Form N-CSRS FIRST TRUST HIGH INCOME For: Apr 30

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Portfolio of Investments	10
Statement of Assets and Liabilities	23
Statement of Operations	24
Statements of Changes in Net Assets	25
Statement of Cash Flows	26
Financial Highlights	27
Notes to Financial Statements	28
Additional Information	36

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 MacKay Shields LLC (“MacKay” 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 First Trust High Income Long/Short Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/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 the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Principal Risks” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.

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

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of a relevant market benchmark.

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

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Letter from the Chairman and CEO

April 30, 2022

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the First Trust High Income Long/Short Fund (the “Fund”), which contains detailed information about the Fund for the six months ended April 30, 2022.

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

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

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

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

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

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE”

As of April 30, 2022 (Unaudited)

(1)	Most recent distribution paid or declared through April 30, 2022. Subject to change in the future.

(2)	Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of April 30, 2022. Subject to change in the future.

(3)

Total return is based on the combination of reinvested dividend, capital gain, and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

Page 2

First Trust High Income Long/Short Fund (FSD)

“AT A GLANCE” (Continued)

As of April 30, 2022 (Unaudited)

Page 3

Portfolio Commentary

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

Advisor

First Trust Advisors L.P. (“First Trust” or the “Advisor”) serves as the investment advisor to the First Trust High Income Long/Short Fund (the “Fund”). First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund.

Sub-Advisor

MacKay Shields LLC, Sub-Advisor to the Fund, was founded in 1938 and became a registered investment advisor in 1969. As of April 30, 2022, MacKay had approximately $144.3 billion in assets under management.

FSD Portfolio Management Team

Eric Gold – Senior Managing Director, Head of Global Credit

Matthew Jacob – Managing Director, Global Credit

Shu-Yang Tan, CFA – Managing Director, Global Credit

Market Recap

This report covers the Fund for the six-month period ending April 30, 2022.

•	The year 2021 closed with somewhat tempered concerns regarding inflation and the likelihood of a hawkish Federal Reserve (the “Fed”); however, 2022 opened with heightened anxieties around the Fed’s plan for managing U.S. inflation. Geopolitical risks, primarily the Russia-Ukraine war, which developed and continues, have also weighed on markets during the period.
•	Given the rise in U.S. inflation, the Fed shifted from accommodative to tighter monetary policies and raised short-term interest rates in March 2022, the first rate increase since December 2018. Yields along the U.S. treasury curve rose significantly, with the largest increase at the front end of the curve.
•	Elevated volatility and negative returns were experienced across risk assets and most asset classes during the period. U.S. equity markets, as measured by the S&P 500® Index, sharply declined, losing  -9.6% over the last six months. Alternatively in commodity markets, oil prices rose significantly over the period, both in the U.S. and globally, given the risk to supply from the Russia-Ukraine conflict. According to Bloomberg, both West Texas Intermediate and Brent crude oil increased by over 25% since the end of October 2021, closing at $104.69 and $109.34, respectively.
•	The U.S. labor market remains strong. According to the U.S. Bureau of Labor Statistics’ monthly jobs report, U.S. labor markets nonfarm payroll employment rose by 2.1 million year-to-date and the unemployment rate decreased to 3.60% in April 2022.
•	Global manufacturing activity, as measured by IHS Markit’s JPM Global Manufacturing PMI, has slowed, finishing at 52.19 in April 2022 and down from 52.24 at the end of October 2021. Export activity has fallen globally. China’s manufacturing companies, as measured by Caixin China PMI, signaled continued deterioration, driven by slowdown in composite output and business activity.

Page 4

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

Performance Analysis

		Average Annual Total Returns
	6 Months Ended 4/30/22	1 Year Ended 4/30/22	5 Years Ended 4/30/22	10 Years Ended 4/30/22	Inception (9/27/10) to 4/30/22
Fund Performance*
NAV	-9.42%	-7.23%	3.83%	5.79%	5.79%
Market Value	-16.47%	-9.59%	2.91%	4.93%	4.54%
Index Performance
ICE BofA US High Yield Constrained Index	-7.21%	-4.96%	3.54%	5.19%	5.72%

During the six-month period ending April 30, 2022, U.S. high yield spreads widened by 82 basis points (“bps”) to 397 bps over Treasuries according to ICE Data. With the overall U.S. high yield index down -7.2% for the period, all rating categories delivered negative returns. BB-rated bonds, the most rate sensitive, returned -8.1%, while single-B’s outpaced all quality segments with a return of -5.8%. CCC-rated bonds declined -7.5%, while distressed credits delivered the worst results, with a return of -13.5%.

*

Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year.

Page 5

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

Past performance is no guarantee of future results.

Source: BB, ICE BofA BB U.S. High Yield Index
²B, ICE BofA Single-B U.S. High Yield Index³

CCC and Lower, ICE BofA CCC & Lower U.S. High Yield Index⁴
Distressed, ICE BofA U.S. Distressed High Yield Index⁵

It is not possible to invest directly in an index. Please see footnotes and Important Disclosures for information related to comparisons to an index, index descriptions and ICE BofA credit ratings disclosure. Past performance is not indicative of future results.

The market environment over the six-month period ended April 30, 2022 was highly focused on inflation and the anticipation of multiple rate hikes for the year ahead by the Fed. Market volatility escalated during the period with geopolitical pressure stemming from the Russia-Ukraine conflict which developed into a full-blown war in the latter part of February 2022. Supply chain disruptions, impacted from the conflict and the coronavirus (“COVID-19”) shut down in China, also added market pressures. As expected, the Fed raised its target for short-term interest rates by 25 bps from 0.25% to 0.50% at the March 2022 meeting of the Federal Open Market Committee (“FOMC”). This is the first rate increase since December 2018 and is being done to combat inflation, which increased to 8.3% in April 2022, well above the Fed’s 2% target and in the midst of a tight labor market. Following the 25 bps increase in March 2022, investors remained largely focused on the size of the Fed’s expected rate increase at the FOMC’s meeting in early May 2022 and their ability to execute a “soft-landing” in controlling inflation and avoiding a recession. With inflation currently running at three times the Fed’s target, Fed Chairman Jerome Powell indicated in April 2022 that moving at a faster pace would be appropriate and that a 50 bps increase would be “on the table” at the May meeting; this would be the first half-point rate increase in two decades, since May 2000. Adding to U.S. inflationary pressures is the current COVID-19 outbreak in China. The country’s zero tolerance COVID-19 stance, with lockdowns in Shanghai along with other parts of the country, has impacted the country’s energy and commodity markets along with global supply chains, which have contributed to higher prices globally. The Russia-Ukraine war, now in its third month and with no end in sight, continues to threaten the outlook for global economic growth and has also exacerbated the supply and demand imbalances. Given all of these factors, interest rate driven volatility persisted as yields significantly rose across the curve. The 2-Year U.S. Treasury yield increased by 222 bps to close the month at 2.72%. The 10-Year U.S. Treasury yield, a key indicator of mortgage rates and other instruments, rose by 138 bps, closing April 2022 at 2.93%. Similarly, the yield of the 30-Year U.S. Treasury increased by 100 bps to 2.94%, closing the period in line with the 10-Year U.S. Treasury. Turning to U.S. high yield, all sectors within the market declined during the period. The Energy, Transportation, and Leisure, all re-opening themed sectors, were the top industry performers. Given the healthy U.S. consumer, these sectors advanced due to resumed travel and leisure activities. The Energy sector continues to benefit from the increase in oil prices and risk to supply from the Russia-Ukraine conflict. The Banking sector was the worst performer, resulting from the movement in rates given the sector’s longer duration composition.

Page 6

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

Looking at high yield market activity, the asset class experienced net outflows of $32.0 billion year-to-date, largely exceeding the outflows for the same time frame last year ($7.4 billion) and for the full calendar year of 2021 ($13.2 billion). Given the volatile environment, high yield new issuance has been slow in 2022 with $57.4 billion coming to market, significantly lagging new issuance for the same year-to-date time frame in 2021 ($207.1 billion). Alternatively, the loan market continues to experience inflows and much stronger issuance compared to high yield. Loans have benefitted from investor demand for floating rate instruments, receiving $23.7 billion in inflows over the last four months. Loan new issuance has totaled $147.4 billion year-to-date. Although returns of U.S. high yield have declined in 2022, defaults remain low with $2.5 billion in high yield bond and loan defaults and $7.1 billion in distressed exchanges this year (JP Morgan).

Turning to performance, the Fund had a net asset value total return** of -9.42% and a market value total return** of -16.47% for the six-month period ended April 30, 2022, underperforming the ICE BofA US High Yield Constrained Index⁶ (the “Benchmark”), which declined by 7.21% for the same period. Given the negative performance in the high yield market for the quarter, the additional high yield exposure from leverage within the Fund⁸, which is reflected in U.S. Treasury short positions, weighed on performance. These positions are expressed in the belly of the curve⁷, and used to reduce the portfolio’s exposure to interest rate risk, while at the same time purchasing additional high yield securities to lever up the portfolio⁸. Forward foreign currency contracts (FX contracts) are utilized to hedge the currency exposure of non-dollar investments. As of April 30, 2022, the Fund had a small exposure to non-dollar securities (approximately 1%). The FX contracts had minimal impact to the Fund performance. From a sector perspective, issue selection within the Real Estate, Banking and Leisure sectors also detracted from results. Alternatively, issue selection within the Services sectors, positioning within Capital Goods as well as the overweight to the Energy sector benefitted performance. Finally, the underweight to bonds with a duration of greater than 10 years also contributed during the period.

The Fund has a practice of seeking to maintain a relatively stable monthly distribution, which may be changed at any time. The practice has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. However, the Advisor believes the practice helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV. The monthly distribution rate began and ended the period at $0.105 per share. At the $0.105 per share monthly distribution rate, the annualized distribution rate at April 30, 2022 was 8.96% at NAV and 9.82% at market price. The final determination of the source and tax status of all 2022 distributions will be made after the end of 2022 and will be provided on Form 1099-DIV. The foregoing is not to be construed as tax advice. Please consult your tax advisor for further information regarding tax matters.

Outlook

Over the course of April 2022, financial markets remained focused on the likely extent of monetary policy tightening in advanced economies, and in the United States, in particular. With continued strength in the U.S. labor market and persistent inflation pressures,

**

Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

Page 7

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

the Fed is now expected to take the policy rate up to around three percent by the end of the year. Much of the increase is expected to be frontloaded, occurring before the September 2022 FOMC meeting, as the Fed seeks to make faster progress in removing accommodation in the name of reinforcing its inflation-fighting credibility. The frontloading also will leave the Fed better positioned to take the policy rate into restrictive territory should inflation pressures not show clear signs of moderating later in the year.

The greater likelihood of a restrictive policy stance led to a meaningful tightening in financial conditions over the course of the month, with 10-Year Treasury yields moving higher, the dollar strengthening, credit spreads widening and the S&P 500^® Index falling to a new low for the year. Interestingly, markets essentially looked through some tentative indications that inflation may be peaking. These include some moderation in wage gains, as well as a step-down in core goods inflation in the most recent prints. For good reason, markets instead appear to be more focused on rising services inflation (including shelter), a worsening imbalance between labor demand and supply, and the inflationary impact of the war in Ukraine. China’s renewed lockdowns as the country struggles through another wave of COVID-19 is yet another source of inflationary pressure, though possibly short-lived.

Our core macro view remains that achieving a soft landing for the U.S. economy over the next few years remains extremely challenging. We do not expect inflation to moderate sufficiently this year for the Fed to be in position to respond to any downside growth risks. We believe containing inflation will ultimately require a restrictive policy stance, especially with such a tight labor market. And historically, the track record of slowing the economy just enough to check inflation, but not so much as to cause a recession, is not confidence-inducing.

Fund Notes:

ICE Data Indices, LLC (“ICE Data”), is used with permission. ICE^® is a registered trademark of ICE Data or its affiliates and BOFA^® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates (“BOFA”) and may not be used without BOFA’s prior written approval. ICE data, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE Data, its affiliates nor their respective third party suppliers shall be subject to any damages or liability with respect to the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an “as is” basis and your use is at your own risk. ICE data, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend MacKay Shields LLC, or any of its products or services.

Copyright ^©2022, Markit Economics Limited. All rights reserved and all intellectual property rights retained by Markit Economics Limited.

IMPORTANT DISCLOSURES

Availability of this document and products and services provided by MacKay Shields LLC (“MacKay Shields”) may be limited by applicable laws and regulations in certain jurisdictions and this document is provided only for persons to whom this document and the products and services of MacKay Shields may otherwise lawfully be issued or made available. None of the products and services provided by MacKay Shields are offered to any person in any jurisdiction where such offering would be contrary to local law or regulation. This document is provided for information purposes only. It does not constitute investment advice and should not be construed as an offer to buy securities. The contents of this document have not been reviewed by any regulatory authority in any jurisdiction.

This material contains the opinions of the Global Fixed Income team but not necessarily those of MacKay Shields. The opinions expressed herein are subject to change without notice. This material is distributed for informational purposes only. Forecasts, estimates, and opinions contained herein should not be considered as investment

Page 8

Portfolio Commentary (Continued)

First Trust High Income Long/Short Fund (FSD)

Semi-Annual Report

April 30, 2022 (Unaudited)

advice or a recommendation of any particular security, strategy or investment product. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. Any forward-looking statements speak only as of the date they are made and MacKay Shields assumes no duty and does not undertake to update forward-looking statements. No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission of MacKay Shields LLC. ^©2022, MacKay Shields LLC. All Rights Reserved.

Information included herein should not be considered predicative of future transactions or commitments made by MacKay Shields LLC nor as an indication of current or future profitability. There is no assurance investment objectives will be met.

Past performance is not indicative of future results.

Page 9

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES – 101.9%
		Automotive – 3.8%
$2,300,000		Dana, Inc.		4.50%		02/15/32		$1,901,893
2,195,000		Dornoch Debt Merger Sub, Inc. (a)		6.63%		10/15/29		1,802,644
1,400,000		Ford Motor Co. (b)		4.35%		12/08/26		1,345,575
1,000,000		Ford Motor Credit Co., LLC		4.95%		05/28/27		975,080
4,605,000		Ford Motor Credit Co., LLC (b)		4.13%		08/17/27		4,274,361
5,000,000		Ford Motor Credit Co., LLC (b)		5.11%		05/03/29		4,750,425
710,000		Goodyear Tire & Rubber (The) Co.		4.88%		03/15/27		663,090
2,805,000		Thor Industries, Inc. (a) (b)		4.00%		10/15/29		2,374,040
								18,087,108
		Basic Industry – 7.7%
1,370,000		BCPE Ulysses Intermediate, Inc. (a) (c)		7.75%		04/01/27		1,173,076
645,000		Brundage-Bone Concrete Pumping Holdings, Inc. (a) (b)		6.00%		02/01/26		603,917
3,081,000		Builders FirstSource, Inc. (a) (b)		6.75%		06/01/27		3,181,225
630,000		Builders FirstSource, Inc. (a)		4.25%		02/01/32		538,811
946,000		Carpenter Technology Corp.		7.63%		03/15/30		964,903
1,005,000		Compass Minerals International, Inc. (a)		4.88%		07/15/24		996,256
258,000		Compass Minerals International, Inc. (a)		6.75%		12/01/27		261,563
3,515,000		Cornerstone Building Brands, Inc. (a) (b)		6.13%		01/15/29		2,928,926
2,540,000		Dycom Industries, Inc. (a) (b)		4.50%		04/15/29		2,320,836
1,150,000		Foundation Building Materials, Inc. (a)		6.00%		03/01/29		937,123
900,000		Great Lakes Dredge & Dock Corp. (a)		5.25%		06/01/29		849,569
2,445,000		JELD-WEN, Inc. (a) (b)		4.88%		12/15/27		2,220,415
2,979,000		KB Home (b)		7.50%		09/15/22		3,029,345
1,820,000		LGI Homes, Inc. (a) (b)		4.00%		07/15/29		1,505,116
1,855,000		Meritage Homes Corp.		6.00%		06/01/25		1,889,801
1,125,000		Novelis Corp. (a)		3.25%		11/15/26		1,027,851
885,000		Novelis Corp. (a)		3.88%		08/15/31		760,312
2,045,000		Olin Corp. (b)		5.13%		09/15/27		2,028,456
385,000		Olympus Water US Holding Corp. (a)		4.25%		10/01/28		340,833
825,000		Park River Holdings, Inc. (a)		5.63%		02/01/29		634,307
1,745,000		Standard Industries, Inc./NJ (a)		4.38%		07/15/30		1,457,075
1,390,000		TopBuild Corp. (a) (b)		4.13%		02/15/32		1,199,669
3,765,000		TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (b)		5.88%		06/15/24		3,827,706
770,000		Weekley Homes LLC/Weekley Finance Corp. (a)		4.88%		09/15/28		680,362
1,055,000		White Cap Parent LLC (a) (d)		8.25%		03/15/26		1,019,404
								36,376,857
		Capital Goods – 4.6%
1,065,000		Amsted Industries, Inc. (a) (b)		5.63%		07/01/27		1,052,657
1,589,000		Berry Global, Inc. (a) (b)		4.50%		02/15/26		1,565,078
936,000		Crown Americas LLC (a)		5.25%		04/01/30		932,345
1,470,000		EnerSys (a)		4.38%		12/15/27		1,374,626
985,000		Graphic Packaging International LLC (a) (b)		3.75%		02/01/30		865,022
81,000		Howmet Aerospace, Inc.		6.88%		05/01/25		85,765
5,605,000		Howmet Aerospace, Inc. (b)		3.00%		01/15/29		4,898,574
1,564,000		Owens-Brockway Glass Container, Inc. (a)		6.63%		05/13/27		1,542,612
625,000		TransDigm, Inc. (a)		8.00%		12/15/25		650,391
2,685,000		TransDigm, Inc. (a) (b)		6.25%		03/15/26		2,677,925
3,055,000		TransDigm, Inc. (b)		5.50%		11/15/27		2,805,315
2,515,000		TriMas Corp. (a) (b)		4.13%		04/15/29		2,254,270
990,000		Triumph Group, Inc. (a)		8.88%		06/01/24		1,025,897
								21,730,477

Page 10

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Consumer Goods – 5.7%
$2,245,000		CD&R Smokey Buyer, Inc. (a)		6.75%		07/15/25		$2,290,461
750,000		Chobani LLC/Chobani Finance Corp., Inc. (a)		7.50%		04/15/25		704,254
600,000		Chobani LLC/Chobani Finance Corp., Inc. (a)		4.63%		11/15/28		540,762
3,545,000		Darling Ingredients, Inc. (a) (b)		5.25%		04/15/27		3,549,396
2,120,000		Edgewell Personal Care Co. (a) (b)		5.50%		06/01/28		2,054,174
1,185,000		Energizer Holdings, Inc. (a)		4.38%		03/31/29		986,512
1,855,000		Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (a) (b)		5.00%		12/31/26		1,644,189
3,449,000		Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (a) (b)		7.00%		12/31/27		2,729,401
288,000		Lamb Weston Holdings, Inc. (a)		4.88%		05/15/28		280,512
1,585,000		Mattel, Inc. (a) (b)		5.88%		12/15/27		1,623,127
893,000		Newell Brands, Inc.		5.63%		04/01/36		854,838
1,000,000		Performance Food Group, Inc. (a)		4.25%		08/01/29		890,215
625,000		Post Holdings, Inc. (a) (b)		5.75%		03/01/27		617,094
2,760,000		Post Holdings, Inc. (a) (b)		4.63%		04/15/30		2,363,084
3,800,000		Primo Water Holdings, Inc. (a) (b)		4.38%		04/30/29		3,306,779
1,100,000		Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed (a)		4.63%		03/01/29		994,185
740,000		Triton Water Holdings, Inc. (a)		6.25%		04/01/29		615,939
670,000		US Foods, Inc. (a)		4.63%		06/01/30		600,444
								26,645,366
		Energy – 16.6%
1,200,000		Aethon United BR L.P./Aethon United Finance Corp. (a)		8.25%		02/15/26		1,238,255
600,000		Apache Corp.		5.10%		09/01/40		543,948
1,560,000		Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a)		7.00%		11/01/26		1,574,485
970,000		Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a) (b)		8.25%		12/31/28		1,010,056
2,624,000		Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a) (b)		5.88%		06/30/29		2,543,233
390,000		Callon Petroleum Co.		6.13%		10/01/24		385,556
405,000		Callon Petroleum Co.		6.38%		07/01/26		391,364
2,369,000		Centennial Resource Production LLC (a) (b)		6.88%		04/01/27		2,367,579
2,555,000		Cheniere Energy Partners L.P. (b)		4.50%		10/01/29		2,449,887
1,020,000		Cheniere Energy, Inc.		4.63%		10/15/28		988,145
1,100,000		CNX Midstream Partners L.P. (a)		4.75%		04/15/30		1,013,479
2,080,000		CNX Resources Corp. (a) (b)		7.25%		03/14/27		2,128,828
822,000		CNX Resources Corp. (a)		6.00%		01/15/29		813,135
391,000		Continental Resources, Inc./OK		4.38%		01/15/28		381,706
1,025,000		CrownRock L.P./CrownRock Finance, Inc. (a)		5.00%		05/01/29		1,004,470
934,000		DCP Midstream Operating L.P.		5.13%		05/15/29		919,864
1,295,000		DCP Midstream Operating L.P.		3.25%		02/15/32		1,100,271
2,650,000		Delek Logistics Partners LP/Delek Logistics Finance Corp. (a) (b)		7.13%		06/01/28		2,538,090
1,276,000		Endeavor Energy Resources L.P./EER Finance, Inc. (a)		6.63%		07/15/25		1,311,198
2,335,000		EnLink Midstream LLC		5.38%		06/01/29		2,275,924
1,825,000		EQM Midstream Partners L.P. (a) (b)		6.50%		07/01/27		1,845,422
1,700,000		EQM Midstream Partners L.P.		5.50%		07/15/28		1,626,738
3,620,000		EQM Midstream Partners L.P. (a) (b)		4.75%		01/15/31		3,256,371
791,000		Hess Midstream Operations L.P. (a)		5.63%		02/15/26		792,001
1,040,000		Hess Midstream Operations L.P. (a)		4.25%		02/15/30		955,308
1,845,000		Hilcorp Energy I L.P./Hilcorp Finance Co. (a) (b)		5.75%		02/01/29		1,810,443
1,320,000		Hilcorp Energy I L.P./Hilcorp Finance Co. (a)		6.00%		02/01/31		1,275,754
925,000		Holly Energy Partners L.P./Holly Energy Finance Corp. (a)		6.38%		04/15/27		944,568
840,000		Laredo Petroleum, Inc.		9.50%		01/15/25		862,189
210,000		Laredo Petroleum, Inc.		10.13%		01/15/28		221,289
1,785,000		Laredo Petroleum, Inc. (a)		7.75%		07/31/29		1,751,460

See Notes to Financial Statements

Page 11

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Energy (Continued)
$1,130,000		Nabors Industries, Inc. (a)		7.38%		05/15/27		$1,154,301
4,280,000		Occidental Petroleum Corp. (b)		8.50%		07/15/27		4,830,922
3,070,000		Occidental Petroleum Corp. (b)		6.63%		09/01/30		3,331,441
1,800,000		Occidental Petroleum Corp. (b)		6.13%		01/01/31		1,894,329
3,195,000		PBF Holding Co., LLC/PBF Finance Corp. (a) (b)		9.25%		05/15/25		3,316,809
725,000		Rockcliff Energy II LLC (a)		5.50%		10/15/29		704,247
905,000		SM Energy Co.		5.63%		06/01/25		885,886
1,470,000		SM Energy Co.		6.50%		07/15/28		1,451,096
730,000		Southwestern Energy Co.		8.38%		09/15/28		790,083
3,265,000		Southwestern Energy Co. (b)		5.38%		03/15/30		3,228,024
1,700,000		Southwestern Energy Co. (b)		4.75%		02/01/32		1,611,430
547,000		Sunoco L.P./Sunoco Finance Corp.		4.50%		05/15/29		492,609
920,000		Tap Rock Resources LLC (a)		7.00%		10/01/26		930,566
2,000,000		Targa Resources Partners L.P./Targa Resources Partners Finance Corp.		5.00%		01/15/28		1,963,400
1,645,000		Targa Resources Partners L.P./Targa Resources Partners Finance Corp.		6.88%		01/15/29		1,735,310
730,000		Targa Resources Partners L.P./Targa Resources Partners Finance Corp.		5.50%		03/01/30		723,492
1,720,000		Venture Global Calcasieu Pass LLC (a) (b)		3.88%		08/15/29		1,571,745
2,645,000		Venture Global Calcasieu Pass LLC (a) (b)		4.13%		08/15/31		2,404,384
905,000		Venture Global Calcasieu Pass LLC (a) (b)		3.88%		11/01/33		788,744
909,000		Western Midstream Operating L.P.		4.50%		03/01/28		868,140
1,251,000		Western Midstream Operating L.P.		4.55%		02/01/30		1,151,076
								78,149,050
		Financial Services – 3.4%
1,500,000		Block, Inc. (a)		3.50%		06/01/31		1,258,650
2,635,000		Fortress Transportation and Infrastructure Investors LLC (a) (b)		5.50%		05/01/28		2,277,154
2,100,000		Icahn Enterprises L.P./Icahn Enterprises Finance Corp.		5.25%		05/15/27		1,965,306
1,395,000		LPL Holdings, Inc. (a) (b)		4.63%		11/15/27		1,325,250
1,010,000		Midcap Financial Issuer Trust (a)		6.50%		05/01/28		872,690
1,330,000		MSCI, Inc. (a)		3.88%		02/15/31		1,202,420
1,540,000		OneMain Finance Corp.		6.13%		03/15/24		1,547,600
765,000		OneMain Finance Corp. (b)		8.88%		06/01/25		803,346
610,000		OneMain Finance Corp.		3.50%		01/15/27		536,730
1,011,000		OneMain Finance Corp. (b)		5.38%		11/15/29		911,679
1,225,000		PennyMac Financial Services, Inc. (a)		5.38%		10/15/25		1,160,032
2,640,000		Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc. (a) (b)		3.63%		03/01/29		2,260,698
								16,121,555
		Healthcare – 11.4%
3,065,000		Avantor Funding, Inc. (a) (b)		3.88%		11/01/29		2,754,561
2,775,000		Carriage Services, Inc. (a) (b)		4.25%		05/15/29		2,417,968
1,365,000		Catalent Pharma Solutions, Inc. (a)		3.50%		04/01/30		1,189,127
4,010,000		Centene Corp. (b)		4.63%		12/15/29		3,885,590
4,825,000		Centene Corp. (b)		3.00%		10/15/30		4,205,060
4,765,000		CHS/Community Health Systems, Inc. (a) (b)		8.00%		03/15/26		4,931,894
765,000		CHS/Community Health Systems, Inc. (a)		5.63%		03/15/27		730,106
1,485,000		CHS/Community Health Systems, Inc. (a)		6.00%		01/15/29		1,405,322
1,305,000		CHS/Community Health Systems, Inc. (a)		6.88%		04/15/29		1,146,390
2,250,000		CHS/Community Health Systems, Inc. (a)		5.25%		05/15/30		1,976,231
575,000		Elanco Animal Health, Inc.		6.40%		08/28/28		592,969
1,770,000		HCA, Inc.		3.50%		09/01/30		1,591,301
1,665,000		HealthEquity, Inc. (a) (b)		4.50%		10/01/29		1,523,475

Page 12

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Healthcare (Continued)
$1,900,000		IQVIA, Inc. (a)		5.00%		10/15/26		$1,892,800
2,779,000		Mozart Debt Merger Sub, Inc. (a) (b)		3.88%		04/01/29		2,428,485
740,000		Mozart Debt Merger Sub, Inc. (a)		5.25%		10/01/29		645,014
732,000		Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A. (a)		7.38%		06/01/25		747,613
665,000		Par Pharmaceutical, Inc. (a)		7.50%		04/01/27		607,517
885,000		PRA Health Sciences, Inc. (a)		2.88%		07/15/26		821,094
1,325,000		Prestige Brands, Inc. (a) (b)		5.13%		01/15/28		1,260,360
990,000		Prestige Brands, Inc. (a)		3.75%		04/01/31		840,743
4,750,000		Service Corp International (b)		7.50%		04/01/27		5,208,684
615,000		Syneos Health, Inc. (a)		3.63%		01/15/29		544,936
1,730,000		Teleflex, Inc. (a) (b)		4.25%		06/01/28		1,633,051
7,000,000		Tenet Healthcare Corp. (a) (b)		6.13%		10/01/28		6,729,730
2,275,000		Tenet Healthcare Corp. (a)		4.38%		01/15/30		2,067,236
								53,777,257
		Insurance – 0.4%
1,275,000		MGIC Investment Corp. (b)		5.25%		08/15/28		1,199,322
505,000		NMI Holdings, Inc. (a)		7.38%		06/01/25		527,147
								1,726,469
		Leisure – 5.0%
1,730,000		Affinity Gaming (a) (b)		6.88%		12/15/27		1,622,688
250,000		Boyd Gaming Corp. (a)		8.63%		06/01/25		261,251
1,790,000		Boyd Gaming Corp.		4.75%		12/01/27		1,693,913
1,290,000		Caesars Entertainment, Inc. (a)		6.25%		07/01/25		1,305,673
1,055,000		Caesars Resort Collection LLC/CRC Finco, Inc. (a)		5.75%		07/01/25		1,078,574
1,470,000		CDI Escrow Issuer, Inc. (a)		5.75%		04/01/30		1,418,969
1,200,000		Everi Holdings, Inc. (a)		5.00%		07/15/29		1,087,788
1,800,000		Hilton Domestic Operating Co., Inc.		4.88%		01/15/30		1,744,020
1,725,000		Hilton Domestic Operating Co., Inc. (a)		4.00%		05/01/31		1,545,471
910,000		Mohegan Gaming & Entertainment (a)		8.00%		02/01/26		803,871
700,000		Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer (a)		5.88%		10/01/28		679,945
3,300,000		Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer (a) (b)		4.88%		05/15/29		3,026,813
524,000		Penn National Gaming, Inc. (a)		4.13%		07/01/29		442,780
765,000		Scientific Games Holdings L.P./Scientific Games US FinCo, Inc. (a)		6.63%		03/01/30		727,790
3,175,000		Scientific Games International, Inc. (a) (b)		7.00%		05/15/28		3,253,780
775,000		Station Casinos LLC (a)		4.50%		02/15/28		704,553
750,000		Station Casinos LLC (a)		4.63%		12/01/31		629,610
1,485,000		Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. (a)		5.13%		10/01/29		1,302,159
								23,329,648
		Media – 8.6%
1,235,000		Arches Buyer, Inc. (a) (b)		4.25%		06/01/28		1,099,354
2,300,000		Arches Buyer, Inc. (a) (b)		6.13%		12/01/28		2,003,909
3,330,000		CCO Holdings LLC/CCO Holdings Capital Corp. (a) (b)		4.75%		03/01/30		2,969,960
3,500,000		CSC Holdings LLC (b)		5.25%		06/01/24		3,425,415
2,325,000		CSC Holdings LLC (a) (b)		5.50%		04/15/27		2,247,136
2,230,000		CSC Holdings LLC (a)		4.63%		12/01/30		1,709,897
745,000		Diamond Sports Group LLC/Diamond Sports Finance Co. (a)		5.38%		08/15/26		272,849
2,655,000		Directv Financing LLC/Directv Financing Co-Obligor, Inc. (a) (b)		5.88%		08/15/27		2,503,997
900,000		DISH DBS Corp.		5.88%		11/15/24		874,121

See Notes to Financial Statements

Page 13

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Media (Continued)
$590,000		DISH DBS Corp.		7.75%		07/01/26		$555,709
2,090,000		DISH DBS Corp. (a)		5.25%		12/01/26		1,922,852
3,053,000		DISH DBS Corp.		7.38%		07/01/28		2,690,502
1,255,000		iHeartCommunications, Inc. (a)		5.25%		08/15/27		1,175,132
1,250,000		iHeartCommunications, Inc. (a)		4.75%		01/15/28		1,134,594
2,185,000		Lamar Media Corp.		4.00%		02/15/30		1,960,808
1,805,000		Magallanes, Inc. (a)		3.64%		03/15/25		1,778,191
1,565,000		Magallanes, Inc. (a)		3.76%		03/15/27		1,511,031
2,725,000		Match Group Holdings II LLC (a) (b)		3.63%		10/01/31		2,286,711
945,000		News Corp. (a)		3.88%		05/15/29		855,700
1,480,000		News Corp. (a)		5.13%		02/15/32		1,415,679
920,000		Nexstar Media, Inc. (a)		5.63%		07/15/27		896,264
2,175,000		Sirius XM Radio, Inc. (a)		4.13%		07/01/30		1,912,641
410,000		TEGNA, Inc.		4.63%		03/15/28		395,086
655,000		TripAdvisor, Inc. (a)		7.00%		07/15/25		672,253
880,000		Univision Communications, Inc. (a)		4.50%		05/01/29		790,926
1,490,000		WMG Acquisition Corp. (a)		3.75%		12/01/29		1,337,364
								40,398,081
		Real Estate – 3.9%
1,199,000		Iron Mountain, Inc. (a) (b)		4.88%		09/15/27		1,143,522
1,845,000		Iron Mountain, Inc. (a) (b)		5.25%		03/15/28		1,760,296
1,575,000		Iron Mountain, Inc. (a) (b)		5.25%		07/15/30		1,446,275
1,375,000		Iron Mountain, Inc. (a) (b)		4.50%		02/15/31		1,180,795
910,000		Iron Mountain, Inc. (a)		5.63%		07/15/32		832,969
890,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (a)		4.75%		06/15/29		802,308
905,000		Realogy Group LLC/Realogy Co-Issuer Corp. (a)		5.75%		01/15/29		760,725
3,800,000		Realogy Group LLC/Realogy Co-Issuer Corp. (a) (b)		5.25%		04/15/30		3,078,152
1,840,000		SBA Communications Corp.		3.13%		02/01/29		1,580,901
1,934,000		Service Properties Trust		7.50%		09/15/25		1,932,801
1,845,000		VICI Properties L.P./VICI Note Co., Inc. (a)		5.63%		05/01/24		1,871,199
1,030,000		VICI Properties L.P./VICI Note Co., Inc. (a)		4.63%		12/01/29		965,599
925,000		XHR LP (a)		4.88%		06/01/29		853,132
								18,208,674
		Retail – 7.1%
4,290,000		Albertsons Cos, Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC (a) (b)		3.50%		03/15/29		3,619,537
2,150,000		Arko Corp. (a) (b)		5.13%		11/15/29		1,905,588
1,430,000		Asbury Automotive Group, Inc.		4.50%		03/01/28		1,335,641
390,000		At Home Group, Inc. (a)		4.88%		07/15/28		322,957
817,000		Bath & Body Works, Inc. (a)		9.38%		07/01/25		920,110
3,400,000		Bath & Body Works, Inc.		7.50%		06/15/29		3,521,040
1,200,000		Bath & Body Works, Inc. (a) (b)		6.63%		10/01/30		1,195,800
2,085,000		Foot Locker, Inc. (a)		4.00%		10/01/29		1,737,451
555,000		Group 1 Automotive, Inc. (a)		4.00%		08/15/28		500,119
2,000,000		Hanesbrands, Inc. (a)		4.63%		05/15/24		1,999,980
700,000		LCM Investments Holdings II LLC (a)		4.88%		05/01/29		614,268
2,500,000		Macy’s Retail Holdings LLC (a) (b)		5.88%		04/01/29		2,375,650
1,175,000		Macy’s Retail Holdings LLC (a)		5.88%		03/15/30		1,109,641
1,995,000		Michaels Cos (The), Inc. (a)		5.25%		05/01/28		1,718,074
620,000		Michaels Cos (The), Inc. (a)		7.88%		05/01/29		488,948
875,000		Nordstrom, Inc.		4.38%		04/01/30		762,659
1,080,000		QVC, Inc.		4.38%		09/01/28		919,598

Page 14

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Retail (Continued)
$2,795,000		Sonic Automotive, Inc. (a) (b)		4.63%		11/15/29		$2,408,666
2,615,000		Victoria’s Secret & Co. (a) (b)		4.63%		07/15/29		2,148,458
1,135,000		Yum! Brands, Inc. (a)		4.75%		01/15/30		1,081,218
2,950,000		Yum! Brands, Inc.		5.38%		04/01/32		2,823,725
								33,509,128
		Services – 10.8%
1,870,000		Allied Universal Holdco LLC/Allied Universal Finance Corp. (a) (b)		6.63%		07/15/26		1,806,719
3,005,000		Allied Universal Holdco LLC/Allied Universal Finance Corp. (a) (b)		9.75%		07/15/27		2,920,650
685,000		Allied Universal Holdco LLC/Allied Universal Finance Corp. (a)		6.00%		06/01/29		562,567
1,095,000		APX Group, Inc. (a)		6.75%		02/15/27		1,086,924
680,000		Aramark Services, Inc. (a)		6.38%		05/01/25		693,467
1,075,000		Aramark Services, Inc. (a)		5.00%		02/01/28		1,002,362
390,000		Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (a)		5.38%		03/01/29		366,087
1,250,000		Brink’s (The) Co. (a) (b)		5.50%		07/15/25		1,255,375
625,000		Clarivate Science Holdings Corp. (a)		3.88%		07/01/28		557,169
2,420,000		Clean Harbors, Inc. (a) (b)		4.88%		07/15/27		2,374,661
1,900,000		CoreLogic, Inc. (a) (b)		4.50%		05/01/28		1,686,117
675,000		Covanta Holding Corp. (a)		4.88%		12/01/29		614,996
950,000		GYP Holdings III Corp. (a) (b)		4.63%		05/01/29		843,125
3,045,000		H&E Equipment Services, Inc. (a) (b)		3.88%		12/15/28		2,655,940
3,605,000		Herc Holdings, Inc. (a) (b)		5.50%		07/15/27		3,536,163
750,000		Hertz (The) Corp. (a)		4.63%		12/01/26		684,641
1,450,000		Imola Merger Corp. (a)		4.75%		05/15/29		1,350,349
730,000		LBM Acquisition LLC (a)		6.25%		01/15/29		595,001
1,445,000		NESCO Holdings II, Inc. (a) (b)		5.50%		04/15/29		1,363,740
1,530,000		Nielsen Finance LLC/Nielsen Finance Co. (a)		4.50%		07/15/29		1,448,122
805,000		Picasso Finance Sub, Inc. (a) (b)		6.13%		06/15/25		821,128
1,915,000		Prime Security Services Borrower LLC/Prime Finance, Inc. (a) (b)		3.38%		08/31/27		1,643,060
1,800,000		Sotheby’s (a) (b)		7.38%		10/15/27		1,775,520
2,065,000		Sotheby’s/Bidfair Holdings, Inc. (a)		5.88%		06/01/29		1,946,631
940,000		Staples, Inc. (a)		7.50%		04/15/26		899,195
3,000,000		Uber Technologies, Inc. (a) (b)		7.50%		05/15/25		3,101,835
790,000		Uber Technologies, Inc. (a)		6.25%		01/15/28		783,190
2,165,000		United Rentals North America, Inc. (b)		3.75%		01/15/32		1,886,808
4,765,000		WASH Multifamily Acquisition, Inc. (a) (b)		5.75%		04/15/26		4,641,134
2,500,000		Waste Pro USA, Inc. (a)		5.50%		02/15/26		2,227,213
880,000		WESCO Distribution, Inc. (a)		7.13%		06/15/25		915,209
1,045,000		WESCO Distribution, Inc. (a)		7.25%		06/15/28		1,087,532
225,000		White Cap Buyer LLC (a)		6.88%		10/15/28		206,452
855,000		Williams Scotsman International, Inc. (a)		4.63%		08/15/28		810,373
640,000		ZoomInfo Technologies LLC/ZoomInfo Finance Corp. (a)		3.88%		02/01/29		567,309
								50,716,764
		Technology & Electronics – 3.6%
900,000		Boxer Parent Co., Inc. (a)		7.13%		10/02/25		919,157
475,000		CDK Global, Inc. (a)		5.25%		05/15/29		479,251
2,380,000		CommScope, Inc. (a)		6.00%		03/01/26		2,248,862
820,000		CommScope, Inc. (a)		8.25%		03/01/27		706,200
1,235,000		Dell International LLC/EMC Corp. (b)		8.35%		07/05/46		1,656,282
349,000		Endurance International Group Holdings, Inc. (a)		6.00%		02/15/29		282,924
1,900,000		Entegris, Inc. (a)		4.38%		04/15/28		1,765,262
1,760,000		Fair Isaac Corp. (a)		4.00%		06/15/28		1,610,435

See Notes to Financial Statements

Page 15

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS AND NOTES (Continued)
		Technology & Electronics (Continued)
$1,740,000		Go Daddy Operating Co., LLC/GD Finance Co., Inc. (a)		5.25%		12/01/27		$1,723,420
1,759,000		NCR Corp. (a)		5.13%		04/15/29		1,689,353
585,000		Presidio Holdings, Inc. (a)		8.25%		02/01/28		568,889
355,000		PTC, Inc. (a)		4.00%		02/15/28		329,584
690,000		SS&C Technologies, Inc. (a)		5.50%		09/30/27		677,076
350,000		Twilio, Inc.		3.63%		03/15/29		309,302
2,320,000		Viavi Solutions, Inc. (a) (b)		3.75%		10/01/29		2,090,459
								17,056,456
		Telecommunications – 5.0%
1,200,000		Cable One, Inc. (a) (b)		4.00%		11/15/30		1,031,556
720,000		Embarq Corp. (b)		8.00%		06/01/36		651,474
5,925,000		Level 3 Financing, Inc. (b)		5.38%		05/01/25		5,880,918
1,765,000		Level 3 Financing, Inc. (a)		3.63%		01/15/29		1,436,586
1,500,000		Level 3 Financing, Inc. (a) (b)		3.75%		07/15/29		1,221,285
3,295,000		Lumen Technologies, Inc. (a) (b)		5.38%		06/15/29		2,692,872
2,471,000		Lumen Technologies, Inc., Series P		7.60%		09/15/39		2,210,137
2,045,000		Sprint Capital Corp. (b)		8.75%		03/15/32		2,602,263
3,685,000		Sprint Corp. (b)		7.63%		03/01/26		4,006,258
2,035,000		T-Mobile USA, Inc. (a) (b)		3.38%		04/15/29		1,850,578
								23,583,927
		Transportation – 2.1%
609,153		American Airlines 2013-2 Class A Pass Through Trust		4.95%		01/15/23		605,434
2,325,000		American Airlines Group, Inc. (a)		3.75%		03/01/25		2,078,492
1,540,000		American Airlines, Inc. (a)		11.75%		07/15/25		1,773,972
714,000		First Student Bidco, Inc./First Transit Parent, Inc. (a)		4.00%		07/31/29		636,888
716,529		JetBlue 2020-1 Class B Pass Through Trust		7.75%		11/15/28		769,328
2,685,000		Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (a) (b)		6.50%		06/20/27		2,741,680
685,000		United Airlines, Inc. (a)		4.38%		04/15/26		662,053
895,000		United Airlines, Inc. (a) (b)		4.63%		04/15/29		822,456
39,767		US Airways 2000-3C Pass Through Trust (e) (f)		8.39%		09/01/23		39,767
								10,130,070
		Utility – 2.2%
655,000		Calpine Corp. (a)		3.75%		03/01/31		552,872
470,000		Clearway Energy Operating LLC (a)		3.75%		02/15/31		404,917
1,690,000		Clearway Energy Operating LLC (a) (b)		3.75%		01/15/32		1,435,013
1,355,000		FirstEnergy Corp.		4.40%		07/15/27		1,316,172
1,020,000		PG&E Corp.		5.00%		07/01/28		938,512
3,395,000		Vistra Corp. (a) (g)		8.00%		(h)		3,422,500
1,060,000		Vistra Operations Co. LLC (a)		5.63%		02/15/27		1,045,346
1,310,000		Vistra Operations Co. LLC (a)		4.38%		05/01/29		1,190,449
								10,305,781
		Total Corporate Bonds and Notes						479,852,668
		(Cost $512,586,073)

Page 16

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value (Local Currency)		Description		Stated Coupon		Stated Maturity		Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES – 23.1%
		Automotive – 0.6%
918,000		Clarios Global L.P. (USD) (a)		6.75%		05/15/25		$937,595
607,000		Clarios Global L.P./Clarios US Finance Co. (USD) (a)		6.25%		05/15/26		613,820
1,099,000		Clarios Global L.P./Clarios US Finance Co. (USD) (a)		8.50%		05/15/27		1,099,703
								2,651,118
		Banking – 1.2%
2,485,000		Deutsche Bank AG/New York NY (USD) (b) (g)		3.73%		01/14/32		2,056,340
3,635,000		Deutsche Bank AG/New York NY (USD) (b) (g)		3.74%		01/07/33		2,976,288
500,000		Intesa Sanpaolo SpA (USD) (a)		5.02%		06/26/24		489,555
								5,522,183
		Basic Industry – 1.8%
1,350,000		Ahlstrom-Munksjo Holding 3 Oy (USD) (a)		4.88%		02/04/28		1,193,669
1,900,000		James Hardie International Finance DAC (USD) (a) (b)		5.00%		01/15/28		1,834,992
1,325,000		NOVA Chemicals Corp. (USD) (a)		4.25%		05/15/29		1,148,490
2,250,000		SPCM S.A. (USD) (a)		3.38%		03/15/30		1,916,482
2,200,000		Stora Enso OYJ (USD) (a) (b)		7.25%		04/15/36		2,585,307
								8,678,940
		Capital Goods – 3.2%
1,815,000		Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (USD) (a)		3.25%		09/01/28		1,586,101
1,385,000		Bombardier, Inc. (USD) (a)		7.13%		06/15/26		1,275,869
3,100,000		Bombardier, Inc. (USD) (a) (b)		7.88%		04/15/27		2,891,665
2,240,000		Canpack S.A./Canpack US LLC (USD) (a) (b)		3.13%		11/01/25		2,074,094
450,000		Canpack S.A./Canpack US LLC (USD) (a)		3.88%		11/15/29		387,047
1,880,000		Cascades, Inc./Cascades USA, Inc. (USD) (a) (b)		5.38%		01/15/28		1,816,353
1,945,000		Intertape Polymer Group, Inc. (USD) (a)		4.38%		06/15/29		2,003,243
875,000		OI European Group BV (USD) (a)		4.75%		02/15/30		771,142
2,380,000		Titan Acquisition Ltd./Titan Co-Borrower LLC (USD) (a)		7.75%		04/15/26		2,323,725
								15,129,239
		Consumer Goods – 1.3%
2,725,000		JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc. (USD) (a) (b)		6.50%		04/15/29		2,809,502
1,000,000		JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc. (USD) (a)		5.50%		01/15/30		988,805
2,500,000		Minerva Luxembourg S.A. (USD) (a) (b)		4.38%		03/18/31		2,078,075
								5,876,382
		Energy – 1.1%
2,065,000		MEG Energy Corp. (USD) (a) (b)		7.13%		02/01/27		2,100,817
1,100,000		Petrobras Global Finance BV (USD)		5.60%		01/03/31		1,081,025
2,250,000		Petroleos Mexicanos (USD) (b)		6.50%		03/13/27		2,153,565
								5,335,407
		Healthcare – 3.1%
4,130,000		Bausch Health Cos., Inc. (USD) (a) (b)		9.00%		12/15/25		4,150,650
1,300,000		Bausch Health Cos., Inc. (USD) (a)		5.00%		01/30/28		961,188
2,725,000		Bausch Health Cos., Inc. (USD) (a)		5.25%		02/15/31		1,897,349
1,250,000		Endo Luxembourg Finance Co I Sarl/Endo US, Inc. (USD) (a)		6.13%		04/01/29		1,095,069
3,850,000		Teva Pharmaceutical Finance Netherlands III B.V. (USD) (b)		7.13%		01/31/25		3,905,786

See Notes to Financial Statements

Page 17

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value (Local Currency)		Description		Stated Coupon		Stated Maturity		Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (Continued)
		Healthcare (Continued)
2,945,000		Teva Pharmaceutical Finance Netherlands III B.V. (USD) (b)		5.13%		05/09/29		$2,677,859
								14,687,901
		Leisure – 2.5%
725,000		Carnival Corp. (USD) (a)		5.75%		03/01/27		657,720
2,885,000		Carnival Corp. (USD) (a) (b)		6.00%		05/01/29		2,593,586
1,253,000		International Game Technology PLC (USD) (a)		5.25%		01/15/29		1,190,112
700,000		Melco Resorts Finance Ltd. (USD) (a)		5.75%		07/21/28		584,850
2,220,000		NCL Corp Ltd. (USD) (a) (b)		5.88%		02/15/27		2,119,168
1,915,000		Royal Caribbean Cruises Ltd. (USD) (a) (b)		4.25%		07/01/26		1,733,199
3,315,000		Royal Caribbean Cruises Ltd. (USD) (a) (b)		5.38%		07/15/27		3,046,104
								11,924,739
		Media – 0.4%
1,820,000		UPC Holding, B.V. (USD) (a)		5.50%		01/15/28		1,724,077
		Retail – 0.6%
1,855,000		1011778 BC ULC/New Red Finance, Inc. (USD) (a)		5.75%		04/15/25		1,897,164
1,000,000		1011778 BC ULC/New Red Finance, Inc. (USD) (a)		3.50%		02/15/29		884,375
								2,781,539
		Services – 2.5%
1,600,000		Garda World Security Corp. (USD) (a)		4.63%		02/15/27		1,454,984
3,410,000		Garda World Security Corp. (USD) (a) (b)		9.50%		11/01/27		3,355,048
750,000		GFL Environmental, Inc. (USD) (a)		3.75%		08/01/25		711,551
1,765,000		GFL Environmental, Inc. (USD) (a) (b)		4.00%		08/01/28		1,555,583
655,000		GFL Environmental, Inc. (USD) (a) (b)		4.75%		06/15/29		595,280
4,125,000		Ritchie Bros. Auctioneers, Inc. (USD) (a) (b)		5.38%		01/15/25		4,141,108
								11,813,554
		Technology & Electronics – 0.6%
1,760,000		Open Text Corp. (USD) (a) (b)		3.88%		12/01/29		1,566,400
570,000		Seagate HDD Cayman (USD)		4.13%		01/15/31		501,036
725,000		Sensata Technologies BV (USD) (a)		4.00%		04/15/29		647,207
								2,714,643
		Telecommunications – 3.1%
1,180,000		Altice Financing S.A. (USD) (a)		5.00%		01/15/28		986,681
2,702,000		Altice France Holding S.A. (USD) (a)		6.00%		02/15/28		2,236,202
1,635,000		Altice France S.A./France (USD) (a)		5.13%		07/15/29		1,386,823
600,000		DKT Finance ApS (EUR) (i)		7.00%		06/17/23		631,799
1,116,000		DKT Finance ApS (USD) (a)		9.38%		06/17/23		1,112,652
1,350,000		Iliad Holding SAS (USD) (a) (b)		6.50%		10/15/26		1,299,159
1,340,000		Telecom Italia Capital S.A. (USD)		7.72%		06/04/38		1,260,592
1,300,000		Total Play Telecomunicaciones SA de CV (USD) (a)		6.38%		09/20/28		1,082,029
1,000,000		Vmed O2 UK Financing I PLC (GBP) (a)		4.50%		07/15/31		1,090,115
1,320,000		VZ Secured Financing BV (USD) (a)		5.00%		01/15/32		1,140,935
2,700,000		Ziggo Bond Co. BV (USD) (a) (b)		5.13%		02/28/30		2,346,732
								14,573,719
		Transportation – 1.1%
850,000		Air Canada (USD) (a)		3.88%		08/15/26		786,904
2,595,000		Air Canada 2020-1 Class C Pass Through Trust (USD) (a)		10.50%		07/15/26		2,937,539

Page 18

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value (Local Currency)		Description		Stated Coupon		Stated Maturity		Value (US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (Continued)
		Transportation (Continued)
1,645,000		American Airlines, Inc./AAdvantage Loyalty IP Ltd. (USD) (a) (b)		5.50%		04/20/26		$1,632,523
								5,356,966
		Total Foreign Corporate Bonds and Notes						108,770,407
		(Cost $117,650,538)
Par Amount (Local Currency)		Description		Stated Rate		Stated Maturity		Value (US Dollars)
CAPITAL PREFERRED SECURITIES – 7.3%
		Automotive – 1.2%
5,935,000		General Motors Financial Co., Inc., Series A (USD) (b) (g)		5.75%		(h)		5,545,664
		Banking – 2.9%
2,940,000		Bank of America Corp., Series DD (USD) (g)		6.30%		(h)		3,020,850
3,000,000		Barclays Bank PLC, 3 Mo. EUR LIBOR + 0.71% (EUR) (i) (j)		0.21%		(h)		2,708,305
4,475,000		Citigroup, Inc., Series M (USD) (g)		6.30%		(h)		4,441,437
3,935,000		Citigroup, Inc., Series V (USD) (g)		4.70%		(h)		3,612,330
								13,782,922
		Financial Services – 1.2%
3,175,000		American AgCredit Corp., Series QIB (USD) (a) (b) (g)		5.25%		(h)		2,901,157
3,210,000		Textron Financial Corp., 3 Mo. LIBOR + 1.74% (USD) (a) (b) (j)		2.24%		02/15/42		2,692,259
								5,593,416
		Government Guaranteed – 1.0%
5,400,000		Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (USD) (a) (b) (j)		2.63%		02/12/47		4,757,776
		Insurance – 0.7%
3,500,000		Lincoln National Corp., 3 Mo. LIBOR + 2.36% (USD) (b) (j)		2.82%		05/17/66		2,966,250
		Utility – 0.3%
1,695,000		Edison International, Series B (USD) (b) (g)		5.00%		(h)		1,538,422
		Total Capital Preferred Securities						34,184,450
		(Cost $36,566,616)
Principal Value		Description		Rate (k)		Stated Maturity (l)		Value
SENIOR FLOATING-RATE LOAN INTERESTS – 2.6%
		Capital Goods – 0.6%
$2,850,000		ADS Tactical, Inc., Initial Term Loan, 1 Mo. LIBOR + 5.75%, 1.00% Floor		6.75%		03/19/26		2,698,009
		Insurance – 0.2%
977,625		HUB International Ltd., Term Loan B3, 3 Mo. LIBOR + 3.25%, 0.75% Floor		4.35%		04/25/25		971,779
		Retail – 0.2%
1,082,274		Michaels Cos (The), Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 0.75% Floor		5.26%		04/15/28		984,534

See Notes to Financial Statements

Page 19

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Rate (k)		Stated Maturity (l)		Value
SENIOR FLOATING-RATE LOAN INTERESTS (Continued)
		Services – 1.5%
$7,000,000		TruGreen L.P., Initial Term Loan (Second Lien), 1 Mo. LIBOR + 8.50%, 0.75% Floor		9.26%		11/02/28		$7,017,500
		Technology & Electronics – 0.1%
600,000		Dcert Buyer, Inc., First Amendment Refinancing Loan (Second Lien), 1 Mo. LIBOR + 7.00%, 0.00% Floor		7.76%		02/16/29		592,752
		Total Senior Floating-Rate Loan Interests						12,264,574
		(Cost $12,256,010)
Principal Value		Description		Stated Coupon		Stated Maturity		Value
MORTGAGE-BACKED SECURITIES – 0.6%
		Collateralized Mortgage Obligations – 0.0%
		Washington Mutual Alternative Mortgage Pass-Through Certificates
11,675		Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (m)		35.47%		06/25/37		16,801
		Commercial Mortgage-Backed Securities – 0.6%
		Securitized Asset Backed Receivables LLC Trust
6,594,810		Series 2006-FR4, Class A2A, 1 Mo. LIBOR + 0.16% (j)		0.83%		08/25/36		2,678,075
		Total Mortgage-Backed Securities						2,694,876
		(Cost $5,048,713)

    

Shares		Description		Value
COMMON STOCKS – 0.1%
		Energy – 0.0%
7		Thunderbird Resources Equity, Inc. (e) (f) (n) (o)		66,254
		Utility – 0.1%
13,918		Vistra Corp.		348,228
		Total Common Stocks		414,482
		(Cost $997,888)
RIGHTS – 0.0%
		Utility – 0.0%
13,918		Vistra Corp., no expiration date (n) (o)		18,580
		(Cost $22,917)

    

		Total Investments – 135.6%						638,200,037
		(Cost $685,128,755)
Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. GOVERNMENT BONDS SOLD SHORT – (11.4)%
$(30,000,000)		United States Treasury Note		1.38%		09/30/23		(29,558,203)
(24,000,000)		United States Treasury Note		2.88%		05/31/25		(23,993,438)
		Total U.S. Government Bonds Sold Short						(53,551,641)
		(Proceeds $52,553,860)
CORPORATE BONDS SOLD SHORT – (0.9)%
		Energy – (0.3)%
(1,600,000)		Halliburton Co.		2.92%		03/01/30		(1,451,253)

Page 20

See Notes to Financial Statements

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
CORPORATE BONDS SOLD SHORT (Continued)
		Technology & Electronics – (0.6)%
$(2,930,000)		Amkor Technology, Inc. (a)		6.63%		09/15/27		$(2,984,908)
		Total Corporate Bonds Sold Short						(4,436,161)
		(Proceeds $4,479,457)
		Total Investments Sold Short – (12.3)%						(57,987,802)
		(Proceeds $57,033,317)

    

	Outstanding Loan – (30.2)%		(142,061,027)
	Net Other Assets and Liabilities – 6.9%		32,552,702
	Net Assets – 100.0%		$470,703,910

    

Forward Foreign Currency Contracts

Settlement Date

Counterparty

Amount Purchased

Amount Sold

Purchase Value as of 4/30/2022

Sale Value as of 4/30/2022

Unrealized Appreciation/ (Depreciation)

08/02/22

JPM

USD

3,434,807

EUR

3,243,000

$ 3,434,807

$ 3,438,765

$ (3,958)

08/02/22

JPM

USD

1,124,597

GBP

898,000

1,124,597

1,129,758

(5,161)

Net Unrealized Appreciation / (Depreciation)

$(9,119)

    

Counterparty Abbreviations
JPM	JPMorgan Chase

See Note 2D – Forward Foreign Currency Contracts in the Notes to Financial Statements.

(a)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund Board of Trustees, this security has been determined to be liquid by MacKay Shields LLC, the Fund’s sub-advisor (the “Sub-Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2022, securities noted as such amounted to $438,794,550 of total investments and $(2,984,908) of total investments sold short, or 93.2% and (0.6)% of net assets, respectively.
(b)	This security or a portion of this security is segregated as collateral for investments sold short and borrowings in the margin account (see Note 2F - Short Sales in the Notes to Financial Statements).
(c)	These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.75% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the six months ended April 30, 2022, this security paid all of its interest in cash.
(d)	These notes are Senior PIK Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 8.25% per annum and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the six months ended April 30, 2022, this security paid all of its interest in cash.
(e)	This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At April 30, 2022, securities noted as such are valued at $106,021 or 0.0% of net assets.
(f)	This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(g)	Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(h)	Perpetual maturity.
(i)	This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act.
(j)	Floating or variable rate security.

See Notes to Financial Statements

Page 21

First Trust High Income Long/Short Fund (FSD)

Portfolio of Investments (Continued)

April 30, 2022 (Unaudited)

(k)	Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the Secured Overnight Financing Rate (“SOFR”) obtained from the U.S. Department of the Treasury’s Office of Financial Research, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate.
(l)	Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(m)	Inverse floating rate security.
(n)	Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Sub-Advisor.
(o)	Non-income producing security.

    

EUR	Euro
GBP	British Pound Sterling
LIBOR	London Interbank Offered Rate
USD	United States Dollar

Valuation Inputs

A summary of the inputs used to value the Fund’s investments as of April 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

ASSETS TABLE
	Total Value at 4/30/2022	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Corporate Bonds and Notes:
Transportation	$ 10,130,070	$ —	$ 10,090,303	$ 39,767
Other industry categories*	469,722,598	—	469,722,598	—
Foreign Corporate Bonds and Notes*	108,770,407	—	108,770,407	—
Capital Preferred Securities*	34,184,450	—	34,184,450	—
Senior Floating-Rate Loan Interests*	12,264,574	—	12,264,574	—
Mortgage-Backed Securities	2,694,876	—	2,694,876	—
Common Stocks:
Energy	66,254	—	—	66,254
Utility	348,228	348,228	—	—
Rights*	18,580	—	18,580	—
Total Investments	$ 638,200,037	$ 348,228	$ 637,745,788	$ 106,021
LIABILITIES TABLE
	Total Value at 4/30/2022	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Government Bonds Sold Short	$ (53,551,641)	$ —	$ (53,551,641)	$ —
Corporate Bonds Sold Short*	(4,436,161)	—	(4,436,161)	—
Total Investments	(57,987,802)	—	(57,987,802)	—
Forward Foreign Currency Contracts	(9,119)	—	(9,119)	—
Total	$ (57,996,921)	$—	$ (57,996,921)	$—