The first law of thermodynamics states that the average total energy current between different reservoirs vanishes at large times. In this paper we examine this fact at the level of the full statistics of two-time measurement protocols, also known as the Full Counting Statistics. Under very general conditions, we establish a tight form of the first law asserting that the fluctuations of the total energy current computed from the energy variation distribution are exponentially suppressed in the large time limit. We illustrate this general result using two examples: the Anderson impurity model and a two-dimensional spin lattice model.