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

First Trust New York Municipal High Income ETF (FMNY)

Annual Report
For the Year Ended
July 31, 2022

Table of Contents
First Trust Exchange-Traded Fund III
Annual Report
July 31, 2022

2
Fund Performance Overview

3

6

9

10

14
Portfolio of Investments

15

24

26

27

28

29

31

39

40

46

48

Table of Contents
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 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 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 any Fund described in this report will achieve its investment objectives. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. 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 a relevant market benchmark.
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 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
July 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 12-month period ended July 31, 2022.
When it comes to investing one’s capital, it is natural to want to find some analyst, economist, or other pundit who claims to know exactly where the securities markets are headed at any given time. You can find them if you search hard enough, but watch your step. Relying on someone else’s crystal ball predictions, even if they have been fortunate enough to have made a celebrated market call or two in the past, is a fool’s errand, in my opinion. It is tough to reproduce such success. I am, as I have been for my entire career in the financial services industry, an advocate for individual investors seeking out professional assistance to help them meet their goals. If anything, the endless amounts of information flowing through the financial media via the internet and cable channels these days is likely making things more confusing for the average investor looking to get ahead. While some individuals may be adept at sifting through the noise to find those timely nuggets of information that can potentially move the markets, most are not, and one’s financial future is too important to gamble on meme stocks and black swans, in my opinion.
Having said all that, for those investors who do want to steer their own ship, there are now a plethora of packaged products available to meet almost any need or strategy, such as mutual funds, unit investment trusts and exchange-traded funds. With respect to equities, investors can choose from portfolios featuring style investing (growth and value), sectors, subsectors (i.e., Semiconductors are a subsector of the Technology sector), long/short strategies, dividend strategies and many more. There are products out there for both bullish and bearish investors. Again, for those individuals that are not savvy when it comes to investing, know that financial representatives have more of these, and other tools, at their disposal than ever before.
The markets have moved up and down in dramatic fashion in 2022. The stock market, as measured by the S&P 500® Index, declined in price by 20.80% from the close on March 23, 2022 through June 16, 2022, only to reverse course and rise by 17.41% from the close on June 16, 2022 through August 16, 2022, according to data from Bloomberg. So much for the adage “the trend is your friend.” The action in the bond market has been just as frantic. In the U.S. Treasury market, the yield on the 10-Year Treasury Note (“T-Note”) rose 114 basis points (“bps”) from the close on March 31, 2022 through June 14, 2022, only to reverse course and drop by 90 bps from the close on June 14, 2022 through August 1, 2022, according to data from Bloomberg. Suffice it to say that yield swings of this magnitude are not all that common. What is driving these divergent trading patterns? Robust inflation. The Consumer Price Index stood at 8.5% year-over-year in July 2022. A level not seen since the early 1980s. In the hopes of reducing it, the Federal Reserve (the “Fed”) is in the process of hiking interest rates and, in September, is expected to reduce the size of its balance sheet to the tune of $95 billion per month. The concern in the markets is whether or not the Fed’s tightening of monetary policy will push the U.S. economy into a serious recession. Some economists and others in the financial media believe the U.S. is already in a recession. We expect this battle (fight inflation at the expense of economic growth) to continue to play out over the coming months. Keep an eye on the 10-Year T-Note. If the yield rises moving forward, expect the stock and bond markets to struggle and vice versa. If you have not already, I encourage you to forge an investment plan and stay the course!
Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
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Table of Contents
Fund Performance Overview (Unaudited)
First Trust California Municipal High Income ETF (FCAL)
The First Trust California Municipal High Income ETF’s (the “Fund”) primary investment objective is to seek to provide current income that is exempt from regular federal income taxes and California income taxes, 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 and California income taxes (“Municipal Securities”). Municipal Securities will be issued by or on behalf of the State of California or territories or possessions of the U.S. (including but not limited to Puerto Rico, the U.S. Virgin Islands and Guam) and/or the political subdivisions, agencies, authorities and other instrumentalities of such State, territories or possessions. The Fund lists and principally trades its shares on The Nasdaq Stock Market LLC under the ticker symbol “FCAL.”
Performance  
    Average Annual
Total Returns
  Cumulative
Total Returns
  1 Year
Ended
7/31/22
5 Years
Ended
7/31/22
Inception
(6/20/17)
to 7/31/22
  5 Years
Ended
7/31/22
Inception
(6/20/17)
to 7/31/22
Fund Performance            
NAV -8.33% 2.31% 2.36%   12.11% 12.67%
Market Price -8.62% 2.24% 2.31%   11.72% 12.37%
Index Performance            
Bloomberg 10 Year California Exempt Index -6.07% 1.80% 1.82%   9.34% 9.64%
(See Notes to Fund Performance Overview on page 9.)
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust California Municipal High Income ETF (FCAL) (Continued)
Sector Allocation % of Total
Investments
(including cash)
Special Assessment 14.4%
Insured 8.9
Education 7.9
Hospital 7.7
Government Obligation Bond - Unlimited Tax 7.3
Pre-refunded/Escrowed-to-maturity 6.5
Water & Sewer 5.9
Industrial Development Bond 5.8
Airport 5.5
Continuing Care Retirement Communities 4.6
Dedicated Tax 3.7
Tobacco 3.4
Student Housing 2.2
Higher Education 2.1
Tax Increment 2.1
Certificates of Participation 2.0
Local Housing 1.8
Gas 1.6
Utility 1.2
Toll Road 1.0
Housing 0.9
Other Health 0.5
Government Obligation Bond - Limited Tax 0.4
Cash 2.6
Total 100.0%
    
Fund Allocation % of Net Assets
Municipal Bonds 98.1%
Net Other Assets and Liabilities(1) 1.9
Total 100.0%
Credit Rating(2) % of Total
Investments
(including cash)
AAA 1.8%
AA 28.8
A 24.7
BBB 13.1
BB 4.9
B 1.3
Not Rated 22.4
A1+ (Short-term) 0.4
Cash 2.6
Total 100.0%

(1) 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 California Municipal High Income ETF (FCAL) (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 index does not actually hold a portfolio of securities and therefore does 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 bonds 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.
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust New York Municipal High Income ETF (FMNY)
The First Trust New York Municipal High Income ETF’s (the “Fund”) primary investment objective is to seek to provide current income that is exempt from regular federal income taxes and New York income taxes, 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 and New York State and New York City income taxes (collectively, “Municipal Securities”). Municipal Securities will be issued by or on behalf of the State of New York or territories or possessions of the U.S. (including, but not limited to, Puerto Rico, the U.S. Virgin Islands and Guam), and/or the political subdivisions, agencies, authorities and other instrumentalities of such State, territories or possessions. The Fund lists and principally trades its shares on The NYSE Arca, Inc. under the ticker symbol “FMNY.”
Performance
    Average Annual
Total Returns
Cumulative
Total Returns
  1 Year Ended
7/31/22
Inception (5/12/21)
to 7/31/22
Inception (5/12/21)
to 7/31/22
Fund Performance      
NAV -9.66% -6.57% -7.95%
Market Price -9.73% -6.62% -8.02%
Index Performance      
Bloomberg Municipal New York 12-17 Years Index -8.05% -5.34% -6.47%
(See Notes to Fund Performance Overview on page 9.)
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Table of Contents
Fund Performance Overview (Unaudited) (Continued)
First Trust New York Municipal High Income ETF (FMNY) (Continued)
Sector Allocation % of Total
Investments
(including cash)
Dedicated Tax 15.2%
Insured 12.3
Higher Education 12.0
Hospital 7.6
Mass Transit 7.4
Pre-refunded/Escrowed-to-maturity 6.1
Water & Sewer 5.4
Education 5.2
Special Assessment 5.1
Government Obligation Bond - Limited Tax 5.1
Utility 3.6
Certificates of Participation 2.7
Government Obligation Bond - Unlimited Tax 2.6
Toll Road 2.5
Tobacco 2.4
Airport 1.4
Cash 3.4
Total 100.0%
    
Fund Allocation % of Net Assets
Municipal Bonds 97.8%
Net Other Assets and Liabilities(1) 2.2
Total 100.0%
Credit Quality(2) % of Total
Investments
(including cash)
AAA 8.0%
AA 53.2
A 17.9
BBB 9.1
Not Rated 8.4
Cash 3.4
Total 100.0%

(1) 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 New York Municipal High Income ETF (FMNY) (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 index does not actually hold a portfolio of securities and therefore does 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.
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Table of Contents
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. The total returns would have been lower if certain fees had not been waived by the Advisor.
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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Table of Contents
Portfolio Commentary
First Trust Exchange-Traded Fund III
Annual Report
July 31, 2022 (Unaudited)
Advisor
First Trust Advisors L.P. (“First Trust”) serves as the investment advisor to the First Trust California Municipal High Income ETF (“FCAL”) and the First Trust New York Municipal High Income ETF (“FMNY”) (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.
Portfolio Management Team
Johnathan N. Wilhelm, Senior Vice President, Senior Portfolio Manager
Tom Byron, Senior Vice President, Portfolio Manager
The portfolio managers are primarily and jointly responsible for the day-to-day management of the Funds. Johnathan N. Wilhelm has served as part of the portfolio management team of the Funds since 2014. Tom Byron has served as a portfolio manager of the Funds since March 2022. Effective June 30, 2022, Tom Futrell retired as a senior portfolio manager of the Funds.
Commentary
First Trust California Municipal High Income ETF (FCAL)
The Fund is an actively managed exchange-traded fund. The Fund’s primary investment objective is to seek to provide current income that is exempt from regular federal income taxes and California income taxes. The Fund’s secondary investment 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 and California income taxes (collectively, “Municipal Securities”). In addition, under normal market conditions, the Fund invests as least 50% of its net assets in Municipal Securities that are rated 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 non-investment grade. This commentary discusses the market performance and the Fund’s performance for the 12-month period ended July 31, 2022.
Market Recap
For the 12-month period ended July 31, 2022, municipal bonds generated a total return of -6.93% as measured by the Bloomberg Municipal Bond Index. During the same period, the Bloomberg 10 Year California Exempt Index (the “Benchmark”) produced a total return of -6.07%. By comparison, the Bloomberg U.S. Treasury Index generated a total return of -8.69% for the same period. The following were major factors in explaining the municipal bond market’s 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, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 basis points (“bps”) and 142 bps, respectively.
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 provided by the Investment Company Institute (“ICI”) and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion.
According to data from Municipal Market Analytics, Inc. (“MMA”), the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago.
New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by the Securities Industry and Financial Market Association (“SIFMA”), Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago.
As a result of these factors, municipal bond yields rose, credit spreads widened and municipal bond prices declined.
Performance Analysis
The Fund’s net asset value (“NAV”) and market performance for the 12-month period ended July 31, 2022 was -8.33% and -8.62%, respectively, versus the Benchmark’s return of -6.07% during the same period.
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Table of Contents
Portfolio Commentary (Continued)
First Trust Exchange-Traded Fund III
Annual Report
July 31, 2022 (Unaudited)
As of July 31, 2022, the Fund’s market price of $49.57 represented a discount of 0.28% to its NAV of $49.71. 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 distribution paid on July 29, 2022 of $0.0925 represents a tax-exempt annualized distribution rate of approximately 2.24% based on the Fund’s closing market price of $49.57 on July 31, 2022. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund.
As of July 31, 2022, the Fund’s weighted-average credit quality (approximately A-/A3) was lower than the Benchmark, which has a stated average credit rating of AA2/AA3. During the same period, the Fund’s underweight allocation to municipal bonds rated AA relative to the Benchmark was detrimental to the Fund’s performance. In addition, the Fund’s overweight allocation to bonds that were non-rated, BB rated, and A rated detracted from the Fund’s performance relative to its high average credit quality Benchmark.
As of July 31, 2022, the Fund’s average maturity was 12.0 years while the Fund’s modified and effective duration stood at 5.10 years and 6.25 years, respectively. On the same date, the Benchmark’s modified and effective durations were approximately 5.10 and 5.25 years, respectively. The biggest contributor to the Fund’s underperformance relative to the Benchmark was the Fund’s exposure to bonds with maturity dates of 18+ years to maturity. Secondarily, bonds with a maturity of 14-18 years were a detractor to the Fund’s performance. Regarding effective duration, the Fund’s overweight exposure to bonds with an effective duration of 7-10 years and 10+ years were the largest contributors to the Fund’s underperformance relative to the Benchmark.
No single sector was a primary contributor to the Fund’s underperformance relative to the Benchmark for the period ended July 31, 2022; however, the sectors with lower average credit quality such as education (charter schools), industrial development bonds and special tax bonds were detractors to the Fund’s performance. During the period, no sector was a distinctly positive contributor to the Fund’s performance.
The Fund’s use of Treasury futures was a positive contributor to the Fund’s performance for the 12-month period ended July 31, 2022.
Market Outlook
According to Fed Funds Futures (Bloomberg WIRP function), as of August 5, 2022, approximately 5.1 interest rate hikes are expected from the Federal Reserve’s (the “Fed”) September 21, 2022 meeting until their March 22, 2023 meeting. Through the remainder of 2022 and the first quarter of 2023, we expect longer U.S. Treasury rates to become range-bound. For example, regarding the 10-Year U.S. Treasury, we expect the bond to trade within a range of 2.75%-3.25% (compared with 2.65% at July 31, 2022) and would not be surprised if the yield curve inverts more significantly whereby 2-Year yields are significantly higher than 10-Year yields. We expect the Fed to raise interest rates by 50 bps at their September 21, 2022 meeting, and another 25 bps at both their November and December 2022 meetings. If these rate increases occur, the Federal Funds rate will end the year at approximately 3.25%-3.50%. Thus, we expect short term U.S. Treasury rates to be significantly higher than 10-Year Treasury rates by year-end.
Regarding municipal bonds, rates have also increased dramatically during the first seven months of 2022. As of July 31, 2022, AAA 5-Year, 10-Year, and 30-Year municipal rates have increased by approximately 120 bps, 117 bps, and 139 bps, respectively, to 1.80%, 2.21% and 2.89%, respectively. During the remainder of 2022, we believe municipal rates will become range-bound or even rally if two key events occur: (1) U.S. Treasury rates do in fact stabilize within a reasonably tight range; and (2) mutual fund/ETF outflows moderate. We believe that municipal rates and taxable equivalent yields are now attractive for high wage earners. If we see rates stabilize, we believe retail investors will begin purchasing municipal bonds more aggressively and fund outflows will moderate. One seasonal factor that should support municipal bond prices during July and August 2022 are large projected cash inflows from bond calls, sinking fund payments, maturities, plus coupon payments, which could total over $30 billion each month. For the second half of 2022, we do expect the municipal market to produce positive total returns, as we expect interest rates to become broadly stable or range-bound, and the additional coupon income generated from higher interest rates and coupon payments to offset any small declines in municipal bond prices. We especially like “A” rated municipal bonds in certain sectors which have seen distinct credit spread widening, including hospitals, airports and gas bonds.
Credit quality remains healthy in the municipal bond market. Defaults and credit rating downgrades remain favorable. Therefore, credit spreads widening or narrowing should be, in our opinion, primarily driven by the direction of U.S. Treasury rates and municipal mutual fund/ETF fund flows. However, given an expected slowdown in the U.S. economy, we anticipate focusing on municipal credits with leading market positions, growing utilization statistics, and healthy balance sheets. Within the high yield municipal universe, we plan to focus on higher credit quality securities and reduce exposure to lower rated high yield borrowers.
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
Portfolio Commentary (Continued)
First Trust Exchange-Traded Fund III
Annual Report
July 31, 2022 (Unaudited)
First Trust New York Municipal High Income ETF (“FMNY”)
The Fund is an actively managed exchange-traded fund. The Fund’s primary investment objective is to seek to provide current income that is exempt from regular federal income taxes and New York income taxes, 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 and New York State and New York City 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 investment grade at the time of purchase and no more than 50% of its net assets in Municipal Securities that at the time of investment are rated non-investment grade. This commentary discusses the market performance and the Fund’s performance for the 12-month period ended July 31, 2022.
Market Recap
For the 12-month period ended July 31, 2022, the Bloomberg Municipal New York 12-17 Years Index (the “Benchmark”) produced a total return of -8.05%. For the same period, the Bloomberg Municipal Bond Index generated a total return of -6.93%. By comparison, the Bloomberg U.S. Treasury Index generated a total return of -8.69% during the same period. The following have been major factors in explaining the municipal bond market’s 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, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 bps and 142 bps, respectively.
Large industry-wide mutual fund and ETF outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices.  According to data provided by ICI and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion.
According to data from MMI, the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago.
New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by SIFMA, Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago.
As a result of these factors, municipal bond yields rose, credit spreads widened, and municipal bond prices declined.
Performance Analysis
The Fund’s NAV and market performance for the 12-month period ended July 31, 2022, was -9.66% and -9.73%, respectively, versus the Benchmark’s return of -8.05%.
As of July 31, 2022, the Fund’s market price of $27.10 represented a discount of 0.07% to its NAV of $27.12. 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 distribution paid on July 31, 2022, of $0.055 represents a tax-exempt annualized distribution rate of 2.44% based on the Fund’s closing market price of $27.10 on July 31, 2022. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund.
The Fund’s underweight relative to the Benchmark in AA rated securities and overweight in A and BBB rated securities underperformed relative to the Benchmark. For the trailing 12 months ended July 31, 2022, the Fund’s overweight investment in non-rated, high yield municipal bonds was a positive contributor to the Fund’s performance.
Concerning yield curve positioning, the largest source of underperformance relative to the Benchmark was the Fund’s overweight to bonds with maturities of 18+ years followed by the underweight to bonds with maturities 12-18 years. The Fund’s overweight in bonds with a stated maturity of 0-2 years and 4-8 years was the largest source of outperformance for the Fund.
Regarding sector exposure, the Fund’s largest source of underperformance relative to the Benchmark was the Fund’s allocation to the Education, Utilities, and Transportation sectors. During the period, the largest sources of outperformance was the Fund’s allocation to industrial development, special tax, and local general obligation bonds.
The Fund’s use of Treasury futures was a positive contributor to the Fund’s performance for the 12-month period ended July 31, 2022.
Page 12

Table of Contents
Portfolio Commentary (Continued)
First Trust Exchange-Traded Fund III
Annual Report
July 31, 2022 (Unaudited)
Market Outlook
According to Fed Funds Futures (Bloomberg WIRP function), as of August 5, 2022, approximately 5.1 interest rate hikes are expected from the Fed’s September 21, 2022, until their March 22, 2023 meeting. Through the remainder of 2022 and the first quarter of 2023, we expect longer U.S. Treasury rates to become range-bound. For example, regarding the 10-Year U.S. Treasury, we expect the bond to trade within a range of 2.75%-3.25% (compared with 2.65% at 7-29-22) and would not be surprised if the yield curve inverts more significantly whereby 2-Year yields are significantly higher than 10-Year yields. We expect the Fed to raise rates by 50 bps at their September 21, 2022 meeting, and another 25 bps at both their November 2022 and December 2022 meetings. If these rate increases occur, the Federal Funds rate will end the year at approximately 3.25%-3.50%. Thus, we expect short term U.S. Treasury rates to be significantly higher than 10-Year Treasury rates by year-end.
Regarding municipal bonds, rates have also increased dramatically during the first seven months of 2022. As of July 31, 2022, AAA 5-Year, 10-Year, and 30-Year municipal rates have increased by approximately 120 bps, 117 bps, and 139 bps, respectively, to 1.80%, 2.21% and 2.89%, respectively. During the remainder of 2022, we believe municipal rates will become range-bound or even rally if two key events occur: (1) U.S. Treasury rates do in fact stabilize within a reasonably tight range; and (2) mutual fund/ETF outflows moderate. We believe that municipal rates and taxable equivalent yields are now attractive for high wage earners. If we see rates stabilize, we believe retail investors will begin purchasing municipal bonds more aggressively and fund outflows will moderate. One seasonal factor that should support municipal bond prices during July and August 2022 are large projected cash inflows from bond calls, sinking fund payments, maturities, plus coupon payments, which could total over $30 billion each month. For the second half of 2022, we do expect the municipal market to produce positive total returns, as we expect interest rates to become broadly stable or range-bound, and the additional coupon income generated from higher interest rates and coupon payments to offset any small declines in municipal bond prices. We especially like “A” rated municipal bonds in certain sectors which have seen distinct credit spread widening, including hospitals, airports, and gas bonds.
Credit quality remains healthy in the municipal bond market. Defaults and credit rating downgrades remain favorable. Therefore, credit spreads widening or narrowing should be, in our opinion, primarily driven by the direction of U.S. Treasury rates and municipal mutual fund/ETF fund flows. However, given an expected slowdown in the U.S. economy, we anticipate focusing on municipal credits with leading market positions, growing utilization statistics, and healthy balance sheets. Within the high yield municipal universe, we plan to focus on higher credit quality securities and reduce exposure to lower rated high yield borrowers.
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.
Page 13

Table of Contents
First Trust Exchange-Traded Fund III
Understanding Your Fund Expenses
July 31, 2022 (Unaudited)
As a shareholder of First Trust California Municipal High Income ETF or First Trust New York Municipal High 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 July 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
February 1, 2022
Ending
Account Value
July 31, 2022
Annualized
Expense Ratio
Based on the
Six-Month
Period (a)
Expenses Paid
During the
Six-Month
Period (b)
First Trust California Municipal High Income ETF (FCAL)
Actual $1,000.00 $945.60 0.50% $2.41
Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51
First Trust New York Municipal High Income ETF (FMNY)
Actual $1,000.00 $939.30 0.50% $2.40
Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51
    
(a) These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period).
Page 14

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS – 98.1%
    California – 92.7%            
$150,000  
Alameda CA Corridor Transprtn Auth Rev Ref Subord Lien, Ser A

  5.00%   10/01/25   $161,634
215,000  
Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref

  5.00%   06/01/35   234,253
525,000  
Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt

  4.00%   09/01/34   528,269
100,000  
Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F

  4.00%   09/01/33   100,737
175,000  
Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F

  4.00%   09/01/34   175,708
330,000  
Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F

  4.00%   09/01/36   329,913
620,000  
Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F

  4.00%   09/01/40   608,916
1,000,000  
CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 (Mandatory put 08/01/28)

  4.00%   05/01/53   1,040,423
20,000  
CA Cmnty Choice Fing Auth Green Bd Clean Energy Proj Rev, Ser A (Mandatory put 12/01/27)

  4.00%   10/01/52   20,700
475,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A

  5.00%   06/01/31   531,563
200,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A

  4.00%   06/01/35   204,588
665,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A

  5.00%   06/01/32   736,990
200,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A

  5.00%   06/01/33   220,490
200,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A

  4.00%   06/01/35   204,395
200,000  
CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A

  4.00%   06/01/39   202,088
430,552  
CA Hsg Fin Agy Muni Ctfs, Ser A

  4.25%   01/15/35   438,366
360,000  
CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A

  4.00%   10/15/27   375,440
360,000  
CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A

  4.00%   10/15/28   374,017
290,000  
CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a)

  5.00%   11/15/36   295,372
250,000  
CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a)

  5.00%   11/15/56   242,798
750,000  
CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 ENSO Vlg Proj, Ser B-2 (a)

  2.38%   11/15/28   705,173
255,000  
CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser A (a)

  5.00%   07/01/30   268,095
200,000  
CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (a)

  4.50%   07/01/26   209,964
505,000  
CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a)

  5.00%   07/01/34   521,708
105,000  
CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a)

  5.00%   07/01/26   113,895
105,000  
CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a)

  5.00%   07/01/27   115,514
400,000  
CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a)

  5.00%   07/01/39   426,776
675,000  
CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a)

  4.00%   07/01/48   593,914
200,000  
CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a)

  4.00%   07/01/25   201,748
200,000  
CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a)

  5.00%   07/01/32   205,066
650,000  
CA Sch Fin Auth Sch Fac Rev, Ser A (a)

  5.00%   07/01/40   666,384
1,000,000  
CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj

  4.00%   11/01/37   1,025,473
100,000  
CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A

  5.00%   08/01/35   105,387
100,000  
CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A

  5.00%   08/01/40   104,351
165,000  
CA St Hlth Fac Fing Auth Rev St Joseph Hlth Sys, Ser A

  5.00%   07/01/29   170,171
30,000  
CA St Hlth Facs Fing Auth Rev El Camino Hosp

  5.00%   02/01/33   32,960
1,000,000  
CA St Hlth Facs Fing Auth Rev Ref Commonspirit Hlth, Ser A

  4.00%   04/01/36   1,023,957
220,000  
CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B

  5.00%   11/15/33   237,922
250,000  
CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A

  5.00%   11/15/30   276,820
875,000  
CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A

  5.00%   11/15/35   955,595
See Notes to Financial Statements
Page 15

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$500,000  
CA St Infra & Econ Dev Bank Natl Chrt Social Bond Equity Sch Revolving Fund, Ser B

  4.00%   11/01/39   $500,462
250,000  
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (b)

  5.38%   07/01/34   256,635
250,000  
CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c)

  5.38%   07/01/34   254,188
900,000  
CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a)

  5.00%   10/01/39   901,968
200,000  
CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a)

  4.00%   07/01/26   199,492
450,000  
CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a)

  5.00%   07/01/38   458,202
250,000  
CA St Muni Fin Auth Chrt Sch Rev, Ser A (a)

  5.50%   06/01/38   257,714
605,000  
CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A

  5.25%   08/15/49   618,223
295,000  
CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B

  4.00%   08/15/41   283,788
435,000  
CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B

  4.00%   08/15/51   398,943
155,000  
CA St Muni Fin Auth Rev Ref Biola Univ

  5.00%   10/01/37   164,993
225,000  
CA St Muni Fin Auth Rev Ref CA Lutheran Univ

  5.00%   10/01/30   246,278
225,000  
CA St Muni Fin Auth Rev Ref CA Lutheran Univ

  5.00%   10/01/32   244,160
675,000  
CA St Muni Fin Auth Rev Ref CA Lutheran Univ

  5.00%   10/01/33   729,732
475,000  
CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A

  5.00%   02/01/36   508,428
200,000  
CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A

  5.00%   07/01/32   214,215
400,000  
CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A

  5.00%   07/01/34   426,006
250,000  
CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B

  5.00%   01/01/33   269,083
1,080,000  
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A

  4.00%   10/01/34   1,097,083
500,000  
CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A

  4.00%   10/01/36   505,997
110,000  
CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A

  5.00%   11/15/26   120,062
435,000  
CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A

  5.00%   11/15/27   481,854
575,000  
CA St Muni Fin Auth Rev Ref Southwestern Law Sch

  4.00%   11/01/41   564,800
625,000  
CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 01/17/23)

  2.35%   07/01/51   625,134
1,140,000  
CA St Muni Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj, Ser A, AMT (Mandatory put 10/01/2029)

  2.40%   10/01/44   1,075,689
1,200,000  
CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT

  4.00%   07/15/29   1,202,148
500,000  
CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj

  5.00%   11/15/49   517,864
615,000  
CA St Muni Fin Auth Sr Living Rev Temps 50 Mt San Antonio Gardens Proj, Ser B-2

  2.13%   11/15/26   580,425
550,000  
CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj

  5.00%   05/15/27   594,091
1,000,000  
CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj

  5.00%   05/15/38   1,051,631
350,000  
CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj

  5.00%   05/15/40   366,883
75,000  
CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj TCRS, BAM-TCRS

  5.00%   05/15/29   83,069
600,000  
CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT

  3.38%   07/01/25   603,886
1,000,000  
CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 11/01/22) (a)

  2.00%   08/01/23   1,000,000
150,000  
CA St Poll Control Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj Remk, Ser C (Mandatory put 06/03/24)

  3.25%   12/01/27   151,761
Page 16
See Notes to Financial Statements

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$1,000,000  
CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (a)

  5.00%   07/01/37   $1,004,371
15,000  
CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B

  5.00%   06/01/34   16,064
175,000  
CA St Pub Wks Brd Lease Rev Ref, Ser B

  5.00%   10/01/26   197,311
125,000  
CA St Pub Wks Brd Lease Rev Ref, Ser F

  5.00%   05/01/24   132,227
100,000  
CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A

  5.00%   09/01/27   106,426
75,000  
CA St Ref

  4.00%   09/01/32   79,414
75,000  
CA St Ref

  4.00%   08/01/34   78,395
155,000  
CA St Ref

  4.00%   09/01/35   161,735
1,000,000  
CA St Ref

  5.00%   11/01/39   1,130,383
200,000  
CA St Ref Various Purp

  4.00%   09/01/33   210,515
275,000  
CA St Ref Various Purp

  4.00%   09/01/35   286,950
100,000  
CA St Ref Various Purp

  5.00%   10/01/35   109,385
565,000  
CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a)

  5.00%   06/01/30   588,304
335,000  
CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a)

  5.00%   06/01/40   340,724
600,000  
CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a)

  4.00%   07/01/30   588,804
600,000  
CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a)

  5.00%   07/01/40   613,071
700,000  
CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a)

  5.00%   10/01/32   752,692
300,000  
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b)

  5.00%   06/01/37   310,776
100,000  
CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a)

  5.00%   06/01/25   105,346
210,000  
CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a)

  5.00%   06/01/31   220,686
245,000  
CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A

  5.00%   04/01/27   268,723
50,000  
CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A

  4.00%   04/01/32   51,000
50,000  
CA St Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS

  5.00%   08/15/33   54,316
500,000  
CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1

  4.00%   09/01/41   481,592
200,000  
CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC

  5.00%   05/15/30   209,889
280,000  
CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC

  5.00%   05/15/35   290,828
1,170,000  
CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C-1

  4.00%   09/02/31   1,175,489
705,000  
CA Stwd Cmntys Dev Auth Rev Kaiser Permanente J Remk, Ser 2004 (Mandatory put 11/01/2029)

  5.00%   04/01/36   830,713
600,000  
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a)

  5.00%   12/01/30   621,193
300,000  
CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a)

  5.00%   12/01/33   309,877
150,000  
CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a)

  3.00%   11/01/22   150,110
250,000  
CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a)

  5.00%   11/01/32   265,971
50,000  
CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A

  5.00%   04/01/30   54,277
175,000  
CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A

  5.00%   04/01/31   189,396
190,000  
CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W A Remk, Ser 2007 (Mandatory put 03/01/27)

  5.00%   03/01/37   207,750
125,000  
Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Camarillo Corridor Proj, AGM

  5.00%   09/01/25   132,703
240,000  
Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM

  5.00%   09/01/28   266,096
305,000  
Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM

  5.00%   09/01/30   335,958
See Notes to Financial Statements
Page 17

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$400,000  
Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM

  4.00%   09/01/34   $426,982
450,000  
Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7

  5.00%   09/01/31   496,170
425,000  
Chino Vly CA Unif Sch Dist, Ser B

  5.00%   08/01/36   494,261
250,000  
Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM

  5.00%   06/01/31   278,087
250,000  
Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM

  4.00%   06/01/35   260,614
200,000  
Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM

  4.00%   06/01/36   207,194
210,000  
Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM

  5.00%   08/01/32   230,682
2,000,000  
CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link Glendale Social Bonds, Ser A-2 (a)

  4.00%   07/01/56   1,571,670
175,000  
Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM

  4.00%   09/01/33   182,997
180,000  
Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM

  4.00%   09/01/34   187,525
200,000  
Del Mar CA Union Sch Dist Spl Tax Ref

  4.00%   09/01/33   202,093
300,000  
Del Mar CA Union Sch Dist Spl Tax Ref

  4.00%   09/01/34   302,137
270,000  
Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM

  4.00%   01/01/32   290,699
150,000  
Dinuba CA Jt Unif Sch Dist, COPS, AGM

  4.00%   02/01/35   156,276
920,000  
E Bay CA Muni Util Dist Wtr Sys Rev Green Bond, Ser A

  5.00%   06/01/38   1,052,891
755,000  
El Dorado CA Irr Dist Rev Ref, Ser C

  4.00%   03/01/34   787,516
1,450,000  
Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1

  4.00%   09/01/50   1,343,085
300,000  
Estrn CA Muni Wtr Dist Wtr & Wstwtr Rev Sub Ref, Ser A

  5.00%   07/01/31   330,840
350,000  
Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini

  5.00%   09/01/32   379,362
155,000  
Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada

  5.00%   09/01/29   169,976
525,000  
Fontana CA Spl Tax Spl Tax, Summit at Rosena Phase One

  4.00%   09/01/41   507,001
240,000  
Fontana CA Spl Tax Spl Tax, The Meadows

  4.00%   09/01/32   243,184
165,000  
Fontana CA Unif Sch Dist Unrefunded, AGM

  (d)   02/01/33   117,046
500,000  
Foothill Estrn Transprtn Corridor Agy CA Toll Road Rev Cap Apprec Sr Lien, Ser A

  (d)   01/01/23   496,912
310,000  
Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A

  4.00%   11/01/29   328,547
140,000  
Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM

  5.00%   04/01/32   154,728
1,000,000  
Fresno CA Uni Sch Dist, Ser A

  4.00%   08/01/45   1,015,976
280,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Asset Bkd, Ref, Ser A

  3.25%   06/01/32   291,830
100,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A

  5.00%   06/01/29   102,902
340,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1

  5.00%   06/01/26   381,181
1,250,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1

  5.00%   06/01/29   1,436,124
750,000  
Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1

  5.00%   06/01/34   877,447
145,000  
Golden W CA Schs Fing Auth Ref Beverly Hills Unif Sch Dist, NATL-RE

  5.25%   08/01/23   150,431
265,000  
Imperial CA Pub Fing Auth Rev Ref, AGM

  4.00%   10/15/33   286,664
360,000  
Imperial CA Pub Fing Auth Rev Ref, AGM

  4.00%   10/15/35   380,733
140,000  
Inglewood CA Unif Sch Dist, Ser C, BAM

  4.00%   08/01/35   145,978
960,000  
Irvine CA Impt Bond Act 1915 Ref

  4.00%   09/02/35   978,961
150,000  
Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C

  5.00%   09/01/31   162,980
890,000  
Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM

  4.00%   09/01/34   950,034
290,000  
Kaweah CA Delta Hlthcare Dist Rev, Ser B

  5.00%   06/01/40   301,761
100,000  
Kern Cnty CA Wtr Agy Impt Dist #4 Wtr Rev Ref, Ser A, AGM

  5.00%   05/01/29   110,362
Page 18
See Notes to Financial Statements

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$485,000  
King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC

  (d)   08/01/29   $395,111
25,000  
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs

  4.00%   09/01/33   25,207
25,000  
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs

  4.00%   09/01/34   25,113
200,000  
Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs

  4.00%   09/01/40   195,676
1,055,000  
Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj

  4.00%   06/01/35   1,117,185
200,000  
Long Beach CA Arpt Rev Ref, Ser A, AGM

  5.00%   06/01/30   235,295
500,000  
Long Beach CA Arpt Rev, Sec C, AMT, AGM

  5.25%   06/01/47   551,910
100,000  
Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A

  5.25%   11/15/23   103,378
750,000  
Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A

  5.50%   11/15/30   856,377
720,000  
Long Beach CA Cmnty Clg Dist 2016 Election, Ser B

  4.00%   08/01/41   733,031
190,000  
Los Angeles CA Cmnty Clg Dist, Ser G

  4.00%   08/01/30   198,887
460,000  
Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT

  5.00%   05/15/32   516,151
700,000  
Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT

  5.00%   05/15/31   754,111
250,000  
Los Angeles CA Dept of Arpts Arpt Rev Subord Los Angeles Intl Arpt, Ser F, AMT

  5.00%   05/15/32   280,517
10,000  
Los Angeles CA Dept of Arpts, Ser E

  5.00%   05/15/28   10,783
1,000,000  
Los Angeles CA Dept of Wtr & Pwr Wtrwks Rev, Ser A

  5.00%   07/01/48   1,103,639
1,500,000  
Los Angeles CA Dept Wtr & Pwr Rev Ref Var Pwr Sys Subser A 3 Remk (e)

  1.50%   07/01/35   1,500,000
340,000  
Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B

  4.00%   11/01/37   349,969
500,000  
Los Angeles CA Unif Sch Dist, Ser C

  4.00%   07/01/36   528,667
410,000  
Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt

  3.13%   09/02/32   411,008
100,000  
Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B

  5.00%   09/01/27   109,605
250,000  
Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B

  5.00%   09/01/33   269,438
250,000  
Marina Coast CA Wtr Dist Enterprise Rev, COPS

  4.00%   06/01/35   264,736
310,000  
Marina Coast CA Wtr Dist Enterprise Rev, COPS

  4.00%   06/01/36   325,296
1,190,000  
Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM

  4.00%   06/01/39   1,222,753
245,000  
Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1

  5.00%   09/01/34   266,182
500,000  
Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1

  5.00%   09/01/44   535,360
100,000  
Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2

  5.00%   09/01/27   105,471
200,000  
Morongo Band of Mission Indians CA Rev Ref, Ser B (a)

  5.00%   10/01/42   215,231
225,000  
Mt San Antonio CA Cmnty Clg Dist Election 2018, Ser A

  4.00%   08/01/22   225,000
1,115,000  
Natomas CA Unif Sch Dist, AGM

  3.00%   08/01/36   1,049,908
250,000  
Norco CA Spl Tax Ref Norco Ridge Ranch, BAM

  5.00%   09/01/32   279,421
750,000  
Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A

  4.00%   11/01/36   683,171
405,000  
Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM

  4.00%   08/01/36   426,876
100,000  
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac

  4.00%   09/01/34   100,454
65,000  
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac

  4.00%   09/01/35   65,131
275,000  
Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac

  4.00%   09/01/39   271,106
650,000  
Palm Desert CA Spl Tax Ref Univ Park

  4.00%   09/01/51   597,057
250,000  
Palomar Hlth CA Rev Ref

  5.00%   11/01/31   266,153
250,000  
Pleasant Vly CA Sch Dist Ventura Cnty, Ser B

  4.00%   08/01/39   258,384
500,000  
Pleasant Vly CA Sch Dist Ventura Cnty, Ser B

  4.00%   08/01/40   514,054
750,000  
Pleasanton CA Unif Sch Dist

  3.00%   08/01/36   715,436
210,000  
Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208

  5.00%   09/01/33   228,952
See Notes to Financial Statements
Page 19

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$220,000  
Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208

  5.00%   09/01/34   $239,286
340,000  
Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208

  5.00%   09/01/39   367,048
200,000  
Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area

  5.00%   09/01/25   214,598
500,000  
River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts

  5.00%   09/01/40   534,123
300,000  
River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1

  5.38%   09/01/31   306,973
575,000  
Riverside CA Unif Sch Dist Election of 2016, Ser B

  3.00%   08/01/38   531,214
185,000  
Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM

  5.00%   09/01/34   196,754
550,000  
Riverside Cnty CA Teeter Plan Oblig Nts, Ser A

  0.50%   10/20/22   548,943
1,035,000  
Riverside Cnty CA Transprtn Commn Toll Rev Ref, Sr Lien, RCTC 91 Express Lanes, Ser B-1

  4.00%   06/01/40   1,051,822
185,000  
Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac

  5.00%   09/01/32   201,935
160,000  
Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac

  5.00%   09/01/33   174,117
170,000  
Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac

  4.00%   09/01/34   173,109
150,000  
Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac

  4.00%   09/01/35   152,402
225,000  
Roseville CA Spl Tax Vlg CFD #1

  4.00%   09/01/33   228,952
200,000  
Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a)

  5.00%   09/01/32   212,771
500,000  
Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C

  5.00%   06/01/32   560,188
1,000,000  
Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT

  5.00%   07/01/38   1,088,847
200,000  
San Bruno CA Park Sch Dist, Ser B

  4.00%   08/01/37   207,390
1,000,000  
San Diego CA Pub Fac Fing Auth Swr Rev Subord, Ser A

  5.00%   05/15/47   1,157,102
1,075,000  
San Diego CA Pub Fac Fing Auth Wtr Rev, Ser A

  5.00%   08/01/41   1,161,981
35,000  
San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A

  5.00%   11/01/25   38,444
510,000  
San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A

  5.00%   11/01/28   558,466
1,150,000  
San Diego Cnty CA Regl Arpt Auth Arpt Rev Amt Sr, Ser B, AMT

  5.00%   07/01/38   1,184,444
350,000  
San Diego Cnty CA Regl Arpt Auth Arpt Rev Ref Sub Rev, Ser A

  5.00%   07/01/30   390,029
130,000  
San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A

  5.00%   07/01/39   145,812
1,000,000  
San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT

  5.00%   07/01/34   1,119,190
260,000  
San Diego Cnty CA Regl Transprtn Commn Sales Tax Rev, Ser A Ref Sub

  5.00%   10/01/22   261,617
125,000  
San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A

  4.00%   09/01/32   125,938
85,000  
San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A

  4.00%   09/01/33   85,209
100,000  
San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A

  4.00%   09/01/34   99,774
500,000  
San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A

  4.00%   07/01/36   522,764
140,000  
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser 2020A, AMT

  5.00%   05/01/37   154,146
2,000,000  
San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser A, AMT

  5.00%   05/01/35   2,253,449
500,000  
San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No 2020-1 Mission Rock Facs & Svcs, Ser A (a)

  4.00%   09/01/46   472,533
Page 20
See Notes to Financial Statements

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    California (Continued)            
$100,000  
San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A

  5.00%   08/01/35   $107,960
175,000  
San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL-RE

  (d)   01/15/29   140,764
1,500,000  
San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A

  5.00%   01/15/29   1,619,452
1,500,000  
Sanger CA Fing Auth Wstwtr Rev Ref, AGM

  5.00%   06/15/34   1,613,652
800,000  
Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a)

  4.00%   09/01/35   801,442
175,000  
Simi Vly CA Unif Sch Dist, Ser B

  4.00%   08/01/33   186,472
740,000  
Simi Vly CA Unif Sch Dist, Ser B

  4.00%   08/01/38   761,274
305,000  
Tahoe-Truckee CA Unif Sch Dist, COPS, BAM

  4.00%   06/01/37   313,740
260,000  
Tahoe-Truckee CA Unif Sch Dist, COPS, BAM

  4.00%   06/01/39   265,154
150,000  
Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1

  5.00%   09/01/32   161,996
400,000  
Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM

  5.00%   09/01/34   422,534
500,000  
Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1

  5.00%   09/01/31   540,669
230,000  
Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp, Ser A, Class 1

  5.00%   06/01/30   255,426
1,000,000  
Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp, Ser A, Class 1

  5.00%   06/01/37   1,085,996
250,000  
Tracy CA Cmnty Facs Dist

  5.00%   09/01/33   269,207
525,000  
Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A

  5.00%   10/01/33   606,338
945,000  
Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A

  5.00%   10/01/39   1,057,984
850,000  
Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A

  5.00%   09/01/35   897,846
1,500,000  
Univ of California CA Rgts Med Center Pooled Rev, Ser P

  5.00%   05/15/37   1,757,031
100,000  
W Contra Costa CA Unif Sch Dist Ref, Ser A

  5.00%   08/01/31   108,206
        112,825,422
    Colorado – 0.4%            
500,000  
Willow Bend Met Dist CO Sr, Ser A

  5.00%   12/01/39   500,868
    Florida – 0.3%            
105,000  
Parkland Preserve CDD FL Spl Assmnt Rev, Ser A

  4.50%   05/01/24   106,098
245,000  
Rhodine Road N CDD FL Spl Assmnt

  4.00%   05/01/30   243,504
        349,602
    Georgia – 0.4%            
500,000  
Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc

  5.00%   07/01/42   510,840
    Guam – 0.8%            
100,000  
Guam Govt Busn Privilege Tax Rev Ref, Ser D

  5.00%   11/15/32   105,976
750,000  
Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A

  5.00%   01/01/50   800,266
        906,242
    Illinois – 0.1%            
135,000  
Chicago IL Ref, Ser C, CABS

  (d)   01/01/24   129,153
    Louisiana – 0.7%            
750,000  
Saint James Parish LA Rev Var Nustar Logistics LP Proj, Ser 2008 (Mandatory put 06/01/30) (a)

  6.10%   06/01/38   846,341
    Ohio – 0.5%            
650,000  
Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2

  5.00%   06/01/55   649,998
See Notes to Financial Statements
Page 21

Table of Contents
First Trust California Municipal High Income ETF (FCAL)
Portfolio of Investments (Continued)
July 31, 2022
Principal
Value
  Description   Stated
Coupon
  Stated
Maturity
  Value
MUNICIPAL BONDS (Continued)
    Puerto Rico – 1.6%            
$1,295,000  
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1

  4.50%   07/01/34   $1,313,215
629,000  
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS

  (d)   07/01/29   487,039
144,000  
Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2

  4.33%   07/01/40   142,921
        1,943,175
    Texas – 0.3%            
370,000  
Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT

  5.00%   07/15/27   384,893
    Utah – 0.3%            
500,000  
Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2

  4.00%   06/01/52   388,209
    
Total Investments – 98.1%

  119,434,743
  (Cost $123,128,066)    
 
Net Other Assets and Liabilities – 1.9%

  2,343,452
 
Net Assets – 100.0%

  $121,778,195
Futures Contracts (See Note 2D - Futures Contracts in the Notes to Financial Statements):
Futures Contracts   Position   Number of
Contracts
  Expiration
Date
  Notional
Value
  Unrealized
Appreciation
(Depreciation)/
Value
U.S. Treasury Long Bonds   Short   8   Sep 2022   $ (1,152,000)   $(34,688)
Ultra 10-Year U.S. Treasury Notes   Short   40   Sep 2022   (5,250,000)   (177,734)