Table of Contents

 

First Trust Exchange-Traded Fund III
First Trust Municipal High Income ETF (FMHI) 

Annual Report
For the Year Ended
July 31, 2023

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Annual Report
July 31, 2023

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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 its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund III (the “Trust”) described in this report (First Trust Municipal High Income ETF; hereinafter referred to as the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit 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 the Fund’s web page at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.
By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the 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 the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings.

Table of Contents
Shareholder Letter
First Trust Municipal High Income ETF (FMHI)
Annual Letter from the Chairman and CEO
July 31, 2023
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust Municipal High Income ETF (the “Fund”), which contains detailed information about the Fund for the 12-month period ended July 31, 2023.
In a widely unexpected announcement, Fitch Ratings (“Fitch”), a provider of credit ratings, commentary, and research, downgraded the credit rating of the United States government from its highest rating of AAA to its second-highest rating of AA+ on August 1, 2023. The move marks the first time the U.S. government’s credit rating has been downgraded since 2011. Fitch cited the heightened potential of a near-term economic recession in the U.S. as well as the rising interest burden of government debt as two factors that contributed to their decision to implement the downgrade. We will leave it to the pundits to debate whether the downgrade was warranted or not. What we would like to see is a reduction in government spending. As of June 30, 2023, the U.S. government’s deficit stood at $1.39 trillion, already above the 2022 full year deficit of $1.37 trillion, according to Brian Wesbury, Chief Economist at First Trust. As Fitch noted in the press release of its downgrade, the interest burden on U.S. government debt, among other factors, is expected to catapult the general government deficit to 6.3% of gross domestic product (“GDP”) in 2023, up from 3.7% in 2022.
The Federal Reserve (the “Fed”) has made significant progress in its battle with rising prices. Inflation, as measured by the twelve-month trailing rate on the Consumer Price Index (“CPI”), stood at 3.2% on July 31, 2023, down significantly from its most recent high of 9.1% set on June 30, 2022, but up from 3.0% on June 30, 2023. While a reduction in the CPI is welcome, the metric remains well-above the Fed’s goal of 2.0%. Should the CPI remain stubbornly high, it may prompt further increases to the Federal Funds target rate over the coming months, which could hamper economic growth, in our opinion. That said, U.S. GDP has remained resilient, growing over each of the last four quarters (through June 30, 2023).
Whether the U.S. can avoid an economic recession over the coming months remains to be seen. As mentioned above, despite tighter monetary policy, the U.S. economy posted positive changes to GDP over each of the last four quarters. We continue to hope for a “soft landing,” but also keep our eyes fixated on the data.
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 Fund again in six months.
Sincerely,­­
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Fund Performance Overview (Unaudited)
First Trust Municipal High Income ETF (FMHI)
The First Trust Municipal High Income ETF’s (the “Fund”) primary investment objective is to provide federally tax-exempt income, and its secondary objective is long-term capital appreciation.  Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes (“Municipal Securities”). Under normal market conditions, the Fund invests at least 50% of its net assets in Municipal Securities that are, at the time of investment, rated below investment grade by at least one nationally recognized statistical rating organization rating such securities (or Municipal Securities that are unrated and determined by the Fund’s advisor to be of comparable quality), commonly referred to as “high yield” or “junk” bonds.  The Fund lists and principally trades its shares on The Nasdaq Stock Market LLC under the ticker symbol “FMHI.”
Performance  
    Average Annual Total Returns   Cumulative Total Returns
  1 Year
Ended
7/31/23
5 Years
Ended
7/31/23
Inception
(11/1/17)
to 7/31/23
  5 Years
Ended
7/31/23
Inception
(11/1/17)
to 7/31/23
Fund Performance            
NAV -0.44% 2.02% 2.27%   10.53% 13.77%
Market Price -0.41% 2.03% 2.28%   10.55% 13.81%
Index Performance            
Bloomberg Municipal Bond Index 0.93% 1.87% 1.72%   9.69% 10.27%
Blended Benchmark(1) 1.59% 2.69% 2.73%   14.17% 16.73%
Total returns for the period since inception are calculated from the inception date of the Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived by the Advisor.
The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of the Fund did not trade in the secondary market until after its inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices that make up the Blended Benchmark do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. 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. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund’s past performance is no guarantee of future performance.

(1) The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond High Yield Index; and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond Index. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the index performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return 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 Benchmark for each period shown above.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust Municipal High Income ETF (FMHI) (Continued)
Sector Allocation % of Total
Investments
(including cash)
Special Assessment 13.3%
Industrial Development Bond 13.1
Continuing Care Retirement Communities 10.7
Education 8.5
Dedicated Tax 6.2
Government Obligation Bond - Limited Tax 5.9
Government Obligation Bond - Unlimited Tax 5.4
Hospital 5.4
Gas 4.9
Utility 4.4
Airport 4.0
Tobacco 2.5
Tax Increment 2.3
Certificates of Participation 2.0
Insured 2.0
Higher Education 2.0
Water & Sewer 1.7
Student Housing 1.2
Toll Road 1.1
Local Housing 0.9
Skilled Nursing 0.6
Hotel 0.5
Pre-refunded/Escrowed-to-maturity 0.4
Port 0.3
Housing 0.2
Student Loan 0.1
Cash 0.4
Total 100.0%
    
Credit Rating(2) % of Total
Investments
(including cash)
AAA 1.7%
AA 8.0
A 18.9
BBB 14.6
BB 13.8
B 2.1
Not Rated 40.5
Cash 0.4
Total 100.0%
    
Fund Allocation % of Net Assets
Municipal Bonds 98.0%
Net Other Assets and Liabilities* 2.0
Total 100.0%
    
* Includes variation margin on futures contracts.

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

Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter), is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 4

Table of Contents
Portfolio Commentary
First Trust Municipal High Income ETF (FMHI)
Annual Report
July 31, 2023 (Unaudited)
Advisor
First Trust Advisors L.P. (“First Trust” or the “Advisor”) is the investment advisor to the First Trust Municipal High Income ETF (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.
Portfolio Management Team
Tom Byron, Senior Vice President, Senior Portfolio Manager
Johnathan N. Wilhelm, Senior Vice President, Senior Portfolio Manager
The portfolio managers are primarily and jointly responsible for the day-to-day management of the Fund. Tom Byron has served as portfolio manager since 2022 and Johnathan N. Wilhelm has served as portfolio manager since 2017.
Commentary
The Fund is an actively managed exchange-traded fund. The Fund’s primary investment objective is to provide federally tax-exempt income. The Fund’s secondary investment objective is to provide long-term capital appreciation. Under normal market conditions, the Fund seeks to achieve its investment objectives by investing at least 80% of its net assets (including investment borrowings) in municipal debt securities that pay interest that is exempt from regular federal income taxes (collectively, “Municipal Securities”). In addition, under normal market conditions, the Fund invests at least 50% of its net assets in Municipal Securities that are rated non-investment grade at the time of purchase and no more than 50% of its net assets in Municipal Securities that at the time of purchase are rated investment grade.  This commentary discusses the market performance and the Fund’s performance for the 12-month period ended July 31, 2023.
Market Recap
For the 12-month period ended July 31, 2023, the Fund’s Blended Benchmark generated a total return of 1.59%. The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years), which generated a total return of 1.53% for the period, and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which produced a return of 1.64%. For the same period, municipal bonds generated a total return of 0.93% as measured by the Bloomberg Municipal Bond Index, while the Bloomberg High Yield Total Return Index produced a total return of -0.20%. By comparison, the Bloomberg U.S. Treasury Index generated a total return of -4.01% during the same period.  The following were major factors in explaining the municipal bond market performance:
Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 basis points (“bps”) and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices.
Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023, were -$55.0 billion (outflow of over $55 billion).
New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago.
According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively.
Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. 
Performance Analysis
The Fund’s total return based on net asset value (“NAV”) and market performance for the 12-month period ended July 31, 2023 was -0.44% and -0.41%, respectively, versus the Fund’s Blended Benchmark’s return of 1.59%.
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Table of Contents
Portfolio Commentary (Continued)
First Trust Municipal High Income ETF (FMHI)
Annual Report
July 31, 2023 (Unaudited)
As of July 31, 2023, the Fund’s market price of $47.00 was at a discount of approximately 0.11% to the Fund’s NAV of $47.05. The market value of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV. The Fund’s use of Treasury futures was a positive contributor to the Fund’s performance for the 12-month period ended July 31, 2023. Key factors impacting the Fund’s performance over the 12-month period ended July 31, 2023 were:
Years to Maturity: During the period, the portfolio yield curve and effective duration positions were significant reasons the Fund underperformed relative to the Blended Benchmark. In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s allocation to bonds with a final stated maturity date of 18+ years was the largest single contributor to the Fund’s underperformance relative to the Blended Benchmark. In addition, the Fund’s allocation and/or selection of bonds with 10-12 years to maturity, 16-18 years to maturity, and 0-2 years to maturity detracted from Fund performance. The Fund’s allocation to bonds with a stated maturity of 8-10 years was a positive contributor to the Fund’s performance relative to the Blended Benchmark.
Effective Duration: Focusing on the Fund’s effective duration allocations, the Fund’s selection of bonds with an effective duration of 10+ years was the largest single contributor to the Fund’s underperformance relative to the Blended Benchmark. The Fund’s selection and allocation of bonds with an effective duration of 0-2 years and selection of bonds with an effective duration of 7-10 years also detracted from Fund performance during the period.
Credit Rating: Regarding the Fund’s credit rating allocation relative to its Blended Benchmark, the Fund’s selection of non-rated high yield bonds was the largest single contributor to the Fund’s underperformance. The Fund’s selection of bonds in the BB, BBB, and A credit rating categories were detractors to Fund performance. Finally, the Fund’s allocation and selection of bonds rated single B was a positive contributor to Fund performance.
Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, the Fund’s selection of bonds in the special tax, health care, and charter school sectors were the largest detractors to Fund performance relative to the Blended Benchmark. The Fund’s allocation and selection of bonds in the lease sector was a modest positive contributor to Fund performance relative to the Blended Benchmark.
Distribution Rate: The distribution of $0.1545 paid on July 31, 2023 represents a tax-exempt annualized distribution rate of 3.94% based on the Fund’s closing market price of $47.00 on July 31, 2023. During the period, the Fund’s distribution rate increased six times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund.
Market Outlook
According to the Federal Reserve’s (the “Fed”) “Dot Plot,” the Federal Funds rate is expected to reach approximately 5.625% by December 31, 2023. We expect the Fed to raise interest rates by 25 bps at either its September 20, 2023 or November 1, 2023 meeting. During the final months of 2023, we expect longer U.S. Treasury rates to become range-bound. For example, regarding the 10-Year U.S. Treasury yield, we forecast the 10-Year bonds will trade within a range of 3.75%-4.25% and would not be surprised if the yield curve inverts more significantly whereby 2-Year yields are significantly higher than 10-Year yields. During the first half of 2024, given that we forecast that U.S. gross domestic product will grow very slowly or turn negative, we would expect the 10-Year U.S. Treasury yield to gradually decline to a range of 3.50%-3.75%.
Due to our belief that the Fed will only have one more 25 bps interest rate increase before hitting the Federal Funds terminal rate of 5.50%-5.75%, we expect municipal bond price trends to become more dependent on new issue supply and municipal mutual fund/ETF fund flows, rather than U.S. Treasury price and Fed moves. Since the municipal bond market has experienced significantly lower new issue supply year-to-date and forecast revisions for all of 2023, the key variable going forward will likely be mutual fund/ETF flows. We forecast that fund flows will turn consistently positive at some point during the fourth quarter of 2023 and fund inflows will continue during the first half of 2024. In a $4 trillion market dominated by retail investors, mutual fund, ETF, and separately managed account fund flows are a key determinant to municipal market total returns, in our view. Along with U.S. Treasury yields becoming range-bound and then gradually declining during the fourth quarter of 2023 and first half of 2024, fund flows are the other key variable to our forecast for distinctly positive total returns over the next twelve months.
As measured by municipal bond defaults and credit rating upgrade to downgrade ratios, municipal bond credit quality is currently healthy. Certain sectors have seen significant credit quality recovery including airports, toll roads, and select general obligation bonds. However, for 5 of the past 6 months, negative outlook revisions exceeded positive revisions by the S&P 500® Index. We expect certain sectors of the municipal bond universe will remain under margin pressure, including hospitals and senior living facilities, as well as
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Table of Contents
Portfolio Commentary (Continued)
First Trust Municipal High Income ETF (FMHI)
Annual Report
July 31, 2023 (Unaudited)
municipal bonds dependent on office and retail mall occupancy levels and tax receipts. Given an expected slowdown in the U.S. economy, we will focus on municipal credits with leading market positions, growing utilization statistics, and healthy balance sheets. For the Fund, this has meant adding exposure to higher rated credits, specifically in the A and BB credit rating categories, while reducing exposure to non-rated (which are below investment grade) and single B rated credits. Within the high yield municipal bond universe, we will focus on higher credit quality securities and reduce exposure to lower rated high yield borrowers. We have been actively reducing fund complex exposure to borrowers that our research team views as having a distinctly negative credit rating momentum.
With this in mind, we continue to practice the discipline of our investment process where we perform fundamental credit analysis and quantitative total return scenario analysis on individual bonds and the portfolio as a whole, looking for bonds that can provide both high income and attractive total return potential over time.
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Table of Contents
First Trust Municipal High Income ETF (FMHI)
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)
As a shareholder of the First Trust Municipal High Income ETF (the “Fund”), 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 Fund 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 July 31, 2023.
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 the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 Fund 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
February 1, 2023
Ending
Account Value
July 31, 2023
Annualized
Expense Ratio
Based on the
Six-Month
Period
Expenses Paid
During the
Six-Month
Period (a)
First Trust Municipal High Income ETF (FMHI)
Actual $1,000.00 $1,005.70 0.70% $3.48
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
    
(a) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period).
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Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS – 98.0%
    Alabama – 2.0%            
$2,000,000  
Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26)

  4.00%   10/01/52   $1,980,404
530,000  
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory put 6/01/29)

  5.25%   02/01/53   556,676
1,340,000  
Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put 12/01/28)

  5.50%   11/01/53   1,413,573
1,000,000  
Energy SE AL A Cooperative Dist Energy Sply Rev, Ser A-1 (Mandatory put 01/01/31)

  5.50%   11/01/53   1,076,847
2,425,000  
SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28)

  4.00%   11/01/51   2,389,101
800,000  
SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 (Mandatory put 08/01/28)

  5.00%   05/01/53   825,653
        8,242,254
    Arizona – 3.3%            
1,790,000  
AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a)

  5.00%   07/01/39   1,736,411
750,000  
AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A

  5.00%   07/15/39   734,926
500,000  
AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Pebble, Ser A (a)

  5.00%   07/15/40   486,386
400,000  
AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a)

  5.00%   12/15/39   378,984
1,000,000  
AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada & St Rose Cmps, Ser A (a)

  5.75%   07/15/38   1,012,660
1,055,000  
AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a)

  4.00%   07/01/27   1,021,882
290,000  
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a)

  4.00%   07/15/41   237,876
1,000,000  
AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a)

  4.00%   07/15/51   745,730
1,740,000  
AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a)

  4.00%   12/15/41   1,402,366
1,000,000  
AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a)

  4.00%   12/15/51   731,068
500,000  
Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A

  5.00%   05/15/41   462,731
1,035,000  
Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a)

  5.00%   07/01/49   940,338
1,000,000  
Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a)

  5.00%   07/01/54   888,184
2,000,000  
Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (a)

  4.00%   12/01/51   1,538,174
100,000  
Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A

  5.00%   07/01/27   103,586
1,000,000  
Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a)

  6.75%   11/15/42   1,012,925
        13,434,227
    Arkansas – 1.5%            
3,000,000  
AR Dev Fin Auth Envrnmntl Rev Green Bond United States Steel Corp Proj, AMT

  5.45%   09/01/52   2,999,851
1,000,000  
AR Dev Fin Auth Envrnmntl Rev Green Bond US Steel Corp Proj, AMT

  5.70%   05/01/53   1,014,889
2,000,000  
AR St Dev Fin Auth Indl Dev Rev Green Bonds Hybar Steel Proj, Ser A, AMT (a)

  6.88%   07/01/48   2,071,764
        6,086,504
See Notes to Financial Statements
Page 9

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California – 6.2%            
$2,500,000  
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bonds, Ser D (Mandatory put 11/01/28)

  5.50%   05/01/54   $2,638,421
250,000  
CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a)

  5.00%   11/15/46   225,783
250,000  
CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a)

  5.00%   11/15/51   220,450
250,000  
CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a)

  5.25%   07/01/48   252,604
1,050,000  
CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a)

  5.00%   07/01/38   1,028,348
450,000  
CA St Muni Fin Auth Chrt Sch Rev, Ser A (a)

  5.50%   06/01/38   451,013
2,000,000  
CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (a)

  5.00%   11/01/46   1,943,611
205,000  
CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A

  5.00%   07/01/32   214,655
1,250,000  
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A

  5.00%   10/01/44   1,274,079
1,000,000  
CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT

  4.00%   07/15/29   992,663
1,250,000  
CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a)

  5.00%   07/01/37   1,250,298
2,000,000  
CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a)

  5.00%   11/21/45   1,990,058
1,000,000  
CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a)

  5.00%   10/01/42   1,005,846
550,000  
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a)

  5.00%   12/01/33   560,610
1,500,000  
CSCDA Cmnty Impt Auth CA Essential Hsg Rev the Link Glendale Social Bonds, Ser A-2 (a)

  4.00%   07/01/56   1,053,386
500,000  
CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a)

  4.00%   07/01/56   367,862
1,000,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Tobacco Stlmt Asset Backed Bonds, Ser A-1

  5.00%   06/01/51   1,042,097
300,000  
Morongo Band of Mission Indians CA Rev Ref, Ser B (a)

  5.00%   10/01/42   296,013
450,000  
Palm Desert CA Spl Tax Ref Univ Park

  4.00%   09/01/41   410,770
400,000  
Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt

No. 1

  4.00%   09/01/41   366,957
850,000  
Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt

No. 1

  5.00%   09/01/48   857,491
1,100,000  
Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt

No. 1

  5.00%   09/01/53   1,105,111
1,000,000  
San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT

  5.00%   07/01/46   1,045,165
2,000,000  
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT

  5.00%   05/01/44   2,071,541
1,000,000  
San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021

  4.00%   09/01/46   887,848
1,615,000  
San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A

  5.25%   11/15/42   1,794,153
        25,346,833
    Colorado – 7.5%            
1,125,000  
Allison Vly Met Dist #2 CO Ref

  4.70%   12/01/47   926,546
1,000,000  
Baseline Met Dist #1 CO Spl Rev, Ser A

  5.00%   12/01/51   891,857
525,000  
Brighton Crossing Met Dist #6 CO, Ser A

  5.00%   12/01/35   500,323
1,000,000  
Cascade Ridge Met Dist CO

  5.00%   12/01/51   838,096
515,000  
Chambers Highpoint Met Dist #2 CO

  5.00%   12/01/41   461,861
750,000  
CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Skyview Acdmy Proj (a)

  5.50%   07/01/49   741,788
1,000,000  
CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a)

  5.00%   12/15/45   1,009,454
Page 10
See Notes to Financial Statements

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Colorado (Continued)            
$2,000,000  
CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A (b)

  5.00%   05/15/58   $1,458,491
1,400,000  
CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods Proj

  5.00%   01/01/37   1,272,173
950,000  
CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1

  4.00%   08/01/39   918,719
670,000  
CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A

  4.00%   05/15/35   606,378
1,125,000  
CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A

  4.00%   05/15/41   930,517
625,000  
CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada Proj, Ser A (b) (c)

  5.25%   11/01/32   300,000
1,120,000  
Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT

  5.75%   11/15/40   1,283,418
1,100,000  
Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT

  5.75%   11/15/45   1,242,370
1,220,000  
Denver City & Cnty CO Arpt Rev, Ser A, AMT

  5.00%   11/15/41   1,301,878
500,000  
Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B

  6.00%   12/01/48   499,953
1,700,000  
Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a)

  5.00%   12/01/41   1,541,613
1,510,000  
Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a)

  5.00%   12/01/51   1,269,523
1,500,000  
Four Corners Busn Impt Dist CO Ltd Tax Supported

  6.00%   12/01/52   1,382,857
1,000,000  
Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A

  6.25%   12/01/52   948,565
500,000  
Independence Met Dist #3 CO, Ser A

  6.25%   12/01/49   462,324
575,000  
Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2

  4.13%   12/01/40   486,541
1,000,000  
Meridian Ranch Met Dist 2018 Subdistrict CO

  6.75%   12/01/52   991,045
2,000,000  
Mirabelle Met Dist #2 CO Sr, Ser A

  5.00%   12/01/49   1,790,147
905,000  
Mountain Brook Met Dist CO

  4.50%   12/01/41   731,841
500,000  
Murphy Creek Met Dist #5 CO Sr Bonds, Ser A

  6.00%   12/01/52   488,490
500,000  
Peak Met Dist #1 CO, Ser A (a)

  4.00%   12/01/35   428,209
1,000,000  
Peak Met Dist #1 CO, Ser A (a)

  5.00%   12/01/41   923,864
1,500,000  
Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (a)

  5.00%   12/15/41   1,483,392
500,000  
Prairie Ctr Met Dist #7 CO

  4.13%   12/15/36   443,413
785,000  
Siena Lake Met Dist CO

  3.25%   12/01/31   666,864
500,000  
Siena Lake Met Dist CO

  4.00%   12/01/51   371,610
500,000  
Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A

  5.00%   12/01/39   480,538
700,000  
W Meadow Met Dist CO Ref Sr Bonds, Ser A (a)

  6.00%   12/01/38   719,312
        30,793,970
    Connecticut – 2.4%            
250,000  
Bridgeport CT, Ser A, BAM

  5.00%   02/01/31   276,191
2,000,000  
CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B

  5.00%   12/01/40   1,996,606
2,725,000  
CT St Hlth & Eductnl Facs Auth Rev Trinity Hlth Corp

  5.00%   12/01/45   2,776,476
800,000  
CT St Hlth & Eductnl Facs Auth Rev, Ser A

  4.00%   07/01/37   782,374
1,250,000  
CT St Spl Tax Oblig Rev, Ser A

  5.00%   05/01/41   1,376,918
2,500,000  
Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a)

  5.00%   04/01/39   2,507,294
        9,715,859
    Delaware – 0.1%            
415,000  
Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a)

  5.00%   07/01/28   417,862
    Florida – 13.8%            
500,000  
Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at The Univ of FL Inc Proj

  4.00%   10/01/40   397,842
1,000,000  
Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4 Master Impt Proj (a) (d)

  5.25%   05/01/43   996,393
485,000  
Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021

  4.00%   05/01/52   381,272
See Notes to Financial Statements
Page 11

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Florida (Continued)            
$1,000,000  
Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One

  3.63%   05/01/41   $806,812
735,000  
Bridgewater N Cmnty Dev Dist FL Capital Impt Rev

  4.00%   05/01/42   626,975
1,000,000  
Broward Cnty FL Indl Dev Rev Var FL Pwr & Light Co Proj, Ser A, AMT (e)

  4.65%   12/01/48   1,000,000
895,000  
Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a)

  4.00%   07/01/41   722,964
525,000  
Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a)

  4.00%   07/01/51   384,143
200,000  
Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A

  4.00%   08/01/30   197,401
1,070,000  
Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A

  5.00%   08/01/40   1,074,752
750,000  
Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a)

  4.00%   10/01/41   658,511
1,000,000  
Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a)

  4.00%   10/01/51   825,855
595,000  
Coco Palms FL CDD Spl Assmnt

  4.50%   05/01/32   590,947
1,000,000  
Coco Palms FL CDD Spl Assmnt

  5.00%   05/01/46   957,962
1,500,000  
Connerton E CDD FL Spl Assmnt Area One

  5.25%   06/15/43   1,520,669
600,000  
Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (a)

  3.63%   05/01/40   487,567
2,650,000  
Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two

  4.00%   05/01/42   2,254,287
3,470,000  
Epperson N CDD FL Capital Impt Rev Assmnt Area #2

  4.00%   05/01/51   2,741,460
1,250,000  
Fallschase Cmnty Dev Dist FL Spl Assmnt

  3.38%   05/01/41   976,567
1,385,000  
FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (a)

  4.00%   06/30/56   974,128
2,000,000  
FL St Dev Fin Corp Sol Wst Disp Rev Var Waste Pro USA Inc Proj, AMT (Mandatory put 07/01/26) (a)

  6.13%   07/01/32   2,014,673
1,005,000  
FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a)

  4.00%   06/01/41   729,179
500,000  
Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (a)

  4.00%   05/01/40   460,253
1,060,000  
Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj

  4.38%   11/01/49   929,961
1,000,000  
Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a)

  4.00%   05/01/40   865,939
750,000  
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector Proj Phase 1A

  5.00%   05/01/38   753,073
1,325,000  
Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Stewardship Dist Azario Proj

  4.00%   05/01/50   1,054,097
2,575,000  
Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Waterside Hlth Proj

  5.00%   11/15/49   2,411,231
1,500,000  
LTC Ranch West Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A

  4.00%   05/01/52   1,177,611
2,570,000  
Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT

  5.00%   10/01/38   2,590,509
1,000,000  
Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT

  5.00%   10/01/36   1,082,283
2,245,000  
Miami-Dade Cnty FL Wtr & Swr Rev Sub

  5.00%   10/01/46   2,375,947
1,250,000  
Mirada II Cmnty Dev Dist FL Cap Impt Rev

  4.00%   05/01/51   981,519
1,520,000  
N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One

  4.50%   05/01/40   1,408,192
1,000,000  
N Springs FL Impt Dist Parkland Bay Assmt Area (a)

  4.88%   05/01/38   981,003
1,300,000  
Old Hickory CDD FL Spl Assmnt Spl Asmt

  4.00%   06/15/40   1,143,476
465,000  
Parkland Preserve CDD FL Spl Assmnt Rev, Ser A

  5.25%   05/01/39   469,703
1,000,000  
Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a)

  3.25%   12/15/41   799,525
1,000,000  
Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a)

  5.88%   01/01/33   1,009,655
1,710,000  
Reunion E FL CDD Spl Assmnt, Ser 2021

  4.00%   05/01/51   1,383,386
770,000  
Rivington CDD FL Spl Assmnt Rev Assmnt Area

  3.38%   05/01/31   698,257
Page 12
See Notes to Financial Statements

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Florida (Continued)            
$500,000  
Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A

  4.00%   12/15/36   $428,776
750,000  
Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A

  4.00%   12/15/41   595,737
1,000,000  
Saint Lucie Cnty FL Sol Wst Disp Ref FL Pwr & Light Co Pj (e)

  4.65%   05/01/24   1,000,000
2,055,000  
Sawyers Landing CDD FL Spl Assmnt Rev

  4.13%   05/01/41   1,760,732
250,000  
SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a)

  5.00%   03/01/30   251,575
490,000  
Shell Point Cmnty Dev Dist FL Spl Assmnt (a)

  5.25%   11/01/39   494,357
1,000,000  
Shingle Creek At Bronson CDD FL Spl Assmnt

  3.50%   06/15/41   789,116
750,000  
Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1

  4.00%   05/01/51   592,534
2,580,000  
Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a)

  3.50%   06/15/41   2,045,191
835,000  
Triple Creek FL CDD Spl Assmnt Villages Q&R Proj (a)

  4.00%   11/01/51   660,752
1,055,000  
Trout Creek CDD FL Capital Impt Rev

  4.00%   05/01/51   810,905
230,000  
Villamar CDD FL Spl Assmnt

  4.00%   05/01/29   226,008
2,000,000  
Westview S CDD FL Spl Assmnt Area One 2023 Proj Area

  5.38%   05/01/43   1,984,282
1,190,000  
Wildblue CDD FL Spl Assmnt (a)

  4.25%   06/15/39   1,065,231
        56,601,175
    Georgia – 3.3%            
1,000,000  
Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT

  4.00%   07/01/37   992,531
1,000,000  
Bartow Cnty GA Dev Auth Solidwaste Disp Fac Rev Var GA Pwr Co Plant Bowen Proj, AMT (e)

  4.80%   11/01/62   1,000,000
4,000,000  
Burke Cnty GA Dev Auth Poll Control Rev Adj GA Pwr Co Plant Vogtle Proj Remk (e)

  4.78%   11/01/52   4,000,000
55,000  
Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc

  5.00%   07/01/31   55,338
1,500,000  
Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc

  5.00%   07/01/42   1,414,114
500,000  
Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (a)

  5.00%   01/01/36   473,076
1,750,000  
Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29)

  4.00%   09/01/52   1,720,381
1,285,000  
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26)

  4.00%   03/01/50   1,278,557
1,000,000  
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/30)

  5.00%   09/01/53   1,051,797
1,000,000  
Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 12/01/28)

  4.00%   05/01/52   987,791
350,000  
Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM

  5.00%   07/01/30   391,126
        13,364,711
    Guam – 0.1%            
250,000  
Guam Govt Busn Privilege Tax Rev Ref, Ser D

  5.00%   11/15/35   252,023
155,000  
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A

  5.00%   01/01/50   157,490
        409,513
    Idaho – 0.6%            
1,000,000  
ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (a)

  5.25%   05/15/51   957,667
1,265,000  
ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp

  5.00%   09/01/30   1,284,563
        2,242,230
    Illinois – 3.2%            
300,000  
Chicago IL Brd of Edu Ref Dedicated, Ser C

  5.00%   12/01/30   307,533
3,500,000  
Chicago IL Brd of Edu Ref, Ser B

  5.00%   12/01/30   3,697,512
See Notes to Financial Statements
Page 13

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Illinois (Continued)            
$1,000,000  
Chicago IL Brd of Edu, Ser A

  5.00%   12/01/35   $1,040,375
750,000  
Chicago IL Chicago Wks, Ser A

  5.50%   01/01/40   819,035
400,000  
Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT

  5.00%   01/01/37   420,783
400,000  
Chicago IL Ref 2003B Remk

  5.25%   01/01/29   407,174
515,000  
Chicago IL Ref, Ser C, CABS

  (f)   01/01/25   485,757
65,000  
Hillside IL Tax Incr Rev Ref

  5.00%   01/01/24   65,135
100,000  
IL St

  5.00%   04/01/24   100,888
250,000  
IL St

  5.50%   05/01/26   263,442
200,000  
IL St

  5.00%   06/01/27   208,461
250,000  
IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj

  5.00%   12/01/30   258,488
250,000  
IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj

  5.00%   12/01/31   258,174
100,000  
IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A

  5.00%   02/15/26   100,684
300,000  
IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A

  5.00%   02/15/27   303,674
145,000  
IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A

  5.00%   02/15/28   147,218
2,000,000  
IL St, Ser C

  5.00%   11/01/29   2,128,206
545,000  
IL St, Ser D

  5.00%   11/01/24   554,441
1,660,000  
Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (a)

  4.82%   01/01/41   1,524,700
        13,091,680
    Indiana – 1.7%            
250,000  
Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a)

  5.30%   01/01/32   219,818
2,000,000  
IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A

  4.25%   11/01/30   2,015,445
1,360,000  
IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj Remk, Ser A-1, AMT (Mandatory put 06/01/32)

  4.50%   05/01/35   1,363,779
750,000  
IN St Fin Auth Hosp Rev Reid Hlth, AGM

  5.00%   01/01/41   802,446
1,275,000  
IN St Fin Auth Rev BHI Sr Living, Ser A (Pre-refunded maturity 11/15/23)

  5.88%   11/15/41   1,282,492
200,000  
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (g)

  5.25%   07/01/28   198,710
595,000  
Plainfield IN Mf Hsg Rev Glasswater Creek Proj

  5.38%   09/01/38   480,532
600,000  
Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj

  5.10%   01/01/32   518,393
        6,881,615
    Iowa – 0.8%            
3,000,000  
IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj

  5.00%   12/01/50   3,035,498
300,000  
IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42)

  5.00%   12/01/50   306,261
        3,341,759
    Kansas – 0.5%            
500,000  
Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj

  3.60%   06/01/30   474,331
175,000  
Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & Rec Projs

  5.50%   09/01/34   208,045
1,250,000  
Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (a)

  5.75%   09/01/39   1,214,225
        1,896,601
Page 14
See Notes to Financial Statements

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Kentucky – 2.6%            
$2,000,000  
Boyle Cnty KY Eductnl Facs Rev Ref Centre Clg, Ser A

  5.25%   06/01/43   $2,160,748
875,000  
Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, AMT (a)

  4.45%   01/01/42   846,744
1,000,000  
KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A

  5.00%   06/01/41   993,865
230,000  
KY St Univ KY St Univ Proj, COPS, BAM

  4.00%   11/01/41   228,620
1,000,000  
Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A

  4.00%   10/01/39   969,059
5,600,000  
Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Green Bond, Ser B-1 (e)

  5.40%   08/01/61   5,600,000
        10,799,036
    Louisiana – 1.2%            
1,500,000  
LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Westlake Chemical Corp Proj Remk

  3.50%   11/01/32   1,450,331
200,000  
Monroe LA Wtr Rev, BAM

  5.00%   11/01/32   219,697
1,000,000  
Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a)

  6.35%   07/01/40   1,079,619
500,000  
Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a)

  6.10%   12/01/40   538,641
1,500,000  
Saint John the Baptist Parish LA Rev Ref Var Marathon Oil Corp Proj Remk, Ser A-1 (Mandatory put 07/01/26)

  4.05%   06/01/37   1,491,408
        4,779,696
    Maryland – 0.9%            
1,020,000  
Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A

  5.00%   09/01/38   1,023,514
175,000  
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)

  2.95%   06/01/27   164,992
185,000  
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)

  3.05%   06/01/28   171,554
200,000  
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)

  3.15%   06/01/29   183,300
190,000  
Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a)

  3.20%   06/01/30   172,127
900,000  
Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a)

  4.63%   07/01/43   873,172
1,000,000  
MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A

  5.38%   07/01/38   1,091,240
        3,679,899
    Massachusetts – 1.2%            
2,000,000  
MA St Bay Transprtn Auth Sales Tax Rev Sr, Ser A

  5.00%   07/01/45   2,042,647
500,000  
MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a)

  5.00%   11/15/28   516,290
500,000  
MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainability Bonds, Ser G

  5.25%   07/01/48   528,570
1,020,000  
MA St Dev Fin Agy Rev Ref Salem Cmnty Corp

  5.13%   01/01/40   933,540
1,000,000  
MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj

  5.00%   10/01/48   920,737
        4,941,784
    Michigan – 1.3%            
300,000  
Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM

  5.00%   07/01/31   303,159
100,000  
Detroit MI Social Bonds, Ser A

  5.00%   04/01/46   100,692
2,000,000  
Detroit MI Social Bonds, Ser A

  5.00%   04/01/50   2,003,124
2,000,000  
MI St Fin Auth Rev Henry Ford Hlth Sys, Ser A

  5.00%   11/15/48   2,069,489
1,000,000  
MI St Strategic Fund Ltd Oblg Rev Var Green Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26)

  4.00%   10/01/61   994,671
        5,471,135
    Minnesota – 0.7%            
150,000  
Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a)

  3.80%   08/01/27   144,128
See Notes to Financial Statements
Page 15

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Minnesota (Continued)            
$1,300,000  
Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr Ground Acdmy Proj

  4.25%   12/01/32   $1,285,141
105,000  
Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A

  5.00%   12/01/30   105,767
850,000  
Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A

  4.00%   07/01/41   676,846
660,000  
Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A

  4.00%   07/01/51   478,691
        2,690,573
    Mississippi – 1.3%            
3,000,000  
MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (e)

  4.90%   07/01/25   3,000,000
2,500,000  
MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (e)

  4.90%   05/01/28   2,500,000
        5,500,000
    Missouri – 1.0%            
550,000  
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A

  5.00%   02/01/29   553,626
1,000,000  
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A

  5.00%   02/01/42   964,904
80,000  
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs

  5.00%   02/01/35   79,861
550,000  
MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs

  4.00%   02/01/32   511,578
10,000  
MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A

  5.00%   02/01/29   10,054
2,000,000  
Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra Proj (a)

  6.00%   10/01/49   1,978,977
        4,099,000
    Nebraska – 0.4%            
1,425,000  
Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24)

  5.00%   03/01/50   1,429,684
    Nevada – 0.6%            
775,000  
Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject

  5.00%   03/01/38   773,381
1,000,000  
Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject

  5.25%   03/01/48   986,359
190,000  
N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64

  4.00%   06/01/29   184,991
700,000  
NV Dept of Busn & Ind NV Doral Acdmy, Ser A

  5.00%   07/15/37   696,797
        2,641,528
    New Hampshire – 0.4%            
2,000,000  
Natl Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (a)

  3.75%   07/01/45   1,565,404
    New Jersey – 0.4%            
100,000  
NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT

  5.00%   10/01/25   101,819
430,000  
NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT

  4.00%   12/01/30   425,331
560,000  
NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog Bonds, Ser CC

  5.25%   06/15/41   619,203
500,000  
NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A

  5.00%   12/15/30   544,988
        1,691,341
    New Mexico – 0.3%            
535,000  
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)

  3.75%   05/01/28   506,584
500,000  
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)

  4.00%   05/01/33   443,918
Page 16
See Notes to Financial Statements

Table of Contents
First Trust Municipal High Income ETF (FMHI)
Portfolio of Investments (Continued)
July 31, 2023
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    New Mexico (Continued)            
$500,000  
Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a)

  4.25%   05/01/40   $421,626
        1,372,128
    New York – 5.4%            
1,000,000  
Build NYC Res Corp NY Rev Social Bond Kipp NYC Pub Sch Facs Canal W Proj

  5.25%   07/01/52   1,017,224
950,000  
Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children Acdmy Chrt Sch Proj, Ser A

  5.00%   07/01/43   972,899
3,000,000  
New York City NY Indl Dev Agy Rev Liberty 123 Wash Proj Remk (e)

  5.25%   10/01/42   3,000,000
2,000,000  
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Adjustable 2nd General Resolution Fiscal 2014, Ser AA-2 (e)

  4.65%   06/15/50   2,000,000
595,000  
New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution Fiscal 2018 Block 4, Ser AA