# EDGAR Filing Document

**Accession Number:** 0001424212
**File Stem:** 0001445546-26-002697
**Filing Date:** 2026-4
**Character Count:** 659010
**Document Hash:** 9ab800ecf88162b366d10f5ff92398de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001445546-26-002697.hdr.sgml**: 20260413

**ACCESSION NUMBER**: 0001445546-26-002697

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 28

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260413

**DATE AS OF CHANGE**: 20260413

**EFFECTIVENESS DATE**: 20260413

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND III
- **CENTRAL INDEX KEY:** 0001424212

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

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22245
- **FILM NUMBER:** 26857570

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE
- **STREET 2:** SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE
- **STREET 2:** SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** First Trust Exchange-Traded Fund III
- **DATE OF NAME CHANGE:** 20160419

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** First Trust Exchange Traded Fund III
- **DATE OF NAME CHANGE:** 20080116

## Series and Classes Contracts Data

### First Trust Municipal High Income ETF (Series ID: S000051606)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000162358 | First Trust Municipal High Income ETF | FMHI            |

### First Trust Horizon Managed Volatility Developed International ETF (Series ID: S000054959)

| Class ID   | Class Name                                                         | Ticker Symbol   |
|:---|:---|:---|
| C000172840 | First Trust Horizon Managed Volatility Developed International ETF | HDMV            |

### First Trust Horizon Managed Volatility Domestic ETF (Series ID: S000054960)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000172841 | First Trust Horizon Managed Volatility Domestic ETF | HUSV            |

### First Trust California Municipal High Income ETF (Series ID: S000057894)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000187865 | First Trust California Municipal High Income ETF | FCAL            |

### First Trust Ultra Short Duration Municipal ETF (Series ID: S000063443)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000205579 | First Trust Ultra Short Duration Municipal ETF | FUMB            |

### First Trust Short Duration Managed Municipal ETF (Series ID: S000063445)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000205581 | First Trust Short Duration Managed Municipal ETF | FSMB            |

### First Trust Merger Arbitrage ETF (Series ID: S000067481)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000216993 | First Trust Merger Arbitrage ETF | MARB            |

### First Trust Horizon Managed Volatility Small/Mid ETF (Series ID: S000068212)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000218390 | First Trust Horizon Managed Volatility Small/Mid ETF | HSMV            |

### First Trust New York Municipal High Income ETF (Series ID: S000070485)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000223991 | First Trust New York Municipal High Income ETF | FMNY            |

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

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#### &nbsp;&nbsp;&nbsp;&nbsp; FORM N-CSR

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#### CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number

811-22245

First Trust Exchange-Traded Fund III

(Exact name of registrant as specified in charter)

------

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.

First Trust Portfolios L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

(Name and address of agent for service)

Registrant's telephone number, including area code:

&nbsp;&nbsp;&nbsp;&nbsp;(630) 765-8000

Date of fiscal year end:

July 31

Date of reporting period:

January 31, 2026

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

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

The information presented in this Form N-CSR relates solely to the fund(s) for which a report is included in Item 1 below, each a series of the Registrant.

#### Item 1. Reports to Shareholders.
(a) Following is a copy of the semi-annual reports transmitted to shareholders pursuant to Rule 30e-1 under the Act.

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Municipal High Income ETF

#### FMHI \| Nasdaq, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Municipal High Income ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FMHI. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Municipal High Income ETF | $350.68%<sup>(1) (2)</sup> |

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<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.66%.

KEY FUND STATISTICS (As of January 31, 2026)

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$905467745 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;692 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;10% |

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#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

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| | |
|:---|:---|
| Special Assessment | 17.8% |
| Continuing Care Retirement Communities | 14.0% |
| Industrial Development Bond | 8.9% |
| Education | 8.5% |
| Hospital | 7.3% |
| Airport | 5.4% |
| Government Obligation Bond - Limited Tax | 4.7% |
| Dedicated Tax | 4.0% |
| Government Obligation Bond - Unlimited Tax | 3.7% |
| All Other | 25.7% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_11364898.jpg)

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

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FMHI or upon request at 1-800-621-1675 or info@ftportfolios.com.

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for the Fund. The annual unitary management fee for the Fund is now 0.49%. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FMHI to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Municipal High Income ETF (FMHI)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Horizon Managed Volatility Domestic ETF

#### HUSV \| NYSE ARCA, INC.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Horizon Managed Volatility Domestic ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HUSV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Horizon Managed Volatility Domestic ETF | $360.72%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.70%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$72935205 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;102 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;28% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| Teledyne Technologies, Inc. | 2.6% |
| Coca-Cola (The) Co. | 2.6% |
| Cisco Systems, Inc. | 2.2% |
| Cognizant Technology Solutions Corp., Class A | 2.1% |
| Roper Technologies, Inc. | 2.0% |
| Motorola Solutions, Inc. | 1.9% |
| Realty Income Corp. | 1.8% |
| Linde PLC | 1.8% |
| VeriSign, Inc. | 1.7% |
| Waste Management, Inc. | 1.7% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_11364604.jpg)

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HUSV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Horizon Managed Volatility Domestic ETF (HUSV)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Horizon Managed Volatility Developed International ETF

#### HDMV \| NYSE Arca, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Horizon Managed Volatility Developed International ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HDMV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Horizon Managed Volatility Developed International ETF | $430.82%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$16615888 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;153 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;28% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| Oversea-Chinese Banking Corp., Ltd. | 2.4% |
| MTR Corp., Ltd. | 2.3% |
| CLP Holdings Ltd. | 2.1% |
| Power Assets Holdings Ltd. | 2.0% |
| Hong Kong & China Gas Co., Ltd. | 1.9% |
| United Overseas Bank Ltd. | 1.8% |
| Wilmar International Ltd. | 1.7% |
| CapitaLand Integrated Commercial Trust | 1.6% |
| Telstra Group Ltd. | 1.6% |
| Singapore Airlines Ltd. | 1.4% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_11364646.jpg)

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HDMV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Horizon Managed Volatility Small/Mid ETF

#### HSMV \| NYSE Arca, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Horizon Managed Volatility Small/Mid ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/HSMV. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Horizon Managed Volatility Small/Mid ETF | $420.81%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$29434774 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;152 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;20% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| New Jersey Resources Corp. | 1.7% |
| Four Corners Property Trust, Inc. | 1.6% |
| Ellington Financial, Inc. | 1.6% |
| Gaming and Leisure Properties, Inc. | 1.6% |
| OGE Energy Corp. | 1.5% |
| Starwood Property Trust, Inc. | 1.5% |
| IDACORP, Inc. | 1.5% |
| Ingredion, Inc. | 1.4% |
| Annaly Capital Management, Inc. | 1.3% |
| Graco, Inc. | 1.3% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_11364688.jpg)

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/HSMV to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Merger Arbitrage ETF

#### MARB \| NYSE Arca, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Merger Arbitrage ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/MARB. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| |
|:---|
| **Fund** |
| First Trust Merger Arbitrage ETF$71<sup>(2)</sup>1.38%<sup>(2) (3) (4)</sup> |

---

<sup>(1)</sup> Includes dividend expense on investments sold short.

<sup>(2)</sup> Excludes any Acquired Fund Fees and Expenses of underlying investment companies in which the Fund invests.

<sup>(3)</sup> Annualized. 

<sup>(4)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 1.36%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$39282188 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;27 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;209% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of net assets and percentage of total investments, respectively, of the Fund.

 **Fund Allocation**

---

| | |
|:---|:---|
| Common Stocks | 52.8% |
| Rights | 0.0% |
| Money Market Funds | 42.7% |
| Common Stocks Sold Short | (6.3%) |
| Net Other Assets and Liabilities | 10.8% |
| Total | 100.0% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_11364940.jpg)

Any amount shown as 0.0% represents less than 0.1%.

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/MARB or upon request at 1-800-621-1675 or info@ftportfolios.com.

At a meeting held on or about January 23, 2026, the Board of Directors for MARB approved a change in the Fund's name and investment policy. This change is expected to occur early in the second quarter of 2026. The Fund's name will change to "First Trust Equity Market Neutral ETF," and the Fund's ticker will change to "NTRL."

In connection with the change to the Fund's name, the Fund will adopt a non-fundamental investment policy whereby it invests at least 80% of its net assets (including investment borrowings) in financial derivative instruments (exchange-traded or over-the-counter) that provide exposure to U.S exchange-listed equity securities, U.S. exchange-traded funds ("ETFs") that provide exposure to U.S. exchange-listed equity securities and/or U.S. exchange-listed equity securities.

In connection with the changes described above, the Fund's principal investment strategies will be revised such that the Fund will no longer pursue its current merger arbitrage strategy, and it will instead seek an equity market neutral approach where the overall performance of the Fund is driven primarily by the net performance of long and short positions, independent of directional movements in the market. The Fund will pursue its investment objective by establishing long and short positions in U.S. exchange-listed equity securities, including exposure obtained through ETFs and financial derivative instruments such as futures or total return swaps. The Fund will generally seek to have exposure ranging from approximately 150%-250% to long positions and approximately 150%-250% to short positions. Additionally, the Fund's annual unitary management fee will be reduced to 0.95% of the Fund's average daily net assets. The Fund's portfolio management team will change to members of the First Trust Alternatives Investment Team, and the Fund will no longer have a sub-advisor.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/MARB to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Merger Arbitrage ETF (MARB)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust California Municipal High Income ETF

#### FCAL \| Nasdaq, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust California Municipal High Income ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FCAL. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust California Municipal High Income ETF | $330.64%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.62%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$205549157 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;268 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;20% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Insured | 13.5% |
| Special Assessment | 13.1% |
| Government Obligation Bond - Unlimited Tax | 9.6% |
| Airport | 7.7% |
| Certificates of Participation | 6.8% |
| Education | 6.6% |
| Hospital | 6.2% |
| Water & Sewer | 5.9% |
| Industrial Development Bond | 4.9% |
| All Other | 25.7% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_11364730.jpg)

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

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FCAL or upon request at 1-800-621-1675 or info@ftportfolios.com.

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for the Fund. The annual unitary management fee for the Fund is now 0.49%. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FCAL to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust California Municipal High Income ETF (FCAL)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust New York Municipal High Income ETF

#### FMNY \| NYSE ARCA, INC.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust New York Municipal High Income ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FMNY. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust New York Municipal High Income ETF | $330.63%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.62%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$29501155 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;94 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;22% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Dedicated Tax | 12.9% |
| Higher Education | 10.3% |
| Government Obligation Bond - Unlimited Tax | 8.1% |
| Insured | 7.4% |
| Utility | 7.2% |
| Hospital | 6.9% |
| Water & Sewer | 6.4% |
| Industrial Development Bond | 5.7% |
| Housing | 5.6% |
| All Other | 29.5% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_11364772.jpg)

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

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FMNY or upon request at 1-800-621-1675 or info@ftportfolios.com.

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for the Fund. The annual unitary management fee for the Fund is now 0.49%. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FMNY to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust New York Municipal High Income ETF (FMNY)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Short Duration Managed Municipal ETF

#### FSMB \| NYSE Arca, Inc.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Short Duration Managed Municipal ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FSMB. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Short Duration Managed Municipal ETF | $270.53%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.51%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$538059101 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;498 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;13% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Gas | 15.2% |
| Hospital | 11.1% |
| Industrial Development Bond | 10.8% |
| Utility | 9.7% |
| Airport | 9.7% |
| Continuing Care Retirement Communities | 8.2% |
| Special Assessment | 7.0% |
| Housing | 6.8% |
| Insured | 3.4% |
| All Other | 18.1% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_11364814.jpg)

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

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FSMB or upon request at 1-800-621-1675 or info@ftportfolios.com.

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for the Fund. The annual unitary management fee for the Fund is now 0.34%. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FSMB to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Short Duration Managed Municipal ETF (FSMB)

![TSR - First Trust Fund Logo](images_30632.jpg)

### First Trust Ultra Short Duration Municipal ETF

#### FUMB \| NYSE ARCA, INC.

#### SEMI-ANNUAL SHAREHOLDER REPORT \| January 31, 2026
This semi-annual shareholder report contains important information about the First Trust Ultra Short Duration Municipal ETF (the "Fund") for the period of August 1, 2025 to January 31, 2026. You can find additional information about the Fund at www.ftportfolios.com/fund-documents/etf/FUMB. You can also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

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

#### WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS?
(Based on a hypothetical $10,000 investment)

---

| | |
|:---|:---|
| **Fund** | **Costs of a $10,000 investment** |
| First Trust Ultra Short Duration Municipal ETF | $220.44%<sup>(1) (2)</sup> |

---

<sup>(1)</sup> Annualized. 

<sup>(2)</sup> Includes extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.42%.

KEY FUND STATISTICS (As of January 31, 2026)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$240276259 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;225 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;62% |

---

#### WHAT DID THE FUND INVEST IN? (As of January 31, 2026)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Government Obligation Bond - Unlimited Tax | 13.5% |
| Hospital | 12.3% |
| Government Obligation Bond - Limited Tax | 10.7% |
| Insured | 9.2% |
| Industrial Development Bond | 8.1% |
| Airport | 8.1% |
| Dedicated Tax | 6.0% |
| Certificates of Participation | 5.7% |
| Gas | 5.3% |
| All Other | 21.1% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_11364856.jpg)

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

#### HOW HAS THE FUND MATERIALLY CHANGED?
This is a summary of certain changes to the Fund since August 1, 2025. For more complete information, you may review the Fund's prospectus and any applicable supplements at www.ftportfolios.com/fund-documents/etf/FUMB or upon request at 1-800-621-1675 or info@ftportfolios.com.

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for the Fund. The annual unitary management fee for the Fund is now 0.29%. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

#### WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
Visit www.ftportfolios.com/fund-documents/etf/FUMB to view additional information about the Fund such as the prospectus, financial information, Fund holdings and proxy voting information. You may also request this information by contacting us at 1-800-621-1675 or info@ftportfolios.com.

First Trust Ultra Short Duration Municipal ETF (FUMB)

(b) Not applicable.

**Item 2. Code of Ethics.**

The First Trust Exchange-Traded Fund III ("Registrant") 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 ("Code of Ethics"). During the period covered by this Form N-CSR, there were no substantive amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

A copy of the currently effective Code of Ethics will be filed with the Registrant's annual Form N-CSR.

**Item 3. Audit Committee Financial Expert.**

Not applicable to semi-annual reports on Form N-CSR.

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

Not applicable to semi-annual reports on Form N-CSR.

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable to semi-annual reports on Form N-CSR.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable to the Registrant.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included in the Financial
Statements and Other Information filed under Item 7 of this Form N-CSR.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable to the Registrant.

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

(a) Following is a copy of the semi-annual financial statement(s) required, and for the periods specified, by Regulation S-X.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Semi-Annual Financial Statements and Other Information <br> For the Six Months Ended January 31, 2026

![](imgaa8903251.gif)

<u>First Trust Exchange-Traded Fund III</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Municipal High Income ETF (FMHI)<br>

------

**Table of Contents** 

**First Trust Municipal High Income ETF (FMHI)**

**Semi-Annual Financial Statements and Other Information**

**January 31, 2026** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_SOI-TOC-ScheduleofInvestments-4456_1) | 1 |
| [Statement of Assets and Liabilities](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_SAL1-TOC-StatementofAssetsandLiabilities-4456_1) | 25 |
| [Statement of Operations](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_SOP1-TOC-StatementofOperations-4456_1) | 26 |
| [Statements of Changes in Net Assets](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_SOC1-TOC-StatementofChanges-4456_1) | 27 |
| [Financial Highlights](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_FIHI-TOC-FinancialHighlights-4456_1) | 28 |
| [Notes to Financial Statements](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_NTF-TOC-NotestoFinancialStatements-4456_1) | 29 |
| [Other Information](#xx_2e1bf0e9-fc1f-4d64-96af-e48e7658cf59_AI-TOC-AdditionalInformation-4456_1) | 37 |

---

**Performance and Risk Disclosure**

There is no assurance that First Trust Municipal High Income ETF (the "Fund") will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund.

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

First Trust Advisors L.P., the Fund's advisor, may also periodically provide additional information on Fund performance on the Fund's webpage at www.ftportfolios.com.

**How to Read This Report**

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

The material risks of investing in the Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 99.4%** | **MUNICIPAL BONDS — 99.4%** | **MUNICIPAL BONDS — 99.4%** | **MUNICIPAL BONDS — 99.4%** | **MUNICIPAL BONDS — 99.4%** |
|  | **Alabama — 2.9%** | **Alabama — 2.9%** | **Alabama — 2.9%** |  |
| $530000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory <br> put 06/01/29) | 5.25% | 02/01/53 | $558925 |
| 1340000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put <br> 12/01/28) | 5.50% | 11/01/53 | 1417039 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory <br> put 12/01/30) | 5.25% | 12/01/53 | 1078692 |
| 1500000 | Homewood AL Eductnl Bldg Auth Rev Stdt Hsg & Parking <br> Proj, Ser C | 5.50% | 10/01/49 | 1522294 |
| 5000000 | Mobile AL Indl Dev Brd Poll Control Rev AL Pwr Barry Plt, <br> 1st Ser (a) | 3.45% | 06/01/34 | 5000000 |
| 1000000 | Mobile AL Indl Dev Brd Sol Wst Disp Rev Var AL Pwr Barry <br> Plant (a) | 3.30% | 06/01/34 | 1000000 |
| 6000000 | Mobile Cnty AL Indl Dev Auth Sol Wst Disp Rev AM/NS <br> Calvert LLC Proj, Ser B, AMT | 4.75% | 12/01/54 | 5571463 |
| 2425000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put <br> 10/01/28) | 4.00% | 11/01/51 | 2471708 |
| 3000000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser A | 5.00% | 11/01/35 | 3196249 |
| 1700000 | Univ of AL at Birmingham Gen Rev Brd of Trustees, Ser B | 3.00% | 10/01/41 | 1499350 |
| 2500000 | Walker Cnty AL Econ & Indl Dev Auth Sol Wst Disp Rev Var AL <br> Pwr Co Plant Gorgas Proj, AMT (a) | 3.30% | 08/01/63 | 2500000 |
|  |  |  |  | 25815720 |
|  | **American Samoa — 0.1%** | **American Samoa — 0.1%** | **American Samoa — 0.1%** |  |
| 800000 | AS Econ Dev Auth Gen Rev, Ser B (b) | 5.25% | 09/01/45 | 799850 |
|  | **Arizona — 4.2%** | **Arizona — 4.2%** | **Arizona — 4.2%** |  |
| 1175000 | AZ Indl Dev Auth Hosp Rev Phoenix Children's Hosp, Ser A | 3.00% | 02/01/45 | 913137 |
| 1075000 | AZ St Hlth Facs Auth Var Banner Hlth Rmkt, Ser C (a) | 3.25% | 01/01/46 | 1075000 |
| 1790000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (b) | 5.00% | 07/01/39 | 1803075 |
| 610000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (b) | 5.00% | 07/01/49 | 560132 |
| 1000000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, <br>Ser B (b) | 5.00% | 07/01/29 | 1008761 |
| 2075000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red <br> Rock Cmps Proj, Ser A | 5.00% | 07/15/39 | 2083474 |
| 400000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (b) | 5.00% | 12/15/39 | 402568 |
| 700000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (b) | 5.00% | 12/15/49 | 647328 |
| 1250000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada <br> & St Rose Cmps, Ser A (b) | 5.75% | 07/15/38 | 1256168 |
| 300000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (b) | 5.00% | 07/01/37 | 301981 |
| 1670000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.13% | 07/01/37 | 1674039 |
| 2240000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.25% | 07/01/47 | 2192983 |
| 550000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser D (b) | 4.00% | 07/01/27 | 550839 |
| 365000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/33 | 365334 |
| 385000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/34 | 382522 |
| 950000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/41 | 852231 |
| 1500000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/51 | 1168313 |
| 1835000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & <br> Skye Canyon Cmps Proj, Ser A (b) | 4.00% | 12/15/41 | 1651009 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Arizona (Continued)** | **Arizona (Continued)** | **Arizona (Continued)** |  |
| $1000000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & <br> Skye Canyon Cmps Proj, Ser A (b) | 4.00% | 12/15/51 | $779245 |
| 1000000 | AZ St Indl Dev Auth Edu Rev Var Academies of Math & <br> Science Projs, Ser A (Mandatory put 07/01/35) (b) | 4.88% | 07/01/60 | 994802 |
| 1000000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs <br> Proj Auth, Ser B (b) | 5.00% | 07/01/39 | 1020375 |
| 2035000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs <br> Proj Auth, Ser B (b) | 5.00% | 07/01/49 | 1929421 |
| 260000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (b) | 4.00% | 07/01/26 | 259939 |
| 1000000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (b) | 5.00% | 07/01/47 | 919052 |
| 3000000 | Maricopa Cnty Indl Dev Auth Exempt Facs Rev Comml Metals Co <br> Proj, AMT (b) | 4.00% | 10/15/47 | 2555328 |
| 2000000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.00% | 07/01/46 | 1913504 |
| 2000000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Fac Legacy Trad Schs <br> Projs (b) | 5.00% | 07/01/45 | 1934490 |
| 2000000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC <br> Proj, Ser A (c) | 4.00% | 12/01/51 | 1219206 |
| 100000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix <br> Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 102094 |
| 1000000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch <br> Ridge Proj, Ser A (b) | 6.75% | 11/15/42 | 1089389 |
| 1500000 | Sierra Vista AZ Indl Dev Auth Ed Fac Rev American Leadership <br> Acdmy Proj (b) | 5.00% | 06/15/54 | 1324099 |
| 1000000 | Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A | 4.38% | 12/01/36 | 1031639 |
| 1000000 | Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A | 5.38% | 12/01/46 | 1020760 |
| 1000000 | Tempe AZ Indl Dev Auth Rev Friendship Vlg of Tempe Proj, Ser A | 5.63% | 12/01/55 | 1020542 |
|  |  |  |  | 38002779 |
|  | **Arkansas — 0.8%** | **Arkansas — 0.8%** | **Arkansas — 0.8%** |  |
| 4000000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp <br> Proj, AMT | 5.45% | 09/01/52 | 4012760 |
| 1000000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp <br> Proj, AMT | 5.70% | 05/01/53 | 1016831 |
| 2000000 | AR St Dev Fin Auth Indl Dev Rev Sustainable Bonds Hybar Steel <br> Proj, Ser A, AMT (b) | 6.88% | 07/01/48 | 2151512 |
|  |  |  |  | 7181103 |
|  | **California — 2.8%** | **California — 2.8%** | **California — 2.8%** |  |
| 2500000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser A-1 (Mandatory put 04/01/32) | 5.00% | 05/01/54 | 2683045 |
| 8000000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Cap <br> Apprec Stanislaus, Subser A | (d) | 06/01/46 | 1851268 |
| 250000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable <br> Bond, Ser A (b) | 5.00% | 11/15/51 | 224059 |
| 250000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.25% | 07/01/48 | 252034 |
| 650000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/54 | 610025 |
| 2500000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/42 | 2545314 |
| 1050000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy <br> Proj, Ser A (b) | 5.00% | 07/01/38 | 1053720 |
| 2000000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (b) | 5.00% | 11/01/46 | 1937999 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $775000 | CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.38% | 11/01/45 | $792214 |
| 205000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 209159 |
| 1250000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 1254299 |
| 1000000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1008979 |
| 1300000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 1367237 |
| 1250000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, <br> AMT (b) | 5.00% | 07/01/37 | 1255054 |
| 550000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/33 | 571440 |
| 2000000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.50% | 12/01/58 | 2020972 |
| 2000000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/41 | 2006645 |
| 1500000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link <br> Glendale Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1145162 |
| 500000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay <br> Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 412501 |
| 300000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 304522 |
| 450000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 432237 |
| 1615000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital <br> Projs Ref, Ser A | 5.25% | 11/15/42 | 1799904 |
|  |  |  |  | 25737789 |
|  | **Colorado — 5.6%** | **Colorado — 5.6%** | **Colorado — 5.6%** |  |
| 3250000 | Aerotropolis Regl Tranprtn Auth CO Spl Rev (b) | 5.50% | 12/01/44 | 3308075 |
| 1000000 | Aerotropolis Regl Tranprtn Auth CO Spl Rev (b) | 5.75% | 12/01/54 | 996824 |
| 1110000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1023418 |
| 525000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 535646 |
| 1125000 | Canyons Met Dist #5 CO Ref Subord, Ser B (e) | 6.50% | 12/15/54 | 1118605 |
| 1167000 | CCP Met Dist No 3 CO Ref | 5.00% | 12/01/53 | 1134130 |
| 500000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods <br> Proj | 5.00% | 01/01/31 | 500413 |
| 1400000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods <br> Proj | 5.00% | 01/01/37 | 1400747 |
| 950000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/39 | 950509 |
| 1275000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty <br> Proj, Ser A | 5.25% | 05/15/30 | 1308099 |
| 670000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/35 | 680459 |
| 1125000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/41 | 1078476 |
| 500000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/48 | 428233 |
| 1000000 | CO St Hlth Facs Auth Rev Ref, Ser A | 5.25% | 05/15/48 | 1015847 |
| 325773 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada <br> Proj, Ser A (e) (f) | 5.25% | 11/01/32 | 7600 |
| 3000000 | CO St Hlth Facs Auth Rev Var Intermountain Hlthcare, <br>Ser E (a) | 3.05% | 05/15/62 | 3000000 |
| 1120000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/40 | 1257615 |
| 1100000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/45 | 1190168 |
| 1220000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 1302926 |
| 500000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 501071 |
| 1700000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr <br> Bonds, Ser A (b) | 5.00% | 12/01/41 | 1715975 |
| 1510000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr <br> Bonds, Ser A (b) | 5.00% | 12/01/51 | 1404598 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Colorado (Continued)** | **Colorado (Continued)** | **Colorado (Continued)** |  |
| $1500000 | Four Corners Busn Impt Dist CO Ltd Tax Supported | 6.00% | 12/01/52 | $1511123 |
| 1000000 | Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A (e) | 6.25% | 12/01/52 | 986855 |
| 575000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 551256 |
| 500000 | Kinston Met Dist CO #5 Ref Sr, Ser A (b) | 5.50% | 12/01/45 | 506397 |
| 1000000 | Lanterns Met Dist #3, Ser A-1 | 7.25% | 12/01/53 | 1035694 |
| 1000000 | Meridian Ranch Met Dist 2018 Subdistrict CO | 6.75% | 12/01/52 | 1023722 |
| 905000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 790970 |
| 1145000 | Newlin Crossing Met Dist CO, Ser A (b) | 5.38% | 12/01/54 | 1138745 |
| 2500000 | Palisade CO Met Dist #2 Ltd Tax Ref Convertible Sub, Ser B, <br> CABS, steps up to 5.88% on 12/15/26 (b) (g) | 0.00% | 12/15/54 | 2392399 |
| 1000000 | Peak Met Dist #1 CO, Ser A (b) | 5.00% | 12/01/41 | 937490 |
| 2470000 | Pinon Pines Met Dist #3 CO Conv, CABS, steps up to 5.88% on <br> 12/01/27 (g) | 0.00% | 12/01/54 | 2247852 |
| 975000 | Poudre Heights Vly Met Dist CO, Ser A (b) | 5.50% | 12/01/54 | 917060 |
| 1500000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, <br>Ser A (b) | 5.00% | 12/15/41 | 1502477 |
| 3550000 | Red Barn Met Dist CO Ref, Ser A | 5.50% | 12/01/55 | 3561695 |
| 550000 | Sterling Ranch Cmnty Auth Brd CO Supported Rev Ref Sr, Ser A | 6.13% | 12/01/39 | 576194 |
| 2820000 | Sunset Parks Met Dist CO, Ser A (b) | 5.13% | 12/01/54 | 2734288 |
| 900000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 906622 |
| 1200000 | Vlg Met Dist CO, Ser A | 5.75% | 12/01/55 | 1208542 |
| 700000 | W Meadow Met Dist CO Ref Sr Bonds, Ser A (b) | 6.00% | 12/01/38 | 733453 |
|  |  |  |  | 51122268 |
|  | **Connecticut — 1.0%** | **Connecticut — 1.0%** | **Connecticut — 1.0%** |  |
| 2000000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Corp, Ser <br> A (h) | 5.00% | 07/01/46 | 2081516 |
| 800000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 4.00% | 07/01/37 | 805508 |
| 2500000 | CT St Hlth & Eductnl Facs Auth Rev Sustainable Bonds Goodwin <br> Univ Obligated Grp, Ser A1 | 5.00% | 07/01/44 | 2467576 |
| 1000000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.38% | 10/01/45 | 1033409 |
| 2200000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.50% | 10/01/55 | 2247818 |
|  |  |  |  | 8635827 |
|  | **Delaware — 0.5%** | **Delaware — 0.5%** | **Delaware — 0.5%** |  |
| 780000 | Bridgeville DE Spl Oblig Heritage Shores Spl Dev Dist (b) | 5.25% | 07/01/44 | 784761 |
| 3140000 | DE St Hlth Facs Auth Rev Beebe Med Ctr, BAM | 5.00% | 06/01/48 | 3148386 |
| 214000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (b) | 5.00% | 07/01/28 | 217793 |
|  |  |  |  | 4150940 |
|  | **District of Columbia — 0.6%** | **District of Columbia — 0.6%** | **District of Columbia — 0.6%** |  |
| 1470000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/42 | 1564235 |
| 1450000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.25% | 10/01/43 | 1546949 |
| 2000000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.50% | 10/01/45 | 2187831 |
|  |  |  |  | 5299015 |
|  | **Florida — 16.2%** | **Florida — 16.2%** | **Florida — 16.2%** |  |
| 705000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the <br> Univ of FL Inc Proj | 4.00% | 10/01/40 | 683844 |
| 100000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple <br> Ridge Phase 4 Proj (b) | 4.30% | 05/01/42 | 96417 |
| 1655000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple <br> Ridge Phase 4 Proj (b) | 4.45% | 05/01/52 | 1461838 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $2380000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4 <br> Master Impt Proj (b) | 5.25% | 05/01/43 | $2445886 |
| 600000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2021 | 4.00% | 05/01/52 | 491109 |
| 250000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2022 | 5.00% | 05/01/42 | 255150 |
| 2000000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2022 | 5.00% | 05/01/53 | 1914948 |
| 1000000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/41 | 871347 |
| 500000 | Berry Bay II CDD FL Spl Assmnt Proj, Ser 2024 | 5.20% | 05/01/44 | 502048 |
| 2000000 | Bexley CDD FL Spl Assmnt Rev | 4.88% | 05/01/47 | 1934789 |
| 1000000 | Braddock Lakes CDD FL Capital Impt Rev | 5.55% | 05/01/45 | 1001829 |
| 1600000 | Bridgewater N Cmnty Dev Dist FL Capital Impt Rev | 4.00% | 05/01/42 | 1464191 |
| 500000 | Buckhead Trails II CDD FL Spl Assmnt Proj, Ser 2026 (h) | 5.50% | 05/01/46 | 500756 |
| 1985000 | Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy <br> of Leadership Obligated Grp Proj (b) | 5.00% | 06/15/44 | 1895234 |
| 1700000 | Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy <br> of Leadership Obligated Grp Proj (b) | 5.00% | 06/15/54 | 1542912 |
| 525000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc <br> Proj, Ser A (b) | 4.00% | 07/01/51 | 401948 |
| 135000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory <br> Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 136179 |
| 1070000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory <br> Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 1084610 |
| 250000 | Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology <br> Proj, Ser A (b) | 5.00% | 07/01/45 | 242607 |
| 1000000 | Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology <br> Proj, Ser A (b) | 5.25% | 07/01/50 | 974489 |
| 1500000 | Capital Trust Auth FL Eductnl Facs Rev The Classical Acdmy of <br> Sarasota Proj (b) | 6.13% | 07/01/55 | 1499269 |
| 1000000 | Celebration Pointe Cmnty Dev Dist No 1 FL Spl Assmnt Rev (e) (f) | 4.00% | 05/01/53 | 800000 |
| 1000000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country <br> Utils Proj (b) | 5.00% | 10/01/34 | 1020643 |
| 4750000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country <br> Utils Proj, Ser A, AMT (b) | 4.00% | 10/01/51 | 3868856 |
| 485000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 490007 |
| 1000000 | Coco Palms FL CDD Spl Assmnt | 5.00% | 05/01/46 | 997724 |
| 1500000 | Connerton E CDD FL Spl Assmnt Area One | 5.25% | 06/15/43 | 1554425 |
| 490000 | Crossings CDD FL Spl Assmnt Area Two | 5.60% | 05/01/54 | 490081 |
| 1000000 | Crosswinds E CDD FL Spl Assmnt Area One Proj | 5.50% | 05/01/44 | 1026564 |
| 1500000 | Crosswinds E CDD FL Spl Assmnt Area One Proj | 5.75% | 05/01/54 | 1516902 |
| 600000 | Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (b) | 3.63% | 05/01/40 | 570596 |
| 1640000 | Eden Hills Cmnty Dev Dist FL Spl Assmnt | 4.00% | 05/01/42 | 1552398 |
| 1765000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/51 | 1380758 |
| 2635000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/52 | 2115366 |
| 3040000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 2521075 |
| 590000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (b) | 5.00% | 11/01/29 | 607771 |
| 995000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (b) | 5.50% | 11/01/39 | 1033724 |
| 1250000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 1093955 |
| 1250000 | FL Dev Fin Corp Hlthcare Facs Rev Tampa General Hosp Proj, <br>Ser A (h) | 5.00% | 08/01/47 | 1285562 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $1000000 | FL Loc Govt Fin Commn Sr Living Rev Fleet Landing at Nocatee <br> Proj, Ser A (b) | 6.63% | 11/15/45 | $1060705 |
| 1000000 | FL St Dev Fin Corp Sol Wst Disp Rev Var GFL Solid Wst SE LLC <br> Proj, Ser A, AMT (Mandatory put 10/01/31) (b) | 4.38% | 10/01/54 | 1010275 |
| 2000000 | FL St Dev Fin Corp Sol Wst Disp Rev Var Wst Pro USA Inc Proj, <br> AMT (Mandatory put 07/01/26) (b) | 6.13% | 07/01/32 | 2006296 |
| 1005000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty <br> Proj, Ser A (b) | 4.00% | 06/01/41 | 884328 |
| 750000 | FL St Dev Fin Corp Sr SFP Tampa I The Henry Proj, Ser A1 (b) | 5.00% | 06/01/44 | 732045 |
| 500000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (b) | 4.00% | 05/01/40 | 487155 |
| 1750000 | Fort Lauderdale FL Wtr & Swr Rev Enabling Wks Proj, Ser A | 5.50% | 09/01/53 | 1894038 |
| 190000 | Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1 | 4.80% | 05/01/31 | 194392 |
| 300000 | Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1 | 5.38% | 05/01/44 | 306484 |
| 650000 | Groves at Lake Marion CDD FL Spl Assmnt (b) | 5.30% | 12/15/46 | 644612 |
| 2000000 | Gtr Orlando Aviation Auth FL Spl Purp Arpt Facs Rev United Airls <br> Inc Proj, AMT | 5.25% | 11/01/35 | 2149839 |
| 2405000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 2062627 |
| 2000000 | Halifax FL Hosp Med Ctr Ref | 5.00% | 06/01/36 | 2008819 |
| 440000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 4.70% | 05/01/31 | 450078 |
| 500000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 5.50% | 05/01/44 | 509238 |
| 1000000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 5.80% | 05/01/54 | 1002742 |
| 1825000 | Hillsborough Cnty FL Aviation Auth Pfc Sub Tampa Intl Arpt, <br>Ser A, AMT | 5.00% | 10/01/48 | 1830052 |
| 500000 | Hillsborough Cnty FL Aviation Auth Tampa Intl Arpt, Ser B, AMT | 5.50% | 10/01/49 | 531735 |
| 520000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Azario Proj | 3.75% | 05/01/40 | 492849 |
| 2565000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood <br> Ranch SE Proj | 5.80% | 05/01/45 | 2666465 |
| 1750000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood <br> Ranch SE Proj | 6.00% | 05/01/56 | 1803102 |
| 750000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector <br> Proj Phase 1A | 5.00% | 05/01/38 | 765850 |
| 765000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Palm Grove <br> Proj | 5.50% | 05/01/55 | 766619 |
| 100000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref NE <br> Sector Proj Phase 2B (b) | 4.00% | 05/01/50 | 83028 |
| 1325000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev <br> Stewardship Dist Azario Proj | 4.00% | 05/01/50 | 1101719 |
| 2500000 | Langley S CDD FL Spl Assmnt Area One | 5.40% | 05/01/55 | 2475686 |
| 1140000 | Langley S CDD FL Spl Assmnt Area One | 5.13% | 05/01/44 | 1149510 |
| 1150000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point <br> Waterside Hlth Proj | 5.00% | 11/15/49 | 1143355 |
| 300000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area <br> Two Proj Pod 5, Ser AA2 | 5.70% | 05/01/44 | 305896 |
| 1130000 | Mangrove Point & Mangrove Manor CDD Capital Impt | 4.25% | 05/01/42 | 1007951 |
| 435000 | Mangrove Point & Mangrove Manor CDD Capital Impt | 4.38% | 05/01/52 | 350130 |
| 2570000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 2574010 |
| 2500000 | Miami-Dade Cnty FL Aviation Rev, Ser A, AMT | 5.00% | 10/01/49 | 2507925 |
| 1000000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/47 | 1007511 |
| 1900000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.25% | 10/01/52 | 1926490 |
| 1880000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1891646 |
| 1500000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area Two | 3.38% | 11/01/41 | 1310229 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $1000000 | N Springs FL Impt Dist Parkland Bay Assmt Area (b) | 4.88% | 05/01/38 | $1012035 |
| 2000000 | N Sumter Cnty FL Util Dependent Dist Util Rev Sr Central Sumter <br> Util | 5.00% | 10/01/49 | 2035445 |
| 1485000 | Normandy CDD FL Capital Impt Rev Assmnt Area One (b) | 5.30% | 05/01/44 | 1472856 |
| 225000 | Nthrn Palm Beach Cnty FL Impt Dist | 3.45% | 08/01/41 | 187468 |
| 1240000 | Okaloosa Cnty FL Indl Dev Rev Air Force Enlisted Vlg Inc Proj (b) | 5.50% | 05/15/45 | 1269012 |
| 1000000 | Okaloosa Cnty FL Indl Dev Rev Air Force Enlisted Vlg Inc Proj (b) | 5.75% | 05/15/55 | 1017401 |
| 1300000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 4.00% | 06/15/40 | 1243891 |
| 1800000 | Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys <br> Inc, Ser A | 5.00% | 11/15/45 | 1815143 |
| 1000000 | Palm Beach Cnty FL Rev Sr Bond Provident Grp PBAU Properties <br> II LLC, Ser A (b) | 5.75% | 10/01/55 | 1029741 |
| 465000 | Parkland Preserve CDD FL Spl Assmnt Rev 2019A Spl <br> Assmnts, Ser A | 5.25% | 05/01/39 | 482938 |
| 855000 | Parrish Lakes CDD FL Capital Impt Rev Assmnt Area Three | 5.50% | 05/01/44 | 869757 |
| 925000 | Pioneer Ranch CDD FL Spl Assmnt | 5.00% | 05/01/44 | 925572 |
| 1000000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary <br> Phosphate Tailings Recovery Proj (c) (f) | 5.88% | 01/01/33 | 200000 |
| 610000 | Pompano Beach FL Rev John Knox Vlg Proj, Ser A | 4.00% | 09/01/41 | 581654 |
| 1050000 | Pompano Beach FL Rev Ref John Knox Vlg Proj | 4.00% | 09/01/50 | 876905 |
| 690000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 5.88% | 12/15/43 | 739037 |
| 990000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 6.13% | 12/15/53 | 1051579 |
| 1730000 | Reunion E FL CDD Spl Assmnt, Ser 2021 | 4.00% | 05/01/51 | 1465107 |
| 390000 | Rivington CDD FL Spl Assmnt Rev 2022 Assmnt Area | 4.00% | 05/01/52 | 320179 |
| 760000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 3.38% | 05/01/31 | 746070 |
| 500000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar's <br> Landing Proj, Ser A | 4.00% | 12/15/36 | 485672 |
| 750000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar's <br> Landing Proj, Ser A | 4.00% | 12/15/41 | 679422 |
| 2765000 | Saltleaf CDD FL Capital Impt Rev | 6.00% | 05/01/56 | 2805223 |
| 1880000 | Sandridge Cmnty Dev Dist FL Spl Assmnt Rev Phase II Proj | 4.30% | 05/01/52 | 1594758 |
| 2000000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 1916466 |
| 2000000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 1707599 |
| 2000000 | Scenic Terrace S CDD FL Spl Assmnt Proj, Ser 2022 | 4.63% | 05/01/53 | 1804767 |
| 1500000 | Seagrove CDD FL Spl Assmnt | 4.88% | 06/15/44 | 1475718 |
| 490000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (b) | 5.25% | 11/01/39 | 505734 |
| 1000000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 3.50% | 06/15/41 | 926823 |
| 1945000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 1622551 |
| 575000 | Sugarloaf CDD FL Capital Impt Rev Assmnt Area One (b) | 5.38% | 12/15/46 | 575823 |
| 100000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 4.00% | 05/01/50 | 83390 |
| 1580000 | Sunrise CDD FL Capital Impt Rev (b) | 5.63% | 05/01/45 | 1569173 |
| 2300000 | The Heights CDD FL Spl Assmnt Rev CDD | 5.00% | 01/01/50 | 2232937 |
| 1250000 | Three Rivers CDD FL | 5.50% | 05/01/45 | 1250497 |
| 835000 | Triple Creek FL CDD Spl Assmnt Vlgs Q&R Proj (b) | 4.00% | 11/01/51 | 686740 |
| 1050000 | Trout Creek CDD FL Capital Impt Rev | 4.00% | 05/01/51 | 868201 |
| 895000 | V-Dana CDD FL Spl Assmnt Area Two 2025 Proj Area | 5.38% | 05/01/45 | 903482 |
| 725000 | Venice FL Vlg on The Isle Proj, Ser A (b) | 5.50% | 01/01/55 | 713318 |
| 995000 | Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E <br> Proj | 5.38% | 05/01/54 | 1004069 |
| 185000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 186843 |
| 3400000 | Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj | 5.25% | 06/01/49 | 3465816 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $2660000 | W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1 | 4.63% | 05/01/38 | $2667521 |
| 990000 | W Vlgs FL Impt Dist Unit Dev #10 Assmnt Area One | 5.38% | 05/01/44 | 1008721 |
| 500000 | W Vlgs FL Impt Dist Unit of Dev #10 Assmnt Area Two | 5.25% | 05/01/45 | 500619 |
| 900000 | Westside FL CDD Spl Assmnt Rev Ref (b) | 4.13% | 05/01/38 | 888083 |
| 1230000 | Westview S CDD FL Spl Assmnt Area One 2023 Proj Area | 5.38% | 05/01/43 | 1265782 |
| 1210000 | Wildblue CDD FL Spl Assmnt (b) | 4.25% | 06/15/39 | 1169208 |
|  |  |  |  | 146329984 |
|  | **Georgia — 3.2%** | **Georgia — 3.2%** | **Georgia — 3.2%** |  |
| 1000000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, <br>Ser D, AMT | 4.00% | 07/01/37 | 1007734 |
| 1000000 | Atlanta GA Dev Auth Convertible Ctfs, Class A, Ser 1, CABS, <br> steps up to 6.50% on 06/15/28 (b) (g) | 0.00% | 12/15/48 | 901145 |
| 500000 | Atlanta GA Dev Auth Westside Gulch Area Proj, Ser A-1 (b) | 5.00% | 04/01/34 | 514841 |
| 2800000 | Bartow Cnty GA Dev Auth Solid Wst Disp Fac Rev Var GA Pwr <br> Co Plt Bowen Proj, AMT (a) | 3.30% | 11/01/62 | 2800000 |
| 1800000 | Burke Cnty GA Dev Auth Poll Control Rev Adjustable GA Pwr Co <br> Plant Vogtle Proj Remk (a) | 3.30% | 11/01/52 | 1800000 |
| 3000000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj (a) | 3.10% | 11/01/52 | 3000000 |
| 500000 | Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy <br> Proj, Ser A (b) | 6.00% | 06/15/43 | 505626 |
| 1750000 | Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy <br> Proj, Ser A (b) | 6.40% | 06/15/53 | 1750827 |
| 1125000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth <br> Sys Inc Proj, Ser A | 5.75% | 04/01/53 | 1205589 |
| 2000000 | Floyd Cnty GA Dev Auth Adj GA Pwr Co Plt Hammond Proj (a) | 3.20% | 09/01/26 | 2000000 |
| 2275000 | Fulton Cnty GA Dev Auth Rev Piedmont Hlthcare Inc Proj <br> Multimodal Bond, Ser A | 4.00% | 07/01/49 | 2031226 |
| 1335000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref <br> Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 1343382 |
| 500000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel <br> Second Tier, Ser B (b) | 5.00% | 01/01/36 | 515512 |
| 1750000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 12/01/29) | 4.00% | 09/01/52 | 1789031 |
| 1000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 12/01/28) | 4.00% | 05/01/52 | 1019184 |
| 3660000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 09/01/30) | 5.00% | 09/01/53 | 3892070 |
| 2000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 12/01/30) | 5.00% | 05/01/54 | 2119718 |
| 1000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser E-1 (Mandatory put <br> 06/01/31) | 5.00% | 12/01/53 | 1071680 |
|  |  |  |  | 29267565 |
|  | **Guam — 0.0%** | **Guam — 0.0%** | **Guam — 0.0%** |  |
| 155000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 157356 |
|  | **Hawaii — 0.1%** | **Hawaii — 0.1%** | **Hawaii — 0.1%** |  |
| 1000000 | HI St Dept of Budget & Fin Spl Purp Rev Ref HI Pacific Univ <br> Proj (b) | 5.13% | 07/01/43 | 961721 |
|  | **Idaho — 0.9%** | **Idaho — 0.9%** | **Idaho — 0.9%** |  |
| 1300000 | Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Five (b) | 5.88% | 09/01/53 | 1321526 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Idaho (Continued)** | **Idaho (Continued)** | **Idaho (Continued)** |  |
| $1500000 | Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Six, Ser B (b) | 5.50% | 09/01/53 | $1485335 |
| 900000 | ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (b) | 5.25% | 05/15/51 | 856946 |
| 4000000 | Spring Vly Cmnty Infra Dist #1 Spl Assmnt Area Two (b) | 6.25% | 09/01/53 | 4097176 |
|  |  |  |  | 7760983 |
|  | **Illinois — 3.6%** | **Illinois — 3.6%** | **Illinois — 3.6%** |  |
| 1750000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 1824588 |
| 1000000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 1018818 |
| 1000000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/41 | 997781 |
| 1590000 | Chicago IL Brd of Edu, Ser D | 5.00% | 12/01/46 | 1518033 |
| 750000 | Chicago IL Chicago Wks, Ser A | 5.50% | 01/01/40 | 795359 |
| 3000000 | Chicago IL O'Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/48 | 3001862 |
| 5500000 | Chicago IL O'Hare Intl Arpt Rev Sr Lien, Ser E, AMT | 5.50% | 01/01/48 | 5819139 |
| 1300000 | Chicago IL Park Dist Ref, Ser A, BAM | 4.00% | 01/01/32 | 1344216 |
| 1415000 | Cook Cnty IL MF Hsg Rev Deerfield Supportive Living Proj | 6.50% | 01/01/45 | 1438014 |
| 250000 | IL St | 5.50% | 05/01/26 | 251815 |
| 250000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 254915 |
| 250000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 254556 |
| 1000000 | IL St Fin Auth Rev Ref Moorings of Arlington Heights, Ser A | 5.13% | 11/01/46 | 1009343 |
| 100000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev CHF Chicago LLC Univ <br> IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 100047 |
| 300000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev CHF Chicago LLC Univ <br> IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 304294 |
| 145000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev CHF Chicago LLC Univ <br> IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 147977 |
| 1750000 | IL St, Ser A | 5.50% | 03/01/47 | 1837837 |
| 1365000 | IL St, Ser B | 5.50% | 05/01/47 | 1434463 |
| 2000000 | IL St, Ser C | 5.00% | 11/01/29 | 2079128 |
| 1655407 | Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev <br> Proj, Ser A, COPS (b) | 4.82% | 01/01/41 | 1656029 |
| 1100000 | Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev <br> Proj, Ser B, COPS (b) | 5.75% | 12/01/43 | 1119433 |
| 1000000 | S Wstrn IL Dev Auth Envrnmntl Impt Rev US Steel Corp Proj | 5.75% | 08/01/42 | 1000615 |
| 3000000 | Schaumburg Cook & DuPage Cntys IL Tax Incr Rev NT N <br> Schaumburg Redev Proj Area Proj Rev Nts, COPS (b) | 6.13% | 12/30/38 | 3033312 |
|  |  |  |  | 32241574 |
|  | **Indiana — 1.7%** | **Indiana — 1.7%** | **Indiana — 1.7%** |  |
| 1410000 | Carmel IN Redev Auth | 3.00% | 07/15/40 | 1315998 |
| 250000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (b) | 5.30% | 01/01/32 | 249125 |
| 1410000 | IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj <br> Remk, Ser A-1, AMT (Mandatory put 06/01/32) | 4.50% | 05/01/35 | 1427993 |
| 535000 | IN St Fin Auth Hlth Fac Rev Margaret Mary Hlth Proj, Ser A | 5.50% | 03/01/44 | 563510 |
| 1250000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.25% | 03/01/50 | 1259003 |
| 2435000 | IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A | 5.00% | 07/01/49 | 2439468 |
| 1250000 | IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A | 5.00% | 07/01/54 | 1239892 |
| 4525000 | IN St Muni Pwr Agy Var Ref Remk, Ser B (a) | 3.20% | 01/01/42 | 4525000 |
| 1700000 | Indianapolis IN Loc Pub Impt Bond Bank Sr Convention Ctr <br> Hotel, Ser E | 6.00% | 03/01/53 | 1768965 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Indiana (Continued)** | **Indiana (Continued)** | **Indiana (Continued)** |  |
| $400000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | $398191 |
| 500000 | Valparaiso IN Exempt Facs Rev Ref Pratt Paper IN LLC Proj, <br> AMT (b) | 4.88% | 01/01/44 | 509131 |
|  |  |  |  | 15696276 |
|  | **Iowa — 0.7%** | **Iowa — 0.7%** | **Iowa — 0.7%** |  |
| 1600000 | Dallas Ctr IA Grimes Cmnty Sch Dist | 3.00% | 05/01/39 | 1476828 |
| 3000000 | IA St Fin Auth Midwstrn Disaster Area Rev Alcoa Inc Proj | 4.75% | 08/01/42 | 3000499 |
| 1300000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Co <br> Proj (Pre-refunded maturity 12/01/32) | 5.00% | 12/01/50 | 1511466 |
| 750000 | IA St Fin Auth Sr Living Fac Rev Presbyterian Homes Mill Pond <br> Proj Ref | 5.75% | 10/01/55 | 763201 |
|  |  |  |  | 6751994 |
|  | **Kansas — 0.4%** | **Kansas — 0.4%** | **Kansas — 0.4%** |  |
| 1950000 | Lenexa KS Hlth Care Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/43 | 1952056 |
| 175000 | Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & <br> Rec Projs | 5.50% | 09/01/34 | 204593 |
| 1250000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg <br> E Proj Areas 2B 3 5 (b) | 5.75% | 09/01/39 | 1279338 |
|  |  |  |  | 3435987 |
|  | **Kentucky — 1.7%** | **Kentucky — 1.7%** | **Kentucky — 1.7%** |  |
| 1500000 | Boyle Cnty KY Eductnl Facs Rev Ref Ctr Clg, Ser A | 5.25% | 06/01/43 | 1574327 |
| 875000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, <br> AMT (b) | 4.45% | 01/01/42 | 878373 |
| 2000000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, <br> AMT (b) | 4.70% | 01/01/52 | 1885219 |
| 1650000 | Jefferson Cnty KY Sch Dist Fin Corp Sch Bldg Rev, Ser B | 3.00% | 12/01/38 | 1491331 |
| 1000000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/41 | 1005283 |
| 1500000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser A-1 (Mandatory put <br> 02/01/32) | 5.25% | 04/01/54 | 1621970 |
| 2525000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put <br> 02/01/28) | 4.00% | 02/01/50 | 2564938 |
| 1000000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton <br> Hlthcare Inc, Ser A | 4.00% | 10/01/39 | 992501 |
| 3600000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj <br> Sustainable Bond, Ser B-1 (a) | 3.65% | 08/01/61 | 3600000 |
|  |  |  |  | 15613942 |
|  | **Louisiana — 1.0%** | **Louisiana — 1.0%** | **Louisiana — 1.0%** |  |
| 2000000 | LA Pub Facs Auth Rev Acadiana Renaissance Chrt Acdmy Proj (b) | 6.00% | 06/15/59 | 2007112 |
| 2000000 | LA Pub Facs Auth Rev I-10 Calcasieu River Bridge Pub Priv <br> Partnership Proj, AMT | 5.75% | 09/01/64 | 2062121 |
| 200000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 212241 |
| 1000000 | New Orleans LA Sewage Svc Rev, Ser B | 5.00% | 06/01/45 | 1020974 |
| 1000000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, <br>Ser 2010 (b) | 6.35% | 07/01/40 | 1100296 |
| 1000000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, <br>Ser 2010A (b) | 6.35% | 10/01/40 | 1100156 |
| 1600000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj <br> Remk, Ser 2010B (Mandatory put 06/01/30) (b) | 6.10% | 12/01/40 | 1774592 |
|  |  |  |  | 9277492 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Maine — 0.2%** | **Maine — 0.2%** | **Maine — 0.2%** |  |
| $1500000 | ME St Fin Auth Univ of New England Issue | 5.50% | 07/01/50 | $1594619 |
|  | **Maryland — 1.2%** | **Maryland — 1.2%** | **Maryland — 1.2%** |  |
| 1020000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1031269 |
| 175000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.95% | 06/01/27 | 173341 |
| 185000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.05% | 06/01/28 | 182631 |
| 200000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.15% | 06/01/29 | 197350 |
| 190000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.20% | 06/01/30 | 186948 |
| 800000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology <br> Park Proj, Ser B (b) | 4.63% | 07/01/43 | 791185 |
| 1000000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A | 5.38% | 07/01/38 | 1081383 |
| 400000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Kennedy Kriegern <br> Issue, Ser A | 5.25% | 07/01/44 | 421571 |
| 3000000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth <br> Issue, Ser A (h) | 5.25% | 08/15/51 | 3121463 |
| 3675000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Meritus Hlth Issue | 5.25% | 07/01/50 | 3792217 |
|  |  |  |  | 10979358 |
|  | **Massachusetts — 0.8%** | **Massachusetts — 0.8%** | **Massachusetts — 0.8%** |  |
| 1000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.25% | 07/01/50 | 1013322 |
| 360000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (b) | 5.00% | 11/15/28 | 371323 |
| 1450000 | MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (b) | 5.00% | 07/01/54 | 1397163 |
| 1000000 | MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (b) | 5.00% | 07/01/60 | 950560 |
| 1020000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | 1033231 |
| 2500000 | MA St Dev Fin Agy Sr Living Rev Care Cmntys LLC Obligated <br> Grp, Ser A-1 (b) | 6.50% | 07/15/60 | 2500910 |
|  |  |  |  | 7266509 |
|  | **Michigan — 1.2%** | **Michigan — 1.2%** | **Michigan — 1.2%** |  |
| 1100000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/46 | 1115362 |
| 4650000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/50 | 4678747 |
| 1000000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.25% | 07/01/48 | 1064731 |
| 1750000 | Kentwood MI Econ Dev Corp Ref Holland Home Oblig Grp | 5.00% | 11/15/37 | 1760810 |
| 1500000 | Mattawan MI Consol Sch Dist, Ser I | 5.00% | 05/01/47 | 1563625 |
| 1000000 | MI St Strategic Fund Ltd Oblg Rev Holland Home | 5.00% | 11/15/42 | 1001646 |
|  |  |  |  | 11184921 |
|  | **Minnesota — 1.2%** | **Minnesota — 1.2%** | **Minnesota — 1.2%** |  |
| 600000 | Apple Vly MN Sr Hsg Rev Phs Apple Vly Sr Hsg Inc Orchard Path <br> Phase III Proj, Ser A | 5.50% | 09/01/55 | 606656 |
| 815000 | Apple Vly MN Sr Hsg Rev Phs Apple Vly Sr Hsg Inc Orchard Path <br> Phase III Proj, Ser A | 5.63% | 09/01/65 | 828891 |
| 1000000 | Apple Vly MN Sr Hsg Rev Ref Phs Apple Vly Sr Hsg Inc Orchard <br> Path Proj | 5.00% | 09/01/43 | 999927 |
| 500000 | Eagan MN Chrtr Sch Lease Rev Great Oaks Acdmy, Ser A (b) | 6.38% | 02/01/55 | 487197 |
| 100000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj | 3.80% | 08/01/27 | 99566 |
| 2450000 | Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Subord <br> Priv Activity, Ser B, AMT | 5.25% | 01/01/42 | 2663019 |
| 1655000 | Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Subord <br> Priv Activity, Ser B, AMT | 5.25% | 01/01/49 | 1701028 |
| 975000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr <br> Ground Acdmy Proj | 4.25% | 12/01/32 | 1009510 |
| 105000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 105114 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Minnesota (Continued)** | **Minnesota (Continued)** | **Minnesota (Continued)** |  |
| $1390000 | Saint Paul MN Hsg & Redev Auth Hlth Care Rev Ref Sys Fairview <br> Hlth Svcs, Ser A | 5.00% | 11/15/47 | $1372532 |
| 850000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, <br>Ser A | 4.00% | 07/01/41 | 732486 |
| 660000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, <br>Ser A | 4.00% | 07/01/51 | 489724 |
|  |  |  |  | 11095650 |
|  | **Mississippi — 0.4%** | **Mississippi — 0.4%** | **Mississippi — 0.4%** |  |
| 1400000 | Gulfport MS Hosp Fac Rev Memorial Hosp at Gulfport Proj | 5.50% | 07/01/50 | 1450247 |
| 1925000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc PJ, Ser A (a) | 3.40% | 12/01/30 | 1925000 |
|  |  |  |  | 3375247 |
|  | **Missouri — 2.6%** | **Missouri — 2.6%** | **Missouri — 2.6%** |  |
| 3375000 | Kansas City MO Indl Dev Auth Econ Activity Tax Rev Historic NE <br> Redev Plan, Ser A-1 (b) | 5.00% | 06/01/54 | 3252493 |
| 3000000 | Kansas City MO Indl Dev Auth Ref Platte Pur Proj A C & E (b) | 6.00% | 01/01/48 | 3042953 |
| 500000 | Lees Summit MO Indl Dev Auth Sr Living Facs Rev John Knox <br> Vlg, Ser A | 5.00% | 08/15/51 | 451847 |
| 1000000 | Lees Summit MO Indl Dev Auth Sr Living Facs Rev Ref John <br> Knox Vlg, Ser A | 5.00% | 08/15/39 | 1044626 |
| 925000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref BJC Hlth <br> Sys, Ser A | 4.00% | 07/01/46 | 850616 |
| 550000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs <br> Projs, Ser A, Ser ASR | 5.00% | 02/01/29 | 561430 |
| 1070000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs <br> Projs, Ser A, Ser ASR | 5.00% | 02/01/42 | 1080730 |
| 550000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 567285 |
| 10000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10014 |
| 3045000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.25% | 02/01/48 | 3075622 |
| 1145000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser B | 5.00% | 02/01/46 | 1143856 |
| 1000000 | Phelps Cnty MO Hosp Rev Phelps Hlth | 6.00% | 12/01/55 | 1063752 |
| 250000 | St Charles Cnty MO Pub Wtr Sply Dist #2 Pub Wtr Sply Dist No 2, <br> COPS | 4.00% | 12/01/44 | 243224 |
| 730000 | St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg St <br> Louis Oblig Grp, Ser A | 5.25% | 09/01/53 | 714411 |
| 4450000 | St Louis Cnty MO Indl Dev Auth Sr Living Facs Ref Friendship <br> Vlg St Louis | 5.00% | 09/01/48 | 4280236 |
| 2000000 | Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra <br> Proj (b) | 6.00% | 10/01/49 | 1992685 |
|  |  |  |  | 23375780 |
|  | **Nebraska — 0.1%** | **Nebraska — 0.1%** | **Nebraska — 0.1%** |  |
| 750000 | Omaha NE Arpt Auth Arpt Facs, AG, AMT | 5.25% | 12/15/43 | 813994 |
|  | **Nevada — 0.5%** | **Nevada — 0.5%** | **Nevada — 0.5%** |  |
| 930000 | Clark Cnty NV Sch Dist, Ser B, BAM | 3.00% | 06/15/41 | 810478 |
| 760000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.00% | 03/01/38 | 790372 |
| 975000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.25% | 03/01/48 | 978525 |
| 445000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin <br> Vlg 29 | 5.75% | 06/01/43 | 474936 |
| 495000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin <br> Vlg 29 | 6.00% | 06/01/48 | 521479 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Nevada (Continued)** | **Nevada (Continued)** | **Nevada (Continued)** |  |
| $185000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | $185707 |
| 700000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/37 | 700136 |
|  |  |  |  | 4461633 |
|  | **New Hampshire — 2.3%** | **New Hampshire — 2.3%** | **New Hampshire — 2.3%** |  |
| 2000000 | Natl Fin Auth NH Rev Ref Sustainable Bond, Ser B, AMT <br> (Mandatory put 07/02/40) (b) | 3.75% | 07/01/45 | 1667985 |
| 1500000 | Natl Fin Auth NH Rev Winston Salem Sustainable Energy <br> Partners, Ser A | 5.50% | 06/01/50 | 1563178 |
| 1400000 | Natl Fin Auth NH Spl Rev (b) | 5.88% | 12/15/33 | 1400595 |
| 1000000 | Natl Fin Auth NH Spl Rev (b) | 5.38% | 12/15/35 | 999711 |
| 2500000 | Natl Fin Auth NH Spl Rev Canyon Ranch Proj, CABS (b) | (d) | 12/01/35 | 1286246 |
| 2000000 | Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (b) | 5.38% | 12/01/31 | 2002003 |
| 2000000 | Natl Fin Auth NH Spl Rev Megatel Projs, CABS (b) | (d) | 12/15/33 | 1254013 |
| 2000000 | Natl Fin Auth NH Spl Rev Provence Proj, CABS (b) | (d) | 12/01/31 | 1368925 |
| 3000000 | Natl Fin Auth NH Spl Rev The Chambers Creek Proj, CABS (b) | (d) | 12/15/32 | 1916687 |
| 1200000 | Natl Fin Auth NH Spl Rev The Highlands Proj | 5.13% | 12/15/30 | 1202004 |
| 4413000 | Natl Fin Auth NH Spl Rev The La Segarra Proj, CABS (h) | (d) | 12/01/39 | 1651913 |
| 2000000 | Natl Fin Auth NH Spl Rev The Wildflower Proj, CABS (b) | (d) | 12/15/33 | 1210877 |
| 3500000 | NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp <br> Issue | 5.50% | 08/01/50 | 3729822 |
|  |  |  |  | 21253959 |
|  | **New Jersey — 0.2%** | **New Jersey — 0.2%** | **New Jersey — 0.2%** |  |
| 950000 | NJ St Econ Dev Auth Spl Fac Rev Continental Airls Inc Proj <br> Remk, Ser B, AMT | 5.63% | 11/15/30 | 953807 |
| 100000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 100085 |
| 560000 | NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog <br> Bonds, Ser CC | 5.25% | 06/15/41 | 619469 |
|  |  |  |  | 1673361 |
|  | **New Mexico — 0.2%** | **New Mexico — 0.2%** | **New Mexico — 0.2%** |  |
| 529000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 3.75% | 05/01/28 | 526122 |
| 500000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.00% | 05/01/33 | 492594 |
| 500000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.25% | 05/01/40 | 482253 |
|  |  |  |  | 1500969 |
|  | **New York — 3.6%** | **New York — 3.6%** | **New York — 3.6%** |  |
| 1000000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub <br> Sch Facs Canal W Proj | 5.25% | 07/01/52 | 1000847 |
| 449154 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds <br> Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 491065 |
| 1250000 | Genesee Cnty NY Funding Corp Rochester Regl Hlth Energy <br> Proj, Ser A | 5.25% | 12/01/50 | 1277227 |
| 600000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children <br> Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 608042 |
| 2000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev <br> Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (a) | 3.25% | 06/15/50 | 2000000 |
| 2625000 | New York City NY Transitional Fin Auth Rev Future Tax Secured <br> Subord Bonds, Ser C-1 | 4.00% | 02/01/42 | 2622097 |
| 2500000 | NY Energy Fin Dev Corp Var (Mandatory put 12/01/33) | 5.00% | 07/01/56 | 2666829 |
| 1800000 | NY NY Var Fiscal 2023, Ser A-4 (a) | 3.20% | 09/01/49 | 1800000 |
| 525000 | NY St Dorm Auth Revs Non St Supported Debt Iona Clg, Ser A | 5.00% | 07/01/46 | 528248 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **New York (Continued)** | **New York (Continued)** | **New York (Continued)** |  |
| $300000 | NY St Dorm Auth Revs Non St Supported Debt New York Institute <br> of Technology | 5.00% | 07/01/44 | $309145 |
| 1250000 | NY St Dorm Auth Revs Non St Supported Debt White Plains Hosp <br> Obligated Grp | 5.25% | 10/01/49 | 1260956 |
| 1925000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1649252 |
| 500000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc <br> Areas Proj, AMT | 4.00% | 10/31/46 | 443105 |
| 1250000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia <br> Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/40 | 1287366 |
| 2540000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia <br> Arpt Terminals C&D Redev, AMT | 4.38% | 10/01/45 | 2405483 |
| 1000000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc <br> John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | 1001071 |
| 3660000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl <br> Arpt Proj, AMT | 5.25% | 08/01/31 | 3807306 |
| 165000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt New Terminal, AMT | 5.25% | 06/30/49 | 166885 |
| 1515000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt New Terminal, AMT | 5.50% | 06/30/54 | 1538521 |
| 1000000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt Terminal One Prj, AMT | 6.00% | 06/30/54 | 1039950 |
| 500000 | Oyster Bay NY, Ser A, AG | 2.00% | 03/01/35 | 436713 |
| 2000000 | Suffolk Regl Off Track Betting Corp NY Rev | 5.75% | 12/01/44 | 2052455 |
| 2000000 | Suffolk Regl Off Track Betting Corp NY Rev | 6.00% | 12/01/53 | 2040106 |
| 100000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn <br> Memorial Home Assn Proj | 5.00% | 07/01/34 | 103116 |
|  |  |  |  | 32535785 |
|  | **North Carolina — 2.3%** | **North Carolina — 2.3%** | **North Carolina — 2.3%** |  |
| 3300000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For the <br> Aging Ref, Ser A | 4.00% | 03/01/41 | 3181449 |
| 2000000 | NC St Med Care Commn Retmnt Facs Rev Carolina Meadows | 4.50% | 12/01/44 | 1956471 |
| 3200000 | NC St Med Care Commn Retmnt Facs Rev Carolina Meadows | 5.25% | 12/01/54 | 3251275 |
| 2000000 | NC St Med Care Commn Retmnt Facs Rev Deerfield Episcopal <br> Retmnt Cmnty Proj, Ser A | 5.25% | 11/01/46 | 2061546 |
| 2090000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield <br> Proj, Ser A | 5.00% | 10/01/45 | 1997642 |
| 2850000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2865360 |
| 1780000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 1533554 |
| 525000 | NC St Med Care Commn Retmnt Facs Rev The United Methodist <br> Retmnt Homes Proj, Ser A | 5.00% | 10/01/44 | 535397 |
| 1500000 | NC St Med Care Commn Retmnt Facs Rev The United Methodist <br> Retmnt Homes Proj, Ser A | 5.00% | 10/01/49 | 1502945 |
| 1000000 | NC St Med Care Commn Retmnt Facs Rev Twin Lakes Cmnty, <br>Ser A | 5.25% | 01/01/55 | 1005401 |
| 535000 | NC St Med Care Commn Retmnt Facs Rev United Methodist <br> Retmnt Homes Proj, Ser A | 5.13% | 10/01/45 | 552215 |
|  |  |  |  | 20443255 |
|  | **North Dakota — 0.0%** | **North Dakota — 0.0%** | **North Dakota — 0.0%** |  |
| 520000 | Horace ND Ref | 3.00% | 05/01/36 | 452772 |
|  | **Ohio — 3.3%** | **Ohio — 3.3%** | **Ohio — 3.3%** |  |
| 4250000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 3501306 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Ohio (Continued)** | **Ohio (Continued)** | **Ohio (Continued)** |  |
| $900000 | Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr <br> Flats E Bank Proj, Ser A (b) | 4.00% | 12/01/55 | $687784 |
| 2000000 | Columbus Franklin Cnty OH Fin Auth Mf Hsg Rev Silver Birch of <br> Columbus Proj, Ser A (b) | 6.05% | 01/01/46 | 2015058 |
| 3750000 | Columbus OH Regl Arpt Auth Rev Ref John Glenn Columbus Intl <br> Arpt, Ser A, AMT | 5.50% | 01/01/50 | 3953313 |
| 2245000 | Franklin Cnty OH Rev Trinity Hlth Credit Grp OH, Ser A | 5.00% | 12/01/47 | 2262462 |
| 500000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, <br>Ser A | 5.25% | 01/01/38 | 533948 |
| 500000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, <br>Ser A | 5.50% | 01/01/43 | 524330 |
| 105000 | Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj | 5.25% | 01/01/45 | 107334 |
| 2025000 | Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj | 5.50% | 01/01/50 | 2072960 |
| 2500000 | Muskingum Cnty OH Hosp Facs Genesis Hlthcare Sys Proj | 5.00% | 02/15/44 | 2499807 |
| 500000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 <br> Proj, Ser A | 5.00% | 12/01/45 | 486055 |
| 3000000 | OH St Hsg Fin Agy Mf Hsg Rev Green Oaks of Canal Winchester <br> Proj, Ser A | 6.30% | 01/01/45 | 3060013 |
| 2000000 | OH St Hsg Fin Agy Mf Hsg Rev Silver Birch of Canton Proj, <br>Ser A (b) | 6.25% | 01/01/45 | 2068823 |
| 1250000 | OH St Hsg Fin Agy Mf Hsg Rev Silver Birch of Mason Proj, <br>Ser A (b) | 6.10% | 01/01/46 | 1264041 |
| 320000 | Port of Gtr Cincinnati Dev Auth OH Rev (b) | 3.75% | 12/01/31 | 327753 |
| 3000000 | Port of Gtr Cincinnati Dev Auth OH Tax Incr Fing Rev RBM Phase <br> 3 Garage Proj | 5.13% | 12/01/55 | 2881404 |
| 1420000 | Warren Cnty OH Hosp Facs Rev Ref Cmnty First Solutions <br> Obligated Grp, Ser A | 5.00% | 05/15/49 | 1404593 |
|  |  |  |  | 29650984 |
|  | **Oklahoma — 0.9%** | **Oklahoma — 0.9%** | **Oklahoma — 0.9%** |  |
| 2400000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (c) | 7.25% | 09/01/51 | 2372805 |
| 1475000 | Sand Springs OK Muni Auth Utils Sys Rev Ref | 3.00% | 11/01/42 | 1229274 |
| 1165000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc <br> Proj | 5.25% | 11/15/37 | 1184261 |
| 1750000 | Tulsa OK Muni Arpt Trust Trustees Ref American Airls Inc Proj, <br> AMT | 6.25% | 12/01/35 | 2033318 |
| 1000000 | Tulsa OK Muni Arpt Trust Trustees Ref American Airls Inc Proj, <br> AMT | 6.25% | 12/01/40 | 1124595 |
|  |  |  |  | 7944253 |
|  | **Oregon — 1.0%** | **Oregon — 1.0%** | **Oregon — 1.0%** |  |
| 750000 | Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj | 5.25% | 08/01/49 | 752310 |
| 1150000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 1163624 |
| 3250000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 3227260 |
| 1190000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette <br> View Proj, Ser A | 5.00% | 11/15/37 | 1196678 |
| 735000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/38 | 749277 |
| 840000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/43 | 845010 |
| 750000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 765261 |
|  |  |  |  | 8699420 |
|  | **Pennsylvania — 3.2%** | **Pennsylvania — 3.2%** | **Pennsylvania — 3.2%** |  |
| 1855000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network <br> Obligated Grp Issue, Ser A | 5.00% | 04/01/47 | 1864474 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Pennsylvania (Continued)** | **Pennsylvania (Continued)** | **Pennsylvania (Continued)** |  |
| $1500000 | Allentown PA Comml & Indl Dev Auth Ref Executive Edu Acdmy <br> Chrt Sch Proj (b) | 5.00% | 07/01/50 | $1404344 |
| 1250000 | Allentown PA Neighborhood Impt Zone Dev Auth Tax Rev City <br> Ctr Proj (b) | 6.00% | 05/01/42 | 1372074 |
| 665000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at <br> Wyomissing, Ser A | 5.00% | 05/15/42 | 668216 |
| 600000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at <br> Wyomissing, Ser A | 5.00% | 05/15/47 | 589149 |
| 750000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys Oblig <br> Grp, Ser A | 4.00% | 04/01/50 | 658833 |
| 1080000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys, Ser A-1 | 4.00% | 02/15/47 | 965425 |
| 1110000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors <br> Inc Proj, Ser A | 5.00% | 06/15/38 | 1112091 |
| 2000000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/51 | 2004101 |
| 1300000 | Lancaster PA Muni Auth Hlthcare Facs Rev Ref Luthercare <br> Proj, Ser A | 5.00% | 12/01/55 | 1264087 |
| 250000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 235168 |
| 1655000 | Montgomery Cnty PA Indl Dev Auth Exempt Facs Rev Var <br> Constellation Energy Genration LLC Proj Ref, Ser C, AMT <br> (Mandatory put 04/03/28) | 4.45% | 10/01/34 | 1712173 |
| 1000000 | Montgomery Cnty PA Indl Dev Auth Ref Foulkeways at Gwynedd | 5.00% | 12/01/46 | 969372 |
| 1500000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living <br> Proj, Ser A | 5.00% | 12/01/48 | 1488204 |
| 1780000 | PA St Econ Dev Fing Auth Exempt Facs Rev Var Ref Energy <br> Sply LLC Proj Remk, Ser C (Mandatory put 06/01/27) | 5.25% | 12/01/37 | 1789056 |
| 310000 | PA St Econ Dev Fing Auth Rev PA Bridges Finco LP P3 Proj | 5.00% | 06/30/42 | 310338 |
| 1000000 | PA St Econ Dev Fing Auth Rev Ref Presbyterian Sr Living Prj, <br>Ser B-2 | 5.25% | 07/01/46 | 1014055 |
| 500000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Ref Core <br> Nat Res Inc Proj, AMT (Mandatory put 03/27/35) (b) | 5.45% | 01/01/51 | 546109 |
| 2550000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot <br> Major Bridges Package One Proj P3 Proj, AMT | 5.25% | 06/30/53 | 2577326 |
| 10000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10061 |
| 1000000 | Philadelphia PA Arpt Rev Ref Priv Activity, AG, AMT | 4.00% | 07/01/38 | 1007890 |
| 1000000 | Philadelphia PA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/47 | 1000826 |
| 950000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch <br> Proj | 5.00% | 08/01/50 | 925603 |
| 850000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T <br> Chrt High Sch, Ser A | 4.00% | 06/01/56 | 640144 |
| 1700000 | Philadelphia PA Gas Wks Rev Ref 1998 Gen Ordinance <br> Fifteenth, Ser | 5.00% | 08/01/42 | 1727528 |
| 960000 | Southcentrl PA Gen Auth Rev Ref Wellspan Hlth Obligated <br> Grp, Ser A | 4.00% | 06/01/49 | 859851 |
| 495000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home <br> Proj, Ser A | 4.00% | 11/15/41 | 464951 |
|  |  |  |  | 29181449 |
|  | **Puerto Rico — 2.5%** | **Puerto Rico — 2.5%** | **Puerto Rico — 2.5%** |  |
| 4750000 | Puerto Rico Cmwlth Aqueduct & Swr Auth Rev Ref Sr Lien, <br>Ser A (b) | 5.00% | 07/01/47 | 4714991 |
| 2900000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2932936 |
| 3002265 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 3017166 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Puerto Rico (Continued)** | **Puerto Rico (Continued)** | **Puerto Rico (Continued)** |  |
| $4358267 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | $4096574 |
| 250000 | Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac <br> San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT | 6.50% | 01/01/42 | 285542 |
| 5866000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured <br> Converted, Ser A-2 | 4.33% | 07/01/40 | 5837910 |
| 1170000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-1 | 4.55% | 07/01/40 | 1171976 |
| 1031000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-2 | 4.33% | 07/01/40 | 1026063 |
|  |  |  |  | 23083158 |
|  | **Rhode Island — 0.3%** | **Rhode Island — 0.3%** | **Rhode Island — 0.3%** |  |
| 2500000 | Tobacco Stlmt Fing Corp RI Ref, Ser A | 5.00% | 06/01/40 | 2500276 |
|  | **South Carolina — 1.1%** | **South Carolina — 1.1%** | **South Carolina — 1.1%** |  |
| 285000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 285447 |
| 230000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, <br>Ser A-1 | 5.00% | 12/01/31 | 230218 |
| 2000000 | Lexington Cnty SC Hlth Svcs Dist Lexington Med Ctr | 5.00% | 11/01/41 | 2004947 |
| 1250000 | SC St Jobs Econ Dev Auth Econ Dev Rev Bishop Gadsden <br> Episcopal Retmnt Cmnty | 5.13% | 04/01/46 | 1254243 |
| 275000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 4.00% | 11/15/32 | 275942 |
| 1085000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 5.25% | 11/15/47 | 1073109 |
| 250000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 5.25% | 11/15/52 | 241563 |
| 420000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman <br> Proj, Ser A | 5.00% | 11/15/54 | 387423 |
| 1000000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg <br> Proj, Ser A | 5.00% | 12/01/40 | 1022911 |
| 500000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg <br> Proj, Ser A | 5.50% | 12/01/45 | 506342 |
| 1000000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg <br> Proj, Ser A | 5.80% | 12/01/50 | 1013494 |
| 1000000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.50% | 11/15/44 | 1037342 |
| 1000000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.75% | 11/15/54 | 1017584 |
|  |  |  |  | 10350565 |
|  | **South Dakota — 0.2%** | **South Dakota — 0.2%** | **South Dakota — 0.2%** |  |
| 1500000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty <br> Issue, Ser A | 5.00% | 09/01/50 | 1489274 |
|  | **Tennessee — 0.8%** | **Tennessee — 0.8%** | **Tennessee — 0.8%** |  |
| 1755000 | Rutherford Cnty TN Hlth & Eductnl Facs Brd Stdt Hsg Rev <br> Madrone MTSU Stdt Hsg I LLC Proj, Ser A-1, BAM | 5.00% | 07/01/45 | 1790437 |
| 2000000 | Shelby Cnty TN Hlth Edl & Hsg Fac Brd Stdt Hsg Rev Madrone <br> Memphis Stdt Hsg I LLC Univ Memphis Proj, Ser A1 (b) | 5.00% | 06/01/44 | 1996625 |
| 2500000 | TN St Energy Acq Corp Gas Rev Ref, Ser A | 5.00% | 12/01/35 | 2695003 |
| 800000 | TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1 <br> (Mandatory put 05/01/28) | 5.00% | 05/01/53 | 829258 |
|  |  |  |  | 7311323 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas — 7.2%** | **Texas — 7.2%** | **Texas — 7.2%** |  |
| $1085000 | Anson TX Edu Facs Corp Edu Rev Arlington Classics Acdmy, <br>Ser A | 5.00% | 08/15/45 | $1066236 |
| 500000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt <br> Schs (b) | 5.63% | 06/15/45 | 510721 |
| 1000000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt <br> Schs (b) | 5.75% | 06/15/55 | 1010221 |
| 1000000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs <br> TX Proj, Ser A | 4.13% | 02/15/41 | 830809 |
| 1000000 | Aubrey TX Spl Assmnt Ref Jackson Ridge Pub Impt Dt Phase #1 & <br> #2 Assmnts, BAM | 5.00% | 09/01/45 | 1042391 |
| 2080000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/46 | 2081467 |
| 1410000 | Cool Wtr Muni Util Dist TX, Ser A, BAM | 5.00% | 08/15/45 | 1440837 |
| 1556000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt <br> Area #1 Proj (b) | 4.25% | 09/15/41 | 1485231 |
| 565000 | Decatur TX Spl Assmnt Rev Paloma Trails Pub Impt Dt Impt Area <br> #1 Proj (b) | 5.50% | 09/15/45 | 571244 |
| 875000 | Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt <br> Impt Area #1 Proj (b) | 5.38% | 12/31/45 | 903982 |
| 2000000 | Denton Cnty TX Spl Assmnt Rev Sr Lien Tabor Ranch Pub Improv <br> Dist Improv Area #1, Ser A (b) | 5.63% | 12/31/54 | 1994804 |
| 70000 | E Montgomery Cnty Mun Util Dist No 7 TX, BAM | 4.00% | 09/01/45 | 65466 |
| 1000000 | E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1 <br> & 2 Proj (b) | 6.00% | 09/15/45 | 1026325 |
| 1000000 | E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1 <br> & 2 Proj (b) | 6.25% | 09/15/55 | 1021631 |
| 1445000 | Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #1 <br> Proj (b) | 4.00% | 08/15/51 | 1162703 |
| 1000000 | Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #2 <br> Proj (b) | 5.38% | 08/15/44 | 1003225 |
| 1577000 | Ferris TX Spl Assmnt Rev Woodstone Pub Impt Dist No 2 Impt <br> Area 1 Proj (b) | 4.00% | 09/01/51 | 1279672 |
| 400000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/37 | 433432 |
| 250000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/38 | 269477 |
| 500000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial <br> Hermann Hlth Sys | 5.00% | 07/01/45 | 500874 |
| 2000000 | Harris Cnty TX Hosp Dist Ctfs of Oblig | 5.25% | 02/15/50 | 2109297 |
| 1025000 | Haslet TX Spl Assmnt Rev Haslet Pub Impt Dist #5 Impt Area <br> #1 (b) | 4.13% | 09/01/39 | 980941 |
| 1000000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, <br>Ser C, AMT | 5.00% | 07/15/27 | 1017779 |
| 2000000 | Houston TX Arpt Sys Rev Subord Lien, Ser A, AMT | 5.50% | 07/01/50 | 2113280 |
| 1460000 | Houston TX Arpt Sys Rev United Airls Inc Terminal E Proj, Ser A, <br> AMT | 4.00% | 07/01/41 | 1346695 |
| 1500000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, <br>Ser B, AMT | 5.50% | 07/15/35 | 1653073 |
| 1500000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, <br>Ser B, AMT | 5.50% | 07/15/37 | 1635512 |
| 1065000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, <br>Ser B-1, AMT | 4.00% | 07/15/41 | 982221 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas (Continued)** | **Texas (Continued)** | **Texas (Continued)** |  |
| $625000 | Houston TX Hgr Edu Fin Corp Ununiv Rev Houston Christian Univ <br> Proj | 5.13% | 10/01/51 | $590622 |
| 450000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area <br> #2 Proj (b) | 3.38% | 09/01/41 | 371258 |
| 690000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (b) | 4.50% | 09/01/33 | 710303 |
| 245000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (b) | 4.13% | 09/01/29 | 246751 |
| 500000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (b) | 4.63% | 09/01/39 | 503466 |
| 935000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dt Impt Area #3 <br> Proj (b) | 4.00% | 09/01/46 | 786540 |
| 2400000 | Lakewood Vlg TX Spl Assmnt Rev Lakewood Vlg Pub Impt Dist <br> No 1 Proj (b) | 5.38% | 09/15/52 | 2411153 |
| 429000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1 <br> Proj (b) | 5.00% | 09/15/44 | 432562 |
| 400000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1 <br> Proj (b) | 5.38% | 09/15/52 | 398027 |
| 600000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B <br> Proj (b) | 5.13% | 09/15/44 | 609185 |
| 729000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B <br> Proj (b) | 5.50% | 09/15/54 | 730955 |
| 1000000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 <br> and 2 Proj (b) | 3.38% | 09/01/42 | 825570 |
| 1350000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 <br> and 2 Proj (b) | 4.00% | 09/01/52 | 1080125 |
| 1700000 | Little Elm TX Spl Assmnt Rev Lakeside Estates Pub Impt Dist #2 <br> Proj (b) | 5.00% | 09/01/47 | 1702110 |
| 501000 | Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist <br> Projs (b) | 5.75% | 09/15/45 | 514298 |
| 1000000 | Marble Falls TX Spl Assmnt Rev Thunder Rock Pub Impt Dist Impt <br> Area #1 Proj (b) | 4.13% | 09/01/41 | 905492 |
| 869000 | Mesquite TX Spl Assmnt Rev Solterra Pub Impt Dt Impt Area C-4 <br> Proj | 5.25% | 09/01/45 | 861057 |
| 1125000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Sustainable <br> Bonds Graphic Packaging Inter LLC Proj, AMT (Mandatory put <br> 06/01/30) | 5.00% | 12/01/64 | 1167717 |
| 750000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts <br> Proj (b) | 5.00% | 09/15/51 | 711177 |
| 655000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref <br> Brazos Presbyterian Homes Inc Proj | 5.38% | 01/01/55 | 654210 |
| 600000 | Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A | 5.00% | 08/15/42 | 638702 |
| 1100000 | Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt DT Impt <br> Area #1 Proj (b) | 5.35% | 09/15/44 | 1101091 |
| 500000 | Pilot Point TX Spl Assmnt Rev Bryson Ranch Pub Impt Dt Zone A <br> Impt Area #1 Proj (b) | 6.38% | 09/15/55 | 513868 |
| 1500000 | Port Beaumont TX Nav Dist Dock & Wharf Fac Rev Jefferson Gulf <br> Coast Energy Proj, Ser A, AMT (b) | 5.13% | 01/01/44 | 1480639 |
| 1000000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt DT Impt Area #3 <br> Proj (b) | 5.25% | 09/01/54 | 978296 |
| 210000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No <br> 4 Proj (b) | 5.38% | 09/01/45 | 211414 |
| 2200000 | Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impr Dist #2 <br> Phase 2 Proj Rev (b) | 5.13% | 09/01/43 | 2208226 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas (Continued)** | **Texas (Continued)** | **Texas (Continued)** |  |
| $1515000 | Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impt Dt #2 <br> Phase 1 Proj (b) | 4.75% | 09/01/49 | $1429501 |
| 1550000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dist #2 <br> Proj (b) | 5.13% | 09/01/42 | 1573836 |
| 215000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 3.75% | 09/15/31 | 203336 |
| 500000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 4.13% | 09/15/41 | 453804 |
| 765000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 4.25% | 09/15/51 | 636788 |
| 2442000 | San Marcos TX Spl Assmnt Rev Whisper S Pub Imp Dt (b) | 4.25% | 09/01/42 | 2240618 |
| 1337000 | San Marcos TX Spl Assmnt Rev Whisper S Pub Imp Dt (b) | 4.50% | 09/01/51 | 1157340 |
| 465000 | Santa Fe TX Spl Assmnt Rev Mulberry Farms Pub Impt Dist (b) | 4.88% | 09/01/42 | 451013 |
| 1750000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Ref Sr Lien <br> Bond Surface Transprtn Corp, AMT | 5.50% | 06/30/42 | 1844963 |
| 530000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/41 | 566840 |
|  |  |  |  | 65442399 |
|  | **U.S. Virgin Islands — 0.1%** | **U.S. Virgin Islands — 0.1%** | **U.S. Virgin Islands — 0.1%** |  |
| 1000000 | Virgin Islands Pub Fin Auth Hotel Occupancy Tax Rev <br> Frenchman's Reef Hotel Dev, Ser A (b) | 6.00% | 04/01/53 | 1000848 |
|  | **Utah — 4.7%** | **Utah — 4.7%** | **Utah — 4.7%** |  |
| 2100000 | Arrowhead Springs Pub Infra Dist UT Spl Assmnt Arrowhead <br> Springs Assmnt Area (b) | 5.63% | 12/01/54 | 2112416 |
| 2000000 | Black Desert Pub Infra Dist UT Spl Assmnt Black Desert Assmnt <br> Area #1 (b) | 5.63% | 12/01/53 | 2012835 |
| 1500000 | Black Desert Pub Infra Dist UT Sr Bonds, Ser A (b) | 4.00% | 03/01/51 | 1204418 |
| 2250000 | Fields Estates Pub Infra Dist UT Spl Assmnt Fields Estates Assmnt <br> Area, Ser A-2 (b) | 5.25% | 12/01/53 | 2188266 |
| 750000 | Fields Estates Pub Infra Dist UT, Ser A-1 (b) | 6.13% | 03/01/55 | 754465 |
| 1000000 | Firefly Pub Infra Dist #1 UT, Ser A-1 (b) | 6.63% | 03/01/54 | 1025191 |
| 2000000 | Jordanelle Ridge Pub Infra Dist #2 UT, Ser A (b) | 7.75% | 03/01/54 | 2084015 |
| 2000000 | Mida Cormont Pub Infra Dist UT Conv, Ser A-2, CABS, steps up to <br> 6.75% on 06/01/29 (b) (g) | 0.00% | 06/01/55 | 1707092 |
| 1115000 | Mida Cormont Pub Infra Dist UT, Ser A-1 (b) | 6.25% | 06/01/55 | 1167523 |
| 2000000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (b) | 4.63% | 06/01/57 | 1686438 |
| 1000000 | Mida Mountain Vlg Pub Infra Dist UT Tax Allocation, Ser 1 (b) | 5.50% | 06/01/50 | 1006662 |
| 3000000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 2425251 |
| 1485000 | Olympia Pub Infra Dist #1 UT, Ser A-1 (b) | 6.38% | 03/01/55 | 1524322 |
| 1335000 | Panorama Pub Infra Dist #1 UT Ser A (b) | 6.25% | 03/01/55 | 1344007 |
| 1500000 | Pine View Pub Infra Dist #2 UT Spl Assmnt Firelight Assmnt Area <br> No. 1 (b) (h) | 6.25% | 12/01/55 | 1501559 |
| 2730000 | S Salt Lake UT Redev Agy Tax Increment Rev (b) | 6.25% | 04/15/46 | 2762805 |
| 2930000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.25% | 07/01/48 | 3030662 |
| 2000000 | Soleil Hills Pub Infra Dist #1 UT, Ser A (b) | 5.88% | 03/01/55 | 1997012 |
| 475000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori <br> Acdmy Proj, Ser A (b) | 5.00% | 06/15/39 | 460572 |
| 1705000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Ronald Wilson Reagan <br> Acdmy Proj, Ser A (b) | 5.00% | 02/15/46 | 1559403 |
| 675000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy <br> Proj, Ser A (b) | 5.00% | 06/15/39 | 668492 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Utah (Continued)** | **Utah (Continued)** | **Utah (Continued)** |  |
| $3010000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner <br> Acdmy, Ser A (b) | 5.63% | 06/15/42 | $3036032 |
| 1500000 | Verk Indl Regl Pub Infra Dist UT Tax (b) | 6.63% | 09/01/47 | 1578674 |
| 2700000 | Wakara Ridge Pub Infra Dist UT Spl Assmnt Wakara Ridge <br> Assmnt Area (b) | 5.63% | 12/01/54 | 2750527 |
| 1247267 | Wood Ranch Pub Infra Dist UT Spl Assmnt Wood Ranch Assmnt <br> Area No 1 (b) | 5.63% | 12/01/53 | 1256264 |
|  |  |  |  | 42844903 |
|  | **Vermont — 0.1%** | **Vermont — 0.1%** | **Vermont — 0.1%** |  |
| 260000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 4.00% | 05/01/37 | 254680 |
| 1000000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc <br> Remk, AMT (Mandatory put 04/03/28) (b) | 4.63% | 04/01/36 | 1016208 |
|  |  |  |  | 1270888 |
|  | **Virginia — 2.4%** | **Virginia — 2.4%** | **Virginia — 2.4%** |  |
| 3000000 | Hanover Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Covenant <br> Woods | 5.00% | 07/01/51 | 2827617 |
| 1060000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire <br> of VA, Ser C | 5.00% | 12/01/37 | 1082239 |
| 880000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire <br> of VA, Ser C | 5.00% | 12/01/47 | 881050 |
| 2500000 | Powhatan Cnty VA Econ Dev Auth Grant Rev Chesterfield Hotel <br> Proj, Ser A (b) | 6.13% | 09/01/60 | 2499994 |
| 500000 | Salem VA Econ Dev Auth Eductnl Facs Rev Roanoke Clg | 6.00% | 04/01/55 | 521281 |
| 2500000 | VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3 <br> Proj, AMT | 5.00% | 12/31/47 | 2417317 |
| 3545000 | VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3 <br> Proj, AMT | 5.00% | 12/31/49 | 3405141 |
| 1000000 | VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express <br> Lanes LLC Proj, AMT | 5.00% | 01/01/38 | 1058079 |
| 3000000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Lifespire of <br> VA, Ser A | 5.50% | 12/01/54 | 3083837 |
| 750000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of <br> VA | 4.00% | 12/01/31 | 770848 |
| 1000000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster <br> Canterbury on Chesapeake Bay | 5.00% | 09/01/29 | 1031045 |
| 2000000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Westminster <br> Canterbury on Chesapeake Bay, Ser A | 7.00% | 09/01/53 | 2197604 |
|  |  |  |  | 21776052 |
|  | **Washington — 1.4%** | **Washington — 1.4%** | **Washington — 1.4%** |  |
| 1000000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, <br> AMT | 5.00% | 08/01/39 | 1067030 |
| 2000000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, <br> AMT | 5.00% | 08/01/46 | 2042177 |
| 1950000 | Skagit Cnty WA Pub Hosp Dist #1 | 5.50% | 12/01/54 | 1990400 |
| 975000 | WA St Convention Ctr Pub Facs Dist Sub | 5.00% | 07/01/48 | 966313 |
| 875000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 804544 |
| 1500000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights <br> Proj, Ser A | 5.00% | 07/01/43 | 1540637 |
| 1000000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Horizon House <br> Proj, Ser A | 6.00% | 01/01/46 | 1005312 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Washington (Continued)** | **Washington (Continued)** | **Washington (Continued)** |  |
| $1000000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Horizon House <br> Proj, Ser A | 6.25% | 01/01/56 | $1003351 |
| 500000 | WA St Hsg Fin Commn Nonprofit Rev Radford Court & Nordheim <br> Court Portfolio | 5.50% | 07/01/49 | 501563 |
| 710000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, <br>Ser A (b) | 5.00% | 07/01/50 | 612288 |
| 916348 | WA St Hsg Fin Commn Sustainable Ctf, Ser A-1, Class A | 3.50% | 12/20/35 | 899218 |
|  |  |  |  | 12432833 |
|  | **West Virginia — 0.4%** | **West Virginia — 0.4%** | **West Virginia — 0.4%** |  |
| 600000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ <br> Twn Centre, Ser A (b) | 5.00% | 06/01/33 | 630620 |
| 440000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ <br> Twn Centre, Ser A (b) | 5.75% | 06/01/43 | 467634 |
| 1000000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Ref Core Nat Res <br> Inc Proj, AMT (Mandatory put 03/27/35) (b) | 5.45% | 01/01/55 | 1091918 |
| 1050000 | WV St Hosp Fin Auth Vandalia Hlth Grp, Ser B, AG | 5.50% | 09/01/48 | 1118488 |
|  |  |  |  | 3308660 |
|  | **Wisconsin — 4.9%** | **Wisconsin — 4.9%** | **Wisconsin — 4.9%** |  |
| 925000 | Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las <br> Vegas 2 Proj, Ser A (b) | 5.00% | 07/15/39 | 927303 |
| 1600000 | Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las <br> Vegas 2 Proj, Ser A (b) | 5.00% | 07/15/54 | 1449770 |
| 670000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 4.00% | 06/15/30 | 670875 |
| 810000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/40 | 814741 |
| 685000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/54 | 627110 |
| 350000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 4.00% | 07/01/30 | 347346 |
| 300000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 6.38% | 07/01/43 | 313725 |
| 1300000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 5.00% | 07/01/55 | 1115275 |
| 550000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 6.75% | 07/01/58 | 570739 |
| 230000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las <br> Vegas Proj, Ser A (b) | 4.20% | 07/15/27 | 230705 |
| 375000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las <br> Vegas Proj, Ser A (b) | 5.13% | 07/15/37 | 377860 |
| 1000000 | Pub Fin Auth WI Chrt Sch Rev Ref N E Carolina Preparatory <br> Sch, Ser A | 5.25% | 06/15/54 | 992113 |
| 2000000 | Pub Fin Auth WI Edu Rev Bonnie Cone Classical Acdmy Inc (b) | 5.50% | 06/15/49 | 1581868 |
| 1000000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/43 | 1000126 |
| 1500000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 1470509 |
| 500000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 500226 |
| 200000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 185533 |
| 400000 | Pub Fin Auth WI Edu Rev Ref Pinecrest Acdmy NV Sloan Canyon <br> Cmps Proj, Ser A (b) | 4.50% | 07/15/49 | 353720 |
| 1200000 | Pub Fin Auth WI Edu Rev Ref Triad Eductnl Svcs Inc | 5.25% | 06/15/45 | 1172662 |
| 1140000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc | 5.00% | 06/15/42 | 1131256 |
| 1175000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc, Ser A | 4.00% | 06/15/41 | 1054482 |
| 160000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 163310 |
| 1500000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (b) | 4.00% | 12/01/41 | 1391328 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Wisconsin (Continued)** | **Wisconsin (Continued)** | **Wisconsin (Continued)** |  |
| $1000000 | Pub Fin Auth WI Hotel Rev Sr Lien Grand Hyatt San Antonio <br> Hotel Acq Proj, Ser A | 5.00% | 02/01/42 | $1033483 |
| 1335000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc <br> Oblig Grp, Ser A | 5.00% | 11/15/41 | 1390633 |
| 1750000 | Pub Fin Auth WI Retmnt Cmntys Rev Ref Evergreens Retmnt <br> Cmnty, Ser A | 5.00% | 11/15/49 | 1754568 |
| 685000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt <br> Homes, Ser A | 4.00% | 10/01/46 | 609522 |
| 315000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/43 | 315388 |
| 510000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/48 | 484536 |
| 2905000 | Pub Fin Auth WI Rev Anthem Freedom Proj, CABS (b) | (d) | 12/15/37 | 1499748 |
| 1125000 | Pub Fin Auth WI Rev Ref Kahala Nui Proj | 5.25% | 11/15/50 | 1146189 |
| 2000000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (c) (f) | 6.85% | 01/01/51 | 1364037 |
| 1215000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.00% | 05/15/31 | 1236344 |
| 1275000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.00% | 05/15/32 | 1296272 |
| 1225000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.25% | 05/15/47 | 1223320 |
| 1900000 | Pub Fin Auth WI Stdt Hsg Rev NC A&T Real Estate Fdtn LLC <br> Proj, Ser B | 5.00% | 06/01/44 | 1888789 |
| 750000 | Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.25% | 06/15/50 | 757897 |
| 3610000 | Pub Fin Auth WI Tax Incr Rev Miami Worldcenter Proj, Ser A (b) | 5.00% | 06/01/41 | 3688658 |
| 2750000 | Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, AMT | 5.75% | 06/30/60 | 2850079 |
| 1000000 | Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, AMT | 6.50% | 06/30/60 | 1104804 |
| 1000000 | WI Hlth Edl Facs Auth Sr Living Rev Chiara Hsg and Svcs Inc Proj | 5.88% | 07/01/55 | 1005003 |
| 1000000 | WI St Hlth & Eductnl Facs Auth Rev Bellin Memorial Hosp <br> Inc, Ser A | 5.50% | 12/01/52 | 1064721 |
|  |  |  |  | 44156573 |
|  | **Wyoming — 0.1%** | **Wyoming — 0.1%** | **Wyoming — 0.1%** |  |
| 1490000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 3.00% | 05/01/42 | 1267041 |
|  | **Total Investments — 99.4%** | **Total Investments — 99.4%** | **Total Investments — 99.4%** | 899958876 |
|  | (Cost $888,601,154) | (Cost $888,601,154) | (Cost $888,601,154) |  |
|  | **Net Other Assets and Liabilities — 0.6%** | **Net Other Assets and Liabilities — 0.6%** | **Net Other Assets and Liabilities — 0.6%** | 5508869 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $905467745 |

---

**Futures Contracts at January 31, 2026** (See Note 2C - Futures Contracts in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| Ultra 10-Year U.S. Treasury Notes | 64 | Mar-2026 | &nbsp;&nbsp; $(7306000)<br>| &nbsp;&nbsp; $(25000)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Variable
 rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.

&nbsp;&nbsp;&nbsp;&nbsp;(b) This
 security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended (the "1933 Act"), and may be resold in transactions exempt from registration,
 normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security
 has been determined to be liquid by First Trust Advisors L.P. (the "Advisor"). Although market instability can result in periods
 of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions,
 which require subjective judgment. At January 31, 2026, securities noted as such amounted to $282,634,425 or 31.2%
 of net assets.

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

&nbsp;&nbsp;&nbsp;&nbsp;(d) Zero
 coupon security.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Pursuant
 to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by the Advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(f) This
 issuer is in default and interest is not being accrued by the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;(g) Step-up
 security. A security where the coupon increases or steps up at a predetermined date.

&nbsp;&nbsp;&nbsp;&nbsp;(h) When-issued
 security. The interest rate shown reflects the rate in effect at January 31, 2026. Interest will begin accruing on the security's
 first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| CABS | – Capital Appreciation Bonds |
| COPS | – Certificates of Participation |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Municipal Bonds\* | &nbsp;&nbsp; $899958876 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $899958876 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Futures Contracts\*\* | &nbsp;&nbsp; $(25000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(25000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for state and territory breakout.

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

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Statement of Assets and Liabilities**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **ASSETS:** |  |
| Investments, at value | $899958876 |
| Cash | 5685534 |
| Cash segregated as collateral | 163200 |
| Receivables: |  |
| Interest | 10129262 |
| Investment securities sold | 1332162 |
| Variation margin | 9000 |
| Total Assets | 917278034 |
| **LIABILITIES:** |  |
| Payables: |  |
| Investment securities purchased | 11439921 |
| Investment advisory fees | 370368 |
| Total Liabilities | 11810289 |
| **NET ASSETS** | $905467745 |
| **NET ASSETS consist of:** |  |
| Paid-in capital | $939659741 |
| Par value | 188500 |
| Accumulated distributable earnings (loss) | (34380496)<br>|
| **NET ASSETS** | $905467745 |
| **NET ASSET VALUE,** per share | $48.04 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 18850002 |
| Investments, at cost | $888601154 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Statement of Operations**

**For the Six Months Ended January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** |  |
| Interest | $20650042 |
| Total investment income | 20650042 |
| **EXPENSES:** |  |
| Investment advisory fees | 2911384<br>|
| Other expenses | 56665 |
| Total expenses | 2968049 |
| Less fees waived by the investment advisor | (158729)<br>|
| Net expenses | 2809320 |
| **NET INVESTMENT INCOME (LOSS)** | 17840722 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |
| Net realized gain (loss) on: |  |
| Investments | (1267535)<br>|
| Futures contracts | (563448)<br>|
| Net realized gain (loss) | (1830983)<br>|
| Net change in unrealized appreciation (depreciation) on: |  |
| Investments | 32658114 |
| Futures contracts | 103922 |
| Net change in unrealized appreciation (depreciation) | 32762036 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 30931053 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $48771775 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Statements of Changes in Net Assets** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| **OPERATIONS:** |  |  |
| Net investment income (loss) | $17840722 | &nbsp;&nbsp; $30798624 |
| Net realized gain (loss) | (1830983)<br>| &nbsp;&nbsp; (7831696)<br>|
| Net change in unrealized appreciation (depreciation) | 32762036 | &nbsp;&nbsp; (34184770)<br>|
| Net increase (decrease) in net assets resulting from operations | 48771775 | &nbsp;&nbsp; (11217842)<br>|
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |
| Investment operations | (17754702)<br>| &nbsp;&nbsp; (30170595)<br>|
| Return of capital |  | &nbsp;&nbsp; (431009)<br>|
| Total distributions to shareholders | (17754702)<br>| &nbsp;&nbsp; (30601604)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |
| Proceeds from shares sold | 150095058<br>| &nbsp;&nbsp; 241482554<br>|
| Cost of shares redeemed | (18840092) <br>| &nbsp;&nbsp; (101676769) <br>|
| Net increase (decrease) in net assets resulting from shareholder transactions | 131254966 | &nbsp;&nbsp; 139805785 |
| Total increase (decrease) in net assets | 162272039 | &nbsp;&nbsp; 97986339 |
| **NET ASSETS:** |  |  |
| Beginning of period | 743195706 | &nbsp;&nbsp; 645209367 |
| End of period | $905467745 | &nbsp;&nbsp; $743195706 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |
| Shares outstanding, beginning of period | 16100002 | &nbsp;&nbsp; 13250002 |
| Shares sold | 3150000 | &nbsp;&nbsp; 5000000 |
| Shares redeemed | (400000)<br>| &nbsp;&nbsp; (2150000)<br>|
| Shares outstanding, end of period | 18850002 | &nbsp;&nbsp; 16100002 |

---

See Notes to Financial Statements

------

**First Trust Municipal High Income ETF (FMHI)**

**Financial Highlights**

**For a share outstanding throughout each period**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $46.16 | &nbsp;&nbsp;&nbsp;&nbsp; $48.70 | &nbsp;&nbsp;&nbsp;&nbsp; $47.05 | &nbsp;&nbsp;&nbsp;&nbsp; $49.12 | &nbsp;&nbsp;&nbsp;&nbsp; $56.69 | &nbsp;&nbsp;&nbsp;&nbsp; $51.93 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 1.03<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.98<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.94<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.82<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.50<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.59<br>|
| Net realized and unrealized gain (loss) | 1.87<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.55) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.62<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.08) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (7.50) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.83<br> (b)<br>|
| Total from investment operations | 2.90<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.57) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.56<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.26) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (6.00) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.42<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (1.02) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.94) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.89) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.78) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.49) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.59) <br>|
| Return of capital | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.03) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.02) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.03) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.08) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.07) <br>|
| Total distributions | (1.02) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.97) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.91) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.81) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.57) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.66) <br>|
| Net asset value, end of period | $48.04<br>| &nbsp;&nbsp;&nbsp;&nbsp; $46.16<br>| &nbsp;&nbsp;&nbsp;&nbsp; $48.70<br>| &nbsp;&nbsp;&nbsp;&nbsp; $47.05<br>| &nbsp;&nbsp;&nbsp;&nbsp; $49.12<br>| &nbsp;&nbsp;&nbsp;&nbsp; $56.69<br>|
| **Total return** (c) | 6.32<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.26)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 7.77<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.44)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; (10.74)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 12.57<br> % (b)<br>|
| **Ratios to average net assets/supplemental** <br> **data:**<br>|  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $905468<br>| &nbsp;&nbsp;&nbsp;&nbsp; $743196<br>| &nbsp;&nbsp;&nbsp;&nbsp; $645209<br>| &nbsp;&nbsp;&nbsp;&nbsp; $409328<br>| &nbsp;&nbsp;&nbsp;&nbsp; $338955<br>| &nbsp;&nbsp;&nbsp;&nbsp; $283461<br>|
| Ratio of total expenses to average net assets | 0.71<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>|
| Ratio of net expenses to average net assets | 0.68<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>|
| Ratio of net investment income (loss) to <br> average net assets<br>| 4.29<br> % (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.14<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.11<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.88<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.87<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.00<br> % <br>|
| Portfolio turnover rate (f) | 10<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 38<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 22<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 69<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 79<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 19<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) The
 Fund received a reimbursement from the advisor in the amount of $469 in connection with a trade error, which represents less than
 $0.01 per share.
 Since the advisor reimbursed the Fund, there was no effect on the Fund's total return.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during certain
 periods if certain fees had not been waived by the investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the total and net expense ratios would have been 0.70% and 0.66%,
 respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**Notes to Financial Statements**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization**

First Trust Exchange-Traded Fund III (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act").

This report covers the First Trust Municipal High Income ETF (the "Fund"), a diversified series of the Trust, which trades under the ticker "FMHI" on Nasdaq, Inc. The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units."

The Fund is an actively managed exchange-traded fund. The primary investment objective of the Fund is to provide federally tax-exempt income, and its secondary objective is long-term capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes. There can be no assurance that the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.

**2. Significant Accounting Policies** 

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

**A. Portfolio Valuation**

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

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

Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor's Pricing Committee, which may use the following valuation inputs when available:

1)

benchmark yields;

2)

reported trades;

3)

broker/dealer quotes;

4)

issuer spreads;

5)

benchmark securities;

6)

bids and offers; and

7)

reference data including market research publications.

Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

Exchange-traded futures contracts are valued at the end of the day settlement price.

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

1)

the credit conditions in the relevant market and changes thereto;

2)

the liquidity conditions in the relevant market and changes thereto;

3)

the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);

4)

issuer-specific conditions (such as significant credit deterioration); and

5)

any other market-based data the Advisor's Pricing Committee considers relevant. In this regard, the Advisor's Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

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

1)

the most recent price provided by a pricing service;

2)

available market prices for the fixed-income security;

3)

the fundamental business data relating to the issuer;

4)

an evaluation of the forces which influence the market in which these securities are purchased and sold;

5)

the type, size and cost of the security;

6)

the financial statements of the issuer;

7)

the credit quality and cash flow of the issuer, based on the Advisor's or external analysis;

8)

the information as to any transactions in or offers for the security;

9)

the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;

10)

the coupon payments;

11)

the quality, value and salability of collateral, if any, securing the security; and

12)

other relevant factors.

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

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

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

o Quoted prices for similar investments in active markets.

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

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

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of January 31, 2026, is included with the Fund's Portfolio of Investments.

**B. Securities Transactions and Investment Income**

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At January 31, 2026, the Fund held $10,142,769 of when-issued or delayed-delivery securities. At January 31, 2026, the Fund had no forward purchase commitments.

**C. Futures Contracts**

The Fund may purchase or sell (i.e., is long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in "Net realized gain (loss) on futures contracts" on the Statement of Operations.

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

If market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments.

Restricted cash segregated as collateral for futures contracts in the amount of $163,200 is shown as "Cash segregated as collateral" on the Statement of Assets and Liabilities.

**D. Restricted Securities**

The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of January 31, 2026, the Fund held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust's Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Security | Acquisition <br>Date<br>| Principal <br>Value<br>| Current <br>Price<br>| Carrying <br>Cost<br>| Value | % of <br>Net Assets<br>|
| OK St Dev Fin Auth Sr OK Proton <br> Ctr, Ser A1, 7.25%, 09/01/51<br>| 02/12/21 - <br> 06/04/21<br>| &nbsp;&nbsp; $2400000 | &nbsp;&nbsp; $98.87 | &nbsp;&nbsp; $2436949 | &nbsp;&nbsp; $2372805 | 0.26<br> %<br>|
| Phoenix AZ Indl Dev Auth Hotel <br> Rev Sr Falcon Properties LLC <br> Proj, Ser A, 4.00%, 12/01/51<br>| 01/31/22 | &nbsp;&nbsp; 2000000 | 60.96 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp; 1219206 | 0.14 |
| Polk Cnty FL Indl Dev Auth Mineral <br> Dev LLC Secondary Phosphate <br> Tailings Recovery Proj, 5.88%, <br> 01/01/33<br>| 10/23/20 | &nbsp;&nbsp; 1000000 | 20.00 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp; 200000 | 0.02 |
| Pub Fin Auth WI Rev Sr Proton Intl <br> AR LLC, Ser A, 6.85%, 01/01/51<br>| 12/17/21 | &nbsp;&nbsp; 2000000 | 68.20 | &nbsp;&nbsp; 1964769 | &nbsp;&nbsp; 1364037 | 0.15 |
|  |  |  |  | &nbsp;&nbsp; $7401718 | &nbsp;&nbsp; $5156048 | 0.57<br> %<br>|

---

**E. Dividends and Distributions to Shareholders**

Dividends from net investment income of the Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. The Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid during the fiscal year ended July 31, 2025 was as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Distributions paid from: |  |
| Ordinary income | $66149 |
| Capital gains |  |
| Tax-exempt income | 30104446 |
| Return of capital | 431009 |

---

As of July 31, 2025, the components of distributable earnings on a tax basis for the Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Undistributed ordinary income | $(61264)<br>|
| Accumulated capital and other gain (loss) | (44959334)<br>|
| Net unrealized appreciation (depreciation) | (20376971)<br>|

---

**F. Income Taxes**

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

In addition, the Fund intends to invest in municipal securities to allow it to pay shareholders "exempt dividends" as defined in the Code.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2022, 2023, 2024, and 2025 remain open to federal and state audit. As of January 31, 2026, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions.

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2025, for federal income tax purposes, the Fund had $44,959,334 of non-expiring capital loss carryforwards available, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to the Fund's shareholders.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2025, the Fund had no net late year ordinary or capital losses.

As of January 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| Tax Cost | Gross <br> Unrealized <br>Appreciation<br>| Gross <br> Unrealized <br>(Depreciation)<br>| Net Unrealized <br>Appreciation <br>(Depreciation)<br>|
| $888601154 | &nbsp;&nbsp; $21720766 | &nbsp;&nbsp; $(10388044)<br>| &nbsp;&nbsp; $11332722 |

---

**G. Expenses**

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

**H. Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of the Fund. The Fund operates as a single operating segment. The Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of the Fund, using the information presented in the financial statements and financial highlights.

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

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

Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of the Fund's assets and is responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Prior to January 1, 2026, the annual unitary management fee payable by the Fund to First Trust for these services would be reduced at certain levels of the Fund's net assets ("breakpoints") and calculated pursuant to the following schedule:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Breakpoints |  |
| Fund net assets up to and including $2.5 billion | 0.7000<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475<br> %<br>|
| Fund net assets greater than $10 billion | 0.6300<br> %<br>|

---

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

Effective January 1, 2026, the Advisor has agreed to waive management fees of 0.21% of average daily net assets for the Fund. During any period in which such waiver is in effect, the Fund will not be eligible for any breakpoint discounts. During the six months ended January 31, 2026, the Advisor waived fees of $158,729.

The Trust has multiple service agreements with The Bank of New York Mellon ("BNY"). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNY is responsible for custody of the Fund's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for the Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

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

Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the six months ended January 31, 2026, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $207,658,490 and $78,284,776, respectively.

For the six months ended January 31, 2026, the Fund had no in-kind transactions.

**5. Borrowings** 

The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund IV, First Trust Series Fund and First Trust Variable Insurance Trust, has a credit agreement with BNY (the "Credit Agreement") as administrative agent for a group of lenders. The borrowing rate is the higher of the federal funds effective rate and the adjusted daily simple SOFR rate plus 1.00%. The commitment amount under the Credit Agreement is $620 million and such commitment amount may be increased up to $700 million with the consent of one or more lenders. BNY charges on behalf of the lenders a commitment fee of 0.15% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. The commitment fee and agency fee are allocated amongst the funds that have access to the credit line pursuant to procedures approved by the Board of Trustees. To the extent that the Fund accesses the credit line, there would also be an interest fee charged. The Fund did not draw on the credit line during the six months ended January 31, 2026.

**6. Derivative Transactions** 

The following table presents the types of derivatives held by the Fund at January 31, 2026, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Derivative** <br>**Instrument**<br>| **Risk** <br>**Exposure**<br>| **Statement of Assets and** <br>**Liabilities Location**<br>| **Value** | **Statement of Assets and** <br>**Liabilities Location**<br>| **Value** |
| Futures contracts | Interest Rate Risk | &nbsp;&nbsp; Unrealized appreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; Unrealized depreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $25000 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended January 31, 2026, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Statement of Operations Location** | **Statement of Operations Location** |
| **Interest Rate Risk Exposure** |  |
| Net realized gain (loss) on futures contracts | $(563448)<br>|
| Net change in unrealized appreciation <br> (depreciation) on futures contracts<br>| 103922 |

---

The average notional value of futures contracts outstanding during the six months ended January 31, 2026, which is indicative of the volume of this derivative type, was $10,011,568.

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

**7. Creations, Redemptions and Transaction Fees**

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

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

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

**8. Distribution Plan** 

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

------

**Notes to Financial Statements (Continued)**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.

**9. Indemnification**

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

**10. Subsequent Events**

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

Effective February 1, 2026, the Board of Trustees (the "Board") approved a permanent contractual reduction of the annual unitary management fee for the Fund to 0.49% of average daily net assets. In connection with the adoption of the reduced annual unitary management fee, the Board has also approved, effective February 1, 2026, the termination of the temporary fee waiver for the Fund that was put in place on January 1, 2026. Additionally, under the Fund's new fee structure, the Fund will not be eligible for any breakpoint discounts described in the Fund's prospectus or statement of additional information.

------

**Other Information**

**First Trust Municipal High Income ETF (FMHI)**

**January 31, 2026 (Unaudited)**

**Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)**

There were no changes in or disagreements with the Fund's accountants during the six months ended January 31, 2026.

**Proxy Disclosures (Item 9 of Form N-CSR)**

At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the "Trust") that was held on August 12, 2025 (the "Special Meeting"), shareholders of record as of June 9, 2025 (the "Record Date") approved a proposal (the "Proposal") to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the "Board"). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a "fund") voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| James A. Bowen\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448229817 <br>1692488<br>|
| Thomas J. Driscoll\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448104659 <br>1817646<br>|
| Richard E. Erickson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447812453 <br>2109852<br>|
| Thomas R. Kadlec\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446751895 <br>3170410<br>|
| Denise M. Keefe\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448425408 <br>1496897<br>|
| Robert F. Keith\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447967349 <br>1954956<br>|
| Niel B. Nielson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447968834 <br>1953471<br>|
| Bronwyn Wright\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200751188 <br>249171117<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* This nominee was re-elected to the Board at the Special Meeting.

\*\* This nominee was elected to the Board as a new Trustee at the Special Meeting.

\*\*\* This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.

**Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)**

Independent Trustees of the Fund are compensated through the unitary management fee paid by the Fund to the advisor and not directly by the Fund. The investment advisory fee paid is included in the Statement of Operations.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

Not applicable for the most recent fiscal half year.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Semi-Annual Financial Statements and Other Information <br> For the Six Months Ended January 31, 2026

![](img684c4eb71.gif)

<u>First Trust Exchange-Traded Fund III</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Horizon Managed Volatility Domestic ETF (HUSV) <br> First Trust Horizon Managed Volatility Developed International ETF (HDMV) <br> First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)

------

**Table of Contents** 

**First Trust Exchange-Traded Fund III**

**Semi-Annual Financial Statements and Other Information**

**January 31, 2026** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_574f4ac9-697b-407f-a336-467890def33e_SOI-TOC-ScheduleofInvestments-4429_1) |  |
| [First Trust Horizon Managed Volatility Domestic ETF (HUSV)](#xx_574f4ac9-697b-407f-a336-467890def33e_SOI-TOC-ScheduleofInvestments-4429_1) | 1 |
| [First Trust Horizon Managed Volatility Developed International ETF (HDMV)](#xx_574f4ac9-697b-407f-a336-467890def33e_SOI-TOC-ScheduleofInvestments-4430_1) | 4 |
| [First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)](#xx_574f4ac9-697b-407f-a336-467890def33e_SOI-TOC-ScheduleofInvestments-4431_1) | 8 |
| [Statements of Assets and Liabilities](#xx_574f4ac9-697b-407f-a336-467890def33e_SAL1-TOC-StatementofAssetsandLiabilities-4430_2) | 12 |
| [Statements of Operations](#xx_574f4ac9-697b-407f-a336-467890def33e_SOP1-TOC-StatementofOperations-4430_1) | 13 |
| [Statements of Changes in Net Assets](#xx_574f4ac9-697b-407f-a336-467890def33e_SOC1-TOC-StatementofChanges-4430_1) | 14 |
| [Financial Highlights](#xx_574f4ac9-697b-407f-a336-467890def33e_FIHI-TOC-FinancialHighlights-4430_1) | 16 |
| [Notes to Financial Statements](#xx_574f4ac9-697b-407f-a336-467890def33e_NTF-TOC-NotestoFinancialStatements-4430_1) | 19 |
| [Other Information](#xx_574f4ac9-697b-407f-a336-467890def33e_AI-TOC-AdditionalInformation-4430_1) | 27 |

---

**Performance and Risk Disclosure**

There is no assurance that any series of First Trust Exchange-Traded Fund III (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.

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

First Trust Advisors L.P., the Funds' advisor, may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com.

**How to Read This Report**

This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund's performance and investment approach.

The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.

------

**First Trust Horizon Managed Volatility Domestic ETF (HUSV)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS — 99.8%** | **COMMON STOCKS — 99.8%** | **COMMON STOCKS — 99.8%** |
|  | **Aerospace & Defense — 1.7%**  |  |
| 1909 | General Dynamics Corp. | $670231 |
| 1721 | L3Harris Technologies, Inc. | 590045 |
|  |  | 1260276 |
|  | **Beverages — 2.6%**  |  |
| 25329 | Coca-Cola (The) Co. | 1894863 |
|  | **Capital Markets — 4.1%**  |  |
| 4459 | Bank of New York Mellon (The) <br> Corp. | 534723 |
| 3112 | CME Group, Inc. | 899555 |
| 6197 | Intercontinental Exchange, Inc. | 1076915 |
| 4876 | Nasdaq, Inc. | 472435 |
|  |  | 2983628 |
|  | **Chemicals — 3.5%**  |  |
| 1474 | Air Products and Chemicals, Inc. | 401665 |
| 2930 | Ecolab, Inc. | 826231 |
| 2824 | Linde PLC | 1290483 |
| 349 | Solstice Advanced Materials, <br> Inc. (a) | 21558 |
|  |  | 2539937 |
|  | **Commercial Services &** <br> **Supplies — 5.6%**  |  |
| 2275 | Cintas Corp. | 435412 |
| 4634 | Republic Services, Inc. | 996727 |
| 11064 | Rollins, Inc. | 700794 |
| 7258 | Veralto Corp. | 718397 |
| 5424 | Waste Management, Inc. | 1205430 |
|  |  | 4056760 |
|  | **Communications Equipment** <br> **— 4.2%**  |  |
| 20825 | Cisco Systems, Inc. | 1631014 |
| 3461 | Motorola Solutions, Inc. | 1393191 |
|  |  | 3024205 |
|  | **Construction Materials —** <br> **0.4%**  |  |
| 472 | Martin Marietta Materials, Inc. | 307720 |
|  | **Consumer Staples Distribution** <br> **& Retail — 0.9%**  |  |
| 8199 | Sysco Corp. | 687486 |
|  | **Containers & Packaging —** <br> **0.6%**  |  |
| 2242 | Avery Dennison Corp. | 415913 |
|  | **Diversified Telecommunication** <br> **Services — 1.6%**  |  |
| 16144 | AT&T, Inc. | 423134 |
| 16265 | Verizon Communications, Inc. | 724118 |
|  |  | 1147252 |
|  | **Electric Utilities — 5.2%**  |  |
| 6749 | Duke Energy Corp. | 818991 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Electric Utilities (Continued)**  |  |
| 10567 | Evergy, Inc. | $810806 |
| 14369 | FirstEnergy Corp. | 680228 |
| 6760 | Pinnacle West Capital Corp. | 632466 |
| 9807 | Southern (The) Co. | 875863 |
|  |  | 3818354 |
|  | **Electrical Equipment — 0.8%**  |  |
| 2646 | AMETEK, Inc. | 592651 |
|  | **Electronic Equipment,** <br> **Instruments & Components** <br>**— 4.1%**  |  |
| 4943 | TE Connectivity PLC | 1101201 |
| 3092 | Teledyne Technologies, Inc. (a) | 1917968 |
|  |  | 3019169 |
|  | **Financial Services — 3.5%**  |  |
| 2395 | Berkshire Hathaway, Inc., <br> Class B (a) | 1150869 |
| 3372 | Jack Henry & Associates, Inc. | 604296 |
| 771 | Mastercard, Inc., Class A | 415407 |
| 1248 | Visa, Inc., Class A | 401644 |
|  |  | 2572216 |
|  | **Gas Utilities — 1.0%**  |  |
| 4385 | Atmos Energy Corp. | 729401 |
|  | **Ground Transportation —** <br> **1.1%**  |  |
| 1271 | Norfolk Southern Corp. | 370166 |
| 1891 | Union Pacific Corp. | 444574 |
|  |  | 814740 |
|  | **Health Care Equipment &** <br> **Supplies — 3.9%**  |  |
| 3817 | Abbott Laboratories | 417198 |
| 4271 | Boston Scientific Corp. (a) | 399467 |
| 4740 | Edwards Lifesciences Corp. (a) | 385646 |
| 6130 | Medtronic PLC | 631145 |
| 1612 | STERIS PLC | 423311 |
| 1650 | Stryker Corp. | 609774 |
|  |  | 2866541 |
|  | **Health Care Providers &** <br> **Services — 2.1%**  |  |
| 1461 | Cardinal Health, Inc. | 313940 |
| 942 | Cencora, Inc. | 338386 |
| 1102 | Labcorp Holdings, Inc. | 299215 |
| 275 | McKesson Corp. | 228583 |
| 1983 | Quest Diagnostics, Inc. | 370880 |
|  |  | 1551004 |
|  | **Health Care REITs — 1.0%**  |  |
| 9010 | Ventas, Inc. | 699807 |
|  | **Hotels, Restaurants & Leisure** <br> **— 3.0%**  |  |
| 1093 | Darden Restaurants, Inc. | 217890 |
| 860 | Hilton Worldwide Holdings, Inc. | 256719 |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Domestic ETF (HUSV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Hotels, Restaurants & Leisure** <br> **(Continued)**  |  |
| 3741 | McDonald's Corp. | $1178415 |
| 3207 | Yum! Brands, Inc. | 498688 |
|  |  | 2151712 |
|  | **Household Products — 3.2%**  |  |
| 7903 | Colgate-Palmolive Co. | 713562 |
| 5682 | Kimberly-Clark Corp. | 568143 |
| 7027 | Procter & Gamble (The) Co. | 1066488 |
|  |  | 2348193 |
|  | **Industrial Conglomerates —** <br> **0.4%**  |  |
| 1417 | Honeywell International, Inc. | 322396 |
|  | **Insurance — 6.1%**  |  |
| 5414 | Aflac, Inc. | 600683 |
| 2636 | Chubb Ltd. | 816000 |
| 3712 | Hartford Insurance Group (The), <br> Inc. | 501343 |
| 9151 | Loews Corp. | 966071 |
| 3350 | Marsh & McLennan Cos., Inc. | 630437 |
| 6342 | W.R. Berkley Corp. | 434934 |
| 1596 | Willis Towers Watson PLC | 506682 |
|  |  | 4456150 |
|  | **IT Services — 7.0%**  |  |
| 4517 | Accenture PLC, Class A | 1190862 |
| 18596 | Cognizant Technology Solutions <br> Corp., Class A | 1525988 |
| 3684 | International Business Machines <br> Corp. | 1129883 |
| 4988 | VeriSign, Inc. | 1218219 |
|  |  | 5064952 |
|  | **Machinery — 0.8%**  |  |
| 2340 | Illinois Tool Works, Inc. | 611348 |
|  | **Media — 0.5%**  |  |
| 11343 | News Corp., Class B | 352767 |
|  | **Multi-Utilities — 5.6%**  |  |
| 10072 | Ameren Corp. | 1040236 |
| 17526 | CenterPoint Energy, Inc. | 695607 |
| 10236 | CMS Energy Corp. | 731772 |
| 5597 | DTE Energy Co. | 752125 |
| 8057 | WEC Energy Group, Inc. | 891668 |
|  |  | 4111408 |
|  | **Oil, Gas & Consumable Fuels** <br> **— 2.3%**  |  |
| 2622 | Chevron Corp. | 463832 |
| 3418 | Exxon Mobil Corp. | 483305 |
| 13123 | Kinder Morgan, Inc. | 400120 |
| 4746 | Williams (The) Cos., Inc. | 319216 |
|  |  | 1666473 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Pharmaceuticals — 1.6%**  |  |
| 5123 | Johnson & Johnson | $1164202 |
|  | **Professional Services — 2.8%**  |  |
| 3683 | Automatic Data Processing, Inc. | 909038 |
| 2333 | Broadridge Financial Solutions, <br> Inc. | 459857 |
| 2822 | Paychex, Inc. | 291033 |
| 1667 | Verisk Analytics, Inc. | 362506 |
|  |  | 2022434 |
|  | **Residential REITs — 1.8%**  |  |
| 25317 | Invitation Homes, Inc. | 676723 |
| 4545 | Mid-America Apartment <br> Communities, Inc. | 610394 |
|  |  | 1287117 |
|  | **Retail REITs — 3.2%**  |  |
| 21580 | Realty Income Corp. | 1319833 |
| 13855 | Regency Centers Corp. | 1009614 |
|  |  | 2329447 |
|  | **Software — 7.5%**  |  |
| 3701 | Autodesk, Inc. (a) | 935872 |
| 44082 | Gen Digital, Inc. | 1057527 |
| 2722 | Microsoft Corp. | 1171249 |
| 3927 | Roper Technologies, Inc. | 1457820 |
| 2287 | Tyler Technologies, Inc. (a) | 844818 |
|  |  | 5467286 |
|  | **Specialized REITs — 1.3%**  |  |
| 34654 | VICI Properties, Inc. | 973084 |
|  | **Specialty Retail — 3.9%**  |  |
| 104 | AutoZone, Inc. (a) | 385246 |
| 1173 | Home Depot (The), Inc. | 439394 |
| 1110 | Lowe's Cos., Inc. | 296437 |
| 5884 | O'Reilly Automotive, Inc. (a) | 579044 |
| 7450 | TJX (The) Cos., Inc. | 1116085 |
|  |  | 2816206 |
|  | **Tobacco — 0.9%**  |  |
| 10954 | Altria Group, Inc. | 679039 |
|  | **Total Common Stocks** | 72806137 |
|  | (Cost $69,121,648) |  |
| **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** |
| 109229 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 3.58% (b) | 109229 |
|  | (Cost $109,229) |  |
|  | **Total Investments — 100.0%** | 72915366 |
|  | (Cost $69,230,877) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.0%** | 19839 |
|  | **Net Assets — 100.0%** | $72935205 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Domestic ETF (HUSV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income
 producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Rate
 shown reflects yield as of January 31, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Abbreviations throughout the Portfolio of Investments: <br> REITs – Real Estate Investment Trusts

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Common Stocks\* | $72806137 | &nbsp;&nbsp; $72806137 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| Money Market Funds | 109229 | &nbsp;&nbsp; 109229 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | $72915366 | &nbsp;&nbsp; $72915366 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Developed International ETF (HDMV)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (a) (b) — 99.0%** | **COMMON STOCKS (a) (b) — 99.0%** | **COMMON STOCKS (a) (b) — 99.0%** |
|  | **Australia — 7.2%** |  |
| 3004 | ANZ Group Holdings Ltd. <br> (AUD) | $76770 |
| 2021 | ASX Ltd. (AUD) | 80611 |
| 6920 | Coles Group Ltd. (AUD) | 102543 |
| 23663 | Lottery (The) Corp., Ltd. (AUD) | 84860 |
| 33149 | Medibank Pvt., Ltd. (AUD) | 106645 |
| 2533 | National Australia Bank Ltd. <br> (AUD) | 76498 |
| 47103 | Scentre Group (AUD) | 133825 |
| 18317 | Stockland (AUD) | 68750 |
| 78266 | Telstra Group Ltd. (AUD) | 265963 |
| 61509 | Vicinity Ltd. (AUD) | 105366 |
| 1485 | Wesfarmers Ltd. (AUD) | 86201 |
|  |  | 1188032 |
|  | **Belgium — 1.8%** |  |
| 2103 | Ageas S.A./N.V. (EUR) | 149443 |
| 1560 | Groupe Bruxelles Lambert N.V. <br> (EUR) | 147747 |
|  |  | 297190 |
|  | **Bermuda — 1.2%** |  |
| 23296 | CK Infrastructure Holdings Ltd. <br> (HKD) | 191596 |
|  | **Cayman Islands — 0.7%** |  |
| 19832 | CK Asset Holdings Ltd. (HKD) | 116371 |
|  | **Denmark — 1.1%** |  |
| 768 | Novonesis Novozymes B (DKK) | 47016 |
| 5551 | Tryg A/S (DKK) | 134891 |
|  |  | 181907 |
|  | **France — 7.8%** |  |
| 641 | Air Liquide S.A. (EUR) | 120005 |
| 504 | BioMerieux (EUR) | 58427 |
| 25567 | Bollore SE (EUR) | 145893 |
| 3412 | Bureau Veritas S.A. (EUR) | 109604 |
| 4496 | Carrefour S.A. (EUR) | 73758 |
| 1042 | Danone S.A. (EUR) | 81322 |
| 3821 | Engie S.A. (EUR) | 113684 |
| 857 | Gecina S.A. (EUR) | 78677 |
| 6469 | Getlink SE (EUR) | 128133 |
| 3618 | Klepierre S.A. (EUR) | 139122 |
| 5001 | Orange S.A. (EUR) | 92595 |
| 1102 | TotalEnergies SE (EUR) | 79878 |
| 2213 | Veolia Environnement S.A. <br> (EUR) | 82971 |
|  |  | 1304069 |
|  | **Germany — 5.1%** |  |
| 202 | Allianz SE (EUR) | 89024 |
| 541 | Beiersdorf AG (EUR) | 64416 |
| 278 | Deutsche Boerse AG (EUR) | 70289 |
| 2014 | Deutsche Telekom AG (EUR) | 67250 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Germany (Continued)** |  |
| 7445 | E.ON SE (EUR) | $157658 |
| 1125 | Fresenius SE & Co. KGaA <br> (EUR) | 62956 |
| 235 | Hannover Rueck SE (EUR) | 66520 |
| 1379 | Henkel AG & Co. KGaA (EUR) | 113850 |
| 1540 | RWE AG (EUR) | 97698 |
| 1080 | Siemens Healthineers AG <br> (EUR) (c) (d) | 53985 |
|  |  | 843646 |
|  | **Hong Kong — 10.4%** |  |
| 36730 | CLP Holdings Ltd. (HKD) | 347689 |
| 333594 | Hong Kong & China Gas Co., <br> Ltd. (HKD) | 314715 |
| 18088 | Link REIT (HKD) | 83169 |
| 86112 | MTR Corp., Ltd. (HKD) | 381172 |
| 41850 | Power Assets Holdings Ltd. <br> (HKD) | 324907 |
| 112645 | Sino Land Co., Ltd. (HKD) | 169859 |
| 11768 | Swire Pacific Ltd., Class A <br> (HKD) | 113581 |
|  |  | 1735092 |
|  | **Ireland — 0.4%** |  |
| 812 | Kerry Group PLC, Class A <br> (EUR) | 71995 |
|  | **Italy — 5.7%** |  |
| 13343 | Enel S.p.A. (EUR) | 147217 |
| 5906 | Eni S.p.A. (EUR) | 120594 |
| 2201 | Generali (EUR) | 89722 |
| 11565 | Infrastrutture Wireless Italiane <br> S.p.A. (EUR) (c) (d) | 101992 |
| 6279 | Poste Italiane S.p.A. <br> (EUR) (c) (d) | 165231 |
| 25355 | Snam S.p.A. (EUR) | 174257 |
| 13575 | Terna-Rete Elettrica Nazionale <br> (EUR) | 146848 |
|  |  | 945861 |
|  | **Japan — 15.1%** |  |
| 2300 | AGC, Inc. (JPY) | 84697 |
| 4700 | ANA Holdings, Inc. (JPY) | 91261 |
| 4900 | Asahi Group Holdings Ltd. <br> (JPY) | 51055 |
| 6700 | Asahi Kasei Corp. (JPY) | 64918 |
| 2600 | Bridgestone Corp. (JPY) | 58549 |
| 3400 | Chubu Electric Power Co., Inc. <br> (JPY) | 49409 |
| 5300 | Daito Trust Construction Co., <br> Ltd. (JPY) | 107363 |
| 2200 | Daiwa House Industry Co., Ltd. <br> (JPY) | 74774 |
| 2300 | East Japan Railway Co. (JPY) | 57857 |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Developed International ETF (HDMV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** |
|  | **Japan (Continued)** |  |
| 2200 | Hankyu Hanshin Holdings, Inc. <br> (JPY) | $61354 |
| 7600 | Hulic Co., Ltd. (JPY) | 90310 |
| 3000 | Japan Airlines Co., Ltd. (JPY) | 56691 |
| 2200 | Japan Tobacco, Inc. (JPY) | 79337 |
| 3900 | JFE Holdings, Inc. (JPY) | 52568 |
| 1800 | Kao Corp. (JPY) | 71949 |
| 3900 | KDDI Corp. (JPY) | 65685 |
| 6700 | Kirin Holdings Co., Ltd. (JPY) | 103556 |
| 3100 | MatsukiyoCocokara & Co. (JPY) | 49637 |
| 3800 | MEIJI Holdings Co., Ltd. (JPY) | 88960 |
| 14100 | Mitsubishi HC Capital, Inc. <br> (JPY) | 122906 |
| 3400 | Nissin Foods Holdings Co., Ltd. <br> (JPY) | 68764 |
| 87500 | NTT, Inc. (JPY) | 87579 |
| 2200 | Obic Co., Ltd. (JPY) | 61084 |
| 2200 | Osaka Gas Co., Ltd. (JPY) | 82365 |
| 2200 | Secom Co., Ltd. (JPY) | 80446 |
| 3000 | Sekisui Chemical Co., Ltd. <br> (JPY) | 52979 |
| 2800 | Sekisui House Ltd. (JPY) | 62202 |
| 1600 | Shimadzu Corp. (JPY) | 43050 |
| 66100 | SoftBank Corp. (JPY) | 89267 |
| 2200 | Suntory Beverage & Food Ltd. <br> (JPY) | 69272 |
| 2200 | Takeda Pharmaceutical Co., Ltd. <br> (JPY) | 74518 |
| 10300 | Tokyu Corp. (JPY) | 116171 |
| 3800 | West Japan Railway Co. (JPY) | 77566 |
| 3900 | Yakult Honsha Co., Ltd. (JPY) | 62799 |
|  |  | 2510898 |
|  | **Multi-National — 0.5%** |  |
| 766 | Unibail-Rodamco-Westfield <br> (EUR) (e) | 84442 |
|  | **Netherlands — 4.9%** |  |
| 678 | AerCap Holdings N.V. | 97401 |
| 2009 | ASR Nederland N.V. (EUR) | 145693 |
| 542 | Euronext N.V. (EUR) (c) (d) | 75746 |
| 1405 | Ferrovial SE (EUR) | 94962 |
| 3485 | Koninklijke Ahold Delhaize <br> N.V. (EUR) | 136156 |
| 21662 | Koninklijke KPN N.V. (EUR) | 105482 |
| 375 | Magnum Ice Cream (The) Co. <br> N.V. (GBP) (e) | 6658 |
| 1848 | NN Group N.V. (EUR) | 146284 |
|  |  | 808382 |
|  | **New Zealand — 0.7%** |  |
| 21040 | Contact Energy Ltd. (NZD) | 118448 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Norway — 1.4%** |  |
| 10472 | Orkla ASA (NOK) | $124179 |
| 6742 | Telenor ASA (NOK) | 113411 |
|  |  | 237590 |
|  | **Singapore — 13.9%** |  |
| 105300 | CapitaLand Ascendas REIT <br> (SGD) | 235913 |
| 143400 | CapitaLand Integrated <br> Commercial Trust (SGD) | 269417 |
| 62000 | CapitaLand Investment Ltd. <br> (SGD) | 150114 |
| 2830 | DBS Group Holdings Ltd. <br> (SGD) | 131700 |
| 197200 | Genting Singapore Ltd. (SGD) | 113939 |
| 11400 | Keppel Ltd. (SGD) | 97950 |
| 23900 | Oversea-Chinese Banking Corp., <br> Ltd. (SGD) | 398866 |
| 47400 | Singapore Airlines Ltd. (SGD) | 236609 |
| 26800 | Singapore Telecommunications <br> Ltd. (SGD) | 96700 |
| 10100 | United Overseas Bank Ltd. <br> (SGD) | 303850 |
| 104400 | Wilmar International Ltd. (SGD) | 278214 |
|  |  | 2313272 |
|  | **Spain — 2.8%** |  |
| 2821 | Aena SME S.A. (EUR) (c) (d) | 87710 |
| 2181 | Endesa S.A. (EUR) | 80376 |
| 5798 | Iberdrola S.A. (EUR) | 130066 |
| 79 | Iberdrola S.A. (EUR) (e) (f) (g) | 1772 |
| 5084 | Redeia Corp. S.A. (EUR) | 87924 |
| 18535 | Telefonica S.A. (EUR) | 75029 |
|  |  | 462877 |
|  | **Sweden — 4.9%** |  |
| 1302 | Alfa Laval AB (SEK) | 75628 |
| 1506 | Assa Abloy AB, Class B (SEK) | 60849 |
| 2938 | Essity AB, Class B (SEK) | 86812 |
| 1733 | Industrivarden AB, Class A <br> (SEK) | 86577 |
| 1719 | Industrivarden AB, Class C <br> (SEK) | 86032 |
| 2201 | Investor AB, Class B (SEK) | 84803 |
| 1517 | L E Lundbergforetagen AB, <br> Class B (SEK) | 90262 |
| 3417 | Skandinaviska Enskilda Banken <br> AB, Class A (SEK) | 73404 |
| 2163 | Swedbank AB, Class A (SEK) | 84189 |
| 17761 | Telia Co., AB (SEK) | 80854 |
|  |  | 809410 |
|  | **Switzerland — 6.5%** |  |
| 100 | Geberit AG (CHF) | 76269 |
| 322 | Helvetia Baloise Holding AG <br> (CHF) | 81515 |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Developed International ETF (HDMV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** |
|  | **Switzerland (Continued)** |  |
| 643 | Novartis AG (CHF) | $95337 |
| 262 | Schindler Holding AG (CHF) | 96422 |
| 217 | Schindler Holding AG (CHF) | 83707 |
| 654 | SGS S.A. (CHF) | 78509 |
| 107 | Swiss Life Holding AG (CHF) | 117153 |
| 957 | Swiss Prime Site AG (CHF) | 162543 |
| 202 | Swisscom AG (CHF) | 165535 |
| 172 | Zurich Insurance Group AG <br> (CHF) | 122150 |
|  |  | 1079140 |
|  | **United Kingdom — 6.9%** |  |
| 1771 | Admiral Group PLC (GBP) | 66642 |
| 8664 | Aviva PLC (GBP) | 75376 |
| 918 | Coca-Cola Europacific <br> Partners PLC | 84180 |
| 2279 | Compass Group PLC (GBP) | 68201 |
| 15547 | Haleon PLC (GBP) | 80606 |
| 1036 | Intertek Group PLC (GBP) | 63282 |
| 21646 | M&G PLC (GBP) | 91642 |
| 5897 | National Grid PLC (GBP) | 99613 |
| 884 | Reckitt Benckiser Group PLC <br> (GBP) (e) | 73690 |
| 1743 | RELX PLC (GBP) | 61510 |
| 2888 | Shell PLC (GBP) | 110413 |
| 2465 | Smiths Group PLC (GBP) | 84661 |
| 11816 | Tesco PLC (GBP) | 68748 |
| 1666 | Unilever PLC (GBP) | 112627 |
|  |  | 1141191 |
|  | **Total Common Stocks** | 16441409 |
|  | (Cost $14,480,678) |  |
| **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** |
| 38173 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 3.58% (h) | 38173 |
|  | (Cost $38,173) |  |
|  | **Total Investments — 99.2%** | 16479582 |
|  | (Cost $14,518,851) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.8%** | 136306 |
|  | **Net Assets — 100.0%** | $16615888 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Portfolio
 securities are categorized based upon their country of
 incorporation.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Securities
 are issued in U.S. dollars unless otherwise indicated
 in the security description.

&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(c) This
 security is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended (the "1933
 Act") and may be resold in transactions exempt from registration,
 normally to qualified institutional buyers. This security
 is not restricted on the foreign exchange where it trades
 freely without any additional registration.

&nbsp;&nbsp;&nbsp;&nbsp;(d) This
 security may be resold to qualified foreign investors and foreign
 institutional buyers under Regulation S of the 1933 Act.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Non-income
 producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Pursuant
 to procedures adopted by the Trust's Board of Trustees,
 this security has been determined to be illiquid by First
 Trust Advisors L.P., the Fund's advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(g) This
 security is fair valued by the Advisor's Pricing Committee
 in accordance with procedures approved by the Trust's
 Board of Trustees, and in accordance with provisions of
 the Investment Company Act of 1940 and rules thereunder,
 as amended. At January 31, 2026, securities noted
 as such are valued at $1,772 or 0.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(h) Rate
 shown reflects yield as of January 31, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AUD | – Australian Dollar |
| CHF | – Swiss Franc |
| DKK | – Danish Krone |
| EUR | – Euro |
| GBP | – British Pound Sterling |
| HKD | – Hong Kong Dollar |
| JPY | – Japanese Yen |
| NOK | – Norwegian Krone |
| NZD | – New Zealand Dollar |
| SEK | – Swedish Krona |
| SGD | – Singapore Dollar |
| USD | – United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Currency Exposure Diversification** | **% of Total** <br>**Investments**<br>|
| EUR | 28.6% |
| JPY | 15.2 |
| SGD | 14.0 |
| HKD | 12.4 |
| AUD | 7.2 |
| CHF | 6.6 |
| GBP | 6.5 |
| SEK | 4.9 |
| NOK | 1.5 |
| USD | 1.3 |
| DKK | 1.1 |
| NZD | 0.7 |
| Total | 100.0% |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Developed International ETF (HDMV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Common Stocks: |  |  |  |  |
| Spain | $462877 | &nbsp;&nbsp; $461105 | &nbsp;&nbsp; $1772 | &nbsp;&nbsp; $— |
| Other Country <br> Categories\*<br>| 15978532 | &nbsp;&nbsp; 15978532 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Money Market Funds | 38173 | &nbsp;&nbsp; 38173 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | $16479582 | &nbsp;&nbsp; $16477810 | &nbsp;&nbsp; $1772 | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for country breakout.

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS — 99.8%** | **COMMON STOCKS — 99.8%** | **COMMON STOCKS — 99.8%** |
|  | **Aerospace & Defense — 0.5%**  |  |
| 1880 | Hexcel Corp. | $155683 |
|  | **Automobile Components —** <br> **1.1%**  |  |
| 1552 | Autoliv, Inc. | 188164 |
| 5873 | Gentex Corp. | 135138 |
|  |  | 323302 |
|  | **Banks — 2.6%**  |  |
| 1585 | City Holding Co. | 195098 |
| 3778 | Commerce Bancshares, Inc. | 198874 |
| 4776 | Hilltop Holdings, Inc. | 178861 |
| 2775 | Prosperity Bancshares, Inc. | 191503 |
|  |  | 764336 |
|  | **Building Products — 0.8%**  |  |
| 1195 | Armstrong World Industries, Inc. | 219569 |
|  | **Capital Markets — 1.9%**  |  |
| 513 | Affiliated Managers Group, Inc. | 160615 |
| 778 | Morningstar, Inc. | 157226 |
| 2899 | SEI Investments Co. | 254677 |
|  |  | 572518 |
|  | **Chemicals — 3.2%**  |  |
| 1980 | Balchem Corp. | 336937 |
| 2542 | Innospec, Inc. | 207732 |
| 283 | NewMarket Corp. | 189834 |
| 1889 | RPM International, Inc. | 202047 |
|  |  | 936550 |
|  | **Commercial Services &** <br> **Supplies — 2.8%**  |  |
| 4006 | ABM Industries, Inc. | 184436 |
| 1022 | Clean Harbors, Inc. (a) | 265628 |
| 2105 | MSA Safety, Inc. | 372901 |
|  |  | 822965 |
|  | **Construction & Engineering** <br> **— 1.6%**  |  |
| 2159 | AECOM | 208192 |
| 2119 | Granite Construction, Inc. | 255848 |
|  |  | 464040 |
|  | **Consumer Finance — 0.5%**  |  |
| 920 | FirstCash Holdings, Inc. | 156860 |
|  | **Consumer Staples Distribution** <br> **& Retail — 3.5%**  |  |
| 8672 | Albertsons Cos., Inc., Class A | 144389 |
| 1629 | BJ's Wholesale Club Holdings, <br> Inc. (a) | 150585 |
| 357 | Casey's General Stores, Inc. | 216520 |
| 2064 | Performance Food Group Co. (a) | 197009 |
| 3779 | US Foods Holding Corp. (a) | 316000 |
|  |  | 1024503 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Containers & Packaging —** <br> **3.6%**  |  |
| 2482 | AptarGroup, Inc. | $310126 |
| 2414 | Crown Holdings, Inc. | 252698 |
| 8256 | Graphic Packaging Holding Co. | 120950 |
| 4178 | Silgan Holdings, Inc. | 180281 |
| 4047 | Sonoco Products Co. | 194256 |
|  |  | 1058311 |
|  | **Diversified Consumer Services** <br> **— 2.1%**  |  |
| 751 | Grand Canyon Education, <br> Inc. (a) | 130554 |
| 3919 | H&R Block, Inc. | 154604 |
| 4221 | Service Corp. International | 339495 |
|  |  | 624653 |
|  | **Diversified REITs — 1.7%**  |  |
| 5754 | Essential Properties Realty Trust, <br> Inc. | 174691 |
| 4574 | WP Carey, Inc. | 319037 |
|  |  | 493728 |
|  | **Electric Utilities — 4.5%**  |  |
| 3218 | IDACORP, Inc. | 427318 |
| 1676 | MGE Energy, Inc. | 133879 |
| 10350 | OGE Energy Corp. | 452088 |
| 554 | Otter Tail Corp. | 49395 |
| 5229 | Portland General Electric Co. | 262757 |
|  |  | 1325437 |
|  | **Electronic Equipment,** <br> **Instruments & Components** <br>**— 1.6%**  |  |
| 1733 | Arrow Electronics, Inc. (a) | 229605 |
| 3978 | Avnet, Inc. | 248188 |
|  |  | 477793 |
|  | **Entertainment — 1.7%**  |  |
| 1094 | Madison Square Garden Sports <br> Corp. (a) | 310203 |
| 6311 | Warner Music Group Corp., <br> Class A | 189204 |
|  |  | 499407 |
|  | **Financial Services — 3.7%**  |  |
| 7483 | Enact Holdings, Inc. | 297599 |
| 3834 | Essent Group Ltd. | 241235 |
| 8153 | MGIC Investment Corp. | 219479 |
| 4578 | NMI Holdings, Inc. (a) | 177260 |
| 4977 | Radian Group, Inc. | 163743 |
|  |  | 1099316 |
|  | **Food Products — 4.1%**  |  |
| 16000 | Flowers Foods, Inc. | 182880 |
| 3386 | Ingredion, Inc. | 399886 |
| 1559 | J & J Snack Foods Corp. | 148105 |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Food Products (Continued)**  |  |
| 947 | Marzetti (The) Company | $162477 |
| 3087 | Post Holdings, Inc. (a) | 315831 |
|  |  | 1209179 |
|  | **Gas Utilities — 4.8%**  |  |
| 1071 | Chesapeake Utilities Corp. | 137816 |
| 2149 | MDU Resources Group, Inc. | 44076 |
| 1114 | National Fuel Gas Co. | 93297 |
| 9831 | New Jersey Resources Corp. | 486438 |
| 4093 | Northwest Natural Holding Co. | 190570 |
| 1743 | ONE Gas, Inc. | 138673 |
| 580 | Southwest Gas Holdings, Inc. | 48036 |
| 2305 | Spire, Inc. | 194749 |
| 1878 | UGI Corp. | 75327 |
|  |  | 1408982 |
|  | **Ground Transportation —** <br> **0.6%**  |  |
| 1133 | Landstar System, Inc. | 169225 |
|  | **Health Care Providers &** <br> **Services — 1.9%**  |  |
| 375 | Chemed Corp. | 160177 |
| 2234 | Encompass Health Corp. | 211180 |
| 1145 | Ensign Group (The), Inc. | 196551 |
|  |  | 567908 |
|  | **Health Care REITs — 3.0%**  |  |
| 1590 | CareTrust REIT, Inc. | 59371 |
| 2298 | Healthcare Realty Trust, Inc. | 38583 |
| 9379 | LTC Properties, Inc. | 342052 |
| 4779 | Omega Healthcare Investors, Inc. | 209703 |
| 11895 | Sabra Health Care REIT, Inc. | 222793 |
|  |  | 872502 |
|  | **Hotels, Restaurants & Leisure** <br> **— 1.1%**  |  |
| 1859 | Choice Hotels International, Inc. | 191105 |
| 1395 | Churchill Downs, Inc. | 137212 |
|  |  | 328317 |
|  | **Household Products — 2.0%**  |  |
| 10786 | Reynolds Consumer Products, <br> Inc. | 249912 |
| 1466 | WD-40 Co. | 338983 |
|  |  | 588895 |
|  | **Independent Power and** <br> **Renewable Electricity** <br>**Producers — 0.2%**  |  |
| 407 | Ormat Technologies, Inc. | 50851 |
|  | **Industrial REITs — 0.9%**  |  |
| 323 | EastGroup Properties, Inc. | 58670 |
| 762 | First Industrial Realty Trust, Inc. | 44219 |
| 900 | LXP Industrial Trust | 44595 |
| 1011 | Rexford Industrial Realty, Inc. | 40976 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Industrial REITs (Continued)**  |  |
| 1118 | STAG Industrial, Inc. | $41936 |
| 701 | Terreno Realty Corp. | 43139 |
|  |  | 273535 |
|  | **Insurance — 7.6%**  |  |
| 1590 | American Financial Group, Inc. | 207129 |
| 3346 | Assured Guaranty Ltd. | 283908 |
| 3530 | CNO Financial Group, Inc. | 148437 |
| 153 | F&G Annuities & Life, Inc. | 4512 |
| 2557 | Fidelity National Financial, Inc. | 139075 |
| 2121 | First American Financial Corp. | 134005 |
| 1316 | Hanover Insurance Group (The), <br> Inc. | 229168 |
| 7779 | Old Republic International Corp. | 304703 |
| 656 | Primerica, Inc. | 172554 |
| 734 | Reinsurance Group of America, <br> Inc. | 148819 |
| 772 | RenaissanceRe Holdings Ltd. | 217472 |
| 4362 | RLI Corp. | 254872 |
|  |  | 2244654 |
|  | **Machinery — 3.9%**  |  |
| 3549 | Donaldson Co., Inc. | 361785 |
| 2046 | Franklin Electric Co., Inc. | 203822 |
| 4399 | Graco, Inc. | 384165 |
| 1062 | ITT, Inc. | 193603 |
|  |  | 1143375 |
|  | **Media — 0.6%**  |  |
| 2491 | New York Times (The) Co., <br> Class A | 182615 |
|  | **Metals & Mining — 0.7%**  |  |
| 659 | Reliance, Inc. | 217140 |
|  | **Mortgage REITs — 5.9%**  |  |
| 17048 | Annaly Capital Management, <br> Inc. | 392274 |
| 11394 | ARMOUR Residential REIT, <br> Inc. | 198256 |
| 12514 | Blackstone Mortgage Trust, Inc., <br> Class A | 240895 |
| 36208 | Ellington Financial, Inc. | 465273 |
| 24523 | Starwood Property Trust, Inc. | 439697 |
|  |  | 1736395 |
|  | **Multi-Utilities — 2.0%**  |  |
| 6905 | Avista Corp. | 285108 |
| 4338 | Black Hills Corp. | 316587 |
|  |  | 601695 |
|  | **Office REITs — 1.1%**  |  |
| 7577 | COPT Defense Properties | 233447 |
| 1611 | Cousins Properties, Inc. | 40662 |
| 1456 | Highwoods Properties, Inc. | 37638 |
|  |  | 311747 |

---

See Notes to Financial Statements

------

**First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Oil, Gas & Consumable Fuels** <br> **— 1.7%**  |  |
| 13241 | Antero Midstream Corp. | $249196 |
| 2061 | DT Midstream, Inc. | 259727 |
|  |  | 508923 |
|  | **Pharmaceuticals — 1.3%**  |  |
| 9474 | Innoviva, Inc. (a) | 189480 |
| 2894 | Prestige Consumer Healthcare, <br> Inc. (a) | 186576 |
|  |  | 376056 |
|  | **Professional Services — 4.9%**  |  |
| 2980 | CSG Systems International, Inc. | 237655 |
| 3188 | Exponent, Inc. | 229122 |
| 1658 | FTI Consulting, Inc. (a) | 289603 |
| 3991 | Genpact Ltd. | 176003 |
| 3255 | KBR, Inc. | 139346 |
| 2740 | Korn Ferry | 190348 |
| 1870 | Maximus, Inc. | 176603 |
|  |  | 1438680 |
|  | **Residential REITs — 1.5%**  |  |
| 4983 | American Homes 4 Rent, <br> Class A | 156068 |
| 4054 | Elme Communities | 8919 |
| 3276 | Equity LifeStyle Properties, Inc. | 206945 |
| 3442 | Independence Realty Trust, Inc. | 57481 |
|  |  | 429413 |
|  | **Retail REITs — 4.2%**  |  |
| 2168 | Acadia Realty Trust | 43382 |
| 5253 | Agree Realty Corp. | 379424 |
| 1801 | Brixmor Property Group, Inc. | 48249 |
| 1752 | Curbline Properties Corp. | 42486 |
| 1877 | Kite Realty Group Trust | 44091 |
| 6810 | NNN REIT, Inc. | 283773 |
| 8266 | Phillips Edison & Co., Inc. | 299477 |
| 1296 | Tanger, Inc. | 42405 |
| 2099 | Urban Edge Properties | 40783 |
|  |  | 1224070 |
|  | **Software — 0.9%**  |  |
| 4316 | Dolby Laboratories, Inc., <br> Class A | 277044 |
|  | **Specialized REITs — 4.0%**  |  |
| 1032 | CubeSmart | 38731 |
| 1159 | EPR Properties | 62864 |
| 18944 | Four Corners Property Trust, Inc. | 466970 |
| 10234 | Gaming and Leisure Properties, <br> Inc. | 457971 |
| 359 | Lamar Advertising Co., Class A | 46063 |
| 1371 | National Storage Affiliates Trust | 43612 |
| 2108 | Rayonier, Inc. | 47936 |
|  |  | 1164147 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Tobacco — 0.8%**  |  |
| 4164 | Universal Corp. | $235641 |
|  | **Trading Companies &** <br> **Distributors — 1.5%**  |  |
| 1476 | GATX Corp. | 268499 |
| 2031 | MSC Industrial Direct Co., Inc., <br> Class A | 171295 |
|  |  | 439794 |
|  | **Water Utilities — 1.2%**  |  |
| 1924 | American States Water Co. | 140375 |
| 1629 | California Water Service Group | 72816 |
| 2448 | Essential Utilities, Inc. | 94958 |
| 844 | H2O America | 43922 |
|  |  | 352071 |
|  | **Total Common Stocks** | 29371825 |
|  | (Cost $27,464,622) |  |
| **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** |
| 58435 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 3.58% (b) | 58435 |
|  | (Cost $58,435) |  |
|  | **Total Investments — 100.0%** | 29430260 |
|  | (Cost $27,523,057) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.0%** | 4514 |
|  | **Net Assets — 100.0%** | $29434774 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income
 producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Rate
 shown reflects yield as of January 31, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Abbreviations throughout the Portfolio of Investments: <br> REITs – Real Estate Investment Trusts

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Common Stocks\* | $29371825 | &nbsp;&nbsp; $29371825 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| Money Market Funds | 58435 | &nbsp;&nbsp; 58435 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | $29430260 | &nbsp;&nbsp; $29430260 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for industry breakout.

See Notes to Financial Statements

------

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------

**First Trust Exchange-Traded Fund III**

**Statements of Assets and Liabilities**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Domestic ETF** <br>**(HUSV)** <br>| **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Developed** <br> **International** <br> **ETF** <br>**(HDMV)** <br>| **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Small/Mid ETF** <br>**(HSMV)** <br>|
| **ASSETS:** |  |  |  |
| Investments, at value | $72915366 | &nbsp;&nbsp; $16479582 | &nbsp;&nbsp; $29430260 |
| Foreign currency, at value |  | &nbsp;&nbsp; 18 | &nbsp;&nbsp; — |
| Receivables: |  |  |  |
| Dividends | 72055 | &nbsp;&nbsp; 18992 | &nbsp;&nbsp; 24350 |
| Reclaims |  | &nbsp;&nbsp; 130090 | &nbsp;&nbsp; — |
| Total Assets | 72987421 | &nbsp;&nbsp; 16628682 | &nbsp;&nbsp; 29454610 |
| **LIABILITIES:** |  |  |  |
| Investment advisory fees payable | 52216 | &nbsp;&nbsp; 12794 | &nbsp;&nbsp; 19836 |
| Total Liabilities | 52216 | &nbsp;&nbsp; 12794 | &nbsp;&nbsp; 19836 |
| **NET ASSETS** | $72935205 | &nbsp;&nbsp; $16615888 | &nbsp;&nbsp; $29434774 |
| **NET ASSETS consist of:** |  |  |  |
| Paid-in capital | $104101722 | &nbsp;&nbsp; $43140279 | &nbsp;&nbsp; $30495065 |
| Par value | 18500 | &nbsp;&nbsp; 4500 | &nbsp;&nbsp; 8000 |
| Accumulated distributable earnings (loss) | (31185017)<br>| &nbsp;&nbsp; (26528891)<br>| &nbsp;&nbsp; (1068291)<br>|
| **NET ASSETS** | $72935205 | &nbsp;&nbsp; $16615888 | &nbsp;&nbsp; $29434774 |
| **NET ASSET VALUE,** per share | $39.42 | &nbsp;&nbsp; $36.92 | &nbsp;&nbsp; $36.79 |
| Number of shares outstanding (unlimited number of shares authorized, <br> par value $0.01 per share)<br>| 1850002 | &nbsp;&nbsp; 450002 | &nbsp;&nbsp; 800002 |
| Investments, at cost | $69230877 | &nbsp;&nbsp; $14518851 | &nbsp;&nbsp; $27523057 |
| Foreign currency, at cost (proceeds) | $— | &nbsp;&nbsp; $11 | &nbsp;&nbsp; $— |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Six Months Ended January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Domestic ETF** <br>**(HUSV)** <br>| **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Developed** <br> **International** <br> **ETF** <br>**(HDMV)** <br>| **First Trust** <br> **Horizon** <br> **Managed** <br> **Volatility** <br> **Small/Mid ETF** <br>**(HSMV)** <br>|
| **INVESTMENT INCOME:** |  |  |  |
| Dividends | $988072 | &nbsp;&nbsp; $318006 | &nbsp;&nbsp; $475138 |
| Foreign withholding tax |  | &nbsp;&nbsp; (4779)<br>| &nbsp;&nbsp; — |
| Total investment income | 988072 | &nbsp;&nbsp; 313227 | &nbsp;&nbsp; 475138 |
| **EXPENSES:** |  |  |  |
| Investment advisory fees | 330165<br>| &nbsp;&nbsp; 89548<br>| &nbsp;&nbsp; 111546<br>|
| Other expenses | 7217 | &nbsp;&nbsp; 2274 | &nbsp;&nbsp; 1625 |
| Total expenses | 337382 | &nbsp;&nbsp; 91822 | &nbsp;&nbsp; 113171 |
| **NET INVESTMENT INCOME (LOSS)** | 650690 | &nbsp;&nbsp; 221405 | &nbsp;&nbsp; 361967 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |  |
| Net realized gain (loss) on: |  |  |  |
| Investments | (629480)<br>| &nbsp;&nbsp; 249690 | &nbsp;&nbsp; 115791 |
| In-kind redemptions | 2524952 | &nbsp;&nbsp; 985447 | &nbsp;&nbsp; — |
| Forward foreign currency contracts |  | &nbsp;&nbsp; 3 | &nbsp;&nbsp; — |
| Foreign currency transactions |  | &nbsp;&nbsp; (4677)<br>| &nbsp;&nbsp; — |
| Net realized gain (loss) | 1895472 | &nbsp;&nbsp; 1230463 | &nbsp;&nbsp; 115791 |
| Net increase from payment by the advisor |  | &nbsp;&nbsp; 981 | &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation) on: |  |  |  |
| Investments | (2389130)<br>| &nbsp;&nbsp; 592220 | &nbsp;&nbsp; 986597 |
| Foreign currency translation |  | &nbsp;&nbsp; 6436 | &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation) | (2389130)<br>| &nbsp;&nbsp; 598656 | &nbsp;&nbsp; 986597 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | (493658)<br>| &nbsp;&nbsp; 1830100 | &nbsp;&nbsp; 1102388 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING** <br> **FROM OPERATIONS**<br>| $157032 | &nbsp;&nbsp; $2051505 | &nbsp;&nbsp; $1464355 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Changes in Net Assets** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **First Trust Horizon Managed** <br> **Volatility Domestic ETF (HUSV)** | **First Trust Horizon Managed** <br> **Volatility Domestic ETF (HUSV)** | **First Trust Horizon Managed** <br> **Volatility Developed International** <br> **ETF (HDMV)** | **First Trust Horizon Managed** <br> **Volatility Developed International** <br> **ETF (HDMV)** |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $650690 | &nbsp;&nbsp; $1237317 | &nbsp;&nbsp; $221405 | &nbsp;&nbsp; $940281 |
| Net realized gain (loss) | 1895472 | &nbsp;&nbsp; 10422369 | &nbsp;&nbsp; 1230463 | &nbsp;&nbsp; 5403639 |
| Net increase from payment by the advisor |  | &nbsp;&nbsp; — | &nbsp;&nbsp; 981 | &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation) | (2389130)<br>| &nbsp;&nbsp; (3247082)<br>| &nbsp;&nbsp; 598656 | &nbsp;&nbsp; (942490)<br>|
| Net increase (decrease) in net assets resulting from <br> operations<br>| 157032 | &nbsp;&nbsp; 8412604 | &nbsp;&nbsp; 2051505 | &nbsp;&nbsp; 5401430 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (709000)<br>| &nbsp;&nbsp; (1244276)<br>| &nbsp;&nbsp; (643047)<br>| &nbsp;&nbsp; (1034818)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 1939520<br>| &nbsp;&nbsp; 33227443<br>| &nbsp;&nbsp; —<br>| &nbsp;&nbsp; 4802205<br>|
| Cost of shares redeemed | (25404895) <br>| &nbsp;&nbsp; (31086858) <br>| &nbsp;&nbsp; (7150397) <br>| &nbsp;&nbsp; (19708370) <br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| (23465375)<br>| &nbsp;&nbsp; 2140585 | &nbsp;&nbsp; (7150397)<br>| &nbsp;&nbsp; (14906165)<br>|
| Total increase (decrease) in net assets | (24017343)<br>| &nbsp;&nbsp; 9308913 | &nbsp;&nbsp; (5741939)<br>| &nbsp;&nbsp; (10539553)<br>|
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 96952548 | &nbsp;&nbsp; 87643635 | &nbsp;&nbsp; 22357827 | &nbsp;&nbsp; 32897380 |
| End of period | $72935205 | &nbsp;&nbsp; $96952548 | &nbsp;&nbsp; $16615888 | &nbsp;&nbsp; $22357827 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 2450002 | &nbsp;&nbsp; 2400002 | &nbsp;&nbsp; 650002 | &nbsp;&nbsp; 1100002 |
| Shares sold | 50000 | &nbsp;&nbsp; 850000 | &nbsp;&nbsp; — | &nbsp;&nbsp; 150000 |
| Shares redeemed | (650000)<br>| &nbsp;&nbsp; (800000)<br>| &nbsp;&nbsp; (200000)<br>| &nbsp;&nbsp; (600000)<br>|
| Shares outstanding, end of period | 1850002 | &nbsp;&nbsp; 2450002 | &nbsp;&nbsp; 450002 | &nbsp;&nbsp; 650002 |

---

See Notes to Financial Statements

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **First Trust Horizon Managed** <br> **Volatility Small/Mid ETF** <br> **(HSMV)** | **First Trust Horizon Managed** <br> **Volatility Small/Mid ETF** <br> **(HSMV)** |
| **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| $361967 | &nbsp;&nbsp; $405331 |
| 115791 | &nbsp;&nbsp; 1974318 |
| 986597 | &nbsp;&nbsp; (2244428)<br>|
| 1464355 | &nbsp;&nbsp; 135221 |
| (361031)<br>| &nbsp;&nbsp; (370621)<br>|
| 1799592<br>| &nbsp;&nbsp; 16040926<br>|
| —<br>| &nbsp;&nbsp; (9040772) <br>|
| 1799592 | &nbsp;&nbsp; 7000154 |
| 2902916 | &nbsp;&nbsp; 6764754 |
| 26531858 | &nbsp;&nbsp; 19767104 |
| $29434774 | &nbsp;&nbsp; $26531858 |
| 750002 | &nbsp;&nbsp; 550002 |
| 50000 | &nbsp;&nbsp; 450000 |
|  | &nbsp;&nbsp; (250000)<br>|
| 800002 | &nbsp;&nbsp; 750002 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights**

**For a share outstanding throughout each period**

**First Trust Horizon Managed Volatility Domestic ETF (HUSV)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $39.57 | &nbsp;&nbsp;&nbsp;&nbsp; $36.52 | &nbsp;&nbsp;&nbsp;&nbsp; $32.87 | &nbsp;&nbsp;&nbsp;&nbsp; $33.22 | &nbsp;&nbsp;&nbsp;&nbsp; $33.08 | &nbsp;&nbsp;&nbsp;&nbsp; $27.19 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.27<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.51<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.47<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.58<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.51<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.46<br>|
| Net realized and unrealized gain (loss) | (0.13) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.05<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.67<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.31) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.10<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.87<br>|
| Total from investment operations | 0.14<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.56<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.14<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.27<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.61<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.33<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.29) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.51) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.49) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.47) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.44) <br>|
| Net asset value, end of period | $39.42<br>| &nbsp;&nbsp;&nbsp;&nbsp; $39.57<br>| &nbsp;&nbsp;&nbsp;&nbsp; $36.52<br>| &nbsp;&nbsp;&nbsp;&nbsp; $32.87<br>| &nbsp;&nbsp;&nbsp;&nbsp; $33.22<br>| &nbsp;&nbsp;&nbsp;&nbsp; $33.08<br>|
| **Total return** (b) | 0.37<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 9.78<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 12.74<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.88<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.82<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 23.48<br> % <br>|
| **Ratios to average net assets/supplemental data:** |  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $72935<br>| &nbsp;&nbsp;&nbsp;&nbsp; $96953<br>| &nbsp;&nbsp;&nbsp;&nbsp; $87644<br>| &nbsp;&nbsp;&nbsp;&nbsp; $92037<br>| &nbsp;&nbsp;&nbsp;&nbsp; $99665<br>| &nbsp;&nbsp;&nbsp;&nbsp; $120758<br>|
| Ratio of total expenses to average net assets | 0.72<br> % (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br> % <br>|
| Ratio of net investment income (loss) to average <br> net assets<br>| 1.38<br> % (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.31<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.39<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.79<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.46<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.42<br> % <br>|
| Portfolio turnover rate (e) | 28<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 84<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 100<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 122<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 76<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 152<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.70%.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights (Continued)** 

**For a share outstanding throughout each period**

**First Trust Horizon Managed Volatility Developed International ETF (HDMV)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $34.40 | &nbsp;&nbsp;&nbsp;&nbsp; $29.91 | &nbsp;&nbsp;&nbsp;&nbsp; $29.06 | &nbsp;&nbsp;&nbsp;&nbsp; $28.60 | &nbsp;&nbsp;&nbsp;&nbsp; $32.21 | &nbsp;&nbsp;&nbsp;&nbsp; $28.12 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.35<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.95<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.84<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.88<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.90<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.89<br>|
| Net realized and unrealized gain (loss) | 3.16<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.77<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.93<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.52<br>| &nbsp;&nbsp;&nbsp;&nbsp; (3.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.13<br>|
| Total from investment operations | 3.51<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.72<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.77<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.40<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.72) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.02<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.99) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.23) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.92) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.94) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.89) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.93) <br>|
| Net asset value, end of period | $36.92<br>| &nbsp;&nbsp;&nbsp;&nbsp; $34.40<br>| &nbsp;&nbsp;&nbsp;&nbsp; $29.91<br>| &nbsp;&nbsp;&nbsp;&nbsp; $29.06<br>| &nbsp;&nbsp;&nbsp;&nbsp; $28.60<br>| &nbsp;&nbsp;&nbsp;&nbsp; $32.21<br>|
| **Total return** (b) | 10.37<br> % (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 19.29<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.33<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.22<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (8.50)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 18.01<br> % (c)<br>|
| **Ratios to average net assets/supplemental data:** |  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $16616<br>| &nbsp;&nbsp;&nbsp;&nbsp; $22358<br>| &nbsp;&nbsp;&nbsp;&nbsp; $32897<br>| &nbsp;&nbsp;&nbsp;&nbsp; $40687<br>| &nbsp;&nbsp;&nbsp;&nbsp; $45757<br>| &nbsp;&nbsp;&nbsp;&nbsp; $86962<br>|
| Ratio of total expenses to average net assets | 0.82<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>|
| Ratio of net investment income (loss) to average net <br> assets<br>| 1.98<br> % (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.01<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.96<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.19<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.53<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.68<br> % <br>|
| Portfolio turnover rate (f) | 28<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 90<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 79<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 127<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year.

&nbsp;&nbsp;&nbsp;&nbsp;(c) During
 the period ended January 31, 2026 and fiscal year ended July 31, 2021, the Fund received a payment from the advisor in the amount of $981
 and $6,254, respectively, in connection with a trade error, which represents less than $0.01 per share. Since the advisor reimbursed the Fund,
 there was no effect on the Fund's total return.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights (Continued)** 

**For a share outstanding throughout each period**

**First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $35.38 | &nbsp;&nbsp;&nbsp;&nbsp; $35.94 | &nbsp;&nbsp;&nbsp;&nbsp; $31.82 | &nbsp;&nbsp;&nbsp;&nbsp; $32.14 | &nbsp;&nbsp;&nbsp;&nbsp; $33.12 | &nbsp;&nbsp;&nbsp;&nbsp; $25.03 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.47<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.68<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.43<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.44<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.29<br>|
| Net realized and unrealized gain (loss) | 1.40<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.12<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.29) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.05) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 8.09<br>|
| Total from investment operations | 1.87<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.06<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.55<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.15<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.69) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 8.38<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.46) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.43) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.47) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.29) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.29) <br>|
| Net realized gain | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.00) (b)<br>|
| Total distributions | (0.46) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.43) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.47) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.29) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.29) <br>|
| Net asset value, end of period | $36.79<br>| &nbsp;&nbsp;&nbsp;&nbsp; $35.38<br>| &nbsp;&nbsp;&nbsp;&nbsp; $35.94<br>| &nbsp;&nbsp;&nbsp;&nbsp; $31.82<br>| &nbsp;&nbsp;&nbsp;&nbsp; $32.14<br>| &nbsp;&nbsp;&nbsp;&nbsp; $33.12<br>|
| **Total return** (c) | 5.32<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.14<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 14.48<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.57<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.11)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 33.72<br> % <br>|
| **Ratios to average net assets/supplemental data:** |  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $29435<br>| &nbsp;&nbsp;&nbsp;&nbsp; $26532<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19767<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19091<br>| &nbsp;&nbsp;&nbsp;&nbsp; $16068<br>| &nbsp;&nbsp;&nbsp;&nbsp; $14906<br>|
| Ratio of total expenses to average net assets | 0.81<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.80<br> % <br>|
| Ratio of net investment income (loss) to average net <br> assets<br>| 2.60<br> % (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.88<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.34<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.43<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.09<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.02<br> % <br>|
| Portfolio turnover rate (f) | 20<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 66<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 53<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 71<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 118<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Amount
 represents less than $0.01.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the expense ratio would have been 0.80%.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**Notes to Financial Statements**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization**

First Trust Exchange-Traded Fund III (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act").

This report covers the three funds (each a "Fund" and collectively, the "Funds") listed below, each a diversified series of the Trust and listed and traded on the NYSE Arca, Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Horizon Managed Volatility Domestic ETF – (ticker "HUSV") <br> First Trust Horizon Managed Volatility Developed International ETF – (ticker "HDMV") <br> First Trust Horizon Managed Volatility Small/Mid ETF – (ticker "HSMV")

Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units."

Each Fund is an actively managed exchange-traded fund. The investment objective of each Fund is to provide capital appreciation.

Under normal market conditions, HUSV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks of domestic companies listed and traded on U.S. national securities exchanges that Horizon Investments, LLC ("Horizon" or the "Sub-Advisor") believes exhibit low future expected volatility.

Under normal market conditions, HDMV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in common stocks and depositary receipts of developed market companies listed and traded on non-U.S. exchanges that Horizon believes exhibit low future expected volatility.

Under normal market conditions, HSMV seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in small- and/or mid-capitalization common stocks listed and traded on U.S. national securities exchanges that Horizon believes exhibit low future expected volatility.

There can be no assurance that a Fund will achieve its investment objective. The Funds may not be appropriate for all investors.

**2. Significant Accounting Policies** 

The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

**A. Portfolio Valuation**

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

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq, Inc. ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.

Securities trading on foreign exchanges or over-the-counter markets that close prior to the NYSE close may be valued using a systematic fair valuation model provided by a third-party pricing service. If these foreign securities meet certain criteria in relation to the valuation model, their valuation is systematically adjusted to reflect the impact of movement in the U.S. market after the close of the foreign markets.

Shares of open-end funds are valued based on NAV per share.

Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.

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

1)

the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;

2)

the type of security;

3)

the size of the holding;

4)

the initial cost of the security;

5)

transactions in comparable securities;

6)

price quotes from dealers and/or third-party pricing services;

7)

relationships among various securities;

8)

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

9)

an analysis of the issuer's financial statements;

10)

the existence of merger proposals or tender offers that might affect the value of the security; and

11)

other relevant factors.

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

1)

the last sale price on the exchange on which they are principally traded;

2)

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

3)

ADR trading of similar securities;

4)

closed-end fund or exchange-traded fund trading of similar securities;

5)

foreign currency exchange activity;

6)

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

7)

factors relating to the event that precipitated the pricing problem;

8)

whether the event is likely to recur;

9)

whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and

10)

other relevant factors.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

Because foreign markets may be open on different days than the days during which investors may transact in the shares of a Fund, the value of the Fund's securities may change on the days when investors are not able to transact in the shares of the Fund. The value of the securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE.

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

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

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

o Quoted prices for similar investments in active markets.

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

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2026, is included with each Fund's Portfolio of Investments.

**B. Securities Transactions and Investment Income** 

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis.

Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates.

Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains, and income. The actual character of the amounts received during the year are not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.

**C. Foreign Currency**

The books and records of the Funds 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 investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in "Net change in unrealized appreciation (depreciation) on foreign currency translation" on the Statements of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in "Net change in unrealized appreciation (depreciation) on investments" on the Statements 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 and are included in "Net realized gain (loss) on foreign currency transactions" on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in "Net realized gain (loss) on investments" on the Statements of Operations.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**D. Dividends and Distributions to Shareholders**

Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | Distributions <br>paid from <br>Ordinary <br>Income<br>| Distributions <br>paid from <br>Capital <br>Gains<br>| Distributions <br>paid from <br>Return of <br>Capital<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $1244276 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| First Trust Horizon Managed Volatility Developed International ETF | 1034818 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| First Trust Horizon Managed Volatility Small/Mid ETF | 370621 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |

---

As of July 31, 2025, the components of distributable earnings on a tax basis for each Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | Undistributed <br>Ordinary <br>Income<br>| Accumulated <br>Capital and <br>Other <br>Gain (Loss)<br>| Net <br>Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $122410 | &nbsp;&nbsp; $(36809511)<br>| &nbsp;&nbsp; $6054052 |
| First Trust Horizon Managed Volatility Developed International ETF | 242585 | &nbsp;&nbsp; (29422382)<br>| &nbsp;&nbsp; 1242448 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 65301 | &nbsp;&nbsp; (2920701)<br>| &nbsp;&nbsp; 683785 |

---

**E. Income Taxes**

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

The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2022, 2023, 2024, and 2025 remain open to federal and state audit. As of January 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2025, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
|  | Non-Expiring <br>Capital Loss <br>Carryforwards<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $36809511 |

---

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

---

| | |
|:---|:---|
|  | Non-Expiring<br> Capital Loss<br> Carryforwards<br>|
| First Trust Horizon Managed Volatility Developed International ETF | $29422382 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 2920701 |

---

During the taxable year ended July 31, 2025, the following Funds utilized capital loss carryforwards in the following amount:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
|  | Capital <br>Loss <br>Utilized<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $6288698 |
| First Trust Horizon Managed Volatility Developed International ETF | 2834621 |

---

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2025, the Funds had no net late year ordinary or capital losses.

As of January 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Tax Cost | Gross <br> Unrealized <br>Appreciation<br>| Gross <br> Unrealized <br>(Depreciation)<br>| Net Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $69230877 | &nbsp;&nbsp; $6770471 | &nbsp;&nbsp; $(3085982)<br>| &nbsp;&nbsp; $3684489 |
| First Trust Horizon Managed Volatility Developed <br> International ETF<br>| 14518851 | &nbsp;&nbsp; 2303961 | &nbsp;&nbsp; (343230)<br>| &nbsp;&nbsp; 1960731 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 27523057 | &nbsp;&nbsp; 2839153 | &nbsp;&nbsp; (931950)<br>| &nbsp;&nbsp; 1907203 |

---

**F. Expenses**

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

**G. Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.

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

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

First Trust is paid an annual unitary management fee for each Fund. Pursuant to the Investment Management Agreement between First Trust and the Trust, First Trust manages the investment of the Funds' assets and is responsible for the expenses of each Fund, including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

expenses, which are paid by each respective Fund. The annual unitary management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund's net assets ("breakpoints") and calculated pursuant to the following schedules:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Breakpoints | HUSV | HSMV |
| Fund net assets up to and including $2.5 billion | 0.7000<br> %<br>| 0.80<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825<br> %<br>| 0.78<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650<br> %<br>| 0.76<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475<br> %<br>| 0.74<br> %<br>|
| Fund net assets greater than $10 billion up to and including $15 billion | 0.6300<br> %<br>| 0.72<br> %<br>|
| Fund net assets greater than $15 billion | 0.5950<br> %<br>| 0.68<br> %<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Breakpoints | HDMV |
| Fund net assets up to and including $2.5 billion | 0.80<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 0.78<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 0.76<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 0.74<br> %<br>|
| Fund net assets greater than $10 billion | 0.72<br> %<br>|

---

During the six months ended January 31, 2026, HDMV received a payment from the Advisor of $981 in connection with a trade error.

Horizon serves as the Funds' sub-advisor and manages each Fund's portfolio subject to First Trust's supervision. The Sub-Advisor receives a sub-advisory fee from First Trust equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. During any period in which First Trust's management fee is reduced in accordance with the breakpoints described above, the sub-advisory fee will be reduced to reflect the reduction in First Trust's management fee.

The Trust has multiple service agreements with The Bank of New York Mellon ("BNY"). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

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

Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the six months ended January 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust Horizon Managed Volatility Domestic ETF | $25226715 | &nbsp;&nbsp; $25252375 |
| First Trust Horizon Managed Volatility Developed International ETF | 6076454 | &nbsp;&nbsp; 6490046 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 5464566 | &nbsp;&nbsp; 5366702 |

---

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

For the six months ended January 31, 2026, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust Horizon Managed Volatility Domestic ETF | $1933464 | &nbsp;&nbsp; $25345052 |
| First Trust Horizon Managed Volatility Developed International ETF |  | &nbsp;&nbsp; 7096359 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 1793515 | &nbsp;&nbsp; — |

---

**5. Creations, Redemptions and Transaction Fees**

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

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

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

**6. Distribution Plan** 

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

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.

**7. Indemnification**

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**8. Subsequent Events**

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

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

**Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)**

There were no changes in or disagreements with the Funds' accountants during the six months ended January 31, 2026.

**Proxy Disclosures (Item 9 of Form N-CSR)**

At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the "Trust") that was held on August 12, 2025 (the "Special Meeting"), shareholders of record as of June 9, 2025 (the "Record Date") approved a proposal (the "Proposal") to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the "Board"). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a "fund") voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| James A. Bowen\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448229817 <br>1692488<br>|
| Thomas J. Driscoll\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448104659 <br>1817646<br>|
| Richard E. Erickson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447812453 <br>2109852<br>|
| Thomas R. Kadlec\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446751895 <br>3170410<br>|
| Denise M. Keefe\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448425408 <br>1496897<br>|
| Robert F. Keith\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447967349 <br>1954956<br>|
| Niel B. Nielson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447968834 <br>1953471<br>|
| Bronwyn Wright\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200751188 <br>249171117<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* This nominee was re-elected to the Board at the Special Meeting.

\*\* This nominee was elected to the Board as a new Trustee at the Special Meeting.

\*\*\* This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.

**Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)**

Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

Not applicable for the most recent fiscal half year.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Semi-Annual Financial Statements and Other Information <br> For the Six Months Ended January 31, 2026

![](img4f685eb41.gif)

<u>First Trust Exchange-Traded Fund III</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Merger Arbitrage ETF (MARB)<br>

------

**Table of Contents** 

**First Trust Merger Arbitrage ETF (MARB)**

**Semi-Annual Financial Statements and Other Information**

**January 31, 2026** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_SOI-TOC-ScheduleofInvestments-4457_1) | 1 |
| [Statement of Assets and Liabilities](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_SAL1-TOC-StatementofAssetsandLiabilities-4457_1) | 3 |
| [Statement of Operations](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_SOP1-TOC-StatementofOperations-4457_1) | 4 |
| [Statements of Changes in Net Assets](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_SOC1-TOC-StatementofChanges-4457_1) | 5 |
| [Financial Highlights](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_FIHI-TOC-FinancialHighlights-4457_1) | 6 |
| [Notes to Financial Statements](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_NTF-TOC-NotestoFinancialStatements-4457_1) | 7 |
| [Other Information](#xx_b49fabdb-704b-4ee9-9d8e-3f505f3b3fa0_AI-TOC-AdditionalInformation-4457_1) | 13 |

---

**Performance and Risk Disclosure**

There is no assurance that First Trust Merger Arbitrage ETF (the "Fund") will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund.

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

First Trust Advisors L.P., the Fund's advisor, may also periodically provide additional information on Fund performance on the Fund's webpage at www.ftportfolios.com.

**How to Read This Report**

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

The material risks of investing in the Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.

------

**First Trust Merger Arbitrage ETF (MARB)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS — 52.8%** | **COMMON STOCKS — 52.8%** | **COMMON STOCKS — 52.8%** |
|  | **Banks — 6.2%**  |  |
| 26849 | Cadence Bank | $1130611 |
| 28103 | MidWestOne Financial Group, <br> Inc. | 1301731 |
|  |  | 2432342 |
|  | **Biotechnology — 3.0%**  |  |
| 11644 | Exact Sciences Corp. (a) (b) | 1191647 |
|  | **Diversified REITs — 4.0%**  |  |
| 75413 | Alexander & Baldwin, Inc. (b) | 1564066 |
|  | **Entertainment — 4.5%**  |  |
| 8745 | Electronic Arts, Inc. (b) | 1783280 |
|  | **Health Care Equipment &** <br> **Supplies — 3.5%**  |  |
| 18400 | Hologic, Inc. (a) | 1378712 |
|  | **Insurance — 9.5%**  |  |
| 42706 | Aspen Insurance Holdings Ltd., <br> Class A (a) (b) | 1594215 |
| 24037 | Brighthouse Financial, Inc. (a) | 1539810 |
| 24512 | ProAssurance Corp. (a) | 593681 |
|  |  | 3727706 |
|  | **Machinery — 4.0%**  |  |
| 49391 | Hillenbrand, Inc. | 1576067 |
|  | **Oil, Gas & Consumable Fuels** <br> **— 0.0%**  |  |
| 1 | California Resources Corp. | 53 |
|  | **Professional Services — 6.9%**  |  |
| 19075 | CSG Systems International, Inc. | 1521231 |
| 17069 | Dayforce, Inc. (a) | 1182370 |
|  |  | 2703601 |
|  | **Software — 8.1%**  |  |
| 52244 | Confluent, Inc., Class A (a) | 1595532 |
| 121111 | Jamf Holding Corp. (a) (b) (c) | 1580498 |
|  |  | 3176030 |
|  | **Trading Companies &** <br> **Distributors — 3.1%**  |  |
| 18501 | Air Lease Corp. (b) | 1195720 |
|  | **Total Common Stocks** | 20729224 |
|  | (Cost $20,519,094) |  |
| **RIGHTS — 0.0%** | **RIGHTS — 0.0%** | **RIGHTS — 0.0%** |
|  | **Biotechnology — 0.0%** |  |
| 69580 | 89bio, Inc., expiring <br> December 31, <br> 2035 (a) (c) (d) (e) | 0 |
| 43869 | Chinook Therapeutics, Inc., <br> expiring December 21, <br> 2029 (a) (c) (d) (e) | 0 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Biotechnology (Continued)** |  |
| 100745 | Icosavax, Inc., expiring <br> January 1, 2029 (a) (c) (d) (e) | $0 |
| 20075 | Metsera, Inc., no expiration <br> date (a) (c) (d) (e) | 0 |
|  |  | 0 |
|  | **Consumer Staples Distribution** <br> **& Retail — 0.0%** |  |
| 76307 | Walgreens Boots Alliance, Inc., <br> no expiration <br> date (a) (c) (d) (e) | 0 |
|  | **Health Care Equipment &** <br> **Supplies — 0.0%** |  |
| 7137 | ABIOMED, Inc., expiring <br> December 31, <br> 2029 (a) (c) (d) (e) | 0 |
| 97345 | Paragon 28, Inc., expiring <br> December 31, <br> 2026 (a) (c) (d) (e) | 0 |
|  |  | 0 |
|  | **Pharmaceuticals — 0.0%** |  |
| 39856 | Mirati Therapeutics, Inc., <br> expiring January 23, <br> 2031 (a) (c) (d) (e) | 0 |
|  | **Total Rights** | 0 |
|  | (Cost $0) |  |
| **MONEY MARKET FUNDS — 42.7%** | **MONEY MARKET FUNDS — 42.7%** | **MONEY MARKET FUNDS — 42.7%** |
| 16759738 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 3.58% (f) | 16759738 |
|  | (Cost $16,759,738) |  |
|  | **Total Investments — 95.5%** | 37488962 |
|  | (Cost $37,278,832) |  |
| **COMMON STOCKS SOLD SHORT — (6.3)%** | **COMMON STOCKS SOLD SHORT — (6.3)%** | **COMMON STOCKS SOLD SHORT — (6.3)%** |
|  | **Banks — (6.3)%**  |  |
| (66454) | Huntington Bancshares, Inc. | (1161616)<br>|
| (8921) | Nicolet Bankshares, Inc. | (1302287)<br>|
|  | **Total Investments Sold Short** <br> **— (6.3)%** | (2463903)<br>|
|  | (Proceeds $2,356,223) |  |
|  | **Net Other Assets and** <br> **Liabilities — 10.8%** | 4257129 |
|  | **Net Assets — 100.0%** | $39282188 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income
 producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(b) This
 security or a portion of this security is segregated as collateral
 for investments sold short. At January 31, 2026, the
 segregated value of these securities amounts to $3,029,652.

See Notes to Financial Statements

------

**First Trust Merger Arbitrage ETF (MARB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(c) This
 security is fair valued by the Advisor's Pricing Committee
 in accordance with procedures approved by the Trust's
 Board of Trustees, and in accordance with provisions of
 the Investment Company Act of 1940 and rules thereunder,
 as amended. At January 31, 2026, securities noted
 as such are valued at $1,580,498 or 4.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Pursuant
 to procedures adopted by the Trust's Board of Trustees,
 this security has been determined to be illiquid by First
 Trust Advisors L.P. (the "Advisor").

&nbsp;&nbsp;&nbsp;&nbsp;(e) This
 security's value was determined using significant unobservable
 inputs (see Note 2A - Portfolio Valuation in the Notes
 to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;(f) Rate
 shown reflects yield as of January 31, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Abbreviations throughout the Portfolio of Investments: <br> REITs – Real Estate Investment Trusts

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Common Stocks: |  |  |  |  |
| Software | $3176030 | &nbsp;&nbsp; $1595532 | &nbsp;&nbsp; $1580498 | &nbsp;&nbsp; $— |
| Other Industry <br> Categories\*<br>| 17553194 | &nbsp;&nbsp; 17553194 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Rights\* | —<br> \*\*<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; —<br> \*\*<br>|
| Money Market Funds | 16759738 | &nbsp;&nbsp; 16759738 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Investments | $37488962 | &nbsp;&nbsp; $35908464 | &nbsp;&nbsp; $1580498 | &nbsp;&nbsp; $—<br> \*\*<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| **Level 1** <br>**Quoted** <br>**Prices**<br>| **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Common Stocks Sold <br> Short\*<br>| $(2463903)<br>| &nbsp;&nbsp; $(2463903)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for industry breakout.

\*\* Investments are valued at $0.

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

See Notes to Financial Statements

------

**First Trust Merger Arbitrage ETF (MARB)**

**Statement of Assets and Liabilities**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **ASSETS:** |  |
| Investments, at value | $37488962 |
| Restricted Cash | 4247299 |
| Receivables: |  |
| Dividends | 39056 |
| Margin interest rebate | 9445 |
| Reclaims | 886 |
| Total Assets | 41785648 |
| **LIABILITIES:** |  |
| Investments sold short, at value | 2463903 |
| Investment advisory fees payable | 39557 |
| Total Liabilities | 2503460 |
| **NET ASSETS** | $39282188 |
| **NET ASSETS consist of:** |  |
| Paid-in capital | $38366752 |
| Par value | 19000 |
| Accumulated distributable earnings (loss) | 896436 |
| **NET ASSETS** | $39282188 |
| **NET ASSET VALUE,** per share | $20.67 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1900002 |
| Investments, at cost | $37278832 |
| Investments sold short, proceeds | $2356223 |

---

See Notes to Financial Statements

------

**First Trust Merger Arbitrage ETF (MARB)**

**Statement of Operations**

**For the Six Months Ended January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** |  |
| Dividends | $424559 |
| Margin interest rebate | 25920 |
| Total investment income | 450479 |
| **EXPENSES:** |  |
| Investment advisory fees | 222226<br>|
| Dividend expense on investments sold short | 20379 |
| Other expenses | 2522 |
| Total expenses | 245127 |
| **NET INVESTMENT INCOME (LOSS)** | 205352 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |
| Net realized gain (loss) on: |  |
| Investments | 586804 |
| In-kind redemptions | 3971 |
| Investments sold short | 287687 |
| Net realized gain (loss) | 878462 |
| Net change in unrealized appreciation (depreciation) on: |  |
| Investments | 9518 |
| Investments sold short | (107680)<br>|
| Net change in unrealized appreciation (depreciation) | (98162)<br>|
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 780300 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $985652 |

---

See Notes to Financial Statements

------

**First Trust Merger Arbitrage ETF (MARB)**

**Statements of Changes in Net Assets** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| **OPERATIONS:** |  |  |
| Net investment income (loss) | $205352 | &nbsp;&nbsp; $276921 |
| Net realized gain (loss) | 878462 | &nbsp;&nbsp; 1112371 |
| Net change in unrealized appreciation (depreciation) | (98162)<br>| &nbsp;&nbsp; 353322 |
| Net increase (decrease) in net assets resulting from operations | 985652 | &nbsp;&nbsp; 1742614 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |
| Investment operations | (1064381)<br>| &nbsp;&nbsp; (513881)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |
| Proceeds from shares sold | 6196131<br>| &nbsp;&nbsp; 7957076<br>|
| Cost of shares redeemed | (1013585) <br>| &nbsp;&nbsp; (5989375) <br>|
| Net increase (decrease) in net assets resulting from shareholder transactions | 5182546 | &nbsp;&nbsp; 1967701 |
| Total increase (decrease) in net assets | 5103817 | &nbsp;&nbsp; 3196434 |
| **NET ASSETS:** |  |  |
| Beginning of period | 34178371 | &nbsp;&nbsp; 30981937 |
| End of period | $39282188 | &nbsp;&nbsp; $34178371 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |
| Shares outstanding, beginning of period | 1650002 | &nbsp;&nbsp; 1550002 |
| Shares sold | 300000 | &nbsp;&nbsp; 400000 |
| Shares redeemed | (50000)<br>| &nbsp;&nbsp; (300000)<br>|
| Shares outstanding, end of period | 1900002 | &nbsp;&nbsp; 1650002 |

---

See Notes to Financial Statements

------

**First Trust Merger Arbitrage ETF (MARB)**

**Financial Highlights**

**For a share outstanding throughout each period**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $20.71 | &nbsp;&nbsp;&nbsp;&nbsp; $19.99 | &nbsp;&nbsp;&nbsp;&nbsp; $20.00 | &nbsp;&nbsp;&nbsp;&nbsp; $20.01 | &nbsp;&nbsp;&nbsp;&nbsp; $19.55 | &nbsp;&nbsp;&nbsp;&nbsp; $19.46 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.12<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.18<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.24<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.23<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.24) (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.26) <br>|
| Net realized and unrealized gain (loss) | 0.46<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.90<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.21<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.01<br> (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.70<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.35<br>|
| Total from investment operations | 0.58<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.08<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.24<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.46<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.09<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.36) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.28) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.15) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Net realized gain | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.18) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.10) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Total distributions | (0.62) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.36) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.46) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.25) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Net asset value, end of period | $20.67<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.71<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.99<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.00<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.01<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.55<br>|
| **Total return** (c) | 2.88<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.46<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.26<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.17<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.35<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.46<br> % <br>|
| **Ratios to average net assets/supplemental data:** |  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $39282<br>| &nbsp;&nbsp;&nbsp;&nbsp; $34178<br>| &nbsp;&nbsp;&nbsp;&nbsp; $30982<br>| &nbsp;&nbsp;&nbsp;&nbsp; $68995<br>| &nbsp;&nbsp;&nbsp;&nbsp; $44031<br>| &nbsp;&nbsp;&nbsp;&nbsp; $10752<br>|
| Ratio of total expenses to average net assets | 1.38<br> % (d) (e) (f)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.65<br> % (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.70<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.80<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.87<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.23<br> % <br>|
| Ratio of total expenses to average net assets <br> excluding dividend expense and margin interest <br> expense<br>| 1.26<br> % (d) (e) (f)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.25<br> % (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.25<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.25<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.25<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.25<br> % <br>|
| Ratio of net investment income (loss) to average net <br> assets<br>| 1.16<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.90<br> % (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.20<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.17<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.23)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.15)% <br>|
| Portfolio turnover rate (g) | 209<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 195<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 301<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 367<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 246<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 280<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) The
 per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases
 in relation to market value fluctuation of the underlying investments.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Ratios
 of expenses to average net assets and ratio of net investment income (loss) to average net assets do not reflect the Fund's proportionate share
 of expenses and income of underlying investment companies in which the Fund invests.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the ratio of total expenses to average net assets and the ratio of
 total expenses to average net assets excluding dividend expense and margin interest expense would have been 1.36% and 1.25%, respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(g) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**Notes to Financial Statements**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization**

First Trust Exchange-Traded Fund III (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act").

This report covers the First Trust Merger Arbitrage ETF (the "Fund"), a non-diversified series of the Trust, which trades under the ticker "MARB" on NYSE Arca, Inc. The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units."

The Fund is an actively managed exchange-traded fund. The investment objective of the Fund is to seek to provide investors with capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objective by establishing long and short positions in the equity securities of companies that are involved in a publicly-announced significant corporate event, such as a merger or acquisition. The Fund's portfolio may include equity securities issued by U.S. and non-U.S. companies, including American Depositary Receipts, and derivatives, including total return swaps. The Fund may invest in securities issued by small, mid and large capitalization issuers.

**2. Significant Accounting Policies** 

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

**A. Portfolio Valuation**

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

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

Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq, Inc. ("Nasdaq") and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.

Shares of open-end funds are valued based on NAV per share.

Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor's Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is

------

**Notes to Financial Statements (Continued)**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:

1)

the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;

2)

the type of security;

3)

the size of the holding;

4)

the initial cost of the security;

5)

transactions in comparable securities;

6)

price quotes from dealers and/or third-party pricing services;

7)

relationships among various securities;

8)

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

9)

an analysis of the issuer's financial statements;

10)

the existence of merger proposals or tender offers that might affect the value of the security; and

11)

other relevant factors.

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

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

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

o Quoted prices for similar investments in active markets.

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

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of January 31, 2026, is included with the Fund's Portfolio of Investments.

**B. Securities Transactions and Investment Income** 

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis.

**C. Short Sales** 

Short sales are utilized for investment and risk management purposes and are transactions in which securities or other instruments (such as options, forwards, futures or other derivative contracts) are sold by the Fund, but are not currently owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund must borrow the security sold short and deliver the security to the counterparty. Short selling allows the Fund to profit from a decline in a market price to the extent such decline exceeds the transaction costs and the costs of borrowing the securities. The Fund will pay a fee or premium to borrow the securities sold short and is obligated

------

**Notes to Financial Statements (Continued)**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

to repay the lenders of the securities. Any dividends or interest that accrues on the securities during the period of the loan are due to the lenders. A gain, limited to the price at which the security was sold short, or a loss, unlimited in size, will be recognized upon the termination of the short sale; which is affected by the Fund purchasing the security sold short and delivering the security to the lender. Any such gain or loss may be offset, completely or in part, by the change in the value of the long portion of the Fund's portfolio. The Fund is subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund.

The Fund has established an account with BNP Paribas Prime Brokerage International, Ltd. for the purpose of borrowing securities that the Fund intends to sell short. The Fund is charged interest on debit margin balances at a rate equal to the Overnight Bank Funding Rate plus 85 basis points. With regard to securities held short, the Fund is credited a rebate equal to the market value of its short positions at a rate equal to the Overnight Bank Funding Rate less 35 basis points. This rebate rate applies to easy to borrow securities. Securities that are hard to borrow may earn a rebate that is less than the foregoing or may be subject to a premium charge on a security by security basis. The different rebate rate is determined at the time of a short sale request. For the six months ended January 31, 2026, the Fund had margin interest rebate of $25,920 as shown on the Statement of Operations. Restricted cash in the amount of $4,247,299, as shown on the Statement of Assets and Liabilities, is associated with collateral at the broker as of January 31, 2026.

**D. Dividends and Distributions to Shareholders**

Dividends from net investment income of the Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. The Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid during the fiscal year ended July 31, 2025 was as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Distributions paid from: |  |
| Ordinary income | $513881 |
| Capital gains |  |
| Return of capital |  |

---

As of July 31, 2025, the components of distributable earnings on a tax basis for the Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Undistributed ordinary income | $774553 |
| Accumulated capital and other gain (loss) |  |
| Net unrealized appreciation (depreciation) | 200612 |

---

**E. Income Taxes**

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

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2022, 2023, 2024, and 2025 remain open to federal and state audit. As of January 31, 2026, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions.

------

**Notes to Financial Statements (Continued)**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2025, for federal income tax purposes, the Fund had no capital loss carryforwards available to offset future capital gains.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2025, the Fund had no net late year ordinary or capital losses.

As of January 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| Tax Cost | Gross <br> Unrealized <br>Appreciation<br>| Gross <br> Unrealized <br>(Depreciation)<br>| Net Unrealized <br>Appreciation <br>(Depreciation)<br>|
| $34922609 | &nbsp;&nbsp; $311150 | &nbsp;&nbsp; $(208700)<br>| &nbsp;&nbsp; $102450 |

---

**F. Expenses**

Expenses, other than the investment advisory fee, dividend and interest expenses on investments sold short and other excluded expenses, are paid by the Advisor (see Note 3).

**G. Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of the Fund. The Fund operates as a single operating segment. The Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of the Fund, using the information presented in the financial statements and financial highlights.

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

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

Pursuant to an investment management agreement between First Trust and the Trust, on behalf of the Fund (the "Investment Management Agreement"), First Trust oversees First Trust Capital Management L.P.'s ("First Trust Capital Management" or the "Sub-Advisor") management of the Fund's assets. First Trust Capital Management receives a sub-advisory fee equal to 0.625% of the average daily net assets of the Fund less the amount of Fund Expenses owed by the Sub-Advisor. During any period in which the Advisor's management fee is reduced in accordance with the breakpoints described below, the investment sub-advisory fee will be reduced to reflect the reduction in First Trust's management fee. First Trust is responsible for the expenses of the Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, expenses associated with short sales transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The annual unitary management fee payable by the Fund to First Trust for these services will be reduced at certain levels of the Fund's net assets ("breakpoints") and calculated pursuant to the following schedule:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**Notes to Financial Statements (Continued)**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

---

| | |
|:---|:---|
| Breakpoints |  |
| Fund net assets up to and including $2.5 billion | 1.25000<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 1.21875<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 1.18750<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 1.15625<br> %<br>|
| Fund net assets greater than $10 billion | 1.12500<br> %<br>|

---

First Trust Capital Partners, LLC, an affiliate of First Trust, owns a 46% ownership interest in First Trust Capital Management through First Trust Capital Solutions L.P.

The Trust has multiple service agreements with The Bank of New York Mellon ("BNY"). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNY is responsible for custody of the Fund's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for the Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

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

Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the six months ended January 31, 2026, the cost of purchases and proceeds from sales of investments, excluding short-term investments, investments sold short and in-kind transactions, were $35,484,639 and $36,630,149, respectively. The cost of purchases to cover short sales and the proceeds from short sales were $1,575,413 and $4,219,323, respectively.

For the six months ended January 31, 2026, the cost of in-kind purchases and proceeds from in-kind sales were $3,236,210 and $170,773, respectively. For the six months ended January 31, 2026, the Fund had no in-kind transactions in investments sold short.

**5. Creations, Redemptions and Transaction Fees**

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

The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of

------

**Notes to Financial Statements (Continued)**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.

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

**6. Distribution Plan** 

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

No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.

**7. Indemnification**

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

**8. Subsequent Events**

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

At a meeting held on or about January 23, 2026, the Board of Directors for MARB approved a change in the Fund's name and investment policy. This change is expected to occur early in the second quarter of 2026. The Fund's name will change to "First Trust Equity Market Neutral ETF," and the Fund's ticker will change to "NTRL."

In connection with the change to the Fund's name, the Fund will adopt a non-fundamental investment policy whereby it invests at least 80% of its net assets (including investment borrowings) in financial derivative instruments (exchange-traded or over-the-counter) that provide exposure to U.S exchange-listed equity securities, U.S. exchange-traded funds ("ETFs") that provide exposure to U.S. exchange-listed equity securities and/or U.S. exchange-listed equity securities.

In connection with the changes described above, the Fund's principal investment strategies will be revised such that the Fund will no longer pursue its current merger arbitrage strategy, and it will instead seek an equity market neutral approach where the overall performance of the Fund is driven primarily by the net performance of long and short positions, independent of directional movements in the market. The Fund will pursue its investment objective by establishing long and short positions in U.S. exchange-listed equity securities, including exposure obtained through ETFs and financial derivative instruments such as futures or total return swaps. The Fund will generally seek to have exposure ranging from approximately 150%-250% to long positions and approximately 150%-250% to short positions. Additionally, the Fund's annual unitary management fee will be reduced to 0.95% of the Fund's average daily net assets. The Fund's portfolio management team will change to members of the First Trust Alternatives Investment Team, and the Fund will no longer have a sub-advisor.

------

**Other Information**

**First Trust Merger Arbitrage ETF (MARB)**

**January 31, 2026 (Unaudited)**

**Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)**

There were no changes in or disagreements with the Fund's accountants during the six months ended January 31, 2026.

**Proxy Disclosures (Item 9 of Form N-CSR)**

At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the "Trust") that was held on August 12, 2025 (the "Special Meeting"), shareholders of record as of June 9, 2025 (the "Record Date") approved a proposal (the "Proposal") to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the "Board"). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a "fund") voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| James A. Bowen\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448229817 <br>1692488<br>|
| Thomas J. Driscoll\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448104659 <br>1817646<br>|
| Richard E. Erickson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447812453 <br>2109852<br>|
| Thomas R. Kadlec\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446751895 <br>3170410<br>|
| Denise M. Keefe\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448425408 <br>1496897<br>|
| Robert F. Keith\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447967349 <br>1954956<br>|
| Niel B. Nielson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447968834 <br>1953471<br>|
| Bronwyn Wright\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200751188 <br>249171117<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* This nominee was re-elected to the Board at the Special Meeting.

\*\* This nominee was elected to the Board as a new Trustee at the Special Meeting.

\*\*\* This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.

**Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)**

Independent Trustees of the Fund are compensated through the unitary management fee paid by the Fund to the advisor and not directly by the Fund. The investment advisory fee paid is included in the Statement of Operations.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

Not applicable for the most recent fiscal half year.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Semi-Annual Financial Statements and Other Information <br> For the Six Months Ended January 31, 2026

![](img1d2bc37b1.gif)

<u>First Trust Exchange-Traded Fund III</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust California Municipal High Income ETF (FCAL) <br> First Trust New York Municipal High Income ETF (FMNY)

------

**Table of Contents** 

**First Trust Exchange-Traded Fund III**

**Semi-Annual Financial Statements and Other Information**

**January 31, 2026** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_803313d1-d6bf-4804-a901-d64450551188_SOI-TOC-ScheduleofInvestments-4432_1) |  |
| [First Trust California Municipal High Income ETF (FCAL)](#xx_803313d1-d6bf-4804-a901-d64450551188_SOI-TOC-ScheduleofInvestments-4432_1) | 1 |
| [First Trust New York Municipal High Income ETF (FMNY)](#xx_803313d1-d6bf-4804-a901-d64450551188_SOI-TOC-ScheduleofInvestments-4434_1) | 10 |
| [Statements of Assets and Liabilities](#xx_803313d1-d6bf-4804-a901-d64450551188_SAL1-TOC-StatementofAssetsandLiabilities-4432_1) | 14 |
| [Statements of Operations](#xx_803313d1-d6bf-4804-a901-d64450551188_SOP1-TOC-StatementofOperations-4432_1) | 15 |
| [Statements of Changes in Net Assets](#xx_803313d1-d6bf-4804-a901-d64450551188_SOC1-TOC-StatementofChanges-4432_1) | 16 |
| [Financial Highlights](#xx_803313d1-d6bf-4804-a901-d64450551188_FIHI-TOC-FinancialHighlights-4432_1) | 17 |
| [Notes to Financial Statements](#xx_803313d1-d6bf-4804-a901-d64450551188_NTF-TOC-NotestoFinancialStatements-4432_1) | 19 |
| [Other Information](#xx_803313d1-d6bf-4804-a901-d64450551188_AI-TOC-AdditionalInformation-4432_1) | 27 |

---

**Performance and Risk Disclosure**

There is no assurance that any series of First Trust Exchange-Traded Fund III (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") will achieve its investment objectives. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.

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

First Trust Advisors L.P., the Funds' advisor, may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com.

**How to Read This Report**

This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund's performance and investment approach.

The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 99.2%** | **MUNICIPAL BONDS — 99.2%** | **MUNICIPAL BONDS — 99.2%** | **MUNICIPAL BONDS — 99.2%** | **MUNICIPAL BONDS — 99.2%** |
|  | **California — 94.9%** | **California — 94.9%** | **California — 94.9%** |  |
| $250000 | Atascadero CA Fing Auth Lease Rev, Ser A | 5.00% | 05/01/44 | $272803 |
| 250000 | Atascadero CA Fing Auth Lease Rev, Ser A | 5.00% | 05/01/45 | 269328 |
| 1200000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt, AG | 5.00% | 09/01/44 | 1228740 |
| 1000000 | Bay Area CA Toll Auth Toll Bridge Rev Sustainable Bond, Ser F-2 | 5.00% | 04/01/44 | 1076203 |
| 1400000 | Bay Area CA Toll Auth Toll Bridge Rev Var, Ser H (a) | 2.65% | 04/01/59 | 1400000 |
| 100000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/33 | 101633 |
| 1250000 | Burbank CA Wtr & Pwr Elec Rev | 5.00% | 06/01/43 | 1340245 |
| 1000000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/40 | 1118857 |
| 750000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/44 | 808108 |
| 1625000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/49 | 1699970 |
| 20000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser A (Mandatory put 12/01/27) | 4.00% | 10/01/52 | 20366 |
| 2000000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser A-1 (Mandatory put 04/01/32) | 5.00% | 05/01/54 | 2146436 |
| 585000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser E (Mandatory put 09/01/32) | 5.00% | 02/01/55 | 627628 |
| 925000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var <br> Sustainable Bond, Ser A-1 (Mandatory put 08/01/29) | 5.00% | 12/01/53 | 973295 |
| 1000000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var <br> Sustainable Bonds, Ser C (Mandatory put 10/01/31) | 5.25% | 01/01/54 | 1064442 |
| 455000 | CA Hsg Fin Agy Affordable Hsg Rev Sustainable Bonds, Ser B | 4.35% | 02/01/43 | 459507 |
| 374934 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 391767 |
| 250000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable <br> Bond, Ser A (b) | 5.00% | 11/15/56 | 220643 |
| 310000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs <br> Proj, Ser C (b) | 4.50% | 07/01/26 | 311294 |
| 1000000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/43 | 1000432 |
| 455000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, <br>Ser A (b) | 5.00% | 07/01/40 | 470229 |
| 250000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, <br>Ser A (b) | 5.00% | 07/01/42 | 254028 |
| 175000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, <br>Ser A (b) | 5.00% | 07/01/43 | 176458 |
| 185000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, <br>Ser A (b) | 5.00% | 07/01/44 | 185521 |
| 105000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (b) | 5.00% | 07/01/27 | 107667 |
| 200000 | CA Sch Fin Auth Sch Fac Rev Ref Hth Learning Proj, Ser A (b) | 5.00% | 07/01/32 | 202940 |
| 545000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.00% | 07/01/40 | 561119 |
| 450000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.25% | 07/01/48 | 453662 |
| 650000 | CA Sch Fin Auth Sch Fac Rev, Ser A (b) | 5.00% | 07/01/40 | 661602 |
| 450000 | CA St Eductnl Facs Auth Rev Art Ctr Clg of Design, Ser A | 5.00% | 12/01/31 | 493127 |
| 900000 | CA St Eductnl Facs Auth Rev Ref Loma Linda Univ, Ser A | 5.00% | 04/01/47 | 903011 |
| 375000 | CA St Enterprise Dev Auth Chrt Sch Rev Ref The Rocklin Acdmy <br> Proj, Ser A (b) | 4.00% | 06/01/36 | 362955 |
| 500000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/34 | 528183 |
| 750000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/44 | 744294 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $2500000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Mead Vly <br> Wellness Vlg Proj, Ser A | 5.25% | 11/01/49 | $2674769 |
| 600000 | CA St Enterprise Dev Auth Rev Ref Sage Hill Sch Proj | 5.00% | 12/01/41 | 665356 |
| 650000 | CA St Enterprise Dev Auth Stdt Hsg Rev Ref Pomona <br> Properties LLC Proj, Ser A | 5.00% | 01/15/39 | 702871 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/40 | 550916 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/41 | 544945 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/42 | 538777 |
| 2000000 | CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A | 5.00% | 12/01/44 | 2123712 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A | 5.25% | 12/01/49 | 1055657 |
| 520000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B | 5.00% | 11/15/33 | 584234 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B | 5.25% | 11/15/48 | 1028532 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Subser A-2 | 4.00% | 11/01/44 | 955578 |
| 1240000 | CA St Hlth Facs Fing Auth Rev Ref El Camino Hlth, Ser A | 5.00% | 02/01/43 | 1389365 |
| 1025000 | CA St Hlth Facs Fing Auth Rev Ref Scripps Hlth, Ser A | 5.00% | 11/15/42 | 1151460 |
| 500000 | CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A | 5.00% | 08/15/43 | 548350 |
| 500000 | CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A | 5.00% | 08/15/44 | 543479 |
| 585000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving <br> Fund Sustainable Bond, Ser B | 4.00% | 11/01/39 | 584770 |
| 1410000 | CA St Infra & Econ Dev Bank Rev Adventist Hlth Energy Proj, <br>Ser A | 5.00% | 07/01/40 | 1511674 |
| 250000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy <br> Proj (c) | 5.38% | 07/01/34 | 250201 |
| 250000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch <br> Proj (d) | 5.38% | 07/01/34 | 250150 |
| 450000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy <br> Proj, Ser A (b) | 5.00% | 07/01/38 | 451594 |
| 2000000 | CA St Muni Fin Auth Mf Hsg Rev Gibson Drive Apartments <br> Proj, Ser A | 4.45% | 12/01/42 | 2048075 |
| 500000 | CA St Muni Fin Auth Mf Hsg Rev Var Oaks on Balboa, Ser A-1 <br> (Mandatory put 10/01/27) | 3.15% | 08/01/59 | 502850 |
| 1250000 | CA St Muni Fin Auth Mf Hsg Rev Var Victory Blvd, Ser B <br> (Mandatory put 07/01/29) | 3.00% | 07/01/31 | 1259025 |
| 785000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas <br> Projs, Ser A | 5.00% | 08/15/27 | 814552 |
| 85000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas <br> Projs, Ser A | 3.00% | 08/15/32 | 82652 |
| 170000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 3.00% | 08/15/31 | 167809 |
| 295000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 4.00% | 08/15/41 | 282097 |
| 435000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 4.00% | 08/15/51 | 365562 |
| 1000000 | CA St Muni Fin Auth Mobile Home Park Rev Sustainable Bond <br> Ref Caritas Projs, Ser A | 5.00% | 08/15/49 | 1018594 |
| 1000000 | CA St Muni Fin Auth Rev Aldersly Proj, Ser A | 5.00% | 05/15/43 | 1070770 |
| 1500000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1617138 |
| 1000000 | CA St Muni Fin Auth Rev Cmnty Hlth Ctr of the Centrl Coast <br> Inc, Ser A | 5.50% | 12/01/45 | 1035149 |
| 1000000 | CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.13% | 11/01/40 | 1052972 |
| 525000 | CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.38% | 11/01/45 | 536661 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $200000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | $204057 |
| 1345000 | CA St Muni Fin Auth Rev Ref Eskaton Properties Incorporated <br> Oblig Grp | 5.00% | 11/15/40 | 1446439 |
| 380000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 381671 |
| 800000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 802687 |
| 500000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 501720 |
| 600000 | CA St Muni Fin Auth Rev Ref S Central Los Angeles Regl Ctr Proj | 5.00% | 12/01/40 | 673111 |
| 1015000 | CA St Muni Fin Auth Rev St Ignatius Clg Prep, Ser A | 5.00% | 09/01/44 | 1093490 |
| 435000 | CA St Muni Fin Auth Sch Fac Rev St Mary's Sch Aliso Viejo, <br>Ser A (b) | 5.75% | 05/01/54 | 437179 |
| 385000 | CA St Muni Fin Auth Sch Fac Rev Temps St Mary's Sch Aliso <br> Viejo, Ser B | 4.65% | 05/01/30 | 397136 |
| 2000000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Draw Down Wst <br> Mgmt Proj Remk, Ser B, AMT (Mandatory put 06/01/26) | 3.85% | 11/01/41 | 2000325 |
| 1000000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj <br> Remk, Ser A, AMT (Mandatory put 04/01/26) | 3.45% | 07/01/41 | 1000361 |
| 1250000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Wst Mgmt Inc <br> Remk, Ser A, AMT (Mandatory put 12/01/26) | 3.45% | 12/01/44 | 1252050 |
| 1550000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1563917 |
| 600000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.50% | 09/01/43 | 634897 |
| 550000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 578446 |
| 400000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/39 | 421466 |
| 750000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/44 | 765754 |
| 1250000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/49 | 1249508 |
| 500000 | CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt <br> Hsg Proj | 5.00% | 05/15/39 | 516127 |
| 350000 | CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt <br> Hsg Proj | 5.00% | 05/15/40 | 359920 |
| 1500000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs <br> Inc Proj Remk, AMT (Mandatory put 02/17/26) (b) | 3.80% | 07/01/43 | 1500030 |
| 1500000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Poseidon Res LP <br> Desalination Proj, AMT (b) | 5.00% | 07/01/36 | 1644659 |
| 5000 | CA St Prerefunded Various Purp (Pre-refunded maturity 04/01/26) | 5.00% | 10/01/35 | 5023 |
| 15000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 15042 |
| 1110000 | CA St Pub Wks Brd Lease Rev Various Capital Projs, Ser D | 5.00% | 11/01/46 | 1169468 |
| 250000 | CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub <br> Schs Proj (b) | 5.00% | 07/01/39 | 270021 |
| 1000000 | CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub <br> Schs Proj (b) | 5.00% | 07/01/49 | 1012812 |
| 700000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies <br> Oceanside Proj, Ser A (b) | 5.00% | 10/01/32 | 745721 |
| 600000 | CA St Sch Fin Auth Chrt Sch Rev Sustainable Bonds Ref Camino <br> Nuevo Chrt Acdmy, Ser A (b) | 5.00% | 06/01/43 | 602676 |
| 650000 | CA St Sch Fin Auth Eductnl Facs Rev Ref New Designs Chrt <br> Sch, Ser A (b) | 5.00% | 06/01/54 | 613611 |
| 375000 | CA St Stwd Cmntys Dev Auth Rev Var Rady Childrens Hosp <br> Remk, Ser B (a) | 2.85% | 08/15/47 | 375000 |
| 1000000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 2 | 5.00% | 09/01/44 | 1032415 |
| 280000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref CHF Irvine LLC | 5.00% | 05/15/35 | 281371 |
| 245000 | CA St Stwd Cmntys Dev Auth Stwd Rev Ref Stwd Cmnty Infra <br> Prog, Ser R-1, AG (e) | 5.00% | 09/02/44 | 267016 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $140000 | CA St Stwd Cmntys Dev Auth Stwd Rev Ref Stwd Cmnty Infra <br> Prog, Ser R-1, AG (e) | 5.00% | 09/02/45 | $150802 |
| 860000 | CA St Stwd Cmntys Dev Auth Stwd Rev, Ser C-2 | 5.00% | 09/02/46 | 880507 |
| 1000000 | CA St Univ Rev Ref, Ser A | 5.00% | 11/01/43 | 1131534 |
| 1340000 | CA St Unrefunded | 5.00% | 11/01/31 | 1514038 |
| 770000 | CA St Unrefunded | 5.00% | 12/01/43 | 821505 |
| 250000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/30 | 251571 |
| 300000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/33 | 311695 |
| 250000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/32 | 254871 |
| 500000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/41 | 501661 |
| 100000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & <br> Svcs, Ser A | 5.00% | 04/01/30 | 102237 |
| 50000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & <br> Svcs, Ser A | 4.00% | 04/01/32 | 50502 |
| 50000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr (Pre-<br> refunded maturity 02/15/26) | 5.00% | 08/15/33 | 50050 |
| 1075000 | CA Stwd Cmntys Dev Auth Rev Ref John Muir Hlth, Ser A | 5.25% | 12/01/44 | 1175232 |
| 385000 | CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W <br> Remk, Ser 2007-A (Mandatory put 03/01/27) | 5.00% | 03/01/37 | 389856 |
| 2000000 | Centrl Vly CA Energy Auth Cmdy Sply Rev Var (Mandatory put <br> 08/01/35) | 5.00% | 12/01/55 | 2163213 |
| 450000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 470593 |
| 815000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/41 | 909513 |
| 500000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/43 | 544979 |
| 500000 | Corona CA Cmnty Facs Dist Spl Tax Bedford Impt Area No 2 | 5.00% | 09/01/39 | 540561 |
| 1500000 | Corona Norco CA Unif Sch Dist Election of 2014, Ser D (e) | 5.00% | 08/01/46 | 1626409 |
| 2000000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay <br> Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1650003 |
| 1000000 | E Bay CA Muni Util Dist Wtr Sys Rev Ref, Ser B | 5.00% | 06/01/43 | 1136175 |
| 1450000 | Elk Grove CA Fin Auth Spl Tax Rev Cmnty Facs Dt No 2005-1 <br> Laguna Ridge | 4.00% | 09/01/50 | 1246764 |
| 175000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/34 | 191191 |
| 175000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/35 | 189924 |
| 400000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/40 | 426100 |
| 350000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No <br> 19 Mangini | 5.00% | 09/01/32 | 359735 |
| 1500000 | Fontana CA Pub Fin Auth Lease Rev Ref, Ser A | 5.00% | 11/01/50 | 1583238 |
| 155000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 159926 |
| 500000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/46 | 503392 |
| 1790000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/39 | 1919316 |
| 600000 | Fontana CA Spl Tax Cmnty Facs Dt #111 | 5.00% | 09/01/39 | 647409 |
| 300000 | Fontana CA Spl Tax Cmnty Facs Dt #111 | 5.00% | 09/01/48 | 304057 |
| 1000000 | Fontana CA Spl Tax The Gardens Phase One | 5.00% | 09/01/39 | 1072244 |
| 2000000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Pub Safety Projs, Ser A, <br> AG | 5.25% | 04/01/50 | 2142265 |
| 1000000 | Garden Grove CA Pub Fing Auth Lease Rev, Ser A, BAM | 5.00% | 04/01/43 | 1095818 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $750000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, <br>Ser A-1 (Pre-refunded maturity 06/01/28) | 5.00% | 06/01/34 | $801146 |
| 1000000 | Imperial CA Cmnty Clg Dist Election of 2022, Ser A, AG | 5.25% | 08/01/53 | 1055516 |
| 575000 | Indio CA Elec Fing Auth Elec Rev | 5.25% | 01/01/41 | 647528 |
| 570000 | Inglewood CA Jt Pwrs Auth Lease Rev Inglewood Main Library <br> Renovation and Seismic Retrofit Proj, BAM | 5.00% | 08/01/43 | 632140 |
| 1265000 | Inglewood CA Jt Pwrs Auth Lease Rev Inglewood Main Library <br> Renovation and Seismic Retrofit Proj, BAM | 5.25% | 08/01/50 | 1355209 |
| 775000 | Irvine CA Spl Tax Ref Cmnty Facs Dist #2013-3 Great Park Impt <br> Area#1, BAM | 5.00% | 09/01/44 | 846139 |
| 150000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 154996 |
| 2000000 | Irvine Ranch CA Wtr Dist Var Impt Dist Cons, Ser B (a) | 2.70% | 10/01/41 | 2000000 |
| 1000000 | Kern CA Cmnty Clg Dist, Ser D | 5.25% | 08/01/39 | 1144085 |
| 245000 | Lake Elsinore CA Unif Sch Dist Cmnty Facs Dist Cmnty Facs Dt <br> No 2017-2 | 5.00% | 09/01/39 | 262391 |
| 1250000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cfd #2019-1-Mountain <br> House Sch Facs | 5.00% | 09/01/46 | 1269188 |
| 25000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 25695 |
| 25000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 25618 |
| 200000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 198897 |
| 1000000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.00% | 11/15/35 | 1153246 |
| 1000000 | Long Beach CA Cmnty Clg Dist, Ser E | 5.00% | 08/01/48 | 1073856 |
| 1010000 | Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj | 5.00% | 05/15/40 | 1123752 |
| 500000 | Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj | 5.00% | 05/15/41 | 550646 |
| 50000 | Los Angeles CA Dept of Arpts Arpt Rev Prerefunded Subord <br> Ref, Ser D, AMT (Pre-refunded maturity 11/15/31) | 5.00% | 05/15/33 | 55527 |
| 605000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Priv Activity, <br>Ser A, AMT | 5.00% | 05/15/35 | 663450 |
| 1125000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Subord Bonds <br> Sustainable Bonds, Ser D | 5.00% | 05/15/42 | 1291488 |
| 500000 | Los Angeles CA Dept of Arpts Arpt Rev Sustainable Bond Ref <br> Subord Priv Activity, Ser A, AMT | 5.25% | 05/15/42 | 545438 |
| 1100000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord <br> Ref, Ser D, AMT | 5.00% | 05/15/31 | 1227837 |
| 690000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord <br> Ref, Ser D, AMT | 5.00% | 05/15/36 | 757363 |
| 1000000 | Los Angeles CA Unif Sch Dist Election 2008, Ser B-1, AG | 5.25% | 07/01/42 | 1042678 |
| 650000 | Los Angeles Cnty CA Dev Auth Mf Hsg Rev Var W LA VA Bldg <br> 156 & 157 Apts, Ser C (Mandatory put 12/01/26) | 3.75% | 12/01/46 | 650277 |
| 450000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/41 | 504921 |
| 940000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/43 | 1030279 |
| 500000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/44 | 541229 |
| 100000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 102632 |
| 250000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 257729 |
| 600000 | Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-<br> 1, Ser A | 5.00% | 09/01/43 | 624837 |
| 700000 | Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-<br> 1, Ser A | 5.00% | 09/01/48 | 712109 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $245000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | $254549 |
| 1500000 | Menifee CA Union Sch Dist, Ser C, AG | 3.00% | 08/01/40 | 1358602 |
| 1000000 | Met Wtr Dist of Sthrn CA Wtrwks Rev, Ser A | 5.00% | 04/01/48 | 1062994 |
| 530000 | Modesto CA Elem Sch Dist Stanislaus Cnty Election of 2018 <br> Measure D, Ser C | 5.00% | 08/01/41 | 585524 |
| 500000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/40 | 585268 |
| 700000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/41 | 809864 |
| 750000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/42 | 856580 |
| 200000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 203015 |
| 500000 | Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt <br> #2024-1 Impt Area #1 | 5.00% | 09/01/40 | 525969 |
| 800000 | Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt <br> #2024-1 Impt Area #1 | 5.00% | 09/01/45 | 806567 |
| 1000000 | Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A | 5.00% | 08/01/43 | 1111564 |
| 1375000 | Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A | 5.00% | 08/01/44 | 1511367 |
| 100000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 101369 |
| 65000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 65546 |
| 275000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 266113 |
| 500000 | Ontario CA Spl TX Countryside Phase 2 S Facs | 5.00% | 09/01/39 | 533501 |
| 800000 | Ontario Pub Fing Auth Lease Rev, Ser A | 5.00% | 11/01/41 | 919636 |
| 610000 | Orange Ctr CA Sch Dist Election of 2022, Ser A, AG | 5.25% | 08/01/48 | 636620 |
| 1000000 | Oxnard CA Sch Dist Election of 2022, Ser A, BAM | 5.00% | 08/01/42 | 1096354 |
| 925000 | Pittsburg CA Unif Sch Dist Ref | 3.00% | 08/01/40 | 821947 |
| 210000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline <br> 208 | 5.00% | 09/01/33 | 218162 |
| 220000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline <br> 208 | 5.00% | 09/01/34 | 228470 |
| 525000 | Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM | 4.00% | 11/01/31 | 557795 |
| 500000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 <br> Phase 2 Pub Impts | 5.00% | 09/01/40 | 511147 |
| 1500000 | Riverside CA Swr Rev Ref, Ser A | 5.00% | 08/01/40 | 1753095 |
| 575000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 545967 |
| 375000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/39 | 397372 |
| 750000 | Riverside CA Wtr Rev, Ser A | 5.00% | 10/01/47 | 794102 |
| 1000000 | Riverside Cnty CA Transprtn Commn Toll Rev Ref Sr Lien Rctc <br> 91 Express Lanes, Ser B-1 | 4.00% | 06/01/41 | 997543 |
| 400000 | Romoland CA Sch Dist Spl Tax Underwood Impt Area No 2 <br> Special Tax Bonds | 5.00% | 09/01/43 | 416558 |
| 1660000 | Roseville CA Fin Auth Elec Sys Rev | 5.00% | 02/01/45 | 1824234 |
| 930000 | Roseville CA Spl Tax Amoruso Ranch Cmnty Facs Dist #1 Impt <br> Area #1 | 5.00% | 09/01/39 | 987466 |
| 185000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/32 | 192366 |
| 160000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/33 | 166247 |
| 170000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/34 | 173742 |
| 150000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/35 | 152459 |
| 750000 | Rowland CA Unif Sch Dist Ref, Ser B | 4.00% | 08/01/42 | 766333 |
| 1000000 | S Wstrn CA Cmnty Clg Dist Election of 2024, Ser A | 5.25% | 08/01/46 | 1100644 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $200000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist <br> #2007-01 (b) | 5.00% | 09/01/32 | $204012 |
| 1000000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/37 | 1035678 |
| 1120000 | Sacramento Cnty CA Arpt Sys Rev, Ser A, AMT | 5.00% | 07/01/33 | 1276023 |
| 775000 | Sacramento Cnty CA Arpt Sys Rev, Ser A, AMT | 5.25% | 07/01/41 | 868998 |
| 1355000 | San Clemente CA Spl Tax Ref Cmnty Facs Dist #2006-1 <br> Marblehead Coastal, BAM | 5.00% | 09/01/41 | 1543608 |
| 500000 | San Diego CA Pub Facs Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 532219 |
| 1500000 | San Diego CA Unif Sch Dist Sustainable Bond, Ser F2 | 5.00% | 07/01/42 | 1650927 |
| 130000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 138896 |
| 1000000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1102543 |
| 85000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area <br> No 2, Ser A | 4.00% | 09/01/33 | 86647 |
| 140000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref <br> Second Ser, Ser 2020A, AMT | 5.00% | 05/01/37 | 149597 |
| 3040000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, <br> AMT | 5.00% | 05/01/49 | 3065821 |
| 500000 | San Francisco CA City & Cnty Dev Spl Tax Dist No 2020-1 <br> Mission Rock Facs and Svcs, Ser A (b) | 4.00% | 09/01/46 | 433402 |
| 1000000 | San Francisco CA City & Cnty Pub Utils Commn Wtr Rev Reg and <br> Loc Wtr Subord, Ser A | 5.25% | 11/01/48 | 1083529 |
| 1250000 | San Francisco City & Cnty CA Redev Agy Successor Agy Cmnty <br> Ref Cmnty Facs Dist #6 Mission Bay S Pub Impts, AG | 5.25% | 08/01/40 | 1427670 |
| 1350000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax <br> Transbay Infra Projs Third Lien, Ser B, AG | 5.00% | 08/01/48 | 1406159 |
| 935000 | San Francisco City & Cnty CA, Ser B | 2.00% | 06/15/29 | 906174 |
| 175000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev <br> CABS Ref, Ser A, NATL-RE | (f) | 01/15/29 | 160679 |
| 1000000 | San Joaquin Vly Clean Energy Auth CA Clean Energy Rev Var <br> Sustainable Bonds Clean Energy Proj, Ser A (Mandatory put <br> 07/01/35) | 5.50% | 01/01/56 | 1124975 |
| 1000000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital <br> Projs Ref, Ser A | 5.25% | 11/15/40 | 1134818 |
| 1000000 | San Luis Obispo Pub Fing Auth Lease Rev Ref Cultural Arts Dist <br> Parking Proj | 5.00% | 12/01/48 | 1067631 |
| 1000000 | Santa Ana CA Pub Fing Auth Wtr Rev Ref | 5.00% | 09/01/42 | 1123014 |
| 1000000 | Santa Barbara CA Fin Auth Lease Rev Pub Safety and Park Projs | 4.00% | 05/15/42 | 1023424 |
| 1590000 | Santa Clara CA Wstwtr Rev Sustainable Bonds, COPS | 4.25% | 02/01/41 | 1698896 |
| 500000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable <br> Bond, Ser A | 5.00% | 08/01/40 | 563985 |
| 500000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable <br> Bond, Ser A | 5.00% | 08/01/41 | 560162 |
| 1075000 | Santa Fe Springs CA Pub Fin Auth Spl Parcel Tax Rev Santa Fe <br> Springs Road Impts, AG | 5.00% | 06/01/40 | 1213850 |
| 1100000 | Santa Margarita CA Wtr Dist Spl Tax Ref, Ser A, BAM | 5.00% | 09/01/43 | 1190838 |
| 1000000 | Santa Rosa CA High Sch Dist, Ser B | 5.00% | 08/01/45 | 1078824 |
| 2250000 | Stockton E CA Wtr Dist Sustainable Bonds, Ser A, BAM, COPS | 5.00% | 03/01/50 | 2351955 |
| 150000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 154682 |
| 500000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 <br> Impt Area #1 | 5.00% | 09/01/31 | 515768 |
| 250000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 257816 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **California (Continued)** | **California (Continued)** | **California (Continued)** |  |
| $1250000 | Univ of CA CA Rev, Ser CC | 5.00% | 05/15/53 | $1319912 |
| 1000000 | Univ of CA CA Rev, Ser CD | 5.50% | 05/15/40 | 1210222 |
| 435000 | Univ of CA CA Rgts Med Ctr Pooled Rev Ref, Ser 0-1 (a) | 2.65% | 05/15/45 | 435000 |
| 1000000 | Univ of CA Rev Var Ref Gen Remk, Ser AL-3 (a) | 2.65% | 05/15/48 | 1000000 |
| 365000 | Vacaville CA Spl Tax Lower Lagoon Vly Impt Area No 1, Ser A | 5.00% | 09/01/40 | 380502 |
| 330000 | Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2 <br> (Stratford Ranch) | 5.00% | 09/01/38 | 351304 |
| 500000 | Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2 <br> (Stratford Ranch) | 5.00% | 09/01/43 | 517758 |
| 275000 | Wildomar CA Spl Tax Cmnty Fac Dist No.2023-1(Avalino) (e) | 5.00% | 09/01/41 | 289920 |
| 325000 | Wildomar CA Spl Tax Cmnty Fac Dist No.2023-1(Avalino) (e) | 5.00% | 09/01/46 | 331230 |
|  |  |  |  | 195074362 |
|  | **Connecticut — 0.2%** | **Connecticut — 0.2%** | **Connecticut — 0.2%** |  |
| 490000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.38% | 10/01/45 | 506371 |
|  | **Florida — 0.1%** | **Florida — 0.1%** | **Florida — 0.1%** |  |
| 210000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 214119 |
|  | **Guam — 1.5%** | **Guam — 1.5%** | **Guam — 1.5%** |  |
| 500000 | Guam Govt Busn Privilege Tax Rev Ref, Ser G | 5.00% | 01/01/31 | 546375 |
| 500000 | Guam Govt Busn Privilege Tax Rev Ref, Ser G | 5.25% | 01/01/38 | 553950 |
| 1000000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.25% | 07/01/42 | 1078822 |
| 280000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 284256 |
| 210000 | Guam Pwr Auth Rev Ref, Ser A | 5.00% | 10/01/41 | 223809 |
| 325000 | Guam Pwr Auth Rev Ref, Ser A | 5.00% | 10/01/42 | 342933 |
|  |  |  |  | 3030145 |
|  | **Louisiana — 0.4%** | **Louisiana — 0.4%** | **Louisiana — 0.4%** |  |
| 750000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser <br> 2008 (Mandatory put 06/01/30) (b) | 6.10% | 06/01/38 | 831737 |
|  | **North Carolina — 0.3%** | **North Carolina — 0.3%** | **North Carolina — 0.3%** |  |
| 500000 | NC St Med Care Commn Retmnt Facs Rev Deerfield Episcopal <br> Retmnt Cmnty Proj, Ser A | 5.25% | 11/01/46 | 515386 |
|  | **Puerto Rico — 1.2%** | **Puerto Rico — 1.2%** | **Puerto Rico — 1.2%** |  |
| 1100000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 1112493 |
| 1000000 | Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac <br> San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT | 6.75% | 01/01/45 | 1133769 |
| 263000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-2 | 4.33% | 07/01/40 | 261740 |
|  |  |  |  | 2508002 |
|  | **Utah — 0.2%** | **Utah — 0.2%** | **Utah — 0.2%** |  |
| 500000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 404209 |
|  | **Wisconsin — 0.4%** | **Wisconsin — 0.4%** | **Wisconsin — 0.4%** |  |
| 250000 | Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.25% | 06/15/45 | 256663 |
| 500000 | Pub Fin Auth WI Tax Incr Rev Miami Worldcenter Proj, Ser A (b) | 5.00% | 06/01/41 | 510895 |
|  |  |  |  | 767558 |
|  | **Total Investments — 99.2%** | **Total Investments — 99.2%** | **Total Investments — 99.2%** | 203851889 |
|  | (Cost $199,998,178) | (Cost $199,998,178) | (Cost $199,998,178) |  |
|  | **Net Other Assets and Liabilities — 0.8%** | **Net Other Assets and Liabilities — 0.8%** | **Net Other Assets and Liabilities — 0.8%** | 1697268 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $205549157 |

---

See Notes to Financial Statements

------

**First Trust California Municipal High Income ETF (FCAL)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

**Futures Contracts at January 31, 2026** (See Note 2C - Futures Contracts in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| Ultra 10-Year U.S. Treasury Notes | 15 | Mar-2026 | &nbsp;&nbsp; $(1712344)<br>| &nbsp;&nbsp; $(5859)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Variable
 rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.

&nbsp;&nbsp;&nbsp;&nbsp;(b) This
 security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended (the "1933 Act"), and may be resold in transactions exempt from registration,
 normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security
 has been determined to be liquid by First Trust Advisors L.P. (the "Advisor"). Although market instability can result in periods
 of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions,
 which require subjective judgment. At January 31, 2026, securities noted as such amounted to $20,261,825 or 9.9% of
 net assets.

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

&nbsp;&nbsp;&nbsp;&nbsp;(d) Pursuant
 to procedures adopted by the Trust's Board of Trustees, this security has been determined to be illiquid by the Advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(e) When-issued
 security. The interest rate shown reflects the rate in effect at January 31, 2026. Interest will begin accruing on the security's
 first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;(f) Zero
 coupon security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| CABS | – Capital Appreciation Bonds |
| COPS | – Certificates of Participation |
| NATL-RE | – National Public Finance Guarantee Corp. |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Municipal Bonds\* | &nbsp;&nbsp; $203851889 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $203851889 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Futures Contracts\*\* | &nbsp;&nbsp; $(5859)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(5859)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for state and territory breakout.

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

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 98.1%** | **MUNICIPAL BONDS — 98.1%** | **MUNICIPAL BONDS — 98.1%** | **MUNICIPAL BONDS — 98.1%** | **MUNICIPAL BONDS — 98.1%** |
|  | **American Samoa — 0.9%** | **American Samoa — 0.9%** | **American Samoa — 0.9%** |  |
| $250000 | American Samoa AS Econ Dev Auth Gen Rev Ref, Ser A (a) | 5.00% | 09/01/35 | $267506 |
|  | **Florida — 2.3%** | **Florida — 2.3%** | **Florida — 2.3%** |  |
| 265000 | Lake Emma Cmnty Dev Dist FL Spl Assmnt Assmnt Area One | 3.50% | 06/15/41 | 230240 |
| 345000 | Ridge at Apopka CDD FL Spl Assmnt, Ser 22 | 5.38% | 05/01/42 | 354909 |
| 105000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 3.50% | 06/15/41 | 97316 |
|  |  |  |  | 682465 |
|  | **Guam — 0.9%** | **Guam — 0.9%** | **Guam — 0.9%** |  |
| 250000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.25% | 07/01/39 | 279415 |
|  | **New Jersey — 1.1%** | **New Jersey — 1.1%** | **New Jersey — 1.1%** |  |
| 300000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/45 | 320184 |
|  | **New York — 87.5%** | **New York — 87.5%** | **New York — 87.5%** |  |
| 500000 | Albany NY Capital Res Corp Ref Albany Med Ctr Hosp Proj, Ser A | 5.25% | 05/01/50 | 523954 |
| 300000 | Batavia NY, BANS | 4.00% | 04/22/26 | 301113 |
| 275000 | Battery Park City NY Auth Sr Sustainable Bond, Ser A | 5.00% | 11/01/44 | 298419 |
| 500000 | Battery Park City NY Auth Sr Sustainable Bond, Ser A | 5.00% | 11/01/53 | 520443 |
| 300000 | Brewster NY Centrl Sch Dist | 3.00% | 10/01/26 | 300074 |
| 560000 | Brookhaven NY Loc Dev Corp Rev Ref Long Island Cmnty Hosp <br> Proj, Ser A | 5.00% | 10/01/50 | 567920 |
| 365000 | Buffalo NY Swr Auth, Ser A | 5.00% | 06/15/43 | 397557 |
| 550000 | Build NYC Res Corp NY Rev Renaissance Chrt Sch 2 Proj, Ser A | 5.25% | 06/15/45 | 546068 |
| 300000 | Build NYC Res Corp NY Rev Success Acdmy Chrt Schs Proj | 4.00% | 09/01/43 | 286383 |
| 300000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub <br> Sch Facs Canal W Proj | 5.00% | 07/01/42 | 307610 |
| 275000 | Carmel NY | 4.00% | 09/15/45 | 275080 |
| 300000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref <br> NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 307037 |
| 249530 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds <br> Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 272814 |
| 250000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 252892 |
| 270000 | Dutchess Cnty NY Loc Dev Corp Rev Ref The Culinary Institute of <br> America Proj | 5.25% | 07/01/43 | 286189 |
| 440000 | Erie Cnty NY Buffalo Bills Stadium Proj, Ser B | 5.25% | 09/15/42 | 493792 |
| 250000 | Genesee Cnty NY Funding Corp Rochester Regl Hlth Energy <br> Proj, Ser A | 5.00% | 12/01/44 | 257439 |
| 335000 | Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ <br> Proj, Ser A | 4.00% | 07/01/36 | 343298 |
| 250000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/37 | 255177 |
| 250000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/42 | 253655 |
| 300000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 334519 |
| 250000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/49 | 260573 |
| 350000 | Long Island NY Pwr Auth Elec Sys Rev Sustainable Bond, Ser E | 5.00% | 09/01/48 | 364843 |
| 250000 | Met Transprtn Auth NY Rev Ref Sustainable Bonds, Ser B | 5.00% | 11/15/43 | 265450 |
| 300000 | Met Transprtn Auth NY Rev Sustainable Bond Ref, Ser A | 5.50% | 11/15/47 | 321060 |
| 300000 | Monroe Cnty NY Indl Dev Agy Mf Hsg Rev Var Andrews Terrace <br> Cmnty Partners LP Proj B-1 (Mandatory put 07/01/27) | 5.00% | 07/01/28 | 309388 |
| 250000 | Monroe Cnty NY Indl Dev Corp Rev Ref St John Fisher Univ Proj | 5.00% | 06/01/44 | 264578 |
| 250000 | Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A | 5.00% | 07/01/53 | 257991 |
| 300000 | N Babylon NY Union Free Sch Dist | 3.00% | 07/01/35 | 298923 |
| 500000 | Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring <br> Rmkt (b) | 3.20% | 01/01/34 | 500000 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **New York (Continued)** | **New York (Continued)** | **New York (Continued)** |  |
| $250000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable <br> Bond, Ser A-1 | 3.95% | 05/01/35 | $257412 |
| 300000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable <br> Bond, Ser B-1 | 4.75% | 11/01/40 | 316562 |
| 250000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable <br> Bond, Ser D | 4.20% | 11/01/41 | 250839 |
| 250000 | New York City NY Indl Dev Agy Rev Ref Queens Baseball <br> Stadium Proj, Ser A, AG | 3.00% | 01/01/37 | 237244 |
| 265000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref <br> 2nd Gen Resolution, Ser AA | 4.00% | 06/15/40 | 267337 |
| 250000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref <br> Fiscal 2026, Ser AA-2 | 5.00% | 06/15/44 | 271503 |
| 305000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev <br> Ref, Ser AA-3 | 5.00% | 06/15/47 | 318894 |
| 250000 | New York City NY Transitional Fin Auth Rev Subord, Ser B-1 | 4.00% | 08/01/39 | 254156 |
| 250000 | New York City NY Transitional Fin Auth Rev Subord, Subser F-3 | 3.00% | 02/01/39 | 223620 |
| 250000 | New York City NY Trust For Cultural Res Ref American Museum <br> of Nat History, Ser A | 5.00% | 07/15/54 | 261237 |
| 500000 | NY Energy Fin Dev Corp Var (Mandatory put 12/01/33) | 5.00% | 07/01/56 | 533366 |
| 250000 | NY NY Fiscal 2021, Ser C | 4.00% | 08/01/41 | 251009 |
| 275000 | NY NY Fiscal 2025 Multi Modal, Ser E | 5.00% | 08/01/41 | 304561 |
| 500000 | NY St Dorm Auth Revs Non St Supported Debt Iona Clg, Ser A | 5.00% | 07/01/46 | 503093 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Memorial Sloan <br> Kettering Cancer Ctr, Ser 1 | 5.25% | 07/01/54 | 266550 |
| 300000 | NY St Dorm Auth Revs Non St Supported Debt New York Institute <br> of Technology | 5.00% | 07/01/44 | 309145 |
| 500000 | NY St Dorm Auth Revs Non St Supported Debt Orchard Park <br> CCRC Inc Obligated Grp | 5.13% | 11/15/50 | 505463 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Pratt Institute Ref | 5.00% | 07/01/39 | 251448 |
| 355000 | NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth <br> Oblig Grp, Ser A | 5.00% | 05/01/38 | 387924 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Roswell Park <br> Cancer Institute Obligated Grp, Ser A-1, AG | 5.00% | 07/01/39 | 282845 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt White Plains Hosp <br> Obligated Grp, AG | 5.25% | 10/01/43 | 267901 |
| 290000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A-Grp 3 | 3.00% | 03/15/38 | 270802 |
| 250000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser C | 5.25% | 03/15/47 | 268016 |
| 250000 | NY St Energy Rsrch & Dev Auth Poll Cntrl Rev Ref NY Elec & <br> Gas Remk, Ser C | 4.00% | 04/01/34 | 261483 |
| 250000 | NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Draw Down <br> Casella Wst Sys Inc Proj, Ser R-2, AMT (Mandatory put <br> 09/03/30) (a) | 5.13% | 09/01/50 | 262656 |
| 300000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref <br> NYC Muni Wtr Fin Auth Projs Subord Srf Bond, Ser C | 5.00% | 06/15/44 | 330901 |
| 250000 | NY St Hsg Fin Agy Affordable Hsg Rev Var 320 W 38th St Hsg <br> Remk, Ser A (Mandatory put 11/01/31) | 3.57% | 05/01/42 | 255605 |
| 255000 | NY St Hsg Fin Agy Affordable Hsg, Ser B | 3.20% | 11/01/36 | 244113 |
| 300000 | NY St Mtge Agy Homeowner Mtge Rev Sustainable Bonds, <br>Ser 266 | 4.55% | 10/01/45 | 298470 |
| 300000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Ref Jr, Ser A | 5.00% | 01/01/46 | 320373 |
| 305000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B | 4.00% | 01/01/45 | 283081 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **New York (Continued)** | **New York (Continued)** | **New York (Continued)** |  |
| $360000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia <br> Arpt Terminals C&D Redev, AMT | 4.00% | 10/01/30 | $365500 |
| 250000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc <br> John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | 250268 |
| 250000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl <br> Arpt Proj, AMT | 5.25% | 08/01/31 | 260062 |
| 250000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt New Terminal One Proj, AMT | 6.00% | 06/30/42 | 280866 |
| 435000 | NY St Transprtn Dev Corp Spl Fac Rev Terminal 4 JFK Intl Arpt <br> Proj, AMT | 5.00% | 12/01/30 | 474160 |
| 280000 | NY St Urban Dev Corp Sales Tax Rev, Ser A | 5.00% | 03/15/45 | 299002 |
| 75000 | Onondaga Cnty NY | 3.00% | 04/15/36 | 73685 |
| 250000 | Oyster Bay NY, Ser A, AG | 2.00% | 03/01/35 | 218357 |
| 305000 | Port Auth of NY & NJ NY Ref, Ser 246, AMT | 5.00% | 09/01/40 | 332505 |
| 300000 | Port Auth of NY & NJ NY Ref, Ser 246, AMT | 5.00% | 09/01/44 | 315164 |
| 250000 | Rockland Cnty NY Sol Wst Mgmt Auth Animal Shelter Proj, Ser A | 6.25% | 12/15/49 | 283010 |
| 500000 | Suffolk Regl Off Track Betting Corp NY Rev | 6.00% | 12/01/53 | 510027 |
| 250000 | Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT | 4.00% | 07/01/36 | 251002 |
| 285000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax Ref <br> MTA Bridges & Tunnels, Ser A | 5.00% | 05/15/47 | 295343 |
| 250000 | Triborough NY Bridge & Tunnel Auth Revs, Ser A | 5.00% | 11/15/42 | 268606 |
| 250000 | Triborough NY Bridge & Tunnel Auth Revs, Ser A | 5.50% | 11/15/57 | 265300 |
| 100000 | Util Debt Securitization Auth NY Ref Sustainable Bonds, Ser TE-1 | 5.00% | 12/15/46 | 107934 |
| 315000 | Util Debt Securitization Auth NY Ref TE, Ser 1 | 5.00% | 12/15/41 | 356098 |
| 255000 | Waterloo NY Centrl Sch Dist, BANS | 3.75% | 07/30/26 | 256840 |
| 250000 | Westchester Cnty NY Loc Dev Corp Rev Westchester Med Ctr <br> Oblig Grp Proj, AG | 5.75% | 11/01/49 | 269851 |
| 250000 | Yonkers NY, Ser A, AG (c) | 5.00% | 02/01/44 | 268474 |
| 250000 | Yonkers NY, Ser F, BAM | 5.00% | 11/15/41 | 272584 |
|  |  |  |  | 25816486 |
|  | **Puerto Rico — 3.7%** | **Puerto Rico — 3.7%** | **Puerto Rico — 3.7%** |  |
| 400000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 404543 |
| 250000 | Puerto Rico Indl Tourist Eductnl Med & Envrnmntl Control Fac <br> San Juan Cruise Terminal Proj, Ser 2023-A-2-P3, AMT | 6.50% | 01/01/42 | 285542 |
| 400000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-2 | 4.33% | 07/01/40 | 398085 |
|  |  |  |  | 1088170 |
|  | **South Dakota — 1.7%** | **South Dakota — 1.7%** | **South Dakota — 1.7%** |  |
| 500000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty <br> Issue, Ser A | 5.00% | 09/01/50 | 496425 |
|  | **Total Investments — 98.1%** | **Total Investments — 98.1%** | **Total Investments — 98.1%** | 28950651 |
|  | (Cost $28,363,180) | (Cost $28,363,180) | (Cost $28,363,180) |  |
|  | **Net Other Assets and Liabilities — 1.9%** | **Net Other Assets and Liabilities — 1.9%** | **Net Other Assets and Liabilities — 1.9%** | 550504 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $29501155 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

**Futures Contracts at January 31, 2026** (See Note 2C - Futures Contracts in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| Ultra 10-Year U.S. Treasury Notes | 2 | Mar-2026 | &nbsp;&nbsp; $(228313)<br>| &nbsp;&nbsp; $(781)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) This
 security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally
 to qualified
 institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to
 be liquid by First Trust Advisors L.P., the Fund's advisor. Although market instability can result in periods of increased overall market
 illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective
 judgment. At January 31, 2026, securities noted as such amounted to $530,162 or 1.8% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable
 rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.

&nbsp;&nbsp;&nbsp;&nbsp;(c) When-issued
 security. The interest rate shown reflects the rate in effect at January 31, 2026. Interest will begin accruing on the security's
 first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| BANS | – Bond Anticipation Notes |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Municipal Bonds\* | &nbsp;&nbsp; $28950651 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $28950651 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Futures Contracts\*\* | &nbsp;&nbsp; $(781)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(781)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for state and territory breakout.

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

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Assets and Liabilities**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **California** <br> **Municipal High** <br> **Income ETF** <br>**(FCAL)** <br>| **First Trust New** <br> **York Municipal** <br> **High Income** <br> **ETF** <br>**(FMNY)** <br>|
| **ASSETS:** |  |  |
| Investments, at value | $203851889 | &nbsp;&nbsp; $28950651 |
| Cash | 1874187 | &nbsp;&nbsp; 528474 |
| Cash segregated as collateral | 38250 | &nbsp;&nbsp; 5100 |
| Receivables: |  |  |
| Interest | 2518900 | &nbsp;&nbsp; 296270 |
| Variation margin | 2109 | &nbsp;&nbsp; 281 |
| Total Assets | 208285335 | &nbsp;&nbsp; 29780776 |
| **LIABILITIES:** |  |  |
| Payables: |  |  |
| Investment securities purchased | 2651865 | &nbsp;&nbsp; 267760 |
| Investment advisory fees | 84313 | &nbsp;&nbsp; 11861 |
| Total Liabilities | 2736178 | &nbsp;&nbsp; 279621 |
| **NET ASSETS** | $205549157 | &nbsp;&nbsp; $29501155 |
| **NET ASSETS consist of:** |  |  |
| Paid-in capital | $217812081 | &nbsp;&nbsp; $30628792 |
| Par value | 41500 | &nbsp;&nbsp; 11000 |
| Accumulated distributable earnings (loss) | (12304424)<br>| &nbsp;&nbsp; (1138637)<br>|
| **NET ASSETS** | $205549157 | &nbsp;&nbsp; $29501155 |
| **NET ASSET VALUE,** per share | $49.53 | &nbsp;&nbsp; $26.82 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per <br> share)<br>| 4150002 | &nbsp;&nbsp; 1100002 |
| Investments, at cost | $199998178 | &nbsp;&nbsp; $28363180 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Six Months Ended January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **California** <br> **Municipal High** <br> **Income ETF** <br>**(FCAL)** <br>| **First Trust New** <br> **York Municipal** <br> **High Income** <br> **ETF** <br>**(FMNY)** <br>|
| **INVESTMENT INCOME:** |  |  |
| Interest | $3927684 | &nbsp;&nbsp; $544578 |
| Total investment income | 3927684 | &nbsp;&nbsp; 544578 |
| **EXPENSES:** |  |  |
| Investment advisory fees | 640071<br>| &nbsp;&nbsp; 81815<br>|
| Other expenses | 21276 | &nbsp;&nbsp; 1460 |
| Total expenses | 661347 | &nbsp;&nbsp; 83275 |
| Less fees waived by the investment advisor | (27531)<br>| &nbsp;&nbsp; (3873)<br>|
| Net expenses | 633816 | &nbsp;&nbsp; 79402 |
| **NET INVESTMENT INCOME (LOSS)** | 3293868 | &nbsp;&nbsp; 465176 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |
| Net realized gain (loss) on: |  |  |
| Investments | (1178382)<br>| &nbsp;&nbsp; (41893)<br>|
| Futures contracts | (400286)<br>| &nbsp;&nbsp; (4200)<br>|
| Net realized gain (loss) | (1578668)<br>| &nbsp;&nbsp; (46093)<br>|
| Net change in unrealized appreciation (depreciation) on: |  |  |
| Investments | 9101849 | &nbsp;&nbsp; 959998 |
| Futures contracts | 90922 | &nbsp;&nbsp; 594 |
| Net change in unrealized appreciation (depreciation) | 9192771 | &nbsp;&nbsp; 960592 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 7614103 | &nbsp;&nbsp; 914499 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $10907971 | &nbsp;&nbsp; $1379675 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Changes in Net Assets** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **First Trust California Municipal** <br> **High Income ETF (FCAL)** | **First Trust California Municipal** <br> **High Income ETF (FCAL)** | **First Trust New York Municipal** <br> **High Income ETF (FMNY)** | **First Trust New York Municipal** <br> **High Income ETF (FMNY)** |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $3293868 | &nbsp;&nbsp; $8473075 | &nbsp;&nbsp; $465176 | &nbsp;&nbsp; $714349 |
| Net realized gain (loss) | (1578668)<br>| &nbsp;&nbsp; (4561516)<br>| &nbsp;&nbsp; (46093)<br>| &nbsp;&nbsp; (127859)<br>|
| Net change in unrealized appreciation (depreciation) | 9192771 | &nbsp;&nbsp; (7507783)<br>| &nbsp;&nbsp; 960592 | &nbsp;&nbsp; (733396)<br>|
| Net increase (decrease) in net assets resulting from <br> operations<br>| 10907971 | &nbsp;&nbsp; (3596224)<br>| &nbsp;&nbsp; 1379675 | &nbsp;&nbsp; (146906)<br>|
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (3240152)<br>| &nbsp;&nbsp; (8247703)<br>| &nbsp;&nbsp; (455701)<br>| &nbsp;&nbsp; (725352)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 24578019<br>| &nbsp;&nbsp; 56452725<br>| &nbsp;&nbsp; 9263059<br>| &nbsp;&nbsp; 2653696<br>|
| Cost of shares redeemed | (24331158) <br>| &nbsp;&nbsp; (100492899) <br>| &nbsp;&nbsp; (1294627) <br>| &nbsp;&nbsp; —<br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| 246861 | &nbsp;&nbsp; (44040174)<br>| &nbsp;&nbsp; 7968432 | &nbsp;&nbsp; 2653696 |
| Total increase (decrease) in net assets | 7914680 | &nbsp;&nbsp; (55884101)<br>| &nbsp;&nbsp; 8892406 | &nbsp;&nbsp; 1781438 |
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 197634477 | &nbsp;&nbsp; 253518578 | &nbsp;&nbsp; 20608749 | &nbsp;&nbsp; 18827311 |
| End of period | $205549157 | &nbsp;&nbsp; $197634477 | &nbsp;&nbsp; $29501155 | &nbsp;&nbsp; $20608749 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 4150002 | &nbsp;&nbsp; 5100002 | &nbsp;&nbsp; 800002 | &nbsp;&nbsp; 700002 |
| Shares sold | 500000 | &nbsp;&nbsp; 1150000 | &nbsp;&nbsp; 350000 | &nbsp;&nbsp; 100000 |
| Shares redeemed | (500000)<br>| &nbsp;&nbsp; (2100000)<br>| &nbsp;&nbsp; (50000)<br>| &nbsp;&nbsp; — |
| Shares outstanding, end of period | 4150002 | &nbsp;&nbsp; 4150002 | &nbsp;&nbsp; 1100002 | &nbsp;&nbsp; 800002 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights**

**For a share outstanding throughout each period**

**First Trust California Municipal High Income ETF (FCAL)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $47.62 | &nbsp;&nbsp;&nbsp;&nbsp; $49.71 | &nbsp;&nbsp;&nbsp;&nbsp; $48.92 | &nbsp;&nbsp;&nbsp;&nbsp; $49.71 | &nbsp;&nbsp;&nbsp;&nbsp; $55.37 | &nbsp;&nbsp;&nbsp;&nbsp; $53.16 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.82<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.57<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.48<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.32<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.08<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.16<br>|
| Net realized and unrealized gain (loss) | 1.91<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.11) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.74<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.81) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (5.65) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.19<br> (b)<br>|
| Total from investment operations | 2.73<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.54) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.22<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.51<br>| &nbsp;&nbsp;&nbsp;&nbsp; (4.57) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.35<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.82) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.55) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.43) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.29) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.08) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.14) <br>|
| Return of capital | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Total distributions | (0.82) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.55) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.43) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.30) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.09) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.14) <br>|
| Net asset value, end of period | $49.53<br>| &nbsp;&nbsp;&nbsp;&nbsp; $47.62<br>| &nbsp;&nbsp;&nbsp;&nbsp; $49.71<br>| &nbsp;&nbsp;&nbsp;&nbsp; $48.92<br>| &nbsp;&nbsp;&nbsp;&nbsp; $49.71<br>| &nbsp;&nbsp;&nbsp;&nbsp; $55.37<br>|
| **Total return** (c) | 5.77<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.14)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.62<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.08<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (8.33)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.37<br> % (b)<br>|
| **Ratios to average net assets/supplemental** <br> **data:**<br>|  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $205549<br>| &nbsp;&nbsp;&nbsp;&nbsp; $197634<br>| &nbsp;&nbsp;&nbsp;&nbsp; $253519<br>| &nbsp;&nbsp;&nbsp;&nbsp; $149218<br>| &nbsp;&nbsp;&nbsp;&nbsp; $121778<br>| &nbsp;&nbsp;&nbsp;&nbsp; $105199<br>|
| Ratio of total expenses to average net assets | 0.67<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>|
| Ratio of net expenses to average net assets | 0.64<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> % <br>|
| Ratio of net investment income (loss) to <br> average net assets<br>| 3.34<br> % (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.18<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.03<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.71<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.09<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.16<br> % <br>|
| Portfolio turnover rate (f) | 20<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 58<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 41<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 54<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 30<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 25<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) The
 Fund received a reimbursement from the advisor in the amount of $219, which represents less than $0.01 per share. Since the advisor reimbursed
 the Fund, there was no effect on the Fund's total return.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during certain
 periods if certain fees had not been waived by the investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the total and net expense ratios would have been 0.65% and 0.62%,
 respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights (Continued)** 

**For a share outstanding throughout each period**

**First Trust New York Municipal High Income ETF (FMNY)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Period** <br>**Ended** <br>**7/31/2021 (a)** |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **Period** <br>**Ended** <br>**7/31/2021 (a)** |
| Net asset value, beginning of period | $25.76 | &nbsp;&nbsp;&nbsp;&nbsp; $26.90 | &nbsp;&nbsp;&nbsp;&nbsp; $26.57 | &nbsp;&nbsp;&nbsp;&nbsp; $27.12 | &nbsp;&nbsp;&nbsp;&nbsp; $30.51 | &nbsp;&nbsp;&nbsp;&nbsp; $30.00 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.49<br> (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.96<br> (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.94<br> (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.86<br> (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.68<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.09<br>|
| Net realized and unrealized gain (loss) | 1.06<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1.13) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.32<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.59) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (3.61) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.48<br>|
| Total from investment operations | 1.55<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.17) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.26<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.27<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2.93) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.57<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.49) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.97) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.93) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.82) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.46) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.04) <br>|
| Net realized gain | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.02) <br>|
| Total distributions | (0.49) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.97) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.93) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.82) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.46) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.06) <br>|
| Net asset value, end of period | $26.82<br>| &nbsp;&nbsp;&nbsp;&nbsp; $25.76<br>| &nbsp;&nbsp;&nbsp;&nbsp; $26.90<br>| &nbsp;&nbsp;&nbsp;&nbsp; $26.57<br>| &nbsp;&nbsp;&nbsp;&nbsp; $27.12<br>| &nbsp;&nbsp;&nbsp;&nbsp; $30.51<br>|
| **Total return** (c) | 6.04<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.69)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4.86<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.06<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (9.66)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.90<br> % <br>|
| **Ratios to average net assets/supplemental** <br> **data:**<br>|  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $29501<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20609<br>| &nbsp;&nbsp;&nbsp;&nbsp; $18827<br>| &nbsp;&nbsp;&nbsp;&nbsp; $13283<br>| &nbsp;&nbsp;&nbsp;&nbsp; $10848<br>| &nbsp;&nbsp;&nbsp;&nbsp; $15256<br>|
| Ratio of total expenses to average net assets | 0.66<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % (d)<br>|
| Ratio of net expenses to average net assets | 0.63<br> % (d) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.54<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> % (d)<br>|
| Ratio of net investment income (loss) to average <br> net assets<br>| 3.70<br> % (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.61<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.24<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.18<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.41<br> % (d)<br>|
| Portfolio turnover rate (f) | 22<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 32<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 36<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 41<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 154<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 16<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Inception
 date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were
 established.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during certain
 periods if certain fees had not been waived by the investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the total and net expense ratios would have been 0.65% and 0.62%,
 respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**Notes to Financial Statements**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization**

First Trust Exchange-Traded Fund III (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act").

This report covers the two funds (each a "Fund" and collectively, the "Funds") listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust California Municipal High Income ETF – (Nasdaq, Inc. ticker "FCAL") <br> First Trust New York Municipal High Income ETF – (NYSE Arca, Inc. ticker "FMNY")

FCAL is a diversified series of the Trust. FMNY is a non-diversified series of the Trust.

Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units."

Each Fund is an actively managed exchange-traded fund. The primary investment objective of each Fund is to seek to provide current income that is exempt from regular federal income taxes and, for FCAL, California income taxes and, for FMNY, New York income taxes. The secondary investment objective of each Fund is long-term capital appreciation. Under normal market conditions, each Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes and, for FCAL, California income taxes and, for FMNY, New York State and New York City income taxes. There can be no assurance that a Fund will achieve its investment objectives. The Funds may not be appropriate for all investors.

**2. Significant Accounting Policies** 

The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

**A. Portfolio Valuation**

Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities are priced using data reflecting the earlier closing of the principal markets for those securities. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

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

Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor's Pricing Committee, which may use the following valuation inputs when available:

1)

benchmark yields;

2)

reported trades;

3)

broker/dealer quotes;

4)

issuer spreads;

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

5)

benchmark securities;

6)

bids and offers; and

7)

reference data including market research publications.

Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.

Exchange-traded futures contracts are valued at the end of the day settlement price.

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

1)

the credit conditions in the relevant market and changes thereto;

2)

the liquidity conditions in the relevant market and changes thereto;

3)

the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);

4)

issuer-specific conditions (such as significant credit deterioration); and

5)

any other market-based data the Advisor's Pricing Committee considers relevant. In this regard, the Advisor's Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

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

1)

the most recent price provided by a pricing service;

2)

available market prices for the fixed-income security;

3)

the fundamental business data relating to the issuer;

4)

an evaluation of the forces which influence the market in which these securities are purchased and sold;

5)

the type, size and cost of the security;

6)

the financial statements of the issuer;

7)

the credit quality and cash flow of the issuer, based on the Advisor's or external analysis;

8)

the information as to any transactions in or offers for the security;

9)

the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;

10)

the coupon payments;

11)

the quality, value and salability of collateral, if any, securing the security; and

12)

other relevant factors.

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

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

o Quoted prices for similar investments in active markets.

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

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2026, is included with each Fund's Portfolio of Investments.

**B. Securities Transactions and Investment Income**

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

Securities purchased or sold on a when-issued or delayed-delivery securities basis may have extended settlement periods. The value of the security purchased is subject to market fluctuations during this period. Each Fund maintains liquid assets with a current value at least equal to the amount of its when-issued or delayed-delivery securities. At January 31, 2026, FCAL and FMNY held $2,665,377 and $268,474, respectively, of when-issued or delayed-delivery securities.

**C. Futures Contracts**

The Funds may purchase or sell (i.e., are long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Funds are not able to enter into an offsetting transaction, the Funds will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in "Net realized gain (loss) on futures contracts" on the Statements of Operations.

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

If market conditions change unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments.

Restricted cash segregated as collateral for futures contracts in the amounts of $38,250 and $5,100 for FCAL and FMNY, respectively, is shown as "Cash segregated as collateral" on the Statements of Assets and Liabilities.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**D. Restricted Securities**

FCAL invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of January 31, 2026, FCAL held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Trust's Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. FCAL does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Security | Acquisition <br>Date<br>| Principal <br>Value<br>| Current <br>Price<br>| Carrying <br>Cost<br>| Value | % of <br>Net Assets<br>|
| **FCAL**  |  |  |  |  |  |  |
| CA St Muni Fin Auth Chrt Sch <br> Lease Rev Sycamore Acdmy Proj, <br> 5.38%, 07/01/34<br>| 06/14/18 | &nbsp;&nbsp; $250000 | &nbsp;&nbsp; $100.08 | &nbsp;&nbsp; $250000 | &nbsp;&nbsp; $250201 | 0.12<br> %<br>|

---

**E. Dividends and Distributions to Shareholders**

Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Distributions <br>paid from <br>Ordinary <br>Income<br>| Distributions <br>paid from <br>Capital <br>Gains<br>| Distributions <br>paid from <br>Tax-Exempt <br>Income<br>| Distributions <br>paid from <br>Return of <br>Capital<br>|
| First Trust California Municipal High Income ETF | $6230 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $8241473 | &nbsp;&nbsp; $— |
| First Trust New York Municipal High Income ETF | 103 | &nbsp;&nbsp; — | &nbsp;&nbsp; 725249 | &nbsp;&nbsp; — |

---

As of July 31, 2025, the components of distributable earnings on a tax basis for each Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | Undistributed <br>Ordinary <br>Income<br>| Accumulated <br>Capital and <br>Other <br>Gain (Loss)<br>| Net <br>Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust California Municipal High Income ETF | $336764 | &nbsp;&nbsp; $(15232779)<br>| &nbsp;&nbsp; $(5076228)<br>|
| First Trust New York Municipal High Income ETF | 53251 | &nbsp;&nbsp; (1787812)<br>| &nbsp;&nbsp; (328050)<br>|

---

**F. Income Taxes**

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

In addition, each Fund intends to invest in municipal securities to allow it to pay shareholders "exempt dividends" as defined in the Code.

The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2022, 2023, 2024, and 2025 remain open to federal and state audit. As of January 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2025, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
|  | Non-Expiring <br>Capital Loss <br>Carryforwards<br>|
| First Trust California Municipal High Income ETF | $15232779 |
| First Trust New York Municipal High Income ETF | 1787812 |

---

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2025, the Funds had no net late year ordinary or capital losses.

As of January 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Tax Cost | Gross <br> Unrealized <br>Appreciation<br>| Gross <br> Unrealized <br>(Depreciation)<br>| Net Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust California Municipal High Income ETF | $199998178 | &nbsp;&nbsp; $4882865 | &nbsp;&nbsp; $(1035013)<br>| &nbsp;&nbsp; $3847852 |
| First Trust New York Municipal High Income ETF | 28363180 | &nbsp;&nbsp; 710580 | &nbsp;&nbsp; (123890)<br>| &nbsp;&nbsp; 586690 |

---

**G. Expenses**

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

**H. Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.

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

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

Pursuant to the Investment Management Agreements between the Trust and the Advisor, First Trust manages the investment of each Fund's assets and is responsible for the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreements, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. Prior to January 1, 2026, the annual unitary management fee payable by each Fund to First Trust for these services would be reduced at certain levels of each Fund's net assets ("breakpoints") and calculated pursuant to the following schedule:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Breakpoints |  |
| Fund net assets up to and including $2.5 billion | 0.65000<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125<br> %<br>|
| Fund net assets greater than $10 billion | 0.58500<br> %<br>|

---

Effective January 1, 2026, for each Fund, the Advisor has agreed to waive management fees of 0.16% of average daily net assets. During any period in which such waiver is in effect, each Fund will not be eligible for any breakpoint discounts. During the six months ended January 31, 2026, the Advisor waived fees of $27,531 and $3,873 for FCAL and FMNY, respectively.

The Trust has multiple service agreements with The Bank of New York Mellon ("BNY"). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

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

Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the six months ended January 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust California Municipal High Income ETF | $37969621 | &nbsp;&nbsp; $38233574 |
| First Trust New York Municipal High Income ETF | 12025132 | &nbsp;&nbsp; 5413727 |

---

For the six months ended January 31, 2026, the Funds had no in-kind transactions.

**5. Borrowings** 

The Trust, on behalf of FCAL, along with First Trust Exchange-Traded Fund IV, First Trust Series Fund and First Trust Variable Insurance Trust, has a credit agreement with BNY (the "Credit Agreement") as administrative agent for a group of lenders. The borrowing rate is the higher of the federal funds effective rate and the adjusted daily simple SOFR rate plus 1.00%. The commitment amount under the Credit Agreement is $620 million and such commitment amount may be increased up to $700 million with the consent of one or more lenders. BNY charges on behalf of the lenders a commitment fee of 0.15% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. The commitment fee and agency fee

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

are allocated amongst the funds that have access to the credit line pursuant to procedures approved by the Board of Trustees. To the extent that FCAL accesses the credit line, there would also be an interest fee charged. FCAL did not draw on the credit line during the six months ended January 31, 2026.

**6. Derivative Transactions** 

The following table presents the types of derivatives held by each Fund at January 31, 2026, the primary underlying risk exposure and the location of these instruments as presented on the Statements of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Derivative** <br>**Instrument**<br>| **Risk** <br>**Exposure**<br>| **Statements of Assets and** <br>**Liabilities Location**<br>| **Value** | **Statements of Assets and** <br>**Liabilities Location**<br>| **Value** |
| **FCAL** |  |  |  |  |  |
| Futures contracts | Interest Rate Risk | &nbsp;&nbsp; Unrealized appreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; Unrealized depreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $5859 |
| **FMNY** |  |  |  |  |  |
| Futures contracts | Interest Rate Risk | &nbsp;&nbsp; Unrealized appreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; Unrealized depreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; 781 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* Includes cumulative appreciation/depreciation on futures contracts as reported in each Fund's Portfolio of Investments. Only the current day's variation margin is presented on the Statements of Assets and Liabilities.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended January 31, 2026, on each Fund's derivative instruments, as well as the primary underlying risk exposure associated with the instruments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Statements of Operations Location** | **FCAL**  | **FMNY**  |
| **Interest Rate Risk Exposure** |  |  |
| Net realized gain (loss) on futures contracts | $(400286)<br>| &nbsp;&nbsp; $(4200)<br>|
| Net change in unrealized appreciation <br> (depreciation) on futures contracts<br>| 90922 | &nbsp;&nbsp; 594 |

---

For FCAL, the average notional value of futures contracts outstanding during the six months ended January 31, 2026, which is indicative of the volume of this derivative type, was $6,049,057.

For FMNY, the average notional value of futures contracts outstanding during the six months ended January 31, 2026, which is indicative of the volume of this derivative type, was $189,182.

The Funds do not have the right to offset financial assets and financial liabilities related to futures contracts on the Statements of Assets and Liabilities.

**7. Creations, Redemptions and Transaction Fees**

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

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

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

**8. Distribution Plan** 

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

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.

**9. Indemnification**

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

**10. Subsequent Events**

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

Effective February 1, 2026, the Board of Trustees has approved a permanent contractual reduction of the annual unitary management fee for each of the Funds to 0.49% of average daily net assets. In connection with the adoption of the reduced annual unitary management fees, the Board of Trustees has also approved, effective February 1, 2026, the termination of the temporary fee waivers for the Funds that were put in place on January 1, 2026. Additionally, under each Fund's new fee structure, the Funds will not be eligible for any breakpoint discounts described in the Funds' prospectuses or statements of additional information.

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

**Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)**

There were no changes in or disagreements with the Funds' accountants during the six months ended January 31, 2026.

**Proxy Disclosures (Item 9 of Form N-CSR)**

At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the "Trust") that was held on August 12, 2025 (the "Special Meeting"), shareholders of record as of June 9, 2025 (the "Record Date") approved a proposal (the "Proposal") to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the "Board"). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a "fund") voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| James A. Bowen\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448229817 <br>1692488<br>|
| Thomas J. Driscoll\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448104659 <br>1817646<br>|
| Richard E. Erickson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447812453 <br>2109852<br>|
| Thomas R. Kadlec\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446751895 <br>3170410<br>|
| Denise M. Keefe\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448425408 <br>1496897<br>|
| Robert F. Keith\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447967349 <br>1954956<br>|
| Niel B. Nielson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447968834 <br>1953471<br>|
| Bronwyn Wright\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200751188 <br>249171117<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* This nominee was re-elected to the Board at the Special Meeting.

\*\* This nominee was elected to the Board as a new Trustee at the Special Meeting.

\*\*\* This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.

**Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)**

Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

Not applicable for the most recent fiscal half year.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Semi-Annual Financial Statements and Other Information <br> For the Six Months Ended January 31, 2026

![](img9683a20e1.gif)

<u>First Trust Exchange-Traded Fund III</u>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Short Duration Managed Municipal ETF (FSMB) <br> First Trust Ultra Short Duration Municipal ETF (FUMB)

------

**Table of Contents** 

**First Trust Exchange-Traded Fund III**

**Semi-Annual Financial Statements and Other Information**

**January 31, 2026** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SOI-TOC-ScheduleofInvestments-4446_1) |  |
| [First Trust Short Duration Managed Municipal ETF (FSMB)](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SOI-TOC-ScheduleofInvestments-4446_1) | 1 |
| [First Trust Ultra Short Duration Municipal ETF (FUMB)](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SOI-TOC-ScheduleofInvestments-4449_1) | 19 |
| [Statements of Assets and Liabilities](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SAL1-TOC-StatementofAssetsandLiabilities-4446_1) | 28 |
| [Statements of Operations](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SOP1-TOC-StatementofOperations-4446_1) | 29 |
| [Statements of Changes in Net Assets](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_SOC1-TOC-StatementofChanges-4446_1) | 30 |
| [Financial Highlights](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_FIHI-TOC-FinancialHighlights-4446_1) | 31 |
| [Notes to Financial Statements](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_NTF-TOC-NotestoFinancialStatements-4446_1) | 33 |
| [Other Information](#xx_6e40fafe-4150-432e-ab50-c92cb67e60e6_AI-TOC-AdditionalInformation-4446_1) | 41 |

---

**Performance and Risk Disclosure**

There is no assurance that any series of First Trust Exchange-Traded Fund III (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund.

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

First Trust Advisors L.P., the Funds' advisor, may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com.

**How to Read This Report**

This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data that provides insight into each Fund's performance and investment approach.

The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 99.5%** | **MUNICIPAL BONDS — 99.5%** | **MUNICIPAL BONDS — 99.5%** | **MUNICIPAL BONDS — 99.5%** | **MUNICIPAL BONDS — 99.5%** |
|  | **Alabama — 6.6%** | **Alabama — 6.6%** | **Alabama — 6.6%** |  |
| $1250000 | Baldwin Cnty AL Indl Dev Auth Sol Wst Disp Rev Var Novelis <br> Corp Proj, Ser B, AMT (Mandatory put 06/01/32) (a) | 4.63% | 06/01/55 | $1260356 |
| 1035000 | Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No 7, <br>Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1046430 |
| 490000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No 6, Ser B <br> (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 495411 |
| 550000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser B (b) | 5.00% | 12/01/30 | 588939 |
| 1165000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/27 | 1208458 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory <br> put 06/01/29) | 5.25% | 02/01/53 | 1054576 |
| 745000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser D | 5.00% | 11/01/31 | 809972 |
| 3240000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F | 5.00% | 12/01/31 | 3491491 |
| 3385000 | Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1 <br> (Mandatory put 06/01/27) | 4.00% | 07/01/52 | 3428538 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory <br> put 12/01/30) | 5.25% | 12/01/53 | 1078692 |
| 1000000 | Energy SE AL A Cooperative Dist Energy Sply Rev, Ser B <br> (Mandatory put 06/01/32) | 5.25% | 07/01/54 | 1085552 |
| 100000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 98621 |
| 2000000 | Mobile AL Indl Dev Brd Poll Control Rev Var AL Pwr Co Barry <br> Plant Remk (Mandatory put 03/12/26) | 3.30% | 07/15/34 | 2001284 |
| 750000 | SE Energy Auth A Cooperative, Ser E | 5.00% | 10/01/29 | 804703 |
| 1205000 | SE Energy Auth A Cooperative, Ser H | 5.00% | 05/01/32 | 1296534 |
| 2315000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put <br> 10/01/28) | 4.00% | 11/01/51 | 2359589 |
| 2095000 | SE Energy Auth AL Cmdy Sply Rev Proj #2, Ser B | 4.00% | 06/01/30 | 2154239 |
| 500000 | SE Energy Auth AL Cmdy Sply Rev Proj No 3, Ser A-1 | 5.00% | 12/01/26 | 507696 |
| 2210000 | SE Energy Auth AL Cooperative Dist Gas Sply Rev, Ser F | 5.25% | 11/01/30 | 2411966 |
| 6000000 | SE Energy Auth AL Cooperative, Ser C (Mandatory put 11/01/32) | 5.00% | 10/01/55 | 6478364 |
| 2000000 | Selma AL Indl Dev Brd Rev Var Intl Paper Co Proj Ref Remk, Ser <br> A (Mandatory put 10/01/31) | 3.45% | 11/01/33 | 2031957 |
|  |  |  |  | 35693368 |
|  | **Arizona — 1.6%** | **Arizona — 1.6%** | **Arizona — 1.6%** |  |
| 1340000 | AZ Indl Dev Auth Hosp Rev Phoenix Children's Hosp, Ser A | 5.00% | 02/01/35 | 1450780 |
| 1025000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, <br>Ser B (a) | 5.00% | 07/01/29 | 1033980 |
| 695000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red <br> Rock Cmps Proj, Ser A | 3.55% | 07/15/29 | 686646 |
| 740000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada <br> & St Rose Cmps, Ser A (a) | 5.00% | 07/15/28 | 743554 |
| 50000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 50232 |
| 230000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (a) | 4.00% | 07/15/26 | 230205 |
| 430000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (a) | 4.00% | 07/15/31 | 433157 |
| 500000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Equitable <br> Sch Revolving Fund Sustainable Bonds, Ser A | 4.00% | 11/01/27 | 500042 |
| 1250000 | Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj, Ser <br> 2022-2, AMT (Mandatory put 09/01/27) | 5.00% | 09/01/52 | 1275822 |
| 1000000 | Coconino Cnty AZ Poll Controlcorp Var Ref NV Pwr Co Proj <br> Remk, Ser B (Mandatory put 03/31/26) | 3.75% | 03/01/39 | 1001182 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Arizona (Continued)** | **Arizona (Continued)** | **Arizona (Continued)** |  |
| $100000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (a) | 4.00% | 07/01/26 | $99977 |
| 1000000 | Tempe AZ Indl Dev Auth Rev Temps 50 Friendship Vlg of Tempe <br> Proj, Ser B-2 | 3.50% | 12/01/30 | 1004117 |
|  |  |  |  | 8509694 |
|  | **Arkansas — 0.4%** | **Arkansas — 0.4%** | **Arkansas — 0.4%** |  |
| 2000000 | AR St Dev Fin Auth Res Recovery Rev Var Weyerhaeuser Co Proj, <br> AMT (Mandatory put 10/15/32) | 3.88% | 10/15/65 | 2001180 |
|  | **California — 5.0%** | **California — 5.0%** | **California — 5.0%** |  |
| 350000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 356623 |
| 4500000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 4556892 |
| 1000000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser B-1 (Mandatory put 08/01/29) | 5.00% | 07/01/53 | 1057936 |
| 910000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bond, Ser E (Mandatory put 09/01/32) | 5.00% | 02/01/55 | 976310 |
| 2000000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable <br> Bonds Clean Energy Proj, Ser F | 5.00% | 11/01/33 | 2194564 |
| 1250000 | CA St Hlth Facs Fing Auth Rev Initial Entrance Fees, Ser A | 3.85% | 11/15/27 | 1250470 |
| 1000000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj <br> Remk, Ser B, AMT (Mandatory put 07/15/26) | 3.25% | 07/01/51 | 1000187 |
| 2500000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Wst Mgmt Inc <br> Remk, Ser A, AMT (Mandatory put 10/02/28) | 3.45% | 10/01/41 | 2517905 |
| 3000000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 3026936 |
| 2000000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Wst Mgmt Proj <br> Remk, Ser A, AMT (Mandatory put 07/02/29) | 4.25% | 07/01/31 | 2028832 |
| 235000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies <br> Oceanside Proj, Ser A (a) | 4.00% | 10/01/27 | 236641 |
| 100000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs <br> Ranch | 4.00% | 09/01/26 | 100655 |
| 475000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/30 | 512333 |
| 260000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/32 | 285464 |
| 730000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/29 | 785911 |
| 730000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/31 | 784098 |
| 1000000 | Los Angeles CA Trans | 5.00% | 06/25/26 | 1011501 |
| 500000 | Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch | 5.00% | 09/01/30 | 535769 |
| 525000 | Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch | 5.00% | 09/01/31 | 568497 |
| 85000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/26 | 85489 |
| 2000000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Sr Priv Activity, Ser <br> B, AMT | 5.00% | 07/01/31 | 2235750 |
| 445000 | San Diego Cnty Ca Regl Arpt Auth Arpt Rev Sub Rev, Ser B, AMT | 5.00% | 07/01/35 | 455940 |
| 80000 | San Francisco CA City & Cnty Dev Spl Tax Dist No Mission Rock <br> Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 80460 |
| 100000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 100644 |
|  |  |  |  | 26745807 |
|  | **Colorado — 2.7%** | **Colorado — 2.7%** | **Colorado — 2.7%** |  |
| 500000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch <br> Univ Lab Bldg Corp (a) | 5.00% | 12/15/28 | 500536 |
| 400000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/26 | 407089 |
| 1035000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/31 | 1115597 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Colorado (Continued)** | **Colorado (Continued)** | **Colorado (Continued)** |  |
| $505000 | CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs | 5.00% | 12/01/29 | $537544 |
| 1000000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty <br> Proj, Ser A | 5.25% | 05/15/30 | 1025960 |
| 395000 | CO St Hlth Facs Auth Rev Ref, Ser A | 5.00% | 05/15/30 | 423736 |
| 1000000 | CO St Hlth Facs Auth Rev Var Advent Hlth Obligated Grp, Ser A <br> (Mandatory put 11/15/30) | 5.00% | 11/15/60 | 1103111 |
| 2000000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, <br>Ser E (c) | 3.05% | 05/15/62 | 2000000 |
| 2000000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser C <br> (Mandatory put 08/15/28) | 5.00% | 05/15/62 | 2120648 |
| 1250000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/29 | 1323662 |
| 1290000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/31 | 1362514 |
| 1000000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/34 | 1047901 |
| 500000 | Sand Creek CO Met Dist Ref Ltd Tax, Ser A | 4.00% | 12/01/31 | 500159 |
| 1055000 | Traditions CO Met Dist #2 Ref, BAM | 5.00% | 12/01/32 | 1072841 |
|  |  |  |  | 14541298 |
|  | **Connecticut — 1.2%** | **Connecticut — 1.2%** | **Connecticut — 1.2%** |  |
| 215000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 5.00% | 07/01/30 | 234337 |
| 135000 | CT St Hlth & Eductnl Facs Auth Rev Ref Yale Univ, Ser A-2 <br> (Mandatory put 07/01/26) | 2.00% | 07/01/42 | 134797 |
| 1365000 | CT St Hsg Fin Auth Ref St Supported Spl Oblig, Ser 21, AMT | 4.00% | 06/15/30 | 1369539 |
| 525000 | CT St Ref, Ser B | 5.00% | 12/01/28 | 564603 |
| 2000000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/30 | 2030234 |
| 2000000 | Stamford CT Hsg Auth Mozaic Concierge Living Proj, Ser D | 4.25% | 10/01/30 | 2028751 |
|  |  |  |  | 6362261 |
|  | **Delaware — 0.5%** | **Delaware — 0.5%** | **Delaware — 0.5%** |  |
| 2350000 | DE St Econ Dev Auth Rev Ref Delmarva Pwr & Light Co Proj <br> Remk, Ser A | 3.60% | 01/01/31 | 2430508 |
|  | **District of Columbia — 1.4%** | **District of Columbia — 1.4%** | **District of Columbia — 1.4%** |  |
| 1000000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/28 | 1061726 |
| 1060000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/30 | 1119502 |
| 1305000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/31 | 1454048 |
| 1250000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/31 | 1393459 |
| 2145000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/35 | 2343558 |
|  |  |  |  | 7372293 |
|  | **Florida — 11.7%** | **Florida — 11.7%** | **Florida — 11.7%** |  |
| 985000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 3 <br> Master Impt Proj | 2.75% | 05/01/31 | 937885 |
| 100000 | Avelar Creek FL CDD Spl Assmnt Ref Spl Assmnt, Ser 2016 | 3.63% | 05/01/31 | 99938 |
| 950000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt <br> Area 3A (a) | 4.50% | 11/01/29 | 976355 |
| 130000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2021 | 2.38% | 05/01/26 | 129574 |
| 110000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2022 | 4.13% | 05/01/27 | 110308 |
| 160000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 2.63% | 05/01/26 | 159557 |
| 645000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.13% | 05/01/31 | 621392 |
| 105000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 106614 |
| 1285000 | Broward Cnty FL Port Facs Rev Sr Bond, Ser B, AMT | 5.00% | 09/01/28 | 1347781 |
| 300000 | Buckhead Trails II CDD FL Spl Assmnt Proj, Ser 2026 (b) | 4.13% | 05/01/33 | 300173 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $2000000 | Capital Trust Auth FL Hlth Care Facs Rev Ref Uf Hlth Projs, Ser A | 5.00% | 12/01/32 | $2255447 |
| 105000 | Creekview CDD FL Spl Assmnt Rev Phase I Proj | 3.88% | 05/01/27 | 104760 |
| 235000 | Cross Creek N CDD FL Spl Assmnt, Ser 2022 | 3.40% | 05/01/27 | 235340 |
| 930000 | Cypress Preserve Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area <br> 2 | 3.75% | 11/01/31 | 920725 |
| 360000 | Cypress Reserve CDD FL Capital Impt Rev (a) | 4.00% | 05/01/30 | 358630 |
| 110000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 2.50% | 05/01/26 | 109697 |
| 415000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 411973 |
| 350000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 3.00% | 05/01/31 | 338362 |
| 355000 | Escambia Cnty FL Envrnmntl Impt Rev Var Ref Intl Paper Co Proj <br> Remk, Ser B (Mandatory put 10/01/31) | 3.45% | 11/01/33 | 360672 |
| 2500000 | FL Dev Fin Corp Hlthcare Facs Rev Var Tampa General Hosp <br> Proj, Ser B (Mandatory put 10/01/30) (b) | 5.00% | 08/01/56 | 2767406 |
| 500000 | FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A | 4.00% | 09/01/30 | 513731 |
| 150000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy <br> Projs, Ser A | 4.00% | 07/01/28 | 151168 |
| 750000 | FL St Dev Fin Corp Sol Wst Disp Rev Var Wst Mgmt Inc Proj, Ser <br> A, AMT (Mandatory put 09/01/28) | 3.40% | 09/01/50 | 752406 |
| 1250000 | FL St Hsg Fin Corp Mf Mtge Rev Var Maison at Solvita <br> Marketplace, Ser G-2 (Mandatory put 05/01/28) | 3.50% | 11/01/42 | 1266416 |
| 2000000 | FL St Hsg Fin Corp Mf Mtge Rev Var The Enclave at Canopy <br> Park, Ser I (Mandatory put 01/01/28) | 3.30% | 07/01/58 | 2012254 |
| 1750000 | FL St Hsg Fin Corp Var The Sailx On Vine, Ser E (Mandatory put <br> 06/01/27) | 3.80% | 06/01/42 | 1752991 |
| 500000 | GIR E CDD FL Capital Impt Rev Assmnt Area One | 4.30% | 05/01/32 | 507913 |
| 800000 | Groves at Lake Marion CDD FL Spl Assmnt (a) | 4.00% | 12/15/33 | 801928 |
| 1800000 | Gtr Orlando Aviation Auth FL Spl Purp Arpt Facs Rev United Airls <br> Inc Proj, AMT | 5.25% | 11/01/34 | 1939999 |
| 720000 | Hidden Creek N Cmnty Dev Dist FL Spl Assmnt, Ser A1 | 4.00% | 11/01/30 | 729930 |
| 2200000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel <br> Assmnt Area (a) | 3.50% | 05/01/31 | 2178856 |
| 1250000 | Hillsborough Cnty FL Hsg Fin Auth Mf Rev Var The Loop <br> (Mandatory put 07/01/28) | 3.45% | 01/01/43 | 1254893 |
| 295000 | Hyde Park CDD #1 FL Spl Assmnt, Ser A | 4.75% | 05/01/31 | 300319 |
| 1000000 | Kingston One CDD FL Spl Assmnt Assmnt Area One 2025 Proj <br> Area | 4.25% | 05/01/30 | 1016856 |
| 750000 | Lakes By The Bay S FL CDD Assmnt Ref | 5.00% | 05/01/27 | 763751 |
| 1710000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Lakewood <br> Ranch SE Proj | 5.00% | 05/01/30 | 1799475 |
| 340000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector <br> Proj Phase 1A | 4.25% | 05/01/28 | 343087 |
| 1000000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point, Ser <br> 2024B-3 (Temps-50) | 4.13% | 11/15/29 | 1006811 |
| 240000 | Lee Cnty FL Indl Dev Auth Hosp Rev Exchange Ref Lee Hlth <br> Sys, Ser 2019 A-1 | 5.00% | 04/01/35 | 253160 |
| 605000 | Liberty Cove CDD FL Spl Assmnt Rev Assmnt Area One Proj | 4.80% | 05/01/31 | 615723 |
| 190000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area <br> One Proj, Ser A | 2.50% | 05/01/26 | 189411 |
| 130000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area <br> Two Proj Pod 5, Ser AA2 | 4.85% | 05/01/31 | 133074 |
| 1500000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ of <br> Miami, Ser A | 5.00% | 04/01/33 | 1719072 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Florida (Continued)** | **Florida (Continued)** | **Florida (Continued)** |  |
| $2035000 | Miami-Dade Cnty FL Sch Brd Ref, Ser C, COPS | 5.00% | 02/01/32 | $2039092 |
| 2000000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/30 | 2175795 |
| 275000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 272750 |
| 795000 | Nthrn Palm Beach Cnty FL Impt Dist | 2.88% | 08/01/31 | 749616 |
| 285000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 3.00% | 06/15/30 | 279535 |
| 3675000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys <br> Inc Oblig Grp | 5.00% | 11/15/32 | 3728727 |
| 380000 | Parrish Lakes CDD Capital Impt Rev Assmnt Area Three | 5.00% | 05/01/31 | 388580 |
| 1010000 | Pensacola FL Arpt Rev, AMT | 5.00% | 10/01/31 | 1122560 |
| 990000 | Pensacola FL Arpt Rev, AMT | 5.00% | 10/01/33 | 1116978 |
| 45000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 44690 |
| 355000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 361964 |
| 1000000 | S Kendall FL CDD Spl Assmnt Ref | 4.00% | 11/01/31 | 1003174 |
| 450000 | Saltleaf CDD FL Capital Impt Rev | 4.75% | 05/01/31 | 461394 |
| 840000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (a) | 3.75% | 06/15/31 | 841339 |
| 605000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.50% | 11/01/29 | 617944 |
| 155000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 154448 |
| 160000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 157717 |
| 765000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 3.00% | 06/15/32 | 736761 |
| 70000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 69830 |
| 255000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a) | 3.00% | 06/15/31 | 245013 |
| 545000 | Sugarloaf CDD FL Capital Impt Rev Assmnt Area One (a) | 4.00% | 12/15/33 | 545000 |
| 465000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 3.30% | 05/01/31 | 455916 |
| 670000 | Sunrise CDD FL Capital Impt Rev (a) | 4.25% | 05/01/30 | 673117 |
| 1650000 | Tern Bay CDD FL Spl Assmnt | 3.40% | 06/15/32 | 1611606 |
| 455000 | The Heights CDD FL Spl Assmnt Rev CDD | 4.00% | 01/01/28 | 456976 |
| 110000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 108931 |
| 780000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AG | 3.00% | 05/01/26 | 780341 |
| 825000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AG | 3.00% | 05/01/28 | 829969 |
| 220000 | Two Rivers W CDD FL Spl Assmnt Proj, Ser 2024 | 4.80% | 05/01/31 | 225337 |
| 405000 | V-Dana CDD FL Spl Assmnt Assmnt Area Two 2025 Proj Area | 4.45% | 05/01/32 | 414525 |
| 95000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 94776 |
| 1525000 | Venice FL Temps 50 Vlg on The Isle Proj, Ser B-3 (a) | 4.25% | 01/01/30 | 1529251 |
| 575000 | Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E <br> Proj | 4.25% | 05/01/31 | 587857 |
| 185000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 186843 |
| 540000 | Vivid Shores Cmnty Dev Dist FL Spl Assmnt 2025 Proj Area | 4.00% | 05/01/30 | 543851 |
| 425000 | Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj | 5.00% | 06/01/30 | 458846 |
| 1210000 | W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1 | 4.50% | 05/01/32 | 1219841 |
| 720000 | W Vlgs FL Impt Dist Unit of Dev #10 Assmnt Area Two | 4.00% | 05/01/30 | 724033 |
| 65000 | Westside Haines City CDD Spl Assmnt Area One Proj | 2.50% | 05/01/26 | 64842 |
|  |  |  |  | 62735578 |
|  | **Georgia — 5.6%** | **Georgia — 5.6%** | **Georgia — 5.6%** |  |
| 2000000 | Appling Cnty GA Dev Auth Var GA Pwr Co Plt Hatch Proj (c) | 3.20% | 09/01/41 | 2000000 |
| 2000000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/26 | 2020282 |
| 2500000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/30 | 2739151 |
| 2500000 | Atlanta GA Urban Rsdl Fin Auth Mf Hsg Rev Var N Block <br> (Mandatory put 02/01/28) | 3.40% | 02/01/29 | 2525846 |
| 250000 | Bartow Cnty GA Dev Auth Var Ref GA Pwr Co Plt Bowen Proj <br> Remk, First Ser (Mandatory put 03/08/28) | 3.95% | 12/01/32 | 254985 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Georgia (Continued)** | **Georgia (Continued)** | **Georgia (Continued)** |  |
| $875000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant <br> Vogtle Proj Remk, 5th Ser (Mandatory put 06/13/28) | 3.70% | 10/01/32 | $891475 |
| 800000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj (c) | 3.10% | 11/01/52 | 800000 |
| 1500000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj Remk, 1st Ser (Mandatory put 03/12/27) | 3.38% | 11/01/53 | 1510182 |
| 250000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth <br> Sys Inc Proj, Ser B | 5.00% | 04/01/27 | 257472 |
| 420000 | GA St Hsg & Fin Auth Rev Ref, Ser C | 3.50% | 06/01/31 | 430622 |
| 650000 | GA St Hsg & Fin Auth Rev Ref, Ser C | 3.55% | 12/01/31 | 668444 |
| 3700000 | Main Street Energy Inc Energy Proj Rev, Ser D | 5.00% | 12/01/33 | 3996012 |
| 2000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/29 | 2115753 |
| 880000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 09/01/27) | 4.00% | 07/01/52 | 894080 |
| 510000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 12/01/29) | 4.00% | 09/01/52 | 521375 |
| 800000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/26 | 805233 |
| 1290000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 09/01/26) | 4.00% | 03/01/50 | 1297484 |
| 1830000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 04/01/31) | 5.00% | 04/01/54 | 1961752 |
| 100000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 12/01/30) | 5.00% | 05/01/54 | 105986 |
| 2000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser E (Mandatory put <br> 09/01/32) | 5.00% | 05/01/55 | 2155334 |
| 1700000 | Monroe Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plt <br> Scherer Proj Remk, 2nd Ser (Mandatory put 03/06/26) | 3.88% | 10/01/48 | 1701706 |
| 500000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M Bonds, <br>Ser A | 5.00% | 01/01/38 | 517313 |
|  |  |  |  | 30170487 |
|  | **Guam — 0.1%** | **Guam — 0.1%** | **Guam — 0.1%** |  |
| 250000 | Guam Govt Busn Privilege Tax Rev Ref, Ser F | 5.00% | 01/01/28 | 259983 |
| 360000 | Guam Pwr Auth Rev, Ser A | 5.00% | 10/01/33 | 369740 |
|  |  |  |  | 629723 |
|  | **Hawaii — 0.2%** | **Hawaii — 0.2%** | **Hawaii — 0.2%** |  |
| 1000000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr, Ser A | 5.00% | 07/01/29 | 1010907 |
|  | **Illinois — 3.7%** | **Illinois — 3.7%** | **Illinois — 3.7%** |  |
| 40000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 40485 |
| 500000 | Chicago IL Midway Arpt Rev Ref Sr Lien, Ser A, AMT, BAM | 5.00% | 01/01/27 | 509703 |
| 2000000 | Chicago IL Midway Arpt Rev Ref Sr, Ser C, AMT | 5.00% | 01/01/33 | 2221561 |
| 520000 | Chicago IL O'Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT | 5.00% | 01/01/29 | 529374 |
| 3000000 | IL St Dev Fun Auth Sol Wst Disp Rev Var Wst Mgmt Inc Proj <br> Remk, AMT (Mandatory put 11/02/26) | 3.45% | 11/01/44 | 3008633 |
| 2000000 | IL St Fin Auth Gas Sply Rev Peoples Gas Light & Coke Co Remk | 3.90% | 03/01/30 | 2001451 |
| 225000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 230648 |
| 2000000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/30 | 2048912 |
| 2000000 | IL St Hsg Dev Auth Mf Hsg Rev Var 6900 Crandon (Mandatory <br> put 02/01/26) | 5.00% | 02/01/27 | 2000000 |
| 500000 | IL St Sales Tax Rev Ref, Subser C, BAM | 4.00% | 06/15/27 | 502488 |
| 285000 | IL St Sales Tax Rev Ref, Subser C | 4.00% | 06/15/32 | 285832 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Illinois (Continued)** | **Illinois (Continued)** | **Illinois (Continued)** |  |
| $250000 | IL St, Ser B | 5.00% | 05/01/28 | $263244 |
| 2365000 | IL St, Ser C | 5.00% | 11/01/29 | 2458569 |
| 710000 | Railsplitter IL Tobacco Stlmt Auth (Pre-refunded maturity <br> 06/01/26) | 5.00% | 06/01/27 | 716299 |
| 1055000 | Rock Island Cnty IL Sch Dist #41 Rock Island, BAM | 5.00% | 12/01/29 | 1127567 |
| 1000000 | Sales Tax Securitization Corp IL Ref, Ser C | 5.25% | 01/01/35 | 1056807 |
| 1000000 | Wauconda IL Spl Svc Area #1 Spl Tax Ref, BAM | 5.00% | 03/01/33 | 1000889 |
|  |  |  |  | 20002462 |
|  | **Indiana — 2.3%** | **Indiana — 2.3%** | **Indiana — 2.3%** |  |
| 1000000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, <br> AMT (Mandatory put 03/02/26) | 3.45% | 05/01/28 | 1000229 |
| 2000000 | IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co <br> Proj, Ser A | 1.40% | 08/01/29 | 1853751 |
| 545000 | IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj <br> Remk, Ser A-1, AMT (Mandatory put 06/01/32) | 4.50% | 05/01/35 | 551955 |
| 730000 | IN St Fin Auth Hlth Fac Rev Margaret Mary Hlth Proj, Ser A | 5.00% | 03/01/30 | 775201 |
| 1250000 | IN St Fin Auth Hlth Sys Rev Var Ref IN Univ Hlth, Ser D-1 <br> (Mandatory put 10/01/29) | 5.00% | 10/01/64 | 1344736 |
| 25000 | IN St Fin Auth Rev BHI Sr Living, Ser A | 4.00% | 11/15/26 | 25104 |
| 1000000 | IN St Fin Auth Rev Greenwood Vlg S Proj Temps 50SM, Ser C-2 | 3.75% | 05/15/32 | 1003614 |
| 570000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/27 | 581021 |
| 600000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/28 | 621961 |
| 1425000 | La Porte IN Multi Sch Bldg Corp 1st Mtge | 3.00% | 07/15/32 | 1415787 |
| 3050000 | Whiting IN Envrnmntl Facs Rev Ref BP Products N America Inc <br> Proj, Ser A, AMT (Mandatory put 06/05/26) | 5.00% | 12/01/44 | 3073165 |
|  |  |  |  | 12246524 |
|  | **Iowa — 0.6%** | **Iowa — 0.6%** | **Iowa — 0.6%** |  |
| 1000000 | IA St Brd Regents Hosp Rev Univ of IA Hlth Cares Hosp Sys, Ser <br> A | 5.00% | 09/01/27 | 1040449 |
| 2395000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 2423518 |
|  |  |  |  | 3463967 |
|  | **Kentucky — 3.3%** | **Kentucky — 3.3%** | **Kentucky — 3.3%** |  |
| 1000000 | Boone Cnty KY Poll Control Rev Ref Duke Energy KY Inc Proj <br> Remk, Ser A | 3.70% | 08/01/27 | 1009501 |
| 1065000 | KY St Interlocal Sch Transprtn Assn Equipment Lease Re, COPS | 4.00% | 03/01/29 | 1106842 |
| 1000000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser A (Mandatory put <br> 12/01/29) | 5.25% | 06/01/55 | 1064426 |
| 1060000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/28 | 1105501 |
| 280000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/29 | 297356 |
| 2135000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B (Mandatory put <br> 08/01/32) | 5.00% | 01/01/55 | 2301470 |
| 325000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put <br> 02/01/28) | 4.00% | 02/01/50 | 330140 |
| 2000000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton <br> Hlthcare Inc, Ser C (c) | 3.15% | 10/01/53 | 2000000 |
| 1100000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj <br> Sustainable Bond, Ser B-1 (c) | 3.65% | 08/01/61 | 1100000 |
| 1860000 | Owensboro KY Wtr Rev Ref & Impt | 3.50% | 09/15/31 | 1877032 |
| 1195000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AG | 5.00% | 10/01/30 | 1212212 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Kentucky (Continued)** | **Kentucky (Continued)** | **Kentucky (Continued)** |  |
| $2500000 | Trimble Cnty KY Envrnmntl Facs Rev Ref Louisville Gas Elec Co <br> Proj, Ser A | 3.75% | 06/01/33 | $2513614 |
| 1580000 | Trimble Cnty KY Envrnmntl Facs Rev Var Louisville Gas & Elec <br> Co Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.70% | 06/01/54 | 1595464 |
|  |  |  |  | 17513558 |
|  | **Louisiana — 1.4%** | **Louisiana — 1.4%** | **Louisiana — 1.4%** |  |
| 1200000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp <br> Womans Fdtn Proj, Ser A | 5.00% | 10/01/33 | 1236466 |
| 2000000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk <br> (Mandatory put 06/01/30) | 3.70% | 08/01/41 | 2042465 |
| 4000000 | Saint John The Baptist Parish LA Rev Var Ref Marathon Oil Corp <br> Proj Remk, Ser C (Mandatory put 07/03/28) | 3.30% | 06/01/37 | 4049231 |
|  |  |  |  | 7328162 |
|  | **Maine — 0.5%** | **Maine — 0.5%** | **Maine — 0.5%** |  |
| 320000 | ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A | 3.45% | 11/15/31 | 328060 |
| 525000 | ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A | 3.55% | 11/15/32 | 540992 |
| 2000000 | ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser C | 3.25% | 11/15/30 | 2020090 |
|  |  |  |  | 2889142 |
|  | **Maryland — 1.8%** | **Maryland — 1.8%** | **Maryland — 1.8%** |  |
| 435000 | Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at <br> Marley Station, Ser D-1 | 3.55% | 08/01/31 | 446075 |
| 345000 | Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at <br> Marley Station, Ser D-1 | 3.60% | 02/01/32 | 359249 |
| 3000000 | Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at <br> Marley Station, Ser D-2 | 3.30% | 01/01/29 | 3047295 |
| 1550000 | MD St Econ Dev Corp Var Ref Constellation Energy Grp Proj <br> Remk, Ser B (Mandatory put 04/03/28) | 4.10% | 10/01/36 | 1592581 |
| 2000000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Var Ref Medstar Hlth <br> Issue, Ser B (Mandatory put 02/15/33) (b) | 5.00% | 08/15/56 | 2242870 |
| 2000000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Var Univ of MD Med <br> Sys Issue, Ser C-1 (c) | 3.15% | 07/01/55 | 2000000 |
|  |  |  |  | 9688070 |
|  | **Massachusetts — 0.8%** | **Massachusetts — 0.8%** | **Massachusetts — 0.8%** |  |
| 2000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.00% | 07/01/29 | 2122143 |
| 1500000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/33 | 1546917 |
| 580000 | MA St Dev Fin Agy Rev Ref Partners Hlthcare Sys, Ser Q | 5.00% | 07/01/31 | 586015 |
|  |  |  |  | 4255075 |
|  | **Michigan — 1.9%** | **Michigan — 1.9%** | **Michigan — 1.9%** |  |
| 220000 | Detroit MI | 5.00% | 04/01/26 | 220698 |
| 435000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref 2nd <br> Lien, Ser C | 5.00% | 07/01/36 | 438496 |
| 500000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref Sr <br> Lien, Ser B | 5.00% | 07/01/31 | 505186 |
| 400000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.00% | 07/01/29 | 435464 |
| 1155000 | MI St Fin Auth Rev Multi Modal McLaren Hlth Care, Ser A | 5.00% | 02/15/29 | 1233937 |
| 155000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser A | 5.00% | 05/15/27 | 155301 |
| 1790000 | MI St Fin Auth Rev Var Trinity Hlth Credit Grp, Ser B (Mandatory <br> put 12/01/28) | 5.00% | 12/01/43 | 1886902 |
| 2000000 | MI St Strategic Fund Ltd Oblg Rev Var Consumers Energy Co Proj <br> Remk, AMT (Mandatory put 10/01/27) | 3.35% | 10/01/49 | 2004907 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Michigan (Continued)** | **Michigan (Continued)** | **Michigan (Continued)** |  |
| $1000000 | MI St Strategic Fund Ltd Oblg Rev Var DTE Elec Co Exempt Fac <br> Proj, Ser 2023DT, AMT (Mandatory put 06/03/30) | 3.88% | 06/01/53 | $980070 |
| 1000000 | Wayne Cnty MI Arpt Auth Rev Ref Detroit Met Wayne Cnty <br> Arpt, Ser G, AMT | 5.00% | 12/01/31 | 1112712 |
| 930000 | Wayne Cnty MI Arpt Auth Rev, Ser B, AMT | 5.00% | 12/01/38 | 994664 |
|  |  |  |  | 9968337 |
|  | **Minnesota — 0.3%** | **Minnesota — 0.3%** | **Minnesota — 0.3%** |  |
| 1380000 | Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Ref <br> Sub, Ser B, AMT | 5.00% | 01/01/35 | 1460984 |
|  | **Mississippi — 0.8%** | **Mississippi — 0.8%** | **Mississippi — 0.8%** |  |
| 675000 | Gulfport MS Hosp Fac Rev Memorial Hosp at Gulfport Proj | 5.00% | 07/01/32 | 747220 |
| 1330000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc PJ, Ser A (c) | 3.40% | 12/01/30 | 1330000 |
| 850000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc PJ, Ser E (c) | 3.40% | 12/01/30 | 850000 |
| 1150000 | Warren Cnty MS Gulf Opportunity Zone Ref Intl Paper Co Proj <br> Remk | 4.00% | 09/01/32 | 1200306 |
|  |  |  |  | 4127526 |
|  | **Missouri — 1.6%** | **Missouri — 1.6%** | **Missouri — 1.6%** |  |
| 1000000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intl <br> Arpt, Ser A, AMT | 5.00% | 03/01/30 | 1080138 |
| 1000000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes <br> Hlth Sys Inc | 4.00% | 11/15/33 | 1002000 |
| 1000000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref, Ser C <br> (Mandatory put 05/01/28) | 5.00% | 05/01/52 | 1054247 |
| 760000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/28 | 769998 |
| 650000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Proj, Ser B | 5.00% | 02/01/28 | 650873 |
| 500000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/29 | 524183 |
| 485000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/30 | 515467 |
| 1485000 | Pettis Cnty MO Sch Dist Sedalia Lease Sedalia Sch Dist No 200 of <br> Pettis Cnty, MO Proj, COPS | 5.00% | 04/15/29 | 1587487 |
| 450000 | Phelps Cnty MO Hosp Rev Phelps Hlth | 5.00% | 12/01/32 | 502162 |
| 910000 | St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg <br> Sunset Hills, Ser A | 5.50% | 09/01/33 | 910534 |
|  |  |  |  | 8597089 |
|  | **Montana — 0.4%** | **Montana — 0.4%** | **Montana — 0.4%** |  |
| 2000000 | Forsyth MT Poll Control Rev Ref Northwestern Corp Colstrip Proj | 3.88% | 07/01/28 | 2043752 |
|  | **Nebraska — 0.6%** | **Nebraska — 0.6%** | **Nebraska — 0.6%** |  |
| 1000000 | Centrl Plains Energy Proj NE Gas Proj Rev Var Ref Proj #4, Ser A <br> (Mandatory put 11/01/29) | 5.00% | 05/01/54 | 1061484 |
| 1500000 | Centrl Plains Energy Proj NE Gas Sply Rev, Subser A-1 <br> (Mandatory put 08/01/31) | 5.00% | 08/01/55 | 1612113 |
| 400000 | Muni Energy Agy of NE Ref | 5.00% | 04/01/28 | 407331 |
| 250000 | Omaha NE Pub Dist Elec Rev Ref Sys, Ser A | 5.00% | 02/01/28 | 250000 |
|  |  |  |  | 3330928 |
|  | **Nevada — 1.0%** | **Nevada — 1.0%** | **Nevada — 1.0%** |  |
| 120000 | Clark Cnty NV Sch Dist Bldg Cr, Ser B, AG | 5.00% | 06/15/31 | 128523 |
| 235000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 235192 |
| 905000 | Las Vegas NV Spl Impt Dist #812 Loc Impt Summerlin Vlg 24 | 5.00% | 12/01/31 | 905701 |
| 225000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.00% | 06/01/26 | 223898 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Nevada (Continued)** | **Nevada (Continued)** | **Nevada (Continued)** |  |
| $100000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.50% | 06/01/28 | $97284 |
| 275000 | Las Vegas NV Spl Impt Dist #819 Spl Impt Dt #819 Summerlin <br> Vlg 30A | 4.50% | 06/01/29 | 284311 |
| 100000 | Las Vegas NV Spl Impt Dist #819 Spl Impt Dt #819 Summerlin <br> Vlg 30A | 4.00% | 06/01/31 | 101632 |
| 355000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/27 | 355211 |
| 2000000 | NV St Hsg Div Var Carville Park Apartments (Mandatory put <br> 07/01/27) | 5.00% | 07/01/28 | 2062586 |
| 1000000 | Sparks NV Tourism Impt Dist #1 Rev Sr Bond Legends at Sparks <br> Marina | 3.88% | 06/15/28 | 1005523 |
|  |  |  |  | 5399861 |
|  | **New Hampshire — 1.1%** | **New Hampshire — 1.1%** | **New Hampshire — 1.1%** |  |
| 1175000 | Natl Fin Auth NH Pollution Control Rev Ref NY St Elec & Gas <br> Corp Proj, Ser A, AMT | 4.00% | 12/01/28 | 1200342 |
| 1100000 | Natl Fin Auth NH Rev Winston Salem Sustainable Energy <br> Partners, Ser A | 5.00% | 06/01/31 | 1211420 |
| 2000000 | Natl Fin Auth NH Sol Wst Disp Rev Var Ref Wst Mgmt Inc Proj <br> Remk, Ser A- 3, AMT (Mandatory put 07/01/26) | 4.00% | 07/01/33 | 2002230 |
| 700000 | Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (a) | 5.38% | 12/01/31 | 700701 |
| 1000000 | Natl Fin Auth NH Spl Rev Provence Proj, CABS (a) | (d) | 12/01/31 | 684462 |
| 300000 | NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp <br> Issue | 5.00% | 08/01/31 | 334650 |
|  |  |  |  | 6133805 |
|  | **New Jersey — 1.3%** | **New Jersey — 1.3%** | **New Jersey — 1.3%** |  |
| 2000000 | NJ St | 2.00% | 06/01/29 | 1942662 |
| 580000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit <br> Transprtn Proj Bonds, Ser A | 5.00% | 11/01/26 | 591887 |
| 2000000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (a) | 5.25% | 09/01/26 | 2034721 |
| 1500000 | NJ St Econ Dev Auth Wtr Facs Rev Var Ref NJ American Wtr Co <br> Inc Proj Remk, Ser B, AMT (Mandatory put 06/01/28) | 3.75% | 11/01/34 | 1521478 |
| 965000 | NJ St Hlth Care Facs Fing Auth Rev Ref Rwj Barnabas Hlth Oblig <br> Grp Issue, Ser B-3 (Mandatory put 07/01/26) | 5.00% | 07/01/45 | 975307 |
|  |  |  |  | 7066055 |
|  | **New Mexico — 1.0%** | **New Mexico — 1.0%** | **New Mexico — 1.0%** |  |
| 2000000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co NM San <br> Juan Proj Remk, Ser D (Mandatory put 06/01/28) | 3.90% | 06/01/40 | 2035652 |
| 3180000 | NM St Muni Energy Acq Auth Gas Sply Ref (Mandatory put <br> 11/01/30) | 5.00% | 06/01/54 | 3392755 |
|  |  |  |  | 5428407 |
|  | **New York — 4.9%** | **New York — 4.9%** | **New York — 4.9%** |  |
| 2000000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref <br> NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 2046911 |
| 285000 | Kings Park NY Centrl Sch Dist, Ser B | 3.00% | 07/15/31 | 285024 |
| 2260000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev <br> Bonds, Ser F-2A (Mandatory put 12/22/26) | 3.40% | 11/01/62 | 2260687 |
| 2000000 | New York City NY Hsg Dev Corp Mf Hsg Rev Var Sustainable <br> Bond, Ser B-2 (Mandatory put 07/02/29) | 3.95% | 11/01/64 | 2052393 |
| 1000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev <br> Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (c) | 3.25% | 06/15/50 | 1000000 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **New York (Continued)** | **New York (Continued)** | **New York (Continued)** |  |
| $3500000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref <br> Var 2nd Gen Resolution, Subser BB-1 (c) | 3.20% | 06/15/44 | $3500000 |
| 340000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal <br> 2018, Ser S-1 | 5.00% | 07/15/35 | 350495 |
| 1675000 | NY Energy Fin Dev Corp Var (Mandatory put 12/01/33) | 5.00% | 07/01/56 | 1786775 |
| 3000000 | NY NY Adjustable Fiscal 2020, Subser B-3 (c) | 3.20% | 10/01/46 | 3000000 |
| 1000000 | NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Draw Down <br> Casella Wst Sys Inc Proj R-1 Remk, AMT (Mandatory put <br> 09/03/30) (a) | 4.25% | 09/01/50 | 1015992 |
| 3125000 | NY St Hsg Fin Agy Affordable Hsg Rev Var 320 W 38th St Hsg <br> Remk, Ser A (Mandatory put 11/01/31) | 3.57% | 05/01/42 | 3195066 |
| 300000 | NY St Hsg Fin Agy Affordable Hsg Rev Var Hsg 160 W <br> 62nd Street Remk, Ser A-2 (Mandatory put 04/01/32) | 3.60% | 11/01/44 | 307356 |
| 500000 | NY St Hsg Fin Agy St Personal Income Tax Rev Var Sustainable <br> Bonds, Ser A-2 (Mandatory put 12/15/30) | 3.45% | 06/15/54 | 507718 |
| 2315000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia <br> Arpt Terminals C&D Redev, AMT | 5.00% | 01/01/32 | 2394676 |
| 105000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc <br> John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 104560 |
| 560000 | Port Auth of NY & NJ NY Consolidated Bonds, Ser 214, AMT | 5.00% | 09/01/32 | 599398 |
| 2000000 | Port Auth of NY & NJ NY Ref, Ser 249, AMT | 5.00% | 10/15/31 | 2227344 |
|  |  |  |  | 26634395 |
|  | **North Carolina — 3.8%** | **North Carolina — 3.8%** | **North Carolina — 3.8%** |  |
| 400000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var <br> Atrium Hlth Remk, Ser D (Mandatory put 06/15/27) | 3.63% | 01/15/48 | 405487 |
| 1500000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Ref <br> Carolina Remk, Ser C (c) | 3.20% | 01/15/37 | 1500000 |
| 1080000 | Charlotte NC Arpt Rev Charlotte Douglas Intl Arpt, Ser B, AMT | 5.00% | 07/01/27 | 1114709 |
| 250000 | Charlotte NC Arpt Rev, Ser A | 5.00% | 07/01/30 | 259025 |
| 2800000 | NC St Hsg Fin Agy Mf Hsg Rev Var Fitch Irick Portfolio <br> (Mandatory put 04/01/28) | 5.00% | 04/01/29 | 2934878 |
| 375000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For <br> The Aging Ref, Ser A | 4.00% | 03/01/29 | 383863 |
| 1000000 | NC St Med Care Commn Hlth Care Facs Rev Var Duke Univ Hlth <br> Sys, Ser B (Mandatory put 06/04/30) | 5.00% | 06/01/55 | 1089791 |
| 3435000 | NC St Med Care Commn Hosp Rev Caromont Hlth, Ser B <br> (Mandatory put 02/01/26) | 5.00% | 02/01/51 | 3435000 |
| 2010000 | NC St Med Care Commn Retmnt Facs Rev Deerfield Episcopal <br> Retmnt Cmnty Proj Temps 70, Ser B-3 | 3.45% | 11/01/30 | 2018045 |
| 680000 | NC St Med Care Commn Retmnt Facs Rev First Mtge Twin Lakes <br> Cmnty Temps 50, Ser B-2 | 3.90% | 01/01/29 | 680453 |
| 1090000 | NC St Med Care Commn Retmnt Facs Rev Temps 50 Penick Vlg <br> Proj, Ser B-3 | 4.25% | 09/01/28 | 1090470 |
| 1250000 | NC St Med Care Commn Retmnt Facs Rev United Methodist <br> Retmnt Homes Proj Temps 70, Ser B-2 | 3.63% | 10/01/30 | 1256945 |
| 1050000 | NC St Med Care Commn Retmnt Facs Rev United Methodist <br> Retmnt Homes, Ser 2024B-2 | 3.75% | 10/01/28 | 1050632 |
| 170000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/29 | 182270 |
| 1500000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/34 | 1531719 |
| 1580000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 1611444 |
|  |  |  |  | 20544731 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **North Dakota — 0.4%** | **North Dakota — 0.4%** | **North Dakota — 0.4%** |  |
| $2000000 | Cass Cnty ND Jt Wtr Res Dist Ref and Impt, Ser A | 3.45% | 04/01/27 | $2000648 |
|  | **Ohio — 2.6%** | **Ohio — 2.6%** | **Ohio — 2.6%** |  |
| 800000 | Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj | 5.00% | 01/01/31 | 858383 |
| 1000000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put <br> 08/01/30) | 5.00% | 02/01/55 | 1064308 |
| 325000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/30 | 354164 |
| 350000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/31 | 386114 |
| 1000000 | OH St Air Quality Dev Auth American Elec Pwr Co Proj Remk, Ser <br> A (Mandatory put 10/01/29) | 2.40% | 12/01/38 | 960569 |
| 4765000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, <br>Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 4842114 |
| 765000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser <br> B (Mandatory put 06/01/27) | 4.00% | 09/01/30 | 777914 |
| 1770000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/33 | 1845739 |
| 2000000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (c) | 2.55% | 01/15/51 | 2000000 |
| 1000000 | OH St Hsg Fin Agy Mf Hsg Rev Var Tylers Creek Apt Proj <br> (Mandatory put 01/01/29) | 3.15% | 01/01/44 | 1006662 |
|  |  |  |  | 14095967 |
|  | **Oklahoma — 0.8%** | **Oklahoma — 0.8%** | **Oklahoma — 0.8%** |  |
| 1500000 | Canadian Cnty OK Eductnl Facs Auth Educ Facs Lease Rev Yukon <br> Pub Sch Proj | 5.00% | 09/01/27 | 1555929 |
| 1000000 | McClain Cnty OK Indep Sch Dist #1 New Castle Comb Purp | 5.00% | 07/01/26 | 1009808 |
| 300000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest <br> City De City Pub Schs Proj | 5.00% | 10/01/26 | 304462 |
| 375000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow <br> Pub Sch Proj | 5.00% | 09/01/30 | 411181 |
| 835000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow <br> Pub Sch Proj | 5.00% | 09/01/31 | 928873 |
|  |  |  |  | 4210253 |
|  | **Oregon — 0.6%** | **Oregon — 0.6%** | **Oregon — 0.6%** |  |
| 660000 | Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj | 5.00% | 08/01/31 | 727018 |
| 260000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/27 | 268356 |
| 2000000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2008643 |
| 260000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 4.00% | 05/15/29 | 265194 |
| 100000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 100662 |
|  |  |  |  | 3369873 |
|  | **Pennsylvania — 4.0%** | **Pennsylvania — 4.0%** | **Pennsylvania — 4.0%** |  |
| 1200000 | Adams Cnty PA Gen Auth Rev Ref The Brethren Home Cmnty <br> Proj, Ser B-2 | 3.60% | 06/01/29 | 1210303 |
| 3000000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network <br> Obligated Grp Issue, Ser A | 5.00% | 04/01/35 | 3117308 |
| 450000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at <br> Wyomissing, Ser A | 5.00% | 05/15/32 | 458702 |
| 2000000 | Chester Cnty PA Indl Dev Auth Nts Avon Grove Chrt Sch | 5.00% | 03/01/27 | 2016702 |
| 2450000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj <br> Remk, Ser A | 3.00% | 09/01/29 | 2476890 |
| 2060000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Wst Mgmt <br> Inc Proj Remk, AMT (Mandatory put 07/01/27) | 4.25% | 07/01/41 | 2089169 |
| 1400000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Wst Mgmt Inc <br> Proj Remk, Ser A, AMT (Mandatory put 08/03/26) | 3.88% | 08/01/38 | 1404126 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Pennsylvania (Continued)** | **Pennsylvania (Continued)** | **Pennsylvania (Continued)** |  |
| $2100000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot <br> Major Bridges Package One Proj P3 Proj, AMT | 5.00% | 12/31/29 | $2262826 |
| 405000 | PA St Ref, 1st Ser | 5.00% | 09/15/27 | 411864 |
| 1380000 | PA St Turnpike Commn Turnpike Rev Ref Mtr License Fund Enh <br> Trn Pke Subord | 5.00% | 12/01/30 | 1410906 |
| 375000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser A | 5.00% | 12/01/36 | 381410 |
| 2370000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT | 5.00% | 07/01/32 | 2614588 |
| 865000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, <br> 14th Ser | 5.00% | 10/01/29 | 879585 |
| 830000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, <br> 14th Ser | 5.00% | 10/01/33 | 843553 |
|  |  |  |  | 21577932 |
|  | **Puerto Rico — 0.0%** | **Puerto Rico — 0.0%** | **Puerto Rico — 0.0%** |  |
| 234000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-1, CABS | (d) | 07/01/27 | 223455 |
|  | **South Carolina — 1.5%** | **South Carolina — 1.5%** | **South Carolina — 1.5%** |  |
| 250000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 250392 |
| 1000000 | SC Jobs Econ Dev Auth Envrnmntl Impt Rev Var Intl Paper Co <br> Proj, Ser A, AMT (Mandatory put 04/01/26) | 4.00% | 04/01/33 | 1001198 |
| 450000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 4.00% | 11/15/27 | 450969 |
| 2250000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Rolling Green Vlg <br> Proj, Ser B-3 | 4.00% | 12/01/30 | 2269905 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/27 | 257192 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/28 | 260776 |
| 200000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/29 | 211140 |
| 225000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/30 | 239719 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/31 | 268630 |
| 1250000 | SC St Jobs Econ Dev Auth Hosp Facs Rev Var Ref Bon Secours <br> Mercy Hlth Inc, Ser B-1 (Mandatory put 11/01/30) | 5.00% | 11/01/55 | 1375349 |
| 1565000 | SC St Jobs Econ Dev Auth Hosp Facs Rev Var Ref Bon Secours <br> Mercy Hlth Inc, Ser B-2 (Mandatory put 11/01/32) | 5.00% | 11/01/49 | 1753387 |
|  |  |  |  | 8338657 |
|  | **South Dakota — 0.3%** | **South Dakota — 0.3%** | **South Dakota — 0.3%** |  |
| 1005000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty <br> Issue, Ser A | 5.00% | 09/01/31 | 1112417 |
| 440000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty <br> Issue, Ser A | 5.00% | 09/01/32 | 491422 |
|  |  |  |  | 1603839 |
|  | **Tennessee — 3.0%** | **Tennessee — 3.0%** | **Tennessee — 3.0%** |  |
| 350000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Belmont Univ | 5.00% | 05/01/28 | 367809 |
| 1000000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Vanderbilt Univ Med Ctr, Ser A | 5.00% | 07/01/31 | 1104842 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Tennessee (Continued)** | **Tennessee (Continued)** | **Tennessee (Continued)** |  |
| $1000000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Var Trinity Flats Apartments Remk, Ser B (Mandatory put <br> 07/01/28) | 3.65% | 10/01/46 | $1015270 |
| 1500000 | Met Nashville TN Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/36 | 1587048 |
| 450000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/27 | 464462 |
| 2260000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 12/01/29) | 5.00% | 10/01/54 | 2398364 |
| 1490000 | TN Hsg Dev Agy Rsdl Fin Prog Rev Non Ace Issue 1C, AMT | 3.65% | 07/01/30 | 1490442 |
| 230000 | TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Sustainable Bonds, Ser <br> 2-A | 3.40% | 01/01/31 | 232725 |
| 210000 | TN Hsg Dev Agy Rsdl Fin Prog Rev Ref Sustainable Bonds, Ser <br> 2-A | 3.45% | 07/01/31 | 213339 |
| 1750000 | TN St Energy Acq Corp Gas Rev Gas Proj, Ser A | 5.00% | 11/01/33 | 1900484 |
| 1500000 | TN St Energy Acq Corp Gas Rev Gas Proj, Ser A | 5.00% | 11/01/34 | 1631689 |
| 1000000 | TN St Energy Acq Corp Gas Rev Ref, Ser A | 5.00% | 12/01/32 | 1088927 |
| 2500000 | TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1 <br> (Mandatory put 05/01/28) | 5.00% | 05/01/53 | 2591431 |
| 140000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 141504 |
|  |  |  |  | 16228336 |
|  | **Texas — 9.4%** | **Texas — 9.4%** | **Texas — 9.4%** |  |
| 750000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Basis TX Chrt <br> Schs (a) | 5.00% | 06/15/30 | 778076 |
| 250000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Uplift Edu, Ser A | 4.00% | 12/01/30 | 253821 |
| 150000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory <br> Inc | 5.00% | 08/15/27 | 156016 |
| 150000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory <br> Inc | 5.00% | 08/15/28 | 158751 |
| 500000 | Arlington TX Hsg Fin Corp Mf Hsg Rev Var 6900 Matlok Road <br> (Mandatory put 04/01/27) | 4.50% | 04/01/41 | 501392 |
| 300000 | Celina TX Spl Assmnt Rev Ref The Lakes at Mustang Ranch Pub <br> Impt Dt Major Impt Area, AG | 5.00% | 09/01/27 | 309018 |
| 315000 | Celina TX Spl Assmnt Rev Ref The Lakes at Mustang Ranch Pub <br> Impt Dt Major Impt Area, AG | 5.00% | 09/01/29 | 337928 |
| 1135000 | Centrl TX Regl Mobility Auth Rev, Ser C, BANS | 5.00% | 01/01/27 | 1138730 |
| 25000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | 24832 |
| 104000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt <br> Area #1 Proj (a) | 3.38% | 09/15/26 | 104045 |
| 500000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/27 | 523631 |
| 2500000 | Dallas Fort Worth TX Intl Arpt Rev, Ser A-1, AMT | 5.00% | 11/01/31 | 2788636 |
| 700000 | Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt <br> Impt Area #1 Proj (a) | 4.25% | 12/31/30 | 709561 |
| 280000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/27 | 290576 |
| 295000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/28 | 306482 |
| 840000 | Fort Bend TX Indep Sch Dist Ref | 5.00% | 08/15/26 | 852364 |
| 670000 | Fort Worth TX Spl Assmnt Rev Walsh Ranch/Quail Vly Impt Area <br> #1-3 Proj, BAM | 5.00% | 09/01/29 | 719713 |
| 560000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 539579 |
| 610000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/28 | 639518 |
| 1500000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Var <br> Baylor Clg of Medicine, Ser A (Mandatory put 05/15/32) | 5.00% | 11/15/54 | 1650501 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas (Continued)** | **Texas (Continued)** | **Texas (Continued)** |  |
| $710000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial <br> Hermann Hlth Sys, Ser A | 5.00% | 07/01/29 | $768814 |
| 400000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial <br> Hermann Hlth Sys, Ser B | 5.00% | 07/01/31 | 449081 |
| 2000000 | Hays Cnty TX Ref | 3.38% | 02/15/29 | 2002495 |
| 750000 | Houston TX Arpt Sys Rev Ref Sub, Ser C, AMT | 5.00% | 07/01/27 | 774104 |
| 1835000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AG, AMT | 5.00% | 07/01/27 | 1893715 |
| 1000000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, <br>Ser C, AMT | 5.00% | 07/15/27 | 1017779 |
| 900000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt <br> Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 916001 |
| 200000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/28 | 210585 |
| 300000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/29 | 321795 |
| 2215000 | Houston TX Util Sys Rev Ref Subord First Lien, Ser B | 4.00% | 11/15/31 | 2233830 |
| 715000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 720111 |
| 700000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/33 | 707786 |
| 360000 | Lower CO River TX Auth Trans Contract Rev Ref LCRA Trans <br> Svcs Corp Proj | 5.00% | 05/15/33 | 362254 |
| 443000 | Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist <br> Proj (a) | 4.25% | 09/15/30 | 450164 |
| 1000000 | Matagorda Cnty TX Nav Dist #1 Ref Central Pwr & Light Co Proj <br> Remk, AMT | 4.25% | 05/01/30 | 1048352 |
| 2250000 | Mesquite TX Hsg Fin Corp Var Palladium Carver Living <br> (Mandatory put 08/01/27) | 3.35% | 08/01/29 | 2265501 |
| 1050000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc <br> Proj Remk, Ser A, AMT (Mandatory put 05/01/26) | 3.45% | 05/01/50 | 1050000 |
| 1125000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Sustainable <br> Bonds Graphic Packaging Inter LLC Proj, AMT (Mandatory put <br> 06/01/30) | 5.00% | 12/01/64 | 1167717 |
| 1000000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Wst Mgmt Inc <br> Proj Remk, Ser A, AMT (Mandatory put 03/02/26) | 3.45% | 05/01/46 | 1000229 |
| 100000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub <br> Impt Dt Phase #1A-1B Impts (a) | 3.00% | 09/15/26 | 99640 |
| 550000 | N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT | 5.00% | 06/01/27 | 563296 |
| 600000 | N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT | 5.00% | 06/01/30 | 637008 |
| 640000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref <br> Brazos Presbyterian Homes Inc Proj | 5.00% | 01/01/29 | 669087 |
| 1115000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref <br> Brazos Presbyterian Homes Inc Proj | 5.00% | 01/01/32 | 1203683 |
| 200000 | Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt Dt Impt <br> Area #1 Proj (a) | 4.70% | 09/15/31 | 202609 |
| 250000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area #3 <br> Proj (a) | 4.25% | 09/01/31 | 255094 |
| 300000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No <br> 4 Proj (a) | 4.25% | 09/01/30 | 303975 |
| 310000 | Rockwall Cnty TX Muni Util Dist #8, AG | 6.75% | 10/01/35 | 346522 |
| 250000 | San Antonio TX Elec & Gas Rev Ref | 4.00% | 02/01/30 | 250000 |
| 2075000 | San Antonio TX Hsg Trust Pub Fac Corp Mf Hsg Rev Var <br> Palladium San Antonio (Mandatory put 07/01/27) | 3.45% | 07/01/29 | 2095924 |
| 1340000 | Southmost TX Regl Wtr Auth Wtr Sply Contract Rev Ref <br> Desalination Plant Proj, BAM | 4.00% | 09/01/28 | 1364662 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas (Continued)** | **Texas (Continued)** | **Texas (Continued)** |  |
| $1000000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor <br> Scott & White Hlth Proj, Ser A | 5.00% | 11/15/28 | $1007361 |
| 680000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Var Baylor <br> Scott & White Hlth Proj, Ser E (Mandatory put 05/15/26) | 5.00% | 11/15/52 | 682646 |
| 300000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Christus <br> Hlth, Ser B | 5.00% | 07/01/30 | 330669 |
| 950000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity <br> Terrace Proj | 5.00% | 10/01/30 | 1024476 |
| 995000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity <br> Terrace Proj | 5.00% | 10/01/31 | 1085036 |
| 1840000 | Tarrant Cnty TX Hsg Fin Corp Var Nts Wildwood Branch <br> (Mandatory put 02/01/28) | 3.60% | 02/01/43 | 1863492 |
| 500000 | Trophy Club TX Pub Impt Dist #1 Spl Assmnt Rev Ref | 5.00% | 09/01/28 | 513044 |
| 2030000 | TX St Muni Gas Acq & Sply Corp IV, Ser A (Mandatory put <br> 01/01/30) | 5.50% | 01/01/54 | 2168030 |
| 340000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/30 | 374864 |
| 355000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/31 | 395508 |
| 375000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/32 | 422617 |
| 760000 | Williamson Cnty TX Muni Util Dist #10 Ref, BAM | 3.00% | 08/01/26 | 760078 |
|  |  |  |  | 50762804 |
|  | **Utah — 1.8%** | **Utah — 1.8%** | **Utah — 1.8%** |  |
| 650000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/26 | 656538 |
| 1300000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 1340832 |
| 700000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 737720 |
| 1000000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/29 | 1050625 |
| 2000000 | UT Cnty UT Hosp Rev IHC Hlth Svcs Inc, Ser C (c) | 3.35% | 05/15/58 | 2000000 |
| 1000000 | UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A | 5.00% | 09/01/30 | 1047549 |
| 625000 | UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A | 5.00% | 09/01/31 | 654070 |
| 2000000 | UT St Hsg Corp Mf Rev Var Silos On 500 (Mandatory put <br> 08/01/27) | 3.70% | 08/01/43 | 2011218 |
|  |  |  |  | 9498552 |
|  | **Vermont — 0.3%** | **Vermont — 0.3%** | **Vermont — 0.3%** |  |
| 100000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc <br> Remk, AMT (Mandatory put 04/03/28) (a) | 4.63% | 04/01/36 | 101621 |
| 1000000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Draw Down <br> Casella Wste Sys Inc Proj, Ser A-2, AMT (Mandatory put <br> 06/01/32) (a) | 4.38% | 06/01/52 | 1022921 |
| 700000 | VT St Hsg Fin Agy Non Ace, Ser B | 3.75% | 11/01/32 | 700569 |
|  |  |  |  | 1825111 |
|  | **Virginia — 1.6%** | **Virginia — 1.6%** | **Virginia — 1.6%** |  |
| 2500000 | Fairfax Cnty VA Redev & Hsg Auth Mf Hsg Rev Var Dominion <br> Square N Proj (Mandatory put 01/01/28) | 5.00% | 01/01/45 | 2576221 |
| 600000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref <br> Westminster Canterbury Proj | 5.00% | 10/01/30 | 612974 |
| 1000000 | Louisa VA Indl Dev Auth Poll Control Rev Var VA Elec & Pwr Co <br> Proj Remk, Ser A (Mandatory put 10/01/27) | 3.65% | 11/01/35 | 1015728 |
| 2000000 | Richmond VA Redev & Hsg Auth Mf Rev Var Walmsley Gardens <br> (Mandatory put 09/01/28) | 3.45% | 09/01/46 | 2022730 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Virginia (Continued)** | **Virginia (Continued)** | **Virginia (Continued)** |  |
| $1000000 | VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express <br> Lanes LLC Proj, AMT | 5.00% | 07/01/38 | $1055583 |
| 1550000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Temps 50Sm <br> Westminster Canterbury on Chesapeake Bay, Ser B-3 | 5.38% | 09/01/29 | 1568019 |
|  |  |  |  | 8851255 |
|  | **Washington — 0.7%** | **Washington — 0.7%** | **Washington — 0.7%** |  |
| 120000 | Energy NW WA Elec Rev Ref Proj 1, Ser A | 5.00% | 07/01/26 | 121377 |
| 1500000 | Port of Seattle WA Rev Intermediate Lien, Ser B, AMT | 5.00% | 10/01/31 | 1672151 |
| 1000000 | Port of Seattle WA Rev Intermediate Lien, Ser D, AMT | 5.00% | 05/01/27 | 1028380 |
| 500000 | Port of Seattle WA Rev Ref 1st Lien, Ser B, AMT | 5.00% | 10/01/28 | 501715 |
| 100000 | WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/27 | 103728 |
| 350000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights <br> Proj, Ser A | 5.00% | 07/01/27 | 358886 |
|  |  |  |  | 3786237 |
|  | **West Virginia — 0.8%** | **West Virginia — 0.8%** | **West Virginia — 0.8%** |  |
| 1000000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Amos Proj <br> Remk, Ser A, AMT (Mandatory put 09/01/28) | 3.30% | 01/01/41 | 1010345 |
| 2000000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Appalachian Pwr <br> Comp Amos Proj Remk, Ser B (Mandatory put 06/01/28) | 3.70% | 12/01/42 | 2039265 |
| 1000000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Ref Appalachian <br> Pwr Co Remk, Ser 2015A (Mandatory put 06/15/28) | 3.38% | 03/01/40 | 1013545 |
|  |  |  |  | 4063155 |
|  | **Wisconsin — 1.4%** | **Wisconsin — 1.4%** | **Wisconsin — 1.4%** |  |
| 1750000 | Pub Fin Auth WI Edu Rev Pinecrest Acdmy NV Pinecrest Acdmy <br> Springs Cmps, Ser A (a) | 4.00% | 07/15/33 | 1758074 |
| 125000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a) | 3.00% | 12/01/26 | 122986 |
| 4210000 | Pub Fin Auth WI Poll Control Rev Var Ref Duke Energy Progress <br> Proj, Ser A-1 (Mandatory put 10/01/26) | 3.30% | 10/01/46 | 4222587 |
| 325000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt <br> Homes, Ser A | 4.00% | 10/01/29 | 335994 |
| 390000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Rtmnt <br> Homes, Ser A | 4.00% | 10/01/31 | 408139 |
| 390000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Rtmnt <br> Homes, Ser A | 4.00% | 10/01/32 | 406355 |
| 400000 | Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.00% | 06/15/30 | 431926 |
|  |  |  |  | 7686061 |
|  | **Wyoming — 0.2%** | **Wyoming — 0.2%** | **Wyoming — 0.2%** |  |
| 250000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref <br> Electrical Sys Proj | 5.00% | 06/01/26 | 252034 |
| 755000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref <br> Electrical Sys Proj | 5.25% | 06/01/37 | 849170 |
|  |  |  |  | 1101204 |
|  | **Total Investments — 99.5%** | **Total Investments — 99.5%** | **Total Investments — 99.5%** | 535549273 |
|  | (Cost $528,195,345) | (Cost $528,195,345) | (Cost $528,195,345) |  |
|  | **Net Other Assets and Liabilities — 0.5%** | **Net Other Assets and Liabilities — 0.5%** | **Net Other Assets and Liabilities — 0.5%** | 2509828 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $538059101 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

**Futures Contracts at January 31, 2026** (See Note 2C - Futures Contracts in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Futures Contracts Short** | **Number of** <br>**Contracts**<br>| **Expiration** <br>**Date**<br>| **Notional** <br>**Value**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)/** <br>**Value**<br>|
| Ultra 10-Year U.S. Treasury Notes | 37 | Mar-2026 | &nbsp;&nbsp; $(4223781)<br>| &nbsp;&nbsp; $(14453)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) This
 security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally
 to qualified
 institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to
 be liquid by First Trust Advisors L.P., the Fund's advisor. Although market instability can result in periods of increased overall market
 illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective
 judgment. At January 31, 2026, securities noted as such amounted to $26,117,723 or 4.9% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) When-issued
 security. The interest rate shown reflects the rate in effect at January 31, 2026. Interest will begin accruing on the security's
 first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;(c) Variable
 rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Zero
 coupon security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| BANS | – Bond Anticipation Notes |
| CABS | – Capital Appreciation Bonds |
| COPS | – Certificates of Participation |
| NATL-RE | – National Public Finance Guarantee Corp. |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Municipal Bonds\* | &nbsp;&nbsp; $535549273 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $535549273 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Futures Contracts\*\* | &nbsp;&nbsp; $(14453)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(14453)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for state and territory breakout.

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

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 100.2%** | **MUNICIPAL BONDS — 100.2%** | **MUNICIPAL BONDS — 100.2%** | **MUNICIPAL BONDS — 100.2%** | **MUNICIPAL BONDS — 100.2%** |
|  | **Alabama — 4.7%** | **Alabama — 4.7%** | **Alabama — 4.7%** |  |
| $550000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 <br> (Mandatory put 10/01/26) | 4.00% | 10/01/49 | $553634 |
| 1725000 | Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No 7, <br>Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1744049 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No 6, Ser B <br> (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1011043 |
| 850000 | Black Belt Energy Gas Dist AL Gas Proj Rev Ref Gas Proj, Ser D | 5.00% | 08/01/26 | 859161 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Proj Rev Ref Gas Proj, Ser D | 5.00% | 08/01/27 | 1032238 |
| 800000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F | 5.00% | 12/01/27 | 827325 |
| 2000000 | Mobile AL Indl Dev Brd Poll Control Rev Var AL Pwr Co Barry <br> Plant Remk (Mandatory put 03/12/26) | 3.30% | 07/15/34 | 2001285 |
| 500000 | SE Energy Auth A Cooperative, Ser E | 5.00% | 10/01/27 | 518773 |
| 500000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser B | 5.00% | 07/01/26 | 503600 |
| 500000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser B | 5.00% | 01/01/27 | 507616 |
| 330000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser C | 5.00% | 08/01/26 | 333475 |
| 555000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser C | 5.00% | 02/01/27 | 566213 |
| 750000 | Univ of S AL Univ Rev Ref, Ser C | 5.00% | 04/01/26 | 753103 |
|  |  |  |  | 11211515 |
|  | **California — 2.4%** | **California — 2.4%** | **California — 2.4%** |  |
| 1000000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passanger <br> Rail Proj, Ser C, AMT (Mandatory put 11/02/26) (a) | 3.50% | 01/01/65 | 1000488 |
| 1500000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj <br> Remk, Ser B, AMT (Mandatory put 07/15/26) | 3.25% | 07/01/51 | 1500280 |
| 1790000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl <br> Arpt P3 Proj, Ser C, AMT | 5.00% | 05/15/27 | 1845126 |
| 1500000 | Los Angeles CA Trans | 5.00% | 06/25/26 | 1517251 |
|  |  |  |  | 5863145 |
|  | **Colorado — 2.7%** | **Colorado — 2.7%** | **Colorado — 2.7%** |  |
| 1000000 | Adams & Arapahoe Cntys Co Jt Sch Dist #28J Aurora | 5.50% | 12/01/26 | 1027371 |
| 1235000 | CO St Edu Loan Prog Trans Edu Loan Prg, Ser-A | 5.00% | 06/30/26 | 1248524 |
| 250000 | CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs | 5.00% | 12/01/26 | 253601 |
| 255000 | CO St Hlth Facs Auth Rev Ref, Ser A | 5.00% | 05/15/27 | 260946 |
| 1460000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/26 | 1488759 |
| 500000 | Denver City & Cnty CO Sch Dist #1, Ser A | 5.00% | 12/01/26 | 511598 |
| 660000 | Park Creek Met Dist CO Ltd Property Tax Supported Rev Sr Ref, <br> AG | 5.00% | 12/01/26 | 673220 |
| 1000000 | Park Creek Met Dist CO Ltd Property Tax Supported Rev Sr Ref, <br> AG | 5.00% | 12/01/27 | 1045624 |
|  |  |  |  | 6509643 |
|  | **Connecticut — 0.5%** | **Connecticut — 0.5%** | **Connecticut — 0.5%** |  |
| 1250000 | Hartford CT Spl Oblig Ref | 5.00% | 07/15/26 | 1265419 |
|  | **Delaware — 0.2%** | **Delaware — 0.2%** | **Delaware — 0.2%** |  |
| 400000 | DE St Hlth Facs Auth Rev Christiana Care Hlth Sys (b) | 5.00% | 10/01/26 | 406570 |
|  | **District of Columbia — 2.0%** | **District of Columbia — 2.0%** | **District of Columbia — 2.0%** |  |
| 1145000 | Dist of Columbia Hsg Fin Agy Mf Hsg Rev Var Parcel <br> 42 Apartments Proj Remk (Mandatory put 09/01/26) | 2.88% | 09/01/41 | 1145532 |
| 1000000 | Dist of Columbia Hsg Fin Agy Mf Hsg Rev Var Paxton Proj Remk <br> (Mandatory put 06/01/26) | 3.35% | 09/01/40 | 1001323 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **District of Columbia (Continued)** | **District of Columbia (Continued)** | **District of Columbia (Continued)** |  |
| $1500000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/26 | $1525303 |
| 1200000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/26 | 1220242 |
|  |  |  |  | 4892400 |
|  | **Florida — 6.7%** | **Florida — 6.7%** | **Florida — 6.7%** |  |
| 1500000 | Brevard Cnty FL Hsg Fin Auth Mf Hsg Var Emerald Place <br> Apartments (Mandatory put 02/01/27) | 3.30% | 02/01/28 | 1508805 |
| 525000 | Broward Cnty FL Port Facs Rev, AMT | 5.00% | 09/01/27 | 542180 |
| 1675000 | Broward Cnty FL Sch Dist, TANS | 4.00% | 06/25/26 | 1686000 |
| 250000 | FL Dev Fin Corp Hlthcare Facs Rev Tampa General Hosp Proj, Ser <br> A (b) | 5.00% | 08/01/27 | 259191 |
| 1000000 | FL St Mid Bay Bridge Auth Ref First Sr Lien, AG | 5.00% | 10/01/26 | 1015539 |
| 645000 | FL St Muni Pwr Agy Ref All Requirements Pwr Sply Proj, Ser A | 5.00% | 10/01/26 | 655751 |
| 1000000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev, Ser A, AMT (Pre-<br> refunded maturity 10/01/26) | 5.00% | 10/01/41 | 1015406 |
| 695000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser <br> A-1, AG | 5.00% | 05/01/27 | 714205 |
| 500000 | Lakeland FL Capital Impt Rev Ref, Ser A | 5.00% | 10/01/26 | 508734 |
| 510000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ of <br> Miami, Ser A | 5.00% | 04/01/26 | 512000 |
| 2690000 | Miami-Dade Cnty FL Sch Brd Ref, Ser A, COPS | 5.00% | 05/01/26 | 2707521 |
| 2000000 | Miami-Dade Cnty FL Wtr & Swr Rev Ref, Ser B | 5.00% | 10/01/26 | 2035469 |
| 750000 | Palm Beach Cnty FL Sch Brd Ref, Ser A, COPS | 5.00% | 08/01/26 | 760059 |
| 865000 | Pasco Cnty FL Capital Impt Cigarette Tax Allocation H Lee Moffitt <br> Cancer Ctr Proj, Ser A, AG | 5.25% | 09/01/26 | 878403 |
| 750000 | Polk Cnty FL Pub Facs Rev Ref | 5.00% | 12/01/26 | 767022 |
| 500000 | Seminole Cnty FL Sch Dist Sales Tax Rev, AG | 5.00% | 10/01/26 | 509101 |
| 130000 | Triple Creek FL CDD Spl Assmnt Vlgs N&P Proj | 2.50% | 11/01/26 | 128758 |
|  |  |  |  | 16204144 |
|  | **Georgia — 2.3%** | **Georgia — 2.3%** | **Georgia — 2.3%** |  |
| 1600000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj (c) | 3.10% | 11/01/52 | 1600000 |
| 1500000 | Columbus GA Med Ctr Hosp Auth Var Piedmont Hlthcare Inc <br> Proj, Ser A (Mandatory put 07/01/26) | 5.00% | 07/01/54 | 1503096 |
| 1000000 | Fulton Cnty GA Wtr & Swr Rev Ref | 4.00% | 01/01/34 | 1001834 |
| 1500000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 09/01/26) | 4.00% | 03/01/50 | 1508703 |
|  |  |  |  | 5613633 |
|  | **Illinois — 6.0%** | **Illinois — 6.0%** | **Illinois — 6.0%** |  |
| 1000000 | Chicago IL O'Hare Intl Arpt Rev Ref, Ser C, AMT | 5.00% | 01/01/27 | 1020865 |
| 1400000 | Cook Cnty IL High Sch Dist #207 ME Twp, Ser A | 5.00% | 12/01/26 | 1428857 |
| 800000 | Cook Cnty IL Sales Tax Rev Ref | 5.00% | 11/15/27 | 836055 |
| 1175000 | DuPage Cnty IL Forest Preserve Dist | 5.00% | 11/01/26 | 1197671 |
| 1500000 | IL St Fin Auth Rev Prerefunded Ref Ascension Hlth Credit Grp, <br>Ser C (Pre-refunded maturity 02/15/27) | 4.00% | 02/15/36 | 1525496 |
| 1250000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/26 | 1251075 |
| 1500000 | IL St Fin Auth Rev Var Northshore Univ Hlth Sys, Ser C (c) | 3.05% | 08/15/49 | 1500000 |
| 1500000 | IL St Sales Tax Rev Ref, Subser A | 5.00% | 06/15/27 | 1553093 |
| 1000000 | IL St, Ser A | 5.00% | 12/01/26 | 1020306 |
| 1500000 | IL St, Ser B | 5.00% | 12/01/26 | 1530460 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Illinois (Continued)** | **Illinois (Continued)** | **Illinois (Continued)** |  |
| $1115000 | Lemont IL Fire Prot Dist | 5.00% | 12/30/26 | $1141038 |
| 425000 | Plainfield IL Wtr & Swr Sys Rev Ref | 5.00% | 05/01/26 | 427587 |
|  |  |  |  | 14432503 |
|  | **Indiana — 4.0%** | **Indiana — 4.0%** | **Indiana — 4.0%** |  |
| 1500000 | Fort Wayne IN Cmnty Schs | 5.00% | 01/15/27 | 1535353 |
| 350000 | IN Fin Auth Eductnl Facs Rev Taylor Univ Proj | 5.00% | 09/01/26 | 354577 |
| 1500000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, <br> AMT (Mandatory put 03/02/26) | 3.45% | 05/01/28 | 1500343 |
| 500000 | IN St Fin Auth Rev Ref Ascension Sr Credit Grp, Ser A-1 | 5.00% | 11/15/27 | 521462 |
| 365000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/26 | 365506 |
| 1000000 | IN St Muni Pwr Agy Ref, Ser A, AG | 5.00% | 01/01/27 | 1024616 |
| 500000 | N W Allen Cnty IN Schs | 5.00% | 07/15/26 | 505464 |
| 625000 | N W Allen Cnty IN Schs | 5.00% | 01/15/27 | 639493 |
| 1500000 | Perry Twp IN Schs Marion Cnty | 5.00% | 01/15/27 | 1535353 |
| 1500000 | Whiting IN Envrnmntl Facs Rev Ref BP Products N America Inc <br> Proj, Ser A, AMT (Mandatory put 06/05/26) | 5.00% | 12/01/44 | 1511393 |
|  |  |  |  | 9493560 |
|  | **Iowa — 1.0%** | **Iowa — 1.0%** | **Iowa — 1.0%** |  |
| 620000 | IA St Fin Auth Sol Wst Facs Rev Var Sustainable Gevo NW <br> Rng LLC Renewable Natrl Gas Proj, AMT (Mandatory put <br> 04/01/26) | 3.88% | 01/01/42 | 619858 |
| 1735000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 1755659 |
|  |  |  |  | 2375517 |
|  | **Kansas — 0.6%** | **Kansas — 0.6%** | **Kansas — 0.6%** |  |
| 1500000 | Olathe KS Temp Nts, Ser A | 5.00% | 09/01/26 | 1523286 |
|  | **Kentucky — 0.9%** | **Kentucky — 0.9%** | **Kentucky — 0.9%** |  |
| 965000 | Berea KY Eductnl Facs Rev Var Berea Clg Proj, Ser B (c) | 3.20% | 06/01/29 | 965000 |
| 375000 | KY St Property & Bldgs Commn Rev Proj #133, Ser A | 5.00% | 09/01/26 | 380994 |
| 275000 | KY St Property & Bldgs Commn Rev Ref Proj #133, Ser B | 5.00% | 09/01/26 | 279396 |
| 615000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/26 | 620685 |
|  |  |  |  | 2246075 |
|  | **Louisiana — 0.5%** | **Louisiana — 0.5%** | **Louisiana — 0.5%** |  |
| 1110000 | Regl Transit Auth LA Sales Tax Rev Ref, Ser A, AG | 5.00% | 01/01/27 | 1136611 |
|  | **Maine — 0.2%** | **Maine — 0.2%** | **Maine — 0.2%** |  |
| 500000 | ME St Muni Bond Bank Infra Rev Transcap Prog, Ser A | 5.00% | 09/01/26 | 507934 |
|  | **Maryland — 1.9%** | **Maryland — 1.9%** | **Maryland — 1.9%** |  |
| 600000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth <br> Issue, Ser A (b) | 5.00% | 08/15/26 | 607494 |
| 535000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Medstar Hlth <br> Issue, Ser A (b) | 5.00% | 08/15/27 | 554948 |
| 1780000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Meritus Hlth Issue | 5.00% | 07/01/27 | 1842738 |
| 400000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref The Johns Hopkins <br> Hlth Sys Issue, Ser A | 5.00% | 05/15/26 | 403032 |
| 300000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref The Johns Hopkins <br> Hlth Sys Issue, Ser A | 5.00% | 05/15/27 | 310167 |
| 750000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Univ of MD Med <br> Sys Issue, Ser A | 5.00% | 07/01/26 | 757824 |
|  |  |  |  | 4476203 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Massachusetts — 5.4%** | **Massachusetts — 5.4%** | **Massachusetts — 5.4%** |  |
| $1500000 | Fall River MA, BANS | 4.00% | 01/29/27 | $1523099 |
| 1000000 | Hudson MA, BANS | 5.00% | 06/11/26 | 1005167 |
| 1000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.00% | 07/01/26 | 1007736 |
| 450000 | MA St Dev Fin Agy Rev Ref Emerson Clg Issue | 5.00% | 01/01/27 | 457099 |
| 1000000 | MA St Dev Fin Agy Rev Ref-Beth Israel Lahey Hlth Issue, Ser N, <br> AG | 5.00% | 07/01/27 | 1035529 |
| 2000000 | MA St Port Auth Ref, Ser A, AMT | 5.00% | 07/01/27 | 2065969 |
| 1500000 | Peabody MA, BANS | 4.00% | 07/10/26 | 1511083 |
| 1500000 | Quincy MA, BANS | 5.00% | 07/24/26 | 1518678 |
| 1500000 | Salisbury MA, BANS | 4.00% | 09/03/26 | 1514687 |
| 1250000 | Winchester MA, Ser B, BANS | 4.00% | 03/26/26 | 1253235 |
|  |  |  |  | 12892282 |
|  | **Michigan — 1.7%** | **Michigan — 1.7%** | **Michigan — 1.7%** |  |
| 750000 | Grand Rapids MI Wtr Sply Sys Rev Ref | 5.00% | 01/01/27 | 768118 |
| 1250000 | MI St Fin Auth Rev Nts, Ser A-2 | 5.00% | 08/20/26 | 1267691 |
| 1000000 | MI St Fin Auth Rev Ref Pub Lighting Auth Ref Loc Proj, Ser A, <br> BAM | 5.00% | 07/01/27 | 1035529 |
| 1000000 | MI St Hsg Dev Auth Mf Hsg Rev Var Countryside Townhouses <br> (Mandatory put 05/01/27) | 2.92% | 05/01/29 | 1000430 |
|  |  |  |  | 4071768 |
|  | **Minnesota — 0.5%** | **Minnesota — 0.5%** | **Minnesota — 0.5%** |  |
| 725000 | Chaska MN Econ Dev Auth Lease Rev, Ser A | 5.00% | 02/01/26 | 725000 |
| 500000 | MN St Hsg Fin Agy, Ser C | 4.00% | 02/01/27 | 502032 |
|  |  |  |  | 1227032 |
|  | **Missouri — 3.1%** | **Missouri — 3.1%** | **Missouri — 3.1%** |  |
| 855000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Coxhealth <br> Obligated Grp, Ser B | 5.00% | 11/15/26 | 870940 |
| 1000000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Coxhealth <br> Obligated Grp, Ser B | 5.00% | 11/15/27 | 1041675 |
| 1200000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Var Ref BJC Hlth <br> Sys, Ser B (Mandatory put 05/01/26) | 4.00% | 05/01/51 | 1204226 |
| 480000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/26 | 480000 |
| 1750000 | MO St Hwy & Transprtn Commn St Road Rev Third Lien St Road <br> Bonds, Ser A | 5.00% | 05/01/26 | 1761925 |
| 1000000 | N Kansas City MO Sch Dist #74 Ref | 5.00% | 03/01/26 | 1002135 |
| 1000000 | St Louis MO Arpt Rev Ref St Louis Lambert Intl Arpt, Ser C | 5.00% | 07/01/26 | 1010099 |
|  |  |  |  | 7371000 |
|  | **Nebraska — 0.4%** | **Nebraska — 0.4%** | **Nebraska — 0.4%** |  |
| 1000000 | McCook NE, BANS | 4.50% | 09/01/27 | 1012156 |
|  | **Nevada — 0.5%** | **Nevada — 0.5%** | **Nevada — 0.5%** |  |
| 1100000 | Clark Cnty NV Arpt Rev Ref Subord, Ser A | 5.00% | 07/01/26 | 1112390 |
|  | **New Hampshire — 1.5%** | **New Hampshire — 1.5%** | **New Hampshire — 1.5%** |  |
| 3500000 | Natl Fin Auth NH Sol Wst Disp Rev Var Ref Wst Mgmt Inc Proj <br> Remk, Ser A- 3, AMT (Mandatory put 07/01/26) | 4.00% | 07/01/33 | 3503901 |
|  | **New Jersey — 6.7%** | **New Jersey — 6.7%** | **New Jersey — 6.7%** |  |
| 1000000 | Bergen Cnty NJ Impt Auth Nts Cnty Guaranteed Governmental <br> Pooled Proj, Ser A | 4.00% | 05/21/26 | 1005019 |
| 1000000 | Essex Cnty NJ Impt Auth Essex Cnty Family Court Building Proj | 5.00% | 03/17/26 | 1003346 |
| 1000000 | Hudson Cnty NJ Impt Auth Nts Loc Unit Loan Prog, Ser B-1 | 4.00% | 06/24/26 | 1006372 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **New Jersey (Continued)** | **New Jersey (Continued)** | **New Jersey (Continued)** |  |
| $1500000 | Jersey City NJ Redev Agy Nts Bayfront Redev Proj, Ser A | 5.00% | 12/09/26 | $1529766 |
| 1250000 | Metuchen NJ, Ser A, BANS | 4.00% | 07/07/26 | 1259094 |
| 1500000 | Morris Twp NJ, BANS | 3.75% | 09/24/26 | 1512851 |
| 1500000 | New Brunswick NJ, BANS | 5.00% | 04/28/26 | 1509344 |
| 1205000 | Newark NJ Ref, Ser A | 5.00% | 07/15/27 | 1244962 |
| 1000000 | NJ St Covid-19 GO Emergency Bonds, Ser A | 5.00% | 06/01/26 | 1009206 |
| 2000000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (a) | 5.25% | 09/01/26 | 2034721 |
| 1500000 | Voorhees Twp NJ, Ser A, BANS | 4.00% | 09/17/26 | 1514929 |
| 1500000 | Westfield NJ Sch Dist Temp Nts | 4.00% | 09/03/26 | 1514506 |
|  |  |  |  | 16144116 |
|  | **New Mexico — 0.6%** | **New Mexico — 0.6%** | **New Mexico — 0.6%** |  |
| 1000000 | NM Fin Auth Rev Subord Pub Proj, Ser C | 5.00% | 12/15/26 | 1024200 |
| 475000 | NM St Muni Energy Acq Auth Gas Sply Ref | 5.00% | 05/01/26 | 477452 |
|  |  |  |  | 1501652 |
|  | **New York — 6.5%** | **New York — 6.5%** | **New York — 6.5%** |  |
| 1008317 | Amherst NY Centrl Sch Dist, BANS | 4.00% | 08/05/26 | 1017370 |
| 450000 | Batavia NY, BANS | 4.00% | 04/22/26 | 451670 |
| 1500000 | Heuvelton NY Centrl Sch Dist, BANS | 4.00% | 06/18/26 | 1508683 |
| 1030000 | Met Transprtn Auth NY Rev Ref Climate Bond Certified <br> Sustainable, Ser B | 5.00% | 11/15/26 | 1052044 |
| 1357020 | N Syracuse NY Centrl Sch Dist, Ser A, BANS | 4.00% | 07/31/26 | 1367772 |
| 1000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var <br> Ref Sub 2nd Gen Resolution, Subser DD (c) | 3.20% | 06/15/33 | 1000000 |
| 500000 | New York City NY Transitional Fin Auth Rev Var Sub Future Tax <br> Secured-Fiscal 2025, Subser H-2 (c) | 3.20% | 11/01/54 | 500000 |
| 1250000 | NY St Dorm Auth Revs Non St Supported Debt Northwell Hlth <br> Obligated Grp, Ser B-3 (Mandatory put 05/01/26) | 5.00% | 05/01/48 | 1252325 |
| 1250000 | NY St Dorm Auth Revs Non St Supported Debt Sch Districts Rev <br> Bond Fing Prog, Ser A, AG | 5.00% | 10/01/26 | 1273420 |
| 375000 | Port Auth of NY & NJ NY Ref, Ser 242, AMT | 5.00% | 12/01/26 | 382231 |
| 1500000 | Selkirk Fire Dist NY, BANS | 4.25% | 08/28/26 | 1516175 |
| 1500000 | Tonawanda Town NY, BANS | 4.00% | 08/21/26 | 1513911 |
| 1500000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, <br>Ser B-1, BANS | 5.00% | 03/15/27 | 1546684 |
| 1250000 | Waterloo NY Centrl Sch Dist, BANS | 3.75% | 07/30/26 | 1259022 |
|  |  |  |  | 15641307 |
|  | **North Carolina — 2.5%** | **North Carolina — 2.5%** | **North Carolina — 2.5%** |  |
| 1000000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var <br> Atrium Hlth Remk, Ser B (Mandatory put 06/15/27) | 3.25% | 01/15/50 | 1008706 |
| 1500000 | Cumberland Cnty NC Indl Facs & Poll Control Fing Auth Sol WS <br> Var Proj Aero Remk, AMT (Mandatory put 12/01/26) | 3.13% | 12/01/27 | 1501261 |
| 1500000 | NC St Grant Anticipation Rev Ref, GARVEE | 5.00% | 03/01/27 | 1544760 |
| 1490000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/26 | 1498474 |
| 400000 | Sampson Cnty NC Ltd Oblig Ref | 5.00% | 12/01/27 | 417883 |
|  |  |  |  | 5971084 |
|  | **Ohio — 5.3%** | **Ohio — 5.3%** | **Ohio — 5.3%** |  |
| 1810000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/26 | 1833104 |
| 385000 | Franklin Cnty OH Hosp Facs Rev Nationwide Childrens Hosp <br> Ref, Ser A | 5.00% | 11/01/26 | 392486 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Ohio (Continued)** | **Ohio (Continued)** | **Ohio (Continued)** |  |
| $300000 | Franklin Cnty OH Hosp Facs Rev Nationwide Childrens Hosp <br> Ref, Ser A | 5.00% | 11/01/27 | $313441 |
| 280000 | Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj | 5.00% | 01/01/27 | 284290 |
| 300000 | Hamilton Cnty OH Hlth Care Rev Ref Life Enriching Cmntys Proj | 5.00% | 01/01/28 | 309262 |
| 1700000 | Hamilton Cnty OH Hosp Facs Rev Var Ref Trihealth Inc Obligated <br> Grp Proj Remk, Ser B (c) | 3.25% | 08/15/51 | 1700000 |
| 1500000 | Hamilton Cnty OH Sales Tax Paycor Stadium Impt Proj Subord, <br> BANS | 5.00% | 12/01/26 | 1532139 |
| 1750000 | Huber Heights OH, BANS | 5.00% | 06/25/26 | 1766591 |
| 600000 | Milford OH Exempt Vlg Sch Dist Ref | 5.00% | 12/01/26 | 612867 |
| 340000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/26 | 344308 |
| 2000000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, <br>Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 2032367 |
| 1500000 | OH St Air Quality Dev Authamerican Elec Pwr Co Proj Remk, <br>Ser 2014-D | 3.20% | 05/01/26 | 1500050 |
|  |  |  |  | 12620905 |
|  | **Oklahoma — 0.4%** | **Oklahoma — 0.4%** | **Oklahoma — 0.4%** |  |
| 750000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Owasso Pub Sch <br> Proj | 5.00% | 09/01/26 | 760244 |
| 250000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Owasso Pub Sch <br> Proj | 5.00% | 09/01/27 | 259203 |
|  |  |  |  | 1019447 |
|  | **Oregon — 0.4%** | **Oregon — 0.4%** | **Oregon — 0.4%** |  |
| 1000000 | Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A | 5.00% | 08/15/27 | 1037953 |
|  | **Pennsylvania — 3.2%** | **Pennsylvania — 3.2%** | **Pennsylvania — 3.2%** |  |
| 1310000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Bonds | 5.00% | 06/01/26 | 1321447 |
| 1750000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys Oblig <br> Grp, Ser B (Mandatory put 02/15/27) | 5.00% | 04/01/43 | 1773314 |
| 1250000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Ref Rep <br> Svcs Inc Remk, Ser B (Mandatory put 04/01/26) | 2.88% | 12/01/30 | 1250569 |
| 400000 | PA St Econ Dev Fing Auth UPMC Rev Ref UPMC Obligated <br> Grp, Ser B | 5.00% | 03/15/27 | 410832 |
| 995000 | Philadelphia PA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/27 | 1026978 |
| 2000000 | Tender Option Bond Trust Recpts / Ctfs Various States JPM Putters <br> Xm1120, AG (a) (c) | 3.37% | 10/01/26 | 2000000 |
|  |  |  |  | 7783140 |
|  | **Rhode Island — 1.2%** | **Rhode Island — 1.2%** | **Rhode Island — 1.2%** |  |
| 1500000 | Bristol Warren RI Regl Sch Dist, Ser 1, BANS | 5.00% | 06/04/26 | 1512679 |
| 1250000 | South Kingstown RI, Ser 1, BANS | 4.00% | 06/25/26 | 1258073 |
|  |  |  |  | 2770752 |
|  | **South Carolina — 2.6%** | **South Carolina — 2.6%** | **South Carolina — 2.6%** |  |
| 1820000 | Greenville Cnty SC Sch Dist Nts, Ser C | 5.00% | 06/29/26 | 1840073 |
| 1000000 | SC Jobs Econ Dev Auth Envrnmntl Impt Rev Var Intl Paper Co <br> Proj, Ser A, AMT (Mandatory put 04/01/26) | 4.00% | 04/01/33 | 1001198 |
| 1795000 | SC St Assn of Govtl Organizations, Ser B, COPS | 5.00% | 03/02/26 | 1798812 |
| 1500000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Prisma Hlth Obligated <br> Grp, Ser A | 5.00% | 05/01/26 | 1509094 |
|  |  |  |  | 6149177 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **South Dakota — 0.6%** | **South Dakota — 0.6%** | **South Dakota — 0.6%** |  |
| $1045000 | SD St Hlth & Eductnl Facs Auth Ref Vocational Edu Prog (b) | 5.00% | 08/01/26 | $1058215 |
| 475000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty <br> Issue, Ser A | 5.00% | 09/01/26 | 480992 |
|  |  |  |  | 1539207 |
|  | **Tennessee — 2.1%** | **Tennessee — 2.1%** | **Tennessee — 2.1%** |  |
| 1570000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref <br> Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/26 | 1587778 |
| 1000000 | Lewisburg TN Indl Dev Brd Sol Wst Disp Rev Var Ref Wst Mgmt <br> TN Proj Remk, AMT (Mandatory put 05/01/26) | 3.40% | 07/02/35 | 1000000 |
| 1500000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Var Parkwood Villa Apts (Mandatory put 12/01/27) | 3.15% | 12/01/42 | 1507852 |
| 1000000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Var Stone Bridge Lofts Proj Remk, Ser B | 3.35% | 04/01/26 | 1000341 |
|  |  |  |  | 5095971 |
|  | **Texas — 12.1%** | **Texas — 12.1%** | **Texas — 12.1%** |  |
| 255000 | Austin TX Arpt Sys Rev Ref, AMT | 5.00% | 11/15/26 | 259594 |
| 380000 | Austin TX Arpt Sys Rev Ref, AMT | 5.00% | 11/15/27 | 395430 |
| 2055000 | Burleson TX Indep Sch Dist Prerefunded Ref (Pre-refunded <br> maturity 02/01/26) | 4.00% | 08/01/38 | 2055000 |
| 1500000 | Centrl TX Regl Mobility Auth Rev, Ser C, BANS | 5.00% | 01/01/27 | 1504930 |
| 1000000 | Cypress Fairbanks TX Indep Sch Dist, Ser A | 5.00% | 02/15/26 | 1000964 |
| 2000000 | Dallas Fort Worth TX Intl Arpt Rev, Ser A-1, AMT | 5.00% | 11/01/27 | 2079124 |
| 895000 | Eagle Mountain & Saginaw TX Indep Sch Dist Ref, Ser A | 5.00% | 08/15/26 | 908318 |
| 550000 | El Paso TX Indep Sch Dist Ref, Ser B | 5.00% | 08/15/26 | 557262 |
| 1000000 | Harris Cnty Houston TX Sports Auth Rev Ref Sr Lien, Ser A, AG | 5.00% | 11/15/26 | 1019037 |
| 1000000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial <br> Hermann Hlth Sys, Ser C-3 (Mandatory put 12/01/26) | 5.00% | 06/01/32 | 1019615 |
| 1000000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, <br>Ser C, AMT | 5.00% | 07/15/27 | 1017779 |
| 1000000 | Keller TX Indep Sch Dist Ref | 5.00% | 02/15/26 | 1000982 |
| 700000 | Kyle TX, AG | 5.00% | 08/15/26 | 710040 |
| 750000 | Lower CO River TX Auth Rev Ref, Ser A | 5.00% | 05/15/26 | 755684 |
| 600000 | Lower CO River TX Auth Rev Ref, Ser A | 5.00% | 05/15/27 | 620489 |
| 500000 | Lower CO River TX Auth Trans Contract Rev Ref LCRA Trans <br> Svcs Corp Proj, Ser A | 5.00% | 05/15/27 | 517074 |
| 750000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Ref Wst Mgmt <br> Inc Proj Remk, Ser B, AMT (Mandatory put 03/02/26) | 3.45% | 07/01/40 | 750172 |
| 1450000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc <br> Proj Remk, Ser A, AMT (Mandatory put 05/01/26) | 3.45% | 05/01/50 | 1450000 |
| 1000000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Wst Mgmt Inc <br> Proj Remk, Ser A, AMT (Mandatory put 03/02/26) | 3.45% | 05/01/46 | 1000229 |
| 2000000 | N TX Tollway Auth Rev Ref Second Tier Bond Subord, Ser B | 5.00% | 01/01/27 | 2048315 |
| 600000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref <br> Brazos Presbyterian Homes Inc Proj | 5.00% | 01/01/27 | 608812 |
| 500000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref <br> Brazos Presbyterian Homes Inc Proj | 5.00% | 01/01/28 | 515061 |
| 1000000 | Plano TX Indep Sch Dist | 5.00% | 02/15/26 | 1001000 |
| 1170000 | Richardson TX Ctfs Oblig | 5.00% | 02/15/26 | 1171192 |
| 460000 | San Antonio TX Elec & Gas Rev Ref, Ser B | 5.00% | 02/01/27 | 472592 |
| 1500000 | Spring Branch TX Indep Sch Dist | 5.00% | 02/01/26 | 1500000 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal**<br> **Value**<br>| **Description** | **Stated**<br> **Coupon**<br>| **Stated**<br> **Maturity**<br>| **Value** |
| **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** | **MUNICIPAL BONDS (Continued)** |
|  | **Texas (Continued)** | **Texas (Continued)** | **Texas (Continued)** |  |
| $1000000 | TX St Dept of Hsg & Cmnty Affairs Mf Hsg Rev Var Gulfway <br> Manor (Mandatory put 08/01/26) | 3.25% | 08/01/28 | $1000240 |
| 1000000 | TX St Dept of Hsg & Cmnty Affairs Mf Hsg Rev Var Nts Aspen <br> Park (Mandatory put 03/01/26) | 5.00% | 03/01/41 | 1003574 |
| 500000 | Upper Trinity TX Regl Wtr Dist Wtr Rev Ref, BAM | 5.00% | 08/01/26 | 506407 |
| 530000 | Upper Trinity TX Regl Wtr Dist Wtr Rev Ref, BAM | 5.00% | 08/01/27 | 550333 |
|  |  |  |  | 28999249 |
|  | **Utah — 1.0%** | **Utah — 1.0%** | **Utah — 1.0%** |  |
| 300000 | Downtown Revitalization Pub Infra Dist UT Sales First Lien Seg <br> Redev Proj, Ser A, AG | 5.00% | 06/01/27 | 309835 |
| 2000000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/26 | 2020115 |
|  |  |  |  | 2329950 |
|  | **Virginia — 1.0%** | **Virginia — 1.0%** | **Virginia — 1.0%** |  |
| 1000000 | Arlington Cnty VA Indl Dev Auth Mf Rev Var Barcroft Charlie 2 <br> and Barcroft Bravo 5 (Mandatory put 02/01/27) | 3.10% | 12/01/55 | 1000220 |
| 1500000 | Richmond VA Redev & Hsg Auth Mf Rev Var Joyfield at German <br> Sch Road (Mandatory put 12/01/26) | 3.10% | 12/01/55 | 1500912 |
|  |  |  |  | 2501132 |
|  | **Washington — 1.2%** | **Washington — 1.2%** | **Washington — 1.2%** |  |
| 1100000 | King Cnty WA Sch Dist #409 Tahoma Ref | 5.00% | 12/01/26 | 1125241 |
| 1000000 | Port of Seattle WA Rev, Ser A, AMT | 5.00% | 05/01/27 | 1028380 |
| 650000 | WA St Hlth Care Facs Auth Ref Commonspirit Hlth, Ser A | 5.00% | 09/01/26 | 658953 |
|  |  |  |  | 2812574 |
|  | **West Virginia — 0.7%** | **West Virginia — 0.7%** | **West Virginia — 0.7%** |  |
| 1650000 | WV St Hsg Dev Fund Mf Hsg Rev Var Highlawn Place (Mandatory <br> put 02/01/28) | 2.88% | 11/01/28 | 1651314 |
|  | **Wisconsin — 2.4%** | **Wisconsin — 2.4%** | **Wisconsin — 2.4%** |  |
| 1520000 | PMA Levy & Aid Antic Nts Prog WI Nts Anticipation Notes <br> Prog, Ser B | 5.00% | 09/24/26 | 1544080 |
| 750000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 5.00% | 06/01/27 | 771300 |
| 1000000 | Racine WI Prom Nts | 4.50% | 03/15/27 | 1002126 |
| 1200000 | Univ Hosps & Clinics Auth WI Var Ref, Ser C (c) | 3.20% | 04/01/54 | 1200000 |
| 700000 | W Bend WI Jt Sch Dist #1 Prom Nts (b) | 4.00% | 10/01/26 | 707446 |
| 600000 | W Bend WI Jt Sch Dist #1 Prom Nts (b) | 4.00% | 04/01/27 | 611382 |
|  |  |  |  | 5836334 |
|  | **Total Investments — 100.2%** | **Total Investments — 100.2%** | **Total Investments — 100.2%** | 240753951 |
|  | (Cost $240,279,826) | (Cost $240,279,826) | (Cost $240,279,826) |  |
|  | **Net Other Assets and Liabilities — (0.2)%** | **Net Other Assets and Liabilities — (0.2)%** | **Net Other Assets and Liabilities — (0.2)%** | (477692)<br>|
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $240276259 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) This
 security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule
 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally
 to qualified
 institutional buyers. Pursuant to procedures adopted by the Trust's Board of Trustees, this security has been determined to
 be liquid by First Trust Advisors L.P., the Fund's advisor. Although market instability can result in periods of increased overall market
 illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective
 judgment. At January 31, 2026, securities noted as such amounted to $5,035,209 or 2.1% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) When-issued
 security. The interest rate shown reflects the rate in effect at January 31, 2026. Interest will begin accruing on the security's
 first settlement date (see Note 2B - Securities Transactions and Investment Income in the Notes to Financial Statements).

&nbsp;&nbsp;&nbsp;&nbsp;(c) Variable
 rate demand bond. Interest rate is reset periodically by the agent based on current market conditions.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| BANS | – Bond Anticipation Notes |
| COPS | – Certificates of Participation |
| GARVEE | – Grant Anticipation Revenue Vehicle |
| TANS | – Tax Anticipation Notes |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of January 31, 2026 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Total** <br>**Value at** <br>**1/31/2026**<br>| &nbsp;&nbsp;&nbsp; **Level 1** <br>**Quoted** <br>**Prices**<br>| &nbsp;&nbsp;&nbsp; **Level 2** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| &nbsp;&nbsp;&nbsp; **Level 3** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>|
| Municipal Bonds\* | &nbsp;&nbsp; $240753951 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $240753951 | &nbsp;&nbsp;&nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* See Portfolio of Investments for state and territory breakout.

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Assets and Liabilities**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **Short Duration** <br> **Managed** <br> **Municipal ETF** <br>**(FSMB)** <br>| **First Trust** <br> **Ultra Short** <br> **Duration** <br> **Municipal ETF** <br>**(FUMB)** <br>|
| **ASSETS:** |  |  |
| Investments, at value | $535549273 | &nbsp;&nbsp; $240753951 |
| Cash | 3044032 | &nbsp;&nbsp; 1313359 |
| Cash segregated as collateral | 94350 | &nbsp;&nbsp; — |
| Receivables: |  |  |
| Interest | 5392390 | &nbsp;&nbsp; 3026769 |
| Variation margin | 5203 | &nbsp;&nbsp; — |
| Total Assets | 544085248 | &nbsp;&nbsp; 245094079 |
| **LIABILITIES:** |  |  |
| Payables: |  |  |
| Investment securities purchased | 5876247 | &nbsp;&nbsp; 4760189 |
| Investment advisory fees | 149900 | &nbsp;&nbsp; 57631 |
| Total Liabilities | 6026147 | &nbsp;&nbsp; 4817820 |
| **NET ASSETS** | $538059101 | &nbsp;&nbsp; $240276259 |
| **NET ASSETS consist of:** |  |  |
| Paid-in capital | $539751053 | &nbsp;&nbsp; $239567560 |
| Par value | 267500 | &nbsp;&nbsp; 119500 |
| Accumulated distributable earnings (loss) | (1959452)<br>| &nbsp;&nbsp; 589199 |
| **NET ASSETS** | $538059101 | &nbsp;&nbsp; $240276259 |
| **NET ASSET VALUE,** per share | $20.11 | &nbsp;&nbsp; $20.11 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per <br> share)<br>| 26750002 | &nbsp;&nbsp; 11950002 |
| Investments, at cost | $528195345 | &nbsp;&nbsp; $240279826 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Six Months Ended January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **First Trust** <br> **Short Duration** <br> **Managed** <br> **Municipal ETF** <br>**(FSMB)** <br>| **First Trust** <br> **Ultra Short** <br> **Duration** <br> **Municipal ETF** <br>**(FUMB)** <br>|
| **INVESTMENT INCOME:** |  |  |
| Interest | $9034681 | &nbsp;&nbsp; $3477252 |
| Total investment income | 9034681 | &nbsp;&nbsp; 3477252 |
| **EXPENSES:** |  |  |
| Investment advisory fees | 1369894<br>| &nbsp;&nbsp; 503020<br>|
| Other expenses | 34400 | &nbsp;&nbsp; 15216 |
| Total expenses | 1404294 | &nbsp;&nbsp; 518236 |
| Less fees waived by the investment advisor | (92586)<br>| &nbsp;&nbsp; (31797)<br>|
| Net expenses | 1311708 | &nbsp;&nbsp; 486439 |
| **NET INVESTMENT INCOME (LOSS)** | 7722973 | &nbsp;&nbsp; 2990813 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |
| Net realized gain (loss) on investments | 137816 | &nbsp;&nbsp; (17675)<br>|
| Net change in unrealized appreciation (depreciation) on: |  |  |
| Investments | 4191726 | &nbsp;&nbsp; 78372 |
| Futures contracts | (14453)<br>| &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation) | 4177273 | &nbsp;&nbsp; 78372 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 4315089 | &nbsp;&nbsp; 60697 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $12038062 | &nbsp;&nbsp; $3051510 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Changes in Net Assets** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **First Trust Short Duration** <br> **Managed Municipal ETF (FSMB)** | **First Trust Short Duration** <br> **Managed Municipal ETF (FSMB)** | **First Trust Ultra Short Duration** <br> **Municipal ETF (FUMB)** | **First Trust Ultra Short Duration** <br> **Municipal ETF (FUMB)** |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Six Months** <br>**Ended** <br>**1/31/2026** <br> **(Unaudited)**<br>| **Year** <br>**Ended** <br>**7/31/2025** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $7722973 | &nbsp;&nbsp; $13269391 | &nbsp;&nbsp; $2990813 | &nbsp;&nbsp; $5723892 |
| Net realized gain (loss) | 137816 | &nbsp;&nbsp; (896898)<br>| &nbsp;&nbsp; (17675)<br>| &nbsp;&nbsp; (9790)<br>|
| Net change in unrealized appreciation (depreciation) | 4177273 | &nbsp;&nbsp; 2800478 | &nbsp;&nbsp; 78372 | &nbsp;&nbsp; 166239 |
| Net increase (decrease) in net assets resulting from <br> operations<br>| 12038062 | &nbsp;&nbsp; 15172971 | &nbsp;&nbsp; 3051510 | &nbsp;&nbsp; 5880341 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (7721750)<br>| &nbsp;&nbsp; (13375001)<br>| &nbsp;&nbsp; (3085201)<br>| &nbsp;&nbsp; (5988101)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 63186937<br>| &nbsp;&nbsp; 96500213<br>| &nbsp;&nbsp; 35188469<br>| &nbsp;&nbsp; 42194575<br>|
| Cost of shares redeemed | (2001328) <br>| &nbsp;&nbsp; (44906013) <br>| &nbsp;&nbsp; (10046393) <br>| &nbsp;&nbsp; (26134573) <br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| 61185609 | &nbsp;&nbsp; 51594200 | &nbsp;&nbsp; 25142076 | &nbsp;&nbsp; 16060002 |
| Total increase (decrease) in net assets | 65501921 | &nbsp;&nbsp; 53392170 | &nbsp;&nbsp; 25108385 | &nbsp;&nbsp; 15952242 |
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 472557180 | &nbsp;&nbsp; 419165010 | &nbsp;&nbsp; 215167874 | &nbsp;&nbsp; 199215632 |
| End of period | $538059101 | &nbsp;&nbsp; $472557180 | &nbsp;&nbsp; $240276259 | &nbsp;&nbsp; $215167874 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 23700002 | &nbsp;&nbsp; 21100002 | &nbsp;&nbsp; 10700002 | &nbsp;&nbsp; 9900002 |
| Shares sold | 3150000 | &nbsp;&nbsp; 4850000 | &nbsp;&nbsp; 1750000 | &nbsp;&nbsp; 2100000 |
| Shares redeemed | (100000)<br>| &nbsp;&nbsp; (2250000)<br>| &nbsp;&nbsp; (500000)<br>| &nbsp;&nbsp; (1300000)<br>|
| Shares outstanding, end of period | 26750002 | &nbsp;&nbsp; 23700002 | &nbsp;&nbsp; 11950002 | &nbsp;&nbsp; 10700002 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights**

**For a share outstanding throughout each period**

**First Trust Short Duration Managed Municipal ETF (FSMB)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $19.94 | &nbsp;&nbsp;&nbsp;&nbsp; $19.87 | &nbsp;&nbsp;&nbsp;&nbsp; $19.73 | &nbsp;&nbsp;&nbsp;&nbsp; $20.06 | &nbsp;&nbsp;&nbsp;&nbsp; $20.96 | &nbsp;&nbsp;&nbsp;&nbsp; $20.66 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.31<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.54<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.43<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.21<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.27<br>|
| Net realized and unrealized gain (loss) | 0.17<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.08<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.13<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.34) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.88) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.33<br>|
| Total from investment operations | 0.48<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.68<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.67<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.09<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.67) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.31) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.61) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.53) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.41) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.21) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.27) <br>|
| Return of capital | —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.02) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.03) <br>|
| Total distributions | (0.31) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.61) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.53) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.42) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.23) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.30) <br>|
| Net asset value, end of period | $20.11<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.94<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.87<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.73<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.06<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.96<br>|
| **Total return** (b) | 2.44<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.46<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.46<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (3.19)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.92<br> % <br>|
| **Ratios to average net assets/supplemental** <br> **data:**<br>|  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $538059<br>| &nbsp;&nbsp;&nbsp;&nbsp; $472557<br>| &nbsp;&nbsp;&nbsp;&nbsp; $419165<br>| &nbsp;&nbsp;&nbsp;&nbsp; $426132<br>| &nbsp;&nbsp;&nbsp;&nbsp; $302967<br>| &nbsp;&nbsp;&nbsp;&nbsp; $129931<br>|
| Ratio of total expenses to average net assets | 0.56<br> % (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>|
| Ratio of net expenses to average net assets | 0.53<br> % (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.49<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.35<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.43<br> % <br>|
| Ratio of net investment income (loss) to <br> average net assets<br>| 3.10<br> % (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.04<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.76<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.18<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.14<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.33<br> % <br>|
| Portfolio turnover rate (e) | 13<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 51<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 50<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 35<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 16<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during certain
 periods if certain fees had not been waived by the investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the total and net expense ratios would have been 0.55% and 0.51%,
 respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Financial Highlights (Continued)** 

**For a share outstanding throughout each period**

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **Six Months** <br>**Ended** <br>**1/31/2026** <br>**(Unaudited)** | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $20.11 | &nbsp;&nbsp;&nbsp;&nbsp; $20.12 | &nbsp;&nbsp;&nbsp;&nbsp; $19.97 | &nbsp;&nbsp;&nbsp;&nbsp; $19.99 | &nbsp;&nbsp;&nbsp;&nbsp; $20.18 | &nbsp;&nbsp;&nbsp;&nbsp; $20.16 |
| **Income from investment operations:** |  |  |  |  |  |  |
| Net investment income (loss)  | 0.27<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.58<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.56<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.39<br> (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.10<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.12<br>|
| Net realized and unrealized gain (loss) | 0.01<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.02<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.10<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.03) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.19) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.02<br>|
| Total from investment operations | 0.28<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.66<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.36<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.09) <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.14<br>|
| **Distributions paid to shareholders from:** |  |  |  |  |  |  |
| Net investment income | (0.28) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.61) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.51) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.38) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.10) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.12) <br>|
| Net asset value, end of period | $20.11<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.11<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.12<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.97<br>| &nbsp;&nbsp;&nbsp;&nbsp; $19.99<br>| &nbsp;&nbsp;&nbsp;&nbsp; $20.18<br>|
| **Total return** (b) | 1.40<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.01<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.37<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.83<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.45)% <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.72<br> % <br>|
| **Ratios to average net assets/supplemental** <br> **data:**<br>|  |  |  |  |  |  |
| Net assets, end of period (in 000's) | $240276<br>| &nbsp;&nbsp;&nbsp;&nbsp; $215168<br>| &nbsp;&nbsp;&nbsp;&nbsp; $199216<br>| &nbsp;&nbsp;&nbsp;&nbsp; $269545<br>| &nbsp;&nbsp;&nbsp;&nbsp; $285807<br>| &nbsp;&nbsp;&nbsp;&nbsp; $165474<br>|
| Ratio of total expenses to average net assets | 0.46<br> % (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>|
| Ratio of net expenses to average net assets | 0.44<br> % (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.45<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.39<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.25<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.26<br> % <br>|
| Ratio of net investment income (loss) to <br> average net assets<br>| 2.68<br> % (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.89<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.79<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.93<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.56<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.61<br> % <br>|
| Portfolio turnover rate (e) | 62<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 113<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 112<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 121<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 79<br> % <br>| &nbsp;&nbsp;&nbsp;&nbsp; 44<br> % <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Based
 on average shares outstanding.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Total
 return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions
 at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect
 the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated
 for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower during certain
 periods if certain fees had not been waived by the investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Annualized.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Includes
 extraordinary expenses. If these extraordinary expenses were not included, the total and net expense ratios would have been 0.45% and 0.42%,
 respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Portfolio
 turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received
 or delivered from processing creations or redemptions and in-kind transactions.

See Notes to Financial Statements

------

**Notes to Financial Statements**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization**

First Trust Exchange-Traded Fund III (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on January 9, 2008, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act").

This report covers the two funds (each a "Fund" and collectively, the "Funds") listed below, each a diversified series of the Trust and listed and traded on NYSE Arca, Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

First Trust Short Duration Managed Municipal ETF – (ticker "FSMB") <br> First Trust Ultra Short Duration Municipal ETF – (ticker "FUMB")

Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units."

Each Fund is an actively managed exchange-traded fund. The investment objective of each Fund is to seek to provide federally tax-exempt income consistent with capital preservation. Under normal market conditions, each Fund seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes.

There can be no assurance that a Fund will achieve its investment objective. The Funds may not be appropriate for all investors.

**2. Significant Accounting Policies** 

The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

**A. Portfolio Valuation**

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

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

Municipal securities and other debt securities are fair valued on the basis of fair valuations provided by a third-party pricing service approved by the Advisor's Pricing Committee, which may use the following valuation inputs when available:

1)

benchmark yields;

2)

reported trades;

3)

broker/dealer quotes;

4)

issuer spreads;

5)

benchmark securities;

6)

bids and offers; and

7)

reference data including market research publications.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.

Exchange-traded futures contracts are valued at the end of the day settlement price.

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

1)

the credit conditions in the relevant market and changes thereto;

2)

the liquidity conditions in the relevant market and changes thereto;

3)

the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);

4)

issuer-specific conditions (such as significant credit deterioration); and

5)

any other market-based data the Advisor's Pricing Committee considers relevant. In this regard, the Advisor's Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

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

1)

the most recent price provided by a pricing service;

2)

available market prices for the fixed-income security;

3)

the fundamental business data relating to the issuer;

4)

an evaluation of the forces which influence the market in which these securities are purchased and sold;

5)

the type, size and cost of the security;

6)

the financial statements of the issuer;

7)

the credit quality and cash flow of the issuer, based on the Advisor's or external analysis;

8)

the information as to any transactions in or offers for the security;

9)

the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;

10)

the coupon payments;

11)

the quality, value and salability of collateral, if any, securing the security; and

12)

other relevant factors.

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

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

o Quoted prices for similar investments in active markets.

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

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of January 31, 2026, is included with each Fund's Portfolio of Investments.

**B. Securities Transactions and Investment Income**

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. Each Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At January 31, 2026, FSMB and FUMB held $5,899,388 and $4,205,246, respectively, of when-issued or delayed-delivery securities.

**C. Futures Contracts**

The Funds may purchase or sell (i.e., are long or short) exchange-listed futures contracts to hedge against changes in interest rates (interest rate risk). Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Open futures contracts can also be closed out prior to settlement by entering into an offsetting transaction in a matching futures contract. If the Funds are not able to enter into an offsetting transaction, the Funds will continue to be required to maintain margin deposits on the futures contract. When the contract is closed or expires, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired. This gain or loss is included in "Net realized gain (loss) on futures contracts" on the Statements of Operations.

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

If market conditions change unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. The use of futures contracts involves the risk of imperfect correlation in movements in the price of the futures contracts, interest rates and the underlying instruments.

Restricted cash segregated as collateral for futures contracts in the amount of $94,350 for FSMB is shown as "Cash segregated as collateral" on the Statements of Assets and Liabilities.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**D. Dividends and Distributions to Shareholders**

Dividends from net investment income of each Fund, if any, are declared and paid monthly, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by each Fund, if any, are distributed at least annually. Each Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.

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

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2025 were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Distributions <br>paid from <br>Ordinary <br>Income<br>| Distributions <br>paid from <br>Capital <br>Gains<br>| Distributions <br>paid from <br>Tax-Exempt <br>Income<br>| Distributions <br>paid from <br>Return of <br>Capital<br>|
| First Trust Short Duration Managed Municipal ETF | $169208 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $13205793 | &nbsp;&nbsp; $— |
| First Trust Ultra Short Duration Municipal ETF | 73863 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5914238 | &nbsp;&nbsp; — |

---

As of July 31, 2025, the components of distributable earnings on a tax basis for each Fund were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | Undistributed <br>Ordinary <br>Income<br>| Accumulated <br>Capital and <br>Other <br>Gain (Loss)<br>| Net <br>Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust Short Duration Managed Municipal ETF | $62457 | &nbsp;&nbsp; $(9873602)<br>| &nbsp;&nbsp; $3535381 |
| First Trust Ultra Short Duration Municipal ETF | 461756 | &nbsp;&nbsp; (233416)<br>| &nbsp;&nbsp; 394550 |

---

**E. Income Taxes**

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

In addition, each Fund intends to invest in municipal securities to allow it to pay shareholders "exempt dividends" as defined in the Code.

The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2022, 2023, 2024, and 2025 remain open to federal and state audit. As of January 31, 2026, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions.

Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2025, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

---

| | |
|:---|:---|
|  | Non-Expiring <br>Capital Loss <br>Carryforwards<br>|
| First Trust Short Duration Managed Municipal ETF | $9873602 |
| First Trust Ultra Short Duration Municipal ETF | 233416 |

---

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2025, the Funds had no net late year ordinary or capital losses.

As of January 31, 2026, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Tax Cost | Gross <br> Unrealized <br>Appreciation<br>| Gross <br> Unrealized <br>(Depreciation)<br>| Net Unrealized <br>Appreciation <br>(Depreciation)<br>|
| First Trust Short Duration Managed Municipal ETF | $528195345 | &nbsp;&nbsp; $7515051 | &nbsp;&nbsp; $(175576)<br>| &nbsp;&nbsp; $7339475 |
| First Trust Ultra Short Duration Municipal ETF | 240279826 | &nbsp;&nbsp; 509277 | &nbsp;&nbsp; (35152)<br>| &nbsp;&nbsp; 474125 |

---

**F. Expenses**

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

**G. Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is the President and Chief Executive Officer of each Fund. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.

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

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

Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust manages the investment of each Fund's assets and is responsible for the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit, and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, which are paid by each respective Fund. Prior to January 1, 2026, the annual unitary management fee payable by each Fund to First Trust for these services would be reduced at certain levels of each Fund's net assets ("breakpoints") and calculated pursuant to the following schedules:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Breakpoints | FSMB | FUMB |
| Fund net assets up to and including $2.5 billion | 0.55000<br> %<br>| 0.45000<br> %<br>|
| Fund net assets greater than $2.5 billion up to and including $5 billion | 0.53625<br> %<br>| 0.43875<br> %<br>|
| Fund net assets greater than $5 billion up to and including $7.5 billion | 0.52250<br> %<br>| 0.42750<br> %<br>|
| Fund net assets greater than $7.5 billion up to and including $10 billion | 0.50875<br> %<br>| 0.41625<br> %<br>|
| Fund net assets greater than $10 billion | 0.49500<br> %<br>| 0.40500<br> %<br>|

---

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

Effective January 1, 2026, the Advisor has agreed to waive management fees of 0.21% and 0.16% of average daily net assets for FSMB and FUMB, respectively. During any period in which such waivers are in effect, the Funds will not be eligible for any breakpoint discounts. During the six months ended January 31, 2026, the Advisor waived fees of $92,586 and $31,797 for FSMB and FUMB, respectively.

The Trust has multiple service agreements with The Bank of New York Mellon ("BNY"). Under the service agreements, BNY performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNY is responsible for custody of each Fund's assets. As fund accountant and administrator, BNY is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNY is responsible for maintaining shareholder records for each Fund. BNY is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

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

Additionally, the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation, Risk and Regulatory Oversight Committee, the Vice Chair of the Audit Committee, the Lead Independent Trustee and the Vice Lead Independent Trustee are paid annual fees to serve in such capacities, with such compensation, prior to January 1, 2026, allocated pro rata among each fund in the First Trust Fund Complex based on net assets, and effective January 1, 2026, allocated equally among each fund in the First Trust Fund Complex. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the six months ended January 31, 2026, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust Short Duration Managed Municipal ETF | $131224786 | &nbsp;&nbsp; $65693834 |
| First Trust Ultra Short Duration Municipal ETF | 121732179 | &nbsp;&nbsp; 124360650 |

---

For the six months ended January 31, 2026, the Funds had no in-kind transactions.

**5. Derivative Transactions** 

The following table presents the types of derivatives held by FSMB at January 31, 2026, the primary underlying risk exposure and the location of these instruments as presented on the Statements of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| **Derivative** <br>**Instrument**<br>| **Risk** <br>**Exposure**<br>| **Statements of Assets and** <br>**Liabilities Location**<br>| **Value** | **Statements of Assets and** <br>**Liabilities Location**<br>| **Value** |
| **FSMB** |  |  |  |  |  |
| Futures contracts | Interest Rate Risk | &nbsp;&nbsp; Unrealized appreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; Unrealized depreciation on <br> futures contracts\*<br>| &nbsp;&nbsp; $14453 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended January 31, 2026, on FSMB's derivative instruments, as well as the primary underlying risk exposure associated with the instruments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Statements of Operations Location** | **FSMB**  |
| **Interest Rate Risk Exposure** |  |
| Net change in unrealized appreciation <br> (depreciation) on futures contracts<br>| $(14453)<br>|

---

For FSMB, the average notional value of futures contracts outstanding during the six months ended January 31, 2026, which is indicative of the volume of this derivative type, was $1,407,927.

The Funds do not have the right to offset financial assets and financial liabilities related to options contracts on the Statements of Assets and Liabilities.

**6. Creations, Redemptions and Transaction Fees**

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

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

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

**7. Distribution Plan** 

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

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2026.

**8. Indemnification**

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

**9. Subsequent Events**

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

Effective February 1, 2026, the Board of Trustees (the "Board") approved a permanent contractual reduction of the annual unitary management fee for First Trust Short Duration Managed Municipal ETF and First Trust Ultra Short Duration Municipal ETF to 0.34% and 0.29%, of average daily net assets, respectively. In connection with the adoption of the reduced annual unitary management fees, the Board has also approved, effective February 1, 2026, the termination of the temporary fee waivers for the Funds that were put in place on January 1, 2026. Additionally, under each Fund's new fee structure, the Funds will not be eligible for any breakpoint discounts described in the Funds' prospectuses or statements of additional information.

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**January 31, 2026 (Unaudited)**

**Changes in and Disagreements with Accountants (Item 8 of Form N-CSR)**

There were no changes in or disagreements with the Funds' accountants during the six months ended January 31, 2026.

**Proxy Disclosures (Item 9 of Form N-CSR)**

At a special meeting of shareholders of First Trust Exchange-Traded Fund III (the "Trust") that was held on August 12, 2025 (the "Special Meeting"), shareholders of record as of June 9, 2025 (the "Record Date") approved a proposal (the "Proposal") to elect or re-elect, as applicable, each of the eight nominees listed below to the Board of Trustees of the Trust (the "Board"). Shareholders of each series of the Trust that had publicly offered shares as of the Record Date (each, a "fund") voted together with shareholders of the other funds on the Proposal, and the results are set forth below. There were no broker non-votes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| James A. Bowen\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448229817 <br>1692488<br>|
| Thomas J. Driscoll\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448104659 <br>1817646<br>|
| Richard E. Erickson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447812453 <br>2109852<br>|
| Thomas R. Kadlec\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446751895 <br>3170410<br>|
| Denise M. Keefe\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448425408 <br>1496897<br>|
| Robert F. Keith\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447967349 <br>1954956<br>|
| Niel B. Nielson\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447968834 <br>1953471<br>|
| Bronwyn Wright\*\*\* <br>Votes For <br>Votes Withheld<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200751188 <br>249171117<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* This nominee was re-elected to the Board at the Special Meeting.

\*\* This nominee was elected to the Board as a new Trustee at the Special Meeting.

\*\*\* This nominee was elected to the Board at the Special Meeting and had previously been appointed to the Board.

**Remuneration Paid to Directors, Officers, and Others (Item 10 of Form N-CSR)**

Independent Trustees of each Fund are compensated through the unitary management fee paid by each Fund to the advisor and not directly by each Fund. The investment advisory fee paid is included in the Statements of Operations.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

Not applicable for the most recent fiscal half year.

------

(b) The Financial Highlights is included in the Financial Statements and Other Information filed under Item 7(a) of this form.

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

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

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

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

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

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

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

This information is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

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

Not applicable to the Registrant.

**Item 13. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable to the Registrant.

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

Not applicable to the Registrant.

**Item 15. Submission of Matters to a Vote of Security Holders.**

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

**Item 16. Controls and Procedures.**

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

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

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

(a) Not applicable to the Registrant.

(b) Not applicable to the Registrant.

**Item 18. Recovery of Erroneously Awarded Compensation.**

(a) Not applicable to the Registrant.

(b) Not applicable to the Registrant.

**Item 19. Exhibits.**

(a)(1) Not applicable to semi-annual reports on Form N-CSR.

(a)(2) [The certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.](certs_302.htm)

(a)(3) Not applicable to the Registrant.

(a)(4) Not applicable to the Registrant.

(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.](certs_906.htm)

**SIGNATURES**

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

(registrant) First Trust Exchange-Traded Fund III

---

| | |
|:---|:---|
| By (Signature and Title)\* | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

Date: <u> April 13, 2026</u>

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)\* | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

Date: <u> April 13, 2026</u>

---

| | |
|:---|:---|
| By (Signature and Title)\* | &nbsp;&nbsp;&nbsp;/s/ Derek D. Maltbie |
|  | &nbsp;&nbsp;&nbsp;Derek D. Maltbie, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---

Date: <u> April 13, 2026</u>

<sup>\*</sup> Print the name and title of each signing officer under his or her signature.

------

## Ex-99.Cert

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 <br> of the Sarbanes-Oxley Act**

I, James M. Dykas, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund III;

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

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial
reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and

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

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

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

---

| | | |
|:---|:---|:---|
| Date: | April 13, 2026 | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  |  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 <br> of the Sarbanes-Oxley Act**

I, Derek D. Maltbie, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund III;

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

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial
reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and

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

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

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

---

| | | |
|:---|:---|:---|
| Date: | April 13, 2026 | &nbsp;&nbsp;&nbsp;/s/ Derek D. Maltbie |
|  |  | &nbsp;&nbsp;&nbsp;Derek D. Maltbie, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---

## Exhibit 99.906

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906<br> of the Sarbanes-Oxley Act**

I, James M. Dykas, President and Chief Executive Officer of First Trust Exchange-Traded Fund III (the "Registrant"), certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section
13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | April 13, 2026 | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  |  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

I, Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer of First Trust Exchange-Traded Fund III (the "Registrant"), certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section
13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | April 13, 2026 | &nbsp;&nbsp;&nbsp;/s/ Derek D. Maltbie |
|  |  | &nbsp;&nbsp;&nbsp;Derek D. Maltbie, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---