First Trust Exchange-Traded Fund III

First Trust Preferred Securities and Income ETF (FPE)

First Trust Institutional Preferred Securities and Income
ETF (FPEI)

Semi-Annual Report
For the Six Months Ended
April 30, 2022

Table of Contents

First Trust Exchange-Traded Fund III

Semi-Annual Report

April 30, 2022

Shareholder Letter	1
Fund Performance Overview
First Trust Preferred Securities and Income ETF (FPE)	2
First Trust Institutional Preferred Securities and Income ETF (FPEI)	5
Notes to Fund Performance Overview	8
Portfolio Management	9
Understanding Your Fund Expenses	10
Portfolio of Investments
First Trust Preferred Securities and Income ETF (FPE)	11
First Trust Institutional Preferred Securities and Income ETF (FPEI)	21
Statements of Assets and Liabilities	27
Statements of Operations	28
Statements of Changes in Net Assets	29
Financial Highlights	30
Notes to Financial Statements	32
Additional Information	40

Caution Regarding Forward-Looking Statements

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

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

Performance and Risk Disclosure

There is no assurance that any Fund described in this report 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. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.

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

The Advisor may also periodically provide additional information on Fund performance on each Fund’s web page 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 and analysis that provide insight into each Fund’s performance and investment approach.

The statistical information that follows may help you understand each Fund’s performance compared to that of relevant market
benchmarks.

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

Table of Contents

Shareholder Letter

First Trust Exchange-Traded Fund III

Semi-Annual Letter from the Chairman and CEO

April 30, 2022

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for certain series of First Trust Exchange-Traded Fund III (the “Funds”), which contains detailed information about the Funds for the six months ended April 30, 2022.

A couple of famous financial industry quotes came to mind recently as I was sizing up the current business climate: “There’s no such thing as a free lunch” and “Don’t fight the Fed!” It seems that for some, the trillions of dollars of financial stimulus funneled into U.S. households and businesses by the Federal government and its agencies to help mitigate the fallout stemming from the coronavirus (“COVID-19”) pandemic, which commenced sometime around February 2020, was for all intents and purposes “free money.” It was not free. From the close of February 2020 through March 2022, the Federal Reserve (the “Fed”) expanded the U.S. money supply, known as M2, by 41% to $21.81 trillion to boost liquidity in the financial system. Normally, M2 grows around 6.0% on a year-over-year basis. When you factor in that all this new capital was accompanied by a breakdown of the global supply chain, there is little wonder why inflation is rampant.

One of the more common definitions of inflation is too many dollars chasing too few goods. The biggest downside to the supply chain bottlenecks, such as the severe backup of container ships at some U.S. ports, is that they have markedly reduced the flow of imported goods to retailers. The Fed has been signaling to Americans and the rest of the globe that, after many years of artificially low interest rates, tighter monetary policy will likely rule the day for the foreseeable future. Higher interest rates make borrowing capital more expensive and that should slow consumption over time, which, in turn, should bring down inflation. Don’t fight the Fed is code for don’t bet against the Fed, in my opinion. Stay tuned!

The primary job of the Fed is price stability. Its standard inflation target rate is 2.0%. The most recent Consumer Price Index release showed that prices were up 8.3% on a year-over-year basis as of April 30, 2022, according to data from the U.S. Bureau of Labor Statistics. While down from 8.5% the prior month, it is clearly elevated and that means the Fed has some work to do to with respect to mitigating inflation. The war between Russia and Ukraine is making the Fed’s job even tougher, particularly in the areas of food and energy. Rising costs and potential shortages could become even bigger if the COVID-19 outbreak in China grows. These are important events to monitor. Fed Chairman Jerome Powell has stated that the Fed is poised to raise the Federal Funds target rate (upper bound) by 50 basis points at each of its next two meetings (set for June and July), which would take the rate up to 2.00%. Data from CME Group indicates that current market pricing has the rate rising to 2.75% or 3.00% by year-end.

Securities markets do not go up in a straight line and they do not just go up year in and year out. In fact, what we have witnessed over the past couple of decades are often referred to as boom and bust cycles. Thankfully, it has ended up more boom than bust. Simply put, investors, not traders of the market, need to be willing to take the bad with the good. As the various stages of an economic cycle come and go (expansion to contraction), the markets tend to reprice securities to reflect the current narrative. In other words, we believe the markets essentially heal themselves − if you let them. That is an accurate depiction of how the markets have behaved so far in 2022, in my opinion. In response to a softening economy, the stock and bond markets have experienced some serious downside through the first four months of this year, as measured by the broader market indices. As of today, Brian Wesbury, Chief Economist at First Trust, is not forecasting a recession for the U.S. in 2022 or 2023. Whether he is proven right or wrong, we encourage investors to stay the course.

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

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

Table of Contents

Fund Performance Overview (Unaudited)

First Trust Preferred Securities and Income ETF (FPE)

The First Trust Preferred Securities and Income ETF’s (the “Fund”) investment objective is to seek total return and to provide current income. Under normal market conditions, the Fund invests at least 80% of its net assets (including investment borrowings) in preferred securities (“Preferred Securities”) and income-producing debt securities (“Income Securities”). The Fund invests in securities that are traded over-the-counter or listed on an exchange. For purposes of the 80% test set forth above, securities of open-end funds, closed-end funds or other exchange-traded funds (“ETFs”) registered under the Investment Company Act of 1940, as amended, that invest primarily in Preferred Securities or Income Securities are deemed to be Preferred Securities or Income Securities.

Preferred Securities held by the Fund generally pay fixed or adjustable-rate distributions to investors and have preference over common stock in the payment of distributions and the liquidation of a company’s assets, but are generally junior to all forms of the company’s debt, including both senior and subordinated debt. Certain of the Preferred Securities may be issued by trusts or other special purpose entities created by companies specifically for the purpose of issuing such securities. Income Securities that may be held by the Fund include corporate bonds, high yield securities (commonly referred to as “junk” bonds) and convertible securities. The broad category of corporate debt securities includes debt issued by U.S. and non-U.S. companies of all kinds, including those with small, mid and large capitalizations. Corporate debt may carry fixed or floating rates of interest.

Performance
			Average Annual Total Returns		Cumulative Total Returns
	6 Months Ended 4/30/22	1 Year Ended 4/30/22	5 Years Ended 4/30/22	Inception (2/11/13) to 4/30/22	5 Years Ended 4/30/22	Inception (2/11/13) to 4/30/22
Fund Performance
NAV	-8.37%	-5.59%	3.83%	4.54%	20.68%	50.60%
Market Price	-8.90%	-6.28%	3.72%	4.49%	20.02%	49.90%
Index Performance
ICE BofA US Investment Grade Institutional Capital Securities Index	-7.82%	-6.20%	3.84%	4.80%	20.73%	54.02%
Blended Index⁽¹⁾⁽²⁾⁽³⁾	-10.15%	-8.15%	3.56%	N/A	19.12%	N/A
ICE BofA Fixed Rate Preferred Securities Index	-11.70%	-10.10%	2.39%	4.10%	12.52%	44.79%
Prior Blended Index⁽⁴⁾	-9.89%	-8.16%	3.19%	4.44%	16.99%	49.22%

(See Notes to Fund Performance Overview Page 8.)

⁽¹⁾	On July 6, 2021, the Fund’s benchmark changed from the Prior Blended Index to the Blended Index because the Advisor believes that the Blended Index better reflects the investment strategies of the Fund.

⁽²⁾

The Blended Index consists of a 30/30/30/10 blend of the ICE BofA Core Plus Fixed Rate Preferred Securities Index, the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Index is intended to reflect the proportional market cap of each segment of the preferred and hybrid securities market. The indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly returns of the four indices during each period shown above. At the beginning of each month the four indices are rebalanced to a 30/30/30/10 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above.

⁽³⁾	Since the ICE USD Contingent Capital Index had an inception date of December 31, 2013, the performance of the Blended Index is not available for all of the periods disclosed.

⁽⁴⁾

The Prior Blended Index consists of a 50/50 blend of the ICE BofA Fixed Rate Preferred Securities Index and the ICE BofA U.S. Capital Securities Index. The indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Prior Blended Index returns are calculated by using the monthly returns of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50/50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above.

Page 2

Table of Contents

Fund Performance Overview (Unaudited) (Continued)

First Trust Institutional Preferred Securities and Income ETF (FPEI)

The First Trust Institutional Preferred Securities and Income ETF’s (the “Fund”) investment objective is to seek total return and to provide current income. Under normal market conditions, the Fund invests at least 80% of its net assets (including investment borrowings) in institutional preferred securities (“Preferred Securities”) and income-producing debt securities (“Income Securities”). Preferred Securities are a type of equity security that have preference over common stock in the payment of distributions and the liquidation of a company’s assets, but are generally junior to all forms of the company’s debt, including both senior and subordinated debt. The Fund’s investments in Preferred Securities will primarily be in institutional preferred securities. Institutional preferred securities are targeted to institutional, rather than retail, investors, are generally traded over-the-counter and may also be known as “$1,000 par preferred securities.” They are typically issued in large, institutional lot sized by U.S. and non-U.S. financial services companies and other companies. While all income-producing debt securities will be categorized as “Income Securities” for purposes of the 80% test above, the Income Securities in which the Fund intends to invest as part of its principal investment strategy include hybrid capital securities, contingent capital securities, U.S. and non-U.S. corporate bonds and convertible securities.

Performance
			Average Annual Total Returns	Cumulative Total Returns
	6 Months Ended 4/30/22	1 Year Ended 4/30/22	Inception (8/22/17) to 4/30/22	Inception (8/22/17) to 4/30/22
Fund Performance
NAV	-6.14%	-3.63%	3.78%	18.99%
Market Price	-6.22%	-3.77%	3.80%	19.12%
Index Performance
Blended Benchmark⁽¹⁾⁽²⁾	-8.33%	-6.53%	3.68%	18.45%
ICE BofA US Investment Grade Institutional Capital Securities Index	-7.82%	-6.20%	3.42%	17.09%

(See Notes to Fund Performance Overview Page 8.)

⁽¹⁾	On July 6, 2021, the Fund’s benchmark changed from the ICE BofA US Investment Grade Institutional Capital Securities Index to the Blended Benchmark because the Advisor believes that the Blended Benchmark better reflects the investment strategies of the Fund.

⁽²⁾

The Blended Benchmark consists of a 45/40/15 blend of the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Benchmark is intended to reflect the proportional market cap of each segment within the institutional market. The Blended Benchmark returns are calculated by using the monthly returns of the three indices during each period shown above. At the beginning of each month the three indices are rebalanced to a 45/40/15 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above.

Page 5

Table of Contents

First Trust Exchange-Traded Fund III

Understanding Your Fund Expenses

April 30, 2022 (Unaudited)

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended April 30, 2022.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Beginning Account Value November 1, 2021	Ending Account Value April 30, 2022	Annualized Expense Ratio Based on the Six-Month Period	Expenses Paid During the Six-Month Period (a)
First Trust Preferred Securities and Income ETF (FPE)
Actual	$1,000.00	$916.30	0.85%	$4.04
Hypothetical (5% return before expenses)	$1,000.00	$1,020.58	0.85%	$4.26
First Trust Institutional Preferred Securities and Income ETF (FPEI)
Actual	$1,000.00	$938.60	0.85%	$4.09
Hypothetical (5% return before expenses)	$1,000.00	$1,020.58	0.85%	$4.26

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2021 through April 30, 2022), multiplied by 181/365 (to reflect the six-month period).

Page 10

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First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments

April 30, 2022 (Unaudited)

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES – 24.1%
	Banks – 3.8%
11,623	Atlantic Union Bankshares Corp., Series A	6.88%	(a)	$298,944
369,973	Bank of America Corp., Series GG	6.00%	(a)	9,256,724
7,004	Bank of America Corp., Series HH	5.88%	(a)	171,458
150,152	Bank of America Corp., Series KK	5.38%	(a)	3,375,417
112,368	Bank of America Corp., Series LL	5.00%	(a)	2,375,460
1,432,104	Bank of America Corp., Series NN	4.38%	(a)	26,322,072
401,545	Citizens Financial Group, Inc., Series D (b)	6.35%	(a)	10,387,969
8	Fifth Third Bancorp, Series A	6.00%	(a)	204
140,174	Fifth Third Bancorp, Series I (b)	6.63%	(a)	3,629,105
886,828	First Republic Bank, Series M	4.00%	(a)	15,519,490
519,468	Fulton Financial Corp., Series A	5.13%	(a)	10,945,191
68,150	Huntington Bancshares, Inc., Series H	4.50%	(a)	1,277,131
222,804	JPMorgan Chase & Co., Series DD	5.75%	(a)	5,469,838
496,879	JPMorgan Chase & Co., Series LL	4.63%	(a)	9,629,515
226,625	KeyCorp, Series F	5.65%	(a)	5,352,882
244,673	M&T Bank Corp., Series H (b)	5.63%	(a)	5,896,619
162,828	Old National Bancorp, Series A	7.00%	(a)	4,261,209
874,221	Pinnacle Financial Partners, Inc., Series B	6.75%	(a)	22,371,315
36,767	PNC Financial Services Group (The), Inc., Series P (b)	6.13%	(a)	923,219
1,819,590	Signature Bank, Series A	5.00%	(a)	34,808,757
116,076	Texas Capital Bancshares, Inc., Series B	5.75%	(a)	2,573,405
144,876	Truist Financial Corp., Series R	4.75%	(a)	2,942,432
9,341	US Bancorp, Series K	5.50%	(a)	225,492
115,187	Valley National Bancorp, Series B (b)	5.50%	(a)	2,757,577
83,272	Wells Fargo & Co., Series DD	4.25%	(a)	1,475,580
605,014	Wells Fargo & Co., Series Q (b)	5.85%	(a)	14,756,291
5,257	Wells Fargo & Co., Series R (b)	6.63%	(a)	137,996
819,602	Wells Fargo & Co., Series Y	5.63%	(a)	19,342,607
712,941	WesBanco, Inc., Series A (b)	6.75%	(a)	19,256,536
593,720	Western Alliance Bancorp, Series A (b)	4.25%	(a)	13,044,028
585	Wintrust Financial Corp., Series D (b)	6.50%	(a)	15,321
919,112	Wintrust Financial Corp., Series E (b)	6.88%	(a)	24,439,188
				273,238,972
	Capital Markets – 1.6%
140,906	Affiliated Managers Group, Inc.	5.88%	03/30/59	3,436,697
346,175	Affiliated Managers Group, Inc.	4.75%	09/30/60	6,819,648
980,305	Affiliated Managers Group, Inc.	4.20%	09/30/61	17,527,853
1,505,547	Carlyle Finance LLC	4.63%	05/15/61	28,244,062
62,762	Goldman Sachs Group (The), Inc., Series J (b)	5.50%	(a)	1,596,665
1,202,370	KKR Group Finance Co., IX LLC	4.63%	04/01/61	23,169,670
10	Morgan Stanley, Series E (b)	7.13%	(a)	261
496,152	Oaktree Capital Group LLC, Series A	6.63%	(a)	12,686,607
813,527	Oaktree Capital Group LLC, Series B	6.55%	(a)	20,297,499
109,350	State Street Corp., Series D (b)	5.90%	(a)	2,755,620
				116,534,582
	Consumer Finance – 0.1%
155,063	Capital One Financial Corp., Series I	5.00%	(a)	3,222,209
90,138	Capital One Financial Corp., Series J	4.80%	(a)	1,787,437
				5,009,646
	Diversified Financial Services – 0.6%
568,686	Apollo Asset Management, Inc., Series B	6.38%	(a)	14,490,119
1,344,688	Equitable Holdings, Inc., Series A	5.25%	(a)	29,260,411

See Notes to Financial Statements

Page 11

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Diversified Financial Services (Continued)
4,441	National Rural Utilities Cooperative Finance Corp.	5.50%	05/15/64	$106,806
				43,857,336
	Diversified Telecommunication Services – 1.0%
420,589	AT&T, Inc.	5.35%	11/01/66	10,426,401
691,846	AT&T, Inc., Series C	4.75%	(a)	13,428,731
1,028,483	Qwest Corp.	6.50%	09/01/56	22,986,595
1,120,503	Qwest Corp.	6.75%	06/15/57	25,144,088
				71,985,815
	Electric Utilities – 1.6%
15,905	BIP Bermuda Holdings I Ltd.	5.13%	(a)	321,122
891,011	Brookfield BRP Holdings Canada, Inc.	4.63%	(a)	15,570,417
691,617	Brookfield Infrastructure Finance ULC	5.00%	05/24/81	13,451,951
221,092	SCE Trust III, Series H (b)	5.75%	(a)	5,182,396
485,580	SCE Trust IV, Series J (b)	5.38%	(a)	10,585,644
1,067,764	SCE Trust V, Series K (b)	5.45%	(a)	25,487,527
669,954	Southern (The) Co., Series 2020A	4.95%	01/30/80	14,149,429
1,501,663	Southern (The) Co., Series C	4.20%	10/15/60	29,447,611
				114,196,097
	Equity Real Estate Investment Trusts – 1.3%
470,685	Agree Realty Corp., Series A	4.25%	(a)	8,844,171
132,457	Digital Realty Trust, Inc., Series L	5.20%	(a)	3,119,362
106,021	DigitalBridge Group, Inc., Series I	7.15%	(a)	2,431,062
44,770	DigitalBridge Group, Inc., Series J	7.13%	(a)	1,009,564
880,918	Global Net Lease, Inc., Series A	7.25%	(a)	22,322,462
1,149,673	Hudson Pacific Properties, Inc., Series C	4.75%	(a)	21,809,297
63,847	National Storage Affiliates Trust, Series A	6.00%	(a)	1,605,752
33,840	PS Business Parks, Inc., Series Z	4.88%	(a)	622,656
1,080,296	Public Storage, Series P	4.00%	(a)	20,428,397
339,713	Vornado Realty Trust, Series N	5.25%	(a)	6,539,475
				88,732,198
	Food Products – 1.2%
1,155,300	CHS, Inc., Series 2 (b)	7.10%	(a)	30,557,685
1,473,516	CHS, Inc., Series 3 (b)	6.75%	(a)	39,018,704
479,923	CHS, Inc., Series 4	7.50%	(a)	13,255,473
				82,831,862
	Gas Utilities – 0.2%
870,240	South Jersey Industries, Inc.	5.63%	09/16/79	15,229,200
54,298	Spire, Inc., Series A	5.90%	(a)	1,356,364
				16,585,564
	Independent Power & Renewable Electricity Producers – 0.2%
724,715	Brookfield Renewable Partners L.P., Series 17	5.25%	(a)	15,117,555
	Insurance – 5.5%
2,330,431	Aegon Funding Co., LLC	5.10%	12/15/49	49,288,616
494,147	Allstate (The) Corp. (b)	5.10%	01/15/53	12,452,504
19,724	Allstate (The) Corp., Series H	5.10%	(a)	440,437
2,008,562	American Equity Investment Life Holding Co., Series A (b)	5.95%	(a)	49,591,396
989,600	American Equity Investment Life Holding Co., Series B (b)	6.63%	(a)	25,620,744
312,756	AmTrust Financial Services, Inc.	7.25%	06/15/55	5,942,364
363,925	AmTrust Financial Services, Inc.	7.50%	09/15/55	6,823,594

Page 12

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Insurance (Continued)
26,342	Arch Capital Group Ltd., Series F	5.45%	(a)	$596,646
638,374	Arch Capital Group Ltd., Series G	4.55%	(a)	12,314,234
303,682	Aspen Insurance Holdings Ltd.	5.63%	(a)	7,072,754
1,800,186	Aspen Insurance Holdings Ltd.	5.63%	(a)	41,674,306
330,729	Aspen Insurance Holdings Ltd. (b)	5.95%	(a)	8,099,553
887,116	Assurant, Inc.	5.25%	01/15/61	19,392,356
826,625	Athene Holding Ltd., Series A (b)	6.35%	(a)	21,037,606
73,594	Athene Holding Ltd., Series B	5.63%	(a)	1,674,264
238,277	Athene Holding Ltd., Series C (b)	6.38%	(a)	6,285,747
102,676	Athene Holding Ltd., Series D	4.88%	(a)	2,047,359
467,792	Axis Capital Holdings Ltd., Series E	5.50%	(a)	10,455,151
645,186	CNO Financial Group, Inc.	5.13%	11/25/60	13,226,313
1,243,506	Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (c)	3.70%	05/15/37	25,802,749
686,090	Enstar Group Ltd., Series D (b)	7.00%	(a)	17,632,513
817,668	Globe Life, Inc.	4.25%	06/15/61	16,157,120
209,334	Phoenix Cos. (The), Inc.	7.45%	01/15/32	3,827,149
138,023	Prudential Financial, Inc.	4.13%	09/01/60	2,844,654
113,878	RenaissanceRe Holdings Ltd., Series F	5.75%	(a)	2,739,905
1,428,023	RenaissanceRe Holdings Ltd., Series G	4.20%	(a)	26,818,272
21,531	Selective Insurance Group, Inc., Series B	4.60%	(a)	415,979
314,714	W.R. Berkley Corp.	5.10%	12/30/59	6,785,234
				397,059,519
	Mortgage Real Estate Investment Trusts – 1.0%
662,602	AGNC Investment Corp., Series C (b)	7.00%	(a)	16,313,261
300,285	AGNC Investment Corp., Series D (b)	6.88%	(a)	7,170,806
147,664	AGNC Investment Corp., Series E (b)	6.50%	(a)	3,538,029
715,633	AGNC Investment Corp., Series F (b)	6.13%	(a)	16,545,435
850,585	Annaly Capital Management, Inc., Series F (b)	6.95%	(a)	21,120,026
298,402	Annaly Capital Management, Inc., Series I (b)	6.75%	(a)	7,382,465
				72,070,022
	Multi-Utilities – 1.8%
434,689	Algonquin Power & Utilities Corp. (b)	6.88%	10/17/78	11,245,404
530,461	Algonquin Power & Utilities Corp., Series 19-A (b)	6.20%	07/01/79	13,579,802
667,823	Brookfield Infrastructure Partners L.P., Series 13	5.13%	(a)	12,982,412
66,449	Brookfield Infrastructure Partners L.P., Series 14	5.00%	(a)	1,257,880
186,795	CMS Energy Corp.	5.88%	10/15/78	4,699,762
122,964	CMS Energy Corp.	5.88%	03/01/79	3,080,248
384,589	CMS Energy Corp., Series C	4.20%	(a)	7,191,814
596,582	DTE Energy Co.	4.38%	12/01/81	11,830,221
873,213	DTE Energy Co., Series E	5.25%	12/01/77	20,284,738
955,325	Integrys Holding, Inc. (b)	6.00%	08/01/73	24,121,956
853,349	Sempra Energy	5.75%	07/01/79	20,437,709
				130,711,946
	Oil, Gas & Consumable Fuels – 1.5%
94,037	Energy Transfer L.P., Series C (b)	7.38%	(a)	2,235,259
2,316,785	Energy Transfer L.P., Series E (b)	7.60%	(a)	56,066,197
786,757	NuStar Energy L.P., Series A, 3 Mo. LIBOR + 6.77% (c)	7.65%	(a)	18,882,168
31,373	NuStar Energy L.P., Series C (b)	9.00%	(a)	768,639
1,037,948	NuStar Logistics L.P., 3 Mo. LIBOR + 6.73% (c)	7.78%	01/15/43	26,249,705
				104,201,968

See Notes to Financial Statements

Page 13

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$7,200,000	Banco Mercantil del Norte S.A. (b) (d) (e)	6.88%	(a)	$7,132,644
11,250,000	Banco Mercantil del Norte S.A. (b) (d) (e)	7.50%	(a)	10,786,219
15,700,000	Banco Mercantil del Norte S.A. (b) (d) (e)	7.63%	(a)	15,571,810
21,630,000	Banco Mercantil del Norte S.A. (b) (d) (e)	8.38%	(a)	22,360,553
10,600,000	Banco Mercantil del Norte S.A. (b) (d) (e)	5.75%	10/04/31	10,262,390
35,600,000	Banco Santander S.A. (b) (e)	4.75%	(a)	31,535,150
43,800,000	Banco Santander S.A. (b) (e) (f)	7.50%	(a)	44,279,084
23,261,000	Bank of America Corp., Series RR (b)	4.38%	(a)	20,644,138
37,500,000	Bank of America Corp., Series TT (b)	6.13%	(a)	37,575,000
15,898,000	Bank of America Corp., Series X (b)	6.25%	(a)	16,133,290
42,800,000	Bank of Nova Scotia (The) (b)	4.90%	(a)	42,100,648
3,000,000	Bank of Nova Scotia (The), Series 2 (b)	3.63%	10/27/81	2,399,031
24,300,000	Barclays PLC (b) (e)	4.38%	(a)	20,320,875
30,400,000	Barclays PLC (b) (e)	6.13%	(a)	29,848,848
5,760,000	Barclays PLC (b) (e)	7.75%	(a)	5,824,800
144,765,000	Barclays PLC (b) (e)	8.00%	(a)	149,560,341
11,600,000	BBVA Bancomer S.A. (b) (d) (e)	5.88%	09/13/34	11,072,548
74,000,000	BNP Paribas S.A. (b) (d) (e)	4.63%	(a)	67,120,960
12,540,000	BNP Paribas S.A. (b) (d) (e)	6.63%	(a)	12,679,049
42,000,000	BNP Paribas S.A. (b) (d) (e)	7.38%	(a)	43,747,410
46,133,000	Citigroup, Inc. (b)	3.88%	(a)	41,788,194
781,000	Citigroup, Inc. (b)	5.90%	(a)	795,972
23,272,000	Citigroup, Inc. (b)	5.95%	(a)	23,272,000
48,429,000	Citigroup, Inc., Series D (b)	5.35%	(a)	47,823,637
16,200,000	Citigroup, Inc., Series P (b)	5.95%	(a)	15,858,990
34,250,000	Citigroup, Inc., Series T (b)	6.25%	(a)	34,678,125
34,393,000	Citigroup, Inc., Series W (b)	4.00%	(a)	31,297,630
29,875,000	Citigroup, Inc., Series Y (b)	4.15%	(a)	26,502,113
6,560,000	Citizens Financial Group, Inc., Series B (b)	6.00%	(a)	6,273,328
8,279,000	Citizens Financial Group, Inc., Series F (b)	5.65%	(a)	8,504,596
21,030,000	Citizens Financial Group, Inc., Series G (b)	4.00%	(a)	18,716,700
20,474,000	CoBank ACB, Series I (b)	6.25%	(a)	20,627,555
11,200,000	Commerzbank AG (b) (e) (f)	7.00%	(a)	11,076,800
38,310,000	Credit Agricole S.A. (b) (d) (e)	6.88%	(a)	38,568,593
43,500,000	Credit Agricole S.A. (b) (d) (e)	8.13%	(a)	46,885,257
26,200,000	Danske Bank A.S. (b) (e) (f)	4.38%	(a)	23,743,750
21,313,000	Danske Bank A.S. (b) (e) (f)	6.13%	(a)	21,115,471
15,960,000	Danske Bank A.S. (b) (e) (f)	7.00%	(a)	15,904,108
7,650,000	Farm Credit Bank of Texas, Series 3 (b) (d)	6.20%	(a)	8,109,000
20,300,000	Farm Credit Bank of Texas, Series 4 (b) (d)	5.70%	(a)	21,315,000
18,009,000	Fifth Third Bancorp, Series H (b)	5.10%	(a)	17,536,264
2,071,000	Fifth Third Bancorp, Series L (b)	4.50%	(a)	2,013,876
4,812,000	First Citizens BancShares, Inc., Series B (b)	5.80%	(a)	4,837,263
12,800,000	HSBC Holdings PLC (b) (e)	4.60%	(a)	10,880,000
49,619,000	HSBC Holdings PLC (b) (e)	6.38%	(a)	49,899,595
13,300,000	Huntington Bancshares, Inc., Series G (b)	4.45%	(a)	12,769,104
35,836,000	ING Groep N.V. (b) (e)	5.75%	(a)	34,432,483
21,579,000	ING Groep N.V. (b) (e)	6.50%	(a)	21,574,684
40,125,000	Intesa Sanpaolo S.p.A. (b) (d) (e)	7.70%	(a)	40,526,250
15,300,000	JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (c)	4.71%	(a)	15,156,455
42,896,000	JPMorgan Chase & Co., Series Q (b)	5.15%	(a)	42,306,180
12,861,000	JPMorgan Chase & Co., Series R (b)	6.00%	(a)	12,925,305
33,108,000	JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (c)	4.29%	(a)	32,776,920
32,100,000	Lloyds Banking Group PLC (b) (e)	6.75%	(a)	32,357,924
62,814,000	Lloyds Banking Group PLC (b) (e)	7.50%	(a)	64,187,742

See Notes to Financial Statements

Page 15

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$17,800,000	M&T Bank Corp. (b)	3.50%	(a)	$14,996,728
16,900,000	M&T Bank Corp., Series G (b)	5.00%	(a)	16,414,125
8,500,000	NatWest Group PLC (b) (e)	6.00%	(a)	8,398,425
21,325,000	NatWest Group PLC (b) (e)	8.00%	(a)	22,483,801
27,000,000	Nordea Bank Abp (b) (d) (e)	6.63%	(a)	27,472,500
21,550,000	PNC Financial Services Group (The), Inc., Series T (b)	3.40%	(a)	18,586,875
18,250,000	PNC Financial Services Group (The), Inc., Series U (b)	6.00%	(a)	18,180,650
17,400,000	Regions Financial Corp., Series D (b)	5.75%	(a)	17,791,500
2,400,000	Skandinaviska Enskilda Banken AB (b) (e) (f)	5.13%	(a)	2,305,500
73,600,000	Societe Generale S.A. (b) (d) (e)	5.38%	(a)	64,804,800
31,389,000	Societe Generale S.A. (b) (d) (e)	7.88%	(a)	32,202,146
20,000,000	Societe Generale S.A. (b) (e) (f)	7.88%	(a)	20,518,109
11,500,000	Societe Generale S.A. (b) (d) (e)	8.00%	(a)	11,993,638
68,460,000	Standard Chartered PLC (b) (d) (e)	4.30%	(a)	56,821,800
25,600,000	Standard Chartered PLC (b) (d) (e)	6.00%	(a)	25,504,000
29,959,000	SVB Financial Group, Series C (b)	4.00%	(a)	26,092,791
50,341,000	SVB Financial Group, Series D (b)	4.25%	(a)	43,670,817
17,000,000	Swedbank AB, Series NC5 (b) (e) (f)	5.63%	(a)	16,861,875
5,695,000	Texas Capital Bancshares, Inc. (b)	4.00%	05/06/31	5,464,821
5,000,000	Truist Financial Corp., Series L (b)	5.05%	(a)	4,775,000
5,000,000	Truist Financial Corp., Series N (b)	4.80%	(a)	4,737,500
56,950,000	UniCredit S.p.A. (b) (e) (f)	8.00%	(a)	57,555,948
4,400,000	UniCredit S.p.A. (b) (d)	7.30%	04/02/34	4,453,513
13,500,000	UniCredit S.p.A. (b) (d)	5.46%	06/30/35	12,207,874
57,377,000	Wells Fargo & Co., Series BB (b)	3.90%	(a)	52,389,504
				2,111,566,278
	Capital Markets – 9.6%
40,096,000	Apollo Management Holdings L.P. (b) (d)	4.95%	01/14/50	37,281,092
13,000,000	Bank of New York Mellon (The) Corp., Series G (b)	4.70%	(a)	13,000,000
28,560,000	Bank of New York Mellon (The) Corp., Series I (b)	3.75%	(a)	25,489,800
15,800,000	Charles Schwab (The) Corp. (b)	5.00%	(a)	15,262,326
2,000,000	Charles Schwab (The) Corp., Series E, 3 Mo. LIBOR + 3.32% (c)	3.84%	(a)	1,982,800
55,007,000	Charles Schwab (The) Corp., Series G (b)	5.38%	(a)	55,625,829
53,069,000	Charles Schwab (The) Corp., Series I (b)	4.00%	(a)	48,186,652
66,525,000	Credit Suisse Group AG (b) (d) (e)	5.25%	(a)	58,625,156
22,300,000	Credit Suisse Group AG (b) (d) (e)	6.25%	(a)	21,697,878
31,775,000	Credit Suisse Group AG (b) (d) (e)	6.38%	(a)	29,992,105
9,407,000	Credit Suisse Group AG (b) (d) (e)	7.50%	(a)	9,445,522
76,900,000	Credit Suisse Group AG (b) (d) (e)	7.50%	(a)	76,346,320
62,200,000	Deutsche Bank AG (b) (e)	6.00%	(a)	58,157,000
15,000,000	Deutsche Bank AG (b) (e)	7.50%	(a)	14,756,250
28,725,000	EFG International AG (b) (e) (f)	5.50%	(a)	27,559,023
24,875,000	Goldman Sachs Group (The), Inc., Series R (b)	4.95%	(a)	24,004,375
13,870,000	Goldman Sachs Group (The), Inc., Series T (b)	3.80%	(a)	12,240,055
43,611,000	Goldman Sachs Group (The), Inc., Series U (b)	3.65%	(a)	37,941,570
27,653,000	Morgan Stanley, Series M (b)	5.88%	(a)	28,199,856
38,000,000	UBS Group AG (b) (d) (e)	4.88%	(a)	35,007,500
26,389,000	UBS Group AG (b) (e) (f)	6.88%	(a)	26,804,891
28,500,000	UBS Group AG (b) (d) (e)	7.00%	(a)	29,034,375
				686,640,375
	Consumer Finance – 1.2%
13,500,000	Ally Financial, Inc., Series B (b)	4.70%	(a)	11,699,438
47,679,000	American Express Co. (b)	3.55%	(a)	41,187,504

Page 16

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Consumer Finance (Continued)
$35,077,000	Capital One Financial Corp., Series M (b)	3.95%	(a)	$30,516,990
				83,403,932
	Diversified Financial Services – 2.7%
64,250,000	American AgCredit Corp. (b) (d)	5.25%	(a)	58,708,439
40,400,000	Ares Finance Co. III LLC (b) (d)	4.13%	06/30/51	37,643,415
28,250,000	Capital Farm Credit ACA, Series 1 (b) (d)	5.00%	(a)	25,848,750
13,950,000	Compeer Financial ACA (b) (d)	4.88%	(a)	12,398,063
8,300,000	Depository Trust & Clearing (The) Corp., Series D (b) (d)	3.38%	(a)	7,387,000
32,708,000	Voya Financial, Inc. (b)	5.65%	05/15/53	32,585,509
16,548,000	Voya Financial, Inc., Series A (b)	6.13%	(a)	16,506,630
				191,077,806
	Diversified Telecommunication Services – 0.6%
12,882,000	Koninklijke KPN N.V. (b) (d)	7.00%	03/28/73	13,043,025
32,310,000	Koninklijke KPN N.V. (b) (f)	7.00%	03/28/73	32,713,875
				45,756,900
	Electric Utilities – 2.7%
18,918,000	Duke Energy Corp. (b)	4.88%	(a)	18,776,115
17,965,000	Edison International, Series B (b)	5.00%	(a)	16,305,457
101,667,000	Emera, Inc., Series 16-A (b)	6.75%	06/15/76	103,446,172
25,726,000	Southern (The) Co., Series 21-A (b)	3.75%	09/15/51	23,217,715
32,516,000	Southern California Edison Co., Series E, 3 Mo. LIBOR + 4.20% (c)	4.52%	(a)	32,028,260
				193,773,719
	Energy Equipment & Services – 0.4%
3,524,000	Transcanada Trust (b)	5.63%	05/20/75	3,522,238
25,600,000	Transcanada Trust (b)	5.50%	09/15/79	24,736,000
				28,258,238
	Food Products – 1.9%
10,700,000	Dairy Farmers of America, Inc. (g)	7.13%	(a)	10,499,377
25,362,000	Land O’Lakes Capital Trust I (g)	7.45%	03/15/28	28,535,928
44,888,000	Land O’Lakes, Inc. (d)	7.00%	(a)	45,852,194
14,010,000	Land O’Lakes, Inc. (d)	7.25%	(a)	14,693,688
31,520,000	Land O’Lakes, Inc. (d)	8.00%	(a)	33,214,988
				132,796,175
	Insurance – 8.5%
16,400,000	Allianz SE (b) (d)	3.50%	(a)	14,883,000
25,817,000	Asahi Mutual Life Insurance Co. (b) (f)	6.50%	(a)	26,365,611
31,900,000	Assurant, Inc. (b)	7.00%	03/27/48	32,995,924
12,999,000	Assured Guaranty Municipal Holdings, Inc. (b) (d)	6.40%	12/15/66	13,148,489
38,875,000	AXIS Specialty Finance LLC (b)	4.90%	01/15/40	36,207,009
23,688,000	Enstar Finance LLC (b)	5.75%	09/01/40	23,342,733
52,717,000	Enstar Finance LLC (b)	5.50%	01/15/42	49,119,330
13,700,000	Fortegra Financial Corp. (b) (g)	8.50%	10/15/57	16,391,218
82,895,000	Global Atlantic Fin Co. (b) (d)	4.70%	10/15/51	75,381,397
18,871,000	Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (c) (d)	2.63%	02/12/47	16,626,666
26,429,000	Kuvare US Holdings, Inc. (b) (d)	7.00%	02/17/51	27,440,102
9,310,000	La Mondiale SAM (b) (f)	5.88%	01/26/47	9,428,647
40,630,000	Lancashire Holdings Ltd. (b) (f)	5.63%	09/18/41	36,343,535

See Notes to Financial Statements

Page 17

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Insurance (Continued)
$35,910,000	Liberty Mutual Group, Inc. (b) (d)	4.13%	12/15/51	$32,643,806
36,974,000	Markel Corp. (b)	6.00%	(a)	37,852,132
3,000,000	Phoenix Group Holdings PLC (b) (f)	5.63%	(a)	2,953,155
28,059,000	Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (c)	3.55%	05/15/55	27,006,788
27,670,000	Progressive (The) Corp., Series B (b)	5.38%	(a)	26,494,025
7,564,308	Prudential Financial, Inc. (b)	5.88%	09/15/42	7,553,907
41,900,000	QBE Insurance Group Ltd. (b) (d)	5.88%	(a)	42,214,250
24,999,000	QBE Insurance Group Ltd. (b) (f)	6.75%	12/02/44	25,880,590
16,000,000	QBE Insurance Group Ltd. (b) (f)	5.88%	06/17/46	16,281,831
13,610,000	Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (c)	3.49%	12/15/65	12,180,950
				608,735,095
	Multi-Utilities – 2.8%
64,818,000	Algonquin Power & Utilities Corp. (b)	4.75%	01/18/82	59,371,343
51,658,000	CenterPoint Energy, Inc., Series A (b)	6.13%	(a)	49,738,647
17,052,000	CMS Energy Corp. (b)	3.75%	12/01/50	14,366,310
2,400,000	Dominion Energy, Inc., Series B (b)	4.65%	(a)	2,304,000
14,520,000	NiSource, Inc. (b)	5.65%	(a)	14,084,400
9,031,000	Sempra Energy (b)	4.88%	(a)	8,918,113
59,610,000	Sempra Energy (b)	4.13%	04/01/52	52,670,419
				201,453,232
	Oil, Gas & Consumable Fuels – 6.4%
16,188,000	Buckeye Partners L.P. (b)	6.38%	01/22/78	13,390,390
62,609,000	DCP Midstream L.P., Series A (b)	7.38%	(a)	59,635,072
39,136,000	DCP Midstream Operating L.P. (b) (d)	5.85%	05/21/43	35,644,873
57,082,000	Enbridge, Inc. (b)	6.25%	03/01/78	57,692,489
65,166,000	Enbridge, Inc., Series 16-A (b)	6.00%	01/15/77	65,599,307
41,574,000	Enbridge, Inc., Series 20-A (b)	5.75%	07/15/80	41,366,130
32,460,000	Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (c)	3.33%	11/01/66	26,779,500
9,660,000	Energy Transfer L.P., Series A (b)	6.25%	(a)	8,223,075
18,821,000	Energy Transfer L.P., Series F (b)	6.75%	(a)	18,162,265
22,500,000	Energy Transfer L.P., Series G (b)	7.13%	(a)	21,287,250
8,045,000	Energy Transfer L.P., Series H (b)	6.50%	(a)	7,663,747
55,280,000	Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (c)	3.30%	06/01/67	48,309,468
26,636,000	Enterprise Products Operating LLC, Series D (b)	4.88%	08/16/77	23,842,078
34,700,000	Transcanada Trust (b)	5.60%	03/07/82	33,615,625
				461,211,269
	Trading Companies & Distributors – 2.6%
145,883,000	AerCap Holdings N.V. (b)	5.88%	10/10/79	136,978,302
15,700,000	Air Lease Corp., Series B (b)	4.65%	(a)	14,169,250
42,300,000	Aircastle Ltd. (b) (d)	5.25%	(a)	37,705,843
				188,853,395
	Transportation Infrastructure – 0.7%
39,000,000	AerCap Global Aviation Trust (b) (d)	6.50%	06/15/45	37,969,620
11,000,000	BNSF Funding Trust I (b)	6.61%	12/15/55	11,330,000
				49,299,620
	Total Capital Preferred Securities			4,982,826,034
	(Cost $5,250,239,948)

Page 18

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
FOREIGN CORPORATE BONDS AND NOTES – 1.3%
	Insurance – 1.3%
$94,408,028	Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (d) (h)	7.63%	10/15/25	$96,006,356
	(Cost $99,614,492)
CORPORATE BONDS AND NOTES – 0.2%
	Insurance – 0.2%
16,000,000	AmTrust Financial Services, Inc.	6.13%	08/15/23	15,959,764
	(Cost $16,054,602)

Shares	Description	Value
EXCHANGE-TRADED FUNDS – 0.2%
	Capital Markets – 0.2%
1,430,420	Invesco Preferred ETF	17,837,337
	(Cost $19,753,345)
	Total Investments – 98.3%	7,048,874,132
	(Cost $7,551,610,923)
	Net Other Assets and Liabilities – 1.7%	124,208,242
	Net Assets – 100.0%	$7,173,082,374

(a)	Perpetual maturity.
(b)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(c)	Floating or variable rate security.
(d)	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 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 April 30, 2022, securities noted as such amounted to $1,625,329,908 or 22.7% of net assets.
(e)	This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2022, securities noted as such amounted to $1,694,494,286 or 23.6% of net assets. Of these securities, 4.6% originated in emerging markets, and 95.4% originated in foreign markets.
(f)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act.
(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 2C - Restricted Securities in the Notes to Financial Statements).
(h)	These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the six months ended April 30, 2022, this security paid all of its interest in cash.

LIBOR

London Interbank Offered Rate

See Notes to Financial Statements

Page 19

Table of Contents

First Trust Institutional Preferred Securities and Income ETF (FPEI)

Portfolio of Investments

April 30, 2022 (Unaudited)

Shares	Description	Stated Rate	Stated Maturity	Value
$1,000 PAR PREFERRED SECURITIES – 2.6%
	Banks – 2.5%
5,079	Bank of America Corp., Series L	7.25%	(a)	$6,180,229
6,593	Wells Fargo & Co., Series L	7.50%	(a)	7,987,353
				14,167,582
	Food Products – 0.1%
400,000	Land O’ Lakes, Inc. (b)	7.25%	(a)	419,520
	Total $1,000 Par Preferred Securities			14,587,102
	(Cost $16,997,638)
Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES – 87.7%
	Banks – 38.6%
$4,950,000	Australia & New Zealand Banking Group Ltd. (c) (d) (e)	6.75%	(a)	5,189,258
1,145,000	Australia & New Zealand Banking Group Ltd. (b) (d) (e)	6.75%	(a)	1,200,344
2,400,000	Banco Bilbao Vizcaya Argentaria S.A., Series 9 (d) (e)	6.50%	(a)	2,331,000
500,000	Banco Mercantil del Norte S.A. (c) (d) (e)	6.88%	(a)	495,323
400,000	Banco Mercantil del Norte S.A. (b) (d) (e)	6.88%	(a)	396,258
900,000	Banco Mercantil del Norte S.A. (c) (d) (e)	7.50%	(a)	862,898
842,000	Banco Mercantil del Norte S.A. (c) (d) (e)	7.63%	(a)	835,125
1,400,000	Banco Mercantil del Norte S.A. (c) (d) (e)	8.38%	(a)	1,447,285
2,000,000	Banco Santander S.A. (d) (e)	4.75%	(a)	1,771,638
4,600,000	Banco Santander S.A. (b) (d) (e)	7.50%	(a)	4,650,315
1,656,000	Bank of America Corp., Series RR (e)	4.38%	(a)	1,469,700
9,368,000	Bank of America Corp., Series TT (e)	6.13%	(a)	9,386,736
5,400,000	Bank of America Corp., Series X (e)	6.25%	(a)	5,479,920
3,700,000	Bank of Nova Scotia (The) (e)	4.90%	(a)	3,639,542
1,000,000	Bank of Nova Scotia (The), Series 2 (e)	3.63%	10/27/81	799,677
2,300,000	Barclays PLC (d) (e)	4.38%	(a)	1,923,375
1,450,000	Barclays PLC (d) (e)	6.13%	(a)	1,423,712
2,000,000	Barclays PLC (d) (e)	7.75%	(a)	2,022,500
12,729,000	Barclays PLC (d) (e)	8.00%	(a)	13,150,648
700,000	BBVA Bancomer S.A. (c) (d) (e)	5.88%	09/13/34	668,171
8,000,000	BNP Paribas S.A. (c) (d) (e)	4.63%	(a)	7,256,320
2,300,000	BNP Paribas S.A. (c) (d) (e)	6.63%	(a)	2,325,503
2,000,000	BNP Paribas S.A. (c) (d) (e)	7.38%	(a)	2,083,210
3,195,000	Citigroup, Inc. (e)	3.88%	(a)	2,894,095
345,000	Citigroup, Inc. (e)	5.90%	(a)	351,614
1,281,000	Citigroup, Inc. (e)	5.95%	(a)	1,281,000
8,066,000	Citigroup, Inc., Series D (e)	5.35%	(a)	7,965,175
2,485,000	Citigroup, Inc., Series M (e)	6.30%	(a)	2,466,363
3,414,000	Citigroup, Inc., Series P (e)	5.95%	(a)	3,342,135
1,000,000	Citigroup, Inc., Series V (e)	4.70%	(a)	918,000
3,049,000	Citigroup, Inc., Series W (e)	4.00%	(a)	2,774,590
2,979,000	Citigroup, Inc., Series Y (e)	4.15%	(a)	2,642,671
493,000	Citizens Financial Group, Inc., Series B (e)	6.00%	(a)	471,456
1,170,000	Citizens Financial Group, Inc., Series G (e)	4.00%	(a)	1,041,300
1,358,000	CoBank ACB, Series I (e)	6.25%	(a)	1,368,185
400,000	Commerzbank AG (b) (d) (e)	7.00%	(a)	395,600
2,806,000	Credit Agricole S.A. (c) (d) (e)	6.88%	(a)	2,824,940
2,200,000	Credit Agricole S.A. (c) (d) (e)	8.13%	(a)	2,371,208
4,800,000	Danske Bank A.S. (b) (d) (e)	4.38%	(a)	4,350,000
550,000	Danske Bank A.S. (b) (d) (e)	6.13%	(a)	544,903
850,000	Danske Bank A.S. (b) (d) (e)	7.00%	(a)	847,023

See Notes to Financial Statements

Page 21

Table of Contents

First Trust Institutional Preferred Securities and Income ETF (FPEI)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$800,000	Farm Credit Bank of Texas, Series 3 (c) (e)	6.20%	(a)	$848,000
1,100,000	Farm Credit Bank of Texas, Series 4 (c) (e)	5.70%	(a)	1,155,000
5,264,000	Fifth Third Bancorp, Series H (e)	5.10%	(a)	5,125,820
7,854,000	First Citizens BancShares, Inc., Series B (e)	5.80%	(a)	7,895,233
400,000	HSBC Holdings PLC (d) (e)	4.60%	(a)	340,000
5,000,000	HSBC Holdings PLC (d) (e)	6.00%	(a)	4,812,500
3,070,000	HSBC Holdings PLC (d) (e)	6.38%	(a)	3,087,361
1,200,000	Huntington Bancshares, Inc., Series G (e)	4.45%	(a)	1,152,100
2,950,000	ING Groep N.V. (d) (e)	5.75%	(a)	2,834,463
1,200,000	ING Groep N.V. (d) (e)	6.50%	(a)	1,199,760
6,570,000	Intesa Sanpaolo S.p.A. (c) (d) (e)	7.70%	(a)	6,635,700
5,200,000	JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (f)	4.71%	(a)	5,151,214
7,241,000	JPMorgan Chase & Co., Series Q (e)	5.15%	(a)	7,141,436
605,000	JPMorgan Chase & Co., Series R (e)	6.00%	(a)	608,025
1,550,000	Lloyds Banking Group PLC (d) (e)	6.75%	(a)	1,562,454
5,638,000	Lloyds Banking Group PLC (d) (e)	7.50%	(a)	5,761,303
1,000,000	M&T Bank Corp. (e)	3.50%	(a)	842,513
2,341,000	M&T Bank Corp., Series G (e)	5.00%	(a)	2,273,696
693,000	Macquarie Bank Ltd. (c) (d) (e)	6.13%	(a)	667,938
600,000	NatWest Group PLC (d) (e)	6.00%	(a)	592,830
1,550,000	NatWest Group PLC (d) (e)	8.00%	(a)	1,634,227
2,425,000	Nordea Bank Abp (c) (d) (e)	6.63%	(a)	2,467,437
1,200,000	PNC Financial Services Group (The), Inc., Series T (e)	3.40%	(a)	1,035,000
3,186,000	PNC Financial Services Group (The), Inc., Series U (e)	6.00%	(a)	3,173,893
1,000,000	Regions Financial Corp., Series D (e)	5.75%	(a)	1,022,500
200,000	Skandinaviska Enskilda Banken AB (b) (d) (e)	5.13%	(a)	192,125
3,800,000	Societe Generale S.A. (c) (d) (e)	5.38%	(a)	3,345,900
2,711,000	Societe Generale S.A. (c) (d) (e)	7.88%	(a)	2,781,230
400,000	Societe Generale S.A. (b) (d) (e)	7.88%	(a)	410,362
2,639,000	Societe Generale S.A. (c) (d) (e)	8.00%	(a)	2,752,279
3,800,000	Standard Chartered PLC (c) (d) (e)	4.30%	(a)	3,154,000
1,500,000	Standard Chartered PLC (c) (d) (e)	6.00%	(a)	1,494,375
1,400,000	SVB Financial Group, Series C (e)	4.00%	(a)	1,219,330
3,185,000	SVB Financial Group, Series D (e)	4.25%	(a)	2,762,987
1,200,000	Swedbank AB, Series NC5 (b) (d) (e)	5.63%	(a)	1,190,250
463,000	Texas Capital Bancshares, Inc. (e)	4.00%	05/06/31	444,287
3,500,000	Truist Financial Corp., Series L (e)	5.05%	(a)	3,342,500
7,800,000	Truist Financial Corp., Series N (e)	4.80%	(a)	7,390,500
3,850,000	UniCredit S.p.A. (b) (d) (e)	8.00%	(a)	3,890,964
600,000	UniCredit S.p.A. (c) (e)	7.30%	04/02/34	607,297
750,000	UniCredit S.p.A. (c) (e)	5.46%	06/30/35	678,215
4,630,000	Wells Fargo & Co., Series BB (e)	3.90%	(a)	4,227,537
				218,563,257
	Capital Markets – 11.1%
4,820,000	Apollo Management Holdings L.P. (c) (e)	4.95%	01/14/50	4,481,616
1,870,000	Bank of New York Mellon (The) Corp., Series I (e)	3.75%	(a)	1,668,975
250,000	Charles Schwab (The) Corp. (e)	5.00%	(a)	241,492
4,000,000	Charles Schwab (The) Corp., Series E, 3 Mo. LIBOR + 3.32% (f)	3.84%	(a)	3,965,600
3,511,000	Charles Schwab (The) Corp., Series I (e)	4.00%	(a)	3,187,988
4,900,000	Credit Suisse Group AG (c) (d) (e)	5.25%	(a)	4,318,125
3,900,000	Credit Suisse Group AG (c) (d) (e)	6.25%	(a)	3,794,696
2,370,000	Credit Suisse Group AG (c) (d) (e)	6.38%	(a)	2,237,019
1,314,000	Credit Suisse Group AG (c) (d) (e)	7.50%	(a)	1,319,381
4,150,000	Credit Suisse Group AG (c) (d) (e)	7.50%	(a)	4,120,120

Page 22

See Notes to Financial Statements

Table of Contents

First Trust Institutional Preferred Securities and Income ETF (FPEI)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Capital Markets (Continued)
$5,450,000	Deutsche Bank AG (d) (e)	6.00%	(a)	$5,095,750
4,400,000	Deutsche Bank AG (d) (e)	7.50%	(a)	4,328,500
4,730,000	EFG International AG (b) (d) (e)	5.50%	(a)	4,538,005
1,200,000	Goldman Sachs Group (The), Inc., Series R (e)	4.95%	(a)	1,158,000
765,000	Goldman Sachs Group (The), Inc., Series T (e)	3.80%	(a)	675,100
3,185,000	Goldman Sachs Group (The), Inc., Series U (e)	3.65%	(a)	2,770,950
904,000	Morgan Stanley, Series M (e)	5.88%	(a)	921,877
3,334,000	State Street Corp., Series F, 3 Mo. LIBOR + 3.60% (f)	3.80%	(a)	3,332,163
5,500,000	UBS Group AG (c) (d) (e)	4.88%	(a)	5,066,875
2,500,000	UBS Group AG (b) (d) (e)	6.88%	(a)	2,539,400
1,425,000	UBS Group AG (c) (d) (e)	7.00%	(a)	1,451,719
1,500,000	UBS Group AG (b) (d) (e)	7.00%	(a)	1,528,125
				62,741,476
	Consumer Finance – 1.2%
3,500,000	Ally Financial, Inc., Series B (e)	4.70%	(a)	3,033,188
2,497,000	American Express Co. (e)	3.55%	(a)	2,157,033
1,932,000	Capital One Financial Corp., Series M (e)	3.95%	(a)	1,680,840
				6,871,061
	Diversified Financial Services – 2.1%
3,000,000	American AgCredit Corp. (c) (e)	5.25%	(a)	2,741,250
2,775,000	Ares Finance Co. III LLC (c) (e)	4.13%	06/30/51	2,585,655
2,250,000	Capital Farm Credit ACA, Series 1 (c) (e)	5.00%	(a)	2,058,750
650,000	Compeer Financial ACA (c) (e)	4.88%	(a)	577,688
650,000	Depository Trust & Clearing (The) Corp., Series D (c) (e)	3.38%	(a)	578,500
2,712,000	Voya Financial, Inc. (e)	5.65%	05/15/53	2,701,844
755,000	Voya Financial, Inc., Series A (e)	6.13%	(a)	753,112
				11,996,799
	Diversified Telecommunication Services – 0.7%
1,365,000	Koninklijke KPN N.V. (c) (e)	7.00%	03/28/73	1,382,062
2,326,000	Koninklijke KPN N.V. (b) (e)	7.00%	03/28/73	2,355,075
				3,737,137
	Electric Utilities – 3.7%
830,000	Duke Energy Corp. (e)	4.88%	(a)	823,775
1,158,000	Edison International, Series B (e)	5.00%	(a)	1,051,028
6,962,000	Emera, Inc., Series 16-A (e)	6.75%	06/15/76	7,083,835
1,428,000	Southern (The) Co., Series 21-A (e)	3.75%	09/15/51	1,288,770
3,100,000	Southern (The) Co., Series B, 3 Mo. LIBOR + 3.63% (f)	4.46%	03/15/57	3,046,570
7,500,000	Southern California Edison Co., Series E, 3 Mo. LIBOR + 4.20% (f)	4.52%	(a)	7,387,500
				20,681,478
	Energy Equipment & Services – 0.3%
276,000	Transcanada Trust (e)	5.63%	05/20/75	275,862
1,250,000	Transcanada Trust (e)	5.50%	09/15/79	1,207,813
				1,483,675
	Food Products – 2.1%
1,200,000	Dairy Farmers of America, Inc. (g)	7.13%	(a)	1,177,500
1,400,000	Land O’Lakes Capital Trust I (g)	7.45%	03/15/28	1,575,203
6,146,000	Land O’Lakes, Inc. (c)	7.00%	(a)	6,278,016
2,220,000	Land O’Lakes, Inc. (c)	7.25%	(a)	2,328,336

See Notes to Financial Statements

Page 23

Table of Contents

First Trust Institutional Preferred Securities and Income ETF (FPEI)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Food Products (Continued)
$535,000	Land O’Lakes, Inc. (c)	8.00%	(a)	$563,770
				11,922,825
	Insurance – 13.5%
1,500,000	Allianz SE (c) (e)	3.50%	(a)	1,361,250
2,000,000	Asahi Mutual Life Insurance Co. (b) (e)	6.50%	(a)	2,042,500
3,858,000	Assurant, Inc. (e)	7.00%	03/27/48	3,990,542
2,300,000	Assured Guaranty Municipal Holdings, Inc. (c) (e)	6.40%	12/15/66	2,326,450
1,700,000	Assured Guaranty Municipal Holdings, Inc. (b) (e)	6.40%	12/15/66	1,721,675
4,170,000	AXIS Specialty Finance LLC (e)	4.90%	01/15/40	3,883,813
1,332,000	Enstar Finance LLC (e)	5.75%	09/01/40	1,312,585
10,038,000	Enstar Finance LLC (e)	5.50%	01/15/42	9,352,957
8,545,000	Global Atlantic Fin Co. (c) (e)	4.70%	10/15/51	7,770,481
1,000,000	Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (c) (f)	2.63%	02/12/47	881,070
2,464,000	Kuvare US Holdings, Inc. (c) (e)	7.00%	02/17/51	2,558,266
1,000,000	La Mondiale SAM (b) (e)	5.88%	01/26/47	1,012,744
6,850,000	Lancashire Holdings Ltd. (b) (e)	5.63%	09/18/41	6,127,325
5,300,000	Liberty Mutual Group, Inc. (c) (e)	4.13%	12/15/51	4,817,939
4,001,000	Markel Corp. (e)	6.00%	(a)	4,096,024
2,900,000	MetLife, Inc. (c)	9.25%	04/08/38	3,589,042
3,200,000	Phoenix Group Holdings PLC (b) (e)	5.63%	(a)	3,150,032
3,500,000	Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (f)	3.55%	05/15/55	3,368,750
7,247,000	Progressive (The) Corp., Series B (e)	5.38%	(a)	6,939,002
2,200,000	QBE Insurance Group Ltd. (c) (e)	5.88%	(a)	2,216,500
2,850,000	QBE Insurance Group Ltd. (b) (e)	6.75%	12/02/44	2,950,505
300,000	QBE Insurance Group Ltd. (b) (e)	5.88%	06/17/46	305,284
999,000	Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (f)	3.49%	12/15/65	894,105
				76,668,841
	Multi-Utilities – 4.0%
6,927,000	Algonquin Power & Utilities Corp. (e)	4.75%	01/18/82	6,344,924
6,286,000	CenterPoint Energy, Inc., Series A (e)	6.13%	(a)	6,052,444
948,000	CMS Energy Corp. (e)	3.75%	12/01/50	798,690
180,000	Dominion Energy, Inc., Series B (e)	4.65%	(a)	172,800
906,000	NiSource, Inc. (e)	5.65%	(a)	878,820
2,381,000	Sempra Energy (e)	4.88%	(a)	2,351,237
6,973,000	Sempra Energy (e)	4.13%	04/01/52	6,161,229
				22,760,144
	Oil, Gas & Consumable Fuels – 7.4%
3,388,000	Buckeye Partners L.P. (e)	6.38%	01/22/78	2,802,486
6,474,000	DCP Midstream L.P., Series A (e)	7.38%	(a)	6,166,485
2,662,000	DCP Midstream Operating L.P. (c) (e)	5.85%	05/21/43	2,424,536
1,026,000	Enbridge, Inc. (e)	6.25%	03/01/78	1,036,973
7,398,000	Enbridge, Inc., Series 16-A (e)	6.00%	01/15/77	7,447,191
2,000,000	Enbridge, Inc., Series 20-A (e)	5.75%	07/15/80	1,990,000
1,395,000	Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (f)	3.33%	11/01/66	1,150,875
1,878,000	Energy Transfer L.P., Series A (e)	6.25%	(a)	1,598,648
100,000	Energy Transfer L.P., Series B (e)	6.63%	(a)	86,875
4,938,000	Energy Transfer L.P., Series F (e)	6.75%	(a)	4,765,170
3,000,000	Energy Transfer L.P., Series G (e)	7.13%	(a)	2,838,300
948,000	Energy Transfer L.P., Series H (e)	6.50%	(a)	903,074
4,715,000	Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (f)	3.30%	06/01/67	4,120,462
2,341,000	Enterprise Products Operating LLC, Series D (e)	4.88%	08/16/77	2,095,446

Page 24

See Notes to Financial Statements

Table of Contents

First Trust Institutional Preferred Securities and Income ETF (FPEI)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Oil, Gas & Consumable Fuels (Continued)
$2,650,000	Transcanada Trust (e)	5.60%	03/07/82	$2,567,188
				41,993,709
	Trading Companies & Distributors – 2.3%
9,900,000	AerCap Holdings N.V. (e)	5.88%	10/10/79	9,295,704
1,127,000	Air Lease Corp., Series B (e)	4.65%	(a)	1,017,117
2,940,000	Aircastle Ltd. (c) (e)	5.25%	(a)	2,620,690
				12,933,511
	Transportation Infrastructure – 0.7%
3,950,000	AerCap Global Aviation Trust (c) (e)	6.50%	06/15/45	3,845,641
	Total Capital Preferred Securities			496,199,554
	(Cost $522,962,133)
Principal Value	Description	Stated Coupon	Stated Maturity	Value
FOREIGN CORPORATE BONDS AND NOTES – 2.1%
	Insurance – 2.1%
11,900,342	Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (c) (h)	7.63%	10/15/25	12,101,815
	(Cost $12,569,549)
CORPORATE BONDS AND NOTES – 0.4%
	Insurance – 0.4%
2,360,000	AmTrust Financial Services, Inc.	6.13%	08/15/23	2,354,065
	(Cost $2,385,171)

	Total Investments – 92.8%		525,242,536
	(Cost $554,914,491)
	Net Other Assets and Liabilities – 7.2%		40,698,485
	Net Assets – 100.0%		$565,941,021

(a)	Perpetual maturity.
(b)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”).
(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. 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 April 30, 2022, securities noted as such amounted to $145,343,870 or 25.7% of net assets.
(d)	This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2022, securities noted as such amounted to $152,511,730 or 26.9% of net assets. Of these securities, 3.1% originated in emerging markets, and 96.9% originated in foreign markets.
(e)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(f)	Floating or variable rate security.
(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 2C - Restricted Securities in the Notes to Financial Statements).
(h)	These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the six months ended April 30, 2022, this security paid all of its interest in cash.

See Notes to Financial Statements

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Table of Contents

Notes to Financial Statements

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

1. Organization

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

The Trust currently consists of seventeen funds that are offering shares. 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.

First Trust Preferred Securities and Income ETF – (ticker “FPE”)

First Trust Institutional Preferred Securities and Income ETF – (ticker “FPEI”)

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 total return and to provide current income.

Under normal market conditions, FPE seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in preferred securities and income-producing debt securities, including corporate bonds, high-yield securities (commonly referred to as “junk” bonds) and convertible securities.

Under normal market conditions, FPEI seeks to achieve its investment objective by investing at least 80% of its net assets (including investment borrowings) in institutional preferred securities and income-producing debt securities, including hybrid capital securities, contingent capital securities, U.S. and non-U.S. corporate bonds and convertible securities.

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 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 and 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 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 adopted by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:

Preferred stocks, real estate investment trusts (“REITs”), exchange-traded funds and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“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 principal market for such securities.

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Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

Bonds, notes, capital preferred securities, and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Trust’s Board of Trustees, 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.

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.

Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid 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 Trust’s Board of Trustees or its delegate, 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 type of security;
2)	the size of the holding;
3)	the initial cost of the security;
4)	transactions in comparable securities;
5)	price quotes from dealers and/or third-party pricing services;
6)	relationships among various securities;
7)	information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8)	an analysis of the issuer’s financial statements; and
9)	the existence of merger proposals or tender offers that might affect the value of the security.

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Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

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

1)	the value of similar foreign securities traded on other foreign markets;
2)	ADR trading of similar securities;
3)	closed-end fund or exchange-traded fund trading of similar securities;
4)	foreign currency exchange activity;
5)	the trading prices of financial products that are tied to baskets of foreign securities;
6)	factors relating to the event that precipitated the pricing problem;
7)	whether the event is likely to recur; and
8)	whether the effects of the event are isolated or whether they affect entire markets, countries or regions.

The 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:

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

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

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

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of April 30, 2022, 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 is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

Distributions received from a Fund’s investments in 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.

The United Kingdom’s Financial Conduct Authority (the “FCA”), which regulates the London Interbank Offered Rates (“LIBOR”) announced on March 5, 2021 that it intended to phase-out all LIBOR reference rates, beginning December 31, 2021. Since that announcement, the FCA has ceased publication of all non-USD LIBOR reference rates and the 1-week and 2-month USD LIBOR reference rates as of December 31, 2021. The remaining USD LIBOR settings will cease to be published or no longer be representative immediately after June 30, 2023. The International Swaps and Derivatives Association, Inc. (“ISDA”) confirmed that the FCA’s March 5, 2021 announcement of its intention to cease providing LIBOR reference rates, constituted an index cessation event under the Interbank Offered Rates (“IBOR”) Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to be used in ISDA fallbacks was fixed as of the date of the announcement.

In the United States, the Alternative Reference Rates Committee (the “ARRC”), a group of market participants convened by the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York in cooperation with other federal and state government agencies, has since 2014 undertaken efforts to identify U.S. dollar reference interest rates as alternatives to LIBOR and to

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Table of Contents

Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC identified the Secured Overnight Financing Rate (“SOFR”), a broad measure of the cost of cash overnight borrowing collateralized by U.S. Treasury securities, as the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New York began daily publishing of SOFR in April 2018. There is no assurance that any alternative reference rate, including SOFR, will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity.

At this time, it is not possible to predict the full impact of the elimination of LIBOR and the establishment of an alternative reference rate on each Fund or its investments.

C. Restricted Securities

The Funds invest 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 April 30, 2022, the Funds 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 Funds do 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.

Security	Acquisition Date	Par Amount	Current Price	Carrying Cost	Value	% of Net Assets
FPE
Dairy Farmers of America, Inc., 7.13%	09/15/16-12/10/21	$10,700,000	$98.13	$10,903,500	$10,499,377	0.15%
Fortegra Financial Corp., 8.50%, 10/15/57	10/12/17-03/12/18	13,700,000	119.64	13,718,816	16,391,218	0.23
Land O’Lakes Capital Trust I, 7.45%, 03/15/28	03/20/15-07/23/21	25,362,000	112.51	27,430,984	28,535,928	0.40
				$52,053,300	$55,426,523	0.78%
FPEI
Dairy Farmers of America, Inc., 7.13%	01/22/21-12/10/21	$1,200,000	$98.13	$1,222,750	$1,177,500	0.21%
Land O’Lakes Capital Trust I, 7.45%, 03/15/28	05/04/18-07/21/21	1,400,000	112.51	1,545,519	1,575,203	0.28
				$2,768,269	$2,752,703	0.49%

D. 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 shown in “Net realized gain (loss) on foreign currency transactions” on the Statements of Operations. The portion of foreign currency gains and losses related to fluctuation 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

April 30, 2022 (Unaudited)

E. Dividends and Distributions to Shareholders

Dividends from net investment income, if any, are declared and paid monthly by each Fund, 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.

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 October 31, 2021, was as follows:

	Distributions paid from Ordinary Income	Distributions paid from Capital Gains	Distributions paid from Return of Capital
First Trust Preferred Securities and Income ETF	$ 286,189,376	$ —	$ 12,681,882
First Trust Institutional Preferred Securities and Income ETF	15,669,405	—	847,307

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

	Undistributed Ordinary Income	Accumulated Capital and Other Gain (Loss)	Net Unrealized Appreciation (Depreciation)
First Trust Preferred Securities and Income ETF	$ —	$ (115,168,522)	$ 367,477,124
First Trust Institutional Preferred Securities and Income ETF	—	(3,557,835)	19,973,339

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, 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. Taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of April 30, 2022, 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.

The Funds intend to utilize provisions of the federal income tax laws, which allow them 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 Funds are 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 October 31, 2021, for federal income tax purposes, the Funds had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains.

	Non-Expiring Capital Loss Carryforward
First Trust Preferred Securities and Income ETF	$ 115,168,522
First Trust Institutional Preferred Securities and Income ETF	3,557,835

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Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

As of April 30, 2022, 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:

	Tax Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
First Trust Preferred Securities and Income ETF	$ 7,551,610,923	$ 46,278,360	$ (549,015,151)	$ (502,736,791)
First Trust Institutional Preferred Securities and Income ETF	554,914,491	2,895,202	(32,567,157)	(29,671,955)

G. Expenses

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

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

First Trust, the investment advisor to the 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 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.

Stonebridge Advisors LLC (“Stonebridge” or the “Sub-Advisor”), a majority-owned affiliate of First Trust, serves as each Fund’s sub-advisor and manages each Fund’s portfolio subject to First Trust’s supervision. Pursuant to the Investment Management Agreement between the Trust and the Advisor, First Trust will supervise Stonebridge and its management of the investment of each Fund’s assets and will pay Stonebridge for its services as each Fund’s sub-advisor. First Trust is responsible for each Fund’s expenses, 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, acquired fund fees and expenses, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a 12b-1 plan, if any, and extraordinary expenses. Each Fund has agreed to pay First Trust an annual unitary management fee equal to 0.85% of its average daily net assets. Stonebridge receives a sub-advisory fee equal to 0.425% of the average daily net assets of each Fund less Stonebridge’s share of the Fund’s expenses. The Sub-Advisor’s fee is paid by the Advisor out of the Advisor’s management fee. First Trust also provides fund reporting services to each Fund for a flat annual fee in the amount of $9,250, which is covered under the annual unitary management fee.

First Trust Capital Partners, LLC (“FTCP”), an affiliate of First Trust, owns a 51% ownership interest in Stonebridge.

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

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

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

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Notes to Financial Statements (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

4. Purchases and Sales of Securities

For the six months ended April 30, 2022, the cost of purchases and proceeds from sales of investment securities for each Fund, excluding short-term investments and in-kind transactions, were as follows:

	Purchases	Sales
First Trust Preferred Securities and Income ETF	$ 1,334,830,585	$ 967,464,010
First Trust Institutional Preferred Securities and Income ETF	176,806,306	75,584,673

For the six months ended April 30, 2022, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:

	Purchases	Sales
First Trust Preferred Securities and Income ETF	$ 52,336,129	$ 31,186,897
First Trust Institutional Preferred Securities and Income ETF	—	—

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 large blocks of shares known as “Creation Units.” Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.

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

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

6. Distribution Plan

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, each 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 Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or to provide investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.

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Additional Information

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

Proxy Voting Policies and Procedures

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

Portfolio Holdings

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

Risk Considerations

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

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

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

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

Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.

Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified

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Additional Information (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.

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

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

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

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

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

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

LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate (“SOFR”) will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.

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Additional Information (Continued)

First Trust Exchange-Traded Fund III

April 30, 2022 (Unaudited)

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

Market Risk. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of “reasonably” normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

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

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

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

NOT FDIC INSURED

NOT BANK GUARANTEED

MAY LOSE VALUE

Liquidity Risk Management Program

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the “Program”) reasonably designed to assess and manage the funds’ liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors L.P. (the “Advisor”) as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the “Liquidity Committee”).

Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund’s portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds’ holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund’s net assets and establishes policies and procedures regarding redemptions in kind.

At the April 18, 2022 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 16, 2021

Page 42

Credit Rating⁽⁵⁾	% of Total Fixed-Income Investments
A	0.5%
A-	0.3
BBB+	10.3
BBB	21.6
BBB-	27.4
BB+	22.4
BB	8.9
BB-	3.4
B+	0.2
B	1.0
Not Rated	4.0
Total	100.0%

Credit Quality⁽³⁾	% of Total Investments
A	0.4%
BBB+	12.0
BBB	24.4
BBB-	27.9
BB+	20.5
BB	7.8
BB-	4.1
B+	0.5
Not Rated	2.4
Total	100.0%

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Real Estate Management & Development – 1.3%
1,493,207	Brookfield Property Partners L.P., Series A	5.75%	(a)	$29,490,838
178,349	Brookfield Property Partners L.P., Series A-1	6.50%	(a)	3,912,977
1,294,215	Brookfield Property Partners L.P., Series A2	6.38%	(a)	27,294,994
1,663,989	Brookfield Property Preferred L.P.	6.25%	07/26/81	34,727,451
				95,426,260
	Thrifts & Mortgage Finance – 0.3%
752,851	New York Community Bancorp, Inc., Series A (b)	6.38%	(a)	19,363,328
93,981	Washington Federal, Inc., Series A	4.88%	(a)	1,799,736
				21,163,064
	Trading Companies & Distributors – 0.6%
708,465	Air Lease Corp., Series A (b)	6.15%	(a)	17,711,625
948,406	WESCO International, Inc., Series A (b)	10.63%	(a)	27,076,991
				44,788,616
	Wireless Telecommunication Services – 0.5%
259,030	United States Cellular Corp.	6.25%	09/01/69	5,613,180
267,143	United States Cellular Corp.	5.50%	03/01/70	5,364,232
1,018,903	United States Cellular Corp.	5.50%	06/01/70	20,546,179
				31,523,591
	Total $25 Par Preferred Securities			1,725,034,613
	(Cost $1,929,808,733)
$100 PAR PREFERRED SECURITIES – 0.5%
	Banks – 0.5%
88,231	AgriBank FCB (b)	6.88%	(a)	9,286,313
63,800	CoBank ACB, Series F (b)	6.25%	(a)	6,443,800
49,330	CoBank ACB, Series H (b)	6.20%	(a)	5,167,318
120,015	Farm Credit Bank of Texas (b) (d)	6.75%	(a)	12,451,556
				33,348,987
	Food Products – 0.0%
700	Dairy Farmers of America, Inc. (d)	7.88%	(a)	71,225
	Total $100 Par Preferred Securities			33,420,212
	(Cost $33,683,129)
$1,000 PAR PREFERRED SECURITIES – 2.5%
	Banks – 2.4%
56,530	Bank of America Corp., Series L	7.25%	(a)	68,786,835
83,323	Wells Fargo & Co., Series L	7.50%	(a)	100,944,981
				169,731,816
	Diversified Financial Services – 0.1%
7,900	Compeer Financial ACA (b) (d)	6.75%	(a)	8,058,000
	Total $1,000 Par Preferred Securities			177,789,816
	(Cost $202,456,674)
Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES – 69.5%
	Banks – 29.4%
$35,549,000	Australia & New Zealand Banking Group Ltd. (b) (d) (e)	6.75%	(a)	37,267,261
30,500,000	Banco Bilbao Vizcaya Argentaria S.A., Series 9 (b) (e)	6.50%	(a)	29,623,125

	First Trust Preferred Securities and Income ETF (FPE)	First Trust Institutional Preferred Securities and Income ETF (FPEI)
ASSETS:
Investments, at value	$ 7,048,874,132	$ 525,242,536
Cash	41,642,668	33,796,554
Receivables:
Interest	68,227,275	7,281,058
Investment securities sold	54,022,114	370,421
Dividends	4,953,446	92,057
Interest reclaims	2,068,182	193,281
Dividend reclaims	172,625	—
Fund shares sold	51,204	—
Total Assets	7,220,011,646	566,975,907
LIABILITIES:
Payables:
Capital shares redeemed	33,957,009	—
Investment securities purchased	7,783,812	645,767
Investment advisory fees	5,188,451	389,119
Total Liabilities	46,929,272	1,034,886
NET ASSETS	$7,173,082,374	$565,941,021
NET ASSETS consist of:
Paid-in capital	$ 7,767,539,537	$ 598,207,409
Par value	3,918,050	300,500
Accumulated distributable earnings (loss)	(598,375,213)	(32,566,888)
NET ASSETS	$7,173,082,374	$565,941,021
NET ASSET VALUE, per share	$18.31	$18.83
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)	391,805,000	30,050,002
Investments, at cost	$7,551,610,923	$554,914,491

	First Trust Preferred Securities and Income ETF (FPE)	First Trust Institutional Preferred Securities and Income ETF (FPEI)
INVESTMENT INCOME:
Interest	$ 151,394,201	$ 14,216,505
Dividends	59,985,333	385,310
Foreign withholding tax	(984)	1,283
Total investment income	211,378,550	14,603,098
EXPENSES:
Investment advisory fees	32,537,857	2,314,219
Total expenses	32,537,857	2,314,219
NET INVESTMENT INCOME (LOSS)	178,840,693	12,288,879
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments	(9,191,943)	(472,739)
In-kind redemptions	1,412,123	—
Foreign currency transactions	22	—
Net realized gain (loss)	(7,779,798)	(472,739)
Net change in unrealized appreciation (depreciation) on investments	(843,602,877)	(48,339,256)
NET REALIZED AND UNREALIZED GAIN (LOSS)	(851,382,675)	(48,811,995)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$(672,541,982)	$(36,523,116)

Sector Allocation	% of Total Investments
Financials	70.3%
Utilities	9.5
Energy	8.4
Industrials	4.0
Consumer Staples	3.1
Real Estate	2.6
Communication Services	2.1
Total	100.0%

Top Ten Holdings	% of Total Investments
Barclays PLC	2.1%
AerCap Holdings N.V.	1.9
Emera, Inc., Series 16-A	1.5
Wells Fargo & Co., Series L	1.4
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc.	1.4
Credit Suisse Group AG	1.1
Global Atlantic Fin Co.	1.1
Bank of America Corp., Series L	1.0
BNP Paribas S.A.	1.0
Enbridge, Inc., Series 16-A	0.9
Total	13.4%

Country Allocation	% of Total Investments
United States	57.9%
Canada	6.9
United Kingdom	6.8
Bermuda	5.0
France	4.9
Switzerland	4.4
Netherlands	3.4
Australia	1.7
Italy	1.6
Spain	1.5
Germany	1.4
Multinational	1.4
Mexico	1.1
Denmark	0.9
Finland	0.4
Japan	0.4
Sweden	0.3
Total	100.0%

	Total Value at 4/30/2022	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
$25 Par Preferred Securities:
Insurance	$ 397,059,519	$ 354,663,663	$ 42,395,856	$ —
Multi-Utilities	130,711,946	106,589,990	24,121,956	—
Other industry categories*	1,197,263,148	1,197,263,148	—	—
$100 Par Preferred Securities*	33,420,212	—	33,420,212	—
$1,000 Par Preferred Securities:
Banks	169,731,816	169,731,816	—	—
Diversified Financial Services	8,058,000	—	8,058,000	—
Capital Preferred Securities*	4,982,826,034	—	4,982,826,034	—
Foreign Corporate Bonds and Notes*	96,006,356	—	96,006,356	—
Corporate Bonds and Notes*	15,959,764	—	15,959,764	—
Exchange-Traded Funds*	17,837,337	17,837,337	—	—
Total Investments	$ 7,048,874,132	$ 1,846,085,954	$ 5,202,788,178	$—

	First Trust Preferred Securities and Income ETF (FPE)		First Trust Institutional Preferred Securities and Income ETF (FPEI)
	Six Months Ended 4/30/2022 (Unaudited)	Year Ended 10/31/2021	Six Months Ended 4/30/2022 (Unaudited)	Year Ended 10/31/2021
OPERATIONS:
Net investment income (loss)	$ 178,840,693	$ 299,216,791	$ 12,288,879	$ 16,636,653
Net realized gain (loss)	(7,779,798)	57,939,076	(472,739)	2,321,122
Net change in unrealized appreciation (depreciation)	(843,602,877)	290,784,331	(48,339,256)	14,036,111
Net increase (decrease) in net assets resulting from operations	(672,541,982)	647,940,198	(36,523,116)	32,993,886
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(178,141,833)	(286,189,376)	(12,459,276)	(15,669,405)
Return of capital	—	(12,681,882)	—	(847,307)
Total distributions to shareholders	(178,141,833)	(298,871,258)	(12,459,276)	(16,516,712)
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold	556,849,619	1,987,661,883	159,041,114	191,421,574
Cost of shares redeemed	(231,329,566)	(60,917,203)	(36,535,358)	—
Net increase (decrease) in net assets resulting from shareholder transactions	325,520,053	1,926,744,680	122,505,756	191,421,574
Total increase (decrease) in net assets	(525,163,762)	2,275,813,620	73,523,364	207,898,748
NET ASSETS:
Beginning of period	7,698,246,136	5,422,432,516	492,417,657	284,518,909
End of period	$7,173,082,374	$7,698,246,136	$565,941,021	$492,417,657
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period	376,405,000	281,905,000	24,000,002	14,700,002
Shares sold	27,700,000	97,550,000	7,950,000	9,300,000
Shares redeemed	(12,300,000)	(3,050,000)	(1,900,000)	—
Shares outstanding, end of period	391,805,000	376,405,000	30,050,002	24,000,002

	Six Months Ended 4/30/2022 (Unaudited)	Year Ended October 31,
	Six Months Ended 4/30/2022 (Unaudited)	2021	2020	2019	2018	2017
Net asset value, beginning of period	$ 20.45	$ 19.23	$ 19.89	$ 18.76	$ 20.13	$ 19.47
Income from investment operations:
Net investment income (loss)	0.45	0.90	1.00	1.08	1.08	1.08
Net realized and unrealized gain (loss)	(2.14)	1.24	(0.66)	1.14	(1.37)	0.66
Total from investment operations	(1.69)	2.14	0.34	2.22	(0.29)	1.74
Distributions paid to shareholders from:
Net investment income	(0.45)	(0.88)	(0.94)	(1.07)	(1.08)	(1.08)
Return of capital	—	(0.04)	(0.06)	(0.02)	(0.00) (a)	(0.00) (a)
Total distributions	(0.45)	(0.92)	(1.00)	(1.09)	(1.08)	(1.08)
Net asset value, end of period	$18.31	$20.45	$19.23	$19.89	$18.76	$20.13
Total return (b)	(8.37)%	11.26%	1.94%	12.25%	(1.47)%	9.24%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 7,173,082	$ 7,698,246	$ 5,422,433	$ 4,678,519	$ 3,374,372	$ 3,026,083
Ratio of total expenses to average net assets	0.85% (c)	0.85%	0.85%	0.85%	0.85%	0.85%
Ratio of net investment income (loss) to average net assets	4.67% (c)	4.54%	5.24%	5.69%	5.56%	5.54%
Portfolio turnover rate (d)	13%	27%	43%	28%	24%	13%

(a)	Amount is less than $0.01.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Annualized.
(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.

	Six Months Ended 4/30/2022 (Unaudited)	Year Ended October 31,				Period Ended 10/31/2017 (a)
	Six Months Ended 4/30/2022 (Unaudited)	2021	2020	2019	2018	Period Ended 10/31/2017 (a)
Net asset value, beginning of period	$ 20.52	$ 19.36	$ 19.85	$ 18.75	$ 20.26	$ 20.00
Income from investment operations:
Net investment income (loss)	0.43	0.90	1.01	1.01	0.99	0.18
Net realized and unrealized gain (loss)	(1.67)	1.19	(0.50)	1.12	(1.47)	0.22
Total from investment operations	(1.24)	2.09	0.51	2.13	(0.48)	0.40
Distributions paid to shareholders from:
Net investment income	(0.45)	(0.88)	(0.97)	(1.00)	(1.03)	(0.14)
Return of capital	—	(0.05)	(0.03)	(0.03)	—	—
Total distributions	(0.45)	(0.93)	(1.00)	(1.03)	(1.03)	(0.14)
Net asset value, end of period	$18.83	$20.52	$19.36	$19.85	$18.75	$20.26
Total return (b)	(6.14)%	10.91%	2.76%	11.75%	(2.42)%	2.00%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 565,941	$ 492,418	$ 284,519	$ 235,178	$ 93,757	$ 24,313
Ratio of total expenses to average net assets	0.85% (c)	0.85%	0.85%	0.85%	0.85%	0.85% (c)
Ratio of net investment income (loss) to average net assets	4.51% (c)	4.60%	5.22%	5.39%	5.36%	4.93% (c)
Portfolio turnover rate (d)	15%	22%	48%	28%	25%	13%

(a)	Inception date is August 22, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established.
(b)	Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year.
(c)	Annualized.
(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.