# EDGAR Filing Document

**Accession Number:** 0001424212
**File Stem:** 0001445546-25-006678
**Filing Date:** 2025-10
**Character Count:** 746880
**Document Hash:** e1225f19680d80f02d26140e3ed9c60c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001445546-25-006678.hdr.sgml**: 20251007

**ACCESSION NUMBER**: 0001445546-25-006678

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 41

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20251007

**DATE AS OF CHANGE**: 20251007

**EFFECTIVENESS DATE**: 20251007

**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-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22245
- **FILM NUMBER:** 251379015

**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            |

?xml version='1.0' encoding='ASCII'? 8ddfd2b007249cc

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

------

#### FORM N-CSR

------

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

811-22245

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:

July 31, 2025

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 annual reports transmitted to shareholders pursuant to Rule 30e-1 under the Act.

![TSR - First Trust Fund Logo](images_28895.jpg)

### First Trust Municipal High Income ETF

#### FMHI \| NASDAQ, INC.

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Municipal High Income ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br>of a $10,000 investment** |
| First Trust Municipal High Income ETF | $70 | 0.70% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned -1.26% for the 12 months ended July 31, 2025. The Fund underperformed its blended benchmark, which consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years), and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years). The blended benchmark returned 1.72% for the same Period.

The following key Fund factors impacted the Fund's performance relative to the blended benchmark during the Period:

* **Yield Curve Positioning/Duration**: During the Period, the Fund's overweight allocation to bonds with a stated final maturity of 18+ years was the primary detractor to the Fund's performance relative to the blended benchmark. A secondary detractor to the Fund's performance was the Fund's allocation to bonds with a stated final maturity of 14-18 years. Conversely, the Fund's allocation to bonds with a final maturity of 0-6 years was a positive contributor to the Fund's performance. Regarding effective duration, in general, longer effective duration bonds were detractors to the Fund's performance relative to the blended benchmark, including bonds with an effective duration of 10+years and 7-10 years.

* **Interest Rate Hedge**: During the Period, the use of U.S. Treasury futures to hedge interest rate risk had little impact on the Fund's performance.

* **Credit Rating**: In terms of credit ratings, the Fund's selection of non-rated high yield municipal bonds was the primary contributor to the Fund's underperformance relative to the blended benchmark. In addition, the Fund's selection of BB, BBB and AA rated municipal bonds were detractors to the Fund's performance relative to the blended benchmark.

* **Sector/Industry**: During the Period, the Fund's selection of health care, special tax and local tax general obligation, education, and transportation bonds were detractors to the Fund's performance relative to the blended benchmark. Conversely, the Fund's selection of industrial development bonds was a positive contributor to the Fund's performance compared to the blended benchmark.

* **U.S. Treasury Rate Trends**: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 34 basis points ("bps") and 60 bps, respectively, to 4.37% and 4.90%, respectively.

* **New Issue Supply**: During the Period, primary market supply increased approximately 23.8% to $564.6 billion compared with $456.2 billion a year ago (SIFMA, Bloomberg, Barclays Research).

* **Municipal Credit Yields**: During the Period, according to Municipal Market Data AAA yield curve data, 10-year and 30-year municipal yields increased 50 bps and 99 bps, respectively, to 3.32% and 4.67%, respectively.

* **Municipal Credit Spreads**: During the Period, credit spreads widened for A, BBB, and high yield municipals by approximately 6 bps, 17 bps, and 15 bps, respectively.

* **Industry Fund Flows**: During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $36.9 billion.

#### FUND PERFORMANCE (November 1, 2017 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479291.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br>Inception<br>(11/1/17)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Municipal High Income ETF | -1.26% | 1.26% | 2.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Bond Index | 0.00% | 0.13% | 1.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;Blended Benchmark<sup>(1)</sup> | 1.72% | 1.80% | 2.85% |

---

(1) The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years), which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond High Yield Index; and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond Index.

**Visit www.ftportfolios.com/etf/FMHI for more recent performance information.**

**The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.

Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$743195706 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;624 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$5212678 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;38% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

**Sector Allocation**

---

| | |
|:---|:---|
| Special Assessment | 17.6% |
| Continuing Care Retirement Communities | 13.0% |
| Industrial Development Bond | 9.9% |
| Education | 9.3% |
| Hospital | 6.4% |
| Government Obligation Bond - Limited Tax | 5.4% |
| Airport | 4.4% |
| Gas | 4.3% |
| Government Obligation Bond - Unlimited Tax | 4.2% |
| All Other | 25.5% |

---

**Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_10479301.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.

#### 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_28895.jpg)

### First Trust Horizon Managed Volatility Domestic ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Domestic ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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 YEAR?
(Based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust Horizon Managed Volatility Domestic ETF | $73 | 0.70% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 9.78% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the S&P 500<sup>®</sup> Index, which returned 16.33% for the same Period.

The underperformance over the Period was primarily driven by the defensive objective of the strategy capturing less of the return of the benchmark in a period of large gains for the benchmark.

Additionally, over the Period, a concentrated subset of the largest stocks within the benchmark primarily drove returns. The Fund's systematic strategy avoided holding these companies due to their higher volatility and the inherent risks associated with them. This resulted in underweight allocations to some of the sectors experiencing the most gains such as the Information Technology and Communication Services sectors, and overweight allocations to less volatile sectors such as the Utilities and Industrials sectors.

#### FUND PERFORMANCE (August 24, 2016 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10478997.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (8/24/16)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Horizon Managed Volatility Domestic ETF | 9.78% | 9.44% | 9.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500<sup>®</sup> Index | 16.33% | 15.88% | 14.67% |

---

 **Visit www.ftportfolios.com/etf/HUSV for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$96952548 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;76 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$663534 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;84% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| Cisco Systems, Inc. | 2.4% |
| Teledyne Technologies, Inc. | 2.4% |
| Roper Technologies, Inc. | 2.4% |
| Evergy, Inc. | 2.3% |
| Motorola Solutions, Inc. | 2.2% |
| VeriSign, Inc. | 2.1% |
| Microsoft Corp. | 2.1% |
| Coca-Cola (The) Co. | 2.1% |
| Republic Services, Inc. | 2.0% |
| CME Group, Inc. | 2.0% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_10479007.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_28895.jpg)

### First Trust Horizon Managed Volatility Developed International ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Developed International ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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 YEAR?
(Based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust Horizon Managed Volatility Developed International ETF | $88 | 0.80% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 19.29% for the 12 months ended July 31, 2025. The Fund outperformed its benchmark, the MSCI EAFE Index, which returned 12.77% for the same Period.

The outperformance over the Period was primarily driven by the defensive objective of the strategy, which consisted of multiple drawdowns and recoveries over the Period. By realizing lower losses than the benchmark during pullbacks, but otherwise generating similar returns as the benchmark during recoveries, the strategy was able to outperform over the Period.

#### FUND PERFORMANCE (August 24, 2016 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479039.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (8/24/16)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Horizon Managed Volatility Developed International ETF | 19.29% | 7.58% | 4.68% |
| &nbsp;&nbsp;&nbsp;&nbsp;MSCI EAFE Index | 12.77% | 10.34% | 7.67% |

---

 **Visit www.ftportfolios.com/etf/HDMV for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$22357827 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;152 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$249503 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;90% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| CLP Holdings Ltd. | 2.1% |
| Hong Kong & China Gas Co., Ltd. | 2.0% |
| CapitaLand Integrated Commercial Trust | 2.0% |
| Singapore Airlines Ltd. | 1.9% |
| Telstra Group Ltd. | 1.9% |
| CapitaLand Ascendas REIT | 1.8% |
| Sino Land Co., Ltd. | 1.7% |
| Coles Group Ltd. | 1.5% |
| Power Assets Holdings Ltd. | 1.5% |
| Wilmar International Ltd. | 1.3% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_10479049.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_28895.jpg)

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

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Horizon Managed Volatility Small/Mid ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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 YEAR?
(Based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust Horizon Managed Volatility Small/Mid ETF | $80 | 0.80% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 0.14% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the S&P 1000<sup>®</sup> Index, which returned 0.69% for the same Period.

The Fund's more defensive profile resulted in shallower drawdowns than the benchmark, but less upside participation. Small and mid-sized stocks in the benchmark generally lagged larger cap stocks over the same Period, as these companies have exhibited characteristics more sensitive to macro-economic uncertainty. As a result, the benchmark was roughly flat over the Period and the Fund delivered a similar return, reflecting limited relative performance dispersion in an environment where size factors overshadowed other drivers.

#### FUND PERFORMANCE (April 6, 2020 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479081.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (4/6/20)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Horizon Managed Volatility Small/Mid ETF | 0.14% | 8.58% | 11.58% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 1000<sup>®</sup> Index | 0.69% | 12.22% | 16.99% |
| &nbsp;&nbsp;&nbsp;&nbsp;Russell 3000<sup>®</sup> Index | 15.68% | 15.19% | 19.25% |

---

 **Visit www.ftportfolios.com/etf/HSMV for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$26531858 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;151 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$172776 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;66% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| Innoviva, Inc. | 2.2% |
| Post Holdings, Inc. | 1.7% |
| Gaming and Leisure Properties, Inc. | 1.5% |
| Agree Realty Corp. | 1.4% |
| Four Corners Property Trust, Inc. | 1.4% |
| LTC Properties, Inc. | 1.3% |
| OGE Energy Corp. | 1.3% |
| IDACORP, Inc. | 1.3% |
| New Jersey Resources Corp. | 1.3% |
| AptarGroup, Inc. | 1.3% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_10479091.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_28895.jpg)

### First Trust Merger Arbitrage ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Merger Arbitrage ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment<sup>(1)</sup>** | **Costs paid as a percentage<br> of a $10,000 investment<sup>(1)</sup>** |
| First Trust Merger Arbitrage ETF | $170 | 1.65% |

---

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

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 5.46% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the S&P Merger Arbitrage Total Return Index, which returned 8.08% for the same Period.

This underperformance was driven by differences in how the Fund's portfolio is managed compared to the benchmark. Our Mergers & Acquisitions ("M&A") underwriting model continues to prioritize announced merger transactions with strong market-implied closure probabilities due to lack of tariff exposure, limited politically driven directionality, manageable antitrust risk, and reasonably short closing timelines. Conversely, the benchmark will hold all pending transactions irrespective of quality and duration to provide broader exposure to the M&A universe. An example of one volatile merger that the Fund avoided due to risk profile, but that the benchmark benefited from during the Period, was Nippon Steel Corporation's ("Nippon") $14.9 billion acquisition of United States Steel Corporation ("X"). The mega deal was originally announced on December 18, 2023. However, President Biden prohibited the X/Nippon transaction from closing via the Committee on Foreign Investment in the United States ("CFIUS") on January 3, 2025. In response, Nippon brought lawsuits claiming that the CFIUS process was unfairly administered in bad faith. On April 7, 2025, President Trump ordered a new review. The deadline for the new CFIUS review was May 21, 2025. CFIUS returned a split recommendation; however, President Trump surprisingly approved the deal. This was a rollercoaster ride, but X (the target company stock) produced a 61% return year-to-date through consummation of the deal on June 18, 2025. Based on our investment criteria, we avoided investing in this merger due to the uncertain political environment and high antitrust risk profile. We strive to deliver relatively steady returns for shareholders compared to the benchmark even if it means potentially underperforming in periods where certain riskier transactions may unexpectedly close, like the X/Nippon example. Our objective is to deliver relatively low-volatility, absolute returns and compound capital for shareholders, which we were able to achieve during the Period.

#### FUND PERFORMANCE (February 4, 2020 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479333.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (2/4/20)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Merger Arbitrage ETF | 5.46% | 2.33% | 1.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P Merger Arbitrage Total Return Index | 8.08% | 4.30% | 3.89% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500<sup>®</sup> Index | 16.33% | 15.88% | 14.42% |

---

 **Visit www.ftportfolios.com/etf/MARB for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$34178371 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;21 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$383862 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;195% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
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 | 53.4% |
| Rights | 0.0% |
| Money Market Funds | 30.4% |
| Net Other Assets and Liabilities | 16.2% |
| Total | 100.0% |

---

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_10479343.jpg)

#### 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_28895.jpg)

### First Trust California Municipal High Income ETF

#### FCAL \| NASDAQ, INC.

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust California Municipal High Income ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust California Municipal High Income ETF | $65 | 0.65% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned -1.14% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the Bloomberg 10 Year California Exempt Index, which returned 1.65% for the same Period.

The following key Fund factors impacted the Fund's performance relative to the benchmark during the Period:

* **Yield Curve Positioning/Duration**: During the Period, the Fund's overweight allocation to bonds with a stated final maturity of 18+ years was the primary detractor to the Fund's performance relative to the benchmark. A secondary detractor to the Fund's performance was the Fund's allocation to bonds with a stated final maturity of 14-18 years. Conversely, the Fund's allocation to bonds with a final maturity of 0-8 years was a positive contributor to the Fund's performance. Regarding effective duration, in general, longer effective duration bonds were detractors to the Fund's performance relative to the benchmark, including bonds with an effective duration of 10+ years and 7-10 years. 

* **Interest Rate Hedge**: During the Period, the use of Treasury futures to hedge interest rate risk had a slightly positive impact on the Fund's performance. 

* **Credit Rating**: The Fund's selection and allocation of AA rated municipal bonds was the primary detrimental factor to the Fund's performance relative to the benchmark. In addition, the Fund's selection of non-rated bonds and A rated bonds was detrimental to the Fund's performance. 

* **Sector/Industry**: During the Period, the Fund's selection of health care, special tax, lease, transportation and education bonds were the primary detractors to the Fund's performance relative to the benchmark. Conversely, the Fund's selection of industrial development bonds was a positive contributor to the Fund's performance compared to the benchmark. 

* **U.S. Treasury Rate Trends**: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 34 basis points ("bps") and 60 bps, respectively, to 4.37% and 4.90%, respectively. 

* **New Issue Supply**: During the Period, primary market supply increased approximately 23.8% to $564.6 billion compared with $456.2 billion a year ago (SIFMA, Bloomberg, Barclays Research). 

* **Municipal Credit Yields**: For the Period, according to Municipal Market Data AAA yield curve data, 10-year and 30-year municipal yields increased 50 bps and 99 bps, respectively, to 3.32% and 4.67%, respectively. 

* **Municipal Credit Spreads**: During the Period, credit spreads widened for A, BBB, and high yield municipals by approximately 6 bps, 17 bps, and 15 bps, respectively. 

* **Industry Fund Flows**: During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $36.9 billion. 

#### FUND PERFORMANCE (June 20, 2017 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479123.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (6/20/17)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust California Municipal High Income ETF | -1.14% | 0.38% | 2.04% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg 10 Year California Exempt Index | 1.65% | 0.14% | 1.79% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Bond Index | 0.00% | 0.13% | 1.76% |

---

 **Visit www.ftportfolios.com/etf/FCAL for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.

Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$197634477 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;273 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$1730909 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;58% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Insured | 13.3% |
| Special Assessment | 13.0% |
| Government Obligation Bond - Unlimited Tax | 9.2% |
| Hospital | 8.1% |
| Certificates of Participation | 7.5% |
| Education | 7.3% |
| Airport | 6.6% |
| Water & Sewer | 6.5% |
| Industrial Development Bond | 5.3% |
| All Other | 23.2% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_10479133.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.

#### 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_28895.jpg)

### First Trust New York Municipal High Income ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust New York Municipal High Income ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust New York Municipal High Income ETF | $65 | 0.65% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned -0.69% for the 12 months ended July 31, 2025. The Fund outperformed its benchmark, the Bloomberg New York 12-17 Years Index, which returned -1.42 % for the same Period.

The following key Fund factors impacted Fund performance relative to the benchmark during the Period:

* **Credit Rating**: The Fund's selection of AA rated, and A rated bonds were the primary contributors to the Fund's outperformance relative to the benchmark. The Fund's allocation to BB rated bonds was the primary detractor to the Fund's performance relative to the benchmark. 

* **Yield Curve Positioning/Duration**: Relative to the benchmark, the allocation to bonds with a stated maturity of 2-8 years, the allocation and selection to bonds 10-12 years, and 16-18 years were the primary factors contributing to the Fund's outperformance. Conversely, the Fund's allocation to bonds in 18+ years and in bonds 12-14 years maturity ranges were the primary detractors to the Fund's performance. Examining effective durations, the Fund's allocation and selection to bonds with durations of 7-10 years and the allocation to bonds in 0-1 years were the primary positive contributors to the Fund's outperformance. The allocation and selection to bonds in 1-3 years was the primary detractor relative to the benchmark. 

* **Interest Rate Hedge**: During the Period, the use of Treasury futures to hedge interest rate risk was a modest negative contributor to the Fund's performance. 

* **Sector/Industry**: During the Period, the allocation and selection to local general obligation and industrial development bonds and the selection in housing bonds were the primary sources of the Fund's outperformance. The selection of healthcare bonds was the primary detractor to the Fund's performance. 

* **U.S. Treasury Rate Trends**: During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 34 basis points ("bps") and 60 bps, respectively, to 4.37% and 4.90%, respectively. 

* **New Issue Supply**: During the Period, primary market supply increased approximately 23.8% to $564.6 billion compared with $456.2 billion a year ago (SIFMA, Bloomberg, Barclays Research). 

* **Municipal Credit Yields**: During the Period, according to Municipal Market Data AAA yield curve data, 10-year and 30-year municipal yields increased 50 bps and 99 bps, respectively, to 3.32% and 4.67%, respectively. 

* **Municipal Credit Spreads**: During the Period, credit spreads widened for A, BBB, and high yield municipals by approximately 6 bps, 17 bps, and 15 bps, respectively. 

* **Industry Fund Flows**: During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $36.9 billion. 

#### FUND PERFORMANCE (May 12, 2021 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479165.jpg)

---

| | | |
|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **Since<br> Inception<br> (5/12/21)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust New York Municipal High Income ETF | -0.69% | -0.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal New York 12-17 Years Index | -1.42% | -0.36% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Bond Index | 0.00% | -0.29% |

---

 **Visit www.ftportfolios.com/etf/FMNY for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.

Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$20608749 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;75 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$128614 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;32% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Higher Education | 13.7% |
| Dedicated Tax | 10.4% |
| Government Obligation Bond - Unlimited Tax | 8.1% |
| Utility | 8.0% |
| Industrial Development Bond | 7.8% |
| Insured | 7.3% |
| Water & Sewer | 7.2% |
| Housing | 5.1% |
| Airport | 4.7% |
| All Other | 27.7% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_10479175.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.

#### 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_28895.jpg)

### First Trust Short Duration Managed Municipal ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Short Duration Managed Municipal ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust Short Duration Managed Municipal ETF | $56 | 0.55% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 3.46% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the Bloomberg Municipal Short (1-5) Year Index, which returned 3.91% for the same Period.

The following key Fund factors impacted performance relative to its benchmark during the Period:

* **Yield Curve Positioning/Duration:** In terms of bonds' final maturity dates, the Fund's allocation in 6-8 years maturity range, as well as selection in bonds in the 0-2 years and 2-4 years maturity range were the primary detractors to the Fund's performance. As to duration, the Fund's selection of bonds with effective durations of 0-1 years and 5-7 years were the primary detractors to the Fund's performance relative to the benchmark. 

* **Credit Rating:** In terms of credit ratings, the selection of bonds rated A and AA were the primary detractors to the Fund's performance relative to the benchmark. 

* **Interest Rate Hedge:** During the Period, the use of U.S. Treasury futures to hedge interest rate risk had a slightly positive impact on the Fund's performance. 

* **Sector/Industry:** In terms of sector exposure, the selection in Health Care and Industrial Development bonds were the primary sources of underperformance relative to the benchmark. 

* **U.S. Treasury Rate Trends:** During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 34 basis points ("bps") and 60 bps, respectively, to 4.37% and 4.90%, respectively. 

* **New Issue Supply:** During the Period, primary market supply increased approximately 23.8% to $564.6 billion compared with $456.2 billion a year ago (SIFMA, Bloomberg, Barclays Research). 

* **Municipal Credit Yields:** During the Period, according to Municipal Market Data AAA yield curve data, 10-year and 30-year municipal yields increased 50 bps and 99 bps, respectively, to 3.32% and 4.67%, respectively. 

* **Municipal Credit Spreads:** During the Period, credit spreads widened for A, BBB, and high yield municipals by approximately 6 bps, 17 bps, and 15 bps, respectively. 

* **Industry Fund Flows:** During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $36.9 billion. 

#### FUND PERFORMANCE (November 1, 2018 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479207.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (11/1/18)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Short Duration Managed Municipal ETF | 3.46% | 1.39% | 2.06% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Short (1-5) Year Index | 3.91% | 1.19% | 1.95% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Bond Index | 0.00% | 0.13% | 2.10% |

---

 **Visit www.ftportfolios.com/etf/FSMB for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.

Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$472557180 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;458 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$2398648 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;45% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
The tables below show the investment makeup of the Fund, representing the percentage of total investments of the Fund.

 **Sector Allocation**

---

| | |
|:---|:---|
| Gas | 13.5% |
| Utility | 12.1% |
| Hospital | 10.4% |
| Industrial Development Bond | 8.9% |
| Housing | 7.7% |
| Airport | 7.5% |
| Continuing Care Retirement Communities | 6.4% |
| Special Assessment | 5.7% |
| Insured | 3.9% |
| All Other | 23.9% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_10479217.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.

#### 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_28895.jpg)

### First Trust Ultra Short Duration Municipal ETF

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

#### ANNUAL SHAREHOLDER REPORT \| July 31, 2025
This annual shareholder report contains important information about the First Trust Ultra Short Duration Municipal ETF (the "Fund") for the year of August 1, 2024 to July 31, 2025 (the "Period"). 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.

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

---

| | | |
|:---|:---|:---|
| **Fund** | **Costs of a $10,000 investment** | **Costs paid as a percentage<br> of a $10,000 investment** |
| First Trust Ultra Short Duration Municipal ETF | $46 | 0.45% |

---

#### HOW DID THE FUND PERFORM LAST YEAR? WHAT AFFECTED THE FUND'S PERFORMANCE?
The Fund returned 3.01% for the 12 months ended July 31, 2025. The Fund underperformed its benchmark, the Bloomberg Municipal Short-Term Index, which returned 3.24% for the same Period.

The following key Fund factors impacted the Fund's performance relative to its benchmark during the Period:

* **Credit Rating:** In terms of credit ratings, the Fund's allocation and selection of AA rated bonds and the selection to A rated bonds were the primary negative contributors to the Fund's performance versus the benchmark. 

* **Years to Maturity:** In terms of the Fund's selection and allocation in years to a bond's final maturity, the Fund's selection of bonds in the 0-2 years maturity range was the primary detractor to the Fund's performance relative to the benchmark. 

* **Effective Duration:** Focusing on the Fund's effective duration, the Fund's selection of bonds with an effective duration of 0-1 years was the primary contributor to the Fund's underperformance relative to the benchmark. 

* **Sector/Industry:** In terms of sector exposure, the Fund's selection in the Industrial Development sector was the main detractor from the Fund's performance relative to the benchmark. 

* **U.S. Treasury Rate Trends:** During the Period, 10-year and 30-year U.S. Treasury yields increased by approximately 34 basis points ("bps") and 60 bps, respectively, to 4.37% and 4.90%, respectively. 

* **New Issue Supply:** During the Period, primary market supply increased approximately 23.8% to $564.6 billion compared with $456.2 billion a year ago (SIFMA, Bloomberg, Barclays Research). 

* **Municipal Credit Yields:** During the Period, according to Municipal Market Data AAA yield curve data, 10-year and 30-year municipal yields increased 50 bps and 99 bps, respectively, to 3.32% and 4.67%, respectively**.** 

* **Municipal Credit Spreads:** During the Period, credit spreads widened for A, BBB, and high yield municipals by approximately 6 bps, 17 bps, and 15 bps, respectively. 

* **Industry Fund Flows:** During the Period, according to data collected by the Investment Company Institute and Bloomberg, fund outflows totaled approximately $36.9 billion. 

#### FUND PERFORMANCE (November 1, 2018 to July 31, 2025)
The performance line graph below shows the performance of a hypothetical $10,000 initial investment in the Fund over a ten-year period (or for the life of the Fund, if shorter). The subsequent account value as of the end of the Period is listed next to the name of the Fund or index, as applicable. The performance table below shows the average annual total returns of the Fund for the past one-, five-, and ten-year periods, as applicable (or for the life of the Fund, if shorter), as of the end of the Period. Both the line graph and performance table compare the Fund's performance to an appropriate broad-based index and may compare to additional indices reflecting the market segment(s) in which the Fund invests over the same periods.

#### Investment Performance of $10,000
![Fund Performance - Growth of 10K](chartimages_10479249.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns (as of July 31, 2025)** | **1 Year** | **5 Year** | **Since<br> Inception<br> (11/1/18)** |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust Ultra Short Duration Municipal ETF | 3.01% | 1.68% | 1.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Short-Term Index | 3.24% | 1.94% | 1.88% |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloomberg Municipal Bond Index | 0.00% | 0.13% | 2.10% |

---

 **Visit www.ftportfolios.com/etf/FUMB for more recent performance information.**

 **The Fund's past performance is not a good predictor of the Fund's future performance.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. The Fund's total returns would have been lower during certain periods if certain fees had not been waived by the investment advisor.

Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.

KEY FUND STATISTICS (As of July 31, 2025)

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$215167874 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;198 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total advisory fee paid** | &nbsp;&nbsp;&nbsp;&nbsp;$892504 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate** | &nbsp;&nbsp;&nbsp;&nbsp;113% |

---

#### WHAT DID THE FUND INVEST IN? (As of July 31, 2025)
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 | 16.7% |
| Insured | 12.5% |
| Hospital | 8.7% |
| Industrial Development Bond | 7.8% |
| Government Obligation Bond - Limited Tax | 7.5% |
| Airport | 7.2% |
| Gas | 5.9% |
| Dedicated Tax | 5.8% |
| Local Housing | 4.6% |
| All Other | 23.3% |

---

 **Credit Quality <sup>(1)</sup>**![Graphical Representation - Allocation 2 Chart](chartimages_10479259.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.

#### 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 to the Registrant.

**Item 2. Code of Ethics.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) The First Trust Exchange-Traded Fund III ("Registrant"), as of the end of the period covered by
 this report, has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer,
 principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed
 by the Registrant or a third party.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(e) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(f) A copy of the code of ethics that applies to the Registrant's principal executive officer, principal
 financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1).

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

The Registrant's Board of Trustees has determined that Thomas J. Driscoll, Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant
 for the audit of the Registrant's annual financial statements or services that are normally provided by the accountant in connection
 with statutory and regulatory filings or engagements were $323,000 for the fiscal year ended 2024 and $296,000 for the fiscal year ended
 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal
 accountant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported
 under paragraph (a) of this Item were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

Audit-Related Fees (Investment Advisor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

Audit-Related Fees (Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant
 for tax return review and debt instrument tax analysis and reporting were $160,802 for the fiscal year ended 2024 and $104,140 for the
 fiscal year ended 2025.

Tax Fees (Investment Advisor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the Registrant's advisor were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

Tax Fees (Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the Registrant's distributor were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.

&nbsp;&nbsp;&nbsp;&nbsp;(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal
 accountant to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year
 ended 2024 and $0 for the fiscal year ended 2025.

All Other Fees (Investment Advisor) -- The aggregate fees billed for products and services provided by the principal accountant to the Registrant's investment advisor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

All Other Fees (Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the Registrant's distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended 2024 and $0 for the fiscal year ended 2025.

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

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

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

---

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

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;Registrant: | &nbsp;&nbsp;Advisor and Distributor: |
| &nbsp;&nbsp;(b) 0% | &nbsp;&nbsp; (b) 0% |
| &nbsp;&nbsp;(c) 0% | &nbsp;&nbsp; (c) 0% |
| &nbsp;&nbsp;(d) 0% | &nbsp;&nbsp; (d) 0% |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees billed by the Registrant's accountant for services rendered to the Registrant,
 and rendered to the Registrant's investment advisor (not including any sub-advisor whose role is primarily portfolio management
 and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control
 with the advisor that provides ongoing services to the Registrant for the fiscal year ended 2024 were $160,802 for the Registrant, $28,600
 for the Registrant's investment advisor and $33,000 for the Registrant's distributor; and for the fiscal year ended 2025 were
 $104,140 for the Registrant, $28,080 for the Registrant's investment advisor and $32,400 for the Registrant's distributor.

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) The Registrant has a separately designated standing audit committee established in accordance with Section
 3(a)(58)(A) of the Securities Exchange Act of 1934 consisting of all the independent directors of the Registrant. The audit committee
 of the Registrant is comprised of: Thomas J. Driscoll, Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith, Niel B.
 Nielson and Bronwyn Wright.

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

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

Annual Financial Statements and Other Information <br> For the Year Ended July 31, 2025

![](imge4a64a301.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)**

**Annual Financial Statements and Other Information**

**July 31, 2025** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_SOI-TOC-ScheduleofInvestments-4456_1) | 1 |
| [Statement of Assets and Liabilities](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_SAL1-TOC-StatementofAssetsandLiabilities-4456_1) | 23 |
| [Statement of Operations](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_SOP1-TOC-StatementofOperations-4456_1) | 24 |
| [Statements of Changes in Net Assets](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_SOC1-TOC-StatementofChanges-4456_1) | 25 |
| [Financial Highlights](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_FIHI-TOC-FinancialHighlights-4456_1) | 26 |
| [Notes to Financial Statements](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_NTF-TOC-NotestoFinancialStatements-4456_1) | 27 |
| [Report of Independent Registered Public Accounting Firm](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_AUD-TOC-RIRPAFirm-4456_1) | 35 |
| [Other Information](#xx_c5c82211-c5eb-40af-8b81-dcdb160d95c6_AI-TOC-AdditionalInformation-4456_1) | 36 |

---

**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**

**July 31, 2025**

&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 — 3.1%** | **Alabama — 3.1%** | **Alabama — 3.1%** |  |
| $3875000 | 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 | $3904484 |
| 530000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory <br> put 06/01/29) | 5.25% | 02/01/53 | 556179 |
| 1340000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put <br> 12/01/28) | 5.50% | 11/01/53 | 1407088 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory <br> put 12/01/30) | 5.25% | 12/01/53 | 1074344 |
| 1500000 | Homewood AL Eductnl Bldg Auth Rev Stdt Hsg & Parking <br> Proj, Ser C | 5.50% | 10/01/49 | 1479881 |
| 1000000 | Mobile AL Indl Dev Brd Sol Wst Disp Rev Var AL Pwr Barry <br> Plant (a) | 3.00% | 06/01/34 | 1000000 |
| 5000000 | Mobile Cnty AL Indl Dev Auth Sol Wst Disp Rev AM/NS <br> Calvert LLC Proj, Ser B, AMT | 4.75% | 12/01/54 | 4372731 |
| 2425000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put <br> 10/01/28) | 4.00% | 11/01/51 | 2436643 |
| 3000000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser A | 5.00% | 11/01/35 | 3094675 |
| 1650000 | Univ of AL at Birmingham Gen Rev Brd of Trustees, Ser B | 3.00% | 10/01/41 | 1306445 |
| 2500000 | Walker Cnty AL Econ & Indl Dev Auth Sol Wst Disp Rev Var AL <br> Pwr Co Plant Gorgas Proj, AMT (a) | 2.90% | 08/01/63 | 2500000 |
|  |  |  |  | 23132470 |
|  | **Arizona — 4.0%** | **Arizona — 4.0%** | **Arizona — 4.0%** |  |
| 1075000 | AZ St Hlth Facs Auth Var Banner Hlth Rmkt, Ser C (a) | 2.80% | 01/01/46 | 1075000 |
| 1790000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (b) | 5.00% | 07/01/39 | 1723347 |
| 610000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (b) | 5.00% | 07/01/49 | 541550 |
| 1000000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, <br>Ser B (b) | 5.00% | 07/01/29 | 1010168 |
| 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 | 1996505 |
| 400000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (b) | 5.00% | 12/15/39 | 385585 |
| 700000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (b) | 5.00% | 12/15/49 | 612557 |
| 1000000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada <br> & St Rose Cmps, Ser A (b) | 5.75% | 07/15/38 | 1005629 |
| 300000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (b) | 5.00% | 07/01/37 | 300728 |
| 1670000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.13% | 07/01/37 | 1673352 |
| 2240000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.25% | 07/01/47 | 2129586 |
| 550000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser D (b) | 4.00% | 07/01/27 | 550723 |
| 365000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/33 | 340802 |
| 385000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/34 | 353185 |
| 950000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/41 | 752929 |
| 1500000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (b) | 4.00% | 07/15/51 | 1047751 |
| 1740000 | 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 | 1440741 |
| 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 | 735583 |
| 1000000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs <br> Proj Auth, Ser B (b) | 5.00% | 07/01/39 | 1001579 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $2035000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs <br> Proj Auth, Ser B (b) | 5.00% | 07/01/49 | $1869710 |
| 260000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (b) | 4.00% | 07/01/26 | 259404 |
| 1000000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (b) | 5.00% | 07/01/47 | 875111 |
| 3000000 | Maricopa Cnty Indl Dev Auth Exempt Facs Rev Comml Metals Co <br> Proj, AMT (b) | 4.00% | 10/15/47 | 2351081 |
| 2000000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Fac Legacy Trad Schs <br> Projs (b) | 5.00% | 07/01/45 | 1866722 |
| 2000000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC <br> Proj, Ser A (b) | 4.00% | 12/01/51 | 1330472 |
| 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 | 102592 |
| 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 | 1045858 |
| 1500000 | Sierra Vista AZ Indl Dev Auth Ed Fac Rev American Leadership <br> Acdmy Proj (b) | 5.00% | 06/15/54 | 1269860 |
|  |  |  |  | 29648110 |
|  | **Arkansas — 0.8%** | **Arkansas — 0.8%** | **Arkansas — 0.8%** |  |
| 3000000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp <br> Proj, AMT | 5.45% | 09/01/52 | 2933583 |
| 1000000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp <br> Proj, AMT | 5.70% | 05/01/53 | 1003908 |
| 2000000 | AR St Dev Fin Auth Indl Dev Rev Sustainable Bonds Hybar Steel <br> Proj, Ser A, AMT (b) | 6.88% | 07/01/48 | 2114672 |
|  |  |  |  | 6052163 |
|  | **California — 3.9%** | **California — 3.9%** | **California — 3.9%** |  |
| 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 | 2643884 |
| 8000000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Cap <br> Apprec Stanislaus, Subser A | (c) | 06/01/46 | 1718600 |
| 250000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable <br> Bond, Ser A (b) | 5.00% | 11/15/51 | 210181 |
| 250000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.25% | 07/01/48 | 242935 |
| 650000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/54 | 583367 |
| 2500000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/42 | 2508872 |
| 3000000 | CA St Infra & Econ Dev Bank Rev Ref Sustainable Bond Sub <br> Brightline W Passenger Proj, Ser A, AMT (Mandatory put <br> 01/01/35) (b) | 9.50% | 01/01/65 | 2676513 |
| 1050000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy <br> Proj, Ser A (b) | 5.00% | 07/01/38 | 1006603 |
| 2000000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (b) | 5.00% | 11/01/46 | 1818252 |
| 775000 | CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.38% | 11/01/45 | 766781 |
| 205000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 208437 |
| 1250000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 1209828 |
| 1000000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 983114 |
| 1300000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 1329381 |
| 1250000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, <br> AMT (b) | 5.00% | 07/01/37 | 1246219 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $550000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/33 | $558059 |
| 1000000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/41 | 944235 |
| 1500000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link <br> Glendale Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1094673 |
| 500000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay <br> Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 372252 |
| 300000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 296558 |
| 450000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 404824 |
| 850000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 5.00% | 09/01/48 | 834279 |
| 3735000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, <br> AMT | 5.00% | 05/01/44 | 3708779 |
| 1615000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital <br> Projs Ref, Ser A | 5.25% | 11/15/42 | 1720048 |
|  |  |  |  | 29086674 |
|  | **Colorado — 5.5%** | **Colorado — 5.5%** | **Colorado — 5.5%** |  |
| 1500000 | Aerotropolis Regl Tranprtn Auth CO Spl Rev (b) | 5.50% | 12/01/44 | 1438275 |
| 1000000 | Aerotropolis Regl Tranprtn Auth CO Spl Rev (b) | 5.75% | 12/01/54 | 968826 |
| 1120000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 974606 |
| 525000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 523334 |
| 1125000 | Canyons Met Dist #5 CO Ref Subord, Ser B | 6.50% | 12/15/54 | 1111970 |
| 1175000 | CCP Met Dist No 3 CO Ref | 5.00% | 12/01/53 | 1091954 |
| 500000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods <br> Proj | 5.00% | 01/01/31 | 501478 |
| 1400000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods <br> Proj | 5.00% | 01/01/37 | 1399938 |
| 950000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/39 | 878289 |
| 1275000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty <br> Proj, Ser A | 5.25% | 05/15/30 | 1301779 |
| 670000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/35 | 640825 |
| 1125000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/41 | 979501 |
| 500000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/48 | 395438 |
| 325773 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada <br> Proj, Ser A (d) (e) | 5.25% | 11/01/32 | 5049 |
| 1120000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/40 | 1201600 |
| 1100000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/45 | 1154783 |
| 1220000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 1232551 |
| 500000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 500511 |
| 1700000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr <br> Bonds, Ser A (b) | 5.00% | 12/01/41 | 1613479 |
| 1510000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr <br> Bonds, Ser A (b) | 5.00% | 12/01/51 | 1327480 |
| 1500000 | Four Corners Busn Impt Dist CO Ltd Tax Supported | 6.00% | 12/01/52 | 1458171 |
| 1000000 | Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A (d) | 6.25% | 12/01/52 | 937580 |
| 575000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 507492 |
| 1000000 | Lanterns Met Dist #3, Ser A-1 | 7.25% | 12/01/53 | 1017869 |
| 1000000 | Meridian Ranch Met Dist 2018 Subdistrict CO | 6.75% | 12/01/52 | 987284 |
| 905000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 731904 |
| 1145000 | Newlin Crossing Met Dist CO, Ser A (b) | 5.38% | 12/01/54 | 1059144 |
| 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) (f) | (c) | 12/15/54 | 2315600 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1000000 | Peak Met Dist #1 CO, Ser A (b) | 5.00% | 12/01/41 | $869899 |
| 1200000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/50 | 1050618 |
| 2470000 | Pinon Pines Met Dist #3 CO Conv, CABS, steps up to 5.88% on <br> 12/01/27 (f) | (c) | 12/01/54 | 2087888 |
| 975000 | Poudre Heights Vly Met Dist CO, Ser A (b) | 5.50% | 12/01/54 | 868098 |
| 1500000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, <br>Ser A (b) | 5.00% | 12/15/41 | 1452640 |
| 2750000 | Red Barn Met Dist CO Ref, Ser A | 5.50% | 12/01/55 | 2638903 |
| 550000 | Sterling Ranch Cmnty Auth Brd CO Supported Rev Ref Sr, Ser A | 6.13% | 12/01/39 | 558767 |
| 1410000 | Sunset Parks Met Dist CO, Ser A (b) | 5.13% | 12/01/54 | 1286445 |
| 900000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 879504 |
| 700000 | W Meadow Met Dist CO Ref Sr Bonds, Ser A (b) | 6.00% | 12/01/38 | 708513 |
|  |  |  |  | 40657985 |
|  | **Connecticut — 0.8%** | **Connecticut — 0.8%** | **Connecticut — 0.8%** |  |
| 800000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 4.00% | 07/01/37 | 767475 |
| 2500000 | CT St Hlth & Eductnl Facs Auth Rev Sustainable Bonds Goodwin <br> Univ Obligated Grp, Ser A1 | 5.00% | 07/01/44 | 2315870 |
| 1000000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.38% | 10/01/45 | 996328 |
| 2200000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.50% | 10/01/55 | 2167313 |
|  |  |  |  | 6246986 |
|  | **Delaware — 0.1%** | **Delaware — 0.1%** | **Delaware — 0.1%** |  |
| 870000 | Bridgeville DE Spl Oblig Heritage Shores Spl Dev Dist (b) | 5.25% | 07/01/44 | 840836 |
| 214000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (b) | 5.00% | 07/01/28 | 216036 |
|  |  |  |  | 1056872 |
|  | **District of Columbia — 0.5%** | **District of Columbia — 0.5%** | **District of Columbia — 0.5%** |  |
| 1470000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/42 | 1474438 |
| 2000000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.50% | 10/01/45 | 2082516 |
|  |  |  |  | 3556954 |
|  | **Florida — 15.3%** | **Florida — 15.3%** | **Florida — 15.3%** |  |
| 705000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the <br> Univ of FL Inc Proj | 4.00% | 10/01/40 | 622669 |
| 100000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple <br> Ridge Phase 4 Proj (b) | 4.30% | 05/01/42 | 88366 |
| 1655000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple <br> Ridge Phase 4 Proj (b) | 4.45% | 05/01/52 | 1371561 |
| 2380000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4 <br> Master Impt Proj (b) | 5.25% | 05/01/43 | 2315853 |
| 600000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2021 | 4.00% | 05/01/52 | 461790 |
| 1000000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2022 | 5.00% | 05/01/53 | 918872 |
| 1000000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/41 | 819214 |
| 500000 | Berry Bay II CDD FL Spl Assmnt Proj, Ser 2024 | 5.20% | 05/01/44 | 467186 |
| 2000000 | Bexley CDD FL Spl Assmnt Rev | 4.88% | 05/01/47 | 1814802 |
| 1600000 | Bridgewater N Cmnty Dev Dist FL Capital Impt Rev | 4.00% | 05/01/42 | 1347087 |
| 1985000 | Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy <br> of Leadership Obligated Grp Proj (b) | 5.00% | 06/15/44 | 1804683 |
| 1700000 | Capital Projs Fin Auth FL Eductnl Facs Rev Ref Navigator Acdmy <br> of Leadership Obligated Grp Proj (b) | 5.00% | 06/15/54 | 1495196 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $525000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc <br> Proj, Ser A (b) | 4.00% | 07/01/51 | $381509 |
| 155000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory <br> Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 155445 |
| 1070000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory <br> Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 1038955 |
| 250000 | Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology <br> Proj, Ser A (b) | 5.00% | 07/01/45 | 233762 |
| 1000000 | Capital Trust Auth FL Eductnl Facs Rev FL Institute of Technology <br> Proj, Ser A (b) | 5.25% | 07/01/50 | 935240 |
| 1000000 | Celebration Pointe Cmnty Dev Dist No 1 FL Spl Assmnt <br> Rev (d) (e) | 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 | 1011664 |
| 4750000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country <br> Utils Proj, Ser A, AMT (b) | 4.00% | 10/01/51 | 3648863 |
| 485000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 488335 |
| 1000000 | Coco Palms FL CDD Spl Assmnt | 5.00% | 05/01/46 | 946776 |
| 1500000 | Connerton E CDD FL Spl Assmnt Area One | 5.25% | 06/15/43 | 1480866 |
| 1000000 | Crosswinds E CDD FL Spl Assmnt Area One Proj | 5.50% | 05/01/44 | 972906 |
| 1500000 | Crosswinds E CDD FL Spl Assmnt Area One Proj | 5.75% | 05/01/54 | 1442970 |
| 600000 | Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (b) | 3.63% | 05/01/40 | 529512 |
| 1640000 | Eden Hills Cmnty Dev Dist FL Spl Assmnt | 4.00% | 05/01/42 | 1414901 |
| 1765000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/51 | 1371625 |
| 2635000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/52 | 2034013 |
| 3040000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 2352201 |
| 720000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (b) | 5.00% | 11/01/29 | 736895 |
| 995000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (b) | 5.50% | 11/01/39 | 1007060 |
| 1250000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 989867 |
| 1385000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt <br> Acdmy Proj, Ser A (b) | 4.00% | 06/30/56 | 856898 |
| 1000000 | FL St Dev Fin Corp Sol Wst Disp Rev Var GFL Solid Waste SE <br> LLC Proj, Ser A, AMT (Mandatory put 10/01/31) (b) | 4.38% | 10/01/54 | 993598 |
| 2000000 | FL St Dev Fin Corp Sol Wst Disp Rev Var Waste Pro USA Inc <br> Proj, AMT (Mandatory put 07/01/26) (b) | 6.13% | 07/01/32 | 2022511 |
| 1005000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty <br> Proj, Ser A (b) | 4.00% | 06/01/41 | 796297 |
| 750000 | FL St Dev Fin Corp Sr SFP Tampa I The Henry Proj, Ser A1 (b) | 5.00% | 06/01/44 | 699311 |
| 500000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (b) | 4.00% | 05/01/40 | 445315 |
| 1750000 | Fort Lauderdale FL Wtr & Swr Rev Enabling Wks Proj, Ser A | 5.50% | 09/01/53 | 1845516 |
| 190000 | Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1 | 4.80% | 05/01/31 | 192340 |
| 300000 | Gardens at Hammock Beach CDD FL Spl Assmnt Area One, Ser 1 | 5.38% | 05/01/44 | 289267 |
| 1560000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 1319593 |
| 2000000 | Halifax FL Hosp Med Ctr Ref | 5.00% | 06/01/36 | 2004683 |
| 440000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 4.70% | 05/01/31 | 445301 |
| 500000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 5.50% | 05/01/44 | 479804 |
| 1000000 | Hamilton Bluff Cmnty Dev Dist FL Spl Assmnt Area One Proj | 5.80% | 05/01/54 | 945348 |
| 500000 | Hillsborough Cnty FL Aviation Auth Tampa Intl Arpt, Ser B, AMT | 5.50% | 10/01/49 | 517374 |
| 520000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Azario Proj | 3.75% | 05/01/40 | 451697 |
| 750000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector <br> Proj Phase 1A | 5.00% | 05/01/38 | 754471 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $765000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Palm Grove <br> Proj | 5.50% | 05/01/55 | $720155 |
| 1325000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev <br> Stewardship Dist Azario Proj | 4.00% | 05/01/50 | 1047647 |
| 1500000 | Langley S CDD FL Spl Assmnt Area One | 5.13% | 05/01/44 | 1416657 |
| 1000000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point (Temps-<br> 65), Ser 2024 B-2 | 4.38% | 11/15/29 | 1006906 |
| 1150000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point <br> Waterside Hlth Proj | 5.00% | 11/15/49 | 1066414 |
| 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 | 289367 |
| 1130000 | Mangrove Point & Mangrove Manor CDD Capital Impt | 4.25% | 05/01/42 | 990064 |
| 2570000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 2564276 |
| 1900000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.25% | 10/01/52 | 1886569 |
| 1880000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1761941 |
| 1500000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area Two | 3.38% | 11/01/41 | 1187464 |
| 1000000 | N Springs FL Impt Dist Parkland Bay Assmt Area (b) | 4.88% | 05/01/38 | 1000735 |
| 2000000 | N Sumter Cnty FL Util Dependent Dist Util Rev Sr Central Sumter <br> Util | 5.00% | 10/01/49 | 1993374 |
| 1500000 | Normandy CDD FL Capital Impt Rev Assmnt Area One (b) | 5.30% | 05/01/44 | 1405548 |
| 1300000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 4.00% | 06/15/40 | 1148801 |
| 1000000 | Palm Beach Cnty FL Rev Sr Bond Provident Grp PBAU Properties <br> II LLC, Ser A (b) | 5.75% | 10/01/55 | 1007303 |
| 465000 | Parkland Preserve CDD FL Spl Assmnt Rev 2019A Spl <br> Assmnts, Ser A | 5.25% | 05/01/39 | 468823 |
| 950000 | Parrish Lakes CDD Capital Impt Rev Assmnt Area Three | 5.50% | 05/01/44 | 910585 |
| 810000 | Pioneer Ranch CDD FL Spl Assmnt | 5.00% | 05/01/44 | 742782 |
| 1000000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary <br> Phosphate Tailings Recovery Proj (e) (g) | 5.88% | 01/01/33 | 550000 |
| 610000 | Pompano Beach FL Rev John Knox Vlg Proj, Ser A | 4.00% | 09/01/41 | 526581 |
| 1050000 | Pompano Beach FL Rev Ref John Knox Vlg Proj | 4.00% | 09/01/50 | 806988 |
| 690000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 5.88% | 12/15/43 | 709677 |
| 995000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 6.13% | 12/15/53 | 1029132 |
| 1730000 | Reunion E FL CDD Spl Assmnt, Ser 2021 | 4.00% | 05/01/51 | 1370142 |
| 390000 | Rivington CDD FL Spl Assmnt Rev 2022 Assmnt Area | 4.00% | 05/01/52 | 298841 |
| 760000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 3.38% | 05/01/31 | 727005 |
| 500000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar's <br> Landing Proj, Ser A | 4.00% | 12/15/36 | 440529 |
| 750000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar's <br> Landing Proj, Ser A | 4.00% | 12/15/41 | 603687 |
| 2765000 | Saltleaf CDD FL Capital Impt Rev | 6.00% | 05/01/56 | 2710181 |
| 1880000 | Sandridge Cmnty Dev Dist FL Spl Assmnt Rev Phase II Proj | 4.30% | 05/01/52 | 1528417 |
| 2000000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 1753773 |
| 2000000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 1612852 |
| 2000000 | Scenic Terrace S CDD FL Spl Assmnt Proj, Ser 2022 | 4.63% | 05/01/53 | 1702556 |
| 1635000 | Scenic Terrace S CDD FL Spl Assmnt Proj, Ser 2022 | 4.50% | 05/01/42 | 1462279 |
| 150000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (b) | 5.00% | 03/01/30 | 150216 |
| 750000 | Seagrove CDD FL Spl Assmnt | 4.88% | 06/15/44 | 692235 |
| 490000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (b) | 5.25% | 11/01/39 | 492248 |
| 1000000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 3.50% | 06/15/41 | 853405 |
| 1945000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 1504944 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $2580000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (b) | 3.50% | 06/15/41 | $2063445 |
| 2000000 | The Heights CDD FL Spl Assmnt Rev CDD | 5.00% | 01/01/50 | 1826255 |
| 835000 | Triple Creek FL CDD Spl Assmnt Vlgs Q&R Proj (b) | 4.00% | 11/01/51 | 642933 |
| 1050000 | Trout Creek CDD FL Capital Impt Rev | 4.00% | 05/01/51 | 810088 |
| 895000 | V-Dana CDD FL Spl Assmnt Area Two 2025 Proj Area | 5.38% | 05/01/45 | 850296 |
| 725000 | Venice FL Vlg on The Isle Proj, Ser A (b) | 5.50% | 01/01/55 | 665192 |
| 1000000 | Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E <br> Proj | 5.38% | 05/01/54 | 955687 |
| 185000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 186233 |
| 3400000 | Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj | 5.25% | 06/01/49 | 3353652 |
| 1495000 | W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1 | 4.63% | 05/01/38 | 1427127 |
| 990000 | W Vlgs FL Impt Dist Unit Dev #10 Assmnt Area One | 5.38% | 05/01/44 | 950175 |
| 900000 | Westside FL CDD Spl Assmnt Rev Ref (b) | 4.13% | 05/01/38 | 822909 |
| 1360000 | Westview S CDD FL Spl Assmnt Area One 2023 Proj Area | 5.38% | 05/01/43 | 1325916 |
| 1210000 | Wildblue CDD FL Spl Assmnt (b) | 4.25% | 06/15/39 | 1075554 |
|  |  |  |  | 113656529 |
|  | **Georgia — 3.9%** | **Georgia — 3.9%** | **Georgia — 3.9%** |  |
| 1000000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, <br>Ser D, AMT | 4.00% | 07/01/37 | 957412 |
| 1000000 | Atlanta GA Dev Auth Convertible Ctfs, Class A, Ser 1, CABS, <br> steps up to 6.50% on 06/15/28 (b) (f) | (c) | 12/15/48 | 850263 |
| 500000 | Atlanta GA Dev Auth Westside Gulch Area Proj, Ser A-1 (b) | 5.00% | 04/01/34 | 498058 |
| 2800000 | Bartow Cnty GA Dev Auth Solid Waste Disp Fac Rev Var GA Pwr <br> Co Plt Bowen Proj, AMT (a) | 2.85% | 11/01/62 | 2800000 |
| 1800000 | Burke Cnty GA Dev Auth Poll Control Rev Adjustable GA Pwr Co <br> Plant Vogtle Proj Remk (a) | 2.85% | 11/01/52 | 1800000 |
| 3000000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj (a) | 2.80% | 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 | 484459 |
| 1750000 | Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy <br> Proj, Ser A (b) | 6.40% | 06/15/53 | 1677794 |
| 1125000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth <br> Sys Inc Proj, Ser A | 5.75% | 04/01/53 | 1173749 |
| 2000000 | Floyd Cnty GA Dev Auth Adj GA Pwr Co Plt Hammond Proj (a) | 2.85% | 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 | 1920411 |
| 1335000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref <br> Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 1346566 |
| 500000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel <br> Second Tier, Ser B (b) | 5.00% | 01/01/36 | 500886 |
| 1750000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 12/01/29) | 4.00% | 09/01/52 | 1752788 |
| 1000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 12/01/28) | 4.00% | 05/01/52 | 1005899 |
| 3660000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 09/01/30) | 5.00% | 09/01/53 | 3869963 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $2000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 12/01/30) | 5.00% | 05/01/54 | $2111737 |
| 1000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser E-1 (Mandatory put <br> 06/01/31) | 5.00% | 12/01/53 | 1056862 |
|  |  |  |  | 28806847 |
|  | **Guam — 0.1%** | **Guam — 0.1%** | **Guam — 0.1%** |  |
| 250000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/35 | 250184 |
| 155000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 147636 |
|  |  |  |  | 397820 |
|  | **Hawaii — 0.3%** | **Hawaii — 0.3%** | **Hawaii — 0.3%** |  |
| 1500000 | HI St Dept of Budget & Fin Spl Purp Rev Ref HI Pacific Univ <br> Proj (b) | 5.00% | 07/01/39 | 1400916 |
| 1000000 | HI St Dept of Budget & Fin Spl Purp Rev Ref HI Pacific Univ <br> Proj (b) | 5.13% | 07/01/43 | 896040 |
|  |  |  |  | 2296956 |
|  | **Idaho — 1.2%** | **Idaho — 1.2%** | **Idaho — 1.2%** |  |
| 1400000 | Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Five (b) | 5.88% | 09/01/53 | 1404830 |
| 1500000 | Avimor Cmnty Infra Dist #1 ID Spl Assmnt Area Six, Ser B (b) | 5.50% | 09/01/53 | 1441634 |
| 900000 | ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (b) | 5.25% | 05/15/51 | 812622 |
| 985000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/25 | 985543 |
| 4000000 | Spring Vly Cmnty Infra Dist #1 Spl Assmnt Area Two (b) | 6.25% | 09/01/53 | 3988477 |
|  |  |  |  | 8633106 |
|  | **Illinois — 3.8%** | **Illinois — 3.8%** | **Illinois — 3.8%** |  |
| 2615000 | Chicago IL Brd of Edu Proj, Ser C | 5.25% | 12/01/35 | 2615017 |
| 300000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 305302 |
| 3500000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 3650283 |
| 1000000 | Chicago IL Brd of Edu Sustainable Bond, Ser E | 5.13% | 12/01/32 | 1000225 |
| 1000000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 1005093 |
| 3090000 | Chicago IL Brd of Edu, Ser D | 5.00% | 12/01/46 | 2755126 |
| 750000 | Chicago IL Chicago Wks, Ser A | 5.50% | 01/01/40 | 765477 |
| 5000000 | Chicago IL O'Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/48 | 4837858 |
| 1300000 | Chicago IL Park Dist Ref, Ser A, BAM | 4.00% | 01/01/32 | 1325065 |
| 1415000 | Cook Cnty IL MF Hsg Rev Deerfield Supportive Living Proj | 6.50% | 01/01/45 | 1361763 |
| 250000 | IL St | 5.50% | 05/01/26 | 255084 |
| 250000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 254029 |
| 250000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 253093 |
| 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 | 100512 |
| 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 | 304339 |
| 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 | 147811 |
| 1750000 | IL St, Ser A | 5.50% | 03/01/47 | 1779057 |
| 2000000 | IL St, Ser C | 5.00% | 11/01/29 | 2082356 |
| 1660000 | Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev <br> Proj, Ser A, COPS (b) | 4.82% | 01/01/41 | 1581743 |
| 1100000 | Lincolnwood IL Tax Incr Allocation Rev NTS Dist 1860 Dev <br> Proj, Ser B, COPS (b) | 5.75% | 12/01/43 | 1084979 |
| 1000000 | S Wstrn IL Dev Auth Envrnmntl Impt Rev US Steel Corp Proj | 5.75% | 08/01/42 | 999976 |
|  |  |  |  | 28464188 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 — 2.3%** | **Indiana — 2.3%** | **Indiana — 2.3%** |  |
| $1410000 | Carmel IN Redev Auth | 3.00% | 07/15/40 | $1201227 |
| 250000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (b) | 5.30% | 01/01/32 | 239901 |
| 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 | 1425421 |
| 535000 | IN St Fin Auth Hlth Fac Rev Margaret Mary Hlth Proj, Ser A | 5.50% | 03/01/44 | 544944 |
| 2000000 | IN St Fin Auth Rev BHI Sr Living, Ser A | 5.25% | 11/15/46 | 1909319 |
| 1250000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.25% | 03/01/50 | 1178532 |
| 2000000 | IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A | 5.00% | 07/01/49 | 1903151 |
| 1250000 | IN St Fin Auth Stdt Hsg Rev Sr Stdt Hsg Proj, Ser A | 5.00% | 07/01/54 | 1171621 |
| 4625000 | IN St Muni Pwr Agy Var Ref Remk, Ser B (a) | 2.75% | 01/01/42 | 4625000 |
| 1700000 | Indianapolis IN Loc Pub Impt Bond Bank Sr Convention Ctr <br> Hotel, Ser E | 6.00% | 03/01/53 | 1734564 |
| 500000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 474554 |
| 500000 | Valparaiso IN Exempt Facs Rev Ref Pratt Paper IN LLC Proj, <br> AMT (b) | 4.88% | 01/01/44 | 467990 |
|  |  |  |  | 16876224 |
|  | **Iowa — 0.8%** | **Iowa — 0.8%** | **Iowa — 0.8%** |  |
| 1600000 | Dallas Ctr IA Grimes Cmnty Sch Dist | 3.00% | 05/01/39 | 1329138 |
| 3000000 | IA St Fin Auth Midwstrn Disaster Area Rev Alcoa Inc Proj | 4.75% | 08/01/42 | 2802629 |
| 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 | 1468159 |
|  |  |  |  | 5599926 |
|  | **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 | 1814391 |
| 175000 | Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & <br> Rec Projs | 5.50% | 09/01/34 | 197556 |
| 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 | 1268042 |
|  |  |  |  | 3279989 |
|  | **Kentucky — 1.9%** | **Kentucky — 1.9%** | **Kentucky — 1.9%** |  |
| 2000000 | Boyle Cnty KY Eductnl Facs Rev Ref Ctr Clg, Ser A | 5.25% | 06/01/43 | 2025181 |
| 875000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, <br> AMT (b) | 4.45% | 01/01/42 | 798051 |
| 1650000 | Jefferson Cnty KY Sch Dist Fin Corp Sch Bldg Rev, Ser B | 3.00% | 12/01/38 | 1398342 |
| 1000000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/41 | 971211 |
| 1500000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser A-1 (Mandatory put <br> 02/01/32) | 5.25% | 04/01/54 | 1608883 |
| 2525000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put <br> 02/01/28) | 4.00% | 02/01/50 | 2536744 |
| 230000 | KY St Univ KY St Univ Proj, BAM, COPS | 4.00% | 11/01/41 | 216301 |
| 1000000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton <br> Hlthcare Inc, Ser A | 4.00% | 10/01/39 | 911448 |
| 3600000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj <br> Sustainable Bond, Ser B-1 (a) | 3.25% | 08/01/61 | 3600000 |
|  |  |  |  | 14066161 |
|  | **Louisiana — 0.9%** | **Louisiana — 0.9%** | **Louisiana — 0.9%** |  |
| 2000000 | LA Pub Facs Auth Rev Acadiana Renaissance Chrt Acdmy Proj (b) | 6.00% | 06/15/59 | 1915317 |
| 200000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 210497 |
| 1000000 | New Orleans LA Sewage Svc Rev, Ser B | 5.00% | 06/01/45 | 986849 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **Louisiana (Continued)** | **Louisiana (Continued)** | **Louisiana (Continued)** |  |
| $1000000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, <br>Ser 2010 (b) | 6.35% | 07/01/40 | $1071766 |
| 1000000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, <br>Ser 2010A (b) | 6.35% | 10/01/40 | 1071605 |
| 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 | 1705072 |
|  |  |  |  | 6961106 |
|  | **Maine — 0.2%** | **Maine — 0.2%** | **Maine — 0.2%** |  |
| 1500000 | ME St Fin Auth Univ of New England Issue | 5.50% | 07/01/50 | 1542382 |
|  | **Maryland — 1.0%** | **Maryland — 1.0%** | **Maryland — 1.0%** |  |
| 1020000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1020289 |
| 175000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.95% | 06/01/27 | 172195 |
| 185000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.05% | 06/01/28 | 181453 |
| 200000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.15% | 06/01/29 | 195110 |
| 190000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.20% | 06/01/30 | 184066 |
| 800000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology <br> Park Proj, Ser B (b) | 4.63% | 07/01/43 | 733185 |
| 1000000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A | 5.38% | 07/01/38 | 1050858 |
| 3675000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Meritus Hlth Issue | 5.25% | 07/01/50 | 3653466 |
|  |  |  |  | 7190622 |
|  | **Massachusetts — 1.1%** | **Massachusetts — 1.1%** | **Massachusetts — 1.1%** |  |
| 1000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.25% | 07/01/50 | 962133 |
| 400000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (b) | 5.00% | 11/15/28 | 413860 |
| 1450000 | MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (b) | 5.00% | 07/01/54 | 1291708 |
| 1000000 | MA St Dev Fin Agy Rev Merrimack Clg Stdt Hsg Proj, Ser A (b) | 5.00% | 07/01/60 | 874933 |
| 500000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainable <br> Bonds, Ser G | 5.25% | 07/01/48 | 486506 |
| 1020000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | 962074 |
| 550000 | MA St Dev Fin Agy Rev Sustainable Bond Boston Med Ctr, Ser D | 5.00% | 07/01/44 | 522993 |
| 2500000 | MA St Dev Fin Agy Sr Living Rev Care Cmntys LLC Obligated <br> Grp, Ser A-1 (b) | 6.50% | 07/15/60 | 2395947 |
|  |  |  |  | 7910154 |
|  | **Michigan — 1.1%** | **Michigan — 1.1%** | **Michigan — 1.1%** |  |
| 1100000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/46 | 1072901 |
| 2000000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/50 | 1905646 |
| 1000000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.25% | 07/01/48 | 1026981 |
| 1750000 | Kentwood MI Econ Dev Corp Ref Holland Home Oblig Grp | 5.00% | 11/15/37 | 1710375 |
| 1500000 | Mattawan MI Consol Sch Dist, Ser I | 5.00% | 05/01/47 | 1498972 |
| 1000000 | MI St Strategic Fund Ltd Oblg Rev Holland Home | 5.00% | 11/15/42 | 920178 |
|  |  |  |  | 8135053 |
|  | **Minnesota — 1.1%** | **Minnesota — 1.1%** | **Minnesota — 1.1%** |  |
| 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 | 574209 |
| 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 | 780249 |
| 1000000 | Brainerd MN Sr Hsg & Hlthcr Rev Pinecrest Cnty Manor Proj, <br>Ser A | 6.00% | 05/01/55 | 966215 |
| 300000 | Brainerd MN Sr Hsg & Hlthcr Rev Pinecrest Cnty Manor Proj, <br>Ser A | 6.00% | 05/01/60 | 284374 |
| 500000 | Eagan MN Chrtr Sch Lease Rev Great Oaks Acdmy, Ser A (b) | 6.38% | 02/01/55 | 467826 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $125000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj | 3.80% | 08/01/27 | $123806 |
| 2450000 | Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Subord <br> Priv Activity, Ser B, AMT | 5.25% | 01/01/42 | 2514647 |
| 300000 | Rochester MN Hlth Care Facs Rev Mayo Clinic, Ser A | 4.25% | 11/15/50 | 271318 |
| 1100000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr <br> Ground Acdmy Proj | 4.25% | 12/01/32 | 1108270 |
| 105000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 105076 |
| 850000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, <br>Ser A | 4.00% | 07/01/41 | 690924 |
| 660000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, <br>Ser A | 4.00% | 07/01/51 | 475566 |
|  |  |  |  | 8362480 |
|  | **Mississippi — 1.0%** | **Mississippi — 1.0%** | **Mississippi — 1.0%** |  |
| 1400000 | Gulfport MS Hosp Fac Rev Memorial Hosp at Gulfport Proj | 5.50% | 07/01/50 | 1414510 |
| 3000000 | MS Busn Fin Corpms Sol Wst Disp Fac & Wstwtr F Var MS Pwr <br> Co Proj, 1st Ser, AMT (a) | 2.75% | 11/01/52 | 3000000 |
| 1020000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc, Ser I (a) | 2.75% | 11/01/35 | 1020000 |
| 1940000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc, Ser L (a) | 2.70% | 11/01/35 | 1940000 |
|  |  |  |  | 7374510 |
|  | **Missouri — 2.2%** | **Missouri — 2.2%** | **Missouri — 2.2%** |  |
| 1875000 | Kansas City MO Indl Dev Auth Econ Activity Tax Rev Historic NE <br> Redev Plan, Ser A-1 (b) | 5.00% | 06/01/54 | 1656410 |
| 500000 | Lees Summit MO Indl Dev Auth Sr Living Facs Rev John Knox <br> Vlg, Ser A | 5.00% | 08/15/51 | 399728 |
| 1000000 | Lees Summit MO Indl Dev Auth Sr Living Facs Rev Ref John <br> Knox Vlg, Ser A | 5.00% | 08/15/39 | 1002914 |
| 925000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref BJC Hlth <br> Sys, Ser A | 4.00% | 07/01/46 | 802525 |
| 550000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs <br> Projs, Ser A, Ser ASR | 5.00% | 02/01/29 | 565484 |
| 1070000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs <br> Projs, Ser A, Ser ASR | 5.00% | 02/01/42 | 1034184 |
| 550000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 543179 |
| 10000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10059 |
| 2045000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.25% | 02/01/48 | 1953388 |
| 1145000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser B | 5.00% | 02/01/46 | 1028925 |
| 1000000 | Phelps Cnty MO Hosp Rev Phelps Hlth (h) | 6.00% | 12/01/55 | 1035423 |
| 730000 | Saint Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship <br> Vlg St Louis Oblig Grp, Ser A | 5.25% | 09/01/53 | 667910 |
| 250000 | St Charles Cnty MO Pub Wtr Sply Dist #2 Pub Wtr Sply Dist No 2, <br> COPS | 4.00% | 12/01/44 | 222567 |
| 3500000 | St Louis Cnty MO Indl Dev Auth Sr Living Facs Ref Friendship <br> Vlg St Louis | 5.00% | 09/01/48 | 3154498 |
| 2000000 | Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra <br> Proj (b) | 6.00% | 10/01/49 | 1889170 |
|  |  |  |  | 15966364 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **Nebraska — 0.2%** | **Nebraska — 0.2%** | **Nebraska — 0.2%** |  |
| $700000 | Douglas Cnty NE Hosp Auth #2 Var Ref Hlth Facs Childrens, <br>Ser A (a) | 2.70% | 08/15/32 | $700000 |
| 750000 | Omaha NE Arpt Auth Arpt Facs, AG, AMT | 5.25% | 12/15/43 | 763654 |
|  |  |  |  | 1463654 |
|  | **Nevada — 0.6%** | **Nevada — 0.6%** | **Nevada — 0.6%** |  |
| 930000 | Clark Cnty NV Sch Dist, Ser B, BAM | 3.00% | 06/15/41 | 732151 |
| 770000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.00% | 03/01/38 | 765905 |
| 985000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.25% | 03/01/48 | 926044 |
| 445000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin <br> Vlg 29 | 5.75% | 06/01/43 | 457749 |
| 500000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin <br> Vlg 29 | 6.00% | 06/01/48 | 514330 |
| 185000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 184205 |
| 700000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/37 | 691929 |
|  |  |  |  | 4272313 |
|  | **New Hampshire — 2.8%** | **New Hampshire — 2.8%** | **New Hampshire — 2.8%** |  |
| 2000000 | Natl Fin Auth NH Rev Ref Sustainable Bond, Ser B, AMT <br> (Mandatory put 07/02/40) (b) | 3.75% | 07/01/45 | 1575140 |
| 1500000 | Natl Fin Auth NH Rev Winston Salem Sustainable Energy <br> Partners, Ser A | 5.50% | 06/01/50 | 1519055 |
| 1500000 | Natl Fin Auth NH Spl Rev (b) | 5.88% | 12/15/33 | 1504730 |
| 2900000 | Natl Fin Auth NH Spl Rev (b) | 5.38% | 12/15/35 | 2836574 |
| 2000000 | Natl Fin Auth NH Spl Rev Provence Proj, CABS (b) (h) | (c) | 12/01/31 | 1324965 |
| 2000000 | Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (b) | 5.38% | 12/01/31 | 1999206 |
| 2000000 | Natl Fin Auth NH Spl Rev Megatel Projs, CABS (b) | (c) | 12/15/33 | 1198532 |
| 3000000 | Natl Fin Auth NH Spl Rev The Chambers Creek Proj, CABS (b) | (c) | 12/15/32 | 1862323 |
| 1900000 | Natl Fin Auth NH Spl Rev The Highlands Proj | 5.13% | 12/15/30 | 1901728 |
| 2000000 | Natl Fin Auth NH Spl Rev The Wildflower Proj, CABS (b) | (c) | 12/15/33 | 1211306 |
| 3500000 | NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp <br> Issue | 5.50% | 08/01/50 | 3624351 |
|  |  |  |  | 20557910 |
|  | **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 | 950997 |
| 100000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container <br> Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 100165 |
| 100000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 100099 |
| 560000 | NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog <br> Bonds, Ser CC | 5.25% | 06/15/41 | 584338 |
|  |  |  |  | 1735599 |
|  | **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 | 527565 |
| 500000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.00% | 05/01/33 | 478447 |
| 500000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.25% | 05/01/40 | 449041 |
|  |  |  |  | 1455053 |
|  | **New York — 3.7%** | **New York — 3.7%** | **New York — 3.7%** |  |
| 1000000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub <br> Sch Facs Canal W Proj | 5.25% | 07/01/52 | 957133 |
| 450000 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds <br> Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 457432 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $950000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children <br> Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | $916879 |
| 2000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev <br> Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (a) | 2.75% | 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 | 2372730 |
| 1800000 | NY NY Var Fiscal 2023, Ser A-4 (a) | 2.75% | 09/01/49 | 1800000 |
| 300000 | NY St Dorm Auth Revs Non St Supported Debt New York Institute <br> of Technology | 5.00% | 07/01/44 | 298616 |
| 1250000 | NY St Dorm Auth Revs Non St Supported Debt White Plains Hosp <br> Obligated Grp | 5.25% | 10/01/49 | 1239540 |
| 1925000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1490900 |
| 500000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc <br> Areas Proj, AMT | 4.00% | 10/31/46 | 415774 |
| 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 | 1229941 |
| 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 | 2205749 |
| 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 | 999944 |
| 3315000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl <br> Arpt Proj, AMT | 5.25% | 08/01/31 | 3387968 |
| 165000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt New Terminal, AMT | 5.25% | 06/30/49 | 158243 |
| 1515000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt New Terminal, AMT | 5.50% | 06/30/54 | 1463474 |
| 1000000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl <br> Arpt Terminal One Prj, AMT | 6.00% | 06/30/54 | 1016222 |
| 500000 | Oyster Bay NY, Ser A, AG | 2.00% | 03/01/35 | 401445 |
| 2000000 | Suffolk Regl Off Track Betting Corp NY Rev | 5.75% | 12/01/44 | 2037091 |
| 2000000 | Suffolk Regl Off Track Betting Corp NY Rev | 6.00% | 12/01/53 | 2035043 |
| 100000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn <br> Memorial Home Assn Proj | 5.00% | 07/01/34 | 102450 |
| 460000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 449881 |
|  |  |  |  | 27436455 |
|  | **North Carolina — 1.9%** | **North Carolina — 1.9%** | **North Carolina — 1.9%** |  |
| 3300000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For the <br> Aging Ref, Ser A | 4.00% | 03/01/41 | 2873197 |
| 500000 | NC St Med Care Commn Hlth Care Facs Rev Ref Pennybyrn at <br> Maryfield | 5.00% | 10/01/30 | 500059 |
| 2650000 | NC St Med Care Commn Retmnt Facs Rev Carolina Meadows | 5.25% | 12/01/54 | 2500259 |
| 1940000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield <br> Proj, Ser A | 5.00% | 10/01/45 | 1734110 |
| 2850000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2851340 |
| 2495000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 1958190 |
| 750000 | NC St Med Care Commn Retmnt Facs Rev The United Methodist <br> Retmnt Homes Proj, Ser A | 5.00% | 10/01/49 | 707302 |
| 1000000 | NC St Med Care Commn Retmnt Facs Rev Twin Lakes Cmnty, <br>Ser A | 5.25% | 01/01/55 | 946069 |
|  |  |  |  | 14070526 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 — 0.1%** | **North Dakota — 0.1%** | **North Dakota — 0.1%** |  |
| $520000 | Horace ND Ref | 3.00% | 05/01/36 | $416622 |
|  | **Ohio — 2.2%** | **Ohio — 2.2%** | **Ohio — 2.2%** |  |
| 4250000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 3457083 |
| 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 | 673709 |
| 1640000 | Cleveland OH Arpt Sys Rev Ref, Ser A, AG, AMT | 5.00% | 01/01/43 | 1616783 |
| 2000000 | Columbus OH Regl Arpt Auth Rev Ref John Glenn Columbus Intl <br> Arpt, Ser A, AMT | 5.50% | 01/01/50 | 2046642 |
| 750000 | Columbus OH Regl Arpt Auth Rev Ref John Glenn Columbus Intl <br> Arpt, Ser A, AMT | 5.50% | 01/01/55 | 765239 |
| 2245000 | Franklin Cnty OH Rev Trinity Hlth Credit Grp OH, Ser A | 5.00% | 12/01/47 | 2177906 |
| 500000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, <br>Ser A | 5.25% | 01/01/38 | 518266 |
| 500000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, <br>Ser A | 5.50% | 01/01/43 | 508326 |
| 500000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 <br> Proj, Ser A | 5.00% | 12/01/45 | 454434 |
| 410000 | Port of Gtr Cincinnati Dev Auth OH Rev (b) | 3.75% | 12/01/31 | 410793 |
| 3000000 | Port of Gtr Cincinnati Dev Auth OH Tax Incr Fing Rev RBM Phase <br> 3 Garage Proj | 5.13% | 12/01/55 | 2730726 |
| 1420000 | Warren Cnty OH Hosp Facs Rev Ref Cmnty First Solutions <br> Obligated Grp, Ser A | 5.00% | 05/15/49 | 1314536 |
|  |  |  |  | 16674443 |
|  | **Oklahoma — 0.7%** | **Oklahoma — 0.7%** | **Oklahoma — 0.7%** |  |
| 2400000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (g) | 7.25% | 09/01/51 | 2272351 |
| 1475000 | Sand Springs OK Muni Auth Utils Sys Rev Ref | 3.00% | 11/01/42 | 1102245 |
| 1165000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc <br> Proj | 5.25% | 11/15/37 | 1166855 |
| 750000 | Tulsa OK Muni Arpt Trust Trustees Ref American Airls Inc Proj, <br> AMT | 6.25% | 12/01/35 | 828706 |
|  |  |  |  | 5370157 |
|  | **Oregon — 0.9%** | **Oregon — 0.9%** | **Oregon — 0.9%** |  |
| 750000 | Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj | 5.25% | 08/01/49 | 719271 |
| 290000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary's Woods at <br> Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 291433 |
| 1150000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 1105368 |
| 2250000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 2002120 |
| 625000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette <br> View Proj, Ser A | 5.00% | 11/15/37 | 615291 |
| 500000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/38 | 500612 |
| 750000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/43 | 705070 |
| 750000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 727187 |
|  |  |  |  | 6666352 |
|  | **Pennsylvania — 3.3%** | **Pennsylvania — 3.3%** | **Pennsylvania — 3.3%** |  |
| 1855000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network <br> Obligated Grp Issue, Ser A | 5.00% | 04/01/47 | 1775984 |
| 1500000 | Allentown Comml & Indl Dev Auth Ref Executive Edu Acdmy <br> Chrt Sch Proj (b) | 5.00% | 07/01/50 | 1344040 |
| 470000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at <br> Wyomissing, Ser A | 5.00% | 05/15/42 | 452094 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $750000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys Oblig <br> Grp, Ser A | 4.00% | 04/01/50 | $619378 |
| 1035000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys, Ser A-1 | 4.00% | 02/15/47 | 869598 |
| 1110000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors <br> Inc Proj, Ser A | 5.00% | 06/15/38 | 1039461 |
| 800000 | Lancaster PA Muni Auth Hlthcare Facs Rev Ref Luthercare <br> Proj, Ser A | 5.00% | 12/01/55 | 724518 |
| 250000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 219343 |
| 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 | 1691882 |
| 1000000 | Montgomery Cnty PA Indl Dev Auth Ref Foulkeways at Gwynedd | 5.00% | 12/01/46 | 893856 |
| 1500000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living <br> Proj, Ser A | 5.00% | 12/01/48 | 1404696 |
| 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 | 1792599 |
| 310000 | PA St Econ Dev Fing Auth Rev PA Bridges Finco LP P3 Proj | 5.00% | 06/30/42 | 300909 |
| 1000000 | PA St Econ Dev Fing Auth Rev Ref Presbyterian Sr Living Prj, <br>Ser B-2 | 5.25% | 07/01/46 | 974008 |
| 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 | 507935 |
| 1250000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot <br> Major Bridges Package One Proj P3 Proj, AMT | 5.25% | 06/30/35 | 1322434 |
| 4550000 | 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 | 4289311 |
| 10000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10076 |
| 1000000 | Philadelphia PA Arpt Rev Ref Priv Activity, AG, AMT | 4.00% | 07/01/38 | 945742 |
| 850000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T <br> Chrt High Sch, Ser A | 4.00% | 06/01/56 | 609298 |
| 1700000 | Philadelphia PA Gas Wks Rev Ref 1998 Gen Ordinance <br> Fifteenth, Ser | 5.00% | 08/01/42 | 1702438 |
| 960000 | Southcentrl PA Gen Auth Rev Ref Wellspan Hlth Obligated <br> Grp, Ser A | 4.00% | 06/01/49 | 784584 |
| 495000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home <br> Proj, Ser A | 4.00% | 11/15/41 | 423928 |
|  |  |  |  | 24698112 |
|  | **Puerto Rico — 2.1%** | **Puerto Rico — 2.1%** | **Puerto Rico — 2.1%** |  |
| 2900000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2829799 |
| 3002265 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 2865612 |
| 3358267 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | 2929246 |
| 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 | 276022 |
| 4866000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured <br> Converted, Ser A-2 | 4.33% | 07/01/40 | 4529228 |
| 1170000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-1 | 4.55% | 07/01/40 | 1106568 |
| 1500000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-2 | 4.33% | 07/01/40 | 1396186 |
|  |  |  |  | 15932661 |
|  | **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 | 2482259 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 Carolina — 0.9%** | **South Carolina — 0.9%** | **South Carolina — 0.9%** |  |
| $380000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | $371898 |
| 230000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, <br>Ser A-1 | 5.00% | 12/01/31 | 230066 |
| 2000000 | Lexington Cnty SC Hlth Svcs Dist Lexington Med Ctr | 5.00% | 11/01/41 | 1987545 |
| 275000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 4.00% | 11/15/32 | 268750 |
| 1085000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 5.25% | 11/15/47 | 1007380 |
| 250000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 5.25% | 11/15/52 | 226751 |
| 420000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman <br> Proj, Ser A | 5.00% | 11/15/54 | 362075 |
| 1000000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.50% | 11/15/44 | 975800 |
| 1000000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.75% | 11/15/54 | 1000465 |
|  |  |  |  | 6430730 |
|  | **Tennessee — 0.4%** | **Tennessee — 0.4%** | **Tennessee — 0.4%** |  |
| 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 | 1858225 |
| 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 | 824491 |
|  |  |  |  | 2682716 |
|  | **Texas — 7.5%** | **Texas — 7.5%** | **Texas — 7.5%** |  |
| 1000000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs <br> TX Proj, Ser A | 4.13% | 02/15/41 | 770840 |
| 2000000 | Arlington TX Hgr Edu Fin Corp Edu Rev Var Basis TX Chrt Schs <br> Inc (Mandatory put 06/15/26) (b) | 4.50% | 06/15/56 | 1996970 |
| 1000000 | Aubrey TX Spl Assmnt Ref Jackson Ridge Pub Impt Dt Phase #1 & <br> #2 Assmnts, BAM | 5.00% | 09/01/45 | 1000540 |
| 2080000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/46 | 2036050 |
| 1410000 | Cool Wtr Muni Util Dist TX, Ser A, BAM | 5.00% | 08/15/45 | 1412037 |
| 1556000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt <br> Area #1 Proj (b) | 4.25% | 09/15/41 | 1371526 |
| 565000 | Decatur TX Spl Assmnt Rev Paloma Trails Pub Impt Dt Impt Area <br> #1 Proj (b) | 5.50% | 09/15/45 | 532561 |
| 875000 | Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt <br> Impt Area #1 Proj (b) | 5.38% | 12/31/45 | 876617 |
| 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 | 1887165 |
| 70000 | E Montgomery Cnty Mun Util Dist No 7 TX, BAM | 4.00% | 09/01/45 | 60413 |
| 1000000 | E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1 <br> & 2 Proj (b) | 6.00% | 09/15/45 | 987924 |
| 1000000 | E Waller Cnty Mgmt Dist TX Spl Assmnt Rev Sofi Lakes Section 1 <br> & 2 Proj (b) | 6.25% | 09/15/55 | 987428 |
| 1445000 | Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #1 <br> Proj (b) | 4.00% | 08/15/51 | 1101430 |
| 1000000 | Fate TX Spl Assmnt Rev Monterra Pub Impt Dt Impt Area #2 <br> Proj (b) | 5.38% | 08/15/44 | 942547 |
| 1577000 | Ferris TX Spl Assmnt Rev Woodstone Pub Impt Dist No 2 Impt <br> Area 1 Proj (b) | 4.00% | 09/01/51 | 1212152 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $400000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/37 | $414645 |
| 250000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/38 | 256821 |
| 500000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial <br> Hermann Hlth Sys | 5.00% | 07/01/45 | 490617 |
| 2000000 | Harris Cnty TX Hosp Dist Ctfs of Oblig | 5.25% | 02/15/50 | 2043120 |
| 1025000 | Haslet TX Spl Assmnt Rev Haslet Pub Impt Dist #5 Impt Area <br> #1 (b) | 4.13% | 09/01/39 | 907917 |
| 2500000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AG, AMT | 5.25% | 07/01/48 | 2505114 |
| 1000000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, <br>Ser C, AMT | 5.00% | 07/15/27 | 1004179 |
| 1460000 | Houston TX Arpt Sys Rev United Airls Inc Terminal E Proj, Ser A, <br> AMT | 4.00% | 07/01/41 | 1254755 |
| 1500000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, <br>Ser B, AMT | 5.50% | 07/15/37 | 1561272 |
| 1065000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, <br>Ser B-1, AMT | 4.00% | 07/15/41 | 915066 |
| 625000 | Houston TX Hgr Edu Fin Corp Ununiv Rev Houston Christian Univ <br> Proj | 5.13% | 10/01/51 | 572735 |
| 450000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area <br> #2 Proj (b) | 3.38% | 09/01/41 | 351988 |
| 690000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (b) | 4.50% | 09/01/33 | 684013 |
| 250000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (b) | 4.13% | 09/01/29 | 250359 |
| 500000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (b) | 4.63% | 09/01/39 | 474163 |
| 80000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (b) | 4.35% | 08/15/25 | 80049 |
| 429000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1 <br> Proj (b) | 5.00% | 09/15/44 | 408897 |
| 400000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #1 <br> Proj (b) | 5.38% | 09/15/52 | 376356 |
| 600000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B <br> Proj (b) | 5.13% | 09/15/44 | 580762 |
| 729000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dist Impt Area #2A-2B <br> Proj (b) | 5.50% | 09/15/54 | 694099 |
| 1000000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 <br> and 2 Proj (b) | 3.38% | 09/01/42 | 772849 |
| 1350000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 <br> and 2 Proj (b) | 4.00% | 09/01/52 | 1014137 |
| 1700000 | Little Elm TX Spl Assmnt Rev Lakeside Estates Pub Impt Dist #2 <br> Proj (b) | 5.00% | 09/01/47 | 1623271 |
| 501000 | Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist <br> Projs (b) | 5.75% | 09/15/45 | 498933 |
| 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 | 1143092 |
| 750000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts <br> Proj (b) | 5.00% | 09/15/51 | 672728 |
| 1235000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref <br> Longhorn Vlg Proj | 5.00% | 01/01/31 | 1249423 |
| 1580000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref <br> Longhorn Vlg Proj | 5.00% | 01/01/32 | 1595454 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $300000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref <br> Longhorn Vlg Proj | 5.00% | 01/01/37 | $299211 |
| 600000 | Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A | 5.00% | 08/15/42 | 615098 |
| 1100000 | Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt DT Impt <br> Area #1 Proj (b) | 5.35% | 09/15/44 | 1034069 |
| 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 | 502974 |
| 1500000 | Port Beaumont TX Nav Dist Dock & Wharf Fac Rev Jefferson Gulf <br> Coast Energy Proj, Ser A, AMT (b) | 5.00% | 01/01/39 | 1402748 |
| 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 | 1356544 |
| 1000000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt DT Impt Area #3 <br> Proj (b) | 5.25% | 09/01/54 | 941385 |
| 210000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No <br> 4 Proj (b) | 5.38% | 09/01/45 | 202571 |
| 2200000 | Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impr Dist #2 <br> Phase 2 Proj Rev (b) | 5.13% | 09/01/43 | 2060468 |
| 1550000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dist #2 <br> Proj (b) | 5.13% | 09/01/42 | 1474177 |
| 221000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 3.75% | 09/15/31 | 202983 |
| 500000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 4.13% | 09/15/41 | 418727 |
| 765000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp <br> Dist Major Imp Area Proj (b) | 4.25% | 09/15/51 | 604900 |
| 1000000 | San Marcos TX Spl Assmnt Rev Whisper S Pub Imp Dt (b) | 4.25% | 09/01/42 | 841783 |
| 1750000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Ref Sr Lien <br> Bond Surface Transprtn Corp, AMT | 5.50% | 06/30/42 | 1775141 |
| 530000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/41 | 534838 |
|  |  |  |  | 55840631 |
|  | **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 | 976633 |
|  | **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 | 2015223 |
| 1500000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (b) | 4.00% | 03/01/51 | 1160339 |
| 2000000 | Black Desert Pub Infra Dist UT Spl Assmnt Black Desert Assmnt <br> Area #1 (b) | 5.63% | 12/01/53 | 1944826 |
| 2250000 | Fields Estates Pub Infra Dist UT Spl Assmnt Fields Estates Assmnt <br> Area, Ser A-2 (b) | 5.25% | 12/01/53 | 2068640 |
| 750000 | Fields Estates Pub Infra Dist UT, Ser A-1 (b) | 6.13% | 03/01/55 | 722693 |
| 1000000 | Firefly Pub Infra Dist #1 UT, Ser A-1 (b) | 6.63% | 03/01/54 | 1005505 |
| 2000000 | Jordanelle Ridge Pub Infra Dist #2 UT, Ser A (b) | 7.75% | 03/01/54 | 2049461 |
| 2000000 | Mida Cormont Pub Infra Dist UT Conv, Ser A-2, CABS, steps up to <br> 6.75% on 06/01/29 (b) (f) | (c) | 06/01/55 | 1628366 |
| 1115000 | Mida Cormont Pub Infra Dist UT, Ser A-1 (b) | 6.25% | 06/01/55 | 1137852 |
| 1000000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (b) | 4.25% | 06/01/41 | 848425 |
| 3000000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (b) | 4.63% | 06/01/57 | 2383790 |
| 3000000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 2314515 |
| 1485000 | Olympia Pub Infra Dist #1 UT, Ser A-1 (b) | 6.38% | 03/01/55 | 1479661 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1500000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (b) | 4.38% | 02/01/51 | $1114604 |
| 2000000 | Soleil Hills Pub Infra Dist #1 UT, Ser A (b) | 5.88% | 03/01/55 | 1891758 |
| 475000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori <br> Acdmy Proj, Ser A (b) | 5.00% | 06/15/39 | 431596 |
| 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 | 1483698 |
| 675000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy <br> Proj, Ser A (b) | 5.00% | 06/15/39 | 624115 |
| 3010000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner <br> Acdmy, Ser A (b) | 5.63% | 06/15/42 | 2898057 |
| 1500000 | Verk Indl Regl Pub Infra Dist UT Tax (b) | 6.63% | 09/01/47 | 1522384 |
| 2700000 | Wakara Ridge Pub Infra Dist UT Spl Assmnt Wakara Ridge <br> Assmnt Area (b) | 5.63% | 12/01/54 | 2668835 |
| 1300000 | Wood Ranch Pub Infra Dist UT Spl Assmnt Wood Ranch Assmnt <br> Area No 1 (b) | 5.63% | 12/01/53 | 1255402 |
|  |  |  |  | 34649745 |
|  | **Vermont — 0.2%** | **Vermont — 0.2%** | **Vermont — 0.2%** |  |
| 260000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 4.00% | 05/01/37 | 236678 |
| 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 | 1003084 |
|  |  |  |  | 1239762 |
|  | **Virginia — 2.0%** | **Virginia — 2.0%** | **Virginia — 2.0%** |  |
| 3000000 | Hanover Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Covenant <br> Woods | 5.00% | 07/01/51 | 2599037 |
| 1060000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire <br> of VA, Ser C | 5.00% | 12/01/37 | 1071363 |
| 855000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire <br> of VA, Ser C | 5.00% | 12/01/47 | 807924 |
| 500000 | Salem VA Econ Dev Auth Eductnl Facs Rev Roanoke Clg | 6.00% | 04/01/55 | 505672 |
| 2000000 | VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3 <br> Proj, AMT | 5.00% | 12/31/49 | 1863558 |
| 1000000 | VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express <br> Lanes LLC Proj, AMT | 5.00% | 01/01/38 | 1011615 |
| 3250000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Lifespire of <br> VA, Ser A | 5.50% | 12/01/54 | 3200464 |
| 750000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of <br> VA | 4.00% | 12/01/31 | 754521 |
| 1000000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster <br> Canterbury on Chesapeake Bay | 5.00% | 09/01/29 | 1029202 |
| 2000000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Westminster <br> Canterbury on Chesapeake Bay, Ser A | 7.00% | 09/01/53 | 2167438 |
|  |  |  |  | 15010794 |
|  | **Washington — 1.2%** | **Washington — 1.2%** | **Washington — 1.2%** |  |
| 1000000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, <br> AMT | 5.00% | 08/01/39 | 1013749 |
| 2000000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, <br> AMT | 5.00% | 08/01/46 | 1923476 |
| 1950000 | Skagit Cnty WA Pub Hosp Dist #1 | 5.50% | 12/01/54 | 1965121 |
| 875000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 766668 |
| 1500000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights <br> Proj, Ser A | 5.00% | 07/01/43 | 1466021 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $500000 | WA St Hsg Fin Commn Nonprofit Rev Radford Court & Nordheim <br> Court Portfolio | 5.50% | 07/01/49 | $504134 |
| 710000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, <br>Ser A (b) | 5.00% | 07/01/50 | 610461 |
| 936349 | WA St Hsg Fin Commn Sustainable Ctf, Ser A-1, Class A | 3.50% | 12/20/35 | 880042 |
|  |  |  |  | 9129672 |
|  | **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 | 618916 |
| 440000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ <br> Twn Centre, Ser A (b) | 5.75% | 06/01/43 | 450623 |
| 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 | 1016727 |
| 1050000 | WV St Hosp Fin Auth Vandalia Hlth Grp, Ser B, AG | 5.50% | 09/01/48 | 1093905 |
|  |  |  |  | 3180171 |
|  | **Wisconsin — 5.4%** | **Wisconsin — 5.4%** | **Wisconsin — 5.4%** |  |
| 925000 | Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las <br> Vegas 2 Proj, Ser A (b) | 5.00% | 07/15/39 | 881322 |
| 1600000 | Pub Fin Auth WI Chrt Sch Rev American Preparatory Acdmy Las <br> Vegas 2 Proj, Ser A (b) | 5.00% | 07/15/54 | 1385035 |
| 670000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 4.00% | 06/15/30 | 662628 |
| 810000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/40 | 767849 |
| 685000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/54 | 594806 |
| 350000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 4.00% | 07/01/30 | 342071 |
| 300000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 6.38% | 07/01/43 | 306331 |
| 1300000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 5.00% | 07/01/55 | 1065769 |
| 550000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas <br> Proj, Ser A (b) | 6.75% | 07/01/58 | 563296 |
| 230000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las <br> Vegas Proj, Ser A (b) | 4.20% | 07/15/27 | 230384 |
| 375000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las <br> Vegas Proj, Ser A (b) | 5.13% | 07/15/37 | 372855 |
| 1000000 | Pub Fin Auth WI Chrt Sch Rev Ref N E Carolina Preparatory <br> Sch, Ser A | 5.25% | 06/15/54 | 938971 |
| 2000000 | Pub Fin Auth WI Edu Rev Bonnie Cone Classical Acdmy Inc (b) | 5.50% | 06/15/49 | 1776997 |
| 1000000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/43 | 951807 |
| 1500000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 1408635 |
| 500000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 498009 |
| 200000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 175895 |
| 400000 | Pub Fin Auth WI Edu Rev Ref Pinecrest Acdmy NV Sloan Canyon <br> Cmps Proj, Ser A (b) | 4.50% | 07/15/49 | 334469 |
| 1200000 | Pub Fin Auth WI Edu Rev Ref Triad Eductnl Svcs Inc | 5.25% | 06/15/45 | 1154532 |
| 1140000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc | 5.00% | 06/15/42 | 1090630 |
| 1175000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc, Ser A | 4.00% | 06/15/41 | 1004480 |
| 160000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 163960 |
| 1500000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (b) | 4.00% | 12/01/41 | 1282714 |
| 1000000 | Pub Fin Auth WI Hotel Rev Sr Lien Grand Hyatt San Antonio <br> Hotel Acq Proj, Ser A | 5.00% | 02/01/42 | 1000714 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1335000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc <br> Oblig Grp, Ser A | 5.00% | 11/15/41 | $1330613 |
| 1750000 | Pub Fin Auth WI Retmnt Cmntys Rev Ref Evergreens Retmnt <br> Cmnty, Ser A | 5.00% | 11/15/49 | 1625005 |
| 685000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt <br> Homes, Ser A | 4.00% | 10/01/46 | 558753 |
| 65000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/43 | 61094 |
| 510000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/48 | 460034 |
| 3550000 | Pub Fin Auth WI Rev Anthem Freedom Proj, CABS (b) | (c) | 12/15/37 | 1762790 |
| 1125000 | Pub Fin Auth WI Rev Ref Kahala Nui Proj | 5.25% | 11/15/50 | 1111405 |
| 2000000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (g) | 6.85% | 01/01/51 | 1358658 |
| 1215000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.00% | 05/15/31 | 1225451 |
| 1275000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.00% | 05/15/32 | 1283767 |
| 1225000 | Pub Fin Auth WI Sr Living Rev Ref Mary's Woods at Marylhurst <br> Proj, Ser A (b) | 5.25% | 05/15/47 | 1104523 |
| 750000 | Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.25% | 06/15/50 | 738363 |
| 3110000 | Pub Fin Auth WI Tax Incr Rev Miami Worldcenter Proj, Ser A (b) | 5.00% | 06/01/41 | 3028132 |
| 2750000 | Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, <br> AMT (h) | 5.75% | 06/30/60 | 2652349 |
| 1000000 | Pub Fin Auth WI Toll Rev Sr GA Sr 400 Express Lanes Proj, <br> AMT (h) | 6.50% | 06/30/60 | 1052103 |
| 1000000 | WI Hlth Edl Facs Auth Sr Living Rev Chiara Hsg and Svcs Inc Proj | 5.88% | 07/01/55 | 949132 |
| 1000000 | WI St Hlth & Eductnl Facs Auth Rev Bellin Memorial Hosp <br> Inc, Ser A | 5.50% | 12/01/52 | 1030978 |
|  |  |  |  | 40287309 |
|  | **Wyoming — 0.1%** | **Wyoming — 0.1%** | **Wyoming — 0.1%** |  |
| 1300000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 3.00% | 05/01/42 | 996093 |
|  | **Total Investments — 99.4%** | **Total Investments — 99.4%** | **Total Investments — 99.4%** | 738615003 |
|  | (Cost $759,915,395) | (Cost $759,915,395) | (Cost $759,915,395) |  |
|  | **Net Other Assets and Liabilities — 0.6%** | **Net Other Assets and Liabilities — 0.6%** | **Net Other Assets and Liabilities — 0.6%** | 4580703 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $743195706 |

---

**Futures Contracts at July 31, 2025** (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 | 201 | Sep-2025 | &nbsp;&nbsp; $(22728703)<br>| &nbsp;&nbsp; $(128922)<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)**

**July 31, 2025**

&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 July 31, 2025, securities noted as such amounted to $230,283,761 or 31.0% of
 net assets.

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) 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;(h) When-issued
 security. The interest rate shown reflects the rate in effect at July 31, 2025. Interest will begin accruing on the security's
 first settlement date.

&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 July 31, 2025 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>**7/31/2025**<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>|
| Municipal Bonds\* | $738615003 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $738615003 | &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>**7/31/2025**<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>|
| Futures Contracts\*\* | $(128922)<br>| &nbsp;&nbsp; $(128922)<br>| &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**

**July 31, 2025**

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

---

| | |
|:---|:---|
| **ASSETS:** |  |
| Investments, at value | $738615003 |
| Cash | 2379970 |
| Cash segregated as collateral | 512550 |
| Interest receivable | 8172957 |
| Total Assets | 749680480 |
| **LIABILITIES:** |  |
| Payables: |  |
| Investment securities purchased | 6013420 |
| Investment advisory fees | 443088 |
| Variation margin | 28266 |
| Total Liabilities | 6484774 |
| **NET ASSETS** | $743195706 |
| **NET ASSETS consist of:** |  |
| Paid-in capital | $808432275 |
| Par value | 161000 |
| Accumulated distributable earnings (loss) | (65397569)<br>|
| **NET ASSETS** | $743195706 |
| **NET ASSET VALUE,** per share | $46.16 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 16100002 |
| Investments, at cost | $759915395 |

---

See Notes to Financial Statements

------

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

**Statement of Operations**

**For the Year Ended July 31, 2025**

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

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** |  |
| Interest | $36011302 |
| Total investment income | 36011302 |
| **EXPENSES:** |  |
| Investment advisory fees | 5212678<br>|
| Total expenses | 5212678 |
| **NET INVESTMENT INCOME (LOSS)** | 30798624 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |
| Net realized gain (loss) on: |  |
| Investments | (7207318)<br>|
| Futures contracts | (624378)<br>|
| Net realized gain (loss) | (7831696)<br>|
| Net change in unrealized appreciation (depreciation) on: |  |
| Investments | (34055848)<br>|
| Futures contracts | (128922)<br>|
| Net change in unrealized appreciation (depreciation) | (34184770)<br>|
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | (42016466)<br>|
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $(11217842)<br>|

---

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;

---

| | | |
|:---|:---|:---|
|  | **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| **OPERATIONS:** |  |  |
| Net investment income (loss) | $30798624 | &nbsp;&nbsp; $21816854 |
| Net realized gain (loss) | (7831696)<br>| &nbsp;&nbsp; (3070326)<br>|
| Net change in unrealized appreciation (depreciation) | (34184770)<br>| &nbsp;&nbsp; 26036328 |
| Net increase (decrease) in net assets resulting from operations | (11217842)<br>| &nbsp;&nbsp; 44782856 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |
| Investment operations | (30170595)<br>| &nbsp;&nbsp; (21326758)<br>|
| Return of capital | (431009)<br>| &nbsp;&nbsp; (270420)<br>|
| Total distributions to shareholders | (30601604)<br>| &nbsp;&nbsp; (21597178)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |
| Proceeds from shares sold | 241482554<br>| &nbsp;&nbsp; 238266691<br>|
| Cost of shares redeemed | (101676769) <br>| &nbsp;&nbsp; (25570566) <br>|
| Net increase (decrease) in net assets resulting from shareholder transactions | 139805785 | &nbsp;&nbsp; 212696125 |
| Total increase (decrease) in net assets | 97986339 | &nbsp;&nbsp; 235881803 |
| **NET ASSETS:** |  |  |
| Beginning of period | 645209367 | &nbsp;&nbsp; 409327564 |
| End of period | $743195706 | &nbsp;&nbsp; $645209367 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |
| Shares outstanding, beginning of period | 13250002 | &nbsp;&nbsp; 8700002 |
| Shares sold | 5000000 | &nbsp;&nbsp; 5100000 |
| Shares redeemed | (2150000)<br>| &nbsp;&nbsp; (550000)<br>|
| Shares outstanding, end of period | 16100002 | &nbsp;&nbsp; 13250002 |

---

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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 1.98<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) | (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 | (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 | (1.94) <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 | (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 | (1.97) <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 | $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) | (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 data:** |  |  |  |  |  |
| Net assets, end of period (in 000's) | $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 | 0.70<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 | 0.70<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 average net assets | 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 (d) | 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) 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)**

**July 31, 2025**

&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 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)**

**July 31, 2025**

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)**

**July 31, 2025**

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 July 31, 2025, 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 July 31, 2025, the Fund held $6,064,840 of when-issued or delayed-delivery securities. At July 31, 2025, 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 $512,550 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 July 31, 2025, 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)**

**July 31, 2025**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| 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; $94.68 | &nbsp;&nbsp; $2438381 | &nbsp;&nbsp; $2272351 | 0.31<br> %<br>|
| 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 | 55.00 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp; 550000 | 0.07 |
| 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 | 67.93 | &nbsp;&nbsp; 1964543 | &nbsp;&nbsp; 1358658 | 0.18 |
|  |  |  |  | &nbsp;&nbsp; $5402924 | &nbsp;&nbsp; $4181009 | 0.56<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 years ended July 31, 2025 and 2024 was as follows:

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

---

| | | |
|:---|:---|:---|
| Distributions paid from: | 2025 | 2024 |
| Ordinary income | $66149 | &nbsp;&nbsp; $24847 |
| Capital gains |  | &nbsp;&nbsp; — |
| Tax-exempt income | 30104446 | &nbsp;&nbsp; 21301911 |
| Return of capital | 431009 | &nbsp;&nbsp; 270420 |

---

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 July 31, 2025, 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.

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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Fund. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2025, the adjustments for the Fund were as follows:

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

---

| | | |
|:---|:---|:---|
| Accumulated <br>Net Investment <br>Income (Loss)<br>| Accumulated <br>Net Realized <br>Gain (Loss) <br>on Investments<br>| Paid-In <br>Capital<br>|
| $(668)<br>| &nbsp;&nbsp; $668 | &nbsp;&nbsp; $— |

---

As of July 31, 2025, 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>|
| $758863052 | &nbsp;&nbsp; $8117220 | &nbsp;&nbsp; $(28494191)<br>| &nbsp;&nbsp; $(20376971)<br>|

---

**G. Expenses**

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

**H. Segment Reporting**

The Fund has adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosures only and did not affect the Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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. 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;

---

| | |
|:---|:---|
| 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>|

---

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 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 allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Committee Chairs, the Audit Committee Vice Chair, the Lead Independent Trustee and the Vice Lead Independent Trustee rotate periodically in serving in such capacities. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the fiscal year ended July 31, 2025, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $426,084,696 and $280,401,584, respectively.

For the fiscal year ended July 31, 2025, 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. For any day on and after February 26, 2025, 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. For any day before February 26, 2025, BNY charged a commitment fee of 0.20% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. First Trust allocates the commitment fee and agency fee amongst the funds that have access to the credit line. 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 fiscal year ended July 31, 2025.

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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

**6. Derivative Transactions** 

The following table presents the types of derivatives held by the Fund at July 31, 2025, 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; $128922 |

---

&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.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended July 31, 2025, 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 | $(624378)<br>|
| Net change in unrealized appreciation <br> (depreciation) on futures contracts<br>| (128922)<br>|

---

The average notional value of futures contracts outstanding during the fiscal year ended July 31, 2025, which is indicative of the volume of this derivative type, was $11,587,153.

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,

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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.

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 were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

------

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of First Trust Municipal High Income ETF (the "Fund"), one of the funds constituting the First Trust Exchange-Traded Fund III, as of July 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois

September 23, 2025

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

------

**Other Information**

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

**July 31, 2025 (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 fiscal year ended July 31, 2025.

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

There were no matters submitted for vote by shareholders of the Fund during the fiscal year ended July 31, 2025.

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

Independent Trustees and any member of any advisory board 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)**

The Board of Trustees of First Trust Exchange-Traded Fund III (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the First Trust Municipal High Income ETF (the "Fund"). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2026 at a meeting held on June 8–9, 2025. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2025 and June 8–9, 2025, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 22, 2025, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 8–9, 2025 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from the Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee.

In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Fund is an actively-managed ETF and noted that the Advisor's Municipal Securities Team is responsible for the day-to-day management of the Fund's investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board's prior meetings with members of the Team. The Board considered the Advisor's statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services

------

**Other Information (Continued)**

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

**July 31, 2025 (Unaudited)**

provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2025 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the Fund consistent with its investment objectives, policies and restrictions.

The Board considered the unitary fee rate schedule payable by the Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedule overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. The Board received and reviewed information comparing the Fund's performance for periods ended December 31, 2024 to the performance of the funds in the Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that the Fund outperformed the Performance Universe median and the benchmark index for the one- and five-year periods ended December 31, 2024 and underperformed the Performance Universe median and benchmark index for the three-year period ended December 31, 2024.

On the basis of all the information provided on the unitary fee and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund at current asset levels and whether the Fund may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for the Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Fund. The Board concluded that the unitary fee rate schedule for the Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2024 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their

------

**Other Information (Continued)**

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

**July 31, 2025 (Unaudited)**

exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Fund. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board's analysis.

**Federal Tax Information**

For the taxable year ended July 31, 2025, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state's requirement. The Fund designates the following percentages or, if subsequently determined to be different, the maximum amount allowable for its fiscal year ended July 31, 2025:

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

---

| | |
|:---|:---|
| Federal and State Income Tax | Percentages |
| Tax-Exempt Interest Dividends | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99.78<br> %<br>|
| Alternative Minimum Tax (AMT) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16.86<br> %<br>|

---

------

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

Annual Financial Statements and Other Information <br> For the Year Ended July 31, 2025

![](img070927fe1.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**

**Annual Financial Statements and Other Information**

**July 31, 2025** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOI-TOC-ScheduleofInvestments-4429_1) |  |
| [First Trust Horizon Managed Volatility Domestic ETF (HUSV)](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOI-TOC-ScheduleofInvestments-4429_1) | 1 |
| [First Trust Horizon Managed Volatility Developed International ETF (HDMV)](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOI-TOC-ScheduleofInvestments-4430_1) | 3 |
| [First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOI-TOC-ScheduleofInvestments-4431_1) | 7 |
| [Statements of Assets and Liabilities](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SAL1-TOC-StatementofAssetsandLiabilities-4430_2) | 12 |
| [Statements of Operations](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOP1-TOC-StatementofOperations-4430_1) | 13 |
| [Statements of Changes in Net Assets](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_SOC1-TOC-StatementofChanges-4430_1) | 14 |
| [Financial Highlights](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_FIHI-TOC-FinancialHighlights-4430_1) | 16 |
| [Notes to Financial Statements](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_NTF-TOC-NotestoFinancialStatements-4430_1) | 19 |
| [Report of Independent Registered Public Accounting Firm](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_AUD-TOC-RIRPAFirm-4430_1) | 27 |
| [Other Information](#xx_99cdd714-768c-45c7-a599-0100fe46aebb_AI-TOC-AdditionalInformation-4430_1) | 28 |

---

**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**

**July 31, 2025**

&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 — 2.0%**  |  |
| 3116 | General Dynamics Corp. | $970977 |
| 3545 | L3Harris Technologies, Inc. | 974237 |
|  |  | 1945214 |
|  | **Beverages — 3.6%**  |  |
| 29848 | Coca-Cola (The) Co. | 2026381 |
| 43519 | Keurig Dr Pepper, Inc. | 1420895 |
|  |  | 3447276 |
|  | **Capital Markets — 4.7%**  |  |
| 7056 | CME Group, Inc. | 1963544 |
| 2218 | FactSet Research Systems, Inc. | 893632 |
| 9326 | Intercontinental Exchange, Inc. | 1723724 |
|  |  | 4580900 |
|  | **Chemicals — 2.5%**  |  |
| 4760 | Ecolab, Inc. | 1245977 |
| 2607 | Linde PLC | 1199898 |
|  |  | 2445875 |
|  | **Commercial Services &** <br> **Supplies — 6.0%**  |  |
| 8594 | Republic Services, Inc. | 1982206 |
| 19973 | Rollins, Inc. | 1143853 |
| 9178 | Veralto Corp. | 962130 |
| 7437 | Waste Management, Inc. | 1704263 |
|  |  | 5792452 |
|  | **Communications Equipment** <br> **— 4.6%**  |  |
| 34880 | Cisco Systems, Inc. | 2374630 |
| 4766 | Motorola Solutions, Inc. | 2092179 |
|  |  | 4466809 |
|  | **Containers & Packaging —** <br> **0.9%**  |  |
| 87573 | Amcor PLC | 818808 |
|  | **Diversified Telecommunication** <br> **Services — 0.9%**  |  |
| 20910 | Verizon Communications, Inc. | 894112 |
|  | **Electric Utilities — 5.8%**  |  |
| 8752 | Duke Energy Corp. | 1064593 |
| 31488 | Evergy, Inc. | 2229350 |
| 13980 | Pinnacle West Capital Corp. | 1266868 |
| 30291 | PPL Corp. | 1081086 |
|  |  | 5641897 |
|  | **Electronic Equipment,** <br> **Instruments & Components** <br>**— 2.5%**  |  |
| 4303 | Teledyne Technologies, Inc. (a) | 2371039 |
|  | **Financial Services — 3.2%**  |  |
| 2894 | Berkshire Hathaway, Inc., <br> Class B (a) | 1365621 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Financial Services (Continued)**  |  |
| 4835 | Jack Henry & Associates, Inc. | $821055 |
| 2589 | Visa, Inc., Class A | 894422 |
|  |  | 3081098 |
|  | **Gas Utilities — 1.4%**  |  |
| 8769 | Atmos Energy Corp. | 1367262 |
|  | **Health Care Equipment &** <br> **Supplies — 3.8%**  |  |
| 8581 | Abbott Laboratories | 1082836 |
| 10407 | Medtronic PLC | 939128 |
| 3549 | STERIS PLC | 803813 |
| 2188 | Stryker Corp. | 859293 |
|  |  | 3685070 |
|  | **Health Care Providers &** <br> **Services — 4.1%**  |  |
| 6766 | Cardinal Health, Inc. | 1050219 |
| 4503 | Cencora, Inc. | 1288218 |
| 1107 | McKesson Corp. | 767749 |
| 5234 | Quest Diagnostics, Inc. | 876224 |
|  |  | 3982410 |
|  | **Hotels, Restaurants & Leisure** <br> **— 2.6%**  |  |
| 5284 | McDonald's Corp. | 1585570 |
| 6287 | Yum! Brands, Inc. | 906271 |
|  |  | 2491841 |
|  | **Household Products — 2.8%**  |  |
| 11188 | Kimberly-Clark Corp. | 1394249 |
| 8802 | Procter & Gamble (The) Co. | 1324437 |
|  |  | 2718686 |
|  | **Insurance — 6.2%**  |  |
| 9820 | Brown & Brown, Inc. | 897254 |
| 3983 | Chubb Ltd. | 1059637 |
| 12291 | Loews Corp. | 1112827 |
| 8873 | Marsh & McLennan Cos., Inc. | 1767502 |
| 3826 | Willis Towers Watson PLC | 1208289 |
|  |  | 6045509 |
|  | **IT Services — 7.0%**  |  |
| 5568 | Accenture PLC, Class A | 1487213 |
| 23451 | Cognizant Technology Solutions <br> Corp., Class A | 1682844 |
| 4573 | Gartner, Inc. (a) | 1548646 |
| 7596 | VeriSign, Inc. | 2042337 |
|  |  | 6761040 |
|  | **Media — 0.7%**  |  |
| 21310 | News Corp., Class B | 712180 |
|  | **Multi-Utilities — 5.8%**  |  |
| 9254 | Ameren Corp. | 935857 |
| 23116 | CenterPoint Energy, Inc. | 897363 |
| 19041 | CMS Energy Corp. | 1405226 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Multi-Utilities (Continued)**  |  |
| 7066 | DTE Energy Co. | $978005 |
| 13036 | WEC Energy Group, Inc. | 1421967 |
|  |  | 5638418 |
|  | **Oil, Gas & Consumable Fuels** <br> **— 1.7%**  |  |
| 3478 | Chevron Corp. | 527404 |
| 6105 | Exxon Mobil Corp. | 681562 |
| 14374 | Kinder Morgan, Inc. | 403335 |
|  |  | 1612301 |
|  | **Pharmaceuticals — 1.7%**  |  |
| 10184 | Johnson & Johnson | 1677712 |
|  | **Professional Services — 4.8%**  |  |
| 5374 | Automatic Data Processing, Inc. | 1663253 |
| 4333 | Broadridge Financial Solutions, <br> Inc. | 1072461 |
| 5725 | Paychex, Inc. | 826289 |
| 3923 | Verisk Analytics, Inc. | 1093379 |
|  |  | 4655382 |
|  | **Residential REITs — 1.0%**  |  |
| 29826 | Invitation Homes, Inc. | 914167 |
|  | **Retail REITs — 3.1%**  |  |
| 32692 | Realty Income Corp. | 1835002 |
| 16901 | Regency Centers Corp. | 1206731 |
|  |  | 3041733 |
|  | **Software — 6.5%**  |  |
| 3828 | Microsoft Corp. | 2042238 |
| 4301 | Roper Technologies, Inc. | 2367270 |
| 3185 | Tyler Technologies, Inc. (a) | 1861824 |
|  |  | 6271332 |
|  | **Specialized REITs — 1.5%**  |  |
| 44952 | VICI Properties, Inc. | 1465435 |
|  | **Specialty Retail — 5.7%**  |  |
| 275 | AutoZone, Inc. (a) | 1036305 |
| 2021 | Home Depot (The), Inc. | 742738 |
| 2711 | Lowe's Cos., Inc. | 606098 |
| 16260 | O'Reilly Automotive, Inc. (a) | 1598683 |
| 12693 | TJX (The) Cos., Inc. | 1580659 |
|  |  | 5564483 |
|  | **Tobacco — 1.8%**  |  |
| 28547 | Altria Group, Inc. | 1768201 |
|  | **Trading Companies &** <br> **Distributors — 0.9%**  |  |
| 845 | W.W. Grainger, Inc. | 878411 |
|  | **Total Common Stocks** | 96737053 |
|  | (Cost $90,663,434) |  |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** | **MONEY MARKET FUNDS — 0.2%** |
| 188814 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 4.20% (b) | $188814 |
|  | (Cost $188,814) |  |
|  | **Total Investments — 100.0%** | 96925867 |
|  | (Cost $90,852,248) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.0%** | 26681 |
|  | **Net Assets — 100.0%** | $96952548 |

---

&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 July 31, 2025.

&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 July 31, 2025 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>**7/31/2025**<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\* | $96737053 | $96737053 | $— | $— |
| Money Market Funds | 188814 | 188814 |  |  |
| Total Investments | $96925867 | $96925867 | $— | $— |

---

&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**

**July 31, 2025**

&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 — 11.1%** |  |
| 6014 | ANZ Group Holdings Ltd. <br> (AUD) (c) | $118016 |
| 10095 | Brambles Ltd. (AUD) (c) | 154448 |
| 25823 | Coles Group Ltd. (AUD) (c) | 343806 |
| 916 | CSL Ltd. (AUD) (c) | 158453 |
| 60163 | Lottery (The) Corp., Ltd. <br> (AUD) (c) | 208668 |
| 41037 | Medibank Pvt Ltd. (AUD) (c) | 134125 |
| 59438 | Scentre Group (AUD) (c) | 142249 |
| 8881 | Sonic Healthcare Ltd. (AUD) (c) | 156828 |
| 36871 | Stockland (AUD) (c) | 130718 |
| 131376 | Telstra Group Ltd. (AUD) (c) | 418705 |
| 89640 | Vicinity Ltd. (AUD) (c) | 141138 |
| 5120 | Westpac Banking Corp. <br> (AUD) (c) | 110541 |
| 13066 | Woolworths Group Ltd. <br> (AUD) (c) | 263777 |
|  |  | 2481472 |
|  | **Belgium — 1.6%** |  |
| 2842 | Ageas S.A./N.V. (EUR) (c) | 193234 |
| 1948 | Groupe Bruxelles Lambert N.V. <br> (EUR) (c) | 162853 |
|  |  | 356087 |
|  | **Bermuda — 0.8%** |  |
| 26648 | CK Infrastructure Holdings Ltd. <br> (HKD) (c) | 187682 |
|  | **Cayman Islands — 0.8%** |  |
| 39148 | CK Asset Holdings Ltd. <br> (HKD) (c) | 179384 |
|  | **Denmark — 1.5%** |  |
| 1308 | Coloplast A/S, Class B <br> (DKK) (c) | 119462 |
| 1126 | Novonesis Novozymes B <br> (DKK) (c) | 72850 |
| 5686 | Tryg A/S (DKK) (c) | 137157 |
|  |  | 329469 |
|  | **France — 8.7%** |  |
| 700 | Air Liquide S.A. (EUR) (c) | 137716 |
| 846 | BioMerieux (EUR) (c) | 121049 |
| 25432 | Bollore SE (EUR) (c) | 146694 |
| 3229 | Bouygues S.A. (EUR) (c) | 132959 |
| 3598 | Bureau Veritas S.A. (EUR) (c) | 110804 |
| 7901 | Credit Agricole S.A. (EUR) (c) | 145414 |
| 2462 | Danone S.A. (EUR) (c) | 201483 |
| 7209 | Engie S.A. (EUR) (c) | 162046 |
| 7954 | Getlink SE (EUR) (c) | 144253 |
| 5654 | Klepierre S.A. (EUR) (c) | 215824 |
| 13060 | Orange S.A. (EUR) (c) | 198657 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **France (Continued)** |  |
| 1127 | Sanofi S.A. (EUR) (c) | $101172 |
| 2030 | TotalEnergies SE (EUR) (c) | 120715 |
|  |  | 1938786 |
|  | **Germany — 5.0%** |  |
| 401 | Allianz SE (EUR) (c) | 158467 |
| 1191 | Beiersdorf AG (EUR) (c) | 147997 |
| 326 | Deutsche Boerse AG (EUR) (c) | 94340 |
| 3029 | Deutsche Telekom AG <br> (EUR) (c) | 108638 |
| 1838 | Fresenius SE & Co. KGaA <br> (EUR) (c) | 87729 |
| 302 | Hannover Rueck SE (EUR) (c) | 91610 |
| 1932 | Henkel AG & Co. KGaA <br> (EUR) (c) | 137385 |
| 2450 | RWE AG (EUR) (c) | 100512 |
| 636 | Scout24 SE (EUR) (c) (d) (e) | 84996 |
| 1111 | Symrise AG (EUR) (c) | 100709 |
|  |  | 1112383 |
|  | **Hong Kong — 10.3%** |  |
| 33860 | BOC Hong Kong Holdings Ltd. <br> (HKD) (c) | 152040 |
| 53554 | CLP Holdings Ltd. (HKD) (c) | 464837 |
| 506302 | Hong Kong & China Gas Co., <br> Ltd. (HKD) (c) | 451907 |
| 24428 | Link REIT (HKD) (c) | 136107 |
| 70384 | MTR Corp., Ltd. (HKD) (c) | 253190 |
| 51450 | Power Assets Holdings Ltd. <br> (HKD) (c) | 338752 |
| 320709 | Sino Land Co., Ltd. (HKD) (c) | 369681 |
| 12116 | Sun Hung Kai Properties Ltd. <br> (HKD) (c) | 143907 |
|  |  | 2310421 |
|  | **Ireland — 0.5%** |  |
| 1251 | Kerry Group PLC, Class A <br> (EUR) (c) | 115555 |
|  | **Israel — 0.3%** |  |
| 300 | Check Point Software <br> Technologies Ltd. (f) | 55860 |
|  | **Italy — 4.8%** |  |
| 1238 | DiaSorin S.p.A (EUR) (c) | 121033 |
| 16886 | Enel S.p.A. (EUR) (c) | 148906 |
| 7474 | Eni S.p.A. (EUR) (c) | 127562 |
| 3876 | Generali (EUR) (c) | 144598 |
| 10281 | Poste Italiane S.p.A. <br> (EUR) (c) (d) (e) | 222120 |
| 29023 | Snam S.p.A. (EUR) (c) | 168196 |
| 13467 | Terna-Rete Elettrica Nazionale <br> (EUR) (c) | 130306 |
|  |  | 1062721 |
|  | **Japan — 14.6%** |  |
| 2500 | Aeon Co., Ltd. (JPY) (c) | 79857 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** |
|  | **Japan (Continued)** |  |
| 7800 | ANA Holdings, Inc. (JPY) (c) | $144632 |
| 6400 | Asahi Group Holdings Ltd. <br> (JPY) (c) | 81191 |
| 6000 | Astellas Pharma, Inc. (JPY) (c) | 62212 |
| 6100 | Chubu Electric Power Co., Inc. <br> (JPY) (c) | 74608 |
| 1600 | Daito Trust Construction Co., <br> Ltd. (JPY) (c) | 163804 |
| 3000 | Daiwa House Industry Co., Ltd. <br> (JPY) (c) | 99183 |
| 3700 | East Japan Railway Co. <br> (JPY) (c) | 79306 |
| 3600 | Hankyu Hanshin Holdings, Inc. <br> (JPY) (c) | 93822 |
| 10100 | Hulic Co., Ltd. (JPY) (c) | 96331 |
| 3500 | Japan Airlines Co., Ltd. <br> (JPY) (c) | 69501 |
| 3100 | Japan Tobacco, Inc. (JPY) (c) | 88535 |
| 5500 | JFE Holdings, Inc. (JPY) (c) | 63652 |
| 1600 | Kao Corp. (JPY) (c) | 71994 |
| 6400 | KDDI Corp. (JPY) (c) | 105034 |
| 10700 | Kirin Holdings Co., Ltd. <br> (JPY) (c) | 141001 |
| 4700 | MEIJI Holdings Co., Ltd. <br> (JPY) (c) | 95039 |
| 12900 | Mitsubishi HC Capital, Inc. <br> (JPY) (c) | 95352 |
| 3600 | Nippon Steel Corp. (JPY) (c) | 69329 |
| 4400 | Nissin Foods Holdings Co., Ltd. <br> (JPY) (c) | 83460 |
| 118600 | NTT, Inc. (JPY) (c) | 119770 |
| 4000 | Obic Co., Ltd. (JPY) (c) | 142410 |
| 6200 | Ono Pharmaceutical Co., Ltd. <br> (JPY) (c) | 69333 |
| 2900 | Osaka Gas Co., Ltd. (JPY) (c) | 73374 |
| 4200 | Otsuka Corp. (JPY) (c) | 79578 |
| 2800 | Secom Co., Ltd. (JPY) (c) | 100557 |
| 7000 | SG Holdings Co., Ltd. (JPY) (c) | 77661 |
| 3400 | Shimadzu Corp. (JPY) (c) | 75265 |
| 129800 | SoftBank Corp. (JPY) (c) | 187540 |
| 3100 | Suntory Beverage & Food Ltd. <br> (JPY) (c) | 93607 |
| 3300 | Takeda Pharmaceutical Co., Ltd. <br> (JPY) (c) | 90650 |
| 12000 | Tokyu Corp. (JPY) (c) | 135081 |
| 4500 | West Japan Railway Co. <br> (JPY) (c) | 98524 |
| 4400 | Yakult Honsha Co., Ltd. <br> (JPY) (c) | 70785 |
|  |  | 3271978 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Netherlands — 4.5%** |  |
| 2357 | ASR Nederland N.V. (EUR) (c) | $156561 |
| 842 | Euronext N.V. (EUR) (c) (d) (e) | 135721 |
| 1322 | EXOR N.V. (EUR) (c) | 127410 |
| 19 | Ferrovial SE (EUR) (c) | 974 |
| 4054 | Koninklijke Ahold Delhaize <br> N.V. (EUR) (c) | 160119 |
| 36183 | Koninklijke KPN N.V. <br> (EUR) (c) | 161648 |
| 2256 | NN Group N.V. (EUR) (c) | 151909 |
| 735 | Wolters Kluwer N.V. (EUR) (c) | 114483 |
|  |  | 1008825 |
|  | **New Zealand — 0.4%** |  |
| 18527 | Contact Energy Ltd. (NZD) (c) | 99293 |
|  | **Norway — 1.3%** |  |
| 12718 | Orkla ASA (NOK) (c) | 133743 |
| 10595 | Telenor ASA (NOK) (c) | 162537 |
|  |  | 296280 |
|  | **Singapore — 12.5%** |  |
| 182100 | CapitaLand Ascendas REIT <br> (SGD) (c) | 389899 |
| 264100 | CapitaLand Integrated <br> Commercial Trust (SGD) (c) | 445923 |
| 64600 | CapitaLand Investment Ltd. <br> (SGD) (c) | 137585 |
| 3930 | DBS Group Holdings Ltd. <br> (SGD) (c) | 144249 |
| 330700 | Genting Singapore Ltd. <br> (SGD) (c) | 186543 |
| 27400 | Keppel Ltd. (SGD) (c) | 178013 |
| 18600 | Oversea-Chinese Banking Corp., <br> Ltd. (SGD) (c) | 241040 |
| 80500 | Singapore Airlines Ltd. <br> (SGD) (c) | 420465 |
| 50700 | Singapore Telecommunications <br> Ltd. (SGD) (c) | 151094 |
| 7900 | United Overseas Bank Ltd. <br> (SGD) (c) | 219484 |
| 123300 | Wilmar International Ltd. <br> (SGD) (c) | 279072 |
|  |  | 2793367 |
|  | **Spain — 2.6%** |  |
| 5231 | Aena SME S.A. <br> (EUR) (c) (d) (e) | 140861 |
| 8196 | Iberdrola S.A. (EUR) (c) | 144056 |
| 6109 | Redeia Corp. S.A. (EUR) (c) | 118429 |
| 33187 | Telefonica S.A. (EUR) (c) | 171272 |
|  |  | 574618 |
|  | **Sweden — 5.0%** |  |
| 2964 | Alfa Laval AB (SEK) (c) | 128779 |
| 3407 | Assa Abloy AB, Class B <br> (SEK) (c) | 112739 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** | **COMMON STOCKS (a) (b) (Continued)** |
|  | **Sweden (Continued)** |  |
| 4130 | Essity AB, Class B (SEK) (c) | $101836 |
| 3009 | Holmen AB, Class B (SEK) (c) | 111834 |
| 3101 | Industrivarden AB, Class A <br> (SEK) (c) | 114731 |
| 3095 | Industrivarden AB, Class C <br> (SEK) (c) | 114297 |
| 3746 | Investor AB, Class B (SEK) (c) | 108557 |
| 2426 | L E Lundbergforetagen AB, <br> Class B (SEK) (c) | 118333 |
| 8120 | Svenska Cellulosa AB S.C.A., <br> Class B (SEK) (c) | 101834 |
| 29282 | Telia Co., AB (SEK) (c) | 103416 |
|  |  | 1116356 |
|  | **Switzerland — 5.2%** |  |
| 1111 | Banque Cantonale Vaudoise <br> (CHF) (c) | 128570 |
| 1932 | Coca-Cola HBC AG (GBP) (c) | 100411 |
| 1043 | Nestle S.A. (CHF) (c) | 91134 |
| 289 | Schindler Holding AG (CHF) (c) | 104513 |
| 1024 | SGS S.A. (CHF) (c) | 104052 |
| 440 | Sonova Holding AG (CHF) (c) | 119771 |
| 106 | Swiss Life Holding AG <br> (CHF) (c) | 109795 |
| 1161 | Swiss Prime Site AG (CHF) (c) | 160576 |
| 358 | Swisscom AG (CHF) (c) | 248751 |
|  |  | 1167573 |
|  | **United Kingdom — 7.5%** |  |
| 2708 | Admiral Group PLC (GBP) (c) | 122068 |
| 2564 | Coca-Cola Europacific <br> Partners PLC | 248503 |
| 25371 | Haleon PLC (GBP) (c) | 119007 |
| 1013 | InterContinental Hotels <br> Group PLC (GBP) (c) | 116536 |
| 649 | London Stock Exchange <br> Group PLC (GBP) (c) | 79110 |
| 8565 | National Grid PLC (GBP) (c) | 120357 |
| 1891 | Reckitt Benckiser Group PLC <br> (GBP) (c) | 141723 |
| 3044 | RELX PLC (GBP) (c) | 158170 |
| 5889 | Sage Group (The) PLC <br> (GBP) (c) | 94558 |
| 4440 | Shell PLC (GBP) (c) | 159544 |
| 3451 | Unilever PLC (GBP) (c) | 200229 |
| 2615 | Whitbread PLC (GBP) (c) | 105047 |
|  |  | 1664852 |
|  | **Total Common Stocks** | 22122962 |
|  | (Cost $20,754,451) |  |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **MONEY MARKET FUNDS — 0.3%** | **MONEY MARKET FUNDS — 0.3%** | **MONEY MARKET FUNDS — 0.3%** |
| 71148 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 4.20% (g) | $71148 |
|  | (Cost $71,148) |  |
|  | **Total Investments — 99.3%** | 22194110 |
|  | (Cost $20,825,599) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.7%** | 163717 |
|  | **Net Assets — 100.0%** | $22357827 |

---

&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;(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 July 31, 2025, securities noted as such
 are valued at $21,818,599 or 97.6% of net assets. Certain
 of these securities are fair valued using a factor provided
 by a third-party pricing service due to the change in value
 between the foreign markets' close and the New York Stock
 Exchange close exceeding a certain threshold. On days when
 this threshold is not exceeded, these securities are typically
 valued at the last sale price on the exchange on which
 they are principally traded.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) Rate
 shown reflects yield as of July 31, 2025.

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

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | |
|:---|:---|
| 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 | 27.8% |
| JPY | 14.7 |
| SGD | 12.6 |
| HKD | 12.1 |
| AUD | 11.2 |
| GBP | 6.8 |
| SEK | 5.0 |
| CHF | 4.8 |
| USD | 1.7 |
| DKK | 1.5 |
| NOK | 1.3 |
| NZD | 0.5 |
| Total | 100.0% |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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: |  |  |  |  |
| Israel | $55860 | $55860 | $— | $— |
| United Kingdom | 1664852 | 248503 | 1416349 |  |
| Other Country <br> Categories\*<br>| 20402250 |  | 20402250 |  |
| Money Market Funds | 71148 | 71148 |  |  |
| Total Investments | $22194110 | $375511 | $21818599 | $— |

---

&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**

**July 31, 2025**

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS — 99.6%** | **COMMON STOCKS — 99.6%** | **COMMON STOCKS — 99.6%** |
|  | **Aerospace & Defense — 0.4%**  |  |
| 1848 | Hexcel Corp. | $110714 |
|  | **Automobile Components —** <br> **1.3%**  |  |
| 1106 | Autoliv, Inc. | 123374 |
| 8011 | Gentex Corp. | 211651 |
|  |  | 335025 |
|  | **Banks — 2.1%**  |  |
| 3013 | Commerce Bancshares, Inc. | 184396 |
| 5967 | Hilltop Holdings, Inc. | 176623 |
| 2832 | Prosperity Bancshares, Inc. | 188668 |
|  |  | 549687 |
|  | **Building Products — 1.3%**  |  |
| 1151 | Armstrong World Industries, Inc. | 216583 |
| 332 | Carlisle Cos., Inc. | 117764 |
|  |  | 334347 |
|  | **Capital Markets — 2.7%**  |  |
| 506 | Affiliated Managers Group, Inc. | 106194 |
| 6193 | Federated Hermes, Inc. | 306987 |
| 576 | Morningstar, Inc. | 159241 |
| 1697 | SEI Investments Co. | 149540 |
|  |  | 721962 |
|  | **Chemicals — 2.0%**  |  |
| 1501 | Balchem Corp. | 228857 |
| 1570 | Innospec, Inc. | 125443 |
| 1451 | RPM International, Inc. | 170362 |
|  |  | 524662 |
|  | **Commercial Services &** <br> **Supplies — 2.2%**  |  |
| 2623 | ABM Industries, Inc. | 120999 |
| 740 | Clean Harbors, Inc. (a) | 174499 |
| 1572 | MSA Safety, Inc. | 279612 |
|  |  | 575110 |
|  | **Construction & Engineering** <br> **— 0.9%**  |  |
| 2196 | AECOM | 247577 |
|  | **Consumer Finance — 1.0%**  |  |
| 1924 | FirstCash Holdings, Inc. | 256450 |
|  | **Consumer Staples Distribution** <br> **& Retail — 3.3%**  |  |
| 8835 | Albertsons Cos., Inc., Class A | 169809 |
| 1161 | BJ's Wholesale Club Holdings, <br> Inc. (a) | 122950 |
| 316 | Casey's General Stores, Inc. | 164361 |
| 1832 | Performance Food Group Co. (a) | 183933 |
| 2713 | US Foods Holding Corp. (a) | 226074 |
|  |  | 867127 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Containers & Packaging —** <br> **3.8%**  |  |
| 2114 | AptarGroup, Inc. | $332194 |
| 1938 | Crown Holdings, Inc. | 192560 |
| 6316 | Graphic Packaging Holding Co. | 141226 |
| 4489 | Silgan Holdings, Inc. | 208873 |
| 2943 | Sonoco Products Co. | 132641 |
|  |  | 1007494 |
|  | **Diversified Consumer Services** <br> **— 2.0%**  |  |
| 916 | Grand Canyon Education, <br> Inc. (a) | 154465 |
| 2989 | H&R Block, Inc. | 162422 |
| 2898 | Service Corp. International | 221147 |
|  |  | 538034 |
|  | **Diversified REITs — 1.2%**  |  |
| 4173 | Essential Properties Realty Trust, <br> Inc. | 127235 |
| 2908 | WP Carey, Inc. | 186577 |
|  |  | 313812 |
|  | **Electric Utilities — 3.7%**  |  |
| 2811 | IDACORP, Inc. | 352303 |
| 7769 | OGE Energy Corp. | 352868 |
| 522 | Otter Tail Corp. | 40288 |
| 5725 | Portland General Electric Co. | 235412 |
|  |  | 980871 |
|  | **Electronic Equipment,** <br> **Instruments & Components** <br>**— 0.9%**  |  |
| 1138 | Arrow Electronics, Inc. (a) | 132008 |
| 2284 | Avnet, Inc. | 120915 |
|  |  | 252923 |
|  | **Entertainment — 1.2%**  |  |
| 1635 | Madison Square Garden Sports <br> Corp. (a) | 330433 |
|  | **Financial Services — 3.8%**  |  |
| 8840 | Enact Holdings, Inc. | 307278 |
| 4406 | Essent Group Ltd. | 246692 |
| 6328 | MGIC Investment Corp. | 163895 |
| 3558 | NMI Holdings, Inc. (a) | 132785 |
| 5040 | Radian Group, Inc. | 164354 |
|  |  | 1015004 |
|  | **Food Products — 6.0%**  |  |
| 16054 | Flowers Foods, Inc. | 254456 |
| 8615 | Fresh Del Monte Produce, Inc. | 323838 |
| 2000 | Ingredion, Inc. | 263080 |
| 1308 | J & J Snack Foods Corp. | 147660 |
| 756 | Marzetti (The) Company | 134386 |
| 4337 | Post Holdings, Inc. (a) | 458898 |
|  |  | 1582318 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Gas Utilities — 5.3%**  |  |
| 1233 | Chesapeake Utilities Corp. | $147812 |
| 2391 | MDU Resources Group, Inc. | 41245 |
| 2500 | National Fuel Gas Co. | 216975 |
| 7454 | New Jersey Resources Corp. | 342213 |
| 5517 | Northwest Natural Holding Co. | 220239 |
| 1891 | ONE Gas, Inc. | 137476 |
| 559 | Southwest Gas Holdings, Inc. | 43680 |
| 2968 | Spire, Inc. | 221027 |
| 1129 | UGI Corp. | 40847 |
|  |  | 1411514 |
|  | **Ground Transportation —** <br> **1.1%**  |  |
| 1146 | Landstar System, Inc. | 152842 |
| 732 | Ryder System, Inc. | 130084 |
|  |  | 282926 |
|  | **Health Care Providers &** <br> **Services — 2.0%**  |  |
| 419 | Chemed Corp. | 172754 |
| 1745 | Encompass Health Corp. | 192142 |
| 1189 | Ensign Group (The), Inc. | 178350 |
|  |  | 543246 |
|  | **Health Care REITs — 3.1%**  |  |
| 3661 | CareTrust REIT, Inc. | 116420 |
| 8208 | Healthcare Realty Trust, Inc. | 126075 |
| 10465 | LTC Properties, Inc. | 356229 |
| 4305 | Omega Healthcare Investors, Inc. | 167464 |
| 3510 | Sabra Health Care REIT, Inc. | 63285 |
|  |  | 829473 |
|  | **Hotels, Restaurants & Leisure** <br> **— 1.1%**  |  |
| 1264 | Choice Hotels International, Inc. | 161426 |
| 1278 | Churchill Downs, Inc. | 136797 |
|  |  | 298223 |
|  | **Household Products — 1.3%**  |  |
| 6269 | Energizer Holdings, Inc. | 141178 |
| 933 | WD-40 Co. | 200035 |
|  |  | 341213 |
|  | **Independent Power and** <br> **Renewable Electricity** <br>**Producers — 0.2%**  |  |
| 536 | Ormat Technologies, Inc. | 47924 |
|  | **Industrial REITs — 1.0%**  |  |
| 505 | EastGroup Properties, Inc. | 82436 |
| 966 | First Industrial Realty Trust, Inc. | 47064 |
| 5656 | LXP Industrial Trust | 43891 |
| 1116 | Rexford Industrial Realty, Inc. | 40767 |
| 1645 | STAG Industrial, Inc. | 56473 |
|  |  | 270631 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Insurance — 7.6%**  |  |
| 1576 | American Financial Group, Inc. | $196843 |
| 1954 | Assured Guaranty Ltd. | 165269 |
| 2414 | CNO Financial Group, Inc. | 88932 |
| 2909 | Fidelity National Financial, Inc. | 164155 |
| 2425 | First American Financial Corp. | 145621 |
| 1114 | Hanover Insurance Group (The), <br> Inc. | 191196 |
| 4623 | Horace Mann Educators Corp. | 196616 |
| 8130 | Old Republic International Corp. | 294062 |
| 589 | Primerica, Inc. | 156456 |
| 471 | Reinsurance Group of America, <br> Inc. | 90644 |
| 460 | RenaissanceRe Holdings Ltd. | 112120 |
| 3348 | RLI Corp. | 220935 |
|  |  | 2022849 |
|  | **Machinery — 3.1%**  |  |
| 3118 | Donaldson Co., Inc. | 224402 |
| 1982 | Franklin Electric Co., Inc. | 186209 |
| 3482 | Graco, Inc. | 292418 |
| 735 | ITT, Inc. | 124921 |
|  |  | 827950 |
|  | **Marine Transportation —** <br> **0.4%**  |  |
| 1031 | Kirby Corp. (a) | 98265 |
|  | **Media — 0.9%**  |  |
| 4686 | New York Times (The) Co., <br> Class A | 243156 |
|  | **Metals & Mining — 1.0%**  |  |
| 571 | Reliance, Inc. | 165664 |
| 724 | Royal Gold, Inc. | 109628 |
|  |  | 275292 |
|  | **Mortgage REITs — 4.2%**  |  |
| 12089 | Annaly Capital Management, <br> Inc. | 245769 |
| 9731 | ARMOUR Residential REIT, <br> Inc. | 158713 |
| 21271 | Ellington Financial, Inc. | 269929 |
| 14449 | PennyMac Mortgage Investment <br> Trust | 170354 |
| 13609 | Starwood Property Trust, Inc. | 264831 |
|  |  | 1109596 |
|  | **Multi-Utilities — 2.6%**  |  |
| 5592 | Avista Corp. | 208582 |
| 4685 | Black Hills Corp. | 270699 |
| 3884 | Northwestern Energy Group, <br> Inc. | 208571 |
|  |  | 687852 |
|  | **Office REITs — 0.8%**  |  |
| 7361 | COPT Defense Properties | 200808 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **Oil, Gas & Consumable Fuels** <br> **— 1.1%**  |  |
| 9690 | Antero Midstream Corp. | $177811 |
| 1078 | DT Midstream, Inc. | 110743 |
|  |  | 288554 |
|  | **Personal Care Products —** <br> **0.4%**  |  |
| 4581 | Edgewell Personal Care Co. | 115579 |
|  | **Pharmaceuticals — 2.7%**  |  |
| 31895 | Innoviva, Inc. (a) | 579532 |
| 1918 | Prestige Consumer Healthcare, <br> Inc. (a) | 141836 |
|  |  | 721368 |
|  | **Professional Services — 4.6%**  |  |
| 2770 | CSG Systems International, Inc. | 173014 |
| 3465 | Exponent, Inc. | 238947 |
| 1335 | FTI Consulting, Inc. (a) | 222077 |
| 3378 | Genpact Ltd. | 148801 |
| 2388 | KBR, Inc. | 111615 |
| 2099 | Korn Ferry | 148756 |
| 2279 | Maximus, Inc. | 168327 |
|  |  | 1211537 |
|  | **Residential REITs — 1.5%**  |  |
| 3658 | American Homes 4 Rent, <br> Class A | 126896 |
| 3466 | Equity LifeStyle Properties, Inc. | 207683 |
| 3811 | Independence Realty Trust, Inc. | 63910 |
|  |  | 398489 |
|  | **Retail REITs — 4.7%**  |  |
| 5294 | Agree Realty Corp. | 379580 |
| 1600 | Brixmor Property Group, Inc. | 41808 |
| 9362 | Getty Realty Corp. | 260170 |
| 1902 | Kite Realty Group Trust | 41806 |
| 5905 | NNN REIT, Inc. | 243640 |
| 7260 | Phillips Edison & Co., Inc. | 245316 |
| 2181 | Urban Edge Properties | 43009 |
|  |  | 1255329 |
|  | **Software — 1.1%**  |  |
| 2545 | Dolby Laboratories, Inc., <br> Class A | 191740 |
| 2102 | Progress Software Corp. | 101064 |
|  |  | 292804 |
|  | **Specialized REITs — 4.4%**  |  |
| 1161 | CubeSmart | 45175 |
| 1960 | EPR Properties | 107878 |
| 15014 | Four Corners Property Trust, Inc. | 378953 |
| 8721 | Gaming and Leisure Properties, <br> Inc. | 397503 |
| 331 | Lamar Advertising Co., Class A | 40465 |
| 1190 | National Storage Affiliates Trust | 35057 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Specialized REITs (Continued)**  |  |
| 1021 | PotlatchDeltic Corp. | $41749 |
| 5035 | Rayonier, Inc. | 117366 |
|  |  | 1164146 |
|  | **Specialty Retail — 0.5%**  |  |
| 362 | Murphy USA, Inc. | 131218 |
|  | **Tobacco — 0.8%**  |  |
| 3809 | Universal Corp. | 207476 |
|  | **Trading Companies &** <br> **Distributors — 1.2%**  |  |
| 1200 | GATX Corp. | 183228 |
| 1591 | MSC Industrial Direct Co., Inc., <br> Class A | 137812 |
|  |  | 321040 |
|  | **Water Utilities — 1.1%**  |  |
| 1641 | American States Water Co. | 120761 |
| 1707 | California Water Service Group | 77617 |
| 2635 | Essential Utilities, Inc. | 96968 |
|  |  | 295346 |
|  | **Total Common Stocks** | 26437354 |
|  | (Cost $25,516,748) |  |
| **MONEY MARKET FUNDS — 0.3%** | **MONEY MARKET FUNDS — 0.3%** | **MONEY MARKET FUNDS — 0.3%** |
| 70928 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 4.20% (b) | 70928 |
|  | (Cost $70,928) |  |
|  | **Total Investments — 99.9%** | 26508282 |
|  | (Cost $25,587,676) |  |
|  | **Net Other Assets and** <br> **Liabilities — 0.1%** | 23576 |
|  | **Net Assets — 100.0%** | $26531858 |

---

&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 July 31, 2025.

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

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

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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\* | $26437354 | $26437354 | $— | $— |
| Money Market Funds | 70928 | 70928 |  |  |
| Total Investments | $26508282 | $26508282 | $— | $— |

---

&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**

**July 31, 2025**

&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 | $96925867 | &nbsp;&nbsp; $22194110 | &nbsp;&nbsp; $26508282 |
| Foreign currency, at value |  | &nbsp;&nbsp; 415 | &nbsp;&nbsp; — |
| Receivables: |  |  |  |
| Capital shares sold | 13850353 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5306357 |
| Dividends | 55985 | &nbsp;&nbsp; 27236 | &nbsp;&nbsp; 17028 |
| Reclaims |  | &nbsp;&nbsp; 151565 | &nbsp;&nbsp; — |
| Total Assets | 110832205 | &nbsp;&nbsp; 22373326 | &nbsp;&nbsp; 31831667 |
| **LIABILITIES:** |  |  |  |
| Payables: |  |  |  |
| Investment securities purchased | 13828244 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5285138 |
| Investment advisory fees | 51413 | &nbsp;&nbsp; 15499 | &nbsp;&nbsp; 14671 |
| Total Liabilities | 13879657 | &nbsp;&nbsp; 15499 | &nbsp;&nbsp; 5299809 |
| **NET ASSETS** | $96952548 | &nbsp;&nbsp; $22357827 | &nbsp;&nbsp; $26531858 |
| **NET ASSETS consist of:** |  |  |  |
| Paid-in capital | $127561097 | &nbsp;&nbsp; $50288676 | &nbsp;&nbsp; $28695973 |
| Par value | 24500 | &nbsp;&nbsp; 6500 | &nbsp;&nbsp; 7500 |
| Accumulated distributable earnings (loss) | (30633049)<br>| &nbsp;&nbsp; (27937349)<br>| &nbsp;&nbsp; (2171615)<br>|
| **NET ASSETS** | $96952548 | &nbsp;&nbsp; $22357827 | &nbsp;&nbsp; $26531858 |
| **NET ASSET VALUE,** per share | $39.57 | &nbsp;&nbsp; $34.40 | &nbsp;&nbsp; $35.38 |
| Number of shares outstanding (unlimited number of shares authorized, <br> par value $0.01 per share)<br>| 2450002 | &nbsp;&nbsp; 650002 | &nbsp;&nbsp; 750002 |
| Investments, at cost | $90852248 | &nbsp;&nbsp; $20825599 | &nbsp;&nbsp; $25587676 |
| Foreign currency, at cost (proceeds) | $— | &nbsp;&nbsp; $419 | &nbsp;&nbsp; $— |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Year Ended July 31, 2025**

&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 | $1900851 | &nbsp;&nbsp; $1268084 | &nbsp;&nbsp; $578096 |
| Foreign withholding tax |  | &nbsp;&nbsp; (78300)<br>| &nbsp;&nbsp; 11 |
| Total investment income | 1900851 | &nbsp;&nbsp; 1189784 | &nbsp;&nbsp; 578107 |
| **EXPENSES:** |  |  |  |
| Investment advisory fees | 663534<br>| &nbsp;&nbsp; 249503<br>| &nbsp;&nbsp; 172776<br>|
| Total expenses | 663534 | &nbsp;&nbsp; 249503 | &nbsp;&nbsp; 172776 |
| **NET INVESTMENT INCOME (LOSS)** | 1237317 | &nbsp;&nbsp; 940281 | &nbsp;&nbsp; 405331 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |  |
| Net realized gain (loss) on: |  |  |  |
| Investments | 6292861 | &nbsp;&nbsp; 2825377 | &nbsp;&nbsp; (408694)<br>|
| In-kind redemptions | 4129508 | &nbsp;&nbsp; 2605410 | &nbsp;&nbsp; 2383012 |
| Foreign currency transactions |  | &nbsp;&nbsp; (27148)<br>| &nbsp;&nbsp; — |
| Net realized gain (loss) | 10422369 | &nbsp;&nbsp; 5403639 | &nbsp;&nbsp; 1974318 |
| Net change in unrealized appreciation (depreciation) on: |  |  |  |
| Investments | (3247082)<br>| &nbsp;&nbsp; (948582)<br>| &nbsp;&nbsp; (2244428)<br>|
| Foreign currency translation |  | &nbsp;&nbsp; 6092 | &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation) | (3247082)<br>| &nbsp;&nbsp; (942490)<br>| &nbsp;&nbsp; (2244428)<br>|
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 7175287 | &nbsp;&nbsp; 4461149 | &nbsp;&nbsp; (270110)<br>|
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING** <br> **FROM OPERATIONS**<br>| $8412604 | &nbsp;&nbsp; $5401430 | &nbsp;&nbsp; $135221 |

---

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)** |
|  | **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $1237317 | &nbsp;&nbsp; $1199137 | &nbsp;&nbsp; $940281 | &nbsp;&nbsp; $1050949 |
| Net realized gain (loss) | 10422369 | &nbsp;&nbsp; 2937309 | &nbsp;&nbsp; 5403639 | &nbsp;&nbsp; (937947)<br>|
| Net change in unrealized appreciation (depreciation) | (3247082)<br>| &nbsp;&nbsp; 6000129 | &nbsp;&nbsp; (942490)<br>| &nbsp;&nbsp; 1726564 |
| Net increase (decrease) in net assets resulting from <br> operations<br>| 8412604 | &nbsp;&nbsp; 10136575 | &nbsp;&nbsp; 5401430 | &nbsp;&nbsp; 1839566 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (1244276)<br>| &nbsp;&nbsp; (1247780)<br>| &nbsp;&nbsp; (1034818)<br>| &nbsp;&nbsp; (1148497)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 33227443<br>| &nbsp;&nbsp; 10187754<br>| &nbsp;&nbsp; 4802205<br>| &nbsp;&nbsp; —<br>|
| Cost of shares redeemed | (31086858) <br>| &nbsp;&nbsp; (23469661) <br>| &nbsp;&nbsp; (19708370) <br>| &nbsp;&nbsp; (8480968) <br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| 2140585 | &nbsp;&nbsp; (13281907)<br>| &nbsp;&nbsp; (14906165)<br>| &nbsp;&nbsp; (8480968)<br>|
| Total increase (decrease) in net assets | 9308913 | &nbsp;&nbsp; (4393112)<br>| &nbsp;&nbsp; (10539553)<br>| &nbsp;&nbsp; (7789899)<br>|
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 87643635 | &nbsp;&nbsp; 92036747 | &nbsp;&nbsp; 32897380 | &nbsp;&nbsp; 40687279 |
| End of period | $96952548 | &nbsp;&nbsp; $87643635 | &nbsp;&nbsp; $22357827 | &nbsp;&nbsp; $32897380 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 2400002 | &nbsp;&nbsp; 2800002 | &nbsp;&nbsp; 1100002 | &nbsp;&nbsp; 1400002 |
| Shares sold | 850000 | &nbsp;&nbsp; 300000 | &nbsp;&nbsp; 150000 | &nbsp;&nbsp; — |
| Shares redeemed | (800000)<br>| &nbsp;&nbsp; (700000)<br>| &nbsp;&nbsp; (600000)<br>| &nbsp;&nbsp; (300000)<br>|
| Shares outstanding, end of period | 2450002 | &nbsp;&nbsp; 2400002 | &nbsp;&nbsp; 650002 | &nbsp;&nbsp; 1100002 |

---

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)** |
| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| $405331 | &nbsp;&nbsp; $243487 |
| 1974318 | &nbsp;&nbsp; 469641 |
| (2244428)<br>| &nbsp;&nbsp; 1799653 |
| 135221 | &nbsp;&nbsp; 2512781 |
| (370621)<br>| &nbsp;&nbsp; (241506)<br>|
| 16040926<br>| &nbsp;&nbsp; 3200218<br>|
| (9040772) <br>| &nbsp;&nbsp; (4795606) <br>|
| 7000154 | &nbsp;&nbsp; (1595388)<br>|
| 6764754 | &nbsp;&nbsp; 675887 |
| 19767104 | &nbsp;&nbsp; 19091217 |
| $26531858 | &nbsp;&nbsp; $19767104 |
| 550002 | &nbsp;&nbsp; 600002 |
| 450000 | &nbsp;&nbsp; 100000 |
| (250000)<br>| &nbsp;&nbsp; (150000)<br>|
| 750002 | &nbsp;&nbsp; 550002 |

---

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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.51<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) | 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 | 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 | (0.51) <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 | $39.57<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) | 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) | $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 | 0.70<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 net assets | 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 (c) | 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) 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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.95<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) | 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 | 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 | (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 | $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) | 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) | $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 | 0.80<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 assets | 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 (d) | 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) The
 Fund received a reimbursement from the advisor in the amount of $6,254, 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) 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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.68<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) | (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 | 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 | (0.62) <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; (0.00) (b)<br>|
| Total distributions | (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 | $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) | 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) | $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 | 0.80<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 assets | 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 (d) | 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) 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**

**July 31, 2025**

&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. Foreign 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:

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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.

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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 July 31, 2025, 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.

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

&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;

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| | | | |
|:---|:---|:---|:---|
|  | 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; — |

---

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2024 were as follows:

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

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| | | | |
|:---|:---|:---|:---|
|  | 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 | $1247780 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| First Trust Horizon Managed Volatility Developed International ETF | 1148497 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| First Trust Horizon Managed Volatility Small/Mid ETF | 241506 | &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;

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| | | | |
|:---|:---|:---|:---|
|  | 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 |

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**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 July 31, 2025, 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

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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;

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

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

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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.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2025, the adjustments for each Fund were as follows:

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

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| | | | |
|:---|:---|:---|:---|
|  | Accumulated <br>Net Investment <br>Income (Loss)<br>| Accumulated <br>Net Realized <br>Gain (Loss) <br>on Investments<br>| Paid-In <br>Capital<br>|
| First Trust Horizon Managed Volatility Domestic ETF | $— | &nbsp;&nbsp; $(4108738)<br>| &nbsp;&nbsp; $4108738 |
| First Trust Horizon Managed Volatility Developed International ETF | 44706 | &nbsp;&nbsp; (2555921)<br>| &nbsp;&nbsp; 2511215 |
| First Trust Horizon Managed Volatility Small/Mid ETF |  | &nbsp;&nbsp; (2324033)<br>| &nbsp;&nbsp; 2324033 |

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As of July 31, 2025, 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;

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| | | | | |
|:---|:---|:---|:---|:---|
|  | 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 | $90871815 | &nbsp;&nbsp; $7820754 | &nbsp;&nbsp; $(1766702)<br>| &nbsp;&nbsp; $6054052 |
| First Trust Horizon Managed Volatility Developed <br> International ETF<br>| 20958098 | &nbsp;&nbsp; 1900251 | &nbsp;&nbsp; (664239)<br>| &nbsp;&nbsp; 1236012 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 25824497 | &nbsp;&nbsp; 1800218 | &nbsp;&nbsp; (1116433)<br>| &nbsp;&nbsp; 683785 |

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**F. Expenses**

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

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

**G. Segment Reporting**

Each Fund has adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosures only and did not affect each Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 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 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;

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| | | |
|:---|:---|:---|
| 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>|

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

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| | |
|:---|:---|
| 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>|

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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.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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 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 allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Committee Chairs, the Audit Committee Vice Chair, the Lead Independent Trustee and the Vice Lead Independent Trustee rotate periodically in serving in such capacities. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the fiscal year ended July 31, 2025, 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;

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| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust Horizon Managed Volatility Domestic ETF | $80528909 | &nbsp;&nbsp; $80529698 |
| First Trust Horizon Managed Volatility Developed International ETF | 27710834 | &nbsp;&nbsp; 27913065 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 14613185 | &nbsp;&nbsp; 14518339 |

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For the fiscal year ended July 31, 2025, 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;

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| | | |
|:---|:---|:---|
|  | Purchases | Sales |
| First Trust Horizon Managed Volatility Domestic ETF | $33123099 | &nbsp;&nbsp; $30990920 |
| First Trust Horizon Managed Volatility Developed International ETF | 4657686 | &nbsp;&nbsp; 19576559 |
| First Trust Horizon Managed Volatility Small/Mid ETF | 15980104 | &nbsp;&nbsp; 9018388 |

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**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

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**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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.

**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.

------

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statements of assets and liabilities of First Trust Horizon Managed Volatility Domestic ETF, First Trust Horizon Managed Volatility Developed International ETF, and First Trust Horizon Managed Volatility Small/Mid ETF (the "Funds"), each a series of the First Trust Exchange-Traded Fund III, including the portfolios of investments, as of July 31, 2025, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2025, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois

September 22, 2025

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

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (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 fiscal year ended July 31, 2025.

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

There were no matters submitted for vote by shareholders of any Fund during the fiscal year ended July 31, 2025.

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

Independent Trustees and any member of any advisory board 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)**

The Board of Trustees of First Trust Exchange-Traded Fund III (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Advisory Agreement" and collectively, the "Advisory Agreements") with First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreements, the "Agreements") among the Trust, the Advisor and Horizon Investments, LLC (the "Sub-Advisor") on behalf of the following series of the Trust (each a "Fund" and collectively, the "Funds"):

First Trust Horizon Managed Volatility Developed International ETF (HDMV)

First Trust Horizon Managed Volatility Domestic ETF (HUSV)

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

The Board approved the continuation of the applicable Agreements for each Fund for a one-year period ending June 30, 2026 at a meeting held on June 8–9, 2025. The Board determined for each Fund that the continuation of the applicable Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2025 and June 8–9, 2025, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor and the Sub-Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the sub-advisory fee as compared to fees charged to other clients of the Sub-Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Board reviewed initial materials with the Advisor at the meeting held on April 22, 2025, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 8–9, 2025 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor continue to be reasonable

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

business arrangements from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund's unitary fee.

In reviewing the applicable Agreements for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the applicable Agreements. With respect to the Advisory Agreements, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor's day-to-day management of each Fund's investments, including portfolio risk monitoring and performance review. The Board considered that the Sub-Advisor is responsible for the selection and ongoing monitoring of the securities in the Funds' investment portfolios, but that the Advisor executes each Fund's portfolio trades. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2025 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board noted that each Fund is an actively-managed ETF and the Sub-Advisor actively manages the Fund's investments. The Board reviewed the materials provided by the Sub-Advisor and considered the services that the Sub-Advisor provides to each Fund, including the Sub-Advisor's day-to-day management of the Funds' investments. In considering the Sub-Advisor's management of the Funds, the Board noted the background and experience of the Sub-Advisor's portfolio management team, including the Board's prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed each Fund consistent with its investment objective, policies and restrictions.

The Board considered the unitary fee rate schedule payable by each Fund under the applicable Advisory Agreement for the services provided. The Board noted that the sub-advisory fee for each Fund is paid by the Advisor from the Fund's unitary fee. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Advisory Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for HDMV was equal to the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio for each of HUSV and HSMV was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, including that HDMV's Expense Group included both actively-managed ETFs and open-end mutual funds, and different business models that may affect the pricing of services among ETF sponsors. The Board also noted that, for each Fund, not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and the Sub-Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information comparing each Fund's performance for periods ended December 31, 2024 to the performance of the funds in its Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that HDMV underperformed its Performance Universe median and benchmark index for the one-, three- and five-year periods

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

ended December 31, 2024; that HUSV underperformed its Performance Universe median and benchmark index for the one-, three- and five-year periods ended December 31, 2024; and that HSMV outperformed its Performance Universe median and benchmark index for the one-year period ended December 31, 2024 and underperformed its Performance Universe median and benchmark index for the three-year period ended December 31, 2024. The Board noted the Advisor's discussion of HDMV's and HUSV's performance at the April 22, 2025 meeting.

On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to each Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for each Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor's statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2024 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

The Board considered the Sub-Advisor's statements to the effect that it is difficult to know if or precisely when measurable economies of scale will be achieved for the Sub-Advisor and that the Sub-Advisor presumes expenses related to providing services will remain approximately the same over the next twelve months. The Board noted that the Advisor pays the Sub-Advisor for each Fund from the unitary fee, that the sub-advisory fee will be reduced consistent with the breakpoints in the unitary fee rate schedule and its understanding that each Fund's sub-advisory fee was the product of an arm's length negotiation. The Board did not review the profitability of the Sub-Advisor with respect to each Fund. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered the potential indirect benefits to the Sub-Advisor from being associated with the Advisor and the Funds. The Board noted that the Sub-Advisor is not responsible for coordinating execution of Fund trades and that the only known indirect benefit the Sub-Advisor receives from managing the Funds is publicity related to managing an ETF in a closely monitored sector of the ETF universe. The Board concluded that the character and amount of potential indirect benefits to the Sub-Advisor were not unreasonable.

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

**Federal Tax Information**

For the taxable year ended July 31, 2025, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations:

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

---

| | |
|:---|:---|
|  | Dividends Received <br>Deduction<br>|
| First Trust Horizon Managed Volatility Domestic ETF | 100.00<br> %<br>|

---

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

---

| | |
|:---|:---|
|  | Dividends Received<br> Deduction<br>|
| First Trust Horizon Managed Volatility Developed <br> International ETF<br>| 0.00<br> %<br>|
| First Trust Horizon Managed Volatility Small/Mid ETF | 81.96<br> %<br>|

---

For the taxable year ended July 31, 2025, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income:

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

---

| | |
|:---|:---|
|  | Qualified Dividend <br>Income<br>|
| First Trust Horizon Managed Volatility Domestic ETF | 100.00<br> %<br>|
| First Trust Horizon Managed Volatility Developed <br> International ETF<br>| 86.68<br> %<br>|
| First Trust Horizon Managed Volatility Small/Mid ETF | 81.96<br> %<br>|

---

A portion of each of the Funds' 2025 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2025, may be eligible for the Qualified Business Income (QBI) Deduction under the Internal Revenue Code of 1986, as amended (the "Code"), Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.

The following Fund meets the requirements of Section 853 of the Code and elects to pass through to its shareholders credit for foreign taxes paid. For the taxable year ended July 31, 2025, the total amounts of income received by the Fund from sources within foreign countries and possessions of the United States and of taxes paid to such countries are as follows:

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Gross Foreign Income | Gross Foreign Income | Foreign Taxes Paid | Foreign Taxes Paid |
|  | Amount | Per Share | Amount | Per Share |
| First Trust Horizon Managed Volatility Developed International <br> ETF<br>| $1262496 | &nbsp;&nbsp;&nbsp; $1.94 | &nbsp;&nbsp;&nbsp; $55931 | &nbsp;&nbsp;&nbsp; $0.09 |

---

------

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

Annual Financial Statements and Other Information <br> For the Year Ended July 31, 2025

![](imgaac591cf1.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)**

**Annual Financial Statements and Other Information**

**July 31, 2025** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_SOI-TOC-ScheduleofInvestments-4457_1) | 1 |
| [Statement of Assets and Liabilities](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_SAL1-TOC-StatementofAssetsandLiabilities-4457_1) | 3 |
| [Statement of Operations](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_SOP1-TOC-StatementofOperations-4457_1) | 4 |
| [Statements of Changes in Net Assets](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_SOC1-TOC-StatementofChanges-4457_1) | 5 |
| [Financial Highlights](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_FIHI-TOC-FinancialHighlights-4457_1) | 6 |
| [Notes to Financial Statements](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_NTF-TOC-NotestoFinancialStatements-4457_1) | 7 |
| [Report of Independent Registered Public Accounting Firm](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_AUD-TOC-RIRPAFirm-4457_1) | 13 |
| [Other Information](#xx_ab31d93b-3b62-4615-a24f-bda74731c95a_AI-TOC-AdditionalInformation-4457_1) | 14 |

---

**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**

**July 31, 2025**

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS — 53.4%** | **COMMON STOCKS — 53.4%** | **COMMON STOCKS — 53.4%** |
|  | **Consumer Staples Distribution** <br> **& Retail — 7.0%**  |  |
| 57601 | SpartanNash Co. | $1528731 |
| 74063 | Walgreens Boots Alliance, <br> Inc. (a) | 862093 |
|  |  | 2390824 |
|  | **Diversified Telecommunication** <br> **Services — 2.6%**  |  |
| 24115 | Frontier Communications Parent, <br> Inc. (b) | 885985 |
|  | **Financial Services — 3.9%**  |  |
| 136272 | AvidXchange Holdings, Inc. (b) | 1343642 |
|  | **Food Products — 3.1%**  |  |
| 13200 | Kellanova | 1053756 |
|  | **Health Care Equipment &** <br> **Supplies — 2.0%**  |  |
| 19335 | Surmodics, Inc. (b) | 694127 |
|  | **Health Care Providers &** <br> **Services — 4.7%**  |  |
| 16349 | Amedisys, Inc. (a) (b) | 1612011 |
|  | **Insurance — 1.5%**  |  |
| 21287 | ProAssurance Corp. (b) | 505779 |
|  | **IT Services — 4.5%**  |  |
| 63082 | Couchbase, Inc. (b) | 1530369 |
|  | **Professional Services — 3.9%**  |  |
| 147741 | Dun & Bradstreet Holdings, <br> Inc. (a) | 1344443 |
|  | **Software — 12.7%**  |  |
| 467675 | E2open Parent Holdings, Inc. (b) | 1543327 |
| 48544 | Informatica, Inc., Class A (b) | 1199037 |
| 151123 | Olo, Inc., Class A (b) | 1583769 |
|  |  | 4326133 |
|  | **Textiles, Apparel & Luxury** <br> **Goods — 4.0%**  |  |
| 21546 | Skechers USA, Inc., <br> Class A (a) (b) | 1362785 |
|  | **Trading Companies &** <br> **Distributors — 3.5%**  |  |
| 10864 | GMS, Inc. (b) | 1191129 |
|  | **Total Common Stocks** | 18240983 |
|  | (Cost $18,040,371) |  |
| **RIGHTS — 0.0%** | **RIGHTS — 0.0%** | **RIGHTS — 0.0%** |
|  | **Biotechnology — 0.0%** |  |
| 43869 | Chinook Therapeutics, Inc., <br> expiring December 21, <br> 2029 (b) (c) (d) (e) | 0 |
| 100745 | Icosavax, Inc., expiring <br> January 1, 2029 (b) (c) (d) (e) | 0 |
|  |  | 0 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
|  | **Health Care Equipment &** <br> **Supplies — 0.0%** |  |
| 7137 | ABIOMED, Inc., expiring <br> December 31, <br> 2029 (b) (c) (d) (e) | $0 |
| 97345 | Paragon 28, Inc., expiring <br> December 31, <br> 2026 (b) (c) (d) (e) | 0 |
|  |  | 0 |
|  | **Pharmaceuticals — 0.0%** |  |
| 39856 | Mirati Therapeutics, Inc., <br> expiring January 23, <br> 2031 (b) (c) (d) (e) | 0 |
|  | **Total Rights** | 0 |
|  | (Cost $0) |  |
| **MONEY MARKET FUNDS — 30.4%** | **MONEY MARKET FUNDS — 30.4%** | **MONEY MARKET FUNDS — 30.4%** |
| 10390723 | Dreyfus Government Cash <br> Management Fund, <br> Institutional Shares - <br> 4.20% (f) | 10390723 |
|  | (Cost $10,390,723) |  |
|  | **Total Investments — 83.8%** | 28631706 |
|  | (Cost $28,431,094) |  |
|  | **Net Other Assets and** <br> **Liabilities — 16.2%** | 5546665 |
|  | **Net Assets — 100.0%** | $34178371 |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) This
 security or a portion of this security is segregated as collateral
 for investments sold short. At July 31, 2025, the segregated
 value of these securities amounts to $2,181,642.

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) 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;(d) 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 July 31, 2025, securities noted as such
 are valued at $0 or 0.0% of net assets.

&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 July 31, 2025.

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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\* | $18240983 | $18240983 | $— | $— |
| Rights\* | —\*\* |  |  | —\*\* |
| Money Market Funds | 10390723 | 10390723 |  |  |
| Total Investments | $28631706 | $28631706 | $— | $—\*\* |

---

&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**

**July 31, 2025**

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

---

| | |
|:---|:---|
| **ASSETS:** |  |
| Investments, at value | $28631706 |
| Cash | 530 |
| Due from broker | 5517184 |
| Receivables: |  |
| Dividends | 49469 |
| Margin interest rebate | 14587 |
| Reclaims | 887 |
| Total Assets | 34214363 |
| **LIABILITIES:** |  |
| Investment advisory fees payable | 35992 |
| Total Liabilities | 35992 |
| **NET ASSETS** | $34178371 |
| **NET ASSETS consist of:** |  |
| Paid-in capital | $33186706 |
| Par value | 16500 |
| Accumulated distributable earnings (loss) | 975165 |
| **NET ASSETS** | $34178371 |
| **NET ASSET VALUE,** per share | $20.71 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1650002 |
| Investments, at cost | $28431094 |

---

See Notes to Financial Statements

------

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

**Statement of Operations**

**For the Year Ended July 31, 2025**

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

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** |  |
| Dividends | $497011 |
| Margin interest rebate | 285830 |
| Foreign withholding tax | (565)<br>|
| Total investment income | 782276 |
| **EXPENSES:** |  |
| Investment advisory fees | 383862<br>|
| Dividend expense on investments sold short | 121493 |
| Total expenses | 505355 |
| **NET INVESTMENT INCOME (LOSS)** | 276921 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |
| Net realized gain (loss) on: |  |
| Investments | 1713973 |
| In-kind redemptions | 44840 |
| Investments sold short | (646442)<br>|
| Net realized gain (loss) | 1112371 |
| Net change in unrealized appreciation (depreciation) on: |  |
| Investments | (296151)<br>|
| Investments sold short | 649473 |
| Net change in unrealized appreciation (depreciation) | 353322 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 1465693 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $1742614 |

---

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;

---

| | | |
|:---|:---|:---|
|  | **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| **OPERATIONS:** |  |  |
| Net investment income (loss) | $276921 | &nbsp;&nbsp; $644507 |
| Net realized gain (loss) | 1112371 | &nbsp;&nbsp; (293089)<br>|
| Net change in unrealized appreciation (depreciation) | 353322 | &nbsp;&nbsp; 815460 |
| Net increase (decrease) in net assets resulting from operations | 1742614 | &nbsp;&nbsp; 1166878 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |
| Investment operations | (513881)<br>| &nbsp;&nbsp; (1423250)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |
| Proceeds from shares sold | 7957076<br>| &nbsp;&nbsp; 6965011<br>|
| Cost of shares redeemed | (5989375) <br>| &nbsp;&nbsp; (44721426) <br>|
| Net increase (decrease) in net assets resulting from shareholder transactions | 1967701 | &nbsp;&nbsp; (37756415)<br>|
| Total increase (decrease) in net assets | 3196434 | &nbsp;&nbsp; (38012787)<br>|
| **NET ASSETS:** |  |  |
| Beginning of period | 30981937 | &nbsp;&nbsp; 68994724 |
| End of period | $34178371 | &nbsp;&nbsp; $30981937 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |
| Shares outstanding, beginning of period | 1550002 | &nbsp;&nbsp; 3450002 |
| Shares sold | 400000 | &nbsp;&nbsp; 350000 |
| Shares redeemed | (300000)<br>| &nbsp;&nbsp; (2250000)<br>|
| Shares outstanding, end of period | 1650002 | &nbsp;&nbsp; 1550002 |

---

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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.18<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) | 0.90<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 | 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 | (0.36) <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; (0.18) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.10) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Total distributions | (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 | $20.71<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) | 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) | $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 | 1.65<br> % (d)<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 excluding dividend <br> expense and margin interest expense<br>| 1.25<br> % (d)<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 assets | 0.90<br> % (d)<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 (e) | 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) 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;(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 Merger Arbitrage ETF (MARB)**

**July 31, 2025**

&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. 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 not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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 July 31, 2025, 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 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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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 fiscal year ended July 31, 2025, the Fund had margin interest rebate of $285,830 as shown on the Statement of Operations. The Fund did not hold any securities sold short at July 31, 2025.

**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 years ended July 31, 2025 and 2024 was as follows:

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

---

| | | |
|:---|:---|:---|
| Distributions paid from: | 2025 | 2024 |
| Ordinary income | $513881 | &nbsp;&nbsp; $1423250 |
| Capital gains |  | &nbsp;&nbsp; — |
| Return of capital |  | &nbsp;&nbsp; — |

---

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 July 31, 2025, 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.

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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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.

During the taxable year ended July 31, 2025, the Fund utilized $238,871 of capital loss carryforwards.

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.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Fund and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2025, the adjustments for the Fund were as follows:

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

---

| | | |
|:---|:---|:---|
| Accumulated <br>Net Investment <br>Income (Loss)<br>| Accumulated <br>Net Realized <br>Gain (Loss) <br>on Investments<br>| Paid-In <br>Capital<br>|
| $65562 | &nbsp;&nbsp; $(110272)<br>| &nbsp;&nbsp; $44710 |

---

As of July 31, 2025, 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>|
| $28431094 | &nbsp;&nbsp; $322888 | &nbsp;&nbsp; $(122276)<br>| &nbsp;&nbsp; $200612 |

---

**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**

The Fund has adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosures only and did not affect the Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

"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;

---

| | |
|:---|:---|
| 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 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 allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Committee Chairs, the Audit Committee Vice Chair, the Lead Independent Trustee and the Vice Lead Independent Trustee rotate periodically in serving in such capacities. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the fiscal year ended July 31, 2025, the cost of purchases and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were $44,354,185 and $56,367,123, respectively. The cost of purchases to cover short sales and the proceeds from short sales were $10,558,592 and $2,285,499, respectively.

For the fiscal year ended July 31, 2025, the cost of in-kind purchases and proceeds from in-kind sales were $4,464,964 and $3,421,426, respectively. For the fiscal year ended July 31, 2025, 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

------

**Notes to Financial Statements (Continued)**

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

**July 31, 2025**

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.

**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 were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

------

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of First Trust Merger Arbitrage ETF (the "Fund"), one of the funds constituting the First Trust Exchange-Traded Fund III, as of July 31, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2025 and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois

September 23, 2025

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

------

**Other Information**

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

**July 31, 2025 (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 fiscal year ended July 31, 2025.

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

There were no matters submitted for vote by shareholders of the Fund during the fiscal year ended July 31, 2025.

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

Independent Trustees and any member of any advisory board 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)**

The Board of Trustees of First Trust Exchange-Traded Fund III (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the First Trust Merger Arbitrage ETF (the "Fund") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, on behalf of the Fund, the Advisor and First Trust Capital Management L.P. (the "Sub-Advisor"). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2026 at a meeting held on June 8–9, 2025. The Board determined that the continuation of the Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2025 and June 8–9, 2025, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the sub-advisory fee as compared to fees charged to other clients of the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any indirect benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Board reviewed initial materials with the Advisor at the meeting held on April 22, 2025, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 8–9, 2025 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor continue to be reasonable business arrangements from the Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund's unitary fee.

In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the

------

**Other Information (Continued)**

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

**July 31, 2025 (Unaudited)**

Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2025 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board noted that the Fund is an actively-managed ETF and the Sub-Advisor actively manages the Fund's investments. The Board reviewed the materials provided by the Sub-Advisor and considered the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor's day-to-day management of the Fund's investments. In considering the Sub-Advisor's management of the Fund, the Board noted the background and experience of the Sub-Advisor's portfolio management team, including the Board's prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objective, policies and restrictions.

The Board considered the unitary fee rate schedule payable by the Fund under the Advisory Agreement for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from the unitary fee. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Advisory Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, including the limited number of actively-managed ETFs following a merger arbitrage strategy, and different business models that may affect the pricing of services among ETF sponsors. The Board also noted that not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedule overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and the Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. The Board received and reviewed information comparing the Fund's performance for periods ended December 31, 2024 to the performance of the funds in the Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that the Fund underperformed the Performance Universe median and the benchmark index for the one- and three-year periods ended December 31, 2024.

On the basis of all the information provided on the unitary fee and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund at current asset levels and whether the Fund may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for the Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will increase during the next twelve months as the Advisor continues to build infrastructure

------

**Other Information (Continued)**

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

**July 31, 2025 (Unaudited)**

and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Fund. The Board concluded that the unitary fee rate schedule for the Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2024 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has an ownership interest in the Sub-Advisor and considered potential indirect benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

The Board considered the Sub-Advisor's statement that it believes that the sub-advisory fee is appropriate based on expected economies of scale and current fee breakpoints in place. The Board noted the Sub-Advisor's statements that the majority of its expenses are fixed and are shared and allocated across various funds advised or sub-advised by the Sub-Advisor and that it has added additional personnel over the past year. The Board noted that the Advisor pays the Sub-Advisor from the unitary fee, that the sub-advisory fee will be reduced consistent with the breakpoints in the unitary fee rate schedule and its understanding that the Fund's sub-advisory fee was the product of an arm's length negotiation. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered the potential indirect benefits to the Sub-Advisor from being associated with the Advisor and the Fund, and noted the Sub-Advisor's statement that, although it benefits from the name recognition associated with its role as sub-advisor to the Fund, it has not received and does not anticipate receiving any reduction in fees incurred for research or other services as a result of its management of the Fund. The Board also noted the Sub-Advisor's statement that the Sub-Advisor did not use soft dollars for the Fund during the year ended December 31, 2024 and does not intend to in the near future. The Board noted the potential indirect benefits to the Sub-Advisor from the ownership interest of FTCP in the Sub-Advisor. The Board concluded that the character and amount of potential indirect benefits to the Sub-Advisor were not unreasonable.

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

**Federal Tax Information**

For the taxable year ended July 31, 2025, the following percentages of income dividends paid by the Fund qualify for the dividends received deduction available to corporations and are hereby designated as qualified dividend income:

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

---

| | |
|:---|:---|
| Dividends Received Deduction | Qualified Dividend Income |
| 18.34<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18.34<br> %<br>|

---

------

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

Annual Financial Statements and Other Information <br> For the Year Ended July 31, 2025

![](imgf3f740cf1.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**

**Annual Financial Statements and Other Information**

**July 31, 2025** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SOI-TOC-ScheduleofInvestments-4446_1) |  |
| [First Trust Short Duration Managed Municipal ETF (FSMB)](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SOI-TOC-ScheduleofInvestments-4446_1) | 1 |
| [First Trust Ultra Short Duration Municipal ETF (FUMB)](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SOI-TOC-ScheduleofInvestments-4449_1) | 18 |
| [Statements of Assets and Liabilities](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SAL1-TOC-StatementofAssetsandLiabilities-4446_1) | 26 |
| [Statements of Operations](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SOP1-TOC-StatementofOperations-4446_1) | 27 |
| [Statements of Changes in Net Assets](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_SOC1-TOC-StatementofChanges-4446_1) | 28 |
| [Financial Highlights](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_FIHI-TOC-FinancialHighlights-4446_1) | 29 |
| [Notes to Financial Statements](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_NTF-TOC-NotestoFinancialStatements-4446_1) | 31 |
| [Report of Independent Registered Public Accounting Firm](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_AUD-TOC-RIRPAFirm-4446_1) | 38 |
| [Other Information](#xx_25519f8d-d3e7-4568-aa47-3e3178288b06_AI-TOC-AdditionalInformation-4446_1) | 39 |

---

**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**

**July 31, 2025**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 98.7%** | **MUNICIPAL BONDS — 98.7%** | **MUNICIPAL BONDS — 98.7%** | **MUNICIPAL BONDS — 98.7%** | **MUNICIPAL BONDS — 98.7%** |
|  | **Alabama — 6.0%** | **Alabama — 6.0%** | **Alabama — 6.0%** |  |
| $130000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No 4, Ser A-1 <br> (Mandatory put 12/01/25) | 4.00% | 12/01/49 | $130247 |
| 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 | 1042875 |
| 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 | 493601 |
| 1165000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/27 | 1215862 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory <br> put 06/01/29) | 5.25% | 02/01/53 | 1049395 |
| 745000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser D | 5.00% | 11/01/31 | 792049 |
| 3385000 | Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1 <br> (Mandatory put 06/01/27) | 4.00% | 07/01/52 | 3420765 |
| 1000000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser B (Mandatory <br> put 12/01/30) | 5.25% | 12/01/53 | 1074344 |
| 1000000 | Energy SE AL A Cooperative Dist Energy Sply Rev, Ser B <br> (Mandatory put 06/01/32) | 5.25% | 07/01/54 | 1071822 |
| 2470000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put <br> 12/01/25) | 4.00% | 12/01/50 | 2474756 |
| 200000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 195587 |
| 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 | 2004579 |
| 2315000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put <br> 10/01/28) | 4.00% | 11/01/51 | 2326115 |
| 2095000 | SE Energy Auth AL Cmdy Sply Rev Proj #2, Ser B | 4.00% | 06/01/30 | 2132601 |
| 500000 | SE Energy Auth AL Cmdy Sply Rev Proj No 3, Ser A-1 | 5.00% | 12/01/26 | 510898 |
| 6000000 | SE Energy Auth AL Cooperative, Ser C (Mandatory put 11/01/32) | 5.00% | 10/01/55 | 6372692 |
| 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 | 1961431 |
|  |  |  |  | 28269619 |
|  | **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 | 1408512 |
| 1025000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, <br>Ser B (a) | 5.00% | 07/01/29 | 1035422 |
| 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 | 680986 |
| 740000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada <br> & St Rose Cmps, Ser A (a) | 5.00% | 07/15/28 | 747154 |
| 50000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 50455 |
| 230000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (a) | 4.00% | 07/15/26 | 229452 |
| 430000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV <br> Proj, Ser A (a) | 4.00% | 07/15/31 | 414265 |
| 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 | 500780 |
| 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 | 1271728 |
| 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 | 1001254 |
| 100000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs <br> Paragon Mgmt Inc (a) | 4.00% | 07/01/26 | 99771 |
|  |  |  |  | 7439779 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 — 5.2%** | **California — 5.2%** | **California — 5.2%** |  |
| $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 | $351710 |
| 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 | 4474261 |
| 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 | 1046271 |
| 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 | 966000 |
| 1250000 | CA St Hlth Facs Fing Auth Rev Initial Entrance Fees, Ser A | 3.85% | 11/15/27 | 1250459 |
| 1160000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A <br> (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 1160174 |
| 525000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas <br> Projs, Ser A | 5.00% | 08/15/25 | 525448 |
| 2000000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1966227 |
| 1000000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt <br> Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 999681 |
| 1310000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt <br> Inc, Ser B-2, AMT (Mandatory put 11/03/25) | 3.13% | 11/01/40 | 1307008 |
| 1000000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs <br> Inc Proj Remk, AMT (Mandatory put 08/15/25) (a) | 3.70% | 07/01/43 | 999988 |
| 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 | 2023251 |
| 350000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies <br> Oceanside Proj, Ser A (a) | 4.00% | 10/01/27 | 351746 |
| 80000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/25 | 80040 |
| 100000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs <br> Ranch | 4.00% | 09/01/26 | 101000 |
| 475000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/30 | 507790 |
| 260000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/32 | 278324 |
| 730000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/29 | 782194 |
| 730000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/31 | 768066 |
| 1000000 | Los Angeles CA Trans | 5.00% | 06/25/26 | 1024105 |
| 500000 | Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch | 5.00% | 09/01/30 | 530689 |
| 525000 | Ontario CA Cmnty Facs Dist #64 Spl Tax Sunset Ranch | 5.00% | 09/01/31 | 558317 |
| 70000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 3.00% | 09/01/25 | 69959 |
| 85000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/26 | 85588 |
| 2000000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Sr Priv Activity, Ser <br> B, AMT | 5.00% | 07/01/31 | 2177258 |
| 145000 | San Francisco CA City & Cnty Dev Spl Tax Dist No Mission Rock <br> Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 145681 |
| 100000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 100978 |
|  |  |  |  | 24632213 |
|  | **Colorado — 2.9%** | **Colorado — 2.9%** | **Colorado — 2.9%** |  |
| 500000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch <br> Univ Lab Bldg Corp (a) | 5.00% | 12/15/28 | 502050 |
| 400000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/26 | 410144 |
| 1035000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/31 | 1098854 |
| 505000 | CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs | 5.00% | 12/01/29 | 539165 |
| 1000000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty <br> Proj, Ser A | 5.25% | 05/15/30 | 1021003 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $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 | $1090765 |
| 2000000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser C <br> (Mandatory put 08/15/28) | 5.00% | 05/15/62 | 2120603 |
| 1250000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/29 | 1316093 |
| 1290000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/31 | 1345644 |
| 1000000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/34 | 1030036 |
| 1000000 | Denver City & Cnty CO Arpt Rev Var Ref, Ser B2, AMT <br> (Mandatory put 11/15/25) | 5.00% | 11/15/31 | 1004764 |
| 520000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/25 | 523113 |
| 20000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax <br> Supported, Ser A | 5.00% | 12/01/31 | 20107 |
| 500000 | Sand Creek CO Met Dist Ref Ltd Tax, Ser A | 4.00% | 12/01/31 | 498133 |
| 1055000 | Traditions CO Met Dist #2 Ref, BAM | 5.00% | 12/01/32 | 1080449 |
|  |  |  |  | 13600923 |
|  | **Connecticut — 1.4%** | **Connecticut — 1.4%** | **Connecticut — 1.4%** |  |
| 215000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 5.00% | 07/01/30 | 230177 |
| 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 | 133242 |
| 1365000 | CT St Hsg Fin Auth Ref St Supported Spl Oblig, Ser 21, AMT | 4.00% | 06/15/30 | 1370560 |
| 525000 | CT St Ref, Ser B | 5.00% | 12/01/28 | 566950 |
| 2000000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/30 | 2047499 |
| 140000 | CT St Spl Tax Oblig Rev, Ser B | 5.00% | 10/01/27 | 147526 |
| 2000000 | Stamford CT Hsg Auth Mozaic Concierge Living Proj, Ser D | 4.25% | 10/01/30 | 2018376 |
|  |  |  |  | 6514330 |
|  | **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 | 2404887 |
|  | **District of Columbia — 0.7%** | **District of Columbia — 0.7%** | **District of Columbia — 0.7%** |  |
| 1250000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/31 | 1359540 |
| 1000000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/28 | 1062190 |
| 1060000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/30 | 1108577 |
|  |  |  |  | 3530307 |
|  | **Florida — 8.6%** | **Florida — 8.6%** | **Florida — 8.6%** |  |
| 200000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the <br> Univ of FL Inc Proj | 4.00% | 10/01/25 | 200091 |
| 1165000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt <br> Area 3A (a) | 4.50% | 11/01/29 | 1189346 |
| 130000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2021 | 2.38% | 05/01/26 | 128509 |
| 110000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, <br>Ser 2022 | 4.13% | 05/01/27 | 110388 |
| 55000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 2.63% | 05/01/26 | 54514 |
| 645000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.13% | 05/01/31 | 612329 |
| 105000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 106833 |
| 1285000 | Broward Cnty FL Port Facs Rev Sr Bond, Ser B, AMT | 5.00% | 09/01/28 | 1355697 |
| 235000 | Cross Creek N CDD FL Spl Assmnt, Ser 2022 | 3.40% | 05/01/27 | 234867 |
| 415000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 409750 |
| 100000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 98331 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $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 | $348154 |
| 500000 | FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A | 4.00% | 09/01/30 | 513557 |
| 150000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy <br> Projs, Ser A | 4.00% | 07/01/28 | 152358 |
| 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 | 1260858 |
| 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 | 2006601 |
| 1750000 | FL St Hsg Fin Corp Var The Sailx On Vine, Ser E (Mandatory put <br> 06/01/27) | 3.80% | 06/01/42 | 1758248 |
| 500000 | GIR E CDD FL Capital Impt Rev Assmnt Area One | 4.30% | 05/01/32 | 498943 |
| 845000 | Hidden Creek N Cmnty Dev Dist FL Spl Assmnt, Ser A1 | 4.00% | 11/01/30 | 848877 |
| 2200000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel <br> Assmnt Area (a) | 3.50% | 05/01/31 | 2128216 |
| 1250000 | Hillsborough Cnty FL Hsg Fin Auth Mf Rev Var The Loop <br> (Mandatory put 07/01/28) | 3.45% | 01/01/43 | 1251562 |
| 295000 | Hyde Park CDD #1 FL Spl Assmnt, Ser A | 4.75% | 05/01/31 | 296894 |
| 1000000 | Kingston One CDD FL Spl Assmnt Assmnt Area One 2025 Proj <br> Area | 4.25% | 05/01/30 | 1006851 |
| 750000 | Lakes By The Bay S FL CDD Assmnt Ref | 5.00% | 05/01/27 | 766313 |
| 340000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector <br> Proj Phase 1A | 4.25% | 05/01/28 | 342925 |
| 1000000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point, Ser <br> 2024B-3 (Temps-50) | 4.13% | 11/15/29 | 1006927 |
| 240000 | Lee Cnty FL Indl Dev Auth Hosp Rev Exchange Ref Lee Hlth <br> Sys, Ser 2019 A-1 | 5.00% | 04/01/35 | 248075 |
| 605000 | Liberty Cove CDD FL Spl Assmnt Rev Assmnt Area One Proj | 4.80% | 05/01/31 | 608688 |
| 190000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area <br> One Proj, Ser A | 2.50% | 05/01/26 | 187968 |
| 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 | 131763 |
| 1500000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ of <br> Miami, Ser A | 5.00% | 04/01/33 | 1668348 |
| 2035000 | Miami-Dade Cnty FL Sch Brd Ref, Ser C, COPS | 5.00% | 02/01/32 | 2054377 |
| 2000000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/30 | 2139789 |
| 105000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 103900 |
| 3675000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys <br> Inc Oblig Grp | 5.00% | 11/15/32 | 3715585 |
| 420000 | Parrish Lakes CDD Capital Impt Rev Assmnt Area Three | 5.00% | 05/01/31 | 425042 |
| 85000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 83796 |
| 355000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 359523 |
| 1000000 | S Kendall FL CDD Spl Assmnt Ref | 4.00% | 11/01/31 | 998182 |
| 450000 | Saltleaf CDD FL Capital Impt Rev | 4.75% | 05/01/31 | 456720 |
| 840000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (a) | 3.75% | 06/15/31 | 821498 |
| 740000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.50% | 11/01/29 | 750804 |
| 50000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 49500 |
| 160000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 156269 |
| 70000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 69353 |
| 465000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 3.30% | 05/01/31 | 443050 |
| 665000 | The Heights CDD FL Spl Assmnt Rev CDD | 4.00% | 01/01/28 | 667793 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $220000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | $215887 |
| 780000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AG | 3.00% | 05/01/26 | 779772 |
| 825000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AG | 3.00% | 05/01/28 | 827891 |
| 220000 | Two Rivers W CDD FL Spl Assmnt Proj, Ser 2024 | 4.80% | 05/01/31 | 222993 |
| 405000 | V-Dana CDD FL Spl Assmnt Assmnt Area Two 2025 Proj Area | 4.45% | 05/01/32 | 407956 |
| 95000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 94192 |
| 850000 | Venice FL Temps 50 Vlg on The Isle Proj, Ser B-3 (a) | 4.25% | 01/01/30 | 852271 |
| 575000 | Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E <br> Proj | 4.25% | 05/01/31 | 581583 |
| 185000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 186233 |
| 425000 | Volusia Cnty FL Eductnl Fac Auth Stetson Univ Inc Proj | 5.00% | 06/01/30 | 455812 |
| 1120000 | W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1 | 4.50% | 05/01/32 | 1123381 |
| 65000 | Westside Haines City CDD Spl Assmnt Area One Proj | 2.50% | 05/01/26 | 64438 |
|  |  |  |  | 40640371 |
|  | **Georgia — 5.3%** | **Georgia — 5.3%** | **Georgia — 5.3%** |  |
| 2000000 | Appling Cnty GA Dev Auth Var GA Pwr Co Plt Hatch Proj (b) | 2.85% | 09/01/41 | 2000000 |
| 2000000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/26 | 2042349 |
| 2500000 | Atlanta GA Urban Rsdl Fin Auth Mf Hsg Rev Var N Block <br> (Mandatory put 02/01/28) | 3.40% | 02/01/29 | 2529846 |
| 2475000 | Bartow Cnty GA Dev Auth Var GA Pwr Comp Plant Bowen Proj <br> Remk (Mandatory put 08/19/25) | 2.88% | 08/01/43 | 2474324 |
| 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 | 255311 |
| 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 | 884532 |
| 1000000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co <br> Vogtle, 1st Ser (b) | 2.85% | 07/01/49 | 1000000 |
| 800000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co <br> Plant Vogtle Proj (b) | 2.80% | 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 | 1501724 |
| 250000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth <br> Sys Inc Proj, Ser B | 5.00% | 04/01/27 | 259684 |
| 420000 | GA St Hsg & Fin Auth Rev Ref, Ser C | 3.50% | 06/01/31 | 421678 |
| 650000 | GA St Hsg & Fin Auth Rev Ref, Ser C | 3.55% | 12/01/31 | 652058 |
| 2000000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/29 | 2108056 |
| 880000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 09/01/27) | 4.00% | 07/01/52 | 889466 |
| 510000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put <br> 12/01/29) | 4.00% | 09/01/52 | 510812 |
| 800000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/26 | 811497 |
| 1290000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put <br> 09/01/26) | 4.00% | 03/01/50 | 1293037 |
| 1830000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 04/01/31) | 5.00% | 04/01/54 | 1941627 |
| 100000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put <br> 12/01/30) | 5.00% | 05/01/54 | 105587 |
| 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 | 1706700 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $500000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M Bonds, <br>Ser A | 5.00% | 01/01/38 | $511726 |
| 405000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M, Ser A, AG | 5.00% | 07/01/28 | 432026 |
|  |  |  |  | 25132040 |
|  | **Guam — 0.1%** | **Guam — 0.1%** | **Guam — 0.1%** |  |
| 250000 | Guam Govt Busn Privilege Tax Rev Ref, Ser F | 5.00% | 01/01/28 | 259133 |
|  | **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 | 1018414 |
|  | **Illinois — 4.2%** | **Illinois — 4.2%** | **Illinois — 4.2%** |  |
| 80000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 81317 |
| 110000 | Chicago IL Brd of Edu Ref, Ser A | 5.00% | 12/01/26 | 111696 |
| 625000 | Chicago IL Brd of Edu Sustainable Bond, Ser E | 5.13% | 12/01/32 | 625140 |
| 500000 | Chicago IL Midway Arpt Rev Ref Sr Lien, Ser A, AMT, BAM | 5.00% | 01/01/27 | 512507 |
| 2000000 | Chicago IL Midway Arpt Rev Ref Sr, Ser C, AMT | 5.00% | 01/01/33 | 2148180 |
| 520000 | Chicago IL O'Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT | 5.00% | 01/01/29 | 532556 |
| 500000 | Chicago IL O'Hare Intl Arpt Rev Ref Sr Lien O'Hare Intl Arpt, Ser <br> C, AMT | 5.00% | 01/01/26 | 505020 |
| 2000000 | IL St Fin Auth Gas Sply Rev Peoples Gas Light & Coke Co Remk | 3.90% | 03/01/30 | 1999953 |
| 225000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 233359 |
| 2000000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/30 | 2057489 |
| 2000000 | IL St Hsg Dev Auth Mf Hsg Rev Var 6900 Crandon (Mandatory <br> put 02/01/26) | 5.00% | 02/01/27 | 2019977 |
| 2000000 | IL St Muni Elec Agy Pwr Sply Ref, Ser A | 5.00% | 02/01/26 | 2002682 |
| 500000 | IL St Sales Tax Rev Ref, Subser C, BAM | 4.00% | 06/15/27 | 503174 |
| 250000 | IL St, Ser B | 5.00% | 05/01/28 | 263863 |
| 2365000 | IL St, Ser C | 5.00% | 11/01/29 | 2462386 |
| 710000 | Railsplitter IL Tobacco Stlmt Auth (Pre-refunded maturity <br> 06/01/26) | 5.00% | 06/01/27 | 724449 |
| 1055000 | Rock Island Cnty IL Sch Dist #41 Rock Island, BAM | 5.00% | 12/01/29 | 1127869 |
| 1000000 | Sales Tax Securitization Corp IL Ref, Ser C | 5.25% | 01/01/35 | 1047067 |
| 1000000 | Wauconda IL Spl Svc Area #1 Spl Tax Ref, BAM | 5.00% | 03/01/33 | 1000859 |
|  |  |  |  | 19959543 |
|  | **Indiana — 1.9%** | **Indiana — 1.9%** | **Indiana — 1.9%** |  |
| 950000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, <br> AMT (Mandatory put 09/02/25) | 3.95% | 05/01/28 | 950437 |
| 2000000 | IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co <br> Proj, Ser A | 1.40% | 08/01/29 | 1809296 |
| 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 | 550960 |
| 1480000 | IN St Fin Auth Hlth Fac Rev Margaret Mary Hlth Proj, Ser A | 5.00% | 03/01/30 | 1567380 |
| 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 | 1335139 |
| 55000 | IN St Fin Auth Rev BHI Sr Living, Ser A | 4.00% | 11/15/26 | 55113 |
| 570000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/27 | 584011 |
| 600000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/28 | 623803 |
| 1550000 | 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 | 1570693 |
|  |  |  |  | 9046832 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **Iowa — 0.7%** | **Iowa — 0.7%** | **Iowa — 0.7%** |  |
| $1000000 | IA St Brd Regents Hosp Rev Univ of IA Hlth Cares Hosp Sys, Ser <br> A | 5.00% | 09/01/27 | $1048869 |
| 2395000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 2420284 |
|  |  |  |  | 3469153 |
|  | **Kansas — 1.1%** | **Kansas — 1.1%** | **Kansas — 1.1%** |  |
| 1000000 | Dodge City KS Temp Nts, Ser 2023-1 | 4.13% | 09/01/25 | 1001061 |
| 2660000 | Johnson Cnty KS Unif Sch Dist #512 Shawnee Mission Ref, Ser A | 3.25% | 10/01/28 | 2661429 |
| 1370000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref <br> Sales Tax KS Intl Speedway Corp Proj | 5.00% | 12/01/25 | 1372161 |
|  |  |  |  | 5034651 |
|  | **Kentucky — 3.2%** | **Kentucky — 3.2%** | **Kentucky — 3.2%** |  |
| 1000000 | Boone Cnty KY Poll Control Rev Ref Duke Energy KY Inc Proj <br> Remk, Ser A | 3.70% | 08/01/27 | 1008902 |
| 1065000 | KY St Interlocal Sch Transprtn Assn Equipment Lease Re, COPS | 4.00% | 03/01/29 | 1101326 |
| 1000000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser A (Mandatory put <br> 12/01/29) | 5.25% | 06/01/55 | 1056049 |
| 1060000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/28 | 1109226 |
| 1135000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B (Mandatory put <br> 08/01/32) | 5.00% | 01/01/55 | 1201041 |
| 325000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put <br> 02/01/28) | 4.00% | 02/01/50 | 326512 |
| 330000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton <br> Hlthcare Inc, Ser A | 5.00% | 10/01/25 | 331047 |
| 2000000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton <br> Hlthcare Inc, Ser C (b) | 2.75% | 10/01/53 | 2000000 |
| 1100000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj <br> Sustainable Bond, Ser B-1 (b) | 3.25% | 08/01/61 | 1100000 |
| 1860000 | Owensboro KY Wtr Rev Ref & Impt | 3.50% | 09/15/31 | 1862981 |
| 1195000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AG | 5.00% | 10/01/30 | 1223387 |
| 1000000 | Trimble Cnty KY Envrnmntl Facs Rev Ref Louisville Gas Elec Co <br> Proj, Ser A | 3.75% | 06/01/33 | 992818 |
| 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 | 1597762 |
|  |  |  |  | 14911051 |
|  | **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 | 1227034 |
| 1150000 | LA St Pub Facs Auth Sol Wst Disp Fac Rev Var Elementus <br> Minerals LLC Proj (Mandatory put 11/01/25) (a) | 5.00% | 10/01/43 | 1153556 |
| 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 | 4023085 |
|  |  |  |  | 6403675 |
|  | **Maine — 0.4%** | **Maine — 0.4%** | **Maine — 0.4%** |  |
| 1000000 | ME St Fin Auth Sol Wst Disp Rev Casella Waste Sys Proj, AMT <br> (Mandatory put 08/01/25) (a) | 5.13% | 08/01/35 | 1000000 |
| 320000 | ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A | 3.45% | 11/15/31 | 320029 |
| 525000 | ME St Hsg Auth Mtge Pur Sustainable Bonds, Ser A | 3.55% | 11/15/32 | 529229 |
|  |  |  |  | 1849258 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **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 | $436181 |
| 345000 | Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at <br> Marley Station, Ser D-1 | 3.60% | 02/01/32 | 350301 |
| 3000000 | Cmnty Dev Admin MD Mf Dev Rev Sustainable Bonds Vlgs at <br> Marley Station, Ser D-2 | 3.30% | 01/01/29 | 3032833 |
| 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 | 1577697 |
| 1000000 | MD St First Ser | 4.00% | 06/01/29 | 1001912 |
| 2000000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Var Univ of MD Med <br> Sys Issue, Ser C-1 (b) | 2.75% | 07/01/55 | 2000000 |
|  |  |  |  | 8398924 |
|  | **Massachusetts — 0.6%** | **Massachusetts — 0.6%** | **Massachusetts — 0.6%** |  |
| 2000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.00% | 07/01/29 | 2118612 |
| 580000 | MA St Dev Fin Agy Rev Ref Partners Hlthcare Sys, Ser Q | 5.00% | 07/01/31 | 590482 |
|  |  |  |  | 2709094 |
|  | **Michigan — 1.7%** | **Michigan — 1.7%** | **Michigan — 1.7%** |  |
| 220000 | Detroit MI | 5.00% | 04/01/26 | 222550 |
| 435000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref 2nd <br> Lien, Ser C | 5.00% | 07/01/36 | 438919 |
| 500000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref Sr <br> Lien, Ser B | 5.00% | 07/01/31 | 508763 |
| 400000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.00% | 07/01/29 | 436066 |
| 1155000 | MI St Fin Auth Rev Multi Modal McLaren Hlth Care, Ser A | 5.00% | 02/15/29 | 1236544 |
| 155000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser A | 5.00% | 05/15/27 | 155268 |
| 1790000 | MI St Fin Auth Rev Var Trinity Hlth Credit Grp, Ser B (Mandatory <br> put 12/01/28) | 5.00% | 12/01/43 | 1897138 |
| 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 | 1972739 |
| 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 | 959240 |
|  |  |  |  | 7827227 |
|  | **Minnesota — 0.1%** | **Minnesota — 0.1%** | **Minnesota — 0.1%** |  |
| 550000 | Minneapolis Saint Paul MN Met Arpts Commn Arpt Rev Ref <br> Sub, Ser B, AMT | 5.00% | 01/01/35 | 567366 |
|  | **Mississippi — 1.1%** | **Mississippi — 1.1%** | **Mississippi — 1.1%** |  |
| 675000 | Gulfport MS Hosp Fac Rev Memorial Hosp at Gulfport Proj | 5.00% | 07/01/32 | 730245 |
| 1330000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc PJ, Ser A (b) | 2.75% | 12/01/30 | 1330000 |
| 1850000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA <br> Inc PJ, Ser E (b) | 2.75% | 12/01/30 | 1850000 |
| 1150000 | Warren Cnty MS Gulf Opportunity Zone Ref Intl Paper Co Proj <br> Remk | 4.00% | 09/01/32 | 1155335 |
|  |  |  |  | 5065580 |
|  | **Missouri — 1.8%** | **Missouri — 1.8%** | **Missouri — 1.8%** |  |
| 1000000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intl <br> Arpt, Ser A, AMT | 5.00% | 03/01/30 | 1074346 |
| 1000000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes <br> Hlth Sys Inc | 4.00% | 11/15/33 | 1000893 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **Missouri (Continued)** | **Missouri (Continued)** | **Missouri (Continued)** |  |
| $1000000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref, Ser C <br> (Mandatory put 05/01/28) | 5.00% | 05/01/52 | $1061192 |
| 760000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/28 | 765458 |
| 650000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Proj, Ser B | 5.00% | 02/01/28 | 654127 |
| 500000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/29 | 522750 |
| 485000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/30 | 510904 |
| 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 | 1589722 |
| 450000 | Phelps Cnty MO Hosp Rev Phelps Hlth (c) | 5.00% | 12/01/32 | 489302 |
| 1000000 | St Louis Cnty MO Indl Dev Auth Sr Living Facs Friendship Vlg <br> Sunset Hills, Ser A | 5.50% | 09/01/33 | 999907 |
|  |  |  |  | 8668601 |
|  | **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 | 2037074 |
|  | **Nebraska — 0.7%** | **Nebraska — 0.7%** | **Nebraska — 0.7%** |  |
| 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 | 1050082 |
| 1500000 | Centrl Plains Energy Proj NE Gas Sply Rev, Subser A-1 <br> (Mandatory put 08/01/31) | 5.00% | 08/01/55 | 1593095 |
| 400000 | Muni Energy Agy of NE Ref | 5.00% | 04/01/28 | 411309 |
| 250000 | Omaha NE Pub Dist Elec Rev Ref Sys, Ser A | 5.00% | 02/01/28 | 252929 |
|  |  |  |  | 3307415 |
|  | **Nevada — 0.9%** | **Nevada — 0.9%** | **Nevada — 0.9%** |  |
| 120000 | Clark Cnty NV Sch Dist Bldg Cr, Ser B, AG | 5.00% | 06/15/31 | 127398 |
| 240000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 240168 |
| 930000 | Las Vegas NV Spl Impt Dist #812 Loc Impt Summerlin Vlg 24 | 5.00% | 12/01/31 | 933401 |
| 225000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.00% | 06/01/26 | 220977 |
| 100000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.50% | 06/01/28 | 95170 |
| 355000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/27 | 355198 |
| 2000000 | NV St Hsg Div Var Carville Park Apartments (Mandatory put <br> 07/01/27) | 5.00% | 07/01/28 | 2078590 |
|  |  |  |  | 4050902 |
|  | **New Hampshire — 1.3%** | **New Hampshire — 1.3%** | **New Hampshire — 1.3%** |  |
| 1175000 | Natl Fin Auth NH Pollution Control Rev Ref NY St Elec & Gas <br> Corp Proj, Ser A, AMT | 4.00% | 12/01/28 | 1190465 |
| 1100000 | Natl Fin Auth NH Rev Winston Salem Sustainable Energy <br> Partners, Ser A | 5.00% | 06/01/31 | 1187338 |
| 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 | 1998439 |
| 1000000 | Natl Fin Auth NH Spl Rev Provence Proj, CABS (a) (c) | (d) | 12/01/31 | 662482 |
| 700000 | Natl Fin Auth NH Spl Rev Emberly and Canterra Creek Projs (a) | 5.38% | 12/01/31 | 699722 |
| 300000 | NH St Hlth & Edu Facs Auth Rev Ref Dartmouth Hlth Oblig Grp <br> Issue | 5.00% | 08/01/31 | 328078 |
|  |  |  |  | 6066524 |
|  | **New Jersey — 1.7%** | **New Jersey — 1.7%** | **New Jersey — 1.7%** |  |
| 2000000 | NJ St | 2.00% | 06/01/29 | 1906498 |
| 580000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit <br> Transprtn Proj Bonds, Ser A | 5.00% | 11/01/26 | 597601 |
| 2000000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (a) | 5.25% | 09/01/26 | 2057887 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 | 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 | $1497757 |
| 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 | 982085 |
| 1000000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser C, AMBAC, <br> CABS | (d) | 12/15/25 | 989796 |
|  |  |  |  | 8031624 |
|  | **New Mexico — 1.1%** | **New Mexico — 1.1%** | **New Mexico — 1.1%** |  |
| 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 | 2025267 |
| 3180000 | NM St Muni Energy Acq Auth Gas Sply Ref (Mandatory put <br> 11/01/30) | 5.00% | 06/01/54 | 3376260 |
|  |  |  |  | 5401527 |
|  | **New York — 4.3%** | **New York — 4.3%** | **New York — 4.3%** |  |
| 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 | 2022862 |
| 285000 | Kings Park NY Centrl Sch Dist, Ser B | 3.00% | 07/15/31 | 277908 |
| 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 | 2260265 |
| 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 | 2042362 |
| 2000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev <br> Adjustable 2nd Gen Resolution Fiscal 2014, Ser AA-1 (b) | 2.75% | 06/15/50 | 2000000 |
| 4000000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref <br> Var 2nd Gen Resolution, Subser BB-1 (b) | 2.80% | 06/15/44 | 4000000 |
| 340000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal <br> 2018, Ser S-1 | 5.00% | 07/15/35 | 349997 |
| 1875000 | NY Energy Fin Dev Corp Var (Mandatory put 12/01/33) | 5.00% | 07/01/56 | 1955738 |
| 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 | 3145523 |
| 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 | 299982 |
| 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 | 503961 |
| 205000 | 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 | 201997 |
| 1180000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 1183105 |
|  |  |  |  | 20243700 |
|  | **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 | 404010 |
| 1500000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Ref <br> Carolina Remk, Ser C (b) | 2.85% | 01/15/37 | 1500000 |
| 1080000 | Charlotte NC Arpt Rev Charlotte Douglas Intl Arpt, Ser B, AMT | 5.00% | 07/01/27 | 1121824 |
| 250000 | Charlotte NC Arpt Rev, Ser A | 5.00% | 07/01/30 | 260134 |
| 400000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 419915 |
| 2800000 | NC St Hsg Fin Agy Mf Hsg Rev Var Fitch Irick Portfolio <br> (Mandatory put 04/01/28) | 5.00% | 04/01/29 | 2950900 |
| 375000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For <br> The Aging Ref, Ser A | 4.00% | 03/01/29 | 376560 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 Carolina (Continued)** | **North Carolina (Continued)** | **North Carolina (Continued)** |  |
| $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 | $1078044 |
| 3435000 | NC St Med Care Commn Hosp Rev Caromont Hlth, Ser B <br> (Mandatory put 02/01/26) | 5.00% | 02/01/51 | 3467943 |
| 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 | 681323 |
| 1090000 | NC St Med Care Commn Retmnt Facs Rev Temps 50 Penick Vlg <br> Proj, Ser B-3 | 4.25% | 09/01/28 | 1090191 |
| 1050000 | NC St Med Care Commn Retmnt Facs Rev United Methodist <br> Retmnt Homes, Ser 2024B-2 | 3.75% | 10/01/28 | 1050433 |
| 170000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/29 | 181924 |
| 1500000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/34 | 1527133 |
| 1580000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 1604903 |
|  |  |  |  | 17715237 |
|  | **North Dakota — 0.7%** | **North Dakota — 0.7%** | **North Dakota — 0.7%** |  |
| 2000000 | Cass Cnty ND Jt Wtr Res Dist Ref and Impt, Ser A | 3.45% | 04/01/27 | 2001918 |
| 1400000 | ND St Hsg Fin Agy Sustainable Bonds, Ser C | 3.45% | 01/01/26 | 1402462 |
|  |  |  |  | 3404380 |
|  | **Ohio — 2.5%** | **Ohio — 2.5%** | **Ohio — 2.5%** |  |
| 1000000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put <br> 08/01/30) | 5.00% | 02/01/55 | 1059156 |
| 325000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/30 | 351365 |
| 350000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/31 | 379722 |
| 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 | 947985 |
| 1000000 | OH St Air Quality Dev Auth OH Vly Elec Corp Proj Remk, Ser C <br> (Mandatory put 11/04/25) | 1.50% | 02/01/26 | 990333 |
| 3330000 | 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 | 3378560 |
| 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 | 776055 |
| 1770000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/33 | 1840954 |
| 2000000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (b) | 2.55% | 01/15/51 | 2000000 |
|  |  |  |  | 11724130 |
|  | **Oklahoma — 0.9%** | **Oklahoma — 0.9%** | **Oklahoma — 0.9%** |  |
| 1500000 | Canadian Cnty OK Eductnl Facs Auth Educ Facs Lease Rev Yukon <br> Pub Sch Proj | 5.00% | 09/01/27 | 1567703 |
| 1000000 | McClain Cnty OK Indep Sch Dist #1 New Castle Comb Purp | 5.00% | 07/01/26 | 1019711 |
| 300000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest <br> City De City Pub Schs Proj | 5.00% | 10/01/26 | 307098 |
| 375000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow <br> Pub Sch Proj | 5.00% | 09/01/30 | 412243 |
| 835000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow <br> Pub Sch Proj | 5.00% | 09/01/31 | 924743 |
|  |  |  |  | 4231498 |
|  | **Oregon — 0.7%** | **Oregon — 0.7%** | **Oregon — 0.7%** |  |
| 660000 | Astoria OR Hosp Facs Auth Columbia Memorial Hosp Proj | 5.00% | 08/01/31 | 715410 |
| 260000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/27 | 269822 |
| 2000000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2023247 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |
|  | **Oregon (Continued)** | **Oregon (Continued)** | **Oregon (Continued)** |  |
| $260000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 4.00% | 05/15/29 | $262389 |
| 100000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 101272 |
|  |  |  |  | 3372140 |
|  | **Pennsylvania — 4.3%** | **Pennsylvania — 4.3%** | **Pennsylvania — 4.3%** |  |
| 1200000 | Adams Cnty PA Gen Auth Rev Ref The Brethren Home Cmnty <br> Proj, Ser B-2 | 3.60% | 06/01/29 | 1192692 |
| 450000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at <br> Wyomissing, Ser A | 5.00% | 05/15/32 | 456260 |
| 2000000 | Chester Cnty PA Indl Dev Auth Nts Avon Grove Chrt Sch | 5.00% | 03/01/27 | 2026849 |
| 2450000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj <br> Remk, Ser A | 3.00% | 09/01/29 | 2465023 |
| 1000000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Draw <br> Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put <br> 01/15/26) | 3.85% | 04/01/49 | 999351 |
| 2000000 | 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 | 2008396 |
| 1250000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Wst Mgmt <br> Inc Proj Remk, AMT (Mandatory put 11/03/25) | 4.10% | 08/01/45 | 1250000 |
| 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 | 2234779 |
| 405000 | PA St Ref, 1st Ser | 5.00% | 09/15/27 | 415933 |
| 1380000 | PA St Turnpike Commn Turnpike Rev Ref Mtr License Fund Enh <br> Trn Pke Subord | 5.00% | 12/01/30 | 1418961 |
| 1000000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/29 | 1006693 |
| 375000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser A | 5.00% | 12/01/36 | 380527 |
| 2370000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT | 5.00% | 07/01/32 | 2531027 |
| 865000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, <br> 14th Ser | 5.00% | 10/01/29 | 884829 |
| 830000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, <br> 14th Ser | 5.00% | 10/01/33 | 846341 |
|  |  |  |  | 20117661 |
|  | **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 | 219305 |
|  | **South Carolina — 1.7%** | **South Carolina — 1.7%** | **South Carolina — 1.7%** |  |
| 250000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 244669 |
| 2000000 | Greenville Cnty SC Sch Dist Installment Pur Rev Ref SC Proj | 5.00% | 12/01/25 | 2016425 |
| 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 | 1003259 |
| 650000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at <br> Furman | 4.00% | 11/15/27 | 649225 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/27 | 257955 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/28 | 260561 |
| 200000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/29 | 209849 |
| 225000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/30 | 236627 |
| 250000 | SC St Jobs Econ Dev Auth Hlthcare Rev Beaufort Memorial Hosp <br> & S of Broad Hlthcare Proj | 5.00% | 11/15/31 | 262520 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 Carolina (Continued)** | **South Carolina (Continued)** | **South Carolina (Continued)** |  |
| $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 | $1343429 |
| 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 | 1696307 |
|  |  |  |  | 8180826 |
|  | **South Dakota — 0.2%** | **South Dakota — 0.2%** | **South Dakota — 0.2%** |  |
| 990000 | SD St Hsg Dev Auth Ref Homeownership Mtge, Ser E, AMT | 2.80% | 11/01/25 | 987962 |
|  | **Tennessee — 2.4%** | **Tennessee — 2.4%** | **Tennessee — 2.4%** |  |
| 350000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Belmont Univ | 5.00% | 05/01/28 | 369415 |
| 1000000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Vanderbilt Univ Med Ctr, Ser A | 5.00% | 07/01/31 | 1089674 |
| 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 | 1012742 |
| 450000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/27 | 465977 |
| 2260000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 12/01/29) | 5.00% | 10/01/54 | 2380605 |
| 1490000 | TN Hsg Dev Agy Rsdl Fin Prog Rev Non Ace Issue 1C, AMT | 3.65% | 07/01/30 | 1490088 |
| 1895000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1897415 |
| 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 | 2576536 |
| 250000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 254784 |
|  |  |  |  | 11537236 |
|  | **Texas — 10.9%** | **Texas — 10.9%** | **Texas — 10.9%** |  |
| 250000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Uplift Edu, Ser A | 4.00% | 12/01/30 | 253177 |
| 150000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory <br> Inc | 5.00% | 08/15/27 | 157395 |
| 150000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory <br> Inc | 5.00% | 08/15/28 | 160853 |
| 500000 | Arlington TX Hsg Fin Corp Mf Hsg Rev Var 6900 Matlok Road <br> (Mandatory put 04/01/27) | 4.50% | 04/01/41 | 505047 |
| 2000000 | Austin TX Ref | 3.15% | 09/01/28 | 2000290 |
| 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 | 310798 |
| 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 | 335008 |
| 1135000 | Centrl TX Regl Mobility Auth Rev, Ser C, BANS | 5.00% | 01/01/27 | 1144859 |
| 50000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | 48893 |
| 207000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt <br> Area #1 Proj (a) | 3.38% | 09/15/26 | 205191 |
| 500000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/27 | 527306 |
| 700000 | Denton Cnty TX Spl Assmnt Rev Green Meadows Pub Impt Dt <br> Impt Area #1 Proj (a) | 4.25% | 12/31/30 | 704310 |
| 280000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/27 | 292948 |
| 295000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/28 | 309002 |
| 840000 | Fort Bend TX Indep Sch Dist Ref | 5.00% | 08/15/26 | 861530 |
| 670000 | Fort Worth TX Spl Assmnt Rev Walsh Ranch/Quail Vly Impt Area <br> #1-3 Proj, BAM | 5.00% | 09/01/29 | 717846 |
| 465000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 460385 |
| 560000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 532902 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $610000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First <br> Lien, AMT | 5.25% | 08/01/28 | $640689 |
| 1500000 | Grayson Cnty TX Ref | 3.00% | 01/01/26 | 1499998 |
| 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 | 1610443 |
| 710000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial <br> Hermann Hlth Sys, Ser A | 5.00% | 07/01/29 | 767408 |
| 400000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Ref Memorial <br> Hermann Hlth Sys, Ser B | 5.00% | 07/01/31 | 440641 |
| 2000000 | Hays Cnty TX Ref | 3.38% | 02/15/29 | 2000682 |
| 750000 | Houston TX Arpt Sys Rev Ref Sub, Ser C, AMT | 5.00% | 07/01/27 | 778333 |
| 1835000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AG, AMT | 5.00% | 07/01/27 | 1899459 |
| 900000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt <br> Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 903761 |
| 200000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/28 | 211440 |
| 300000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/29 | 320806 |
| 2215000 | Houston TX Util Sys Rev Ref Subord First Lien, Ser B | 4.00% | 11/15/31 | 2228595 |
| 925000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 926328 |
| 700000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/33 | 706190 |
| 360000 | Lower CO River TX Auth Trans Contract Rev Ref LCRA Trans <br> Svcs Corp Proj | 5.00% | 05/15/33 | 363674 |
| 650000 | Lowry Crossing TX Spl Assmnt Rev Simpson Road Pub Impt Dist <br> Proj (a) | 4.25% | 09/15/30 | 653638 |
| 1000000 | Matagorda Cnty TX Nav Dist #1 Ref Central Power & Light Co <br> Proj Remk, AMT | 4.25% | 05/01/30 | 1035563 |
| 2250000 | Mesquite TX Hsg Fin Corp Var Palladium Carver Living <br> (Mandatory put 08/01/27) | 3.35% | 08/01/29 | 2258513 |
| 1300000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc <br> Proj Remk, Ser A, AMT (Mandatory put 11/03/25) | 4.10% | 05/01/50 | 1300000 |
| 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 | 1143092 |
| 200000 | 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 | 197460 |
| 550000 | N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT | 5.00% | 06/01/27 | 566374 |
| 600000 | N TX Hgr Edu Auth Inc Edu Loan Rev Sr, Ser 1A, AMT | 5.00% | 06/01/30 | 631724 |
| 400000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 403034 |
| 200000 | Oak Point TX Spl Assmnt Rev Oak Point 720 Pub Impt Dt Impt <br> Area #1 Proj (a) | 4.70% | 09/15/31 | 199704 |
| 300000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area #3 <br> Proj (a) | 4.25% | 09/01/31 | 299493 |
| 300000 | Princeton TX Spl Assmnt Rev Eastridge Pub Impt Dt Impt Area No <br> 4 Proj (a) | 4.25% | 09/01/30 | 301331 |
| 310000 | Rockwall Cnty TX Muni Util Dist #8, AG | 6.75% | 10/01/35 | 341099 |
| 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 | 2086577 |
| 1340000 | Southmost TX Regl Wtr Auth Wtr Sply Contract Rev Ref <br> Desalination Plant Proj, BAM | 4.00% | 09/01/28 | 1366190 |
| 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 | 1015802 |
| 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 | 687958 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $300000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Christus <br> Hlth, Ser B | 5.00% | 07/01/30 | $325352 |
| 950000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity <br> Terrace Proj | 5.00% | 10/01/30 | 1012004 |
| 995000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity <br> Terrace Proj | 5.00% | 10/01/31 | 1062124 |
| 1840000 | Tarrant Cnty TX Hsg Fin Corp Var Nts Wildwood Branch <br> (Mandatory put 02/01/28) | 3.60% | 02/01/43 | 1858004 |
| 875000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts <br> (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 875000 |
| 500000 | Trophy Club TX Pub Impt Dist #1 Spl Assmnt Rev Ref | 5.00% | 09/01/28 | 514450 |
| 2030000 | TX St Muni Gas Acq & Sply Corp IV, Ser A (Mandatory put <br> 01/01/30) | 5.50% | 01/01/54 | 2161105 |
| 1650000 | Univ of TX TX Univ Revs Ref, Ser H | 5.00% | 08/15/25 | 1651527 |
| 630000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, <br> BAM | 4.00% | 12/01/29 | 642112 |
| 340000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/30 | 365512 |
| 355000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/31 | 383259 |
| 375000 | Westpointe Spl Impt Dist TX, BAM | 5.00% | 08/15/32 | 406007 |
| 760000 | Williamson Cnty TX Muni Util Dist #10 Ref, BAM | 3.00% | 08/01/26 | 759656 |
|  |  |  |  | 51329851 |
|  | **Utah — 1.6%** | **Utah — 1.6%** | **Utah — 1.6%** |  |
| 650000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/26 | 661745 |
| 1300000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 1344891 |
| 700000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 742257 |
| 1000000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/29 | 1050430 |
| 1000000 | UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A | 5.00% | 09/01/30 | 1045474 |
| 625000 | UT St Associated Muni Pwr Sys Rev Ref Horse Butte Wind, Ser A | 5.00% | 09/01/31 | 651684 |
| 2000000 | UT St Hsg Corp Mf Rev Var Silos On 500 (Mandatory put <br> 08/01/27) | 3.70% | 08/01/43 | 2013423 |
|  |  |  |  | 7509904 |
|  | **Vermont — 0.2%** | **Vermont — 0.2%** | **Vermont — 0.2%** |  |
| 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 | 100308 |
| 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 | 973926 |
|  |  |  |  | 1074234 |
|  | **Virginia — 2.7%** | **Virginia — 2.7%** | **Virginia — 2.7%** |  |
| 2000000 | Arlington Cnty VA Indl Dev Auth Mf Rev Park Shirlington <br> Apartments, Ser A | 5.00% | 01/01/26 | 2018827 |
| 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 | 2592266 |
| 600000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref <br> Westminster Canterbury Proj | 5.00% | 10/01/30 | 618851 |
| 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 | 1015063 |
| 1525000 | Norfolk VA Wtr Rev Ref | 5.00% | 11/01/31 | 1598286 |
| 2000000 | Richmond VA Redev & Hsg Auth Mf Rev Var Walmsley Gardens <br> (Mandatory put 09/01/28) | 3.45% | 09/01/46 | 2012411 |
| 490000 | VA Hsg Dev Auth Var, Ser F (Mandatory put 04/01/26) | 3.63% | 07/01/55 | 489988 |

---

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 | $1007589 |
| 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 | 1566198 |
|  |  |  |  | 12919479 |
|  | **Washington — 0.9%** | **Washington — 0.9%** | **Washington — 0.9%** |  |
| 120000 | Energy NW WA Elec Rev Ref Proj 1, Ser A | 5.00% | 07/01/26 | 122695 |
| 1000000 | Port of Seattle WA Rev Intermediate Lien, Ser D, AMT | 5.00% | 05/01/27 | 1032698 |
| 500000 | Port of Seattle WA Rev Ref 1st Lien, Ser B, AMT | 5.00% | 10/01/28 | 506112 |
| 100000 | WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/27 | 104513 |
| 350000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights <br> Proj, Ser A | 5.00% | 07/01/27 | 360213 |
| 2300000 | WA St, Ser A-1 | 5.00% | 08/01/27 | 2300000 |
|  |  |  |  | 4426231 |
|  | **West Virginia — 0.6%** | **West Virginia — 0.6%** | **West Virginia — 0.6%** |  |
| 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 | 2028068 |
| 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 | 1005353 |
|  |  |  |  | 3033421 |
|  | **Wisconsin — 1.5%** | **Wisconsin — 1.5%** | **Wisconsin — 1.5%** |  |
| 250000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a) | 3.00% | 12/01/26 | 243017 |
| 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 | 4219500 |
| 325000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt <br> Homes, Ser A | 4.00% | 10/01/29 | 327763 |
| 390000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Rtmnt <br> Homes, Ser A | 4.00% | 10/01/31 | 389496 |
| 390000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Rtmnt <br> Homes, Ser A | 4.00% | 10/01/32 | 387654 |
| 1000000 | Pub Fin Auth WI Sol Wst Disp Rev Ref Wst Mgmt Inc Proj, Ser <br> A-1, AMT | 2.63% | 11/01/25 | 996866 |
| 400000 | Pub Fin Auth WI Stdt Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.00% | 06/15/30 | 430987 |
|  |  |  |  | 6995283 |
|  | **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 | 254671 |
| 755000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref <br> Electrical Sys Proj | 5.25% | 06/01/37 | 815598 |
|  |  |  |  | 1070269 |
|  | **Total Investments — 98.7%** | **Total Investments — 98.7%** | **Total Investments — 98.7%** | 466340784 |
|  | (Cost $463,178,582) | (Cost $463,178,582) | (Cost $463,178,582) |  |
|  | **Net Other Assets and Liabilities — 1.3%** | **Net Other Assets and Liabilities — 1.3%** | **Net Other Assets and Liabilities — 1.3%** | 6216396 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $472557180 |

---

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

See Notes to Financial Statements

------

**First Trust Short Duration Managed Municipal ETF (FSMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

&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 July 31, 2025, securities noted as such amounted to $20,829,161 or 4.4% 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 July 31, 2025. Interest will begin accruing on the security's
 first settlement date.

&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. |
| AMBAC | – American Municipal Bond Assurance Corp. |
| 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 July 31, 2025 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>**7/31/2025**<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>|
| Municipal Bonds\* | $466340784 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $466340784 | &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 Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments**

**July 31, 2025**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 101.9%** | **MUNICIPAL BONDS — 101.9%** | **MUNICIPAL BONDS — 101.9%** | **MUNICIPAL BONDS — 101.9%** | **MUNICIPAL BONDS — 101.9%** |
|  | **Alabama — 4.7%** | **Alabama — 4.7%** | **Alabama — 4.7%** |  |
| $1000000 | 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 | $1007609 |
| 1180000 | Jefferson Cnty AL Ref Rev Warrants | 5.00% | 09/15/25 | 1183230 |
| 1770000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put <br> 12/01/25) | 4.00% | 12/01/50 | 1773408 |
| 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 | 2004579 |
| 500000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser B | 5.00% | 07/01/26 | 506810 |
| 500000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser B | 5.00% | 01/01/27 | 510066 |
| 330000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser C | 5.00% | 08/01/26 | 335649 |
| 555000 | SE Energy Auth Cooperative Dist AL Energy Sply Rev, Ser C | 5.00% | 02/01/27 | 568496 |
| 1500000 | Tender Option Bond Trust Recpts / Ctfs Various States JPM Putters <br> Xm1090, Ser 2022 (a) (b) | 2.95% | 02/01/46 | 1500000 |
| 750000 | Univ of S AL Univ Rev Ref, Ser C | 5.00% | 04/01/26 | 761385 |
|  |  |  |  | 10151232 |
|  | **California — 2.6%** | **California — 2.6%** | **California — 2.6%** |  |
| 2575000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A <br> (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 2575386 |
| 1500000 | 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 | 1556268 |
| 1500000 | Los Angeles CA Trans | 5.00% | 06/25/26 | 1536157 |
|  |  |  |  | 5667811 |
|  | **Colorado — 1.1%** | **Colorado — 1.1%** | **Colorado — 1.1%** |  |
| 1000000 | Adams & Arapahoe Cntys Co Jt Sch Dist #28J Aurora | 5.50% | 12/01/26 | 1040379 |
| 265000 | CO Springs CO Sch Dist #11, BAM, COPS | 5.00% | 12/15/25 | 267150 |
| 280000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser B-1 <br> (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 280000 |
| 250000 | CO St Hlth Facs Auth Rev Ref Covenant Living Cmntys and Svcs | 5.00% | 12/01/26 | 255482 |
| 500000 | Denver City & Cnty CO Sch Dist #1, Ser A | 5.00% | 12/01/26 | 516663 |
|  |  |  |  | 2359674 |
|  | **Connecticut — 1.3%** | **Connecticut — 1.3%** | **Connecticut — 1.3%** |  |
| 1500000 | Bridgeport CT Unrefunded 2021 Ref, Ser B, AG | 5.00% | 08/15/25 | 1501418 |
| 1250000 | Hartford CT Spl Oblig Ref | 5.00% | 07/15/26 | 1276921 |
|  |  |  |  | 2778339 |
|  | **Delaware — 0.7%** | **Delaware — 0.7%** | **Delaware — 0.7%** |  |
| 1600000 | Univ of Delaware DE Rev Var Remk, Ser C (b) | 2.75% | 11/01/37 | 1600000 |
|  | **District of Columbia — 1.8%** | **District of Columbia — 1.8%** | **District of Columbia — 1.8%** |  |
| 1000000 | Dist of Columbia Hsg Fin Agy Mf Hsg Rev Var Parcel <br> 42 Apartments Proj Remk (Mandatory put 09/01/25) | 3.05% | 09/01/41 | 1000138 |
| 1200000 | Met WA DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/26 | 1229365 |
| 1500000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/26 | 1536706 |
|  |  |  |  | 3766209 |
|  | **Florida — 7.6%** | **Florida — 7.6%** | **Florida — 7.6%** |  |
| 1500000 | Brevard Cnty FL Hsg Fin Auth Mf Hsg Var Emerald Place <br> Apartments (Mandatory put 02/01/27) | 3.30% | 02/01/28 | 1508861 |
| 1000000 | FL St Mid Bay Bridge Auth Ref First Sr Lien, AG | 5.00% | 10/01/26 | 1024703 |
| 1060000 | FL St Muni Pwr Agy All Requirements Pwr Sply, Ser B | 5.00% | 10/01/26 | 1063986 |
| 1250000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Unrefunded, Ser A, <br> AMT | 5.00% | 10/01/25 | 1254367 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $500000 | Lakeland FL Capital Impt Rev Ref, Ser A | 5.00% | 10/01/26 | $513806 |
| 1250000 | Lakeland FL Energy Sys Rev Ref | 5.00% | 10/01/25 | 1254896 |
| 1500000 | Manatee Cnty FL Sch Dist Sales Tax Rev, AG | 5.00% | 10/01/25 | 1505799 |
| 510000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ of <br> Miami, Ser A | 5.00% | 04/01/26 | 517946 |
| 750000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Cutler Vista <br> (Mandatory put 09/01/25) | 5.00% | 03/01/27 | 751043 |
| 750000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Emerald <br> Dunes, Ser B (Mandatory put 09/01/25) | 4.05% | 09/01/26 | 750555 |
| 1000000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Running <br> Brook Apartments (Mandatory put 01/01/26) | 3.55% | 01/01/27 | 1001838 |
| 1500000 | Miami-Dade Cnty FL Sch Brd Ref, Ser A, COPS | 5.00% | 05/01/26 | 1524911 |
| 845000 | Miami-Dade Cnty FL Wtr & Swr Rev Ref | 5.00% | 10/01/26 | 848320 |
| 1620000 | N Sumter Cnty FL Util Dependent Dist Util Rev Ref | 5.00% | 10/01/25 | 1625523 |
| 750000 | Palm Beach Cnty FL Sch Brd Ref, Ser A, COPS | 5.00% | 08/01/26 | 769107 |
| 500000 | Seminole Cnty FL Sch Dist Sales Tax Rev, AG | 5.00% | 10/01/26 | 513865 |
|  |  |  |  | 16429526 |
|  | **Georgia — 1.6%** | **Georgia — 1.6%** | **Georgia — 1.6%** |  |
| 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 | 1512619 |
| 775000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser E | 5.00% | 12/01/25 | 779520 |
| 1090000 | Muni Elec Auth of GA Ref Proj One Subord Bonds, Ser A | 5.00% | 01/01/26 | 1100215 |
|  |  |  |  | 3392354 |
|  | **Idaho — 0.6%** | **Idaho — 0.6%** | **Idaho — 0.6%** |  |
| 1315000 | Cassia Oneida & Twin Falls Cntys ID Jt Sch Dist #151 Ref | 5.00% | 09/15/25 | 1318812 |
|  | **Illinois — 8.0%** | **Illinois — 8.0%** | **Illinois — 8.0%** |  |
| 500000 | Chicago IL Midway Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/26 | 504373 |
| 1000000 | Chicago IL O'Hare Intl Arpt Rev Ref, Ser C, AMT | 5.00% | 01/01/27 | 1028519 |
| 1400000 | Cook Cnty IL High Sch Dist #207 ME Twp, Ser A | 5.00% | 12/01/26 | 1440689 |
| 550000 | Cook Cnty IL Ref, Ser A | 5.00% | 11/15/25 | 553421 |
| 1400000 | DuPage & Will Cntys IL Cmnty Sch Dist #204 Indian Prairie <br> Ref, Ser A | 5.00% | 12/30/25 | 1412565 |
| 1175000 | DuPage Cnty IL Forest Preserve Dist | 5.00% | 11/01/26 | 1208749 |
| 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 | 1532042 |
| 1185000 | IL St Fin Auth Rev Ref Ann & Robert H Lurie Childrens Hosp | 5.00% | 08/15/25 | 1186026 |
| 1250000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/26 | 1265960 |
| 1020000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/25 | 1021105 |
| 1000000 | IL St, Ser A | 5.00% | 12/01/25 | 1007405 |
| 1000000 | IL St, Ser A | 5.00% | 12/01/26 | 1028367 |
| 500000 | Kane Cook & DuPage Cntys IL Sch Dist #46 Elgin | 5.00% | 01/01/26 | 504811 |
| 1115000 | Lemont IL Fire Prot Dist | 5.00% | 12/30/26 | 1152070 |
| 425000 | Plainfield IL Wtr & Swr Sys Rev Ref | 5.00% | 05/01/26 | 432154 |
| 870000 | Schaumburg IL Ref | 5.00% | 12/01/25 | 876940 |
| 1035000 | Winnebago Cnty IL Ref | 5.00% | 12/30/25 | 1043989 |
|  |  |  |  | 17199185 |
|  | **Indiana — 2.5%** | **Indiana — 2.5%** | **Indiana — 2.5%** |  |
| 1250000 | E Allen Cnty IN Schs | 5.00% | 01/15/26 | 1262571 |
| 1195000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, <br> AMT (Mandatory put 09/02/25) | 3.95% | 05/01/28 | 1195550 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $365000 | IN St Fin Auth Rev Ref Marquette Proj, Ser A | 5.00% | 03/01/26 | $368438 |
| 500000 | IN St Muni Pwr Agy Ref, Ser A, AG | 5.00% | 01/01/26 | 504895 |
| 1000000 | IN St Muni Pwr Agy Ref, Ser A, AG | 5.00% | 01/01/27 | 1033596 |
| 1005000 | Indianapolis IN Loc Pub Impt Bond Bank Ref Indianapolis Arpt <br> Auth Proj, Ser I2, AMT | 5.00% | 01/01/26 | 1014083 |
|  |  |  |  | 5379133 |
|  | **Iowa — 1.1%** | **Iowa — 1.1%** | **Iowa — 1.1%** |  |
| 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 | 620596 |
| 1735000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 1753316 |
|  |  |  |  | 2373912 |
|  | **Kansas — 1.6%** | **Kansas — 1.6%** | **Kansas — 1.6%** |  |
| 1000000 | Dodge City KS Temp Nts, Ser 2023-1 | 4.13% | 09/01/25 | 1001062 |
| 1000000 | Johnson Cnty KS Pub Bldg Commn Lease Pur Rev Courthouse & <br> Med Examiners Fac Proj, Ser A | 5.00% | 09/01/25 | 1001901 |
| 1500000 | Olathe KS Temp Nts, Ser A | 5.00% | 09/01/26 | 1536114 |
|  |  |  |  | 3539077 |
|  | **Kentucky — 1.4%** | **Kentucky — 1.4%** | **Kentucky — 1.4%** |  |
| 505000 | KY St Property & Bldgs Commn Rev Ref Proj #128, Ser A | 5.00% | 11/01/25 | 508027 |
| 500000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/25 | 500000 |
| 615000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser B | 5.00% | 08/01/26 | 625042 |
| 1300000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AG | 5.00% | 10/01/25 | 1304190 |
|  |  |  |  | 2937259 |
|  | **Louisiana — 1.7%** | **Louisiana — 1.7%** | **Louisiana — 1.7%** |  |
| 1925000 | LA St Pub Facs Auth Sol Wst Disp Fac Rev Var Elementus <br> Minerals LLC Proj (Mandatory put 11/01/25) (a) | 5.00% | 10/01/43 | 1930952 |
| 535000 | New Orleans LA Aviation Brd Ref Gen Arpt, Ser D2, AMT | 5.00% | 01/01/26 | 539791 |
| 1110000 | Regl Transit Auth LA Sales Tax Rev Ref, Ser A, AG | 5.00% | 01/01/27 | 1147920 |
|  |  |  |  | 3618663 |
|  | **Maine — 0.4%** | **Maine — 0.4%** | **Maine — 0.4%** |  |
| 800000 | ME St Fin Auth Sol Wst Disp Rev Casella Waste Sys Proj, AMT <br> (Mandatory put 08/01/25) (a) | 5.13% | 08/01/35 | 800000 |
|  | **Maryland — 0.4%** | **Maryland — 0.4%** | **Maryland — 0.4%** |  |
| 750000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Univ of MD Med <br> Sys Issue, Ser A | 5.00% | 07/01/26 | 765812 |
|  | **Massachusetts — 3.6%** | **Massachusetts — 3.6%** | **Massachusetts — 3.6%** |  |
| 1500000 | Gloucester MA, BANS | 4.00% | 10/03/25 | 1503266 |
| 1000000 | MA St Dev Fin Agy Rev Lasell Vlg Inc | 5.00% | 07/01/26 | 1015702 |
| 550000 | MA St Dev Fin Agy Rev Ref Emerson Clg Issue | 5.00% | 01/01/26 | 554879 |
| 450000 | MA St Dev Fin Agy Rev Ref Emerson Clg Issue | 5.00% | 01/01/27 | 463340 |
| 1500000 | Peabody MA, BANS | 4.00% | 07/10/26 | 1518090 |
| 1500000 | Quincy MA, BANS | 5.00% | 07/24/26 | 1535924 |
| 1250000 | Winchester MA, Ser B, BANS | 4.00% | 03/26/26 | 1261424 |
|  |  |  |  | 7852625 |
|  | **Michigan — 1.7%** | **Michigan — 1.7%** | **Michigan — 1.7%** |  |
| 1430000 | MI St Fin Auth Rev Ref Clean Wtr Revolving Fund, Ser B | 5.00% | 10/01/25 | 1435868 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1295000 | MI St Hosp Fin Auth Ref Trinity Hlth Credit Remk, Ser C | 5.00% | 12/01/25 | $1304635 |
| 1000000 | Wayne Cnty MI Arpt Auth Rev Ref Junior Lien, Ser B, AMT | 5.00% | 12/01/25 | 1006267 |
|  |  |  |  | 3746770 |
|  | **Minnesota — 1.6%** | **Minnesota — 1.6%** | **Minnesota — 1.6%** |  |
| 725000 | Chaska MN Econ Dev Auth Lease Rev, Ser A | 5.00% | 02/01/26 | 732964 |
| 1500000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 1504127 |
| 700000 | MN St Hsg Fin Agy Phalen Vlg, Ser E | 3.88% | 08/01/25 | 700000 |
| 500000 | MN St Hsg Fin Agy, Ser C | 4.00% | 02/01/27 | 502730 |
|  |  |  |  | 3439821 |
|  | **Missouri — 2.0%** | **Missouri — 2.0%** | **Missouri — 2.0%** |  |
| 1500000 | MO Jt Muni Elec Util Commn Pwr Proj Rev Ref Plum Point Proj | 5.00% | 01/01/26 | 1514058 |
| 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 | 1209039 |
| 480000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser A | 5.00% | 02/01/26 | 483366 |
| 1000000 | N Kansas City MO Sch Dist #74 Ref | 5.00% | 03/01/26 | 1014184 |
|  |  |  |  | 4220647 |
|  | **Nebraska — 1.1%** | **Nebraska — 1.1%** | **Nebraska — 1.1%** |  |
| 1250000 | Centrl Plains Energy Proj NE Gas Sply Rev Ref (Mandatory put <br> 08/01/25) | 4.00% | 12/01/49 | 1250000 |
| 1000000 | McCook NE, BANS (c) | 4.50% | 09/01/27 | 1014514 |
|  |  |  |  | 2264514 |
|  | **Nevada — 1.1%** | **Nevada — 1.1%** | **Nevada — 1.1%** |  |
| 1100000 | Clark Cnty NV Arpt Rev Ref Subord, Ser A | 5.00% | 07/01/26 | 1124501 |
| 1205000 | Clark Cnty NV Transprtn Impt, Ser B | 5.00% | 12/01/25 | 1214775 |
|  |  |  |  | 2339276 |
|  | **New Hampshire — 1.6%** | **New Hampshire — 1.6%** | **New Hampshire — 1.6%** |  |
| 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 | 3497268 |
|  | **New Jersey — 5.2%** | **New Jersey — 5.2%** | **New Jersey — 5.2%** |  |
| 1000000 | Essex Cnty NJ Impt Auth Essex Cnty Family Court Building Proj | 5.00% | 03/17/26 | 1014777 |
| 1000000 | Hudson Cnty NJ Impt Auth Nts Loc Unit Loan Prog, Ser B-1 | 4.00% | 06/24/26 | 1011256 |
| 1500000 | Jersey City NJ Redev Agy Ref Bayfront Redev Proj, Ser A | 4.50% | 12/11/25 | 1507495 |
| 1250000 | Metuchen NJ, Ser A, BANS | 4.00% | 07/07/26 | 1265814 |
| 1500000 | New Brunswick NJ, BANS | 5.00% | 04/28/26 | 1524459 |
| 1205000 | Newark NJ Ref, Ser A | 5.00% | 07/15/27 | 1254037 |
| 1000000 | NJ St Covid-19 GO Emergency Bonds, Ser A | 5.00% | 06/01/26 | 1021519 |
| 1500000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser GGG (a) | 5.25% | 09/01/25 | 1503275 |
| 1000000 | Washington Twp NJ Gloucester Cnty, BANS | 4.00% | 09/03/25 | 1001086 |
|  |  |  |  | 11103718 |
|  | **New Mexico — 1.0%** | **New Mexico — 1.0%** | **New Mexico — 1.0%** |  |
| 1455000 | NM St Hosp Equipment Loan Council Hosp Rev Presbyterian <br> Hlthcare Svcs Obligated Grp Ref Ser (Pre-refunded maturity <br> 08/01/25) | 5.00% | 08/01/31 | 1455000 |
| 200000 | NM St Hosp Equipment Loan Council Hosp Rev Ref Var <br> Presbyterian Hlthcare Remk, Ser B (b) | 2.80% | 08/01/34 | 200000 |
| 475000 | NM St Muni Energy Acq Auth Gas Sply Ref | 5.00% | 05/01/26 | 481646 |
|  |  |  |  | 2136646 |
|  | **New York — 7.1%** | **New York — 7.1%** | **New York — 7.1%** |  |
| 1008317 | Amherst NY Centrl Sch Dist, BANS (c) | 4.00% | 08/05/26 | 1022710 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1500000 | Heuvelton NY Centrl Sch Dist, BANS | 4.00% | 06/18/26 | $1515907 |
| 1357020 | N Syracuse NY Centrl Sch Dist, Ser A, BANS | 4.00% | 07/31/26 | 1374195 |
| 2325000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var <br> 2nd Gen Resolution, Subser CC (b) | 2.80% | 06/15/53 | 2325000 |
| 1000000 | Newark Vly NY Centrl Sch Dist, Ser A, BANS | 4.25% | 08/14/25 | 1000516 |
| 1500000 | NY NY Ref Remk, Ser J Subser J11 | 5.00% | 08/01/25 | 1500000 |
| 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 | 1255156 |
| 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 | 1284370 |
| 1200000 | Port Auth of NY & NJ NY Ref, Ser 226, AMT | 5.00% | 10/15/25 | 1204517 |
| 1500000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, <br>Ser B-1, BANS | 5.00% | 03/15/27 | 1558983 |
| 1250000 | Waterloo NY Centrl Sch Dist, BANS | 3.75% | 07/30/26 | 1264014 |
|  |  |  |  | 15305368 |
|  | **North Carolina — 5.6%** | **North Carolina — 5.6%** | **North Carolina — 5.6%** |  |
| 1000000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var <br> Atrium Hlth Remk, Ser C (Mandatory put 10/31/25) | 3.45% | 01/15/48 | 1001250 |
| 1500000 | Cumberland Cnty NC Indl Facs & Poll Control Fing Auth Sol WS <br> Var Proj Aero, AMT (Mandatory put 11/01/25) | 3.75% | 12/01/27 | 1500296 |
| 1500000 | NC Hsg Fin Agy Homeownership Rev Var Home Ownership 1998 <br> Trust Agreement, Ser 55C (Mandatory put 01/15/26) | 3.20% | 07/01/56 | 1500745 |
| 1000000 | NC St Capital Facs Fin Agy Rev Ref Duke Univ, Ser B (Pre-<br> refunded maturity 10/01/25) | 5.00% | 10/01/55 | 1003917 |
| 1500000 | NC St Grant Anticipation Rev Ref, GARVEE | 5.00% | 03/01/27 | 1559704 |
| 1350000 | NC St Turnpike Auth Ref Sr Lien, AG | 5.00% | 01/01/26 | 1362088 |
| 1080000 | NC St Univ at Raleigh Ref Gen | 5.00% | 10/01/25 | 1084322 |
| 1490000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/26 | 1513852 |
| 1415000 | Univ of North Carolina NC Hosp Chapel Hill Rev Var Remk, Ser <br> B (b) | 2.75% | 02/15/31 | 1415000 |
|  |  |  |  | 11941174 |
|  | **Ohio — 5.2%** | **Ohio — 5.2%** | **Ohio — 5.2%** |  |
| 1810000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/26 | 1851410 |
| 1250000 | Franklin Cnty OH Rev Var Che Trinity Hlth Cred Grp Remk, <br>Ser OH (Mandatory put 11/03/25) | 3.65% | 12/01/46 | 1250000 |
| 1650000 | Hamilton OH, BANS | 4.00% | 12/17/25 | 1656499 |
| 1750000 | Huber Heights OH, BANS | 5.00% | 06/25/26 | 1782421 |
| 600000 | Milford OH Exempt Vlg Sch Dist Ref | 5.00% | 12/01/26 | 618955 |
| 215000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/25 | 215336 |
| 340000 | Montgomery Cnty OH Hlth Care Facs Rev Ref Solvita Proj | 5.00% | 09/01/26 | 347250 |
| 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 | 2029165 |
| 1500000 | OH St Air Quality Dev Authamerican Elec Pwr Co Proj Remk, <br>Ser 2014-D | 3.20% | 05/01/26 | 1495854 |
|  |  |  |  | 11246890 |
|  | **Oregon — 0.3%** | **Oregon — 0.3%** | **Oregon — 0.3%** |  |
| 685000 | OR St Ref, Ser I | 5.00% | 08/01/25 | 685000 |
|  | **Pennsylvania — 4.3%** | **Pennsylvania — 4.3%** | **Pennsylvania — 4.3%** |  |
| 1310000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Bonds | 5.00% | 06/01/26 | 1332189 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Draw <br> Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put <br> 01/15/26) | 3.85% | 04/01/49 | $1499026 |
| 1250000 | PA St Econ Dev Fing Auth Solid Wst Disposal Rev Var Wst Mgmt <br> Inc Proj, Ser A, AMT (Mandatory put 09/02/25) | 3.95% | 06/01/49 | 1250074 |
| 400000 | PA St Econ Dev Fing Auth UPMC Rev Ref UPMC Obligated <br> Grp, Ser B | 5.00% | 03/15/27 | 413853 |
| 1530000 | PA St Ref, 1st Ser, AG | 5.00% | 09/15/25 | 1534435 |
| 995000 | Philadelphia PA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/27 | 1031081 |
| 275000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 275690 |
| 2000000 | Tender Option Bond Trust Recpts / Ctfs Various States JPM Putters <br> Xm1120, AG (a) (b) | 2.97% | 10/01/26 | 2000000 |
|  |  |  |  | 9336348 |
|  | **Rhode Island — 1.8%** | **Rhode Island — 1.8%** | **Rhode Island — 1.8%** |  |
| 1500000 | Bristol Warren RI Regl Sch Dist, Ser 1, BANS | 5.00% | 06/04/26 | 1526825 |
| 1000000 | Pawtucket RI, Ser-2, BANS | 4.50% | 10/24/25 | 1001972 |
| 1250000 | South Kingstown RI, Ser 1, BANS | 4.00% | 06/25/26 | 1264561 |
|  |  |  |  | 3793358 |
|  | **South Carolina — 2.2%** | **South Carolina — 2.2%** | **South Carolina — 2.2%** |  |
| 975000 | Greenville Cnty SC Sch Dist Installment Pur Rev Ref SC Proj | 5.00% | 12/01/25 | 983007 |
| 1250000 | Orangeburg Cnty Sch Dist, BANS | 5.00% | 08/13/25 | 1250921 |
| 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 | 1003259 |
| 1500000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Prisma Hlth Obligated <br> Grp, Ser A | 5.00% | 05/01/26 | 1522891 |
|  |  |  |  | 4760078 |
|  | **Tennessee — 1.9%** | **Tennessee — 1.9%** | **Tennessee — 1.9%** |  |
| 1570000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref <br> Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/26 | 1601857 |
| 1500000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd <br> Var N River 2 Arpts (Mandatory put 08/01/25) | 3.25% | 10/01/45 | 1500000 |
| 1000000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1001274 |
|  |  |  |  | 4103131 |
|  | **Texas — 11.8%** | **Texas — 11.8%** | **Texas — 11.8%** |  |
| 1650000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/25 | 1661464 |
| 1000000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/25 | 1006948 |
| 640000 | Celina TX Spl Assmnt Rev Ref The Lakes at Mustang Ranch Pub <br> Impt Dt Major Impt Area, AG | 5.00% | 09/01/25 | 640831 |
| 1000000 | Cypress Fairbanks TX Indep Sch Dist, Ser A | 5.00% | 02/15/26 | 1013577 |
| 500000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/25 | 502895 |
| 1625000 | Dallas TX Area Rapid Transit Sales Tax Rev Ref Sr Lien | 5.00% | 12/01/25 | 1637690 |
| 250000 | Galveston TX Wharves & Terminal Rev First Lien, AMT | 5.25% | 08/01/25 | 250000 |
| 1000000 | Harris Cnty Houston TX Sports Auth Rev Ref Sr Lien, Ser A, AG | 5.00% | 11/15/25 | 1006482 |
| 1000000 | Harris Cnty Houston TX Sports Auth Rev Ref Sr Lien, Ser A, AG | 5.00% | 11/15/26 | 1030012 |
| 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 | 1027870 |
| 1000000 | Harris Cnty TX Toll Road Rev Ref, Ser A | 5.00% | 08/15/25 | 1000894 |
| 750000 | Lower CO River TX Auth Rev Ref, Ser A | 5.00% | 05/15/26 | 763537 |
| 600000 | Lower CO River TX Auth Rev Ref, Ser A | 5.00% | 05/15/27 | 622720 |
| 1500000 | McKinney TX Indep Sch Dist (c) | 5.00% | 02/15/26 | 1517907 |

---

See Notes to Financial Statements

------

**First Trust Ultra Short Duration Municipal ETF (FUMB)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1700000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc <br> Proj Remk, Ser A, AMT (Mandatory put 11/03/25) | 4.10% | 05/01/50 | $1700000 |
| 1000000 | Plano TX Indep Sch Dist | 5.00% | 02/15/26 | 1013253 |
| 1170000 | Richardson TX Ctfs Oblig | 5.00% | 02/15/26 | 1186390 |
| 1000000 | San Antonio TX Indep Sch Dist Ref (c) | 5.00% | 08/15/26 | 1023759 |
| 1500000 | Spring Branch TX Indep Sch Dist | 5.00% | 02/01/26 | 1518349 |
| 1000000 | Spring Branch TX Indep Sch Dist Ref (c) | 5.00% | 02/01/27 | 1036393 |
| 495000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Trinity <br> Terrace Proj | 5.00% | 10/01/25 | 496261 |
| 875000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts <br> (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 875000 |
| 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 | 1000658 |
| 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 | 1003971 |
| 350000 | TX St Muni Gas Acq & Sply Corp V Gas Sply Rev | 5.00% | 01/01/26 | 352580 |
| 500000 | Upper Trinity TX Regl Wtr Dist Wtr Rev Ref, BAM | 5.00% | 08/01/26 | 511739 |
|  |  |  |  | 25401180 |
|  | **Utah — 1.1%** | **Utah — 1.1%** | **Utah — 1.1%** |  |
| 300000 | Downtown Revitalization Pub Infra Dist UT Sales First Lien Seg <br> Redev Proj, Ser A, AG | 5.00% | 06/01/27 | 312467 |
| 2000000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/26 | 2036139 |
|  |  |  |  | 2348606 |
|  | **Virginia — 0.7%** | **Virginia — 0.7%** | **Virginia — 0.7%** |  |
| 490000 | VA Hsg Dev Auth Var, Ser F (Mandatory put 04/01/26) | 3.63% | 07/01/55 | 489988 |
| 1000000 | VA St Small Busn Fing Auth Envrnmntl Facs Rev Var Pure Salmon <br> VA LLC Proj Remk, AMT (Mandatory put 11/20/25) | 4.00% | 11/01/52 | 1000634 |
|  |  |  |  | 1490622 |
|  | **Washington — 0.5%** | **Washington — 0.5%** | **Washington — 0.5%** |  |
| 1100000 | Centrl Puget Sound WA Regl Transit Auth Sales Tax & Mtr Ve <br> Sustainable Bond, Ser S-1 | 5.00% | 11/01/25 | 1107038 |
|  | **Wisconsin — 1.4%** | **Wisconsin — 1.4%** | **Wisconsin — 1.4%** |  |
| 1500000 | Milwaukee WI Prom Nts, Ser N5, BAM | 5.00% | 12/01/25 | 1511160 |
| 500000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 5.00% | 06/01/27 | 519230 |
| 1000000 | Racine WI Prom Nts | 4.50% | 03/15/27 | 1010017 |
|  |  |  |  | 3040407 |
|  | **Total Investments — 101.9%** | **Total Investments — 101.9%** | **Total Investments — 101.9%** | 219237483 |
|  | (Cost $218,841,730) | (Cost $218,841,730) | (Cost $218,841,730) |  |
|  | **Net Other Assets and Liabilities — (1.9)%** | **Net Other Assets and Liabilities — (1.9)%** | **Net Other Assets and Liabilities — (1.9)%** | (4069609)<br>|
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $215167874 |

---

&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)**

**July 31, 2025**

&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 July 31, 2025, securities noted as such amounted to $7,734,227 or 3.6% 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 July 31, 2025. Interest will begin accruing on the security's
 first settlement date.

&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 |

---

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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>|
| Municipal Bonds\* | $219237483 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $219237483 | &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**

**July 31, 2025**

&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 | $466340784 | &nbsp;&nbsp; $219237483 |
| Cash | 3404186 | &nbsp;&nbsp; 324675 |
| Interest receivable | 4957637 | &nbsp;&nbsp; 2546118 |
| Total Assets | 474702607 | &nbsp;&nbsp; 222108276 |
| **LIABILITIES:** |  |  |
| Payables: |  |  |
| Investment securities purchased | 1925633 | &nbsp;&nbsp; 6860396 |
| Investment advisory fees | 219794 | &nbsp;&nbsp; 80006 |
| Total Liabilities | 2145427 | &nbsp;&nbsp; 6940402 |
| **NET ASSETS** | $472557180 | &nbsp;&nbsp; $215167874 |
| **NET ASSETS consist of:** |  |  |
| Paid-in capital | $478595944 | &nbsp;&nbsp; $214437984 |
| Par value | 237000 | &nbsp;&nbsp; 107000 |
| Accumulated distributable earnings (loss) | (6275764)<br>| &nbsp;&nbsp; 622890 |
| **NET ASSETS** | $472557180 | &nbsp;&nbsp; $215167874 |
| **NET ASSET VALUE,** per share | $19.94 | &nbsp;&nbsp; $20.11 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per <br> share)<br>| 23700002 | &nbsp;&nbsp; 10700002 |
| Investments, at cost | $463178582 | &nbsp;&nbsp; $218841730 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Year Ended July 31, 2025**

&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 | $15668039 | &nbsp;&nbsp; $6616396 |
| Total investment income | 15668039 | &nbsp;&nbsp; 6616396 |
| **EXPENSES:** |  |  |
| Investment advisory fees | 2398648<br>| &nbsp;&nbsp; 892504<br>|
| Total expenses | 2398648 | &nbsp;&nbsp; 892504 |
| **NET INVESTMENT INCOME (LOSS)** | 13269391 | &nbsp;&nbsp; 5723892 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |
| Net realized gain (loss) on: |  |  |
| Investments | (900265)<br>| &nbsp;&nbsp; (9790)<br>|
| Futures contracts | 3367 | &nbsp;&nbsp; — |
| Net realized gain (loss) | (896898)<br>| &nbsp;&nbsp; (9790)<br>|
| Net change in unrealized appreciation (depreciation) on investments | 2800478 | &nbsp;&nbsp; 166239 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | 1903580 | &nbsp;&nbsp; 156449 |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $15172971 | &nbsp;&nbsp; $5880341 |

---

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)** |
|  | **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $13269391 | &nbsp;&nbsp; $11388791 | &nbsp;&nbsp; $5723892 | &nbsp;&nbsp; $6355846 |
| Net realized gain (loss) | (896898)<br>| &nbsp;&nbsp; (3062373)<br>| &nbsp;&nbsp; (9790)<br>| &nbsp;&nbsp; (15941)<br>|
| Net change in unrealized appreciation (depreciation) | 2800478 | &nbsp;&nbsp; 5326775 | &nbsp;&nbsp; 166239 | &nbsp;&nbsp; 1214090 |
| Net increase (decrease) in net assets resulting from <br> operations<br>| 15172971 | &nbsp;&nbsp; 13653193 | &nbsp;&nbsp; 5880341 | &nbsp;&nbsp; 7553995 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (13375001)<br>| &nbsp;&nbsp; (11123001)<br>| &nbsp;&nbsp; (5988101)<br>| &nbsp;&nbsp; (5749751)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 96500213<br>| &nbsp;&nbsp; 52328872<br>| &nbsp;&nbsp; 42194575<br>| &nbsp;&nbsp; 17060947<br>|
| Cost of shares redeemed | (44906013) <br>| &nbsp;&nbsp; (61825785) <br>| &nbsp;&nbsp; (26134573) <br>| &nbsp;&nbsp; (89194264) <br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| 51594200 | &nbsp;&nbsp; (9496913)<br>| &nbsp;&nbsp; 16060002 | &nbsp;&nbsp; (72133317)<br>|
| Total increase (decrease) in net assets | 53392170 | &nbsp;&nbsp; (6966721)<br>| &nbsp;&nbsp; 15952242 | &nbsp;&nbsp; (70329073)<br>|
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 419165010 | &nbsp;&nbsp; 426131731 | &nbsp;&nbsp; 199215632 | &nbsp;&nbsp; 269544705 |
| End of period | $472557180 | &nbsp;&nbsp; $419165010 | &nbsp;&nbsp; $215167874 | &nbsp;&nbsp; $199215632 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 21100002 | &nbsp;&nbsp; 21600002 | &nbsp;&nbsp; 9900002 | &nbsp;&nbsp; 13500002 |
| Shares sold | 4850000 | &nbsp;&nbsp; 2650000 | &nbsp;&nbsp; 2100000 | &nbsp;&nbsp; 850000 |
| Shares redeemed | (2250000)<br>| &nbsp;&nbsp; (3150000)<br>| &nbsp;&nbsp; (1300000)<br>| &nbsp;&nbsp; (4450000)<br>|
| Shares outstanding, end of period | 23700002 | &nbsp;&nbsp; 21100002 | &nbsp;&nbsp; 10700002 | &nbsp;&nbsp; 9900002 |

---

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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.60<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) | 0.08<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 | 0.68<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 | (0.61) <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; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.02) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.03) <br>|
| Total distributions | (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 | $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) | 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 data:** |  |  |  |  |  |
| Net assets, end of period (in 000's) | $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 | 0.55<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 | 0.55<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 average net assets | 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 (c) | 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) 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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 0.58<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) | 0.02<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 | 0.60<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 | (0.61) <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; $20.12<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) | 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 data:** |  |  |  |  |  |
| Net assets, end of period (in 000's) | $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 | 0.45<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 | 0.45<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 average net assets | 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 (c) | 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) 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**

**July 31, 2025**

&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**

**July 31, 2025**

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**

**July 31, 2025**

&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 July 31, 2025, 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 July 31, 2025, FSMB and FUMB held $1,151,784 and $5,615,283, 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. The Funds did not hold any futures contracts at July 31, 2025.

**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.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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; — |

---

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2024 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 | $103106 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $11019895 | &nbsp;&nbsp; $— |
| First Trust Ultra Short Duration Municipal ETF | 35565 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5714186 | &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 July 31, 2025, 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.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

---

| | |
|:---|:---|
|  | 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.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2025, the adjustments for each Fund were as follows:

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

---

| | | | |
|:---|:---|:---|:---|
|  | Accumulated <br>Net Investment <br>Income (Loss)<br>| Accumulated <br>Net Realized <br>Gain (Loss) <br>on Investments<br>| Paid-In <br>Capital<br>|
| First Trust Short Duration Managed Municipal ETF | $(17745)<br>| &nbsp;&nbsp; $17745 | &nbsp;&nbsp; $— |
| First Trust Ultra Short Duration Municipal ETF | (480)<br>| &nbsp;&nbsp; 480 | &nbsp;&nbsp; — |

---

As of July 31, 2025, 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 | $462805403 | &nbsp;&nbsp; $4156728 | &nbsp;&nbsp; $(621347)<br>| &nbsp;&nbsp; $3535381 |
| First Trust Ultra Short Duration Municipal ETF | 218842933 | &nbsp;&nbsp; 447476 | &nbsp;&nbsp; (52926)<br>| &nbsp;&nbsp; 394550 |

---

**F. Expenses**

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

**G. Segment Reporting**

Each Fund has adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosures only and did not affect each Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 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**

**July 31, 2025**

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. 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 | 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>|

---

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 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 allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Committee Chairs, the Audit Committee Vice Chair, the Lead Independent Trustee and the Vice Lead Independent Trustee rotate periodically in serving in such capacities. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

**4. Purchases and Sales of Securities** 

For the fiscal year ended July 31, 2025, 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 | $244138448 | &nbsp;&nbsp; $191877678 |
| First Trust Ultra Short Duration Municipal ETF | 229873858 | &nbsp;&nbsp; 207330038 |

---

For the fiscal year ended July 31, 2025, the Funds had no in-kind transactions.

**5. Derivative Transactions** 

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended July 31, 2025, 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** | **FSMB**  |
| **Interest Rate Risk Exposure** |  |
| Net realized gain (loss) on futures contracts | $3367 |

---

For FSMB, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2025, which is indicative of the volume of this derivative type, was $0.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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.

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 were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

------

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statements of assets and liabilities of First Trust Short Duration Managed Municipal ETF and First Trust Ultra Short Duration Municipal ETF (the "Funds"), each a series of the First Trust Exchange-Traded Fund III, including the portfolios of investments, as of July 31, 2025, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2025, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois

September 23, 2025

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

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (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 fiscal year ended July 31, 2025.

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

There were no matters submitted for vote by shareholders of any Fund during the fiscal year ended July 31, 2025.

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

Independent Trustees and any member of any advisory board 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)**

The Board of Trustees of First Trust Exchange-Traded Fund III (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following series of the Trust (each a "Fund" and collectively, the "Funds"):

First Trust Short Duration Managed Municipal ETF (FSMB)

First Trust Ultra Short Duration Municipal ETF (FUMB)

The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2026 at a meeting held on June 8–9, 2025. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2025 and June 8–9, 2025, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 22, 2025, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 8–9, 2025 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee.

In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is an actively-managed ETF and noted that the Advisor's Municipal Securities Team is responsible for the day-to-day management of the Funds' investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board's prior meetings with members of the Team. The Board considered the Advisor's statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2025 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions.

The Board considered the unitary fee rate schedule payable by each Fund under the Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information comparing each Fund's performance for periods ended December 31, 2024 to the performance of the funds in its Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that FSMB underperformed its Performance Universe median for the one- and three-year periods ended December 31, 2024, outperformed its Performance Universe median for the five-year period ended December 31, 2024, outperformed its benchmark index for the one- and five-year periods ended December 31, 2024 and underperformed its benchmark index for the three-year period ended December 31, 2024. The Board noted that FUMB underperformed its Performance Universe median for the one-year period ended December 31, 2024, outperformed its Performance Universe median for the three- and five-year periods ended December 31, 2024 and underperformed its benchmark index for the one-, three- and five-year periods ended December 31, 2024.

On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for each Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor's statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

infrastructure and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2024 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis.

**Federal Tax Information**

For the taxable year ended July 31, 2025, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state's requirement. The Funds designate the following percentages or, if subsequently determined to be different, the maximum amount allowable for their fiscal year ended July 31, 2025:

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

---

| | | |
|:---|:---|:---|
|  | Tax Exempt <br> Interest <br> Dividends<br>| Alternative <br> Minimum <br> Tax (AMT)<br>|
| First Trust Short Duration Managed Municipal ETF | 98.73<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 18.20<br> %<br>|
| First Trust Ultra Short Duration Municipal ETF | 98.77<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 16.90<br> %<br>|

---

------

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

Annual Financial Statements and Other Information <br> For the Year Ended July 31, 2025

![](img5e2fc1801.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**

**Annual Financial Statements and Other Information**

**July 31, 2025** 

---

| | |
|:---|:---|
| [Portfolio of Investments](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SOI-TOC-ScheduleofInvestments-4432_1) |  |
| [First Trust California Municipal High Income ETF (FCAL)](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SOI-TOC-ScheduleofInvestments-4432_1) | 1 |
| [First Trust New York Municipal High Income ETF (FMNY)](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SOI-TOC-ScheduleofInvestments-4434_1) | 11 |
| [Statements of Assets and Liabilities](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SAL1-TOC-StatementofAssetsandLiabilities-4432_1) | 15 |
| [Statements of Operations](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SOP1-TOC-StatementofOperations-4432_1) | 16 |
| [Statements of Changes in Net Assets](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_SOC1-TOC-StatementofChanges-4432_1) | 17 |
| [Financial Highlights](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_FIHI-TOC-FinancialHighlights-4432_1) | 18 |
| [Notes to Financial Statements](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_NTF-TOC-NotestoFinancialStatements-4432_1) | 20 |
| [Report of Independent Registered Public Accounting Firm](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_AUD-TOC-RIRPAFirm-4432_1) | 29 |
| [Other Information](#xx_25c3c3b5-2c2d-4de2-b2cf-6aea28773008_AI-TOC-AdditionalInformation-4432_1) | 30 |

---

**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**

**July 31, 2025**

&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%** |
|  | **California — 95.3%** | **California — 95.3%** | **California — 95.3%** |  |
| $2900000 | Anaheim CA Hsg & Pub Impt Auth Rev Var Wtr Sys Proj Second <br> Lien, Ser A (a) | 2.60% | 10/01/54 | $2900000 |
| 1200000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt, AG | 5.00% | 09/01/44 | 1205662 |
| 1000000 | Bay Area CA Toll Auth Toll Bridge Rev Sustainable Bond, Ser F-2 | 5.00% | 04/01/44 | 1034414 |
| 1000000 | Bay Area CA Toll Auth Toll Bridge Rev Var Ref San Francisco <br> Bay Area, Ser E (a) | 2.20% | 04/01/59 | 1000000 |
| 1400000 | Bay Area CA Toll Auth Toll Bridge Rev Var, Ser H (a) | 2.20% | 04/01/59 | 1400000 |
| 100000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/33 | 100190 |
| 620000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/40 | 565771 |
| 1250000 | Burbank CA Wtr & Pwr Elec Rev | 5.00% | 06/01/43 | 1294422 |
| 1000000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.00% | 07/01/38 | 1029675 |
| 1000000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/40 | 1050612 |
| 750000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/44 | 765068 |
| 625000 | Burbank Glendale Pasadena CA Arpt Auth Arpt Rev Sr, Ser B, <br> AMT | 5.25% | 07/01/49 | 632009 |
| 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 | 20151 |
| 1000000 | 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 | 1057553 |
| 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 | 621000 |
| 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 | 964240 |
| 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 | 1043900 |
| 550000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr <br> Ref, Ser A | 4.00% | 06/01/35 | 532138 |
| 200000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr <br> Ref, Ser A | 4.00% | 06/01/39 | 185098 |
| 407563 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 413428 |
| 250000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable <br> Bond, Ser A (b) | 5.00% | 11/15/56 | 206282 |
| 310000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs <br> Proj, Ser C (b) | 4.50% | 07/01/26 | 312278 |
| 1000000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/43 | 957331 |
| 455000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, Ser <br> A (b) | 5.00% | 07/01/40 | 459101 |
| 250000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, Ser <br> A (b) | 5.00% | 07/01/42 | 246536 |
| 175000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, Ser <br> A (b) | 5.00% | 07/01/43 | 170889 |
| 185000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp, Ser <br> A (b) | 5.00% | 07/01/44 | 179122 |
| 105000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (b) | 5.00% | 07/01/27 | 108233 |
| 200000 | CA Sch Fin Auth Sch Fac Rev Ref Hth Learning Proj, Ser A (b) | 5.00% | 07/01/32 | 202069 |
| 545000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.00% | 07/01/40 | 539753 |
| 450000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.25% | 07/01/48 | 437283 |
| 650000 | CA Sch Fin Auth Sch Fac Rev, Ser A (b) | 5.00% | 07/01/40 | 640406 |
| 450000 | CA St Eductnl Facs Auth Rev Art Ctr Clg of Design, Ser A | 5.00% | 12/01/31 | 485817 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $375000 | CA St Enterprise Dev Auth Chrt Sch Rev Ref The Rocklin Acdmy <br> Proj, Ser A (b) | 4.00% | 06/01/36 | $344677 |
| 500000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/34 | 512283 |
| 750000 | CA St Enterprise Dev Auth Chrt Sch Rev The Rocklin Acdmy <br> Proj (b) | 5.00% | 06/01/44 | 703464 |
| 500000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Mead Vly <br> Wellness Vlg Proj, Ser A | 5.00% | 11/01/43 | 519730 |
| 2500000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Mead Vly <br> Wellness Vlg Proj, Ser A | 5.25% | 11/01/49 | 2590359 |
| 600000 | CA St Enterprise Dev Auth Rev Ref Sage Hill Sch Proj | 5.00% | 12/01/41 | 624418 |
| 650000 | CA St Enterprise Dev Auth Stdt Hsg Rev Ref Pomona <br> Properties LLC Proj, Ser A | 5.00% | 01/15/39 | 670421 |
| 785000 | CA St Enterprise Dev Auth Stdt Hsg Rev Ref Pomona <br> Properties LLC Proj, Ser A | 5.00% | 01/15/45 | 772796 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/40 | 511581 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/41 | 507387 |
| 500000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.25% | 12/01/42 | 502997 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Children's Hosp of Orange <br> Cnty, Ser A | 5.00% | 11/01/49 | 1018063 |
| 2000000 | CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A | 5.00% | 12/01/44 | 2023935 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Commonspirit Hlth, Ser A | 5.25% | 12/01/49 | 1023201 |
| 520000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B | 5.00% | 11/15/33 | 561064 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Svcs, Ser B | 5.25% | 11/15/48 | 988343 |
| 1000000 | CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Subser A-2 | 4.00% | 11/01/44 | 888576 |
| 1240000 | CA St Hlth Facs Fing Auth Rev Ref El Camino Hlth, Ser A | 5.00% | 02/01/43 | 1280387 |
| 1025000 | CA St Hlth Facs Fing Auth Rev Ref Scripps Hlth, Ser A | 5.00% | 11/15/42 | 1060566 |
| 500000 | CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A | 5.00% | 08/15/43 | 525640 |
| 500000 | CA St Hlth Facs Fing Auth Rev Ref Stanford Hlth Care, Ser A | 5.00% | 08/15/44 | 522566 |
| 250000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving <br> Fund Sustainable Bonds, Ser B | 5.00% | 11/01/42 | 250488 |
| 675000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving <br> Fund Sustainable Bonds, Ser B | 5.00% | 11/01/44 | 660541 |
| 1410000 | CA St Infra & Econ Dev Bank Rev Adventist Hlth Energy Proj, <br>Ser A | 5.00% | 07/01/40 | 1452518 |
| 1000000 | CA St Infra & Econ Dev Bank Rev Ref Sustainable Bond Sub <br> Brightline W Passenger Proj, Ser A, AMT (Mandatory put <br> 01/01/35) (b) | 9.50% | 01/01/65 | 892171 |
| 250000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy <br> Proj (c) | 5.38% | 07/01/34 | 250067 |
| 250000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch <br> Proj (d) | 5.38% | 07/01/34 | 250018 |
| 450000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy <br> Proj, Ser A (b) | 5.00% | 07/01/38 | 431401 |
| 2000000 | CA St Muni Fin Auth Mf Hsg Rev Gibson Drive Apartments <br> Proj, Ser A | 4.45% | 12/01/42 | 1950217 |
| 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 | 501799 |
| 785000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas <br> Projs, Ser A | 5.00% | 08/15/27 | 821148 |
| 85000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas <br> Projs, Ser A | 3.00% | 08/15/32 | 80598 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $195000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 3.00% | 08/15/31 | $187520 |
| 295000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 4.00% | 08/15/41 | 260339 |
| 435000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas <br> Proj, Ser B | 4.00% | 08/15/51 | 344928 |
| 1000000 | CA St Muni Fin Auth Mobile Home Park Rev Sustainable Bond <br> Ref Caritas Projs, Ser A | 5.00% | 08/15/49 | 983313 |
| 500000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, AG, COPS | 5.25% | 11/01/34 | 535564 |
| 500000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, AG, COPS | 5.25% | 11/01/36 | 526640 |
| 1000000 | CA St Muni Fin Auth Rev Aldersly Proj, Ser A | 5.00% | 05/15/43 | 1017777 |
| 1500000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1550495 |
| 1000000 | CA St Muni Fin Auth Rev Cmnty Hlth Ctr of the Central Coast <br> Inc, Ser A (e) | 5.50% | 12/01/45 | 969368 |
| 1000000 | CA St Muni Fin Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.13% | 11/01/40 | 1002683 |
| 200000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 203353 |
| 1345000 | CA St Muni Fin Auth Rev Ref Eskaton Properties Incorporated <br> Oblig Grp | 5.00% | 11/15/40 | 1365590 |
| 380000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 380185 |
| 800000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 776668 |
| 500000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 483931 |
| 600000 | CA St Muni Fin Auth Rev Ref S Central Los Angeles Regl Ctr Proj | 5.00% | 12/01/40 | 630314 |
| 715000 | CA St Muni Fin Auth Rev St Ignatius Clg Prep, Ser A | 5.00% | 09/01/41 | 752849 |
| 675000 | CA St Muni Fin Auth Rev St Ignatius Clg Prep, Ser A | 5.00% | 09/01/44 | 693436 |
| 435000 | CA St Muni Fin Auth Sch Fac Rev St Mary's Sch Aliso Viejo, <br>Ser A (b) | 5.75% | 05/01/54 | 421925 |
| 1040000 | CA St Muni Fin Auth Sch Fac Rev Temps St Mary's Sch Aliso <br> Viejo, Ser B | 4.65% | 05/01/30 | 1062094 |
| 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 | 2000285 |
| 1500000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj <br> Remk, Ser A, AMT (Mandatory put 10/01/25) | 3.75% | 07/01/41 | 1499314 |
| 1550000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1523826 |
| 600000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.50% | 09/01/43 | 611590 |
| 550000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 562431 |
| 400000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/39 | 407766 |
| 750000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/44 | 747433 |
| 1250000 | CA St Muni Fin Auth Spl Tax Rev Wildhawk N | 5.00% | 09/01/49 | 1220643 |
| 550000 | CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt <br> Hsg Proj | 5.00% | 05/15/27 | 567226 |
| 500000 | CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt <br> Hsg Proj | 5.00% | 05/15/39 | 504812 |
| 350000 | CA St Muni Fin Auth Stdt Hsg Rev CHF Davis I LLC W Vlg Stdt <br> Hsg Proj | 5.00% | 05/15/40 | 351949 |
| 1000000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt <br> Inc, Ser A3, AMT | 4.30% | 07/01/40 | 1000181 |
| 1000000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt <br> Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 999681 |
| 1500000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Poseidon Res LP <br> Desalination Proj, AMT (b) | 5.00% | 07/01/36 | 1555869 |
| 5000 | CA St Prerefunded Various Purp (Pre-refunded maturity 04/01/26) | 5.00% | 10/01/35 | 5084 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $15000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | $15019 |
| 1090000 | CA St Pub Wks Brd Lease Rev Various Capital Proj, Ser D | 5.00% | 11/01/46 | 1107208 |
| 250000 | CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub <br> Schs Proj (b) | 5.00% | 07/01/39 | 256062 |
| 1000000 | CA St Sch Fin Auth Chrt Sch Rev Ref Alliance for Clg Ready Pub <br> Schs Proj (b) | 5.00% | 07/01/49 | 967273 |
| 700000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies <br> Oceanside Proj, Ser A (b) | 5.00% | 10/01/32 | 730683 |
| 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 | 567868 |
| 650000 | CA St Sch Fin Auth Eductnl Facs Rev Ref New Designs Chrt <br> Sch, Ser A (b) | 5.00% | 06/01/54 | 577523 |
| 375000 | CA St Stwd Cmntys Dev Auth Rev Var Rady Childrens Hosp <br> Remk, Ser B (a) | 2.10% | 08/15/47 | 375000 |
| 1000000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 2 | 5.00% | 09/01/44 | 997793 |
| 280000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref CHF Irvine LLC | 5.00% | 05/15/35 | 281573 |
| 1000000 | CA St Univ Rev Ref, Ser A (e) | 5.00% | 11/01/43 | 1046994 |
| 1340000 | CA St Unrefunded | 5.00% | 11/01/31 | 1487627 |
| 770000 | CA St Unrefunded | 5.00% | 12/01/43 | 792314 |
| 250000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/30 | 252889 |
| 300000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, <br>Ser A (b) | 5.00% | 12/01/33 | 304396 |
| 250000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/32 | 253377 |
| 500000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/41 | 472118 |
| 100000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & <br> Svcs, Ser A | 5.00% | 04/01/30 | 102631 |
| 50000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & <br> Svcs, Ser A | 4.00% | 04/01/32 | 50273 |
| 50000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr (Pre-<br> refunded maturity 02/15/26) | 5.00% | 08/15/33 | 50658 |
| 1000000 | CA Stwd Cmntys Dev Auth Rev Ref John Muir Hlth, Ser A | 5.25% | 12/01/44 | 1039491 |
| 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 | 393168 |
| 2000000 | Centrl Vly CA Energy Auth Cmdy Sply Rev Var (Mandatory put <br> 08/01/35) | 5.00% | 12/01/55 | 2136968 |
| 450000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 467812 |
| 815000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/41 | 861456 |
| 500000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/42 | 522580 |
| 500000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/43 | 519551 |
| 500000 | Corona CA Cmnty Facs Dist Spl Tax Bedford Impt Area No 2 | 5.00% | 09/01/39 | 515669 |
| 725000 | Corona CA Cmnty Facs Dist Spl Tax Bedford Impt Area No 2 | 5.00% | 09/01/44 | 723400 |
| 2000000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay <br> Sustainable Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1489010 |
| 1000000 | E Bay CA Muni Util Dist Wtr Sys Rev Ref, Ser B | 5.00% | 06/01/43 | 1068548 |
| 920000 | E Bay CA Muni Util Dist Wtr Sys Rev Sustainable Bond, Ser A | 5.00% | 06/01/38 | 962177 |
| 1450000 | Elk Grove CA Fin Auth Spl Tax Rev Cmnty Facs Dt No 2005-1 <br> Laguna Ridge | 4.00% | 09/01/50 | 1170542 |
| 175000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/34 | 184239 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $175000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/35 | $182379 |
| 400000 | Estrn CA Muni Wtr Dist Cmnty Facs Dist Spl Tax Cmnty Facs Dist <br> #2018-80 Willow Springs | 5.00% | 09/01/40 | 405156 |
| 350000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No <br> 19 Mangini | 5.00% | 09/01/32 | 360002 |
| 155000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 160609 |
| 500000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/46 | 500427 |
| 1200000 | Fontana CA Spl Tax Cmnty Facs Dt #109 | 5.00% | 09/01/39 | 1238505 |
| 600000 | Fontana CA Spl Tax Cmnty Facs Dt #111 | 5.00% | 09/01/39 | 621511 |
| 300000 | Fontana CA Spl Tax Cmnty Facs Dt #111 | 5.00% | 09/01/48 | 296851 |
| 1000000 | Fontana CA Spl Tax The Gardens Phase One | 5.00% | 09/01/39 | 1023866 |
| 1000000 | Garden Grove CA Pub Fing Auth Lease Rev, Ser A, BAM | 5.00% | 04/01/43 | 1041071 |
| 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 | 803360 |
| 1000000 | Imperial CA Cmnty Clg Dist Election of 2022, Ser A, AG | 5.25% | 08/01/53 | 1034947 |
| 575000 | Indio CA Elec Fing Auth Elec Rev | 5.25% | 01/01/41 | 615540 |
| 775000 | Irvine CA Spl Tax Ref Cmnty Facs Dist #2013-3 Great Park Impt <br> Area#1, BAM | 5.00% | 09/01/44 | 799649 |
| 1350000 | Irvine CA Spl Tax Ref Cmnty Facs Dist #2013-3 Great Park Impt <br> Area#1, BAM | 5.00% | 09/01/48 | 1379870 |
| 150000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 155119 |
| 1000000 | Kern CA Cmnty Clg Dist, Ser D | 5.25% | 08/01/39 | 1084294 |
| 485000 | King City CA Union Sch Dist CABS Election 1998-C, Ser C, <br> AMBAC | (f) | 08/01/29 | 429025 |
| 245000 | Lake Elsinore CA Unif Sch Dist Cmnty Facs Dist Cmnty Facs Dt <br> No 2017-2 | 5.00% | 09/01/39 | 250647 |
| 25000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 25092 |
| 25000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 24921 |
| 200000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist <br> #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 183110 |
| 1000000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.00% | 11/15/35 | 1061087 |
| 1010000 | Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj | 5.00% | 05/15/40 | 1066560 |
| 500000 | Long Beach CA Marina Rev Ref Alamitos Bay Marina Proj | 5.00% | 05/15/41 | 522823 |
| 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 | 54104 |
| 605000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Priv Activity, <br>Ser A, AMT | 5.00% | 05/15/35 | 635003 |
| 1125000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Subord Bonds <br> Sustainable Bonds, Ser D | 5.00% | 05/15/42 | 1199949 |
| 500000 | Los Angeles CA Dept of Arpts Arpt Rev Sustainable Bond Ref <br> Subord Priv Activity, Ser A, AMT | 5.25% | 05/15/42 | 513997 |
| 1100000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord <br> Ref, Ser D, AMT | 5.00% | 05/15/31 | 1196761 |
| 690000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord <br> Ref, Ser D, AMT | 5.00% | 05/15/36 | 721372 |
| 1000000 | Los Angeles CA Unif Sch Dist Election 2008, Ser B-1, AG | 5.25% | 07/01/42 | 1021926 |
| 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 | 651657 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1000000 | Madera CA Unif Sch Dist Ref 2018 Sch Fac Proj, AG, COPS | 5.00% | 09/01/43 | $1047285 |
| 450000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/41 | 473693 |
| 940000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/43 | 974092 |
| 500000 | Mammoth Lakes CA, BAM, COPS | 5.00% | 06/01/44 | 516041 |
| 100000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 103078 |
| 250000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 253994 |
| 600000 | Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-<br> 1, Ser A | 5.00% | 09/01/43 | 603007 |
| 700000 | Menifee CA Spl Tax Quartz Ranch Cmnty Facs Dist No 2022-<br> 1, Ser A | 5.00% | 09/01/48 | 688913 |
| 245000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 254310 |
| 1500000 | Menifee CA Union Sch Dist, Ser C, AG | 3.00% | 08/01/40 | 1219773 |
| 1000000 | Met Wtr Dist of Sthrn CA Wtrwks Rev, Ser A | 5.00% | 04/01/48 | 1032882 |
| 530000 | Modesto CA Elem Sch Dist Stanislaus Cnty Election of 2018 <br> Measure D, Ser C | 5.00% | 08/01/41 | 554514 |
| 500000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/40 | 541200 |
| 700000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/41 | 750091 |
| 750000 | Modesto CA High Sch Dist Stanislaus Cnty Election Bonds of <br> 2022, Ser B | 5.00% | 08/01/42 | 795214 |
| 200000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 197705 |
| 500000 | Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt <br> #2024-1 Impt Area #1 | 5.00% | 09/01/40 | 499843 |
| 800000 | Mountain House Cmnty Facs Dist CA Spl Tax Cmnty Facs Dt <br> #2024-1 Impt Area #1 | 5.00% | 09/01/45 | 766037 |
| 1000000 | Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A | 5.00% | 08/01/43 | 1045364 |
| 1375000 | Oakdale CA Jt Unif Sch Dist Election of 2024, Ser A | 5.00% | 08/01/44 | 1427882 |
| 100000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 97749 |
| 65000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 62639 |
| 275000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 245524 |
| 500000 | Ontario CA Spl TX Countryside Phase 2 S Facs | 5.00% | 09/01/39 | 513423 |
| 800000 | Ontario Pub Fing Auth Lease Rev, Ser A | 5.00% | 11/01/41 | 850775 |
| 610000 | Orange Ctr CA Sch Dist Election of 2022, Ser A, AG | 5.25% | 08/01/48 | 615072 |
| 1000000 | Oxnard CA Sch Dist Election of 2022, Ser A, BAM | 5.00% | 08/01/42 | 1042571 |
| 650000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 526079 |
| 925000 | Pittsburg CA Unif Sch Dist Ref | 3.00% | 08/01/40 | 727094 |
| 210000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline <br> 208 | 5.00% | 09/01/33 | 218397 |
| 220000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline <br> 208 | 5.00% | 09/01/34 | 227773 |
| 1500000 | Rialto CA Pub Fing Auth Lease Rev Police Station Proj, Ser A | 5.25% | 06/01/53 | 1543846 |
| 525000 | Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM | 4.00% | 11/01/31 | 546291 |
| 1420000 | River Islands CA Pub Fing Auth Spl Tax Auth Cmnty Facs Dist <br> #2016-1 2023 Spl TX Bonds, AG | 4.50% | 09/01/53 | 1329568 |
| 500000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 <br> Phase 2 Pub Impts | 5.00% | 09/01/40 | 493597 |
| 480000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist <br> #2003-1, Ser A-1, AG | 5.00% | 09/01/42 | 489958 |
| 575000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 490630 |
| 375000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/39 | 380363 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1220000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/49 | $1184806 |
| 750000 | Riverside CA Wtr Rev, Ser A | 5.00% | 10/01/47 | 770956 |
| 650000 | Riverside Cnty CA Pub Fing Auth Ref Redev Proj Area #1 Desert <br> Cmntys Redev Proj Area, Ser A, AG | 5.00% | 10/01/37 | 713459 |
| 1000000 | Riverside Cnty CA Transprtn Commn Toll Rev Ref Sr Lien Rctc <br> 91 Express Lanes, Ser B-1 | 4.00% | 06/01/41 | 913000 |
| 400000 | Romoland CA Sch Dist Spl Tax Underwood Impt Area No 2 <br> Special Tax Bonds | 5.00% | 09/01/43 | 402004 |
| 930000 | Roseville CA Spl Tax Amoruso Ranch Cmnty Facs Dist #1 Impt <br> Area #1 | 5.00% | 09/01/39 | 943254 |
| 185000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/32 | 192772 |
| 160000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/33 | 166398 |
| 170000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/34 | 168189 |
| 150000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/35 | 146458 |
| 725000 | Rowland CA Unif Sch Dist Ref, Ser B | 4.00% | 08/01/41 | 714906 |
| 750000 | Rowland CA Unif Sch Dist Ref, Ser B | 4.00% | 08/01/42 | 726266 |
| 1000000 | S Wstrn CA Cmnty Clg Dist Election of 2024, Ser A (e) | 5.25% | 08/01/46 | 1063599 |
| 200000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist <br> #2007-01 (b) | 5.00% | 09/01/32 | 203181 |
| 1000000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/37 | 1014459 |
| 1355000 | San Clemente CA Spl Tax Ref Cmnty Facs Dist #2006-1 <br> Marblehead Coastal, BAM | 5.00% | 09/01/41 | 1443275 |
| 1000000 | San Diego CA Pub Facs Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 1022567 |
| 1300000 | San Diego CA Unif Sch Dist Ref, Ser R-2, CONV CABS, steps up <br> to 6.625% on 07/01/30 (g) | (f) | 07/01/41 | 1261598 |
| 1500000 | San Diego CA Unif Sch Dist Sustainable Bond, Ser F2 | 5.00% | 07/01/42 | 1576519 |
| 130000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 134742 |
| 1000000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1050637 |
| 85000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area <br> No 2, Ser A | 4.00% | 09/01/33 | 85002 |
| 140000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref <br> Second Ser, Ser 2020A, AMT | 5.00% | 05/01/37 | 143185 |
| 3040000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, <br> AMT | 5.00% | 05/01/49 | 2981227 |
| 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 | 406834 |
| 1000000 | San Francisco CA City & Cnty Pub Utils Commn Wtr Rev Reg and <br> Loc Wtr Subord, Ser A | 5.25% | 11/01/48 | 1039440 |
| 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 | 1351379 |
| 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 | 1367097 |
| 935000 | San Francisco City & Cnty CA, Ser B | 2.00% | 06/15/29 | 889363 |
| 175000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev <br> CABS Ref, Ser A, NATL-RE | (f) | 01/15/29 | 157393 |
| 120000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev <br> Ref Sr Lien Toll Road, Ser A | 4.00% | 01/15/37 | 119437 |
| 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 | 1100816 |
| 1000000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital <br> Projs Ref, Ser A | 5.25% | 11/15/40 | 1083391 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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)** |  |
| $1000000 | San Luis Obispo Pub Fing Auth Lease Rev Ref Cultural Arts Dist <br> Parking Proj | 5.00% | 12/01/48 | $1041606 |
| 500000 | Santa Ana CA Pub Fing Auth Wtr Rev Ref | 5.00% | 09/01/41 | 543720 |
| 1000000 | Santa Ana CA Pub Fing Auth Wtr Rev Ref | 5.00% | 09/01/42 | 1075220 |
| 2000000 | Santa Barbara CA Fin Auth Lease Rev Pub Safety and Park Projs | 4.00% | 05/15/42 | 1890954 |
| 1590000 | Santa Clara CA Wstwtr Rev Sustainable Bonds, COPS | 4.25% | 02/01/41 | 1615387 |
| 500000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable <br> Bond, Ser A | 5.00% | 08/01/40 | 538406 |
| 500000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable <br> Bond, Ser A | 5.00% | 08/01/41 | 534367 |
| 1075000 | Santa Fe Springs CA Public Fin Auth Spl Parcel Tax Rev Santa Fe <br> Springs Road Impts, AG | 5.00% | 06/01/40 | 1140192 |
| 1100000 | Santa Margarita CA Wtr Dist Spl Tax Ref, Ser A, BAM | 5.00% | 09/01/43 | 1124854 |
| 1000000 | Santa Rosa CA High Sch Dist, Ser B | 5.00% | 08/01/45 | 1039896 |
| 150000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 154621 |
| 500000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 <br> Impt Area #1 | 5.00% | 09/01/31 | 515567 |
| 250000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 257690 |
| 2435000 | Univ of CA CA Rgts Med Ctr Pooled Rev Ref, Ser 0-1 (a) | 2.25% | 05/15/45 | 2435000 |
| 1000000 | Univ of CA Rev Var Ref Gen Remk, Ser AL-3 (a) | 2.25% | 05/15/48 | 1000000 |
| 365000 | Vacaville CA Spl Tax Lower Lagoon Vly Impt Area No 1, Ser A | 5.00% | 09/01/40 | 361460 |
| 330000 | Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2 <br> (Stratford Ranch) | 5.00% | 09/01/38 | 338442 |
| 500000 | Val Verde CA Unif Sch Dist Spl Tax Cmty Facs Dist No 2018-2 <br> (Stratford Ranch) | 5.00% | 09/01/43 | 501651 |
| 1295000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfill Impt <br> Proj, Ser B | 5.00% | 06/01/42 | 1314085 |
|  |  |  |  | 188272987 |
|  | **Connecticut — 0.3%** | **Connecticut — 0.3%** | **Connecticut — 0.3%** |  |
| 490000 | Stamford CT Hsg Auth Ref Mozaic Concierge Living Proj, Ser A | 6.38% | 10/01/45 | 488201 |
|  | **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 | 212676 |
|  | **Guam — 1.5%** | **Guam — 1.5%** | **Guam — 1.5%** |  |
| 100000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 100147 |
| 500000 | Guam Govt Busn Privilege Tax Rev Ref, Ser G (e) | 5.00% | 01/01/31 | 538713 |
| 500000 | Guam Govt Busn Privilege Tax Rev Ref, Ser G (e) | 5.25% | 01/01/38 | 528101 |
| 1000000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A (e) | 5.25% | 07/01/42 | 1026932 |
| 280000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 266698 |
| 210000 | Guam Pwr Auth Rev Ref, Ser A | 5.00% | 10/01/41 | 212724 |
| 325000 | Guam Pwr Auth Rev Ref, Ser A | 5.00% | 10/01/42 | 327104 |
|  |  |  |  | 3000419 |
|  | **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 | 799329 |
|  | **Puerto Rico — 1.1%** | **Puerto Rico — 1.1%** | **Puerto Rico — 1.1%** |  |
| 1100000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 1073372 |
| 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 | 1103221 |
|  |  |  |  | 2176593 |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 — 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 | $385752 |
|  | **Virginia — 0.5%** | **Virginia — 0.5%** | **Virginia — 0.5%** |  |
| 1000000 | VA St Small Busn Fing Auth Hlthcare Facs Rev Ref Mary <br> Washington Hlthcare Oblig Grp, Ser A-1 | 5.00% | 06/15/39 | 1041972 |
|  | **Wisconsin — 0.1%** | **Wisconsin — 0.1%** | **Wisconsin — 0.1%** |  |
| 250000 | Pub Fin Auth WI Student Hsg Rev Sr KSU Bixby Real Estate <br> Fdtn LLC Proj, Ser A | 5.25% | 06/15/45 | 250805 |
|  | **Total Investments — 99.5%** | **Total Investments — 99.5%** | **Total Investments — 99.5%** | 196628734 |
|  | (Cost $201,876,872) | (Cost $201,876,872) | (Cost $201,876,872) |  |
|  | **Net Other Assets and Liabilities — 0.5%** | **Net Other Assets and Liabilities — 0.5%** | **Net Other Assets and Liabilities — 0.5%** | 1005743 |
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $197634477 |

---

**Futures Contracts at July 31, 2025** (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 | 129 | Sep-2025 | &nbsp;&nbsp; $(14587078)<br>| &nbsp;&nbsp; $(96781)<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 July 31, 2025, securities noted as such amounted to $17,802,004 or 9.0% 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 July 31, 2025. Interest will begin accruing on the security's
 first settlement date.

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

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

---

| | |
|:---|:---|
| Abbreviations throughout the Portfolio of Investments: | Abbreviations throughout the Portfolio of Investments: |
| AG | – Assured Guaranty, Inc. |
| AMBAC | – American Municipal Bond Assurance Corp. |
| AMT | – Alternative Minimum Tax |
| BAM | – Build America Mutual |
| CABS | – Capital Appreciation Bonds |
| COPS | – Certificates of Participation |
| NATL-RE | – National Public Finance Guarantee Corp. |

---

See Notes to Financial Statements

------

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

**Portfolio of Investments (Continued)**

**July 31, 2025**

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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>|
| Municipal Bonds\* | $196628734 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $196628734 | &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>**7/31/2025**<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>|
| Futures Contracts\*\* | $(96781)<br>| &nbsp;&nbsp; $(96781)<br>| &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**

**July 31, 2025**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal** <br>**Value**<br>| **Description** | **Stated** <br>**Coupon**<br>| **Stated** <br>**Maturity**<br>| **Value** |
| **MUNICIPAL BONDS — 101.2%** | **MUNICIPAL BONDS — 101.2%** | **MUNICIPAL BONDS — 101.2%** | **MUNICIPAL BONDS — 101.2%** | **MUNICIPAL BONDS — 101.2%** |
|  | **Florida — 1.2%** | **Florida — 1.2%** | **Florida — 1.2%** |  |
| $250000 | Ridge at Apopka CDD FL Spl Assmnt, Ser 22 | 5.38% | 05/01/42 | $251587 |
|  | **Guam — 1.3%** | **Guam — 1.3%** | **Guam — 1.3%** |  |
| 250000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A (a) | 5.25% | 07/01/39 | 263141 |
|  | **Minnesota — 1.1%** | **Minnesota — 1.1%** | **Minnesota — 1.1%** |  |
| 250000 | Rochester MN Hlth Care Facs Rev Mayo Clinic, Ser A | 4.25% | 11/15/50 | 226098 |
|  | **New York — 92.6%** | **New York — 92.6%** | **New York — 92.6%** |  |
| 365000 | Buffalo NY Swr Auth, Ser A | 5.00% | 06/15/43 | 377636 |
| 300000 | Build NYC Res Corp NY Rev Success Acdmy Chrt Schs Proj | 4.00% | 09/01/43 | 266319 |
| 300000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub <br> Sch Facs Canal W Proj | 5.00% | 07/01/42 | 295492 |
| 275000 | Carmel NY | 4.00% | 09/15/45 | 254172 |
| 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 | 303429 |
| 250000 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds <br> Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 254129 |
| 250000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 240396 |
| 335000 | Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ <br> Proj, Ser A | 4.00% | 07/01/36 | 328989 |
| 250000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/37 | 254614 |
| 285000 | Kings Park NY Centrl Sch Dist, Ser B | 3.00% | 07/15/31 | 277908 |
| 295000 | Livingston Cnty NY Ref | 4.00% | 05/01/33 | 310955 |
| 300000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 329502 |
| 490000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/38 | 520832 |
| 250000 | Met Transprtn Auth NY Rev Ref Sustainable Bonds, Ser B | 5.00% | 11/15/43 | 251024 |
| 300000 | Met Transprtn Auth NY Rev Sustainable Bond Ref, Ser A | 5.50% | 11/15/47 | 308863 |
| 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 | 311959 |
| 250000 | Monroe Cnty NY Indl Dev Corp Rev Ref St John Fisher Univ Proj | 5.00% | 06/01/44 | 251659 |
| 250000 | Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A | 5.00% | 07/01/53 | 250471 |
| 300000 | N Babylon NY Union Free Sch Dist | 3.00% | 07/01/35 | 275725 |
| 400000 | Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring <br> Rmkt (b) | 2.75% | 01/01/34 | 400000 |
| 250000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children <br> Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 241284 |
| 250000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable <br> Bond, Ser A-1 | 3.95% | 05/01/35 | 246767 |
| 300000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable <br> Bond, Ser B-1 | 4.75% | 11/01/40 | 299425 |
| 250000 | New York City NY Indl Dev Agy Rev Ref Queens Baseball <br> Stadium Proj, Ser A, AG | 3.00% | 01/01/37 | 218208 |
| 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 | 251033 |
| 300000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var <br> 2nd Gen Resolution, Subser EE-1 (b) | 2.75% | 06/15/55 | 300000 |
| 250000 | New York City NY Transitional Fin Auth Rev Subord, Ser B-1 | 4.00% | 08/01/39 | 234624 |
| 250000 | New York City NY Transitional Fin Auth Rev Subord, Subser F-3 | 3.00% | 02/01/39 | 209573 |
| 250000 | New York City NY Trust For Cultural Res Ref American Museum <br> of Nat History, Ser A | 5.00% | 07/15/54 | 253743 |
| 250000 | NY Energy Fin Dev Corp Var (Mandatory put 12/01/33) | 5.00% | 07/01/56 | 260765 |
| 250000 | NY NY Fiscal 2021, Ser C | 4.00% | 08/01/41 | 231318 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 | NY NY Var Fiscal 2025, Subser G-3 (b) | 2.75% | 02/01/55 | $250000 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Memorial Sloan <br> Kettering Cancer Ctr, Ser 1 | 5.25% | 07/01/54 | 256954 |
| 300000 | NY St Dorm Auth Revs Non St Supported Debt New York Institute <br> of Technology | 5.00% | 07/01/44 | 298616 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Pace Univ, Ser A | 5.25% | 05/01/43 | 249308 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt Pratt Institute Ref | 5.00% | 07/01/39 | 250515 |
| 280000 | NY St Dorm Auth Revs Non St Supported Debt Ref New Sch, <br>Ser A | 5.00% | 07/01/31 | 305916 |
| 355000 | NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth <br> Oblig Grp, Ser A | 5.00% | 05/01/38 | 371610 |
| 250000 | NY St Dorm Auth Revs Non St Supported Debt White Plains Hosp <br> Obligated Grp, AG | 5.25% | 10/01/43 | 257808 |
| 285000 | NY St Dorm Auth Revs Non St Supported Debt, Ser A | 5.00% | 07/01/40 | 290478 |
| 290000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A-Grp 3 | 3.00% | 03/15/38 | 249853 |
| 250000 | NY St Energy Rsrch & Dev Auth Poll Cntrl Rev Ref NY Elec & <br> Gas Remk, Ser C | 4.00% | 04/01/34 | 249944 |
| 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) (c) | 5.13% | 09/01/50 | 254596 |
| 250000 | NY St Envrnmntl Facs Corp Sol Wst Disp Rev Var Ref Wst Mgmt <br> Inc Remk, AMT (Mandatory put 11/03/25) | 4.10% | 05/01/30 | 250000 |
| 300000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref <br> NYC Muni Wtr Fin Auth Projs Subord Srf Bond, Ser C (a) | 5.00% | 06/15/44 | 312121 |
| 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 | 251642 |
| 255000 | NY St Hsg Fin Agy Affordable Hsg, Ser B | 3.20% | 11/01/36 | 224936 |
| 300000 | NY St Mtge Agy Homeowner Mtge Rev Sustainable Bonds, <br>Ser 266 | 4.55% | 10/01/45 | 288298 |
| 305000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B | 4.00% | 01/01/45 | 268464 |
| 250000 | NY St Thruway Auth Ref, Ser P | 5.00% | 01/01/49 | 251128 |
| 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 | 353555 |
| 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 | 249986 |
| 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 | 266430 |
| 435000 | NY St Transprtn Dev Corp Spl Fac Rev Terminal 4 JFK Intl Arpt <br> Proj, AMT | 5.00% | 12/01/30 | 468792 |
| 280000 | NY St Urban Dev Corp Sales Tax Rev, Ser A | 5.00% | 03/15/45 | 286430 |
| 75000 | Onondaga Cnty NY | 3.00% | 04/15/36 | 67850 |
| 250000 | Oyster Bay NY, Ser A, AG | 2.00% | 03/01/35 | 200723 |
| 300000 | Port Auth of NY & NJ NY Ref, Ser 246, AMT | 5.00% | 09/01/44 | 300688 |
| 250000 | Rockland Cnty NY Sol Wst Mgmt Auth Animal Shelter Proj, Ser A | 6.25% | 12/15/49 | 276662 |
| 290000 | Southampton Vlg NY Ambulance Bldg | 2.13% | 03/01/29 | 273573 |
| 500000 | Suffolk Regl Off Track Betting Corp NY Rev | 6.00% | 12/01/53 | 508761 |
| 250000 | Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT | 4.00% | 07/01/36 | 240617 |
| 285000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax Ref <br> MTA Bridges & Tunnels, Ser A | 5.00% | 05/15/47 | 287644 |
| 250000 | Triborough NY Bridge & Tunnel Auth Revs, Ser A | 5.00% | 11/15/42 | 256849 |
| 315000 | Util Debt Securitization Auth NY Ref TE, Ser 1 | 5.00% | 12/15/41 | 336224 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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 | Westchester Cnty NY Loc Dev Corp Rev Westchester Med Ctr <br> Oblig Grp Proj, AG | 5.75% | 11/01/49 | $264408 |
| 250000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 244500 |
| 250000 | Yonkers NY, Ser F, BAM | 5.00% | 11/15/41 | 259627 |
|  |  |  |  | 19086320 |
|  | **Puerto Rico — 5.0%** | **Puerto Rico — 5.0%** | **Puerto Rico — 5.0%** |  |
| 400000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 390317 |
| 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 | 276022 |
| 400000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, <br>Ser A-2 | 4.33% | 07/01/40 | 372316 |
|  |  |  |  | 1038655 |
|  | **Total Investments — 101.2%** | **Total Investments — 101.2%** | **Total Investments — 101.2%** | 20865801 |
|  | (Cost $21,238,328) | (Cost $21,238,328) | (Cost $21,238,328) |  |
|  | **Net Other Assets and Liabilities — (1.2)%** | **Net Other Assets and Liabilities — (1.2)%** | **Net Other Assets and Liabilities — (1.2)%** | (257052)<br>|
|  | **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $20608749 |

---

**Futures Contracts at July 31, 2025** (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 | 3 | Sep-2025 | &nbsp;&nbsp; $(339234)<br>| &nbsp;&nbsp; $(1375)<br>|

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) When-issued
 security. The interest rate shown reflects the rate in effect at July 31, 2025. Interest will begin accruing on the security's
 first settlement date.

&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) 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 July 31, 2025, securities noted as such amounted to $254,596 or 1.2% of net assets.

&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 |

---

See Notes to Financial Statements

------

**First Trust New York Municipal High Income ETF (FMNY)**

**Portfolio of Investments (Continued)**

**July 31, 2025**

------

**Valuation Inputs**

A summary of the inputs used to value the Fund's investments as of July 31, 2025 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>**7/31/2025**<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>|
| Municipal Bonds\* | $20865801 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $20865801 | &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>**7/31/2025**<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>|
| Futures Contracts\*\* | $(1375)<br>| &nbsp;&nbsp; $(1375)<br>| &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**

**July 31, 2025**

&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 | $196628734 | &nbsp;&nbsp; $20865801 |
| Cash | 3716855 | &nbsp;&nbsp; 132539 |
| Cash segregated as collateral | 328949 | &nbsp;&nbsp; 7650 |
| Interest receivable | 2274779 | &nbsp;&nbsp; 188637 |
| Total Assets | 202949317 | &nbsp;&nbsp; 21194627 |
| **LIABILITIES:** |  |  |
| Payables: |  |  |
| Investment securities purchased | 5157630 | &nbsp;&nbsp; 574051 |
| Investment advisory fees | 139070 | &nbsp;&nbsp; 11405 |
| Variation margin | 18140 | &nbsp;&nbsp; 422 |
| Total Liabilities | 5314840 | &nbsp;&nbsp; 585878 |
| **NET ASSETS** | $197634477 | &nbsp;&nbsp; $20608749 |
| **NET ASSETS consist of:** |  |  |
| Paid-in capital | $217565220 | &nbsp;&nbsp; $22663360 |
| Par value | 41500 | &nbsp;&nbsp; 8000 |
| Accumulated distributable earnings (loss) | (19972243)<br>| &nbsp;&nbsp; (2062611)<br>|
| **NET ASSETS** | $197634477 | &nbsp;&nbsp; $20608749 |
| **NET ASSET VALUE,** per share | $47.62 | &nbsp;&nbsp; $25.76 |
| Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per <br> share)<br>| 4150002 | &nbsp;&nbsp; 800002 |
| Investments, at cost | $201876872 | &nbsp;&nbsp; $21238328 |

---

See Notes to Financial Statements

------

**First Trust Exchange-Traded Fund III**

**Statements of Operations**

**For the Year Ended July 31, 2025**

&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 | $10203984 | &nbsp;&nbsp; $842963 |
| Total investment income | 10203984 | &nbsp;&nbsp; 842963 |
| **EXPENSES:** |  |  |
| Investment advisory fees | 1730909<br>| &nbsp;&nbsp; 128614<br>|
| Total expenses | 1730909 | &nbsp;&nbsp; 128614 |
| **NET INVESTMENT INCOME (LOSS)** | 8473075 | &nbsp;&nbsp; 714349 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |  |
| Net realized gain (loss) on: |  |  |
| Investments | (4467124)<br>| &nbsp;&nbsp; (112388)<br>|
| Futures contracts | (94392)<br>| &nbsp;&nbsp; (15471)<br>|
| Net realized gain (loss) | (4561516)<br>| &nbsp;&nbsp; (127859)<br>|
| Net change in unrealized appreciation (depreciation) on: |  |  |
| Investments | (7411002)<br>| &nbsp;&nbsp; (732021)<br>|
| Futures contracts | (96781)<br>| &nbsp;&nbsp; (1375)<br>|
| Net change in unrealized appreciation (depreciation) | (7507783)<br>| &nbsp;&nbsp; (733396)<br>|
| **NET REALIZED AND UNREALIZED GAIN (LOSS)** | (12069299)<br>| &nbsp;&nbsp; (861255)<br>|
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $(3596224)<br>| &nbsp;&nbsp; $(146906)<br>|

---

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)** |
|  | **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>| **Year** <br>**Ended** <br>**7/31/2025** <br>| **Year** <br>**Ended** <br>**7/31/2024** <br>|
| **OPERATIONS:** |  |  |  |  |
| Net investment income (loss) | $8473075 | &nbsp;&nbsp; $5839994 | &nbsp;&nbsp; $714349 | &nbsp;&nbsp; $575353 |
| Net realized gain (loss) | (4561516)<br>| &nbsp;&nbsp; (1046270)<br>| &nbsp;&nbsp; (127859)<br>| &nbsp;&nbsp; (74545)<br>|
| Net change in unrealized appreciation (depreciation) | (7507783)<br>| &nbsp;&nbsp; 3464196 | &nbsp;&nbsp; (733396)<br>| &nbsp;&nbsp; 289212 |
| Net increase (decrease) in net assets resulting from <br> operations<br>| (3596224)<br>| &nbsp;&nbsp; 8257920 | &nbsp;&nbsp; (146906)<br>| &nbsp;&nbsp; 790020 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |  |  |
| Investment operations | (8247703)<br>| &nbsp;&nbsp; (5695478)<br>| &nbsp;&nbsp; (725352)<br>| &nbsp;&nbsp; (576001)<br>|
| **SHAREHOLDER TRANSACTIONS:** |  |  |  |  |
| Proceeds from shares sold | 56452725<br>| &nbsp;&nbsp; 109180702<br>| &nbsp;&nbsp; 2653696<br>| &nbsp;&nbsp; 5330174<br>|
| Cost of shares redeemed | (100492899) <br>| &nbsp;&nbsp; (7442694) <br>| &nbsp;&nbsp; —<br>| &nbsp;&nbsp; —<br>|
| Net increase (decrease) in net assets resulting from <br> shareholder transactions<br>| (44040174)<br>| &nbsp;&nbsp; 101738008 | &nbsp;&nbsp; 2653696 | &nbsp;&nbsp; 5330174 |
| Total increase (decrease) in net assets | (55884101)<br>| &nbsp;&nbsp; 104300450 | &nbsp;&nbsp; 1781438 | &nbsp;&nbsp; 5544193 |
| **NET ASSETS:** |  |  |  |  |
| Beginning of period | 253518578 | &nbsp;&nbsp; 149218128 | &nbsp;&nbsp; 18827311 | &nbsp;&nbsp; 13283118 |
| End of period | $197634477 | &nbsp;&nbsp; $253518578 | &nbsp;&nbsp; $20608749 | &nbsp;&nbsp; $18827311 |
| **CHANGES IN SHARES OUTSTANDING:** |  |  |  |  |
| Shares outstanding, beginning of period | 5100002 | &nbsp;&nbsp; 3050002 | &nbsp;&nbsp; 700002 | &nbsp;&nbsp; 500002 |
| Shares sold | 1150000 | &nbsp;&nbsp; 2200000 | &nbsp;&nbsp; 100000 | &nbsp;&nbsp; 200000 |
| Shares redeemed | (2100000)<br>| &nbsp;&nbsp; (150000)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Shares outstanding, end of period | 4150002 | &nbsp;&nbsp; 5100002 | &nbsp;&nbsp; 800002 | &nbsp;&nbsp; 700002 |

---

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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  |
|  | **2025** | **2024** | **2023** | **2022**  | **2021**  |
| Net asset value, beginning of period | $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)  | 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) | (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 | (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 | (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; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.01) <br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| Total distributions | (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 | $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) | (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 data:** |  |  |  |  |  |
| Net assets, end of period (in 000's) | $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 | 0.65<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 | 0.65<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 average net assets | 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 (d) | 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) 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;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Year Ended July 31,**  | **Period** <br>**Ended** <br>**7/31/2021 (a)** |
|  | **2025** | **2024** | **2023** | **2022**  | **Period** <br>**Ended** <br>**7/31/2021 (a)** |
| Net asset value, beginning of period | $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)  | 0.96<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) | (1.13) <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 | (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 | (0.97) <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; (0.02) <br>|
| Total distributions | (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 | $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) | (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 data:** |  |  |  |  |  |
| Net assets, end of period (in 000's) | $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 | 0.65<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 | 0.65<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 net assets | 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 (e) | 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) 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**

**July 31, 2025**

&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**

**July 31, 2025**

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**

**July 31, 2025**

&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 July 31, 2025, 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 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 or delayed-delivery securities. At July 31, 2025, FCAL and FMNY held $5,173,707 and $575,262, 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 $328,949 and $7,650 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**

**July 31, 2025**

&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 July 31, 2025, 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; $100.03 | &nbsp;&nbsp; $250000 | &nbsp;&nbsp; $250067 | 0.13<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; — |

---

The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2024 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 | $10657 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $5684821 | &nbsp;&nbsp; $— |
| First Trust New York Municipal High Income ETF | 177 | &nbsp;&nbsp; — | &nbsp;&nbsp; 575824 | &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>|

---

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

**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.

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 July 31, 2025, 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.

In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2025, the adjustments for each Fund were as follows:

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

---

| | | | |
|:---|:---|:---|:---|
|  | Accumulated <br>Net Investment <br>Income (Loss)<br>| Accumulated <br>Net Realized <br>Gain (Loss) <br>on Investments<br>| Paid-In <br>Capital<br>|
| First Trust California Municipal High Income ETF | $(10776)<br>| &nbsp;&nbsp; $10776 | &nbsp;&nbsp; $— |
| First Trust New York Municipal High Income ETF |  | &nbsp;&nbsp; — | &nbsp;&nbsp; — |

---

As of July 31, 2025, 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 | $201608181 | &nbsp;&nbsp; $930300 | &nbsp;&nbsp; $(6006528)<br>| &nbsp;&nbsp; $(5076228)<br>|
| First Trust New York Municipal High Income ETF | 21192476 | &nbsp;&nbsp; 166880 | &nbsp;&nbsp; (494930)<br>| &nbsp;&nbsp; (328050)<br>|

---

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

**G. Expenses**

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

**H. Segment Reporting**

Each Fund has adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the standard impacted financial statement disclosures only and did not affect each Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 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 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. 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 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>|

---

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 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 allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Committee Chairs, the Audit Committee Vice Chair, the Lead Independent Trustee and the Vice Lead Independent Trustee rotate periodically in serving in such capacities. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

**4. Purchases and Sales of Securities** 

For the fiscal year ended July 31, 2025, 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 | $149512366 | &nbsp;&nbsp; $184747609 |
| First Trust New York Municipal High Income ETF | 9619040 | &nbsp;&nbsp; 6251256 |

---

For the fiscal year ended July 31, 2025, 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. For any day on and after February 26, 2025, 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. For any day before February 26, 2025, BNY charged a commitment fee of 0.20% of the daily amount of the excess of the commitment amount over the outstanding principal balance of the loans and an agency fee. First Trust allocates the commitment fee and agency fee amongst the funds that have access to the credit line. 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 fiscal year ended July 31, 2025.

**6. Derivative Transactions** 

The following table presents the types of derivatives held by each Fund at July 31, 2025, 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; $96781 |
| **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; 1375 |

---

&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 fiscal year ended July 31, 2025, 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 | $(94392)<br>| &nbsp;&nbsp; $(15471)<br>|
| Net change in unrealized appreciation <br> (depreciation) on futures contracts<br>| (96781)<br>| &nbsp;&nbsp; (1375)<br>|

---

For FCAL, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2025, which is indicative of the volume of this derivative type, was $6,137,697.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

For FMNY, the average notional value of futures contracts outstanding during the fiscal year ended July 31, 2025. which is indicative of the volume of this derivative type, was $157,897.

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.

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.

------

**Notes to Financial Statements (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025**

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

**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 no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

------

**Report of Independent Registered Public Accounting Firm**

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

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statements of assets and liabilities of First Trust California Municipal High Income ETF and First Trust New York Municipal High Income ETF (the "Funds"), each a series of the First Trust Exchange-Traded Fund III, including the portfolios of investments, as of July 31, 2025, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for the periods indicated in the table below, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2025, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.

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

---

| | |
|:---|:---|
| Individual Funds Included in the Trust | Financial Highlights |
| First Trust California Municipal High Income <br> ETF (FCAL)<br>| For the years ended July 31, 2025, 2024, 2023, 2022, and 2021 |
| First Trust New York Municipal High Income <br> ETF (FMNY)<br>| For the years ended July 31, 2025, 2024, 2023, 2022, and for the period from <br> May 12, 2021 (commencement of investment operations) through July 31, 2021<br>|

---

**Basis for Opinion**

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche, LLP

Chicago, Illinois

September 22, 2025

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

------

**Other Information**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (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 fiscal year ended July 31, 2025.

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

There were no matters submitted for vote by shareholders of any Fund during the fiscal year ended July 31, 2025.

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

Independent Trustees and any member of any advisory board 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)**

The Board of Trustees of First Trust Exchange-Traded Fund III (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following series of the Trust (each a "Fund" and collectively, the "Funds"):

First Trust California Municipal High Income ETF (FCAL)

First Trust New York Municipal High Income ETF (FMNY)

The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2026 at a meeting held on June 8–9, 2025. The Board determined for each Fund that the continuation of the applicable Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 22, 2025 and June 8–9, 2025, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 22, 2025, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 8–9, 2025 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's unitary fee.

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. The Board noted that each Fund is an actively-managed ETF and noted that the Advisor's Municipal Securities Team is responsible for the day-to-day management of the Funds' investments. The Board considered the background and experience of the members of the Municipal Securities Team and noted the Board's prior meetings with members of the Team. The Board considered the Advisor's statement that it applies the same oversight model internally with its Municipal Securities Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 22, 2025 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objectives, policies and restrictions.

The Board considered the unitary fee rate schedule payable by each Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board discussed with the Advisor limitations in creating peer groups for actively-managed ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rate schedules overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information comparing each Fund's performance for periods ended December 31, 2024 to the performance of the funds in its Performance Universe and to that of a benchmark index. Based on the information provided, the Board noted that FCAL outperformed its Performance Universe median and benchmark index for the one- and five-year periods ended December 31, 2024 and underperformed its Performance Universe median and benchmark index for the three-year period ended December 31, 2024. The Board noted that FMNY outperformed its Performance Universe median and benchmark index for the one-year period ended December 31, 2024 and underperformed its Performance Universe median and benchmark index for the three-year period ended December 31, 2024.

On the basis of all the information provided on the unitary fee and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the unitary fee rate schedule for each Fund includes breakpoints pursuant to which the unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor's statement that it believes that its expenses

------

**Other Information (Continued)**

**First Trust Exchange-Traded Fund III**

**July 31, 2025 (Unaudited)**

relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Funds. The Board concluded that the unitary fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2024 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

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

**Federal Tax Information**

For the taxable year ended July 31, 2025, the following distribution information is being provided as required by the Internal Revenue Code of 1986, as amended, or to meet a specific state's requirement. The Funds designate the following percentages or, if subsequently determined to be different, the maximum amount allowable for their fiscal year ended July 31, 2025:

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

---

| | | |
|:---|:---|:---|
|  | Tax Exempt <br> Interest <br> Dividends<br>| Alternative <br> Minimum <br> Tax (AMT)<br>|
| First Trust California Municipal High Income ETF | 99.92<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 16.13<br> %<br>|
| First Trust New York Municipal High Income ETF | 99.99<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 13.13<br> %<br>|

---

------

(b) The Financial Highlights is included in the Financial Statements and Other Information filed under Item 7(a) of this Form N-CSR.

**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) [Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.](ethics.htm)

(a)(2) Not applicable to the Registrant.

(a)(3) [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)(4) Not applicable to the Registrant.

(a)(5) 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>October 7, 2025</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>October 7, 2025</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> October 7, 2025</u>

<sup>\*</sup> Print the name and title of each signing officer under his or her signature.

## Ex-99.Code

#### SENIOR FINANCIAL OFFICER<br> CODE OF CONDUCT
I. Introduction

This code of conduct is being adopted by the investment companies advised by First Trust Advisors L.P., from time to time, (the "FUNDS"). The reputation and integrity of the Funds are valuable assets that are vital to the Funds' success. Each officer of the Funds, and officers and employees of the investment adviser to the Funds who work on Fund matters, including each of the Funds' senior financial officers ("SFOS"), is responsible for conducting each Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the Principal Executive Officer (who is the President), the Controller (who is the principal accounting officer), and the Treasurer (who is the principal financial officer), and any person who performs a similar function.

The Funds, First Trust Advisors L.P. and First Trust Portfolios have adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of 1940 (the "RULE 17J-1 CODE"). These Codes of Ethics are designed to prevent certain conflicts of interest that may arise when officers, employees, or directors of the Funds and the foregoing entities know about present or future Fund transactions and/or have the power to influence those transactions, and engage in transactions with respect to those same securities in their personal account(s) or otherwise take advantage of their position and knowledge with respect to those securities. In an effort to prevent these conflicts and in accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit transactions and conduct that create conflicts of interest, and to establish compliance procedures.

The Sarbanes-Oxley Act of 2002 was designed to address corporate malfeasance and to help assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under Section 406 of the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to prevent future situations (such as occurred in well-reported situations involving such companies as Enron and WorldCom) where a company creates an environment in which employees are afraid to express their opinions or to question unethical and potentially illegal business practices.

The Funds have chosen to adopt a senior financial officer Code of Conduct to encourage their SFOs, and other Fund officers and employees of First Trust Advisors or First Trust Portfolios to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Funds' financial disclosures are complete, accurate, and understandable.

II. Purposes of This Code of Conduct

The purposes of this Code are:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. To promote honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submits to, the SEC and in other public communications the Funds make;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. To promote compliance with applicable governmental laws, rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. To encourage the prompt internal reporting to an appropriate person of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. To establish accountability for adherence to the Code.

III. Questions About This Code

The Funds' Boards of Trustees have designated W. Scott Jardine or other appropriate officer designated by the President of the respective Funds to be the Compliance Coordinator for the implementation and administration of the Code.

IV. Handling of Financial Information

The Funds have adopted guidelines under which its SFOs perform their duties. However, the Funds expect that all officers or employees of the adviser or distributor who participate in the preparation of any part of any Fund's financial statements follow these guidelines with respect to each Fund:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. Act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Disclose to the Fund's Compliance Coordinator any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Coordinator, it should be disclosed to the Fund's Principal Financial Officer or Principal Executive Officer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. Provide information to the Fund's other officers and appropriate employees of service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. Endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. Comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;F. Act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;G. Respect the confidentiality of information acquired in the course of your work except when you have Fund approval to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;H. Share and maintain skills important and relevant to the Fund's needs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I. Proactively promote ethical behavior among peers in your work environment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;J. Responsibly use and control all assets and resources employed or entrusted to you.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;K. Record or participate in the recording of entries in the Fund's books and records that are accurate to the best of your knowledge.

V. Waivers of This Code

SFOs and other parties subject to this Code may request a waiver of a provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by submitting their request in writing to the Compliance Coordinator for appropriate review. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. A good faith interpretation of the provisions of this Code, however, shall not constitute a waiver.

VI. Annual Certification

Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements.

VII. Reporting Suspected Violations

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. SFOs or other officers of the Funds or employees of the First Trust group who work on Fund matters who observe, learn of, or, in good faith, suspect a violation of the Code MUST immediately report the violation to the Compliance Coordinator, another member of the Funds' or First Trust's senior management, or to the Audit Committee of the Fund Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Because service providers such as an administrator, outside accounting firm, and custodian provide much of the work relating to the Funds' financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Coordinator even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. SFOs or other officers or employees who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible.

VIII. Violations of The Code

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. Dishonest, unethical or illegal conduct will constitute a violation of this Code, regardless of whether this Code specifically refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Funds and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors and officers, and criminal laws. The federal securities laws generally prohibit the Funds from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit materials facts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Examples of criminal violations of the law include stealing, embezzling, misapplying corporate or bank funds, making a payment for an expressed purpose on a Fund's behalf to an individual who intends to use it for a different purpose; or making payments, whether corporate or personal, of cash or other items of value that are intended to influence the judgment or actions of political candidates, government officials or businesses in connection with any of the Funds' activities. The Funds must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations.

Amended: June 1, 2009

## 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:

1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund III;

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

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

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

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

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: | October 7, 2025 | &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:

1. I have reviewed this report on Form N-CSR of First Trust Exchange-Traded Fund III;

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

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

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

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

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: | October 7, 2025 | &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: | October 7, 2025 | &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: | October 7, 2025 | &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) |

---