends declared but unpaid), by
the total number of Common Shares outstanding.

The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value in
accordance with valuation procedures adopted by the Fund's Board of Trustees. A
majority of the Fund's assets are valued using market information supplied by
third parties. In the event that market quotations are not readily available,
the pricing service does not provide a valuation for a particular asset, or the
valuations are deemed unreliable, or if events occurring after the close of the
principal markets for particular securities (e.g., domestic debt and foreign
securities), but before the Fund values its assets, would materially affect NAV,
First Trust Advisors L.P. ("First Trust") may use a fair value method to value
the Fund's securities and investments. The use of fair value pricing by the Fund
is governed by valuation procedures adopted by the Fund's Board of Trustees, and
in accordance with the provisions of the 1940 Act.

Foreign securities traded outside the United States are generally valued as of
the time their trading is complete, which is usually different from the close of
the NYSE. Occasionally, events affecting the value of such securities may occur
between such times and the close of the NYSE that will not always be reflected
in the computation of the value of such securities. If events materially
affecting the value of such securities occur during such period, these
securities will be valued at their fair value according to procedures adopted by
the Fund's Board of Trustees. All securities and other assets of the Fund
initially expressed in foreign currencies will be converted to U.S. dollars
using exchange rates in effect at the time of valuation.

The Senior Loans in which the Fund invests are not listed on any securities
exchange or board of trade. Senior Loans are typically bought and sold by
institutional investors in individually negotiated private transactions that
function in many respects like an over-the-counter secondary market, although
typically no formal market-makers exist. This market, while having grown
substantially in the past several years, generally has fewer trades and less
liquidity than the secondary market for other types of securities. Some Senior
Loans have few or no trades, or trade infrequently, and information regarding a
specific Senior Loan may not be widely available or may be incomplete.
Accordingly, determinations of the market value of Senior Loans may be based on
infrequent and dated information. Because there is less reliable, objective data
available, elements of judgment may play a greater role in valuation of Senior
Loans than for other types of


                                                                         Page 15


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

securities. Typically, Senior Loans are valued using information provided by an
independent third party pricing service. If the pricing service cannot or does
not provide a valuation for a particular Senior Loan or such valuation is deemed
unreliable, First Trust may value such Senior Loan at a fair value according to
procedures adopted by the Fund's Board of Trustees, and in accordance with the
provisions of the 1940 Act.

Portfolio securities listed on any exchange other than the NASDAQ National
Market ("NASDAQ") are valued at the last sale price on the business day as of
which such value is being determined. If there has been no sale on such day, the
securities are valued at the mean of the most recent bid and asked prices on
such day. Securities traded on the NASDAQ are valued at the NASDAQ Official
Closing Price as determined by NASDAQ. Portfolio securities traded on more than
one securities exchange are valued at the last sale price on the business day as
of which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio securities
traded in the over-the-counter market, but excluding securities traded on the
NASDAQ, are valued at the closing bid prices. Short-term investments that mature
in less than 60 days are valued at amortized cost.

B. REPURCHASE AGREEMENTS:

The Fund engages in repurchase agreement transactions. Under the terms of a
typical repurchase agreement, the Fund takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase, and the Fund to
resell, the obligation at an agreed-upon price and time, thereby determining the
yield during the Fund's holding period. This arrangement results in a fixed rate
of return that is not subject to market fluctuations during the Fund's holding
period. The value of the collateral is at all times at least equal to the total
amount of the repurchase obligation, including interest. In the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred. There is potential loss to the Fund in the event the Fund is
delayed or prevented from exercising its rights to dispose of the collateral
securities, including the risk of a possible decline in the value of the
underlying securities during the period while the Fund seeks to assert its
rights. The Fund reviews the value of the collateral and the creditworthiness of
those banks and dealers with which the Fund enters into repurchase agreements to
evaluate potential risks.

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
on the accrual basis. Market premiums and discounts are amortized over the
expected life of each respective borrowing.

Distributions received from the Fund's investments in MLPs generally are
comprised of return of capital from the MLP to the extent of the cost basis of
such MLP investments. Cumulative distributions received in excess of the Fund's
cost basis in a MLP generally are recorded as dividend income.

Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund instructs the Custodian to
segregate assets of the Fund with a current value at least equal to the amount
of its when-issued purchase commitments.

D. UNFUNDED LOAN COMMITMENTS:

The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund had unfunded loan commitments of approximately $840,426 as
of May 31, 2006. The Fund is obligated to fund these loan commitments at the
borrower's discretion. Net unrealized depreciation of $7,879 from these
commitments is included in "Accrued expenses and other liabilities" on the
Statement of Assets and Liabilities.

E. 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 which result from changes in foreign currency exchange rates have been
included in "Net change in unrealized appreciation/(depreciation) of foreign
currencies and net other assets" 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


Page 16


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

and subsequent sale trade date is included in "Net realized gain/(loss) on
foreign currencies and net other assets" on the Statement of Operations.
Unrealized appreciation of $28,617 from dividends receivable in foreign
currencies are included in "Dividends receivable" on the Statement of Assets and
Liabilities.

F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

Dividends from net investment income of the Fund are declared and paid quarterly
or as the Board of Trustees may determine from time to time. Distributions of
any net capital gains earned by the Fund are distributed at least annually.
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. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Fund, timing differences and differing characterization of distributions
made by the Fund. Permanent differences incurred during the tax year ended
November 30, 2005, resulting in book and tax accounting differences, have been
reclassified at period end to reflect an increase in undistributed net
investment loss by $1,017,174, and a decrease in accumulated net realized gain
on investments sold by $1,017,174. Net assets were not affected by this
reclassification.

The tax character of distributions paid during the fiscal years ended November
30, 2005 and May 31, 2005 is as follows:



                                                       NOVEMBER 30, 2005         MAY 31, 2005
                                                       -----------------         ------------
                                                                           
Distributions paid from:
Ordinary Income................................        $     5,926,956           $ 15,176,599

As of November 30, 2005, the components of distributable earnings on a tax basis
were as follows:

Undistributed Ordinary Income..................        $    10,291,879
Undistributed Long-Term Capital Gains..........              2,824,081
Net Unrealized Appreciation....................             29,144,674

As of May 31, 2005, the components of distributable earnings on a tax basis
were as follows:

Undistributed Ordinary Income..................        $     4,731,226
Net Unrealized Appreciation....................             34,607,801


G. INCOME TAXES:

The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, and by distributing all of its net investment income and
net realized gains to shareholders. Accordingly, no provision has been made for
federal or state income taxes.

Certain losses were incurred after October 31 within the Fund's fiscal year. For
tax purposes, these losses are considered to be realized on the first business
day of the Fund's following fiscal year. For the fiscal year ended November 30,
2005, the Fund incurred and elected to defer $8,209 in currency losses.

H. EXPENSES:

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

          3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to the Fund pursuant to an Investment Management
Agreement. First Trust is responsible for the ongoing monitoring of the Fund's
investment portfolio, managing the Fund's business affairs and certain
administrative services necessary for the management of the Fund. For these
services, First Trust is entitled to a quarterly fee calculated at


                                                                         Page 17


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

an annual rate of 0.40% of the Fund's Total Assets up to and including $250
million and 0.35% of the Fund's Total Assets over $250 million. Total Assets are
generally defined as average daily total assets (including any principal amount
of any borrowings) minus the Fund's accrued liabilities (excluding the principal
amount of any borrowings incurred).

Macquarie Fund Adviser, LLC ("MFA") (formerly called Macquarie Infrastructure
Fund Advisor, LLC) and Four Corners Capital Management, LLC ("Four Corners")
serve as the Fund's sub-advisors and manage the Fund's portfolio subject to
First Trust's supervision. MFA manages the Core Component and, for its portfolio
management services, MFA is entitled to a quarterly fee calculated at an annual
rate of 0.60% for that portion of the Fund's Total Assets allocated to MFA. If
the Fund's Total Assets are greater than $250 million, MFA receives an annual
portfolio management fee of 0.65% for that portion of the Fund's Total Assets
over $250 million. In addition, to the extent that MFA invests a portion of the
Core Component in unlisted securities ("Core Unlisted Instruments"), MFA is
entitled to receive a supplemental fee of 0.60% of that portion of the Fund's
Total Assets invested in Core Unlisted Instruments. Four Corners manages the
Senior Loan Component and, for its portfolio management services, Four Corners
is entitled to a quarterly fee calculated at an annual rate of 0.60% for that
portion of the Fund's Total Assets allocated to Four Corners.

PFPC Inc. ("PFPC"), an indirect, majority-owned subsidiary of The PNC Financial
Services Group, Inc., serves as the Fund's Administrator and Transfer Agent in
accordance with certain fee arrangements. PFPC Trust Company, an indirect,
majority-owned subsidiary of The PNC Financial Services Group, Inc., serves as
the Fund's Custodian in accordance with certain fee arrangements.

The Fund pays each Trustee who is not an officer or employee of First Trust or
any of its affiliates ("Disinterested Trustees") an annual retainer of $10,000,
which includes compensation for all board and committee meetings. Until December
31, 2005, additional fees of $1,000 and $500 were paid to Disinterested Trustees
for special board meetings and non-regular committee meetings, respectively.
These additional fees were shared by the funds in the First Trust fund complex
that participated in the particular meeting and were not per fund fees. Trustees
are also reimbursed for travel and out-of-pocket expenses in connection with all
meetings. Effective January 1, 2006, the Disinterested Trustees are no longer
paid additional fees for special board meetings and non-regular committee
meetings.

                      4. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the year ended May 31, 2006, were $171,300,299, and
$172,835,804, respectively.

As of May 31, 2006, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $33,823,654
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $5,235,257.

                   5. REVOLVING CREDIT AND SECURITY AGREEMENT

On May 24, 2004, the Fund entered into a Revolving Credit and Security Agreement
among the Fund, CRC Funding, LLC, as conduit lender, and Citigroup North
America, Inc., as secondary lender, which provides for a revolving credit
facility to be used as leverage for the Fund. The credit facility provides for a
secured line of credit for the Fund, where Fund assets are pledged against
advances made to the Fund. Under the requirements of the 1940 Act, the Fund,
immediately after any such borrowings, must have an "asset coverage" of at least
300% (33-1/3% of the Fund's total assets after borrowings). The total commitment
under the Revolving Credit and Security Agreement is $95,000,000. For the year
ended May 31, 2006, the average amount outstanding was $81,131,507. The high and
low annual interest rates during the year ended May 31, 2006, were 3.04% and
4.98%, respectively, and the weighted average interest rate was 4.05%. The
annual interest rate in effect at May 31, 2006 was 4.98%. The Fund also pays
additional borrowing costs, which includes an administration fee of 0.02%, a
program fee of 0.35% and a liquidity fee of 0.14% per year. Such expenses are
included in "Interest and fees on outstanding loan payable" on the Statement of
Operations.

                            6. CONCENTRATION OF RISK

The Fund intends to invest up to 100% of its Total Assets in the securities and
instruments of Infrastructure Issuers. Given this industry concentration, the
Fund will be more susceptible to adverse economic or regulatory occurrences
affecting that industry than an investment company that is not concentrated in a
single industry. Infrastructure Issuers, including utilities and companies
involved in infrastructure projects, 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.


Page 18


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

TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF MACQUARIE/FIRST TRUST GLOBAL
INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND:

We have audited the accompanying statement of assets and liabilities of
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund
(the "Fund"), including the portfolio of investments, as of May 31, 2006, the
related statements of operations and cash flows for the year then ended, the
statements of changes in net assets for each of the two years in the period then
ended and the financial highlights for the periods presented. 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 audits.

We conducted our audits 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 audits 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 May 31, 2006, by correspondence with the Fund's
custodian, brokers and selling or agent banks; where replies were not received
from selling or agent banks, we performed other auditing procedures. We believe
that our audits provide 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 the
Fund as of May 31, 2006, the results of its operations and its cash flows, the
changes in its net assets, and the financial highlights for the respective
stated periods, in conformity with accounting principles generally accepted in
the United States of America.


DELOITTE & TOUCHE LLP

Chicago, Illinois
July 14, 2006


                                                                         Page 19


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

                           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 PFPC
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 PFPC Inc., 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 (800) 331-1710 in
accordance with such reasonable requirements as the Plan Agent and 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 PFPC 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 securities during the most recent 12-month period ended June 30 will
be 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 website located at http://www.sec.gov.


Page 20


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

                               PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Forms N-Q. The Fund's Form N-Qs 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 1-800-SEC-0330.

                               BY-LAW AMENDMENTS

On December 12, 2005 and again on June 12, 2006, the Board of Trustees approved
certain changes to the By-Laws of the Fund which may have the effect of delaying
or preventing a change in control of the Fund. To receive a copy of the revised
By-Laws, investors may call the Fund at (800) 988-5891.

                         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 November 2, 2005, 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 the Rule 30a-2
under the 1940 Act.

                                TAX INFORMATION

Of the ordinary income (including short-term capital gain) distributions made by
the Fund during the year ended November 30, 2005, 8.42% qualify for the
corporate dividends received deduction available to corporate shareholders.

The Fund hereby designates as qualified dividend income distributions 91.83% of
the ordinary income (including short-term capital gain), for the year ended
November 30, 2005.

If the Fund meets the requirements of Section 853 of the Code, the Fund may
elect to pass through to its shareholders credits for foreign taxes paid. The
total amount of income received by the Fund from sources within foreign
countries and possessions of the United States is $1.00 (representing a total of
$9,021,891). The total amount of taxes paid to such countries is $0.08 per share
(representing a total of $715,409).

For the year ended November 30, 2005, the amount of long-term capital gains
designated by the Fund was $2,824,081, which is taxable at a maximum federal
rate of 15%. This designated amount may include distributions that are to be
paid during the fiscal year ended November 30, 2006.

                               ADVISORY AGREEMENT

BOARD CONSIDERATIONS REGARDING CONTINUATION OF INVESTMENT MANAGEMENT AND
SUB-ADVISORY CONTRACTS

The Trustees unanimously approved the continuation of the Investment Management
Agreement (the "AGREEMENT") between First Trust Advisors L.P. ("FIRST TRUST")
and Macquarie/First Trust Global Infrastructure/Utilities Dividend and Income
Fund (the "FUND") at a meeting held on March 13, 2006. The Board of Trustees
determined that the Agreement is in the best interests of the Fund and that the
compensation arrangement set forth in the Agreement is fair and reasonable in
light of the nature, extent and quality of the services provided by First Trust
and such other matters as the Trustees considered to be relevant in the exercise
of their reasonable business judgment.

To reach this determination, the Trustees considered their 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 advisers 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 Trustees in
voting on such agreements. The Independent Trustees received advice from
independent legal counsel. The Trustees also applied their business judgment to
determine whether the arrangement between the Fund and First Trust was a
reasonable business arrangement from


                                                                         Page 21


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

the Fund's perspective as well as from the perspective of its shareholders. In
reviewing such arrangement, the Board of Trustees considered factors such as the
nature, quality and extent of services provided by First Trust under the
Agreement and the fairness of the fee charged, whether the fee level reflects
any economies of scale, and any profitability realized by First Trust under the
Agreement.

The Trustees considered the nature, quality and extent of services provided by
First Trust, including the overall administration of the Fund and First Trust's
oversight of Four Corners Capital Management, LLC ("FOUR CORNERS") and Macquarie
Fund Adviser, LLC ("MFA"), the Fund's sub-advisers. The Board considered the
experience and skills of the personnel primarily responsible for providing
services to the Fund and noted the compliance program that had been developed by
First Trust. In light of these considerations and their overall familiarity with
First Trust, the Trustees concluded that the nature, quality and extent of
services provided by First Trust to the Fund have been and are expected to
remain satisfactory.

The Trustees reviewed data prepared by Lipper Inc. ("LIPPER"), an independent
source, showing the management fees and expense ratios of the Fund compared to
those of a peer group that included six other closed-end income and preferred
stock funds using preferred stock leverage or debt leverage. The Trustees also
considered the Fund's management fees and expense ratios as compared to a second
peer group of ten other closed-end funds, including eight funds currently using
preferred stock leverage or debt leverage, as selected by First Trust using data
compiled by Lipper. The Trustees noted that the Fund's management fees and
expense ratios were in the fifth quintile of the Lipper peer group and the First
Trust-selected peer group. The Trustees noted that in light of the complex
investment strategy, which includes analysis of international securities and
currencies, the Fund's management fees were within an acceptable range of the
peer group and consistent with reasonable expectations in light of the nature,
quality and extent of services provided by First Trust and the sub-advisers. The
Trustees also considered the Fund's performance for the one year and
since-inception periods ended December 31, 2005 as compared to that of a
relevant benchmark index and the other closed-end funds in the peer group and
performance universe selected by Lipper and the peer group and performance
universe selected by First Trust. The Board noted the strong performance of the
Fund over both periods reviewed versus the performance universes. In addition,
the Trustees considered the market price and net asset value performance of the
Fund since inception, and compared the Fund's premium/discount to the average
and median premium/discount of each peer group, noting that the Fund's
premium/discount was indicative of the asset class. The Trustees concluded that
the Fund's performance was reasonable. On the basis of the information provided,
the Trustees concluded that the Fund's management fees were reasonable and
appropriate in light of the nature, quality and extent of services provided by
First Trust.

The Trustees noted that First Trust has continued to invest in personnel and
infrastructure but had not identified any economies of scale realized by the
Fund and had indicated that, because the Fund is a closed-end fund that is not
issuing more shares other than pursuant to its dividend reinvestment plan, First
Trust believed that any discussion of economies of scale was not meaningful. The
Trustees concluded that the management fee reflects an appropriate level of
sharing of any economies of scale. The Trustees also considered the costs of the
services provided and profits realized by First Trust from its relationship with
the Fund for the twelve months ended December 31, 2005, as set forth in the
materials provided to the Board. The Trustees noted the inherent limitations in
the profitability analysis, and concluded that First Trust's profitability
appeared to be not unreasonable in light of the services provided to the Fund.
In addition, the Trustees considered and discussed any ancillary benefits
derived by First Trust from its relationship with the Fund and noted that First
Trust receives no brokerage or soft dollars from the Fund and therefore the
typical fall out benefits are not present. The Trustees concluded that any other
fall out benefits received by First Trust or its affiliates would appear to be
attenuated. Based on all of the factors considered, the Trustees concluded that
it was in the best interests of the Fund to approve the continuation of the
Agreement, including the fees to be charged for the services thereunder. No
single factor was determinative in the Board's analysis.

At the March 13, 2006 meeting, the Trustees also approved the continuation of
the Investment Sub-Advisory Agreement (the "FOUR CORNERS SUB-ADVISORY
AGREEMENT") among the Fund, First Trust and Four Corners, after considering the
factors discussed above, as well as the following information. The Trustees
considered the nature, quality and extent of services provided by Four Corners
under the Four Corners Sub-Advisory Agreement. They received a presentation from
representatives of Four Corners. They concluded that Four Corners had managed
its portion of the Fund consistent with its investment objectives and policies.
The Trustees also considered information provided by Four Corners as to the fees
it charges to other clients, which generally were similar to those it receives
under the Four Corners Sub-Advisory Agreement. The Board also noted that Lipper
had not provided any data on fees paid to sub-advisers of similar funds. The
Trustees considered that Four Corners' investment services expenses are
primarily fixed, and that Four Corners had added personnel in the past year to
improve the quality and consistency of service and anticipated continued
investments in personnel and systems. The Trustees considered the sub-advisory
fee rate and how it related to the overall management fee structure of the Fund.
The Trustees considered that the sub-advisory fee rate was negotiated at arm's
length between First Trust and Four Corners, an unaffiliated


Page 22


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

third party. Based on the information provided, the Trustees concluded that the
sub-advisory fees for Four Corners were reasonable. The Trustees also considered
data provided by Four Corners as to the profitability of the Four Corners
Sub-Advisory Agreement to Four Corners, noting that the method used to allocate
expenses was not a typical practice of Four Corners'. The Trustees noted the
inherent limitations in this profitability analysis and concluded that the
profitability analysis for First Trust was more relevant, although the
profitability of the Four Corners Sub-Advisory Agreement appeared to be not
unreasonable in light of the services provided to the Fund. The Trustees noted
that Four Corners does not maintain any soft-dollar arrangements and that Four
Corners indicated that it does not receive any material fall out benefits from
its relationship to the Fund. Based on all of the factors considered, the
Trustees concluded that it was in the best interests of the Fund to approve the
continuation of the Four Corners Sub-Advisory Agreement, including the fees to
be charged for the services thereunder. No single factor was determinative in
the Board's analysis.

At the March 13, 2006 meeting, the Trustees also approved the continuation of
the Investment Sub-Advisory Agreement (the "MFA SUB-ADVISORY AGREEMENT") among
the Fund, First Trust and MFA, after considering the factors discussed above, as
well as the following information. The Trustees considered the nature, quality
and extent of services provided by MFA under the MFA Sub-Advisory Agreement.
They received a presentation from representatives of MFA. They concluded that
MFA had managed its portion of the Fund consistent with its investment
objectives and policies. The Trustees also considered information provided by
MFA as to the fee it charges to the other fund it manages, which is higher than
the fee it receives under the MFA Sub-Advisory Agreement, although MFA serves as
investment adviser, rather than sub adviser, for this other fund. The Board also
noted that Lipper had not provided any data on fees paid to sub-advisers of
similar funds. The Trustees considered that MFA's investment services expenses
are primarily fixed, but that MFA expects its costs will increase over the next
year due to the Fund's new investments in master limited partnerships. The
Trustees considered the sub-advisory fee rate and how it related to the overall
management fee structure of the Fund. The Trustees considered that the
sub-advisory fee rate was negotiated at arm's length between First Trust and
MFA, an unaffiliated third party. Based on the information provided, the
Trustees concluded that the sub-advisory fees for MFA were reasonable. The
Trustees also considered data provided by MFA as to the profitability of the MFA
Sub-Advisory Agreement to MFA, noting that the method used to allocate expenses
was not a typical practice of MFA's. The Trustees noted the inherent limitations
in this profitability analysis and concluded that the profitability analysis for
First Trust was more relevant, although the profitability of the MFA
Sub-Advisory Agreement appeared to be not unreasonable in light of the services
provided to the Fund. The Trustees noted that MFA does not maintain any
soft-dollar arrangements and that MFA indicated that it does not receive any
material fall out benefits from its relationship to the Fund. Based on all of
the factors considered, the Trustees concluded that it was in the best interests
of the Fund to approve the continuation of the MFA Sub-Advisory Agreement,
including the fees to be charged for the services thereunder. No single factor
was determinative in the Board's analysis.


                                                                         Page 23


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006

Information pertaining to the Trustees and officers* of the Fund is set forth
below.



                                                                                             NUMBER OF              OTHER
                                                                                            PORTFOLIOS          TRUSTEESHIPS/
  NAME, D.O.B., ADDRESS AND       TERM OF OFFICE AND        PRINCIPAL OCCUPATION(S)       IN FUND COMPLEX       DIRECTORSHIPS
  POSITION(S) WITH THE FUND      LENGTH OF TIME SERVED        DURING PAST 5 YEARS       OVERSEEN BY TRUSTEE    HELD BY TRUSTEE
-------------------------------------------------------------------------------------------------------------------------------
                                                 DISINTERESTED TRUSTEES
-------------------------------------------------------------------------------------------------------------------------------
                                                                                                   
Richard E. Erickson, Trustee     o   One year term         Physician; President,        29 portfolios                None
D.O.B. 04/51                     o   2 years served        Wheaton Orthopedics;
c/o First Trust Advisors L.P.                              Co-owner and Co-
1001 Warrenville Road                                      Director, Sports Med
Suite 300                                                  Center for Fitness;
Lisle, IL 60532                                            Limited Partner,
                                                           Gundersen Real Estate
                                                           Partnership

Thomas R. Kadlec, Trustee        o   One year term         Vice President and Chief     29 portfolios                None
D.O.B. 11/57                     o   2 years served        Financial Officer (1990
c/o First Trust Advisors L.P.                              to present); ADM
1001 Warrenville Road                                      Investor Services, Inc.
Suite 300                                                  (Futures Commission
Lisle, IL 60532                                            Merchant); Registered
                                                           Representative (2000 to
                                                           present), Segerdahl &
                                                           Company, Inc., an
                                                           NASD member (Broker-
                                                           Dealer); President,
                                                           ADM Derivatives, Inc.
                                                           (May 2005 to present)

Robert F. Keith+                 o   One year term         President, Hibs              17 portfolios                None
D.O.B. 11/56                     o   1 month served        Enterprises Financial
c/o First Trust Advisors L.P.                              and Management
1001 Warrenville Road,                                     Consulting (2003 to
Suite 300                                                  Present); Aramark
Lisle, IL 60532                                            Service Master
                                                           Management (2001 to
                                                           2003); President and
                                                           Chief Operating Officer,
                                                           Service Master
                                                           Management Services
                                                           (1998 to 2003)

Niel B. Nielson, Trustee         o   One year term         President, Covenant          29 portfolios          Director of Good
D.O.B. 03/54                     o   2 years served        College (June 2002 to                               News Publishers-
c/o First Trust Advisors L.P.                              present); Pastor, College                           Crossway Books;
1001 Warrenville Road                                      Church in Wheaton                                   Covenant
Suite 300                                                  (1997 to June 2002)                                 Transport, Inc.
Lisle, IL 60532



Page 24


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006



                                                                                             NUMBER OF              OTHER
                                                                                            PORTFOLIOS          TRUSTEESHIPS/
  NAME, D.O.B., ADDRESS AND       TERM OF OFFICE AND        PRINCIPAL OCCUPATION(S)       IN FUND COMPLEX       DIRECTORSHIPS
  POSITION(S) WITH THE FUND      LENGTH OF TIME SERVED        DURING PAST 5 YEARS       OVERSEEN BY TRUSTEE    HELD BY TRUSTEE
-------------------------------------------------------------------------------------------------------------------------------
                                                   INTERESTED TRUSTEE
-------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
James A. Bowen, Trustee,         o   One year Trustee      President, First Trust       29 portfolios             Trustee of
President, Chairman of the           term and indefinite   Advisors L.P. and First                                 Wheaton
Board and CEO                        officer term          Trust Portfolios L.P.;                                  College
D.O.B. 09/55                     o   2 years served        Chairman of the Board,
1001 Warrenville Road                                      BondWave LLC
Suite 300                                                  (software development
Lisle, IL 60532                                            company/Broker-Dealer)
                                                           and Stonebridge
                                                           Advisors LLC

-------------------------------------------------------------------------------------------------------------------------------
                                             OFFICERS WHO ARE NOT TRUSTEES
-------------------------------------------------------------------------------------------------------------------------------

Mark R. Bradley, Treasurer,      o   Indefinite term       Chief Financial Officer,             N/A                  N/A
Controller, Chief Financial      o   2 years served        Managing Director,
Officer, Chief Accounting                                  First Trust Advisors L.P.
Officer                                                    and First Trust
D.O.B. 11/57                                               Portfolios L.P.; Chief
1001 Warrenville Road                                      Financial Officer,
Suite 300                                                  BondWave LLC and
Lisle, IL 60532                                            Stonebridge Advisors
                                                           LLC

Susan M. Brix                    o   Indefinite term       Representative, First                N/A                  N/A
Assistant Vice President         o   2 years served        Trust Portfolios L.P.;
D.O.B. 01/60                                               Assistant Portfolio
1001 Warrenville Road                                      Manager, First Trust
Suite 300                                                  Advisors L.P.
Lisle, IL 60532


Robert F. Carey, Vice            o   Indefinite term       Senior Vice President,               N/A                  N/A
President                        o   2 years served        First Trust Advisors L.P.
D.O.B. 07/63                                               and First Trust
1001 Warrenville Road                                      Portfolios L.P
Suite 300
Lisle, IL 60532

James M. Dykas                   o   Indefinite term       Vice President, First                N/A                  N/A
Assistant Treasurer              o   6 months served       Trust Advisors L.P. and
D.O.B. 01/66                                               First Trust Portfolios
1001 Warrenville Road                                      L.P. (January 2005 to
Suite 300                                                  present); Executive
Lisle, IL 60532                                            Director, Van Kampen
                                                           Asset Management and
                                                           Morgan Stanley
                                                           Investment Management
                                                           (1999-2005)



                                                                         Page 25


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

  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                                  MAY 31, 2006



                                                                                             NUMBER OF              OTHER
                                                                                            PORTFOLIOS          TRUSTEESHIPS/
  NAME, D.O.B., ADDRESS AND       TERM OF OFFICE AND        PRINCIPAL OCCUPATION(S)       IN FUND COMPLEX       DIRECTORSHIPS
  POSITION(S) WITH THE FUND      LENGTH OF TIME SERVED        DURING PAST 5 YEARS       OVERSEEN BY TRUSTEE    HELD BY TRUSTEE
-------------------------------------------------------------------------------------------------------------------------------
                                       OFFICERS WHO ARE NOT TRUSTEES (CONTINUED)
-------------------------------------------------------------------------------------------------------------------------------
                                                                                                         
W. Scott Jardine, Secretary      o   Indefinite term       General Counsel,                     N/A                  N/A
and Chief Compliance             o   2 years served        First Trust Advisors L.P.
Officer                                                    and First Trust
D.O.B. 05/60                                               Portfolios L.P.;
1001 Warrenville Road                                      Secretary, BondWave
Suite 300                                                  LLC and Stonebridge
Lisle, IL 60532                                            Advisors LLC

Daniel J. Lindquist              o   Indefinite term       Senior Vice President,               N/A                  N/A
Vice President                   o   6 months served       First Trust Advisors L.P.
D.O.B. 02/70                                               and First Trust Portfolios
1001 Warrenville Road                                      L.P. (April 2004 to
Suite 300                                                  present); Chief Operating
Lisle, IL 60532                                            Officer, Mina Capital
                                                           Management, LLC
                                                           (January 2004-April
                                                           2004); Chief Operating
                                                           Officer, Samaritan Asset
                                                           Management Services,
                                                           Inc. (April 2000-January
                                                           2004)

Kristi A. Maher                  o   Indefinite term       Assistant General                    N/A                  N/A
Assistant Secretary              o   2 years served        Counsel, First Trust
D.O.B. 12/66                                               Advisors L.P. and First
1001 Warrenville Road                                      Trust Portfolios L.P.
Suite 300                                                  (March 2004 to present);
Lisle, IL 60532                                            Associate, Chapman and
                                                           Cutler LLP (1995-2004)

Roger F. Testin                  o   Indefinite term       Senior Vice President,               N/A                  N/A
Vice President                   o   2 years served        First Trust Advisors L.P.
D.O.B. 06/66                                               and First Trust
1001 Warrenville Road                                      Portfolios L.P. (August
Suite 300                                                  2001 to present);
Lisle, IL 60532                                            Analyst, Dolan Capital
                                                           Management (1998-
                                                           2001)


_________________

*     The term "officer" means the president, vice president, secretary,
      treasurer, controller or any other officer who performs a policy making
      function.
+     Effective June 12, 2006, the Board of Trustees of the Fund unanimously
      appointed Robert F. Keith to the Board of Trustees and as a member of the
      Fund's Audit Committee, Valuation Committee and Nomination and Governance
      Committee.


Page 26


                       This Page Left Blank Intentionally.



                       This Page Left Blank Intentionally.



                       This Page Left Blank Intentionally.


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 is qualified to serve as an audit
committee  financial  expert  serving  on its  audit  committee  and  that he is
"independent," as defined by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

     (a) AUDIT FEES  (REGISTRANT)  -- The aggregate  fees billed for each of the
         last  two  fiscal  years  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
         those  fiscal years are $37,000 for the fiscal year ending May 31, 2005
         and $40,000 for the fiscal year ending May 31, 2006.

     (b) AUDIT-RELATED FEES (REGISTRANT) -- The aggregate fees billed in each of
         the last two fiscal  years for  assurance  and related  services by the
         principal  accountant that are reasonably related to the performance of
         the audit of the registrant's financial statements and are not reported
         under  paragraph (a) of this Item are $8,000 for the fiscal year ending
         May 31, 2005 and $16,675 for the fiscal year ending May 31, 2006. These
         fees were for agreed upon procedures relating to coverage requirements.



         AUDIT-RELATED FEES (INVESTMENT ADVISOR) -- The aggregate fees billed in
         each of the last two fiscal years for assurance and related services by
         the principal accountant that are reasonably related to the performance
         of the  audit  of the  registrant's  financial  statements  and are not
         reported  under  paragraph  (a) of this Item are $20,000 for the fiscal
         year  ending May 31, 2005 and $6,500 for the fiscal year ending May 31,
         2006.  These fees were for AIMR - PPS verification services.

     (c) TAX FEES  (REGISTRANT) -- The aggregate fees billed in each of the last
         two fiscal years for  professional  services  rendered by the principal
         accountant for tax compliance,  tax advice, and tax planning are $4,000
         for the fiscal  year ending May 31, 2005 and $4,200 for the fiscal year
         ending May 31, 2006. These fees were for tax return preparation.

         TAX FEES  (INVESTMENT  ADVISOR) -- The aggregate fees billed in each of
         the last two fiscal  years for  professional  services  rendered by the
         principal  accountant for tax compliance,  tax advice, and tax planning
         are $6,000 for the fiscal  year  ending May 31, 2005 and $6,175 for the
         fiscal  year  ending  May 31,  2006.  These  fees  were for tax  return
         preparation.

     (d) ALL OTHER FEES (REGISTRANT) -- The aggregate fees billed in each of the
         last two fiscal years ending May 31, 2005 and May 31, 2006 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 and  $5,867,  respectively.  These fees were for  services
         related to compliance program evaluation.

         ALL OTHER FEES  (INVESTMENT  ADVISER) The aggregate fees billed in each
         of the last two fiscal  years  ending May 31, 2005 and May 31, 2006 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  $35,450 and  $77,927,  respectively.  These fees
         were for services related to compliance program evaluation.

     (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  adopted  December  12,  2005,  the  Audit  Committee  (the
"COMMITTEE")  is  responsible  for the  pre-approval  of all audit  services and
permitted  non-audit  services  (including  the fees and  terms  thereof)  to be
performed for the Registrant by its  independent  auditors.  The Chairman of the
Committee is authorized to give such pre-approvals on behalf of the Committee up
to $25,000 and report any such pre-approval to the full Committee.

         The  Committee  is  also   responsible  for  the  pre-approval  of  the
independent  auditor's  engagements for non-audit services with the Registrant's
adviser  (not  including  a  sub-adviser  whose  role  is  primarily   portfolio
management and is sub-contracted or overseen by another investment  adviser) and
any  entity  controlling,  controlled  by  or  under  common  control  with  the
investment  adviser that provides  ongoing  services to the  Registrant,  if the
engagement  relates  directly to the operations  and financial  reporting of the
Registrant,  subject  to  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%

                           (c) 0%

                           (d) 0%

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

     (g) The aggregate non-audit fees billed by the Registrant's  accountant for
         services  rendered to the Registrant,  and rendered to the Registrant's
         investment  adviser  (not  including  any  sub-adviser  whose  role  is
         primarily portfolio management and is subcontracted with or overseen by
         another investment adviser), and any entity controlling, controlled by,
         or under common control with the adviser that provides ongoing services
         to the  Registrant  for the fiscal year ending May 31, 2005 and May 31,
         2006 were  $12,000 and $26,472,  respectively  for the  Registrant  and
         $61,450  and  $90,602,  respectively  for the  Registrant's  investment
         adviser.

     (h) Not applicable. The audit committee pre-approved all non-audit services
         rendered  to  the  Registrant's   investment  adviser  and  any  entity
         controlling,  controlled  by or under  common  control with the adviser
         that provides ongoing services to the Registrant.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

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



ITEM 6. SCHEDULE OF INVESTMENTS.

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.

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

The Proxy Voting Policies are attached herewith.



                           FIRST TRUST ADVISORS, L.P.
  MACQUARIE/FIRST TRUST GLOBAL INFRASTRUCTURE/UTILITIES DIVIDEND & INCOME FUND
                             PROXY VOTING GUIDELINES

         First Trust Advisors, L.P. ("FIRST TRUST") serves as investment adviser
providing  discretionary  investment advisory services for Macquarie/First Trust
Global  Infrastructure/Utilities  Dividend & Income Fund (the "FUND"). Macquarie
Infrastructure Fund Adviser,  LLC ("MIFA") serves as sub-adviser for the portion
of the  Fund's  investment  portfolio  invested,  or to be  invested,  in equity
securities  as well as other  securities  and  instruments  issued  by U.S.  and
non-U.S.  issuers that manage,  own and/or  operate  infrastructure  and utility
assets in a select  group of  countries  (the "CORE  COMPONENT").  Four  Corners
Capital  Management,  LLC serves as  sub-adviser  for the  portion of the Fund's
investment  portfolio  invested,  or to be invested,  in U.S. dollar denominated
senior  secured  floating-rate  loans issued by U.S.  and non-U.S.  issuers that
manage,  own and/or operate  infrastructure and utility assets (the "SENIOR LOAN
COMPONENT").  As part of these services, First Trust has full responsibility for
proxy voting and related duties with respect to the Senior Loan  Component,  and
MIFA has full responsibility for proxy voting and related duties with respect to
the Senior Loan Component.  In fulfilling these duties, First Trust and the Fund
have adopted the following policies and procedures:

1.            It is First  Trust's  policy to seek to ensure  that  proxies  for
              securities held by the Fund are voted  consistently  and solely in
              the best economic interests of the Fund.

2.            First Trust shall be  responsible  for the oversight of the Fund's
              proxy voting process and shall assign a senior member of its staff
              to be responsible for this oversight.

3.            First Trust has engaged the services of Institutional  Shareholder
              Services,  Inc. ("ISS") to make  recommendations to First Trust on
              the voting of proxies  related to securities held by the Fund. ISS
              provides voting  recommendations  based on established  guidelines
              and  practices.  First  Trust has adopted  these ISS Proxy  Voting
              Guidelines.

4.            With respect to proxies received for  the  Core  Component,  First
              Trust shall  review  the  ISS  recommendations  and  forward  such
              recommendations  to  MIFA  for  review. First Trust generally will
              vote the proxies in accordance with ISS recommendations. MIFA may
              request that First Trust not  vote  in  accordance  with  the  ISS
              guidelines and First Trust may review  and  follow  such  request,
              unless First Trust determines that it is  unable  to  follow  such
              request. With respect to proxies  received  for  the  Senior  Loan
              Component, First Trust shall review the  ISS  recommendations  and
              generally  will  vote  the   proxies  in   accordance   with   ISS
              recommendations. Not withstanding the foregoing, First  Trust  may
              not vote in accordance with  ISS  recommendations  if  First Trust
              believes that the specific ISS recommendation  is  not in the best
              interests of the Fund.


5.            If First Trust manages the assets or pension fund of a company and
              any of First Trust's  clients hold any securities in that company,
              the First  Trust  will vote  proxies  relating  to such  company's
              securities in accordance with the ISS recommendations to avoid any
              conflict  of  interest.  In  addition,  if First  Trust has actual
              knowledge  of any other  type of  material  conflict  of  interest
              between itself and the Fund with respect to the voting of a proxy,
              First Trust shall vote the applicable proxy in accordance with the
              ISS recommendations to avoid such conflict of interest.

6.            If the  Fund  requests  First  Trust  to  follow  specific  voting
              guidelines or additional guidelines,  First Trust shall review the
              request and follow such guidelines,  unless First Trust determines
              that it is unable to follow such  guidelines.  In such case, First
              Trust  shall  inform  the Fund that it is not able to  follow  the
              Fund's request.

7.            First  Trust may have  clients in  addition to the Fund which have
              provided First Trust with discretionary  authority to vote proxies
              on their behalf. In such cases,  First Trust shall follow the same
              policies and procedures.


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

Macquarie Fund Adviser,  LLC ("MFA") and Four Corners  Capital  Management,  LLC
("Four  Corners") serve as the registrant's  sub-advisers.  MFA manages the Core
Component  of the  Registrant,  while  Four  Corners  manages  the  Senior  Loan
Component of the Registrant.

FOUR CORNERS CAPITAL MANAGEMENT, LLC:

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

         Four Corners manages multiple portfolios comprised  principally of U.S.
dollar  denominated,  floating-rate,  senior secured,  commercial and industrial
loans and notes and other debt  instruments  and may manage  portfolios  of high
yield  bonds.  Michael  P.  McAdams,  Chief  Executive  Officer  and  Robert  I.
Bernstein,  Chief Investment Officer,  are co-portfolio  managers.  Mr. McAdams'
involvement  in the  investment  process  primarily  relates  to  oversight  and
strategic direction and he shares investment  decision-making  authority,  while
Mr.  Bernstein  has  primary   responsibility  for  the  day-to-day   investment
decisions. The co-portfolio managers are supported in their portfolio management
activities  by the Four  Corners  investment  staff.  Four  Corners'  investment
analysts are assigned loans within  specific  industries and report to the Chief
Investment  Officer.  Robert I. Bernstein has been a Managing Director and Chief
Investment Officer of Four Corners since 11/2001 through the present. Michael P.
McAdams has been the Managing Director, President and Chief Executive Officer of
Four Corners since 9/2001  through the present.  Mr. McAdams was a President and
Managing Director of ING Capital Advisors, LLC from 11/95-9/2001.

(A)(2)   OTHER  ACCOUNTS  MANAGED BY PORTFOLIO  MANAGER(S)  OR  MANAGEMENT  TEAM
         MEMBER AND POTENTIAL CONFLICTS OF INTEREST

         OTHER  ACCOUNTS MANAGED  BY  PORTFOLIO  MANAGER(S)  OR  MANAGEMENT TEAM
         MEMBER


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

------------------------------------------------------------------------------------------------------------------------------------
                                                                                                            
1.  Robert I. Bernstein       Registered Investment Companies*:           3         $ 1,008.2             0                $0
    -------------------                                                   -                               -                 -
------------------------------------------------------------------------------------------------------------------------------------
                              Other Pooled Investment Vehicles:           5          $ 886.1              4             $ 880.9 M
                                                                          -                               -
------------------------------------------------------------------------------------------------------------------------------------
                              Other Accounts:                             4         $ 1,530.3             1             $ 714.9 M
                                                                          -                               -
------------------------------------------------------------------------------------------------------------------------------------

------------------------------------------------------------------------------------------------------------------------------------
2.  Michael P. McAdams        Registered Investment Companies*:           3         $ 1,008.2             0                $0
    ------------------                                                    -                               -                 -
------------------------------------------------------------------------------------------------------------------------------------







                                                                                                            
                              Other Pooled Investment Vehicles:           5          $ 886.1              4             $ 880.9 M
                                                                          -                               -
------------------------------------------------------------------------------------------------------------------------------------
                              Other Accounts:                             4         $ 1,530.3             1             $ 714.9 M
                                                                          -                               -
------------------------------------------------------------------------------------------------------------------------------------

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

         * Information Provided as of May 31, 2006.

POTENTIAL CONFLICTS OF INTERESTS

         In general,  Four  Corners  seeks to allocate  the purchase and sale of
corporate  loans to  clients  in a fair and  equitable  manner  to  quickly  and
prudently  create a  well-constructed,  fully  invested  portfolio  of corporate
loans.  Since Four Corners' clients have varying  investment  restrictions,  and
because of the constraining  mechanics of the corporate loan market,  allocation
of  trades  through  methods  such as  pro-rata  allocation  are  not  feasible.
Therefore,  the  allocation  of corporate  loan  purchases  and sales to various
accounts  is  generally  based  on  factors  such  as  the  client's  investment
restrictions  and objectives,  including  expected  liquidity and/or third party
credit ratings, the client's acceptance or rejection of prospective investments,
if  applicable,  and the relative  percentage  of invested  assets of a client's
portfolio, among others. Assets may be disproportionately  allocated to accounts
during their initial  investment  (ramp up) period,  notwithstanding  that other
accounts may also have assets  available for investment.  Such  disproportionate
allocation to accounts during the ramp-up process may have a detrimental  effect
on other accounts. Subject to the foregoing, whenever Four Corners' clients have
available  funds for investment,  investments  suitable and appropriate for each
will be  allocated  in a manner Four  Corners  believes to be equitable to each,
although such  allocation  may result in a delay in one or more client  accounts
being  fully  invested  that would not occur if an  allocation  to other  client
accounts  were  not  made.  Moreover,  it is  possible  that  due  to  differing
investment  objectives or for other reasons, Four Corners and its affiliates may
purchase  securities  or loans of an issuer for one client and at  approximately
the same time recommend  selling or sell the same or similar types of securities
or loans for another  client.  For these and other  reasons,  not all portfolios
will  participate in the gains or losses  experienced by other  portfolios  with
similar investment objectives.

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

         The portfolio managers' compensation is determined by the profitability
of Four Corners  Capital  Management as a firm without regard to the performance
of any one  particular  fund. The portfolio  managers have limited  incentive to
take undue risks when performance is lagging because of the indirect  connection
between  better fund  performance  and personal  compensation.  Compensation  is
typically comprised of a base salary and bonus.

(A)(4)   DISCLOSURE OF SECURITIES OWNERSHIP

      Name of Portfolio Manager     Dollar ($) Range of Fund Shares Beneficially
                or                                  Owned
           Team Member

      Michael P. McAdams                             $0

      Robert I. Bernstein                            $0
     Information Provided as of May 31, 2006.



MACQUARIE FUND ADVISER, LLC

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

         Jon Fitch and Nigel Trewartha are co-portfolio managers responsible for
the  day-to-day  management  of the  Registrant.  Jon  Fitch  has been the Chief
Executive Officer for Macquarie Fund Adviser,  LLC since January 2004. From 2001
until January 2004, Mr. Fitch was a Research Analyst for Macquarie Bank covering
the  infrastructure  sector in Australia and Asia.  Nigel Trewartha has been the
Chief  Investment  Officer for Macquarie  Fund Adviser,  LLC since January 2004.
From 2001 until  January 2004,  Mr.  Trewartha  worked in the Corporate  Finance
Division at Macquarie Bank.

         With respect to the Registrant, Mr. Fitch and Mr. Trewartha are jointly
responsible  for  directing  the  portfolio  management  activities of the funds
managed by Macquarie Fund Adviser, LLC. Mr. Fitch has overall responsibility for
the business,  operational and investment  activities of Macquarie Fund Adviser,
LLC.

 (A)(2)  OTHER ACCOUNTS MANAGED BY  PORTFOLIO  MANAGER(S)  OR  MANAGEMENT   TEAM
         MEMBER AND POTENTIAL CONFLICTS OF INTEREST

         OTHER  ACCOUNTS MANAGED BY PORTFOLIO  MANAGER(S)  OR  MANAGEMENT   TEAM
         MEMBER




                                                                   Total                                         Total Assets
                                                                                               # of Accounts         that
                                                                   # of                        Managed that      Advisory Fee
  Name of Portfolio Manager or                                   Accounts                   Advisory Fee Based     Based on
           Team Member                  Type of Accounts          Managed     Total Assets    on Performance      Performance
           -----------                  ----------------          -------     ------------    --------------      -----------
                                                                                                  
1.  Jon Fitch                      Registered Investment             1           $580m               0                 0
                                   Companies:                                   (approx)

                                   Other Pooled Investment           1            $75m               1           $75m
                                   Vehicles:                                    (approx)                        (approx)

                                   Other Accounts:                   0             $0                0                $0

2.  Nigel Trewartha                Registered Investment             1           $580m               0                 0
                                   Companies:                                   (approx)

                                   Other Pooled Investment           1            $75m               1           $75m (approx)
                                   Vehicles:                                    (approx)

                                   Other Accounts:                   0             $0                0                $0


         Information provided as of May 31, 2006.

POTENTIAL CONFLICTS OF INTERESTS

         MFA has  policies  and  procedures  in place that  govern the manner in
which allocations of trades will be handled should MFA effect purchases or sales
of  the  same  security  for  different   clients.   These  procedures   address
circumstances  in which  separate  purchase or sale orders for the same security
are



placed  for  two  or  more  clients,  and  additionally  when  purchase  or sale
orders for the same  security  are  aggregated.  MFA  policies  detail  specific
conditions  that must be met when  aggregating  purchase  or sale orders for the
same security for two or more clients.  The Portfolio Manager is responsible for
allocating investment opportunities and aggregating orders consistently with the
procedures and monthly review by the CCO of MFA is required.

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

         Compensation consists of a base salary amount plus discretionary profit
share.  The base  salary is fixed a year in  advance,  while  the  discretionary
profit share varies according to the performance of the individual, the division
and  Macquarie  Bank.   Discretionary   profit  share  is  allocated   annually.
Compensation  is not directly  based on the pre or post tax  performance  of the
Fund over a certain period.  However,  performance of the Fund may be one factor
taken into account in  determining  compensation.  Compensation  is not directly
based on the value of assets held in the Fund's portfolio. However, the value of
assets may be one factor taken into account in determining compensation.

 (A)(4)  DISCLOSURE OF SECURITIES OWNERSHIP

  Name of Portfolio Manager         Dollar ($) Range of Fund Shares Beneficially
           or                                            Owned
      Team Member

      Jon Fitch                                           $0

      Nigel Trewartha                                     $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.

         There  have been no  material  changes to the  procedures  by which the
shareholders  may  recommend  nominees to the  registrant's  board of directors,
where  those  changes  were  implemented  after  the  registrant  last  provided
disclosure in response to the  requirements of Item  7(d)(2)(ii)(G)  of Schedule
14A (17 CFR 240.14a-101),  or this Item. 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) Macquarie/First Trust Global Infrastructure/Utilities Dividend &
Income Fund

By (Signature and Title)*  /S/ JAMES A. BOWEN
                         -------------------------------------------------------
                           James A. Bowen, Chairman of the Board, President and
                           Chief Executive Officer
                           (principal executive officer)

Date              AUGUST 14, 2006
    ----------------------------------------------------------------------------


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

By (Signature and Title)*  /S/ JAMES A. BOWEN
                         -------------------------------------------------------
                           James A. Bowen, Chairman of the Board, President and
                           Chief Executive Officer
                           (principal executive officer)

Date              AUGUST 14, 2006
    ----------------------------------------------------------------------------


By (Signature and Title)* /S/ MARK R. BRADLEY
                         -------------------------------------------------------
                         Mark R. Bradley, Treasurer, Controller, Chief Financial
                         Officer and Chief Accounting Officer
                         (principal financial officer)

Date              AUGUST 14, 2006
    ----------------------------------------------------------------------------




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