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.

By reading the portfolio commentary by the portfolio management team of each Fund, you may obtain an understanding of how the market environment affected each Fund’s performance. 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.

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Shareholder Letter

First Trust Exchange-Traded Fund III

Annual Letter from the Chairman and CEO

October 31, 2022

Dear Shareholders,

First Trust is pleased to provide you with the annual report for certain series of First Trust Exchange-Traded Fund III (the “Funds”), which contains detailed information about the Funds for the twelve months ended October 31, 2022.

As I’m writing this letter in mid-November, it strikes me that things appear to be a little more chaotic in the current climate than normal. One of the things that may have contributed to the chaotic nature of the news flow of late was the November mid-term election. For the most part, except for a few seats in Congress, the election is behind us. We learned there would be no “red wave” (Republicans gaining a strong majority in Congress) but likely gridlock ahead. Gridlock has been good for stock market investors in the past few decades, particularly when there’s been a Democratic president and the Republicans have control of at least one house of Congress, according to Brian Wesbury, Chief Economist at First Trust.

The Federal Reserve (the “Fed”) has kept its promise to aggressively hike interest rates to combat robust inflation. As of November 13, 2022, the Fed has increased the Federal Funds target rate (upper bound) six times, from 0.25% to 4.00%. The Fed’s actions have some investors and pundits looking for evidence linking the interest rate hikes to a downturn in the economy. In short, the hope is that a pullback in economic activity might deter the Fed from executing further interest rate hikes. Fed Chairman Jerome Powell, however, recently said that the terminal rate (the ultimate rate the Fed is targeting) will likely need to be higher than previously estimated in order to curb stubbornly high inflation. The Consumer Price Index (“CPI”) is a commonly used measure of inflation. The CPI stood at 7.7% on a trailing 12-month basis as of October 31, 2022, according to the U.S. Bureau of Labor Statistics. That is down from its recent high of 9.1% in June 2022. Prior to this year, the last time the CPI was higher than 7.0% was over 40 years ago. While monetary policy is an ongoing process subject to change, the Fed does appear to be steadfast in its mission to bring the rate of inflation back to its preferred level of 2.0%, and that will take some time, in my opinion. Stay tuned!

Equity and fixed income markets have contended with numerous headwinds this year, such as the war between Russia and Ukraine. Since setting its all-time high of 4,796.56 on January 3, 2022, the S&P 500^® Index has been in a bear market (a price decline of 20% or more from the most recent high) for the better part of 310 days. Suffice it to say, we are all looking forward to the end of this bear market. With respect to corrections and bear markets, the silver lining is that the S&P 500^®Index has never failed to fully recover the losses sustained in any previous downturn. Where might we see demand for stocks moving forward? One such source could be stock buybacks. As of the last week of October 2022, U.S. companies had announced stock buybacks totaling $1 trillion so far this year, according to Birinyi Associates. The fixed income market has not been immune to selling pressure either. Year-to-date through November 10, 2022, yields on the 10-Year Treasury Note increased by 258 basis points. As you may be aware, bond yields and bond prices are inversely related, particularly with respect to investment-grade bonds. As yields rise, prices fall and vice versa. As noted above, the Fed has more work to do, so bond investors should not be surprised to see interest rates and bond yields trend at least a bit higher in the months ahead.

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.

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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
	1 Year Ended 10/31/22	5 Years Ended 10/31/22	Inception (2/11/13) to 10/31/22	5 Years Ended 10/31/22	Inception (2/11/13) to 10/31/22
Fund Performance
NAV	-14.65%	1.37%	3.54%	7.06%	40.26%
Market Price	-15.24%	1.26%	3.48%	6.47%	39.47%
Index Performance
ICE BofA US Investment Grade Institutional Capital Securities Index	-13.64%	1.61%	3.84%	8.33%	44.28%
Blended Index⁽¹⁾⁽²⁾⁽³⁾	-16.71%	1.06%	N/A	5.43%	N/A
ICE BofA Fixed Rate Preferred Securities Index	-16.32%	0.60%	3.31%	3.05%	37.23%
Prior Blended Index⁽⁴⁾	-15.84%	0.99%	3.48%	5.05%	39.37%

(See Notes to Fund Performance Overview Page 9.)

⁽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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Preferred Securities and Income ETF (FPE) (Continued)

Sector Allocation	% of Total Investments
Financials	72.7%
Energy	8.9
Utilities	8.6
Industrials	3.5
Consumer Staples	2.9
Real Estate	2.0
Communication Services	1.1
Consumer Discretionary	0.3
Total	100.0%

Credit Rating⁽⁵⁾	% of Total Fixed-Income Investments
A	0.4%
BBB+	10.7
BBB	21.8
BBB-	30.3
BB+	17.0
BB	9.7
BB-	5.0
B+	0.8
B	0.6
Not Rated	3.7
Total	100.0%

Top Ten Holdings	% of Total Investments
AerCap Holdings N.V.	2.2%
Barclays PLC	2.1
Wells Fargo & Co., Series L	1.7
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc.	1.5
Credit Suisse Group AG	1.1
Wells Fargo & Co., Series BB	1.1
Global Atlantic Fin Co.	1.1
Societe Generale S.A.	1.0
Deutsche Bank AG, Series 2020	1.0
Bank of America Corp., Series L	1.0
Total	13.8%

Country Allocation	% of Total Investments
United States	56.6%
United Kingdom	8.4
Canada	7.1
Switzerland	5.0
France	4.8
Bermuda	4.7
Netherlands	3.0
Australia	2.1
Italy	1.7
Spain	1.6
Multinational	1.5
Germany	1.4
Denmark	0.9
Mexico	0.8
Sweden	0.2
Japan	0.2
Total	100.0%

⁽⁵⁾

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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Fund Performance Overview (Unaudited) (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.

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.

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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
	1 Year Ended 10/31/22	5 Years Ended 10/31/22	Inception (8/22/17) to 10/31/22	5 Years Ended 10/31/22	Inception (8/22/17) to 10/31/22
Fund Performance
NAV	-11.68%	1.88%	2.20%	9.77%	11.97%
Market Price	-11.70%	1.91%	2.24%	9.91%	12.17%
Index Performance
Blended Benchmark⁽¹⁾⁽²⁾	-14.90%	1.50%	1.85%	7.75%	9.96%
ICE BofA US Investment Grade Institutional Capital Securities Index	-13.64%	1.61%	1.80%	8.33%	9.69%

(See Notes to Fund Performance Overview Page 9.)

⁽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.

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Fund Performance Overview (Unaudited) (Continued)

First Trust Institutional Preferred Securities and Income ETF (FPEI) (Continued)

Sector Allocation	% of Total Investments
Financials	77.8%
Energy	9.6
Utilities	8.4
Industrials	2.4
Consumer Staples	1.8
Total	100.0%

Credit Quality⁽³⁾	% of Total Investments
A	0.5%
BBB+	13.2
BBB	27.2
BBB-	31.7
BB+	11.7
BB	8.7
BB-	5.3
B+	1.0
Not Rated	0.7
Total	100.0%

Top Ten Holdings	% of Total Investments
Charles Schwab (The) Corp., Series I	2.6%
Wells Fargo & Co., Series BB	1.9
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc.	1.8
Barclays PLC	1.8
Enstar Finance LLC	1.6
Corebridge Financial, Inc.	1.6
Prudential Financial, Inc.	1.6
AerCap Holdings N.V.	1.5
PNC Financial Services Group (The), Inc., Series V	1.3
Deutsche Bank AG, Series 2020	1.3
Total	17.0%

Country Allocation	% of Total Investments
United States	56.3%
United Kingdom	8.0
Canada	7.5
France	6.6
Switzerland	6.3
Australia	2.8
Netherlands	2.1
Multinational	1.8
Germany	1.8
Spain	1.7
Italy	1.7
Bermuda	1.2
Denmark	0.8
Mexico	0.5
Finland	0.4
Japan	0.3
Sweden	0.2
Total	100.0%

⁽³⁾

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Fund Performance Overview (Unaudited) (Continued)

First Trust Institutional Preferred Securities and Income ETF (FPEI) (Continued)

Frequency Distribution of Discounts and Premiums

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Notes to Fund Performance Overview (Unaudited)

Total returns for the periods since inception are calculated from the inception date of each 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.

Each 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 each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each 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 each Fund at NAV and Market Price, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each 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 each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.

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Portfolio Commentary

First Trust Exchange-Traded Fund III

Annual Report

October 31, 2022 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust”) serves as the investment advisor to the First Trust Preferred Securities and Income ETF and the First Trust Institutional Preferred Securities and Income ETF (each a “Fund” and collectively the “Funds”). First Trust is responsible for the ongoing monitoring of each Fund’s investment portfolio, managing each Fund’s business affairs and providing certain administrative services necessary for the management of each Fund.

Sub-Advisor

Stonebridge Advisors LLC

Stonebridge Advisors LLC (“Stonebridge” or the “Sub-Advisor”) is the sub-advisor to the Funds and is a registered investment advisor based in Wilton, Connecticut. Stonebridge specializes in the management of preferred and hybrid securities.

Stonebridge Advisors LLC Portfolio Management Team

Scott T. Fleming - Chief Executive Officer and President

Robert Wolf - Chief Investment Officer, Executive Vice President and Senior Portfolio Manager

Eric Weaver - Executive Vice President, Chief Strategist and Portfolio Manager

Angelo Graci, CFA - Executive Vice President, Head of Credit Research and Portfolio Manager

Commentary

Market Recap

The 12-month period ended October 31, 2022 was negative for all segments of the preferred and hybrid securities market as interest rates moved sharply higher across the Treasury curve. In the face of stubbornly high inflation throughout 2021, the Federal Reserve (the “Fed”) pivoted to a hawkish monetary policy stance in early 2022. The Fed proceeded to increase the Federal Funds target rate to 3.00-3.25% by the end of the period, including an unprecedented series of three separate 75 basis points (“bps”) hikes with the market expecting a fourth in early November 2022. In response to the Fed’s pivot, 2-Year Treasury yields moved higher by around 400 bps and 10-Year Treasury yields moved higher by about 250 bps during the period. Meanwhile, the Treasury 2-Year/10-Year yield curve inverted by nearly 50 bps, reflecting the market’s expectation for a potential economic slowdown in response to tighter monetary policy. Long duration and fixed rate securities suffered the deepest losses during the period, while variable rate and floating rate securities outperformed. During the 12-month period ended October 31, 2022, investment grade (“IG”) $1000 par institutional securities were the top performing segment of the preferred and hybrid securities market, returning -13.64% (the ICE BofA US Investment Grade Institutional Capital Securities Index (“CIPS”)), non-IG $1000 par institutional securities returned -16.00% (the ICE BofA US High Yield Institutional Capital Securities Index (“HIPS”)), while non-U.S. bank contingent convertible capital securities (“CoCos”) returned -15.94% (the ICE USD Contingent Capital Index (“CDLR”)). Finally, the exchange-traded $25 par exchange traded market was by far the worst performer due to its longer duration profile and heavy outflows from passive exchange-traded funds (“ETFs”) that focus on the $25 par exchange traded market. The $25 par exchange traded securities returned -20.94% (the ICE BofA Core Plus Fixed Rate Preferred Securities Index (“P0P4”)) during the period.

Performance Analysis

First Trust Preferred Securities and Income ETF (FPE)

For the 12-month period ended October 31, 2022 the net asset value and market price total return for the Fund were -14.65% and -15.24%, respectively. This compares to a total return of -16.71% for the Fund’s benchmark (the “Benchmark”), which is a 30/30/30/10 blend of P0P4, CIPS, CDLR and HIPS, respectively. The largest contributors to the Fund’s outperformance relative to the Benchmark during the period were the Fund’s defensive positioning in regard to rising interest rates, security selection within CoCos, and security selection within IG securities. The Fund also benefited from its security selection within pipelines and $25 par exchange traded holdings.

The Fund began repositioning for potentially higher interest rates as early as the fourth quarter of 2020, which paid off on a relative basis during the fiscal year 2022. Short duration (<3 years) securities significantly outperformed during the period while long duration securities (5+ years) significantly underperformed. The Fund benefited from its significant underweight to longer duration securities and overweight to short duration securities, including floaters, which are not held in the Benchmark. The Fund outperformed versus the Benchmark across every duration segment of the curve.

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Portfolio Commentary (Continued)

First Trust Exchange-Traded Fund III

Annual Report

October 31, 2022 (Unaudited)

Another area of outperformance for the Fund was its security selection within non-US bank CoCos, including its security selection within European banks. The Fund also benefited from its underweight allocation to emerging market (EM) banks, which the Fund is comfortable maintaining going forward. Russian bank CoCos, which were not held by the Fund, suffered complete losses during the period.

Within non-IG securities, the Fund benefited from its security selection, particularly within the pipeline sector. The Fund’s pipeline holdings outperformed the Benchmark’s by over 8% for the period. The Fund continues to maintain an overweight allocation to this sector given its favorable outlook.

Turning to the $25 par exchange traded market, the Fund’s relative performance benefited from both its underweight to fixed rate securities and overweight to variable rate structures. The Fund’s superior security selection within variable rate holdings was also a positive contributor. This was partially offset by the relative underperformance of the Fund’s holdings in Equity Real Investment Trusts and Utilities holdings.

Finally, the Fund added to its relative performance through the new issuance markets. Given the volatility and exchange-traded fund outflows during the period, the Fund was very selective within this market segment.

First Trust Institutional Preferred Securities and Income ETF (FPEI)

For the 12-month period ended October 31, 2022, the NAV and market price total return for the Fund were -11.68%, -11.70%, and -14.90%, respectively. This compares to a total return of -14.90% for the Fund’s benchmark (the “Benchmark”), which is a 45%/40%/15% blend of CIPS, CDLR and HIPS, respectively. The largest contributors to the Fund’s outperformance relative to the Benchmark during the period were the Fund’s defensive positioning in regard to rising interest rates, security selection within CoCos, and security selection within IG securities.

Another area of outperformance for the Fund was its security selection within non-US bank CoCos, including its security selection within European banks. The Fund also benefited from its underweight allocation to EM banks, which the Fund is comfortable maintaining going forward. Russian bank CoCos, which were not held by the Fund, suffered complete losses during the period.

Within non-IG securities, the Fund benefited from its security selection, particularly within the pipeline sector. The Fund’s pipeline holdings outperformed the Benchmark’s by over 9% for the period. The Fund continues to maintain an overweight allocation to this sector given its favorable outlook.

Finally, the Fund added to its relative performance through the new issuance markets. Given the volatility and ETF outflows during the period, the Fund was very selective within this market segment.

Market and Funds Outlook

As we look ahead, we believe the risk reward balance has improved in regard to interest rate risk, creating opportunities in the preferred and hybrid securities market. Our base case for the next 12 months is for the market to perform positively with some capital appreciation in addition to income. We believe risks from inflationary pressures, rising rates, and geopolitical conflicts are elevated, but are largely priced into the market. In our view, valuation metrics for preferred securities are at attractive levels with high yields relative to other fixed income asset classes coupled with market prices trading at historically deep discounts to par. We especially favor select longer duration variable rate securities and securities trading at deep discounts. We believe in a “pull to par” effect for many of the deeply discounted securities that have a high likelihood of trading closer to par as they approach their first call dates. The primary driver of this “pull to par” effect are variable rate securities with high resets that project much higher coupons after their first call dates.

In addition, the high quality credit fundamentals and sector concentrations in highly regulated industries could help to insulate the asset class in a recessionary environment and against current geopolitical risks. We believe U.S. and European banks are well capitalized and entering the new fiscal year from a position of strength in the face of economic headwinds, while other major sectors like Insurance, Utilities, and Real Estate Investment Trusts offer lower sensitivity to inflation.

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First Trust Exchange-Traded Fund III

Understanding Your Fund Expenses

October 31, 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 October 31, 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 May 1, 2022	Ending Account Value October 31, 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	$1,068.60	0.85%	$4.43
Hypothetical (5% return before expenses)	$1,000.00	$1,020.92	0.85%	$4.33
First Trust Institutional Preferred Securities and Income ETF (FPEI)
Actual	$1,000.00	$941.00	0.85%	$4.16
Hypothetical (5% return before expenses)	$1,000.00	$1,020.92	0.85%	$4.33

(a)	Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period).

Page 13

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments

October 31, 2022

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES – 23.8%
	Automobiles – 0.3%
705,603	Ford Motor Co.	6.50%	08/15/62	$16,087,748
	Banks – 4.4%
10,915	Atlantic Union Bankshares Corp., Series A	6.88%	(a)	259,668
360,423	Bank of America Corp., Series KK	5.38%	(a)	7,713,052
105,331	Bank of America Corp., Series LL	5.00%	(a)	2,100,300
1,371,123	Bank of America Corp., Series NN	4.38%	(a)	23,871,251
88,701	Bank of America Corp., Series SS	4.75%	(a)	1,727,895
320,641	Citizens Financial Group, Inc., Series D (b)	6.35%	(a)	7,519,031
48,593	Citizens Financial Group, Inc., Series E	5.00%	(a)	936,873
100,000	Fifth Third Bancorp, Series A	6.00%	(a)	2,184,000
886,828	First Republic Bank, Series M	4.00%	(a)	13,311,288
356,061	Fulton Financial Corp., Series A	5.13%	(a)	7,149,705
68,150	Huntington Bancshares, Inc., Series H	4.50%	(a)	1,187,173
792	JPMorgan Chase & Co., Series DD	5.75%	(a)	18,351
81,943	JPMorgan Chase & Co., Series JJ	4.55%	(a)	1,492,182
518,075	JPMorgan Chase & Co., Series LL	4.63%	(a)	9,605,111
218,650	KeyCorp, Series F	5.65%	(a)	4,622,261
152,538	Old National Bancorp, Series A	7.00%	(a)	3,927,854
1,222,469	PacWest Bancorp, Series A (b)	7.75%	(a)	30,341,681
835,910	Pinnacle Financial Partners, Inc., Series B	6.75%	(a)	20,354,409
1,705,351	Signature Bank, Series A	5.00%	(a)	30,048,285
116,076	Texas Capital Bancshares, Inc., Series B	5.75%	(a)	2,301,787
135,679	Truist Financial Corp., Series R	4.75%	(a)	2,571,117
107,837	Valley National Bancorp, Series B, 3 Mo. LIBOR + 3.58% (c)	7.25%	(a)	2,601,028
194,398	Wells Fargo & Co., Series AA	4.70%	(a)	3,489,444
83,272	Wells Fargo & Co., Series DD	4.25%	(a)	1,336,516
567,107	Wells Fargo & Co., Series Q (b)	5.85%	(a)	12,901,684
746,818	Wells Fargo & Co., Series Y	5.63%	(a)	15,929,628
391,052	Wells Fargo & Co., Series Z	4.75%	(a)	7,038,936
626,023	WesBanco, Inc., Series A (b)	6.75%	(a)	15,688,136
620,288	Western Alliance Bancorp, Series A (b)	4.25%	(a)	12,405,760
875,783	Wintrust Financial Corp., Series E (b)	6.88%	(a)	22,183,583
				266,817,989
	Capital Markets – 2.3%
136,104	Affiliated Managers Group, Inc.	5.88%	03/30/59	2,813,270
288,442	Affiliated Managers Group, Inc.	4.75%	09/30/60	4,929,474
980,305	Affiliated Managers Group, Inc.	4.20%	09/30/61	14,547,726
1,436,731	Carlyle Finance LLC	4.63%	05/15/61	22,829,656
826,758	Goldman Sachs Group (The), Inc., Series J (b)	5.50%	(a)	20,346,514
1,126,769	KKR Group Finance Co., IX LLC	4.63%	04/01/61	19,639,584
920,357	Morgan Stanley, Series P	6.50%	(a)	22,824,854
496,152	Oaktree Capital Group LLC, Series A	6.63%	(a)	11,758,802
813,527	Oaktree Capital Group LLC, Series B	6.55%	(a)	18,841,285
				138,531,165
	Consumer Finance – 0.1%
349,303	Capital One Financial Corp., Series I	5.00%	(a)	6,472,585
110,166	Capital One Financial Corp., Series J	4.80%	(a)	1,916,888
				8,389,473
	Diversified Financial Services – 0.6%
529,821	Apollo Asset Management, Inc., Series B	6.38%	(a)	11,550,098

Page 14

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

October 31, 2022

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Diversified Financial Services (Continued)
1,284,884	Equitable Holdings, Inc., Series A	5.25%	(a)	$23,924,540
				35,474,638
	Diversified Telecommunication Services – 0.7%
78,274	AT&T, Inc.	5.35%	11/01/66	1,681,326
249,322	AT&T, Inc., Series C	4.75%	(a)	4,318,257
969,955	Qwest Corp.	6.50%	09/01/56	16,634,728
1,039,347	Qwest Corp.	6.75%	06/15/57	18,708,246
				41,342,557
	Electric Utilities – 1.1%
14,925	BIP Bermuda Holdings I Ltd.	5.13%	(a)	260,441
891,011	Brookfield BRP Holdings Canada, Inc.	4.63%	(a)	12,905,047
648,305	Brookfield Infrastructure Finance ULC	5.00%	05/24/81	10,321,016
139,433	SCE Trust III, Series H (b)	5.75%	(a)	2,696,634
455,006	SCE Trust IV, Series J (b)	5.38%	(a)	8,162,808
1,000,755	SCE Trust V, Series K (b)	5.45%	(a)	19,194,481
627,885	Southern (The) Co., Series 2020A	4.95%	01/30/80	12,005,161
156,295	Southern (The) Co., Series C	4.20%	10/15/60	2,789,866
				68,335,454
	Equity Real Estate Investment Trusts – 0.6%
333	Digital Realty Trust, Inc., Series L	5.20%	(a)	6,433
850,146	Global Net Lease, Inc., Series A	7.25%	(a)	18,142,116
1,080,167	Hudson Pacific Properties, Inc., Series C	4.75%	(a)	13,728,923
957	National Storage Affiliates Trust, Series A	6.00%	(a)	20,709
31,880	PS Business Parks, Inc., Series Z	4.88%	(a)	401,688
318,431	Vornado Realty Trust, Series N	5.25%	(a)	4,938,865
				37,238,734
	Food Products – 0.8%
601,882	CHS, Inc., Series 2 (b)	7.10%	(a)	15,077,144
1,393,686	CHS, Inc., Series 3 (b)	6.75%	(a)	34,047,749
				49,124,893
	Gas Utilities – 0.3%
815,676	South Jersey Industries, Inc.	5.63%	09/16/79	14,282,487
54,298	Spire, Inc., Series A	5.90%	(a)	1,243,424
				15,525,911
	Independent Power & Renewable Electricity Producers – 0.2%
679,080	Brookfield Renewable Partners L.P., Series 17	5.25%	(a)	11,130,121
	Insurance – 6.0%
2,183,916	Aegon Funding Co., LLC	5.10%	12/15/49	42,586,362
463,083	Allstate (The) Corp. (b)	5.10%	01/15/53	11,197,347
18,254	Allstate (The) Corp., Series H	5.10%	(a)	358,691
1,896,300	American Equity Investment Life Holding Co., Series A (b)	5.95%	(a)	42,723,639
941,232	American Equity Investment Life Holding Co., Series B (b)	6.63%	(a)	21,798,933
312,756	AmTrust Financial Services, Inc.	7.25%	06/15/55	5,352,819
363,925	AmTrust Financial Services, Inc.	7.50%	09/15/55	6,368,687
24,872	Arch Capital Group Ltd., Series F	5.45%	(a)	503,907
598,334	Arch Capital Group Ltd., Series G	4.55%	(a)	10,506,745
279,359	Aspen Insurance Holdings Ltd.	5.63%	(a)	5,391,629
1,711,649	Aspen Insurance Holdings Ltd.	5.63%	(a)	32,504,215
508,376	Aspen Insurance Holdings Ltd. (b)	5.95%	(a)	11,596,057

See Notes to Financial Statements

Page 15

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

October 31, 2022

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Insurance (Continued)
612,099	Assurant, Inc.	5.25%	01/15/61	$11,525,824
826,625	Athene Holding Ltd., Series A (b)	6.35%	(a)	19,681,941
68,990	Athene Holding Ltd., Series B	5.63%	(a)	1,417,744
108,391	Athene Holding Ltd., Series D	4.88%	(a)	1,865,409
438,412	Axis Capital Holdings Ltd., Series E	5.50%	(a)	8,663,021
754,186	CNO Financial Group, Inc. (d)	5.13%	11/25/60	13,726,185
1,244,856	Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (c)	6.10%	05/15/37	27,542,439
386,476	Enstar Group Ltd., Series D (b)	7.00%	(a)	8,494,742
449,644	Globe Life, Inc.	4.25%	06/15/61	7,814,813
215,020	Phoenix Cos. (The), Inc.	7.45%	01/15/32	3,297,055
1,568,378	Prudential Financial, Inc.	5.95%	09/01/62	37,594,021
2	Reinsurance Group of America, Inc. (b)	7.13%	10/15/52	51
106,528	RenaissanceRe Holdings Ltd., Series F	5.75%	(a)	2,316,984
1,186,079	RenaissanceRe Holdings Ltd., Series G	4.20%	(a)	19,771,937
21,531	Selective Insurance Group, Inc., Series B	4.60%	(a)	360,321
314,714	W.R. Berkley Corp.	5.10%	12/30/59	6,297,427
				361,258,945
	Mortgage Real Estate Investment Trusts – 0.9%
536,098	AGNC Investment Corp., Series C, 3 Mo. LIBOR + 5.11% (c)	9.19%	(a)	12,651,913
300,285	AGNC Investment Corp., Series D (b)	6.88%	(a)	5,522,241
138,354	AGNC Investment Corp., Series E (b)	6.50%	(a)	2,711,738
670,845	AGNC Investment Corp., Series F (b)	6.13%	(a)	12,477,717
651,383	Annaly Capital Management, Inc., Series F, 3 Mo. LIBOR + 4.99% (c)	8.67%	(a)	15,691,817
279,676	Annaly Capital Management, Inc., Series I (b)	6.75%	(a)	5,822,854
				54,878,280
	Multi-Utilities – 1.7%
409,425	Algonquin Power & Utilities Corp. (b)	6.88%	10/17/78	9,191,591
538,458	Algonquin Power & Utilities Corp., Series 19-A (b)	6.20%	07/01/79	12,206,843
639,721	Brookfield Infrastructure Partners L.P., Series 13	5.13%	(a)	10,222,741
62,311	Brookfield Infrastructure Partners L.P., Series 14	5.00%	(a)	962,705
175,035	CMS Energy Corp.	5.88%	10/15/78	3,810,512
115,124	CMS Energy Corp.	5.88%	03/01/79	2,508,552
330,504	CMS Energy Corp., Series C	4.20%	(a)	5,436,791
128,700	DTE Energy Co.	4.38%	12/01/81	2,211,066
818,320	DTE Energy Co., Series E	5.25%	12/01/77	17,577,514
955,325	Integrys Holding, Inc. (b) (d)	6.00%	08/01/73	22,115,774
796,257	Sempra Energy	5.75%	07/01/79	17,294,702
				103,538,791
	Oil, Gas & Consumable Fuels – 1.4%
37,093	Enbridge, Inc., Series B (b)	6.38%	04/15/78	880,959
92,177	Energy Transfer L.P., Series C (b)	7.38%	(a)	2,064,765
2,064,508	Energy Transfer L.P., Series E (b)	7.60%	(a)	47,545,619
737,441	NuStar Energy L.P., Series A, 3 Mo. LIBOR + 6.77% (c)	10.25%	(a)	17,079,133
599,189	NuStar Logistics L.P., 3 Mo. LIBOR + 6.73% (c)	10.81%	01/15/43	14,925,798
				82,496,274
	Real Estate Management & Development – 1.4%
1,613,702	Brookfield Property Partners L.P., Series A	5.75%	(a)	24,415,311
167,079	Brookfield Property Partners L.P., Series A-1	6.50%	(a)	2,781,865
1,281,802	Brookfield Property Partners L.P., Series A2	6.38%	(a)	20,893,373
1,559,574	Brookfield Property Preferred L.P.	6.25%	07/26/81	24,360,546

Page 16

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

October 31, 2022

Shares	Description	Stated Rate	Stated Maturity	Value
$25 PAR PREFERRED SECURITIES (Continued)
	Real Estate Management & Development (Continued)
677	DigitalBridge Group, Inc., Class H	7.13%	(a)	$12,802
448,382	DigitalBridge Group, Inc., Series I	7.15%	(a)	8,523,742
41,830	DigitalBridge Group, Inc., Series J	7.13%	(a)	778,038
				81,765,677
	Thrifts & Mortgage Finance – 0.3%
659,132	New York Community Bancorp, Inc., Series A (b)	6.38%	(a)	14,098,833
73,851	Washington Federal, Inc., Series A	4.88%	(a)	1,287,223
				15,386,056
	Trading Companies & Distributors – 0.3%
462,382	Air Lease Corp., Series A (b)	6.15%	(a)	9,941,213
267,732	WESCO International, Inc., Series A (b)	10.63%	(a)	7,228,764
				17,169,977
	Wireless Telecommunication Services – 0.4%
259,030	United States Cellular Corp.	6.25%	09/01/69	5,040,724
267,143	United States Cellular Corp.	5.50%	03/01/70	4,560,131
955,053	United States Cellular Corp.	5.50%	06/01/70	16,536,743
				26,137,598
	Total $25 Par Preferred Securities			1,430,630,281
	(Cost $1,761,238,457)
$100 PAR PREFERRED SECURITIES – 0.3%
	Banks – 0.3%
28,231	AgriBank FCB (b)	6.88%	(a)	2,805,456
49,330	CoBank ACB, Series H (b)	6.20%	(a)	4,982,330
120,015	Farm Credit Bank of Texas (b) (e)	6.75%	(a)	11,971,496
				19,759,282
	Food Products – 0.0%
700	Dairy Farmers of America, Inc. (e)	7.88%	(a)	67,550
	Total $100 Par Preferred Securities			19,826,832
	(Cost $20,588,116)
$1,000 PAR PREFERRED SECURITIES – 2.8%
	Banks – 2.7%
51,461	Bank of America Corp., Series L	7.25%	(a)	59,718,432
88,218	Wells Fargo & Co., Series L	7.50%	(a)	102,820,726
				162,539,158
	Diversified Financial Services – 0.1%
7,900	Compeer Financial ACA (b) (e)	6.75%	(a)	7,860,500
	Total $1,000 Par Preferred Securities			170,399,658
	(Cost $201,128,350)
Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES – 70.0%
	Banks – 29.6%
$32,549,000	Australia & New Zealand Banking Group Ltd. (b) (e) (f)	6.75%	(a)	31,199,597
30,500,000	Banco Bilbao Vizcaya Argentaria S.A., Series 9 (b) (f)	6.50%	(a)	27,320,683
11,250,000	Banco Mercantil del Norte S.A. (b) (e) (f)	7.50%	(a)	8,792,044
15,700,000	Banco Mercantil del Norte S.A. (b) (e) (f)	7.63%	(a)	12,896,506

See Notes to Financial Statements

Page 17

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

October 31, 2022

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$21,630,000	Banco Mercantil del Norte S.A. (b) (e) (f)	8.38%	(a)	$18,841,136
35,600,000	Banco Santander S.A. (b) (f)	4.75%	(a)	25,145,288
43,200,000	Banco Santander S.A. (b) (f) (g)	7.50%	(a)	41,013,000
27,075,000	Bank of America Corp., Series RR (b)	4.38%	(a)	21,795,375
22,000,000	Bank of America Corp., Series TT (b)	6.13%	(a)	20,845,000
11,594,000	Bank of America Corp., Series X (b)	6.25%	(a)	11,315,019
13,800,000	Bank of Nova Scotia (The) (b)	4.90%	(a)	12,830,444
8,000,000	Bank of Nova Scotia (The) (b)	8.63%	10/27/82	8,046,654
3,000,000	Bank of Nova Scotia (The), Series 2 (b)	3.63%	10/27/81	2,118,904
24,300,000	Barclays PLC (b) (f)	4.38%	(a)	16,188,886
39,909,000	Barclays PLC (b) (f)	6.13%	(a)	34,670,944
5,760,000	Barclays PLC (b) (f)	7.75%	(a)	5,436,000
134,865,000	Barclays PLC (b) (f)	8.00%	(a)	127,238,101
64,400,000	Barclays PLC (b) (f)	8.00%	(a)	57,857,502
11,600,000	BBVA Bancomer S.A. (b) (e) (f)	5.88%	09/13/34	9,719,060
57,500,000	BNP Paribas S.A. (b) (e) (f)	4.63%	(a)	44,159,795
7,500,000	BNP Paribas S.A. (b) (e) (f)	4.63%	(a)	5,259,375
29,498,000	BNP Paribas S.A. (b) (e) (f)	6.63%	(a)	27,717,561
16,665,000	BNP Paribas S.A. (b) (e) (f)	7.38%	(a)	16,161,128
34,580,000	BNP Paribas S.A. (b) (e) (f)	7.75%	(a)	32,689,690
46,133,000	Citigroup, Inc. (b)	3.88%	(a)	37,990,526
13,272,000	Citigroup, Inc. (b)	5.95%	(a)	13,172,460
15,113,000	Citigroup, Inc., Series D (b)	5.35%	(a)	14,584,045
12,000,000	Citigroup, Inc., Series M (b)	6.30%	(a)	11,235,000
16,200,000	Citigroup, Inc., Series P (b)	5.95%	(a)	14,684,048
23,355,000	Citigroup, Inc., Series T (b)	6.25%	(a)	22,598,298
34,393,000	Citigroup, Inc., Series W (b)	4.00%	(a)	29,096,478
29,875,000	Citigroup, Inc., Series Y (b)	4.15%	(a)	23,384,573
6,560,000	Citizens Financial Group, Inc., Series B (b)	6.00%	(a)	6,036,124
21,030,000	Citizens Financial Group, Inc., Series G (b)	4.00%	(a)	16,713,784
18,474,000	CoBank ACB, Series I (b)	6.25%	(a)	17,688,855
35,655,000	CoBank ACB, Series K (b)	6.45%	(a)	34,674,738
11,200,000	Commerzbank AG (b) (f) (g)	7.00%	(a)	9,630,779
18,810,000	Credit Agricole S.A. (b) (e) (f)	6.88%	(a)	17,596,376
43,500,000	Credit Agricole S.A. (b) (e) (f)	8.13%	(a)	43,425,963
26,200,000	Danske Bank A.S. (b) (f) (g)	4.38%	(a)	20,992,750
21,313,000	Danske Bank A.S. (b) (f) (g)	6.13%	(a)	19,833,217
15,960,000	Danske Bank A.S. (b) (f) (g)	7.00%	(a)	14,784,785
7,650,000	Farm Credit Bank of Texas, Series 3 (b) (e)	6.20%	(a)	6,782,612
20,300,000	Farm Credit Bank of Texas, Series 4 (b) (e)	5.70%	(a)	18,349,089
8,527,000	Fifth Third Bancorp, Series H (b)	5.10%	(a)	7,787,709
1,400,000	Fifth Third Bancorp, Series L (b)	4.50%	(a)	1,288,001
12,800,000	HSBC Holdings PLC (b) (f)	4.60%	(a)	8,476,160
4,397,000	Huntington Bancshares, Inc., Series G (b)	4.45%	(a)	3,874,896
35,836,000	ING Groep N.V. (b) (f)	5.75%	(a)	30,643,507
21,579,000	ING Groep N.V. (b) (f)	6.50%	(a)	19,686,544
40,125,000	Intesa Sanpaolo S.p.A. (b) (e) (f)	7.70%	(a)	34,834,736
15,896,000	JPMorgan Chase & Co., Series Q (b)	5.15%	(a)	15,538,340
5,861,000	JPMorgan Chase & Co., Series R (b)	6.00%	(a)	5,787,738
32,100,000	Lloyds Banking Group PLC (b) (f)	6.75%	(a)	29,259,466
44,931,668	Lloyds Banking Group PLC (b) (f)	7.50%	(a)	42,944,060
42,017,000	Lloyds Banking Group PLC (b) (f)	7.50%	(a)	39,075,810
14,924,602	M&T Bank Corp. (b)	3.50%	(a)	11,104,593
7,932,000	M&T Bank Corp., Series G (b)	5.00%	(a)	7,307,355
8,500,000	NatWest Group PLC (b) (f)	6.00%	(a)	7,585,400

Page 18

See Notes to Financial Statements

Table of Contents

First Trust Preferred Securities and Income ETF (FPE)

Portfolio of Investments (Continued)

October 31, 2022

Par Amount	Description	Stated Rate	Stated Maturity	Value
CAPITAL PREFERRED SECURITIES (Continued)
	Banks (Continued)
$21,325,000	NatWest Group PLC (b) (f)	8.00%	(a)	$20,149,459
44,615,000	PNC Financial Services Group (The), Inc., Series V (b)	6.20%	(a)	42,370,865
85,600,000	Societe Generale S.A. (b) (e) (f)	5.38%	(a)	62,218,494
8,589,000	Societe Generale S.A. (b) (e) (f)	7.88%	(a)	8,383,822
11,500,000	Societe Generale S.A. (b) (e) (f)	8.00%	(a)	11,332,061
68,460,000	Standard Chartered PLC (b) (e) (f)	4.30%	(a)	45,178,635
25,600,000	Standard Chartered PLC (b) (e) (f)	6.00%	(a)	23,384,753
46,190,000	Standard Chartered PLC (b) (e) (f)	7.75%	(a)	42,321,587
48,046,398	SVB Financial Group, Series C (b)	4.00%	(a)	33,668,277
50,341,000	SVB Financial Group, Series D (b)	4.25%	(a)	33,717,337
13,000,000	Swedbank AB, Series NC5 (b) (f) (g)	5.63%	(a)	12,262,250
5,695,000	Texas Capital Bancshares, Inc. (b)	4.00%	05/06/31	4,934,970
24,600,000	Toronto-Dominion Bank (The) (b)	8.13%	10/31/82	24,955,470
5,000,000	Truist Financial Corp., Series N (b)	4.80%	(a)	4,501,250
56,950,000	UniCredit S.p.A. (b) (f) (g)	8.00%	(a)	53,426,219
4,400,000	UniCredit S.p.A. (b) (e)	7.30%	04/02/34	3,734,445
13,500,000	UniCredit S.p.A. (b) (e)	5.46%	06/30/35	10,055,827
79,980,378	Wells Fargo & Co., Series BB (b)	3.90%	(a)	67,953,329
				1,782,255,557
	Capital Markets – 9.0%
40,096,000	Apollo Management Holdings L.P. (b) (e)	4.95%	01/14/50	33,696,354
1,500,000	Bank of New York Mellon (The) Corp., Series H (b)	3.70%	(a)	1,316,882
24,740,000	Bank of New York Mellon (The) Corp., Series I (b)	3.75%	(a)	19,112,887
15,800,000	Charles Schwab (The) Corp. (b)	5.00%	(a)	14,062,000
2,000,000	Charles Schwab (The) Corp., Series H (b)	4.00%	(a)	1,488,000
63,997,000	Charles Schwab (The) Corp., Series I (b)	4.00%	(a)	52,695,130
81,425,000	Credit Suisse Group AG (b) (e) (f)	5.25%	(a)	57,882,624
1,200,000	Credit Suisse Group AG (b) (e) (f)	6.25%	(a)	1,013,110
51,775,000	Credit Suisse Group AG (b) (e) (f)	6.38%	(a)	38,752,503
76,900,000	Credit Suisse Group AG (b) (e) (f)	7.50%	(a)	68,344,875
23,400,000	Credit Suisse Group AG (b) (e) (f)	9.75%	(a)	22,279,070
77,200,000	Deutsche Bank AG, Series 2020 (b) (f)	6.00%	(a)	60,785,328
28,725,000	EFG International AG (b) (f) (g)	5.50%	(a)	22,871,563
24,875,000	Goldman Sachs Group (The), Inc., Series R (b)	4.95%	(a)	22,488,990
13,870,000	Goldman Sachs Group (The), Inc., Series T (b)	3.80%	(a)	10,681,295
40,611,000	Goldman Sachs Group (The), Inc., Series U (b)	3.65%	(a)	30,957,154

Shareholder Letter	2
Fund Performance Overview
First Trust Preferred Securities and Income ETF (FPE)	3
First Trust Institutional Preferred Securities and Income ETF (FPEI)	6
Notes to Fund Performance Overview	9
Portfolio Commentary	10
Understanding Your Fund Expenses	13
Portfolio of Investments
First Trust Preferred Securities and Income ETF (FPE)	14
First Trust Institutional Preferred Securities and Income ETF (FPEI)	24
Statements of Assets and Liabilities	30
Statements of Operations	31
Statements of Changes in Net Assets	32
Financial Highlights	33
Notes to Financial Statements	35
Report of Independent Registered Public Accounting Firm	43
Additional Information	44
Board of Trustees and Officers	52
Privacy Policy	54