UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22452
First Trust Series Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Securities and Income Fund
1 | |
2 | |
4 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
21 | |
28 | |
29 | |
34 | |
36 |
Fund Statistics | |
First Trust Preferred Securities and Income Fund | Net Asset Value (NAV) |
Class A (FPEAX) | $20.85 |
Class C (FPECX) | $20.93 |
Class F (FPEFX) | $21.07 |
Class I (FPEIX) | $20.98 |
Class R3 (FPERX) | $20.81 |
Sector Allocation | % of Total Investments |
Financials | 75.5% |
Utilities | 7.0 |
Energy | 5.8 |
Consumer Staples | 4.8 |
Real Estate | 2.8 |
Industrials | 1.3 |
Communication Services | 1.0 |
Consumer Discretionary | 0.9 |
Materials | 0.9 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments |
A- | 1.2% |
BBB+ | 11.8 |
BBB | 15.2 |
BBB- | 26.9 |
BB+ | 23.4 |
BB | 11.9 |
BB- | 2.1 |
B+ | 2.6 |
B | 0.2 |
Not Rated | 4.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Enel S.p.A. | 2.1% |
Farm Credit Bank Of Texas, Series 1 | 2.1 |
Liberty Mutual Group, Inc. | 2.0 |
Bank of America Corp., Series DD | 2.0 |
Credit Agricole S.A. | 1.9 |
Zions Bancorporation, Series J | 1.8 |
Enbridge Energy Partners L.P. | 1.7 |
Barclays PLC | 1.7 |
Catlin Insurance Co., Ltd. | 1.7 |
Wells Fargo & Co., Series K | 1.7 |
Total | 18.7% |
Dividend Distributions | Class A Shares | Class C Shares | Class F Shares | Class I Shares | Class R3 Shares |
Current Monthly Distribution per Share(2) | $0.0956 | $0.0822 | $0.0973 | $0.1000 | $0.0912 |
Current Distribution Rate on NAV(3) | 5.50% | 4.71% | 5.54% | 5.72% | 5.26% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., 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. |
(2) | Most recent distribution paid or declared through 10/31/2018. Subject to change in the future. |
(3) | Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by NAV as of 10/31/2018. Subject to change in the future. |
Performance as of April 30, 2018 | ||||||||||||||||||||||||||||
A Shares Inception 2/25/2011 | C Shares Inception 2/25/2011 | F Shares Inception 3/2/2011 | I Shares Inception 1/11/2011 | R3 Shares Inception 3/2/2011 | Blended Index* | P0P1* ICE BofAML Fixed Rate Preferred Securities Index | C0CS* ICE BofAML U.S. Capital Securities Index | |||||||||||||||||||||
Cumulative Total Returns | w/o sales charge | w/max 4.50% sales charge | w/o sales charge | w/max 1.00% contingent deferred sales charge | w/o sales charge | w/o sales charges | w/o sales charges | w/o sales charges | w/o sales charges | w/o sales charges | ||||||||||||||||||
1 Year | (1.77)% | (6.19)% | (2.37)% | (3.30)% | (1.70)% | (1.38)% | (2.02)% | (1.67)% | (1.23)% | (2.14)% | ||||||||||||||||||
Average Annual Total Returns | ||||||||||||||||||||||||||||
5 Years | 6.07% | 5.09% | 5.30% | 5.30% | 6.19% | 6.38% | 5.78% | 5.44% | 6.41% | 4.45% | ||||||||||||||||||
Since Inception | 5.98% | 5.34% | 5.23% | 5.23% | 6.13% | 6.38% | 5.62% | 6.04% | 6.00% | 6.04% | ||||||||||||||||||
30-Day SEC Yield(5) | 4.51% | 4.00% | 4.61% | 4.96% | 4.26% | N/A | N/A | N/A |
(4) | The Blended Index return is a 50/50 split between the ICE BofAML Fixed Rate Preferred Securities Index and ICE BofAML U.S. Capital Securities Index. |
(5) | 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period. The reported SEC yields are subsidized. The subsidized yields reflect the waiver and/or a reimbursement of Fund expenses, which has the effect of lowering the Fund’s expense ratio and generating a higher yield. |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Annualized Expense Ratios (b) | ||
Class A | $ 1,000.00 | $ 992.10 | $ 6.83 | $ 1,000.00 | $ 1,018.35 | $ 6.92 | 1.36% | |
Class C | 1,000.00 | 988.90 | 10.08 | 1,000.00 | 1,015.07 | 10.21 | 2.01 | |
Class F | 1,000.00 | 992.30 | 6.53 | 1,000.00 | 1,018.65 | 6.61 | 1.30 | |
Class I | 1,000.00 | 993.90 | 5.08 | 1,000.00 | 1,020.11 | 5.14 | 1.01 | |
Class R3 | 1,000.00 | 990.90 | 8.28 | 1,000.00 | 1,016.89 | 8.39 | 1.65 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2018 through October 31, 2018), multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 13.3% | ||||||||
Banks – 4.0% | ||||||||
25,034 | Bank of America Corp., Series HH | 5.88% | (a) | $623,847 | ||||
30,000 | Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (b) | 8.89% | 10/30/40 | 794,100 | ||||
50,000 | Citigroup, Inc., Series K (c) | 6.88% | (a) | 1,366,500 | ||||
115,000 | GMAC Capital Trust I, Series 2, 3 Mo. LIBOR + 5.79% (b) | 8.10% | 02/15/40 | 3,019,900 | ||||
25,763 | JPMorgan Chase & Co., Series DD | 5.75% | (a) | 640,984 | ||||
36,673 | People’s United Financial, Inc., Series A (c) | 5.63% | (a) | 917,925 | ||||
20,357 | Synovus Financial Corp., Series D (c) | 6.30% | (a) | 520,121 | ||||
36,120 | Valley National Bancorp, Series B (c) | 5.50% | (a) | 903,000 | ||||
42,757 | Wintrust Financial Corp., Series D (c) | 6.50% | (a) | 1,104,841 | ||||
9,891,218 | ||||||||
Capital Markets – 0.5% | ||||||||
25,339 | Apollo Global Management, LLC, Series B | 6.38% | (a) | 625,620 | ||||
23,690 | Morgan Stanley, Series F (c) | 6.88% | (a) | 635,129 | ||||
1,260,749 | ||||||||
Equity Real Estate Investment Trusts – 2.7% | ||||||||
23,626 | American Homes 4 Rent, Series E | 6.35% | (a) | 558,282 | ||||
49,976 | Colony Capital, Inc., Series E | 8.75% | (a) | 1,290,380 | ||||
37,305 | Colony Capital, Inc., Series H | 7.13% | (a) | 841,974 | ||||
25,000 | Farmland Partners, Inc., Series B, steps up 10/01/24 to 10.00% (d) | 6.00% | (a) | 547,500 | ||||
23,490 | Global Net Lease, Inc., Series A | 7.25% | (a) | 584,666 | ||||
15,000 | Urstadt Biddle Properties, Inc., Series H | 6.25% | (a) | 347,250 | ||||
102,470 | VEREIT, Inc., Series F | 6.70% | (a) | 2,549,454 | ||||
6,719,506 | ||||||||
Food Products – 1.1% | ||||||||
93,791 | CHS, Inc., Series 2 (c) | 7.10% | (a) | 2,414,181 | ||||
726 | CHS, Inc., Series 3 (c) | 6.75% | (a) | 18,295 | ||||
5,676 | CHS, Inc., Series 4 | 7.50% | (a) | 150,584 | ||||
2,583,060 | ||||||||
Insurance – 2.2% | ||||||||
4,822 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 111,388 | ||||
5,383 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 127,900 | ||||
50,000 | Aspen Insurance Holdings Ltd. (c) | 5.95% | (a) | 1,252,000 | ||||
50,000 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (b) | 5.50% | 05/15/37 | 1,137,500 | ||||
52,753 | Enstar Group Ltd., Series D (c) | 7.00% | (a) | 1,355,225 | ||||
14,443 | National General Holdings Corp. | 7.63% | 09/15/55 | 360,497 | ||||
25,700 | Phoenix Cos., Inc. | 7.45% | 01/15/32 | 440,112 | ||||
28,961 | Reinsurance Group of America, Inc. (c) | 5.75% | 06/15/56 | 728,080 | ||||
5,512,702 | ||||||||
Mortgage Real Estate Investment Trusts – 1.3% | ||||||||
25,000 | AGNC Investment Corp., Series C (c) | 7.00% | (a) | 632,500 | ||||
38,824 | Annaly Capital Management, Inc., Series F (c) | 6.95% | (a) | 975,647 | ||||
13,200 | Invesco Mortgage Capital, Inc., Series B (c) | 7.75% | (a) | 339,900 | ||||
23,000 | Two Harbors Investment Corp., Series B (c) | 7.63% | (a) | 567,640 | ||||
25,000 | Two Harbors Investment Corp., Series C (c) | 7.25% | (a) | 606,500 | ||||
3,122,187 | ||||||||
Multi-Utilities – 1.1% | ||||||||
27,206 | Algonquin Power & Utilities Corp. (c) | 6.88% | 10/17/78 | 694,093 | ||||
16,624 | CMS Energy Corp. | 5.88% | 10/15/78 | 417,263 | ||||
41,854 | Integrys Holding, Inc. (c) | 6.00% | 08/01/73 | 1,060,371 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Multi-Utilities (Continued) | ||||||||
30,000 | Just Energy Group, Inc., Series A (c) | 8.50% | (a) | $537,300 | ||||
2,709,027 | ||||||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
17,738 | Enbridge, Inc., Series B (c) | 6.38% | 04/15/78 | 437,774 | ||||
3,049 | Energy Transfer Operating L.P., Series D (c) | 7.63% | (a) | 76,377 | ||||
514,151 | ||||||||
Thrifts & Mortgage Finance – 0.2% | ||||||||
19,735 | New York Community Bancorp, Inc., Series A (c) | 6.38% | (a) | 500,480 | ||||
Total $25 Par Preferred Securities | 32,813,080 | |||||||
(Cost $33,534,999) | ||||||||
$100 PAR PREFERRED SECURITIES – 2.9% | ||||||||
Banks – 2.7% | ||||||||
32,500 | CoBank ACB, Series F (c) (e) | 6.25% | (a) | 3,363,750 | ||||
27,000 | CoBank ACB, Series G (e) | 6.13% | (a) | 2,709,450 | ||||
5,500 | Farm Credit Bank of Texas (c) (f) | 6.75% | (a) | 585,750 | ||||
6,658,950 | ||||||||
Consumer Finance – 0.2% | ||||||||
5,130 | SLM Corp., Series B, 3 Mo. LIBOR + 1.70% (b) | 4.03% | (a) | 348,327 | ||||
Total $100 Par Preferred Securities | 7,007,277 | |||||||
(Cost $6,634,735) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 4.6% | ||||||||
Banks – 2.8% | ||||||||
443 | CoBank ACB, 3 Mo. LIBOR + 1.18% (b) (f) | 3.59% | (a) | 290,165 | ||||
4,500 | Farm Credit Bank of Texas, Series 1 (e) | 10.00% | (a) | 5,152,500 | ||||
1,261 | Sovereign Real Estate Investment Trust (f) | 12.00% | (a) | 1,409,168 | ||||
6,851,833 | ||||||||
Diversified Financial Services – 0.2% | ||||||||
500 | Compeer Financial ACA (c) (f) | 6.75% | (a) | 535,000 | ||||
Insurance – 1.4% | ||||||||
3,400 | XLIT Ltd., Series D, 3 Mo. LIBOR + 3.12% (b) | 5.56% | (a) | 3,417,000 | ||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
500 | Kinder Morgan GP, Inc., 3 Mo. LIBOR + 3.90% (b) (f) | 6.22% | 08/18/57 | 458,485 | ||||
Total $1,000 Par Preferred Securities | 11,262,318 | |||||||
(Cost $11,432,882) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 76.8% | ||||||||
Automobiles – 0.9% | ||||||||
$2,400,000 | General Motors Financial Co., Inc., Series B (c) | 6.50% | (a) | 2,262,000 | ||||
Banks – 39.3% | ||||||||
1,500,000 | Australia & New Zealand Banking Group Ltd. (c) (g) (h) | 6.75% | (a) | 1,543,125 | ||||
1,000,000 | Banco Bilbao Vizcaya Argentaria S.A. (c) (h) | 6.13% | (a) | 863,750 | ||||
1,000,000 | Banco Mercantil del Norte S.A. (c) (g) (h) | 7.63% | (a) | 982,510 | ||||
2,000,000 | Banco Santander S.A. (c) (h) | 6.38% | (a) | 1,977,226 | ||||
4,500,000 | Bank of America Corp., Series DD (c) | 6.30% | (a) | 4,753,125 | ||||
500,000 | Bank of America Corp., Series X (c) | 6.25% | (a) | 515,625 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$1,500,000 | Bank of America Corp., Series Z (c) | 6.50% | (a) | $1,592,550 | ||||
600,000 | Barclays PLC (c) (h) | 7.75% | (a) | 600,120 | ||||
4,000,000 | Barclays PLC (c) (h) | 7.88% | (a) | 4,130,000 | ||||
1,439,000 | BNP Paribas S.A. (c) (g) (h) | 6.75% | (a) | 1,458,786 | ||||
1,987,000 | BNP Paribas S.A. (c) (g) (h) | 7.63% | (a) | 2,068,964 | ||||
1,000,000 | BPCE S.A. (c) (g) | 12.50% | (a) | 1,075,080 | ||||
1,850,000 | Citigroup, Inc., Series O (c) | 5.88% | (a) | 1,877,750 | ||||
680,000 | Citigroup, Inc., Series P (c) | 5.95% | (a) | 671,075 | ||||
1,250,000 | Citigroup, Inc., Series R (c) | 6.13% | (a) | 1,279,688 | ||||
262,000 | Citigroup, Inc., Series T (c) | 6.25% | (a) | 267,895 | ||||
650,000 | Citizens Financial Group, Inc., Series C (c) | 6.38% | (a) | 651,550 | ||||
2,500,000 | CoBank ACB, Series I (c) (e) | 6.25% | (a) | 2,625,000 | ||||
4,400,000 | Credit Agricole S.A. (c) (g) (h) | 7.88% | (a) | 4,559,958 | ||||
3,485,000 | Credit Agricole S.A. (c) (g) (h) | 8.13% | (a) | 3,746,696 | ||||
2,350,000 | Danske Bank A.S. (c) (h) | 6.13% | (a) | 2,106,874 | ||||
400,000 | Farm Credit Bank of Texas, Series 3 (c) (g) | 6.20% | (a) | 401,000 | ||||
2,444,000 | HSBC Holdings PLC (c) (h) | 6.38% | (a) | 2,379,845 | ||||
800,000 | HSBC Holdings PLC (c) (h) | 6.88% | (a) | 831,000 | ||||
1,400,000 | ING Groep N.V. (c) (h) | 6.50% | (a) | 1,330,700 | ||||
3,000,000 | ING Groep N.V. (c) (h) | 6.88% | (a) | 3,035,625 | ||||
2,954,000 | Intesa Sanpaolo S.p.A. (c) (g) (h) | 7.70% | (a) | 2,684,447 | ||||
1,434,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (b) | 5.99% | (a) | 1,443,479 | ||||
2,500,000 | JPMorgan Chase & Co., Series S (c) | 6.75% | (a) | 2,669,375 | ||||
711,000 | JPMorgan Chase & Co., Series V (c) | 5.00% | (a) | 711,889 | ||||
3,000,000 | Lloyds Bank PLC (c) (g) | 12.00% | (a) | 3,613,083 | ||||
2,700,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (a) | 2,730,375 | ||||
1,500,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (a) | 1,511,250 | ||||
1,207,000 | Nordea Bank Abp (c) (h) | 6.13% | (a) | 1,163,246 | ||||
200,000 | Nordea Bank Abp (c) (g) (h) | 6.13% | (a) | 192,750 | ||||
1,046,000 | Royal Bank of Scotland Group PLC (c) (h) | 7.50% | (a) | 1,065,874 | ||||
2,700,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.00% | (a) | 2,792,812 | ||||
3,250,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.63% | (a) | 3,424,687 | ||||
500,000 | Societe Generale S.A. (c) (g) (h) | 6.00% | (a) | 493,130 | ||||
2,500,000 | Societe Generale S.A. (c) (g) (h) | 7.38% | (a) | 2,540,625 | ||||
2,250,000 | Societe Generale S.A. (c) (g) (h) | 7.88% | (a) | 2,269,687 | ||||
1,500,000 | Standard Chartered PLC (c) (g) (h) | 7.50% | (a) | 1,520,625 | ||||
2,250,000 | Standard Chartered PLC (c) (g) (h) | 7.75% | (a) | 2,278,125 | ||||
2,000,000 | Swedbank AB (c) (h) | 6.00% | (a) | 1,962,500 | ||||
3,100,000 | UniCredit S.p.A. (c) (h) | 8.00% | (a) | 2,794,371 | ||||
2,000,000 | UniCredit S.p.A. (c) (g) | 5.86% | 06/19/32 | 1,716,924 | ||||
4,000,000 | Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (b) | 6.10% | (a) | 4,035,000 | ||||
1,500,000 | Wells Fargo & Co., Series U (c) | 5.88% | (a) | 1,546,875 | ||||
4,000,000 | Zions Bancorporation, Series J (c) | 7.20% | (a) | 4,290,000 | ||||
96,776,646 | ||||||||
Capital Markets – 4.3% | ||||||||
650,000 | Credit Suisse Group AG (c) (g) (h) | 7.25% | (a) | 644,313 | ||||
2,750,000 | Credit Suisse Group AG (c) (g) (h) | 7.50% | (a) | 2,870,788 | ||||
1,500,000 | Credit Suisse Group AG (c) (g) (h) | 7.50% | (a) | 1,530,000 | ||||
2,000,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (a) | 1,995,000 | ||||
1,000,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (a) | 1,008,750 | ||||
1,000,000 | UBS Group Funding Switzerland AG (c) (h) | 6.88% | (a) | 990,000 | ||||
400,000 | UBS Group Funding Switzerland AG (c) (h) | 7.00% | (a) | 417,500 | ||||
1,000,000 | UBS Group Funding Switzerland AG (c) (h) | 7.13% | (a) | 1,019,287 | ||||
10,475,638 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Consumer Finance – 0.2% | ||||||||
$462,000 | American Express Co., Series C (c) | 4.90% | (a) | $460,845 | ||||
Diversified Financial Services – 0.4% | ||||||||
1,000,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 987,500 | ||||
Diversified Telecommunication Services – 1.0% | ||||||||
750,000 | Koninklijke KPN N.V. (c) (g) | 7.00% | 03/28/73 | 781,125 | ||||
1,600,000 | Koninklijke KPN N.V. (c) | 7.00% | 03/28/73 | 1,666,400 | ||||
2,447,525 | ||||||||
Electric Utilities – 4.5% | ||||||||
3,800,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 3,971,000 | ||||
4,761,000 | Enel S.p.A. (c) (g) | 8.75% | 09/24/73 | 5,153,783 | ||||
500,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (b) | 5.05% | 03/30/67 | 487,500 | ||||
1,000,000 | Southern (The) Co., Series B (c) | 5.50% | 03/15/57 | 999,971 | ||||
500,000 | Southern California Edison Co., Series E (c) | 6.25% | (a) | 515,000 | ||||
11,127,254 | ||||||||
Energy Equipment & Services – 1.0% | ||||||||
2,500,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 2,467,250 | ||||
Food Products – 3.7% | ||||||||
1,300,000 | Dairy Farmers of America, Inc. (f) | 7.13% | (a) | 1,361,750 | ||||
3,000,000 | Land O’Lakes Capital Trust I (f) | 7.45% | 03/15/28 | 3,251,250 | ||||
1,200,000 | Land O’Lakes, Inc. (g) | 7.25% | (a) | 1,248,000 | ||||
3,000,000 | Land O’Lakes, Inc. (g) | 8.00% | (a) | 3,270,000 | ||||
9,131,000 | ||||||||
Independent Power and Renewable Electricity Producers – 0.7% | ||||||||
1,575,000 | AES Gener S.A. (c) | 8.38% | 12/18/73 | 1,599,964 | ||||
Insurance – 13.9% | ||||||||
1,050,000 | Aegon N.V. (c) | 5.50% | 04/11/48 | 1,000,781 | ||||
1,000,000 | AG Insurance S.A. (c) | 6.75% | (a) | 1,011,342 | ||||
625,000 | American International Group, Inc., Series A-9 (c) | 5.75% | 04/01/48 | 591,800 | ||||
1,500,000 | Asahi Mutual Life Insurance Co. (c) | 7.25% | (a) | 1,536,600 | ||||
1,700,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 1,708,500 | ||||
4,100,000 | Catlin Insurance Co., Ltd., 3 Mo. LIBOR + 2.98% (b) (g) | 5.42% | (a) | 4,038,500 | ||||
1,000,000 | CNP Assurances (c) | 6.88% | (a) | 1,021,914 | ||||
1,063,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (b) | 4.70% | 05/15/37 | 1,036,425 | ||||
1,000,000 | Fortegra Financial Corp. (c) (f) | 8.50% | 10/15/57 | 1,017,500 | ||||
1,000,000 | Fukoku Mutual Life Insurance Co. (c) | 6.50% | (a) | 1,068,125 | ||||
1,620,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (b) (g) | 4.44% | 02/12/47 | 1,494,450 | ||||
2,500,000 | La Mondiale SAM (c) | 7.63% | (a) | 2,548,113 | ||||
2,413,000 | Liberty Mutual Group, Inc. (g) | 7.80% | 03/15/37 | 2,768,918 | ||||
3,285,000 | Liberty Mutual Group, Inc. (c) | 10.75% | 06/15/58 | 4,837,162 | ||||
500,000 | Liberty Mutual Group, Inc., 3 Mo. LIBOR + 2.91% (b) (g) | 5.24% | 03/15/37 | 483,750 | ||||
1,826,000 | Mitsui Sumitomo Insurance Co., Ltd. (c) (g) | 7.00% | 03/15/72 | 1,972,080 | ||||
1,000,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 1,018,850 | ||||
2,000,000 | QBE Insurance Group, Ltd. (c) (g) | 7.50% | 11/24/43 | 2,172,500 | ||||
2,500,000 | QBE Insurance Group, Ltd. (c) | 6.75% | 12/02/44 | 2,568,750 | ||||
400,000 | VIVAT N.V. (c) | 6.25% | (a) | 399,576 | ||||
34,295,636 | ||||||||
Metals & Mining – 0.8% | ||||||||
1,473,000 | BHP Billiton Finance USA Ltd. (c) (g) | 6.25% | 10/19/75 | 1,538,180 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Metals & Mining (Continued) | ||||||||
$500,000 | BHP Billiton Finance USA Ltd. (c) (g) | 6.75% | 10/19/75 | $542,500 | ||||
2,080,680 | ||||||||
Multi-Utilities – 0.5% | ||||||||
650,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (a) | 657,312 | ||||
700,000 | NiSource, Inc. (c) (g) | 5.65% | (a) | 687,015 | ||||
1,344,327 | ||||||||
Oil, Gas & Consumable Fuels – 4.3% | ||||||||
900,000 | DCP Midstream L.P., Series A (c) | 7.38% | (a) | 864,000 | ||||
4,231,400 | Enbridge Energy Partners L.P., 3 Mo. LIBOR + 3.80% (b) | 6.19% | 10/01/37 | 4,210,687 | ||||
1,400,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 1,248,376 | ||||
1,000,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 938,738 | ||||
755,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 709,667 | ||||
2,661,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (b) | 5.36% | 11/01/66 | 2,261,850 | ||||
400,000 | Energy Transfer Operating L.P., Series B (c) | 6.63% | (a) | 368,750 | ||||
10,602,068 | ||||||||
Transportation Infrastructure – 1.3% | ||||||||
3,000,000 | AerCap Global Aviation Trust (c) (g) | 6.50% | 06/15/45 | 3,090,000 | ||||
Total Capital Preferred Securities | 189,148,333 | |||||||
(Cost $194,567,705) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.4% | ||||||||
Insurance – 0.4% | ||||||||
1,000,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 939,470 | ||||
(Cost $995,919) |
Total Investments – 98.0% | 241,170,478 | ||
(Cost $247,166,240) (i) | |||
Net Other Assets and Liabilities – 2.0% | 5,018,769 | ||
Net Assets – 100.0% | $246,189,247 |
(a) | Perpetual maturity. |
(b) | Floating or variable rate security. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2018. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(e) | Pursuant to procedures adopted by the First Trust Series Fund’s (the “Trust”) Board of Trustees, this security has been determined to be illiquid by Stonebridge Advisors LLC (“Stonebridge”), the Fund’s sub-advisor. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by Stonebridge. 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 October 31, 2018, securities noted as such amounted to $67,431,417 or 27.4% of net assets. |
(h) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2018, securities noted as such amounted to $68,511,572 or 27.8% of net assets. Of these securities, 1.4% originated in emerging markets, and 98.6% originated in foreign markets. |
(i) | Aggregate cost for federal income tax purposes was $247,383,752. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,330,099 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $9,543,373. The net unrealized depreciation was $6,213,274. |
Total Value at 10/31/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Insurance | $ 5,512,702 | $ 3,935,090 | $ 1,577,612 | $ — |
Multi-Utilities | 2,709,027 | 1,648,656 | 1,060,371 | — |
Other industry categories* | 24,591,351 | 24,591,351 | — | — |
$100 Par Preferred Securities: | ||||
Banks | 6,658,950 | — | 6,658,950 | — |
Consumer Finance | 348,327 | 348,327 | — | — |
$1,000 Par Preferred Securities* | 11,262,318 | — | 11,262,318 | — |
Capital Preferred Securities* | 189,148,333 | — | 189,148,333 | — |
Corporate Bonds and Notes* | 939,470 | — | 939,470 | — |
Total Investments | $ 241,170,478 | $ 30,523,424 | $ 210,647,054 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $247,166,240) | $ 241,170,478 |
Cash | 1,821,710 |
Receivables: | |
Fund shares sold | 4,520,853 |
Interest | 2,481,583 |
Investment securities sold | 93,260 |
Dividends | 39,008 |
Prepaid expenses | 51,703 |
Total Assets | 250,178,595 |
LIABILITIES: | |
Payables: | |
Fund shares redeemed | 3,530,979 |
Investment advisory fees | 168,176 |
Distributions | 99,269 |
12b-1 distribution and service fees | 59,733 |
Administrative fees | 34,839 |
Audit and tax fees | 33,077 |
Shareholder reporting fees | 18,522 |
Transfer agent fees | 14,027 |
Registration fees | 14,012 |
Custodian fees | 10,623 |
Commitment and administrative agency fees | 3,177 |
Trustees’ fees and expenses | 1,344 |
Financial reporting fees | 770 |
Other liabilities | 800 |
Total Liabilities | 3,989,348 |
NET ASSETS | $246,189,247 |
NET ASSETS consist of: | |
Paid-in capital | $ 262,923,373 |
Par value | 117,512 |
Accumulated distributable earnings (loss) | (16,851,638) |
NET ASSETS | $246,189,247 |
Maximum Offering Price Per Share: | |
Class A Shares: | |
Net asset value and redemption price per share (Based on net assets of $36,262,497 and 1,739,133 shares of beneficial interest issued and outstanding) | $20.85 |
Maximum sales charge (4.50% of offering price) | 0.98 |
Maximum offering price to public | $21.83 |
Class C Shares: | |
Net asset value and redemption price per share (Based on net assets of $59,610,351 and 2,848,525 shares of beneficial interest issued and outstanding) | $20.93 |
Class F Shares: | |
F Net asset value and redemption price per share (Based on net assets of $7,431,261 and 352,706 shares of beneficial interest issued and outstanding) | $21.07 |
Class I Shares: | |
Net asset value and redemption price per share (Based on net assets of $142,160,748 and 6,776,013 shares of beneficial interest issued and outstanding) | $20.98 |
Class R3 Shares: | |
R3 Net asset value and redemption price per share (Based on net assets of $724,390 and 34,812 shares of beneficial interest issued and outstanding) | $20.81 |
INVESTMENT INCOME: | ||
Interest | $ 12,850,461 | |
Dividends | 3,687,664 | |
Total investment income | 16,538,125 | |
EXPENSES: | ||
Investment advisory fees | 2,029,768 | |
12b-1 distribution and/or service fees: | ||
Class A | 96,202 | |
Class C | 633,363 | |
Class F | 10,084 | |
Class R3 | 3,612 | |
Transfer agent fees | 177,769 | |
Administrative fees | 107,832 | |
Registration fees | 96,037 | |
Shareholder reporting fees | 60,789 | |
Custodian fees | 40,840 | |
Commitment and administrative agency fees | 39,813 | |
Audit and tax fees | 34,499 | |
Legal fees | 28,698 | |
Trustees’ fees and expenses | 14,713 | |
Financial reporting fees | 9,250 | |
Listing expense | 3,000 | |
Excise tax expense | 2,923 | |
Other | 7,381 | |
Total expenses | 3,396,573 | |
Fees waived and expenses reimbursed by the investment advisor | (25,202) | |
Net expenses | 3,371,371 | |
NET INVESTMENT INCOME (LOSS) | 13,166,754 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (1,628,284) | |
Net change in unrealized appreciation (depreciation) on investments | (15,896,751) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (17,525,035) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(4,358,281) |
Year Ended 10/31/2018 | Year Ended 10/31/2017 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 13,166,754 | $ 11,315,181 | |
Net realized gain (loss) | (1,628,284) | 2,374,196 | |
Net change in unrealized appreciation (depreciation) | (15,896,751) | 5,842,618 | |
Net increase (decrease) in net assets resulting from operations | (4,358,281) | 19,531,995 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||
Class A Shares | (1,994,865) | ||
Class C Shares | (2,804,369) | ||
Class F Shares | (350,933) | ||
Class I Shares | (7,801,065) | ||
Class R3 Shares | (35,756) | ||
Total distributions to shareholders from investment operations | (12,986,988) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: | |||
Class A Shares | (2,021,236) | ||
Class C Shares | (2,466,076) | ||
Class F Shares | (405,856) | ||
Class I Shares | (6,495,243) | ||
Class R3 Shares | (34,204) | ||
Total distributions to shareholders from net investment income | (11,422,615) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM RETURN OF CAPITAL: | |||
Class A shares | (42,759) | — | |
Class C shares | (60,012) | — | |
Class F shares | (7,338) | — | |
Class I shares | (167,713) | — | |
Class R3 shares | (765) | — | |
Total distributions to shareholders from return of capital | (278,587) | — | |
CAPITAL TRANSACTIONS: | |||
Proceeds from shares sold | 107,089,680 | 120,198,101 | |
Proceeds from shares reinvested | 12,102,249 | 10,184,046 | |
Cost of shares redeemed | (108,659,756) | (83,818,787) | |
Net increase (decrease) in net assets resulting from capital transactions | 10,532,173 | 46,563,360 | |
Total increase (decrease) in net assets | (7,091,683) | 54,672,740 | |
NET ASSETS: | |||
Beginning of period | 253,280,930 | 198,608,190 | |
End of period | $246,189,247 | $253,280,930 | |
Accumulated net investment income (loss) at end of period | $557,195 |
Class A Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 22.39 | $ 21.63 | $ 21.13 | $ 21.20 | $ 20.27 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.11 (a) | 1.11 (a) | 1.16 (a) | 1.18 (a) | 1.14 (a) | ||||
Net realized and unrealized gain (loss) | (1.50) | 0.80 | 0.49 | (0.13) | 0.91 | ||||
Total from investment operations | (0.39) | 1.91 | 1.65 | 1.05 | 2.05 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.13) | (1.15) | (1.15) | (1.12) | (1.09) | ||||
Return of capital | (0.02) | — | — | — | (0.03) | ||||
Total distributions | (1.15) | (1.15) | (1.15) | (1.12) | (1.12) | ||||
Net asset value, end of period | $20.85 | $22.39 | $21.63 | $21.13 | $21.20 | ||||
Total return (b) | (1.77)% | 9.05% | 8.09% | 5.05% | 10.35% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 36,262 | $ 39,063 | $ 35,468 | $ 28,585 | $ 32,874 | ||||
Ratio of total expenses to average net assets | 1.37% | 1.36% | 1.51% (c) | 1.50% (c) | 1.40% | ||||
Ratio of net expenses to average net assets | 1.37% | 1.36% | 1.41% (c) | 1.41% (c) | 1.40% | ||||
Ratio of net investment income (loss) to average net assets | 5.15% | 5.11% | 5.50% | 5.55% | 5.47% | ||||
Portfolio turnover rate | 33% | 44% | 71% | 123% | 170% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 4.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap. |
Class C Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 22.44 | $ 21.67 | $ 21.17 | $ 21.24 | $ 20.30 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.97 (a) | 0.96 (a) | 1.01 (a) | 1.02 (a) | 0.99 (a) | ||||
Net realized and unrealized gain (loss) | (1.50) | 0.79 | 0.48 | (0.13) | 0.91 | ||||
Total from investment operations | (0.53) | 1.75 | 1.49 | 0.89 | 1.90 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.96) | (0.98) | (0.99) | (0.96) | (0.94) | ||||
Return of capital | (0.02) | — | — | — | (0.02) | ||||
Total distributions | (0.98) | (0.98) | (0.99) | (0.96) | (0.96) | ||||
Net asset value, end of period | $20.93 | $22.44 | $21.67 | $21.17 | $21.24 | ||||
Total return (b) | (2.37)% | 8.27% | 7.27% | 4.26% | 9.56% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 59,610 | $ 64,462 | $ 51,004 | $ 45,093 | $ 45,248 | ||||
Ratio of total expenses to average net assets | 2.02% | 2.06% | 2.17% (c) | 2.16% (c) | 2.18% | ||||
Ratio of net expenses to average net assets | 2.02% | 2.06% | 2.16% (c) | 2.16% (c) | 2.15% | ||||
Ratio of net investment income (loss) to average net assets | 4.50% | 4.41% | 4.76% | 4.79% | 4.75% | ||||
Portfolio turnover rate | 33% | 44% | 71% | 123% | 170% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap. |
Class F Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 22.62 | $ 21.82 | $ 21.31 | $ 21.37 | $ 20.42 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.14 (a) | 1.13 (a) | 1.18 (a) | 1.23 (a) | 1.18 (a) | ||||
Net realized and unrealized gain (loss) | (1.52) | 0.84 | 0.50 | (0.15) | 0.91 | ||||
Total from investment operations: | (0.38) | 1.97 | 1.68 | 1.08 | 2.09 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.15) | (1.17) | (1.17) | (1.14) | (1.11) | ||||
Return of capital | (0.02) | — | — | — | (0.03) | ||||
Total Distributions paid to shareholders from: | (1.17) | (1.17) | (1.17) | (1.14) | (1.14) | ||||
Net asset value, end of period | $21.07 | $22.62 | $21.82 | $21.31 | $21.37 | ||||
Total return (b) | (1.70)% | 9.27% | 8.18% | 5.16% | 10.48% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 7,431 | $ 7,339 | $ 5,025 | $ 2,501 | $ 2,617 | ||||
Ratio of total expenses to average net assets | 1.42% | 1.39% | 1.70% (c) | 1.92% | 1.81% | ||||
Ratio of net expenses to average net assets | 1.30% | 1.30% | 1.31% (c) | 1.30% | 1.30% | ||||
Ratio of net investment income (loss) to average net assets | 5.21% | 5.11% | 5.55% | 5.70% | 5.64% | ||||
Portfolio turnover rate | 33% | 44% | 71% | 123% | 170% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period. These returns include Rule 12b-1 service fees of 0.15% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | For the year ended October 31, 2016, ratios reflect excise tax of 0.01%, which is not included in the expense cap. |
Class I Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 22.49 | $ 21.71 | $ 21.21 | $ 21.27 | $ 20.33 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.20 (a) | 1.20 (a) | 1.22 (a) | 1.23 (a) | 1.20 (a) | ||||
Net realized and unrealized gain (loss) | (1.51) | 0.78 | 0.48 | (0.12) | 0.91 | ||||
Total from investment operations | (0.31) | 1.98 | 1.70 | 1.11 | 2.11 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.17) | (1.20) | (1.20) | (1.17) | (1.14) | ||||
Return of capital | (0.03) | — | — | — | (0.03) | ||||
Total distributions | (1.20) | (1.20) | (1.20) | (1.17) | (1.17) | ||||
Net asset value, end of period | $20.98 | $22.49 | $21.71 | $21.21 | $21.27 | ||||
Total return (b) | (1.38)% | 9.39% | 8.33% | 5.35% | 10.65% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 142,161 | $ 141,661 | $ 106,393 | $ 86,412 | $ 71,094 | ||||
Ratio of total expenses to average net assets | 1.02% | 0.99% | 1.16% (c) | 1.16% (c) | 1.15% | ||||
Ratio of net expenses to average net assets | 1.02% | 0.99% | 1.16% (c) | 1.16% (c) | 1.15% | ||||
Ratio of net investment income (loss) to average net assets | 5.51% | 5.49% | 5.74% | 5.80% | 5.74% | ||||
Portfolio turnover rate | 33% | 44% | 71% | 123% | 170% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap. |
Class R3 Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 22.35 | $ 21.61 | $ 21.13 | $ 21.20 | $ 20.26 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.05 (a) | 1.05 (a) | 1.11 (a) | 1.13 (a) | 1.09 (a) | ||||
Net realized and unrealized gain (loss) | (1.50) | 0.78 | 0.47 | (0.14) | 0.92 | ||||
Total from investment operations: | (0.45) | 1.83 | 1.58 | 0.99 | 2.01 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.07) | (1.09) | (1.10) | (1.06) | (1.04) | ||||
Return of capital | (0.02) | — | — | — | (0.03) | ||||
Total Distributions paid to shareholders from: | (1.09) | (1.09) | (1.10) | (1.06) | (1.07) | ||||
Net asset value, end of period | $20.81 | $22.35 | $21.61 | $21.13 | $21.20 | ||||
Total return (b) | (2.02)% | 8.70% | 7.73% | 4.79% | 10.14% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 724 | $ 756 | $ 717 | $ 357 | $ 401 | ||||
Ratio of total expenses to average net assets | 4.01% | 4.29% | 7.42% (c) | 6.56% (c) | 5.74% | ||||
Ratio of net expenses to average net assets | 1.65% | 1.65% | 1.66% (c) | 1.66% (c) | 1.65% | ||||
Ratio of net investment income (loss) to average net assets | 4.87% | 4.83% | 5.25% | 5.30% | 5.25% | ||||
Portfolio turnover rate | 33% | 44% | 71% | 123% | 170% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period. These returns include combined Rule 12b-1 distribution and service fees of 0.50%, and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | For the years ended October 31, 2016 and 2015, ratios reflect excise tax of 0.01% and 0.01%, respectively, which are not included in the expense cap. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value/Shares | Current Price | Carrying Cost | Value | % of Net Assets | ||
CoBank ACB, 3.59% | 3/29/18 | 443 | $655.00 | $300,133 | $290,165 | 0.12% | ||
Compeer Financial ACA, 6.75% | 7/31/15 | 500 | 1,070.00 | 526,250 | 535,000 | 0.22 | ||
Dairy Farmers of America, Inc., 7.13% | 9/15/16-10/4/16 | $1,300,000 | 104.75 | 1,316,875 | 1,361,750 | 0.55 | ||
Farm Credit Bank of Texas, 6.75% | 12/8/15-12/18/15 | 5,500 | 106.50 | 568,000 | 585,750 | 0.24 | ||
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17 | $1,000,000 | 101.75 | 1,000,000 | 1,017,500 | 0.41 | ||
Kinder Morgan GP, Inc., 6.22%, 08/18/57 | 6/20/17 | 500 | 916.97 | 457,500 | 458,485 | 0.19 | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 6/6/14-3/20/15 | $3,000,000 | 108.38 | 3,073,274 | 3,251,250 | 1.32 | ||
Sovereign Real Estate Investment Trust, 12.00% | 2/5/15-3/22/16 | 1,261 | 1,117.50 | 1,657,802 | 1,409,168 | 0.57 | ||
$8,899,834 | $8,909,068 | 3.62% |
Distributions paid from: | 2018 | 2017 |
Ordinary income | $12,986,988 | $11,422,615 |
Capital gains | — | — |
Return of capital | 278,587 | — |
Undistributed ordinary income | $— |
Undistributed capital gains | — |
Total undistributed earnings | — |
Accumulated capital and other losses | (10,638,364) |
Net unrealized appreciation (depreciation) | (6,213,274) |
Total accumulated earnings (losses) | (16,851,638) |
Other | — |
Paid-in capital | 263,040,885 |
Total net assets | $246,189,247 |
Expenses Subject to Recovery | ||||||||||
Advisory Fee Waiver | Expense Reimbursement | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2018 | Total | |||||
$ 25,202 | $ — | $ 65,826 | $ 25,178 | $ 25,202 | $ 116,206 |
Year Ended October 31, 2018 | Year Ended October 31, 2017 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class A | 557,982 | $ 12,132,212 | 808,030 | $ 17,542,282 | |||
Class C | 448,510 | 9,846,845 | 861,323 | 18,937,718 | |||
Class F | 253,825 | 5,480,054 | 763,726 | 16,970,043 | |||
Class I | 3,664,902 | 79,583,405 | 3,048,690 | 66,600,847 | |||
Class R3 | 2,201 | 47,164 | 6,624 | 147,211 | |||
Total Sales | 4,927,420 | $ 107,089,680 | 5,488,393 | $120,198,101 |
Year Ended October 31, 2018 | Year Ended October 31, 2017 | ||||||
Shares | Value | Shares | Value | ||||
Dividend Reinvestment: | |||||||
Class A | 68,933 | $ 1,486,664 | 66,513 | $ 1,454,350 | |||
Class C | 121,676 | 2,632,676 | 102,559 | 2,247,327 | |||
Class F | 14,267 | 311,535 | 16,322 | 361,622 | |||
Class I | 352,828 | 7,648,742 | 277,790 | 6,100,484 | |||
Class R3 | 1,052 | 22,632 | 931 | 20,263 | |||
Total Dividend Reinvestment | 558,756 | $ 12,102,249 | 464,115 | $ 10,184,046 | |||
Redemptions: | |||||||
Class A | (632,693) | $ (13,690,505) | (769,383) | $ (16,786,204) | |||
Class C | (594,141) | (12,900,474) | (444,954) | (9,686,681) | |||
Class F | (239,813) | (5,224,066) | (685,918) | (15,315,364) | |||
Class I | (3,539,637) | (76,794,684) | (1,929,595) | (41,878,505) | |||
Class R3 | (2,261) | (50,027) | (6,941) | (152,033) | |||
Total Redemptions | (5,008,545) | $ (108,659,756) | (3,836,791) | $ (83,818,787) |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 159 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 159 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 159 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 159 | Director of Covenant Transport, Inc. (May 2003 to May 2014) |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 159 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Assistant Secretary Since Trust Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
CUSTODIAN
PUBLIC ACCOUNTING FIRM
Small Cap Value Fund
1 | |
2 | |
4 | |
7 | |
8 | |
10 | |
11 | |
12 | |
13 | |
16 | |
22 | |
23 | |
28 | |
30 |
Fund Statistics | |
First Trust/Confluence Small Cap Value Fund | Net Asset Value (NAV) |
Class A (FOVAX) | $33.98 |
Class C (FOVCX) | $30.61 |
Class I (FOVIX) | $34.65 |
Sector Allocation | % of Total Investments |
Industrials | 26.5% |
Financials | 15.9 |
Health Care | 13.4 |
Information Technology | 10.4 |
Consumer Discretionary | 9.6 |
Real Estate | 9.3 |
Utilities | 6.9 |
Materials | 5.3 |
Consumer Staples | 2.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Morningstar, Inc. | 4.1% |
SJW Group | 3.5 |
Movado Group, Inc. | 3.5 |
Northwest Natural Holding Co. | 3.4 |
RBC Bearings, Inc. | 3.3 |
John Bean Technologies Corp. | 3.3 |
Kadant, Inc. | 3.3 |
Gladstone Commercial Corp. | 3.3 |
Cannae Holdings, Inc. | 3.3 |
Bank of Marin Bancorp. | 3.2 |
Total | 34.2% |
Performance as of October 31, 2018 | |||||||||||||||||||
Class A Inception 2/24/2011 | Class C Inception 3/2/2011 | Class I Inception 1/11/2011 | R2000V* | R2000 | |||||||||||||||
Cumulative Total Returns | w/o sales charge | w/max 5.50% sales charge | w/o sales charge | w/max 1.00% contingent deferred sales charge | w/o sales charge | w/o sales charges | w/o sales charges | ||||||||||||
1 Year | 4.16% | -1.57% | 3.34% | 2.37% | 4.30% | (0.59)% | 1.85% | ||||||||||||
Average Annual Total Returns | |||||||||||||||||||
5 Years | 9.17% | 7.94% | 8.27% | 8.27% | 9.20% | 7.18% | 8.01% | ||||||||||||
Since Inception | 10.16% | 9.35% | 8.78% | 8.78% | 10.36% | 9.18% | 10.08% |
Index | CY 2017 | CY 2018 (through Sept) | Oct 2018 |
Russell 2000 | 14.70% | 11.51% | (10.86%) |
Russell 2000 Value | 7.84% | 7.14% | (8.95%) |
Russell 2000 Growth | 22.17% | 15.76% | (12.65%) |
Russell 2000 | Russell 2000 Value | Small Cap Value | Attribution | |||||
Sector | Wgt | Rtn | Wgt | Rtn | Wgt | Gross Rtn | vs. Rsl 2000 | vs. Rsl 2000V |
Communication Services | 2.79 | 13.43 | 2.51 | 16.47 | 0.00 | 0.00 | 0.00 | 0.00 |
Consumer Discretionary | 11.81 | 9.62 | 9.38 | 7.70 | 10.15 | 7.85 | -0.31 | 0.08 |
Consumer Staples | 2.60 | 9.01 | 2.54 | -2.54 | 5.35 | 47.46 | 2.25 | 2.62 |
Energy | 4.23 | -4.66 | 7.00 | -1.63 | 0.00 | 0.00 | 0.28 | 0.07 |
Financial Services | 17.92 | -2.05 | 30.09 | -2.39 | 13.32 | 21.33 | 3.30 | 3.47 |
Health Care | 16.00 | 11.97 | 6.01 | 12.95 | 15.34 | -4.44 | -2.58 | -1.41 |
Industrials | 15.19 | -3.69 | 12.09 | -1.30 | 22.25 | 8.10 | 2.22 | 2.02 |
Information Technology | 15.12 | 2.22 | 9.10 | -7.45 | 10.25 | -7.73 | -1.03 | -0.11 |
Materials | 4.36 | -12.51 | 4.40 | -9.51 | 3.57 | -28.18 | -0.44 | -0.59 |
Real Estate | 6.71 | -3.16 | 10.72 | -2.68 | 10.68 | -4.76 | -0.38 | -0.22 |
Utilities | 3.27 | -0.99 | 6.16 | -0.61 | 1.11 | 4.03 | 0.12 | 0.05 |
Cash | 0.00 | 0.00 | 0.00 | 0.00 | 7.98 | 1.33 | -0.06 | 0.15 |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||||||||
Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Annualized Expense Ratios (b) | ||||||||
Class A | $ 1,000.00 | $ 1,002.40 | $ 8.08 | $ 1,000.00 | $ 1,017.14 | $ 8.13 | 1.60% | |||||||
Class C | 1,000.00 | 998.70 | 11.84 | 1,000.00 | 1,013.36 | 11.93 | 2.35 | |||||||
Class I | 1,000.00 | 1,003.50 | 6.82 | 1,000.00 | 1,018.40 | 6.87 | 1.35 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2018 through October 31, 2018), multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. |
Shares | Description | Value | ||
COMMON STOCKS – 91.6% | ||||
Air Freight & Logistics – 2.8% | ||||
10,022 | Forward Air Corp. | $601,220 | ||
Banks – 5.6% | ||||
7,934 | Bank of Marin Bancorp. | 674,311 | ||
22,769 | Veritex Holdings, Inc. (a) | 536,437 | ||
1,210,748 | ||||
Capital Markets – 4.0% | ||||
6,892 | Morningstar, Inc. | 860,122 | ||
Chemicals – 2.2% | ||||
16,190 | Innophos Holdings, Inc. | 474,367 | ||
Diversified Financial Services – 3.2% | ||||
37,180 | Cannae Holdings, Inc. (a) | 686,715 | ||
Electrical Equipment – 5.9% | ||||
14,655 | Allied Motion Technologies, Inc. | 639,837 | ||
29,638 | Thermon Group Holdings, Inc. (a) | 639,588 | ||
1,279,425 | ||||
Electronic Equipment, Instruments & Components – 2.8% | ||||
12,704 | MTS Systems Corp. | 601,534 | ||
Gas Utilities – 3.3% | ||||
10,980 | Northwest Natural Holding Co. | 711,394 | ||
Health Care Equipment & Supplies – 4.6% | ||||
18,269 | Natus Medical, Inc. (a) | 545,878 | ||
17,141 | Varex Imaging Corp. (a) | 444,980 | ||
990,858 | ||||
Health Care Providers & Services – 2.6% | ||||
24,555 | Patterson Cos., Inc. | 554,452 | ||
Hotels, Restaurants & Leisure – 3.9% | ||||
2,909 | Nathan’s Famous, Inc. | 217,855 | ||
53,653 | Potbelly Corp. (a) | 626,667 | ||
844,522 | ||||
Industrial Conglomerates – 2.7% | ||||
13,405 | Raven Industries, Inc. | 582,849 | ||
Insurance – 2.8% | ||||
21,190 | Brown & Brown, Inc. | 597,134 | ||
IT Services – 4.8% | ||||
17,757 | I3 Verticals, Inc., Class A (a) | 381,598 | ||
15,976 | Luxoft Holding, Inc. (a) | 658,690 | ||
1,040,288 |
Shares | Description | Value | ||
Life Sciences Tools & Services – 3.1% | ||||
12,419 | Cambrex Corp. (a) | $661,809 | ||
Machinery – 11.4% | ||||
10,144 | Astec Industries, Inc. | 381,516 | ||
6,691 | John Bean Technologies Corp. | 695,663 | ||
7,034 | Kadant, Inc. | 694,256 | ||
4,746 | RBC Bearings, Inc. (a) | 700,889 | ||
2,472,324 | ||||
Paper & Forest Products – 3.0% | ||||
8,010 | Neenah, Inc. | 644,485 | ||
Personal Products – 2.6% | ||||
53,436 | elf Beauty, Inc. (a) | 566,956 | ||
Pharmaceuticals – 2.8% | ||||
14,245 | Phibro Animal Health Corp., Class A | 611,395 | ||
Professional Services – 3.1% | ||||
40,904 | Resources Connection, Inc. | 667,553 | ||
Real Estate Management & Development – 3.0% | ||||
17,355 | RE/MAX Holdings, Inc., Class A | 648,904 | ||
Software – 2.5% | ||||
31,183 | Monotype Imaging Holdings, Inc. | 546,638 | ||
Textiles, Apparel & Luxury Goods – 5.5% | ||||
19,398 | Culp, Inc. | 449,064 | ||
19,174 | Movado Group, Inc. | 738,391 | ||
1,187,455 | ||||
Water Utilities – 3.4% | ||||
12,263 | SJW Group | 744,732 | ||
Total Common Stocks | 19,787,879 | |||
(Cost $19,355,390) | ||||
REAL ESTATE INVESTMENT TRUSTS – 6.1% | ||||
Equity Real Estate Investment Trusts – 6.1% | ||||
36,508 | Gladstone Commercial Corp. | 693,287 | ||
20,888 | Rayonier, Inc. | 630,818 | ||
Total Real Estate Investment Trusts | 1,324,105 | |||
(Cost $1,223,910) | ||||
Total Investments – 97.7% | 21,111,984 | |||
(Cost $20,579,300) (b) | ||||
Net Other Assets and Liabilities – 2.3% | 503,824 | |||
Net Assets – 100.0% | $21,615,808 |
(a) | Non-income producing security. |
(b) | Aggregate cost for federal income tax purposes was $20,575,937. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,543,762 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,007,715. The net unrealized appreciation was $536,047. |
Total Value at 10/31/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 19,787,879 | $ 19,787,879 | $ — | $ — |
Real Estate Investment Trusts* | 1,324,105 | 1,324,105 | — | — |
Total Investments | $ 21,111,984 | $ 21,111,984 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $20,579,300) | $ 21,111,984 |
Cash | 502,044 |
Receivables: | |
Fund shares sold | 62,420 |
Dividends | 11,235 |
Prepaid expenses | 25,346 |
Total Assets | 21,713,029 |
LIABILITIES: | |
Payables: | |
Audit and tax fees | 33,280 |
Administrative fees | 17,502 |
Fund shares redeemed | 14,813 |
Shareholder reporting fees | 7,610 |
Transfer agent fees | 7,493 |
12b-1 distribution and service fees | 4,754 |
Commitment and administrative agency fees | 4,009 |
Custodian fees | 2,039 |
Investment advisory fees | 1,933 |
Trustees’ fees and expenses | 1,329 |
Registration fees | 1,133 |
Financial reporting fees | 770 |
Legal fees | 457 |
Other liabilities | 99 |
Total Liabilities | 97,221 |
NET ASSETS | $21,615,808 |
NET ASSETS consist of: | |
Paid-in capital | $ 18,562,124 |
Par value | 6,415 |
Accumulated distributable earnings (loss) | 3,047,269 |
NET ASSETS | $21,615,808 |
Maximum Offering Price Per Share: | |
Class A Shares: | |
Net asset value and redemption price per share (Based on net assets of $6,692,146 and 196,954 shares of beneficial interest issued and outstanding) | $33.98 |
Maximum sales charge (5.50% of offering price) | 1.98 |
Maximum offering price to public | $35.96 |
Class C Shares: | |
Net asset value and redemption price per share (Based on net assets of $3,621,443 and 118,319 shares of beneficial interest issued and outstanding) | $30.61 |
Class I Shares: | |
Net asset value and redemption price per share (Based on net assets of $11,302,219 and 326,222 shares of beneficial interest issued and outstanding) | $34.65 |
INVESTMENT INCOME: | ||
Dividends | $ 191,780 | |
Interest | 17,248 | |
Total investment income | 209,028 | |
EXPENSES: | ||
Investment advisory fees | 199,111 | |
12b-1 distribution and/or service fees: | ||
Class A | 16,121 | |
Class C | 40,291 | |
Transfer agent fees | 68,378 | |
Administrative fees | 52,502 | |
Registration fees | 45,309 | |
Audit and tax fees | 32,524 | |
Shareholder reporting fees | 27,078 | |
Commitment and administrative agency fees | 26,633 | |
Trustees’ fees and expenses | 15,699 | |
Financial reporting fees | 9,250 | |
Custodian fees | 4,441 | |
Legal fees | 4,032 | |
Listing expense | 1,800 | |
Other | 245 | |
Total expenses | 543,414 | |
Fees waived and expenses reimbursed by the investment advisor | (218,185) | |
Net expenses | 325,229 | |
NET INVESTMENT INCOME (LOSS) | (116,201) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | 2,628,572 | |
Net change in unrealized appreciation (depreciation) on investments | (1,939,618) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 688,954 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 572,753 |
Year Ended 10/31/2018 | Year Ended 10/31/2017 | ||
OPERATIONS: | |||
Net investment income (loss) | $ (116,201) | $ (84,938) | |
Net realized gain (loss) | 2,628,572 | 1,061,171 | |
Net change in unrealized appreciation (depreciation) | (1,939,618) | 1,828,856 | |
Net increase (decrease) in net assets resulting from operations | 572,753 | 2,805,089 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||
Class A Shares | (328,598) | ||
Class C Shares | (234,993) | ||
Class I Shares | (407,096) | ||
Total distributions to shareholders from investment operations | (970,687) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM NET REALIZED GAIN: | |||
Class A Shares | (58,496) | ||
Class C Shares | (47,722) | ||
Class I Shares | (34,235) | ||
Total distributions to shareholders from net realized gain | (140,453) | ||
CAPITAL TRANSACTIONS: | |||
Proceeds from shares sold | 9,965,431 | 8,490,868 | |
Proceeds from shares reinvested | 912,306 | 123,849 | |
Cost of shares redeemed | (5,754,814) | (3,494,346) | |
Net increase (decrease) in net assets resulting from capital transactions | 5,122,923 | 5,120,371 | |
Total increase (decrease) in net assets | 4,724,989 | 7,785,007 | |
NET ASSETS: | |||
Beginning of period | 16,890,819 | 9,105,812 | |
End of period | $21,615,808 | $16,890,819 | |
Accumulated net investment income (loss) at end of period | $3,363 |
Class A Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 34.48 | $ 27.81 | $ 26.34 | $ 28.03 | $ 26.77 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | (0.20) | (0.16) | (0.10) | 0.04 | 0.00 (b) | ||||
Net realized and unrealized gain (loss) | 1.63 | 7.20 | 1.97 | 0.31 | 2.39 | ||||
Total from investment operations | 1.43 | 7.04 | 1.87 | 0.35 | 2.39 | ||||
Distributions paid to shareholders from: | |||||||||
Net realized gain | (1.93) | (0.37) | (0.40) | (2.04) | (1.13) | ||||
Net asset value, end of period | $33.98 | $34.48 | $27.81 | $26.34 | $28.03 | ||||
Total return (c) | 4.16% | 25.53% | 7.22% | 1.22% | 9.23% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 6,692 | $ 5,656 | $ 3,767 | $ 1,413 | $ 1,144 | ||||
Ratio of total expenses to average net assets | 2.71% | 3.56% | 5.69% | 7.61% | 8.65% | ||||
Ratio of net expenses to average net assets | 1.60% | 1.60% | 1.61% (d) | 1.60% | 1.60% | ||||
Ratio of net investment income (loss) to average net assets | (0.56)% | (0.50)% | (0.38)% | 0.16% | 0.00% (e) | ||||
Portfolio turnover rate | 35% | 28% | 15% | 17% | 39% |
(a) | Based on average shares outstanding. |
(b) | Amount represents less than $0.01 per share. |
(c) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 5.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(d) | Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.60%. |
(e) | Amount is less than 0.01%. |
Class C Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 31.47 | $ 25.61 | $ 24.51 | $ 26.44 | $ 25.51 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | (0.42) | (0.36) | (0.28) | (0.14) | (0.19) | ||||
Net realized and unrealized gain (loss) | 1.49 | 6.59 | 1.78 | 0.25 | 2.25 | ||||
Total from investment operations | 1.07 | 6.23 | 1.50 | 0.11 | 2.06 | ||||
Distributions paid to shareholders from: | |||||||||
Net realized gain | (1.93) | (0.37) | (0.40) | (2.04) | (1.13) | ||||
Net asset value, end of period | $30.61 | $31.47 | $25.61 | $24.51 | $26.44 | ||||
Total return (b) | 3.34% | 24.58% | 6.28% | 0.33% | 8.36% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 3,621 | $ 3,962 | $ 3,237 | $ 2,247 | $ 1,977 | ||||
Ratio of total expenses to average net assets | 3.69% | 4.45% | 6.28% | 7.93% | 8.81% | ||||
Ratio of net expenses to average net assets | 2.35% | 2.35% | 2.36% (c) | 2.35% | 2.35% | ||||
Ratio of net investment income (loss) to average net assets | (1.31)% | (1.25)% | (1.12)% | (0.57)% | (0.73)% | ||||
Portfolio turnover rate | 35% | 28% | 15% | 17% | 39% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 2.35%. |
Class I Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 35.07 | $ 28.40 | $ 26.84 | $ 28.52 | $ 27.15 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | (0.11) | (0.09) | (0.05) | 0.10 | 0.08 | ||||
Net realized and unrealized gain (loss) | 1.62 | 7.13 | 2.01 | 0.26 | 2.42 | ||||
Total from investment operations | 1.51 | 7.04 | 1.96 | 0.36 | 2.50 | ||||
Distributions paid to shareholders from: | |||||||||
Net realized gain | (1.93) | (0.37) | (0.40) | (2.04) | (1.13) | ||||
Net asset value, end of period | $34.65 | $35.07 | $28.40 | $26.84 | $28.52 | ||||
Total return (b) | 4.30% | 24.99% | 7.46% | 1.23% | 9.51% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 11,302 | $ 7,273 | $ 2,101 | $ 813 | $ 592 | ||||
Ratio of total expenses to average net assets | 2.33% | 3.22% | 5.63% | 8.46% | 11.05% | ||||
Ratio of net expenses to average net assets | 1.35% | 1.35% | 1.35% | 1.35% | 1.35% | ||||
Ratio of net investment income (loss) to average net assets | (0.29)% | (0.28)% | (0.16)% | 0.38% | 0.28% | ||||
Portfolio turnover rate | 35% | 28% | 15% | 17% | 39% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2018 | 2017 |
Ordinary income | $247,923 | $38,034 |
Capital gains | 722,764 | 102,419 |
Return of capital | — | — |
Undistributed ordinary income | $400,889 |
Undistributed capital gains | 2,110,333 |
Total undistributed earnings | 2,511,222 |
Accumulated capital and other losses | — |
Net unrealized appreciation (depreciation) | 536,047 |
Total accumulated earnings (losses) | 3,047,269 |
Other | — |
Paid-in capital | 18,568,539 |
Total net assets | $21,615,808 |
Expenses Subject to Recovery | ||||||||||
Advisory Fee Waiver | Expense Reimbursement | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2018 | Total | |||||
$ 199,111 | $ 19,074 | $ 247,943 | $ 262,436 | $ 218,185 | $ 728,564 |
Year Ended October 31, 2018 | Year Ended October 31, 2017 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class A | 62,108 | $ 2,190,325 | 83,953 | $ 2,640,636 | |||
Class C | 34,840 | 1,080,006 | 27,393 | 779,701 | |||
Class I | 187,274 | 6,695,100 | 158,422 | 5,070,531 | |||
Total Sales | 284,222 | $ 9,965,431 | 269,768 | $ 8,490,868 | |||
Dividend Reinvestment: | |||||||
Class A | 8,807 | $ 299,176 | 1,525 | $ 45,810 | |||
Class C | 7,113 | 219,210 | 1,621 | 44,739 | |||
Class I | 11,385 | 393,920 | 1,086 | 33,300 | |||
Total Dividend Reinvestment | 27,305 | $ 912,306 | 4,232 | $ 123,849 | |||
Redemptions: | |||||||
Class A | (38,003) | $ (1,336,253) | (56,930) | $ (1,779,700) | |||
Class C | (49,530) | (1,564,657) | (29,546) | (854,770) | |||
Class I | (79,846) | (2,853,904) | (26,091) | (859,876) | |||
Total Redemptions | (167,379) | $ (5,754,814) | (112,567) | $ (3,494,346) |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 159 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 159 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 159 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 159 | Director of Covenant Transport, Inc. (May 2003 to May 2014) |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 159 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Assistant Secretary Since Trust Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
CUSTODIAN
PUBLIC ACCOUNTING FIRM
High Income Fund
1 | |
2 | |
4 | |
6 | |
7 | |
21 | |
22 | |
23 | |
24 | |
27 | |
34 | |
35 | |
40 | |
42 |
Fund Statistics | |
First Trust Short Duration High Income Fund | Net Asset Value (NAV) |
Class A (FDHAX) | $19.62 |
Class C (FDHCX) | $19.60 |
Class I (FDHIX) | $19.63 |
Credit Quality(1) | % of Senior Loans and Other Debt Securities(2) |
BBB+ | 0.4% |
BBB- | 6.9 |
BB+ | 5.4 |
BB | 7.8 |
BB- | 15.5 |
B+ | 23.2 |
B | 20.6 |
B- | 13.3 |
CCC+ | 5.0 |
CCC | 1.5 |
D | 0.4 |
Not Rated | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Top 10 Issuers | % of Senior Loans and Other Securities(2) |
Bausch Health Companies, Inc. (Valeant) | 3.7% |
Vistra Operations Company LLC (TEX/TXU) | 2.6% |
Tenet Healthcare Corp. | 2.4% |
Stars Group Holdings B.V. (Amaya) | 2.3% |
ClubCorp Club Operations, Inc. | 2.1% |
Caesars Resort Collection, LLC | 2.0% |
Endo LLC | 1.8% |
DJO Finance LLC (ReAble Therapeutics Finance LLC) | 1.8% |
Parexel International Corp. | 1.8% |
Reynolds Group Holdings, Inc. | 1.7% |
Total | 22.2% |
Industry Classification | % of Senior Loans and Other Securities(2) |
Health Care Providers & Services | 14.0% |
Hotels, Restaurants & Leisure | 13.3 |
Software | 11.1 |
Pharmaceuticals | 8.8 |
Media | 5.5 |
Life Sciences Tools & Services | 4.5 |
Diversified Financial Services | 3.7 |
Insurance | 3.2 |
Electric Utilities | 2.9 |
Professional Services | 2.3 |
Auto Components | 2.1 |
Containers & Packaging | 2.1 |
Food & Staples Retailing | 2.1 |
Commercial Services & Supplies | 1.9 |
Health Care Equipment & Supplies | 1.9 |
Building Products | 1.8 |
Diversified Consumer Services | 1.6 |
Diversified Telecommunication Services | 1.5 |
Technology Hardware, Storage & Peripherals | 1.3 |
Industrial Conglomerates | 1.2 |
Health Care Technology | 1.2 |
Wireless Telecommunication Services | 1.1 |
Oil, Gas & Consumable Fuels | 1.0 |
Capital Markets | 1.0 |
Entertainment | 1.0 |
Household Products | 1.0 |
Food Products | 0.9 |
Real Estate Management & Development | 0.8 |
Chemicals | 0.7 |
Metals & Mining | 0.7 |
Aerospace & Defense | 0.6 |
Specialty Retail | 0.6 |
Equity Real Estate Investment Trusts | 0.5 |
Household Durables | 0.5 |
Automobiles | 0.4 |
Semiconductors & Semiconductor Equipment | 0.4 |
Machinery | 0.3 |
Construction & Engineering | 0.3 |
Trading Companies & Distributors | 0.1 |
Personal Products | 0.1 |
Energy Equipment & Services | 0.0* |
Consumer Finance | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Dividend Distributions | A Shares | C Shares | I Shares |
Current Monthly Distribution per Share(3) | $0.0709 | $0.0585 | $0.0750 |
Current Distribution Rate on NAV(4) | 4.34% | 3.58% | 4.58% |
(1) | The ratings are by Standard & Poor’s. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to its debt obligations. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not the Fund or its shares. Credit ratings are subject to change. |
(2) | Percentages are based on long-term positions. Money market funds are excluded. |
(3) | Most recent distribution paid or declared through 10/31/2018. Subject to change in the future. |
(4) | Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by NAV as of 10/31/2018. Subject to change in the future. |
Performance as of October 31, 2018 | ||||||||||||||||||||||
A Shares Inception 11/1/2012 | C Shares Inception 11/1/2012 | I Shares Inception 11/1/2012 | Blended Index* | HUC0* | SPBDAL* | |||||||||||||||||
Cumulative Total Returns | w/o sales charge | w/max 3.50% sales charge | w/o sales charge | w/max 1.00% contingent deferred sales charge | w/o sales charge | w/o sales charges | w/o sales charges | w/o sales charges | ||||||||||||||
1 Year | 2.61% | (1.00)% | 1.85% | 0.87% | 2.92% | 2.69% | 0.86% | 4.54% | ||||||||||||||
Average Annual Total Returns | ||||||||||||||||||||||
5 Years | 3.32% | 2.58% | 2.55% | 2.55% | 3.58% | 4.35% | 4.69% | 3976% | ||||||||||||||
Since Inception | 4.06% | 3.44% | 3.28% | 3.28% | 4.33% | 4.80% | 5.35% | 4.22% | ||||||||||||||
30-Day SEC Yield(6) | 3.90% | 3.23% | 4.30% | N/A | N/A | N/A |
(5) | The Blended Index return is a 50/50 split between the ICE BofAML US High Yield Constrained Index and the S&P/LSTA Leveraged Loan Index returns. |
(6) | 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period. The reported SEC yields are subsidized. The subsidized yields reflect the waiver and/or a reimbursement of Fund expenses, which has the effect of lowering the Fund’s expense ratio and generating a higher yield. |
Actual Expenses | Hypothetical (5% Return Before Expenses) | ||||||||
Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Annualized Expense Ratios (b) | |||
Class A | $ 1,000.00 | $ 1,014.60 | $ 6.09 | $ 1,000.00 | $ 1,019.16 | $ 6.11 | 1.20% | ||
Class C | 1,000.00 | 1,010.80 | 9.88 | 1,000.00 | 1,015.38 | 9.91 | 1.95 | ||
Class I | 1,000.00 | 1,015.80 | 4.83 | 1,000.00 | 1,020.42 | 4.84 | 0.95 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2018 through October 31, 2018) multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS – 73.9% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
$296,677 | Science Applications International Corp, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.06% | 10/31/25 | $295,935 | ||||
601,776 | Transdigm Inc., Tranche E Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 05/30/25 | 598,177 | ||||
504,998 | Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 06/09/23 | 502,291 | ||||
1,396,403 | ||||||||
Alternative Carriers – 0.4% | ||||||||
1,000,000 | Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.53% | 02/22/24 | 1,000,470 | ||||
Application Software – 4.3% | ||||||||
918,849 | CCC Information Services Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.31% | 04/26/24 | 919,015 | ||||
447,193 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 5.55% | 07/01/24 | 449,335 | ||||
1,266,517 | Informatica Corporation, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 08/06/22 | 1,270,874 | ||||
898,382 | Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.31% | 11/01/23 | 899,083 | ||||
238,749 | Micro Focus International (MA Financeco, LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 06/21/24 | 237,928 | ||||
1,612,332 | Micro Focus International (MA Financeco, LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 06/21/24 | 1,606,785 | ||||
2,016,078 | Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 11/30/24 | 2,005,997 | ||||
487,816 | Qlik Technologies (Project Alpha Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.94% | 04/26/24 | 485,377 | ||||
2,040,887 | RP Crown Parent, Inc. (JDA Software Group), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 10/12/23 | 2,035,274 | ||||
9,909,668 | ||||||||
Asset Management & Custody Banks – 0.5% | ||||||||
360,000 | First Eagle Investment Management, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 12/01/24 | 360,450 | ||||
376,785 | Harbourvest Partners L.P., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.53% | 03/01/25 | 376,315 | ||||
434,497 | Victory Capital Holdings, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 02/15/25 | 435,040 | ||||
1,171,805 | ||||||||
Auto Parts & Equipment – 1.8% | ||||||||
2,768,827 | Gates Global LLC, Initial B-2 Dollar Term Loans, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 03/31/24 | 2,770,073 | ||||
369,256 | Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/30/24 | 360,641 | ||||
773,508 | Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/30/24 | 755,462 | ||||
332,326 | Tower Automotive Holdings USA LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.06% | 03/07/24 | 331,495 | ||||
4,217,671 | ||||||||
Broadcasting – 1.3% | ||||||||
326,701 | Cumulus Media Holdings Inc., Exit Term Loan, 1 Mo. LIBOR + 4.50%, 1.00% Floor | 6.81% | 05/15/22 | 322,415 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Broadcasting (Continued) | ||||||||
$2,764,366 | Tribune Media Co. (fka Tribune Co.), Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.30% | 01/27/24 | $2,769,564 | ||||
20,159 | Tribune Media Co. (fka Tribune Co.), Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.30% | 12/27/20 | 20,190 | ||||
3,112,169 | ||||||||
Building Products – 1.5% | ||||||||
86,478 | Beacon Roofing Supply, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.53% | 01/02/25 | 85,570 | ||||
3,207,918 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 11/15/23 | 3,193,097 | ||||
112,721 | Resideo Technologies Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.49% | 10/24/25 | 112,933 | ||||
3,391,600 | ||||||||
Cable & Satellite – 1.1% | ||||||||
378,455 | Cablevision (CSC Holdings, Inc.), January 2018 Term Loans, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.78% | 01/25/26 | 377,626 | ||||
1,561,000 | Cablevision (CSC Holdings, Inc.), New Additional Term Loan B3, 2 Mo. LIBOR + 2.25%, 0.00% Floor | 4.75% | 01/10/26 | 1,556,614 | ||||
579,000 | Virgin Media Investment Holdings Ltd., Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.78% | 01/15/26 | 578,334 | ||||
2,512,574 | ||||||||
Casinos & Gaming – 7.6% | ||||||||
124,503 | Aristocrat Technologies, Term B-3 Loan, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 4.22% | 10/19/24 | 123,993 | ||||
4,367,000 | Caesars Resort Collection, LLC., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 12/22/24 | 4,366,389 | ||||
1,843,740 | CityCenter Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.55% | 04/18/24 | 1,838,559 | ||||
39,679 | Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.05% | 10/04/23 | 39,697 | ||||
1,071,536 | Golden Nugget, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.19%-5.28% | 10/04/23 | 1,072,040 | ||||
1,243,899 | Las Vegas Sands LLC, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.05% | 03/27/25 | 1,238,675 | ||||
513,010 | MGM Growth Properties Operating Partnership LP, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 03/23/25 | 511,179 | ||||
552,022 | Penn National Gaming, Inc., Term Loan B, 2 Mo. LIBOR + 2.25%, 0.00% Floor | 4.58% | 10/01/25 | 553,402 | ||||
127,666 | Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 08/14/24 | 126,343 | ||||
535,189 | Scientific Games International, Inc., Term Loan B5, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 5.04% | 08/14/24 | 529,644 | ||||
4,997,623 | Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 5.89% | 07/28/25 | 5,015,665 | ||||
760,288 | Station Casinos, Inc (Red Rock), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.81% | 06/08/23 | 759,262 | ||||
1,486,119 | VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.28% | 12/20/24 | 1,481,631 | ||||
17,656,479 | ||||||||
Coal & Consumable Fuels – 0.2% | ||||||||
230,141 | Arch Coal, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 03/07/24 | 229,799 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Coal & Consumable Fuels (Continued) | ||||||||
$126,126 | Peabody Energy, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 03/31/25 | $125,770 | ||||
355,569 | ||||||||
Commercial Printing – 0.2% | ||||||||
376,771 | Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 10/31/24 | 377,479 | ||||
Construction & Engineering – 0.3% | ||||||||
69,823 | Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.81% | 03/23/25 | 70,172 | ||||
554,597 | Westinghouse Electric (Brookfield WEC Holdings Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 6.05% | 07/31/25 | 557,525 | ||||
627,697 | ||||||||
Diversified Chemicals – 0.1% | ||||||||
182,829 | Ineos US Finance LLC, 2024 Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 03/31/24 | 182,401 | ||||
Diversified Support Services – 0.6% | ||||||||
1,321,488 | Brightview Landscapes (FKA - Brickman), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 08/15/25 | 1,321,078 | ||||
Electric Utilities – 2.6% | ||||||||
745,062 | Dayton Power & Light Co., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.31% | 08/24/22 | 744,601 | ||||
1,861,375 | Vistra Operations Co. LLC (TEX/TXU), 2016 Incremental Term Loan B2, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 12/14/23 | 1,862,082 | ||||
2,062,943 | Vistra Operations Co. LLC (TEX/TXU), 2018 Incremental Term Loan B3, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.29% | 12/31/25 | 2,055,434 | ||||
1,433,035 | Vistra Operations Co. LLC (TEX/TXU), Initial Term Loan B1, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 08/04/23 | 1,429,051 | ||||
6,091,168 | ||||||||
Environmental & Facilities Services – 0.8% | ||||||||
680,416 | GFL Environmental Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 05/31/25 | 669,359 | ||||
319,512 | GFL Environmental Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 05/31/25 | 314,320 | ||||
601,318 | Packers Holding LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.28% | 12/04/24 | 600,314 | ||||
233,698 | Servicemaster Company, LLC, The, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 11/08/23 | 234,516 | ||||
1,818,509 | ||||||||
Food Retail – 0.6% | ||||||||
455,458 | Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.38% | 12/21/22 | 454,064 | ||||
1,016,587 | Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.31% | 06/22/23 | 1,011,504 | ||||
1,465,568 | ||||||||
Health Care Equipment – 0.8% | ||||||||
98,750 | Acelity L.P., Inc. (Kinetic Concepts, Inc.), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.64% | 01/31/24 | 99,018 | ||||
898,602 | DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.65% | 06/08/20 | 896,544 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Equipment (Continued) | ||||||||
$901,050 | DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.65% | 06/08/20 | $898,987 | ||||
1,894,549 | ||||||||
Health Care Facilities – 0.5% | ||||||||
194,406 | Acadia Healthcare Co., Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 02/11/22 | 194,649 | ||||
118,664 | Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 02/16/23 | 118,812 | ||||
508,777 | Concentra, Inc. (fka MJ Acquisitions), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.03% | 06/01/22 | 509,413 | ||||
364,353 | Gentiva Health Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.06% | 06/30/25 | 365,719 | ||||
1,188,593 | ||||||||
Health Care Services – 6.2% | ||||||||
936,991 | 21st Century Oncology Holdings, Inc. (21st Century Oncology, Inc.), Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor | 8.57% | 01/16/23 | 871,992 | ||||
160,674 | Agiliti Health, Inc. (Universal Hospital Services), Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.31% | 10/31/25 | 161,477 | ||||
385,053 | Air Medical Group Holdings, Inc. (Global Medical Responses), 2018 New Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.53% | 03/14/25 | 377,351 | ||||
404,253 | Air Medical Group Holdings, Inc. (Global Medical Responses), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.53% | 04/28/22 | 391,923 | ||||
1,212,619 | Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 04/21/24 | 1,092,873 | ||||
1,280,601 | CDRH Parent, Inc. (Healogics, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.58% | 07/01/21 | 1,198,643 | ||||
458,142 | CHG Healthcare Services, Inc. (fka CHG Buyer Corp.), Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 06/07/23 | 459,287 | ||||
816,205 | CHG Healthcare Services, Inc. (fka CHG Buyer Corp.), Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 06/07/23 | 818,245 | ||||
1,621,651 | DuPage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.05% | 08/15/24 | 1,607,964 | ||||
1,912,109 | Envision Healthcare Corporation, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.05% | 10/10/25 | 1,870,884 | ||||
243,217 | ExamWorks (Gold Merger Co., Inc.), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 07/27/23 | 243,825 | ||||
1,180,597 | Surgery Centers Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.57% | 08/31/24 | 1,177,351 | ||||
2,020,801 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 02/06/24 | 1,907,131 | ||||
2,004,253 | U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 12/30/22 | 1,939,115 | ||||
368,768 | Verscend Technologies, Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 6.80% | 08/27/25 | 371,420 | ||||
14,489,481 | ||||||||
Health Care Technology – 0.6% | ||||||||
1,470,431 | Change Healthcare Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.05% | 03/01/24 | 1,468,049 | ||||
Hotels, Resorts & Cruise Lines – 0.0% | ||||||||
80,732 | Wyndham Hotels & Resorts, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.05% | 03/28/25 | 80,648 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Household Appliances – 0.4% | ||||||||
$1,029,703 | Traeger Grills (TGP Holdings III LLC), Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 09/25/24 | $1,010,396 | ||||
Household Products – 0.9% | ||||||||
249,037 | Energizer Holding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 06/30/25 | 249,194 | ||||
575,347 | Spectrum Brands, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.31% | 06/23/22 | 575,140 | ||||
764,739 | Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor | 4.33%-4.40% | 06/23/22 | 764,464 | ||||
431,511 | Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.35% | 06/23/22 | 431,355 | ||||
2,020,153 | ||||||||
Human Resource & Employment Services – 0.4% | ||||||||
912,461 | Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 05/01/24 | 912,232 | ||||
Hypermarkets & Super Centers – 1.3% | ||||||||
3,077,792 | BJ’s Wholesale Club, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.28% | 02/03/24 | 3,083,086 | ||||
Industrial Conglomerates – 1.2% | ||||||||
706,358 | Accudyne Industries, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 08/18/24 | 702,826 | ||||
1,638,119 | Gardner Denver, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 07/30/24 | 1,640,380 | ||||
367,725 | Messer Industries USA, Inc., Initial Term B-1, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 09/30/25 | 367,633 | ||||
2,710,839 | ||||||||
Insurance Brokers – 2.6% | ||||||||
2,636,760 | Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.03% | 01/25/24 | 2,639,397 | ||||
2,061 | HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.36% | 04/25/25 | 2,054 | ||||
820,253 | HUB International Ltd., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.49% | 04/25/25 | 817,432 | ||||
854,274 | National Financial Partners Corp. (NFP), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 01/06/24 | 850,643 | ||||
1,610,854 | USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 05/15/24 | 1,600,786 | ||||
5,910,312 | ||||||||
Integrated Telecommunication Services – 1.0% | ||||||||
2,231,316 | Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 01/31/25 | 2,206,214 | ||||
Leisure Facilities – 1.0% | ||||||||
2,456,004 | ClubCorp Club Operations, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 09/18/24 | 2,413,908 | ||||
Life Sciences Tools & Services – 3.7% | ||||||||
501,964 | Immucor, Inc., Term Loan B-3, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 7.39% | 06/15/21 | 509,494 | ||||
920,346 | Ortho-Clinical Diagnostics Holdings Luxembourg, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.54% | 05/31/25 | 916,894 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Life Sciences Tools & Services (Continued) | ||||||||
$3,855,267 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 09/27/24 | $3,795,048 | ||||
816,249 | Pharmaceutical Product Development, Inc. (PPDI), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.80% | 08/18/22 | 813,188 | ||||
965,427 | Quintiles IMS, Inc. (IQVIA), Term Loan B3, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 4.14% | 06/15/25 | 961,806 | ||||
1,696,350 | Sotera Health Holdings, LLC (Sterigenics), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 05/15/22 | 1,697,758 | ||||
8,694,188 | ||||||||
Managed Health Care – 1.1% | ||||||||
1,180,808 | Davis Vision (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 12/02/24 | 1,176,675 | ||||
1,304,171 | MultiPlan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.14% | 06/07/23 | 1,299,829 | ||||
2,476,504 | ||||||||
Metal & Glass Containers – 0.3% | ||||||||
546,009 | Berlin Packaging LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.26%-5.30% | 11/07/25 | 545,021 | ||||
62,053 | Berlin Packaging LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 11/07/25 | 61,940 | ||||
71,846 | Crown Holdings, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.28% | 04/03/25 | 71,885 | ||||
678,846 | ||||||||
Movies & Entertainment – 0.5% | ||||||||
756,200 | Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.80% | 02/05/25 | 752,495 | ||||
442,159 | Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.29% | 02/15/24 | 442,711 | ||||
1,195,206 | ||||||||
Oil & Gas Equipment & Services – 0.1% | ||||||||
105,534 | NorthRiver Midsteam Finance LP (Grizzly/Enbridge), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.65% | 09/30/25 | 105,974 | ||||
Oil & Gas Exploration & Production – 0.0% | ||||||||
66,667 | Ascent Resources - Marcellus LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor (c) | 8.78% | 03/30/23 | 66,750 | ||||
Oil & Gas Storage & Transportation – 0.3% | ||||||||
588,429 | Lotus Midstream (Centurion Pipeline Company LLC), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.64% | 09/30/25 | 591,007 | ||||
Other Diversified Financial Services – 3.1% | ||||||||
3,269,986 | AlixPartners LLP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 04/04/24 | 3,269,986 | ||||
2,524,150 | Duff & Phelps Corp. (Deerfield Dakota), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 02/13/25 | 2,518,899 | ||||
723,136 | Financial & Risk US Holdings, Inc. (Refinitiv), Initial Dollar Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.05% | 10/01/25 | 715,305 | ||||
782,000 | Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 07/01/23 | 782,649 | ||||
7,286,839 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Packaged Foods & Meats – 0.6% | ||||||||
$146,678 | Hostess Brands, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.55% | 08/03/22 | $145,807 | ||||
911 | Hostess Brands, LLC, Term Loan B, 2 Mo. LIBOR + 2.25%, 0.75% Floor | 4.55% | 08/03/22 | 906 | ||||
214,086 | Hostess Brands, LLC, Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.55% | 08/03/22 | 212,814 | ||||
1,140,689 | Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.29% | 05/24/24 | 1,138,852 | ||||
1,498,379 | ||||||||
Paper Packaging – 1.5% | ||||||||
3,435,094 | Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.05% | 02/05/23 | 3,435,094 | ||||
Personal Products – 0.1% | ||||||||
214,306 | Rodan & Fields, Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 6.28% | 06/15/25 | 215,377 | ||||
Pharmaceuticals – 6.2% | ||||||||
330,206 | Akorn, Inc., Loan, 3 Mo. LIBOR + 5.50%, 1.00% Floor | 7.18% | 04/16/21 | 304,734 | ||||
6,830,581 | Bausch Health Companies, Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.27% | 06/01/25 | 6,829,010 | ||||
705,596 | Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 4.55% | 05/20/24 | 708,023 | ||||
852,000 | Concordia Healthcare, Dollar Term Loan, 1 Mo. LIBOR + 5.50%, 1.00% Floor | 7.78% | 09/06/24 | 832,830 | ||||
1,824,959 | Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 6.56% | 04/29/24 | 1,831,420 | ||||
730,358 | GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.28% | 10/15/25 | 733,403 | ||||
496,222 | Grifols Worldwide Operations Limited, Tranche B Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.47% | 01/31/25 | 496,445 | ||||
2,106,681 | Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.31% | 03/29/24 | 2,106,681 | ||||
241,492 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.14% | 09/24/24 | 238,133 | ||||
241,505 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.52% | 02/24/25 | 239,655 | ||||
14,320,334 | ||||||||
Real Estate Services – 0.4% | ||||||||
997,487 | Realogy Corp., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.53% | 02/08/25 | 994,056 | ||||
Research & Consulting Services – 1.8% | ||||||||
1,555,514 | Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 07/23/21 | 1,411,629 | ||||
952,764 | Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.55% | 07/25/21 | 863,842 | ||||
1,674,500 | Information Resources, Inc. (fka Symphonyiri Group, Inc.), Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.57% | 01/18/24 | 1,673,110 | ||||
214,503 | TransUnion LLC, Term Loan B4, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 06/30/25 | 213,928 | ||||
4,162,509 | ||||||||
Restaurants – 1.6% | ||||||||
262,027 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor | 5.46% | 01/18/25 | 261,262 | ||||
1,000,000 | Portillo’s Holdings LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor | 10.39% | 08/15/22 | 1,000,000 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Restaurants (Continued) | ||||||||
$2,428,114 | Portillo’s Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor | 6.89% | 08/02/21 | $2,423,573 | ||||
3,684,835 | ||||||||
Retail REITs – 0.5% | ||||||||
1,078,056 | Capital Automotive LP, 2nd Lien Term Loan, 1 Mo. LIBOR + 6.00%, 1.00% Floor | 8.30% | 03/15/25 | 1,092,879 | ||||
Security & Alarm Services – 0.3% | ||||||||
184,292 | Frontdoor, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 08/16/25 | 184,293 | ||||
533,256 | Garda World Security Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.82% | 05/26/24 | 534,813 | ||||
719,106 | ||||||||
Semiconductors – 0.3% | ||||||||
783,514 | Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.31% | 05/29/25 | 780,380 | ||||
Specialized Consumer Services – 1.5% | ||||||||
1,114,000 | Asurion LLC (fka Assurion Corp.), Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor | 8.80% | 07/31/25 | 1,142,685 | ||||
997,500 | Asurion LLC (fka Assurion Corp.), Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 11/03/24 | 998,039 | ||||
264,020 | Asurion LLC (fka Assurion Corp.), Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 08/04/22 | 264,255 | ||||
1,037,330 | Asurion LLC (fka Assurion Corp.), Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 11/03/23 | 1,037,766 | ||||
3,442,745 | ||||||||
Specialized Finance – 0.4% | ||||||||
921,108 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.28% | 05/09/25 | 919,828 | ||||
Specialty Chemicals – 0.6% | ||||||||
517,333 | Akzonobel Specialty Chemicals (Starfruit), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.51% | 10/01/25 | 515,394 | ||||
871,629 | H.B. Fuller Company, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.28% | 10/20/24 | 867,994 | ||||
75,432 | Macdermid, Inc. (Platform Specialty Products Corp.), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.30% | 06/07/23 | 75,448 | ||||
1,458,836 | ||||||||
Specialty Stores – 0.5% | ||||||||
451,172 | Party City Holdings, Inc. (Party City Corp.), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.06% | 08/19/22 | 452,219 | ||||
813,872 | Toys “R” US, Term B-2 Loan, 3 Mo. PRIME + 2.75%, 1.50% Floor (d) (e) | 8.00% | 05/25/18 | 403,681 | ||||
721,690 | Toys “R” US, Term B4 Loan, 3 Mo. PRIME + 7.75%, 1.00% Floor (d) (e) | 13.00% | 04/25/20 | 366,560 | ||||
1,222,460 | ||||||||
Systems Software – 6.0% | ||||||||
1,331,351 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 09/13/24 | 1,335,519 | ||||
234,945 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 9.39% | 09/13/25 | 238,352 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Systems Software (Continued) | ||||||||
$1,445,495 | Avast Software B.V. (Sybil), Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 4.89% | 09/30/23 | $1,449,889 | ||||
1,962,040 | BMC Software Finance, Inc. (Boxer Parent), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 6.65% | 10/02/25 | 1,966,748 | ||||
1,251,451 | Dynatrace LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 08/22/25 | 1,258,234 | ||||
1,329,455 | Misys Financial Software Ltd. (Almonde, Inc.)(Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/13/24 | 1,320,960 | ||||
1,815,616 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.56% | 04/24/22 | 1,803,143 | ||||
2,171,737 | SS&C European Holdings, S.a.r.l, Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 04/16/25 | 2,159,662 | ||||
841,765 | SS&C European Holdings, S.a.r.l, Term Loan B-4, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 04/16/25 | 837,085 | ||||
479,180 | SS&C European Holdings, S.a.r.l, Term Loan B-5, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.55% | 04/16/25 | 476,271 | ||||
368,268 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.56% | 09/30/25 | 368,268 | ||||
749,204 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 06/15/25 | 746,237 | ||||
13,960,368 | ||||||||
Technology Hardware, Storage & Peripherals – 1.0% | ||||||||
2,420,141 | Dell International LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.31% | 09/07/23 | 2,416,511 | ||||
Trading Companies & Distributors – 0.1% | ||||||||
121,291 | Reece International Pty Ltd. (Hamilton), Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.40% | 07/02/25 | 121,443 | ||||
Total Senior Floating-Rate Loan Interests | 171,537,222 | |||||||
(Cost $173,141,492) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 18.0% | ||||||||
Application Software – 0.3% | ||||||||
629,000 | RP Crown Parent LLC (f) | 7.38% | 10/15/24 | 646,298 | ||||
Auto Parts & Equipment – 0.2% | ||||||||
411,000 | American Axle & Manufacturing, Inc. | 6.63% | 10/15/22 | 417,679 | ||||
Automotive Retail – 0.1% | ||||||||
155,000 | KAR Auction Services, Inc. (f) | 5.13% | 06/01/25 | 146,088 | ||||
Broadcasting – 2.8% | ||||||||
986,000 | Gray Television, Inc. (f) | 5.13% | 10/15/24 | 937,932 | ||||
2,478,000 | Nexstar Broadcasting, Inc. (f) | 5.63% | 08/01/24 | 2,372,685 | ||||
880,000 | Sinclair Television Group, Inc. | 6.13% | 10/01/22 | 891,000 | ||||
1,998,000 | Sinclair Television Group, Inc. (f) | 5.63% | 08/01/24 | 1,918,080 | ||||
264,000 | Sinclair Television Group, Inc. (f) | 5.88% | 03/15/26 | 252,450 | ||||
6,372,147 | ||||||||
Building Products – 0.3% | ||||||||
500,000 | CEMEX Finance LLC (f) | 6.00% | 04/01/24 | 500,125 | ||||
70,000 | Standard Industries, Inc. (f) | 5.38% | 11/15/24 | 67,463 | ||||
567,588 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Casinos & Gaming – 0.7% | ||||||||
$68,000 | Caesars Resort Collection LLC/CRC Finco, Inc. (f) | 5.25% | 10/15/25 | $63,453 | ||||
74,000 | Eldorado Resorts (f) | 6.00% | 09/15/26 | 72,661 | ||||
387,000 | Eldorado Resorts, Inc. | 6.00% | 04/01/25 | 384,097 | ||||
1,000,000 | MGM Resorts International | 6.00% | 03/15/23 | 1,017,500 | ||||
1,537,711 | ||||||||
Consumer Finance – 0.0% | ||||||||
79,000 | FirstCash, Inc. (f) | 5.38% | 06/01/24 | 78,210 | ||||
Diversified Real Estate Activities – 0.1% | ||||||||
355,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | 5.88% | 06/15/24 | 332,813 | ||||
Environmental & Facilities Services – 0.0% | ||||||||
52,000 | Wrangler Buyer Corp. (f) | 6.00% | 10/01/25 | 55,900 | ||||
Health Care Equipment – 1.0% | ||||||||
2,050,000 | DJO Finance LLC/DJO Finance Corp. (f) | 8.13% | 06/15/21 | 2,073,985 | ||||
136,000 | Kinetic Concepts, Inc./KCI USA, Inc. (f) | 7.88% | 02/15/21 | 139,230 | ||||
2,213,215 | ||||||||
Health Care Facilities – 4.3% | ||||||||
1,130,000 | Encompass Health Corp. | 5.75% | 11/01/24 | 1,131,413 | ||||
100,000 | HCA, Inc. | 5.88% | 05/01/23 | 104,125 | ||||
375,000 | HCA, Inc. | 5.38% | 02/01/25 | 378,281 | ||||
2,935,000 | Select Medical Corp. | 6.38% | 06/01/21 | 2,971,687 | ||||
500,000 | Tenet Healthcare Corp. | 6.75% | 02/01/20 | 515,625 | ||||
1,266,000 | Tenet Healthcare Corp. (f) | 7.50% | 01/01/22 | 1,323,761 | ||||
3,339,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 3,489,255 | ||||
9,914,147 | ||||||||
Health Care Services – 0.4% | ||||||||
490,000 | DaVita, Inc. | 5.13% | 07/15/24 | 469,175 | ||||
487,000 | DaVita, Inc. | 5.00% | 05/01/25 | 462,041 | ||||
83,000 | MEDNAX, Inc. (f) | 5.25% | 12/01/23 | 83,104 | ||||
1,014,320 | ||||||||
Health Care Technology – 0.5% | ||||||||
1,222,000 | Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (f) | 5.75% | 03/01/25 | 1,199,087 | ||||
Household Products – 0.0% | ||||||||
100,000 | Energizer Holdings, Inc. (f) | 5.50% | 06/15/25 | 97,500 | ||||
Industrial Machinery – 0.3% | ||||||||
629,000 | SPX FLOW, Inc. (f) | 5.63% | 08/15/24 | 613,275 | ||||
142,000 | SPX FLOW, Inc. (f) | 5.88% | 08/15/26 | 137,030 | ||||
750,305 | ||||||||
Insurance Brokers – 0.5% | ||||||||
727,000 | Amwins Group, Inc. (f) | 7.75% | 07/01/26 | 748,810 | ||||
462,000 | HUB International Ltd. (f) | 7.00% | 05/01/26 | 452,067 | ||||
1,200,877 | ||||||||
Investment Banking & Brokerage – 0.4% | ||||||||
1,050,000 | LPL Holdings, Inc. (f) | 5.75% | 09/15/25 | 1,022,437 | ||||
Leisure Facilities – 0.9% | ||||||||
2,250,000 | Constellation Merger Sub, Inc. (f) | 8.50% | 09/15/25 | 2,174,062 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
$914,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC (f) | 6.38% | 08/01/23 | $916,011 | ||||
151,000 | Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (f) | 7.50% | 10/01/24 | 159,682 | ||||
75,000 | West Street Merger Sub, Inc. (f) | 6.38% | 09/01/25 | 70,688 | ||||
1,146,381 | ||||||||
Managed Health Care – 0.8% | ||||||||
170,000 | Centene Corp. | 6.13% | 02/15/24 | 178,075 | ||||
1,000,000 | MPH Acquisition Holdings LLC (f) | 7.13% | 06/01/24 | 1,018,320 | ||||
672,000 | Polaris Intermediate Corp. (f) (g) | 8.50% | 12/01/22 | 691,320 | ||||
1,887,715 | ||||||||
Metal & Glass Containers – 0.0% | ||||||||
100,000 | Owens-Brockway Glass Container, Inc. (f) | 5.88% | 08/15/23 | 100,000 | ||||
Movies & Entertainment – 0.4% | ||||||||
831,000 | AMC Entertainment Holdings, Inc. | 5.75% | 06/15/25 | 771,791 | ||||
227,000 | Cinemark USA, Inc. | 4.88% | 06/01/23 | 222,744 | ||||
994,535 | ||||||||
Oil & Gas Exploration & Production – 0.2% | ||||||||
200,000 | Murphy Oil Corp. | 6.88% | 08/15/24 | 208,226 | ||||
625,000 | Sanchez Energy Corp. | 6.13% | 01/15/23 | 234,375 | ||||
442,601 | ||||||||
Oil & Gas Storage & Transportation – 0.3% | ||||||||
500,000 | Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp. | 5.75% | 04/01/25 | 501,250 | ||||
151,000 | Holly Energy Partners L.P./Holly Energy Finance Corp. (f) | 6.00% | 08/01/24 | 152,132 | ||||
653,382 | ||||||||
Packaged Foods & Meats – 0.2% | ||||||||
390,000 | B&G Foods, Inc. | 5.25% | 04/01/25 | 372,938 | ||||
Paper Packaging – 0.2% | ||||||||
399,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu. (f) | 7.00% | 07/15/24 | 399,998 | ||||
Pharmaceuticals – 1.0% | ||||||||
152,000 | Eagle Holdings Co. II LLC (f) (h) | 7.63% | 05/15/22 | 153,140 | ||||
2,335,000 | Endo Finance LLC & Endo Finco, Inc. (f) | 7.25% | 01/15/22 | 2,224,087 | ||||
2,377,227 | ||||||||
Real Estate Services – 0.2% | ||||||||
370,000 | Realogy Group LLC/Realogy Co-Issuer Corp. (f) | 4.88% | 06/01/23 | 336,700 | ||||
Restaurants – 0.1% | ||||||||
216,000 | IRB Holding Corp. (f) | 6.75% | 02/15/26 | 207,360 | ||||
Technology Hardware, Storage & Peripherals – 0.2% | ||||||||
500,000 | Dell International LLC/EMC Corp. (f) | 7.13% | 06/15/24 | 529,578 | ||||
Trading Companies & Distributors – 0.1% | ||||||||
137,000 | United Rentals North America, Inc. | 6.50% | 12/15/26 | 138,848 | ||||
Wireless Telecommunication Services – 1.0% | ||||||||
38,000 | SBA Communications Corp. | 4.00% | 10/01/22 | 36,575 | ||||
990,000 | SBA Communications Corp. | 4.88% | 09/01/24 | 959,063 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Wireless Telecommunication Services (Continued) | ||||||||
$501,000 | Sprint Communications, Inc. (f) | 9.00% | 11/15/18 | $502,628 | ||||
500,000 | Sprint Communications, Inc. | 7.00% | 08/15/20 | 518,750 | ||||
200,000 | T-Mobile USA, Inc. | 6.00% | 03/01/23 | 205,568 | ||||
170,000 | T-Mobile USA, Inc. | 5.13% | 04/15/25 | 167,875 | ||||
2,390,459 | ||||||||
Total Corporate Bonds and Notes | 41,718,106 | |||||||
(Cost $42,662,028) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 3.0% | ||||||||
Aluminum – 0.6% | ||||||||
250,000 | Alcoa Nederland Holding B.V. (f) | 6.75% | 09/30/24 | 263,750 | ||||
1,121,000 | Alcoa Nederland Holding B.V. (f) | 7.00% | 09/30/26 | 1,188,260 | ||||
1,452,010 | ||||||||
Automobile Manufacturers – 0.4% | ||||||||
799,000 | Fiat Chrysler Automobiles N.V. | 5.25% | 04/15/23 | 797,002 | ||||
Cable & Satellite – 0.1% | ||||||||
250,000 | Virgin Media Finance PLC (f) | 6.00% | 10/15/24 | 245,388 | ||||
Casinos & Gaming – 0.1% | ||||||||
327,000 | Melco Resorts Finance Ltd. (f) | 4.88% | 06/06/25 | 300,583 | ||||
Packaged Foods & Meats – 0.1% | ||||||||
224,000 | JBS USA LUX S.A./JBS USA Finance, Inc. (f) | 5.88% | 07/15/24 | 220,696 | ||||
Pharmaceuticals – 1.2% | ||||||||
1,334,000 | Bausch Health Companies, Inc. (Valeant) (f) | 5.63% | 12/01/21 | 1,317,325 | ||||
116,000 | Concordia Healthcare Corp. | 8.00% | 09/06/24 | 113,970 | ||||
1,000,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB LLC (f) | 5.75% | 08/01/22 | 897,500 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB LLC (f) | 5.63% | 10/15/23 | 215,625 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB LLC (f) | 5.50% | 04/15/25 | 202,500 | ||||
2,746,920 | ||||||||
Restaurants – 0.5% | ||||||||
1,303,000 | 1011778 BC ULC/New Red Finance, Inc. (f) | 5.00% | 10/15/25 | 1,224,820 | ||||
Total Foreign Corporate Bonds and Notes | 6,987,419 | |||||||
(Cost $7,277,413) |
Shares | Description | Value | ||
COMMON STOCKS – 0.2% | ||||
Broadcasting – 0.0% | ||||
426 | Cumulus Media New Holdings (i) | 6,816 | ||
Electric Utilities – 0.1% | ||||
14,134 | Vistra Energy Corp. (i) | 319,852 | ||
Oil & Gas Exploration & Production – 0.1% | ||||
47,894 | Ascent Resources - Marcellus LLC Class A Common Shares (c) (i) | 153,668 | ||
Total Common Stocks | 480,336 | |||
(Cost $377,488) | ||||
RIGHTS – 0.0% | ||||
Electric Utilities – 0.0% | ||||
14,134 | Vistra Energy Corp. (i) | 11,420 |
Shares | Description | Value | ||
RIGHTS (Continued) | ||||
Electric Utilities (Continued) | ||||
22,964 | Vistra Energy Corp. Claim (i) (j) (k) | $0 | ||
11,420 | ||||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust (i) (j) (k) (l) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust (i) (j) (k) (l) | 0 | ||
0 | ||||
Total Rights | 11,420 | |||
(Cost $23,701) | ||||
WARRANTS – 0.0% | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
12,400 | Ascent Resources - Marcellus LLC First Lien Warrants (c) (i) | 372 | ||
(Cost $1,240) | ||||
MONEY MARKET FUNDS – 7.2% | ||||
16,798,983 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.07% (m) | 16,798,983 | ||
(Cost $16,798,983) | ||||
Total Investments – 102.3% | 237,533,858 | |||
(Cost $240,282,345) (n) | ||||
Net Other Assets and Liabilities – (2.3)% | (5,362,498) | |||
Net Assets – 100.0% | $232,171,360 |
(a) | 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 prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates. |
(b) | 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. |
(c) | On March 30, 2018, American Energy Marcellus Holdings LLC, also known as Ascent Resources - Marcellus LLC, completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a portion of a new exit term loan and a share of the newly issued common equity shares in the re-organized company. The Fund also received equity warrants entitling it to purchase additional common equity shares. |
(d) | This issuer has filed for protection in bankruptcy court. |
(e) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under 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 Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “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 October 31, 2018, securities noted as such amounted to $30,713,784 or 13.2% of net assets. |
(g) | 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 8.50% 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 fiscal year ended October 31, 2018, this security paid all of its interest in cash. |
(h) | 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 7.63% 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 fiscal year ended October 31, 2018, this security paid all of its interest in cash. |
(i) | Non-income producing security. |
(j) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At October 31, 2018, securities noted as such are valued at $0 or 0.0% of net assets. |
(k) | This security’s value was determined using significant unobservable inputs (see Note 2A-Portfolio Valuation in the Notes to Financial Statements). |
(l) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(m) | Rate shown reflects yield as of October 31, 2018. |
(n) | Aggregate cost for federal income tax purposes was $240,433,718. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $496,017 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,395,877. The net unrealized depreciation was $2,899,860. |
LIBOR | London Interbank Offered Rate |
USD | United States Dollar |
Total Value at 10/31/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 171,537,222 | $ — | $ 171,537,222 | $ — |
Corporate Bonds and Notes* | 41,718,106 | — | 41,718,106 | — |
Foreign Corporate Bonds and Notes* | 6,987,419 | — | 6,987,419 | — |
Common Stocks: | ||||
Electric Utilities | 319,852 | 319,852 | — | — |
Other industry categories* | 160,484 | — | 160,484 | — |
Rights: | ||||
Electric Utilities | 11,420 | — | 11,420 | —** |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 372 | — | 372 | — |
Money Market Funds | 16,798,983 | 16,798,983 | — | — |
Total Investments | $ 237,533,858 | $ 17,118,835 | $ 220,415,023 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
ASSETS: | |
Investments, at value (Cost $240,282,345) | $ 237,533,858 |
Cash | 47,444 |
Receivables: | |
Investment securities sold | 5,271,164 |
Interest | 1,143,172 |
Fund shares sold | 239,497 |
Total Assets | 244,235,135 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 8,026,937 |
Fund shares redeemed | 3,591,270 |
Distributions | 141,479 |
Investment advisory fees | 128,438 |
Audit and tax fees | 58,927 |
12b-1 distribution and service fees | 32,951 |
Shareholder reporting fees | 25,045 |
Transfer agent fees | 17,120 |
Administrative fees | 17,051 |
Custodian fees | 13,060 |
Commitment fees | 4,269 |
Legal fees | 1,449 |
Trustees’ fees and expenses | 1,371 |
Financial reporting fees | 771 |
Registration fees | 452 |
Other liabilities | 3,185 |
Total Liabilities | 12,063,775 |
NET ASSETS | $232,171,360 |
NET ASSETS consist of: | |
Paid-in capital | $ 241,605,364 |
Par value | 118,326 |
Accumulated distributable earnings (loss) | (9,552,330) |
NET ASSETS | $232,171,360 |
Class A Shares: | |
Net asset value and redemption price per share (Based on net assets of $57,982,113 and 2,955,273 shares of beneficial interest issued and outstanding) | $19.62 |
Maximum sales charge (3.50% of offering price) | 0.71 |
Maximum offering price to public | $20.33 |
Class C Shares: | |
Net asset value and redemption price per share (Based on net assets of $23,624,947 and 1,205,195 shares of beneficial interest issued and outstanding) | $19.60 |
Class I Shares: | |
Net asset value and redemption price per share (Based on net assets of $150,564,300 and 7,672,092 shares of beneficial interest issued and outstanding) | $19.63 |
INVESTMENT INCOME: | ||
Interest | $ 11,284,963 | |
Other | 206,752 | |
Total investment income | 11,491,715 | |
EXPENSES: | ||
Investment advisory fees | 1,382,410 | |
12b-1 distribution and/or service fees: | ||
Class A | 127,579 | |
Class C | 236,442 | |
Transfer agent fees | 125,865 | |
Administrative fees | 98,758 | |
Shareholder reporting fees | 62,171 | |
Registration fees | 61,707 | |
Audit and tax fees | 60,350 | |
Commitment fees | 49,255 | |
Custodian fees | 48,280 | |
Legal fees | 40,029 | |
Trustees’ fees and expenses | 16,276 | |
Expenses previously waived or reimbursed | 11,894 | |
Financial reporting fees | 9,250 | |
Excise tax expense | 3,486 | |
Other | 24,152 | |
Total expenses | 2,357,904 | |
NET INVESTMENT INCOME (LOSS) | 9,133,811 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (1,400,521) | |
Net change in unrealized appreciation (depreciation) on investments | (2,162,996) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,563,517) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 5,570,294 |
Year Ended 10/31/2018 | Year Ended 10/31/2017 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 9,133,811 | $ 9,139,471 | |
Net realized gain (loss) | (1,400,521) | (886,874) | |
Net change in unrealized appreciation (depreciation) | (2,162,996) | 2,626,918 | |
Net increase (decrease) in net assets resulting from operations | 5,570,294 | 10,879,515 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||
Class A Shares | (2,228,545) | ||
Class C Shares | (864,672) | ||
Class I Shares | (6,381,697) | ||
Total distributions to shareholders from investment operations | (9,474,914) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: | |||
Class A Shares | (3,326,443) | ||
Class C Shares | (883,245) | ||
Class I Shares | (6,255,088) | ||
Total distributions to shareholders from net investment income | (10,464,776) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM RETURN OF CAPITAL: | |||
Class A shares | (58,171) | — | |
Class C shares | (22,506) | — | |
Class I shares | (166,998) | — | |
Total distributions to shareholders from return of capital | (247,675) | — | |
CAPITAL TRANSACTIONS: | |||
Proceeds from shares sold | 105,690,417 | 132,141,172 | |
Proceeds from shares reinvested | 8,196,603 | 8,836,368 | |
Cost of shares redeemed | (113,434,134) | (97,646,017) | |
Net increase (decrease) in net assets resulting from capital transactions | 452,886 | 43,331,523 | |
Total increase (decrease) in net assets | (3,699,409) | 43,746,262 | |
NET ASSETS: | |||
Beginning of period | 235,870,769 | 192,124,507 | |
End of period | $232,171,360 | $235,870,769 | |
Accumulated net investment income (loss) at end of period | $(249,390) |
Class A Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 20.00 | $ 19.97 | $ 19.83 | $ 20.54 | $ 20.68 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | 0.84 | 0.79 | 0.87 | 0.90 | 0.76 | ||||
Net realized and unrealized gain (loss) | (0.33) | 0.15 | 0.18 | (0.77) | (0.12) | ||||
Total from investment operations | 0.51 | 0.94 | 1.05 | 0.13 | 0.64 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.87) | (0.91) | (0.91) | (0.80) | (0.78) | ||||
Net realized gain | — | — | — | (0.04) | — | ||||
Net return of capital | (0.02) | — | — | — | — | ||||
Total distributions | (0.89) | (0.91) | (0.91) | (0.84) | (0.78) | ||||
Net asset value, end of period | $19.62 | $20.00 | $19.97 | $19.83 | $20.54 | ||||
Total return (b) | 2.61% | 4.79% | 5.47% | 0.63% | 3.14% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 57,982 | $ 72,462 | $ 55,640 | $ 53,433 | $ 53,304 | ||||
Ratio of total expenses to average net assets | 1.19% | 1.21% | 1.27% | 1.26% | 1.38% | ||||
Ratio of net expenses to average net assets | 1.19% | 1.26% (c) | 1.27% (c) | 1.25% | 1.25% | ||||
Ratio of net investment income (loss) to average net assets | 4.22% | 3.96% | 4.44% | 4.43% | 3.68% | ||||
Portfolio turnover rate | 97% | 100% | 62% | 58% | 109% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 3.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.25%. |
Class C Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 19.98 | $ 19.95 | $ 19.81 | $ 20.52 | $ 20.66 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | 0.69 | 0.64 | 0.72 | 0.75 | 0.60 | ||||
Net realized and unrealized gain (loss) | (0.33) | 0.15 | 0.18 | (0.77) | (0.11) | ||||
Total from investment operations | 0.36 | 0.79 | 0.90 | (0.02) | 0.49 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.73) | (0.76) | (0.76) | (0.65) | (0.63) | ||||
Net realized gain | — | — | — | (0.04) | — | ||||
Net return of capital | (0.01) | — | — | — | — | ||||
Total distributions | (0.74) | (0.76) | (0.76) | (0.69) | (0.63) | ||||
Net asset value, end of period | $19.60 | $19.98 | $19.95 | $19.81 | $20.52 | ||||
Total return (b) | 1.85% | 4.01% | 4.69% | (0.12)% | 2.38% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 23,625 | $ 24,393 | $ 23,841 | $ 25,213 | $ 24,531 | ||||
Ratio of total expenses to average net assets | 1.94% | 1.96% | 2.02% | 2.01% | 2.13% | ||||
Ratio of net expenses to average net assets | 1.94% | 2.01% (c) | 2.02% (c) | 2.00% | 2.00% | ||||
Ratio of net investment income (loss) to average net assets | 3.47% | 3.20% | 3.70% | 3.68% | 2.93% | ||||
Portfolio turnover rate | 97% | 100% | 62% | 58% | 109% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 2.00%. |
Class I Shares | Year Ended October 31, | ||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||
Net asset value, beginning of period | $ 20.00 | $ 19.97 | $ 19.83 | $ 20.54 | $ 20.68 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) (a) | 0.89 | 0.85 | 0.92 | 0.95 | 0.81 | ||||
Net realized and unrealized gain (loss) | (0.32) | 0.14 | 0.18 | (0.77) | (0.12) | ||||
Total from investment operations | 0.57 | 0.99 | 1.10 | 0.18 | 0.69 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.92) | (0.96) | (0.96) | (0.85) | (0.83) | ||||
Net realized gain | — | — | — | (0.04) | — | ||||
Net return of capital | (0.02) | — | — | — | — | ||||
Total distributions | (0.94) | (0.96) | (0.96) | (0.89) | (0.83) | ||||
Net asset value, end of period | $19.63 | $20.00 | $19.97 | $19.83 | $20.54 | ||||
Total return (b) | 2.92% | 5.06% | 5.74% | 0.88% | 3.40% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 150,564 | $ 139,015 | $ 112,644 | $ 103,655 | $ 103,033 | ||||
Ratio of total expenses to average net assets | 0.94% | 0.96% | 1.02% | 1.01% | 1.13% | ||||
Ratio of net expenses to average net assets | 0.94% | 1.01% (c) | 1.02% (c) | 1.00% | 1.00% | ||||
Ratio of net investment income (loss) to average net assets | 4.47% | 4.21% | 4.69% | 4.68% | 3.93% | ||||
Portfolio turnover rate | 97% | 100% | 62% | 58% | 109% |
(a) | Based on average shares outstanding. |
(b) | Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(c) | Includes excise tax. If this excise tax expense was not included, the net expense ratio would have been 1.00%. |
(1) | The terms “security” and “securities” used throughout the Notes to Financial Statements include Senior Loans. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the fundamental business data relating to the borrower/issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the borrower/issuer; |
5) | the credit quality and cash flow of the borrower/issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the borrower/issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the borrower’s/issuer’s management; |
11) | the prospects for the borrower’s/issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; |
12) | the borrower’s/issuer’s competitive position within the industry; |
13) | the borrower’s/issuer’s ability to access additional liquidity through public and/or private markets; and |
14) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2018 | 2017 |
Ordinary income | $9,474,914 | $10,464,776 |
Capital gains | — | — |
Return of capital | 247,675 | — |
Undistributed ordinary income | $— | |
Undistributed capital gains | — | |
Total undistributed earnings | — | |
Accumulated capital and other losses | (6,652,470) | |
Net unrealized appreciation (depreciation) | (2,899,860) | |
Total accumulated earnings (losses) | (9,552,330) | |
Other | — | |
Paid-in capital | 241,723,690 | |
Total net assets | $232,171,360 |
Year Ended October 31, 2018 | Year Ended October 31, 2017 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class A | 1,447,958 | $ 28,558,091 | 2,166,955 | $ 43,330,998 | |||
Class C | 274,033 | 5,419,138 | 319,712 | 6,399,722 | |||
Class I | 3,625,462 | 71,713,188 | 4,110,531 | 82,410,452 | |||
Total Sales | 5,347,453 | $ 105,690,417 | 6,597,198 | $ 132,141,172 | |||
Dividend Reinvestment: | |||||||
Class A | 102,051 | $ 2,017,636 | 131,419 | $ 2,634,908 | |||
Class C | 39,118 | 772,841 | 38,599 | 772,980 | |||
Class I | 273,318 | 5,406,126 | 270,729 | 5,428,480 | |||
Total Dividend Reinvestment | 414,487 | $ 8,196,603 | 440,747 | $ 8,836,368 | |||
Redemptions: | |||||||
Class A | (2,217,809) | $ (44,002,444) | (1,461,890) | $ (29,289,205) | |||
Class C | (328,886) | (6,510,642) | (332,438) | (6,639,313) | |||
Class I | (3,177,024) | (62,921,048) | (3,071,873) | (61,717,499) | |||
Total Redemptions | (5,723,719) | $ (113,434,134) | (4,866,201) | $ (97,646,017) |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 159 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 159 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 159 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 159 | Director of Covenant Transport, Inc. (May 2003 to May 2014) |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 159 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Assistant Secretary Since Trust Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT, AND
CUSTODIAN
PUBLIC ACCOUNTING FIRM
Fund
1 | |
2 | |
4 | |
6 | |
7 | |
9 | |
10 | |
11 | |
12 | |
15 | |
21 | |
22 | |
26 | |
28 |
Fund Statistics | |
First Trust AQA® Equity Fund | Net Asset Value (NAV) |
Class A (AQAAX) | $26.42 |
Class C (AQACX) | $25.84 |
Class I (AQAIX) | $26.39 |
Sector Allocation | % of Total Investments |
Information Technology | 24.1% |
Consumer Discretionary | 21.1 |
Health Care | 19.4 |
Industrials | 14.9 |
Financials | 10.3 |
Communication Services | 4.7 |
Materials | 3.2 |
Consumer Staples | 2.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
ABIOMED, Inc. | 6.3% |
BJ’s Restaurants, Inc. | 5.0 |
Callaway Golf Co. | 4.3 |
MSCI, Inc. | 4.2 |
Trex Co., Inc. | 4.1 |
Cognex Corp. | 3.6 |
Monolithic Power Systems, Inc. | 3.4 |
Dave & Buster’s Entertainment, Inc. | 3.3 |
HCA Healthcare, Inc. | 3.2 |
Masimo Corp. | 3.2 |
Total | 40.6% |
Performance as of October 31, 2018 | |||||||||||||||||||
Class A Inception 11/10/2015 | Class C Inception 11/10/2015 | Class I Inception 11/10/2015 | Russell | Russell 3000® Index* | |||||||||||||||
Cumulative Total Returns | w/o sales charge | w/max 5.50% sales charge | w/o sales charge | w/max 1.00% contingent deferred sales charge | w/o sales charge | w/o sales charges | w/o sales charges | ||||||||||||
1 Year | -1.38% | -6.84% | -2.16% | -3.11% | -1.16% | 2.78% | 6.60% | ||||||||||||
Average Annual Total Returns | |||||||||||||||||||
Since Inception | 11.21% | 9.12% | 10.42% | 10.42% | 11.17% | 8.86% | 11.23% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||||||||
Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Beginning Account Value 5/1/2018 | Ending Account Value 10/31/2018 | Expenses Paid During Period 5/1/2018 - 10/31/2018 (a) | Annualized Expense Ratios (b) | ||||||||
Class A | $ 1,000.00 | $ 959.00 | $ 7.90 | $ 1,000.00 | $ 1,017.14 | $ 8.13 | 1.60% | |||||||
Class C | 1,000.00 | 955.60 | 11.58 | 1,000.00 | 1,013.36 | 11.93 | 2.35 | |||||||
Class I | 1,000.00 | 960.30 | 6.67 | 1,000.00 | 1,018.40 | 6.87 | 1.35 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2018 through October 31, 2018), multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. |
Shares | Description | Value | ||
COMMON STOCKS – 93.7% | ||||
Airlines – 5.2% | ||||
8,469 | Delta Air Lines, Inc. | $463,508 | ||
32,341 | Hawaiian Holdings, Inc. | 1,119,322 | ||
15,839 | Southwest Airlines Co. | 777,695 | ||
2,360,525 | ||||
Biotechnology – 2.1% | ||||
12,339 | Enanta Pharmaceuticals, Inc. (a) | 952,077 | ||
Building Products – 3.8% | ||||
28,060 | Trex Co., Inc. (a) | 1,720,078 | ||
Capital Markets – 8.4% | ||||
4,639 | Affiliated Managers Group, Inc. | 527,269 | ||
29,900 | Janus Henderson Group PLC | 734,643 | ||
11,739 | MSCI, Inc. | 1,765,311 | ||
96,380 | WisdomTree Investments, Inc. | 748,872 | ||
3,776,095 | ||||
Communications Equipment – 3.4% | ||||
15,486 | Applied Optoelectronics, Inc. (a) | 303,990 | ||
39,791 | Ciena Corp. (a) | 1,243,867 | ||
1,547,857 | ||||
Diversified Telecommunication Services – 2.6% | ||||
20,347 | Verizon Communications, Inc. | 1,161,610 | ||
Electronic Equipment, Instruments & Components – 3.3% | ||||
35,234 | Cognex Corp. | 1,509,425 | ||
Health Care Equipment & Supplies – 11.4% | ||||
7,767 | ABIOMED, Inc. (a) | 2,650,100 | ||
28,844 | Hologic, Inc. (a) | 1,124,628 | ||
11,687 | Masimo Corp. (a) | 1,351,017 | ||
5,125,745 | ||||
Health Care Providers & Services – 3.0% | ||||
10,282 | HCA Healthcare, Inc. | 1,372,955 | ||
Hotels, Restaurants & Leisure – 10.6% | ||||
34,473 | BJ’s Restaurants, Inc. | 2,109,058 | ||
46,796 | Boyd Gaming Corp. | 1,242,902 | ||
23,723 | Dave & Buster’s Entertainment, Inc. | 1,412,705 | ||
4,764,665 | ||||
Household Durables – 1.4% | ||||
18,244 | Toll Brothers, Inc. | 614,093 | ||
Interactive Media & Services – 1.9% | ||||
5,530 | Facebook, Inc., Class A (a) | 839,399 |
Shares | Description | Value | ||
IT Services – 3.7% | ||||
2,477 | Alliance Data Systems Corp. | $510,708 | ||
16,827 | Cognizant Technology Solutions Corp., Class A | 1,161,568 | ||
1,672,276 | ||||
Leisure Products – 4.0% | ||||
84,657 | Callaway Golf Co. | 1,811,660 | ||
Machinery – 2.2% | ||||
66,352 | Wabash National Corp. | 1,001,915 | ||
Paper & Forest Products – 3.0% | ||||
16,088 | Boise Cascade Co. | 495,350 | ||
39,498 | Louisiana-Pacific Corp. | 859,871 | ||
1,355,221 | ||||
Pharmaceuticals – 1.7% | ||||
63,956 | Corcept Therapeutics, Inc. (a) | 751,483 | ||
Road & Rail – 2.6% | ||||
9,179 | Old Dominion Freight Line, Inc. | 1,197,125 | ||
Semiconductors & Semiconductor Equipment – 8.3% | ||||
3,307 | Broadcom, Inc. | 739,081 | ||
47,393 | Kulicke & Soffa Industries, Inc. | 963,500 | ||
8,133 | MKS Instruments, Inc. | 599,321 | ||
12,206 | Monolithic Power Systems, Inc. | 1,441,773 | ||
3,743,675 | ||||
Software – 3.8% | ||||
10,920 | Citrix Systems, Inc. (a) | 1,118,972 | ||
52,685 | TiVo Corp. | 579,535 | ||
1,698,507 | ||||
Textiles, Apparel & Luxury Goods – 3.8% | ||||
16,363 | Skechers U.S.A., Inc., Class A (a) | 467,491 | ||
40,715 | Steven Madden Ltd. | 1,273,158 | ||
1,740,649 | ||||
Thrifts & Mortgage Finance – 1.3% | ||||
13,562 | Walker & Dunlop, Inc. | 569,061 | ||
Tobacco – 2.2% | ||||
15,267 | Altria Group, Inc. | 992,966 | ||
Total Investments – 93.7% | 42,279,062 | |||
(Cost $37,730,330) (b) | ||||
Net Other Assets and Liabilities – 6.3% | 2,826,159 | |||
Net Assets – 100.0% | $45,105,221 |
(a) | Non-income producing security. |
(b) | Aggregate cost for federal income tax purposes was $37,722,612. As of October 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,020,429 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,463,979. The net unrealized appreciation was $4,556,450. |
Total Value at 10/31/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 42,279,062 | $ 42,279,062 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $37,730,330) | $ 42,279,062 |
Cash | 2,787,601 |
Receivables: | |
Fund shares sold | 140,240 |
Dividends | 11,838 |
Prepaid expenses | 27,160 |
Total Assets | 45,245,901 |
LIABILITIES: | |
Payables: | |
Investment advisory fees | 42,372 |
Audit and tax fees | 28,751 |
12b-1 distribution and service fees | 20,583 |
Administrative fees | 17,682 |
Shareholder reporting fees | 7,914 |
Transfer agent fees | 7,749 |
Fund shares redeemed | 7,396 |
Commitment fees | 2,736 |
Custodian fees | 1,498 |
Trustees’ fees and expenses | 1,454 |
Registration fees | 861 |
Financial reporting fees | 770 |
Legal fees | 567 |
Other liabilities | 347 |
Total Liabilities | 140,680 |
NET ASSETS | $45,105,221 |
NET ASSETS consist of: | |
Paid-in capital | $ 36,199,905 |
Par value | 17,220 |
Accumulated distributable earnings (loss) | 8,888,096 |
NET ASSETS | $45,105,221 |
Maximum Offering Price Per Share: | |
Class A Shares: | |
Net asset value and redemption price per share (Based on net assets of $24,484,490 and 926,887 shares of beneficial interest issued and outstanding) | $26.42 |
Maximum sales charge (5.50% of offering price) | 1.54 |
Maximum offering price to public | $27.96 |
Class C Shares: | |
Net asset value and redemption price per share (Based on net assets of $17,120,867 and 662,484 shares of beneficial interest issued and outstanding) | $25.84 |
Class I Shares: | |
Net asset value and redemption price per share (Based on net assets of $3,499,864 and 132,639 shares of beneficial interest issued and outstanding) | $26.39 |
INVESTMENT INCOME: | ||
Dividends | $ 456,270 | |
Interest | 20,021 | |
Total investment income | 476,291 | |
EXPENSES: | ||
Investment advisory fees | 460,183 | |
12b-1 distribution and/or service fees: | ||
Class A | 62,487 | |
Class C | 182,303 | |
Transfer agent fees | 92,314 | |
Administrative fees | 52,502 | |
Registration fees | 50,003 | |
Shareholder reporting fees | 31,934 | |
Audit and tax fees | 29,154 | |
Commitment and agency fees | 27,932 | |
Legal fees | 16,367 | |
Trustees’ fees and expenses | 15,898 | |
Financial reporting fees | 9,250 | |
Custodian fees | 7,141 | |
Listing expense | 1,800 | |
Other | 1,965 | |
Total expenses | 1,041,233 | |
Fees waived by the investment advisor | (175,140) | |
Net expenses | 866,093 | |
NET INVESTMENT INCOME (LOSS) | (389,802) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | 4,738,819 | |
Net change in unrealized appreciation (depreciation) on investments | (5,518,112) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (779,293) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(1,169,095) |
Year Ended 10/31/2018 | Year Ended 10/31/2017 | ||
OPERATIONS: | |||
Net investment income (loss) | $ (389,802) | $ (324,217) | |
Net realized gain (loss) | 4,738,819 | 1,500,421 | |
Net change in unrealized appreciation (depreciation) | (5,518,112) | 9,308,457 | |
Net increase (decrease) in net assets resulting from operations | (1,169,095) | 10,484,661 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||
Class A Shares | (598,812) | ||
Class C Shares | (501,248) | ||
Class I Shares | (81,020) | ||
Total distributions to shareholders from investment operations | (1,181,080) | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM NET REALIZED GAIN: | |||
Class A Shares | (136,704) | ||
Class C Shares | (175,390) | ||
Class I Shares | (34,397) | ||
Total distributions to shareholders from net realized gain | (346,491) | ||
CAPITAL TRANSACTIONS: | |||
Proceeds from shares sold | 15,119,698 | 17,450,833 | |
Proceeds from shares reinvested | 1,133,188 | 335,557 | |
Cost of shares redeemed | (12,294,022) | (9,871,258) | |
Net increase (decrease) in net assets resulting from capital transactions | 3,958,864 | 7,915,132 | |
Total increase (decrease) in net assets | 1,608,689 | 18,053,302 | |
NET ASSETS: | |||
Beginning of period | 43,496,532 | 25,443,230 | |
End of period | $45,105,221 | $43,496,532 | |
Accumulated net investment income (loss) at end of period | $— |
Class A Shares | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||
2018 | 2017 | ||||
Net asset value, beginning of period | $ 27.51 | $ 20.42 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) (b) | (0.16) | (0.14) | (0.08) | ||
Net realized and unrealized gain (loss) | (0.17) | 7.50 | 0.50 | ||
Total from investment operations | (0.33) | 7.36 | 0.42 | ||
Distributions paid to shareholders from: | |||||
Net realized gain | (0.76) | (0.27) | — | ||
Net asset value, end of period | $26.42 | $27.51 | $20.42 | ||
Total return (c) | (1.38)% | 36.26% | 2.10% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 24,484 | $ 22,117 | $ 10,527 | ||
Ratio of total expenses to average net assets | 1.94% | 1.91% | 2.65% (d) | ||
Ratio of net expenses to average net assets | 1.60% | 1.60% | 1.60% (d) | ||
Ratio of net investment income (loss) to average net assets | (0.56)% | (0.58)% | (0.42)% (d) | ||
Portfolio turnover rate | 45% | 38% | 57% |
(a) | Class A Shares were initially seeded on November 9, 2015 and commenced operations on November 10, 2015. |
(b) | Based on average shares outstanding. |
(c) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum sales charge of 5.50% or contingent deferred sales charge (CDSC). On purchases of $1 million or more, a CDSC of 1% may be imposed on certain redemptions made within twelve months of purchase. If the sales charges were included, total returns would be lower. These returns include Rule 12b-1 service fees of 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(d) | Annualized. |
Class C Shares | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||
2018 | 2017 | ||||
Net asset value, beginning of period | $ 27.13 | $ 20.29 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) (b) | (0.37) | (0.31) | (0.23) | ||
Net realized and unrealized gain (loss) | (0.16) | 7.42 | 0.52 | ||
Total from investment operations | (0.53) | 7.11 | 0.29 | ||
Distributions paid to shareholders from: | |||||
Net realized gain | (0.76) | (0.27) | — | ||
Net asset value, end of period | $25.84 | $27.13 | $20.29 | ||
Total return (c) | (2.16)% | 35.25% | 1.45% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 17,121 | $ 18,370 | $ 12,416 | ||
Ratio of total expenses to average net assets | 2.71% | 2.72% | 3.48% (d) | ||
Ratio of net expenses to average net assets | 2.35% | 2.35% | 2.35% (d) | ||
Ratio of net investment income (loss) to average net assets | (1.32)% | (1.31)% | (1.17)% (d) | ||
Portfolio turnover rate | 45% | 38% | 57% |
(a) | Class C Shares were initially seeded on November 9, 2015 and commenced operations on November 10, 2015. |
(b) | Based on average shares outstanding. |
(c) | Assumes reinvestment of all distributions for the period and does not include payment of the maximum CDSC of 1%, charged on certain redemptions made within one year of purchase. If the sales charge was included, total returns would be lower. These returns include combined Rule 12b-1 distribution and service fees of 1% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(d) | Annualized. |
Class I Shares | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||
2018 | 2017 | ||||
Net asset value, beginning of period | $ 27.42 | $ 20.30 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) (b) | (0.09) | (0.07) | (0.03) | ||
Net realized and unrealized gain (loss) | (0.18) | 7.46 | 0.33 | ||
Total from investment operations | (0.27) | 7.39 | 0.30 | ||
Distributions paid to shareholders from: | |||||
Net realized gain | (0.76) | (0.27) | — | ||
Net asset value, end of period | $26.39 | $27.42 | $20.30 | ||
Total return (c) | (1.16)% | 36.58% | 1.50% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 3,500 | $ 3,010 | $ 2,500 | ||
Ratio of total expenses to average net assets | 2.23% | 2.22% | 3.08% (d) | ||
Ratio of net expenses to average net assets | 1.35% | 1.35% | 1.35% (d) | ||
Ratio of net investment income (loss) to average net assets | (0.32)% | (0.31)% | (0.15)% (d) | ||
Portfolio turnover rate | 45% | 38% | 57% |
(a) | Class I Shares were initially seeded on November 9, 2015 and commenced operations on November 10, 2015. |
(b) | Based on average shares outstanding. |
(c) | Assumes reinvestment of all distributions for the period. These returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. Total return is calculated for the time period presented and is not annualized for periods of less than one year. |
(d) | Annualized. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2018 | 2017 |
Ordinary income | $180,224 | $346,491 |
Capital gains | 1,000,856 | — |
Return of capital | — | — |
Undistributed ordinary income | $— |
Undistributed capital gains | 4,545,565 |
Total undistributed earnings | 4,545,565 |
Accumulated capital and other losses | (213,919) |
Net unrealized appreciation (depreciation) | 4,556,450 |
Total accumulated earnings (losses) | 8,888,096 |
Other | — |
Paid-in capital | 36,217,125 |
Total net assets | $45,105,221 |
Expenses Subject to Recovery | ||||||||||
Advisory Fee Waiver | Expense Reimbursement | Period Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2018 | Total | |||||
$ 175,140 | $ — | $ 183,866 | $ 136,315 | $ 175,140 | $ 495,321 |
Year Ended October 31, 2018 | Year Ended October 31, 2017 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class A | 302,353 | $ 8,681,663 | 462,184 | $ 11,181,772 | |||
Class C | 156,203 | 4,475,242 | 251,766 | 5,835,596 | |||
Class I | 65,542 | 1,962,793 | 18,828 | 433,465 | |||
Total Sales | 524,098 | $ 15,119,698 | 732,778 | $ 17,450,833 | |||
Dividend Reinvestment: | |||||||
Class A | 20,407 | $ 576,285 | 5,645 | $ 132,534 | |||
Class C | 17,168 | 477,449 | 7,273 | 169,472 | |||
Class I | 2,822 | 79,454 | 1,437 | 33,551 | |||
Total Dividend Reinvestment | 40,397 | $ 1,133,188 | 14,355 | $ 335,557 | |||
Redemptions: | |||||||
Class A | (199,802) | $ (5,683,348) | (179,401) | $ (4,388,385) | |||
Class C | (187,953) | (5,288,146) | (193,883) | (4,691,632) | |||
Class I | (45,508) | (1,322,528) | (33,649) | (791,241) | |||
Total Redemptions | (433,263) | $ (12,294,022) | (406,933) | $ (9,871,258) |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 159 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 159 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 159 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 159 | Director of Covenant Transport, Inc. (May 2003 to May 2014) |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 159 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Assistant Secretary Since Trust Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
CUSTODIAN
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the Registrant’s Board of Trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $133,000 for the fiscal year ended October 31, 2017 and $136,500 for the fiscal year ended October 31, 2018.
Audit Fees (Investment Advisor and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.
Audit-Related Fees (Investment Adviser and Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements, including conducting the seed audit and preparation of the seed audit consent, and are not reported under paragraph (a) of this Item were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2017 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018.
(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $19,200 for the fiscal year ended October 31, 2017 and $16,150 for the fiscal year ended October 31, 2018.
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant's adviser and distributor were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2017 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018.
(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2017 and $0 for the fiscal year ended October 31, 2018.
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant’s investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2017 and $0 for the Investment Adviser and $0 for the Distributor for the fiscal year ended October 31, 2018.
(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the "Committee") is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Adviser and Distributor:
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the fiscal year ended October 31, 2017 were $19,200 for the registrant, $44,000 for the registrant’s investment adviser, $63,900 for the registrant’s distributor and $3,000 for Stonebridge Advisors LLC, which is under common control with the registrant’s investment adviser and serves as the registrant’s sub-advisor for the First Trust Preferred Securities and Income Fund (“Stonebridge”); and for the fiscal year ended October 31, 2018 were $16,150 for the registrant, $48,190 for the registrant’s investment adviser, $80,310 for the registrant’s distributor and $3,000 for Stonebridge.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed registrants.
(a) | The Registrant has a separately designated audit committee consisting of all the independent directors of the Registrant. The members of the audit committee are: Thomas R. Kadlec, Niel B. Nielson, Richard E. Erickson and Robert F. Keith. |
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | First Trust Series Fund |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | January 4, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | January 4, 2019 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | January 4, 2019 |
* Print the name and title of each signing officer under his or her signature.