First Trust Short Duration High Income Fund
Portfolio of Investments
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS – 76.4% | ||||||||
Application Software – 7.0% | ||||||||
$544,046 | CCC Information Services, Inc. (Cypress), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 04/26/24 | $538,269 | ||||
925,677 | Epicor Software Corp., Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 07/30/27 | 924,094 | ||||
1,981,487 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 07/01/24 | 1,943,403 | ||||
332,976 | Internet Brands, Inc. (WebMD/MH Sub I, LLC), 2020 June New Term Loan, 2 Mo. LIBOR + 3.75%, 1.00% Floor | 4.75% | 09/13/24 | 329,922 | ||||
599,940 | Internet Brands, Inc. (WebMD/MH Sub I, LLC), Initial Term Loan, 6 Mo. LIBOR + 3.50%, 0.00% Floor | 4.57% | 09/13/24 | 582,596 | ||||
428,929 | Micro Focus International (MA Financeco, LLC), Term Loan B4, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 06/15/25 | 423,211 | ||||
726,517 | Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.41% | 11/30/24 | 690,307 | ||||
269,161 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), 2019 Incremental Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 4.52% | 04/26/24 | 262,768 | ||||
1,346,075 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 04/26/24 | 1,305,693 | ||||
1,569,936 | SolarWinds Holdings, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 02/05/24 | 1,544,127 | ||||
395,769 | Solera Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 03/03/23 | 388,459 | ||||
69,523 | Ultimate Software Group, Inc., June 2020 Term Loan B, 3 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 05/03/26 | 69,497 | ||||
324,666 | Veeam Software Holdings Limited (VS Buyer, LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.42% | 02/28/27 | 317,767 | ||||
9,320,113 | ||||||||
Auto Parts & Equipment – 0.3% | ||||||||
1,122,505 | Lumileds (Bright Bidco B.V.), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor | 4.57% | 06/30/24 | 435,319 | ||||
Broadcasting – 3.1% | ||||||||
383,137 | Cumulus Media Holdings, Inc., Term Loan B, 6 Mo. LIBOR + 3.75%, 1.00% Floor | 4.82% | 03/31/26 | 363,708 | ||||
84,104 | Entercom Media Corp. (CBS Radio), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 2.67% | 11/17/24 | 79,373 | ||||
183,823 | iHeartCommunications, Inc., Incremental Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 05/01/26 | 178,309 | ||||
1,370,815 | iHeartCommunications, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 04/29/26 | 1,280,190 | ||||
2,380,680 | Nexstar Broadcasting, Inc., Incremental Term Loan B-4, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.92% | 09/19/26 | 2,313,735 | ||||
4,215,315 | ||||||||
Building Products – 1.4% | ||||||||
1,951,666 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 2.66% | 01/31/27 | 1,881,894 | ||||
Cable & Satellite – 1.4% | ||||||||
1,537,585 | Cablevision (aka CSC Holdings, LLC), October 2018 Incremental Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 2.42% | 01/15/26 | 1,481,848 | ||||
406,920 | Cablevision (aka CSC Holdings, LLC), Sept. 2019 Term Loan B-5, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 2.67% | 04/15/27 | 392,848 | ||||
1,874,696 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Casinos & Gaming – 4.8% | ||||||||
$109,659 | Aristocrat Technologies, Inc., Term B-3 Loan, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 2.02% | 10/19/24 | $106,585 | ||||
150,230 | Caesars Resort Collection, LLC, Term B-1 Loans, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 4.69% | 06/19/25 | 144,550 | ||||
75,115 | Caesars Resort Collection, LLC, Term B-1 Loans, 3 Mo. LIBOR + 4.50%, 0.00% Floor | 4.77% | 06/19/25 | 72,275 | ||||
2,898,993 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 12/22/24 | 2,662,725 | ||||
1,317,428 | CityCenter Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 3.00% | 04/18/24 | 1,217,185 | ||||
1,093,994 | Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 3.25% | 10/04/23 | 912,643 | ||||
132,427 | Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.93% | 08/14/24 | 120,319 | ||||
1,728 | Scientific Games International, Inc., Term Loan B5, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 3.06% | 08/14/24 | 1,569 | ||||
541,328 | Scientific Games International, Inc., Term Loan B5, 6 Mo. LIBOR + 2.75%, 0.00% Floor | 3.61% | 08/14/24 | 491,834 | ||||
469,168 | Station Casinos, Inc (Red Rocks), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.25% Floor | 2.50% | 01/31/27 | 432,024 | ||||
265,122 | Twin River Worldwide Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 05/10/26 | 244,509 | ||||
6,406,218 | ||||||||
Coal & Consumable Fuels – 0.1% | ||||||||
246,843 | Peabody Energy, Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 03/31/25 | 127,124 | ||||
Communications Equipment – 0.4% | ||||||||
525,565 | Commscope, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.41% | 04/06/26 | 513,739 | ||||
Construction & Engineering – 0.0% | ||||||||
52,724 | Pike Corp., 2019 New Term Loans, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 07/24/26 | 52,205 | ||||
Data Processing & Outsourced Services – 0.1% | ||||||||
141,068 | Cardtronics USA, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%, 1.00% Floor | 5.00% | 06/24/27 | 140,010 | ||||
Electric Utilities – 0.4% | ||||||||
558,250 | PG&E Corp., Exit Term Loan, 3 Mo. LIBOR + 4.50%, 1.00% Floor | 5.50% | 06/18/25 | 551,445 | ||||
Environmental & Facilities Services – 0.8% | ||||||||
1,049,817 | Packers Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 12/04/24 | 1,029,482 | ||||
Food Distributors – 0.2% | ||||||||
255,229 | US Foods, Inc., Incremental B-2019 Term Loan, 6 Mo. LIBOR + 2.00%, 0.00% Floor | 3.07% | 08/31/26 | 239,916 | ||||
Health Care Facilities – 0.3% | ||||||||
114,853 | Acadia Healthcare Company, Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 2.66% | 02/16/23 | 112,843 | ||||
142,454 | Gentiva Health Services, Inc. (Kindred at Home), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.44% | 07/02/25 | 139,961 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Facilities (Continued) | ||||||||
$164,960 | Select Medical Corporation, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 2.68% | 03/06/25 | $159,668 | ||||
412,472 | ||||||||
Health Care Services – 9.6% | ||||||||
192,376 | Air Medical Group Holdings, Inc. (Global Medical Response), 2018 New Term Loan, 6 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 03/14/25 | 187,193 | ||||
678,437 | Air Medical Group Holdings, Inc. (Global Medical Response), Term Loan B, 6 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 04/28/22 | 669,394 | ||||
1,196,047 | Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 04/21/24 | 951,133 | ||||
602,510 | athenahealth, Inc (VVC Holding Corp.), Term Loan B, 3 Mo. LIBOR + 4.50%, 0.00% Floor | 4.82% | 02/15/26 | 593,472 | ||||
3,541,713 | CHG Healthcare Services, Inc., Term Loan, 6 Mo. LIBOR + 3.00%, 1.00% Floor | 4.07% | 06/07/23 | 3,479,733 | ||||
1,601,706 | DuPage Medical Group (Midwest Physician Admin. Services, LLC), Repricing Term Loan, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 3.50% | 08/15/24 | 1,533,633 | ||||
2,447,695 | Envision Healthcare Corporation, Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.91% | 10/10/25 | 1,604,881 | ||||
1,159,728 | Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 08/31/24 | 1,092,684 | ||||
1,151,046 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/06/24 | 909,326 | ||||
822,901 | U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%, 0.00% Floor | 5.19% | 06/28/26 | 804,089 | ||||
1,010,648 | Verscend Technologies, Inc, Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 4.66% | 08/27/25 | 1,004,969 | ||||
12,830,507 | ||||||||
Health Care Technology – 0.7% | ||||||||
650,000 | Change Healthcare Holdings, LLC, Closing Date Term Loan, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 03/01/24 | 635,011 | ||||
643 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.66% | 07/25/26 | 631 | ||||
254,728 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 3.76% | 07/25/26 | 250,059 | ||||
885,701 | ||||||||
Household Appliances – 0.3% | ||||||||
421,664 | Traeger Grills (TGP Holdings III LLC), 2018 Refinancing Term Loan, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 09/25/24 | 394,256 | ||||
Human Resource & Employment Services – 0.7% | ||||||||
932,456 | Alight, Inc. (fka Tempo Acq.), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 05/01/24 | 907,280 | ||||
Industrial Machinery – 0.2% | ||||||||
294,840 | Thyssenkrupp Elevator (Vertical U.S. Newco Inc.), Term Loan B, 1 Mo. LIBOR + 4.25%, 0.00% Floor | 4.40% | 07/31/27 | 290,541 | ||||
Insurance Brokers – 10.5% | ||||||||
3,620,670 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.93% | 05/09/25 | 3,487,610 | ||||
3,973,617 | Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 01/25/24 | 3,916,278 | ||||
721,431 | AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.66% | 02/15/27 | 698,770 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Insurance Brokers (Continued) | ||||||||
$878,904 | BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.43% | 01/31/27 | $850,339 | ||||
288,406 | HUB International Limited, 2019 Incremental Term Loan B2, 3 Mo. LIBOR + 4.00%, 1.00% Floor | 5.00% | 04/25/25 | 288,510 | ||||
10,359 | HUB International Limited, Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 3.22% | 04/25/25 | 10,047 | ||||
4,050,545 | HUB International Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 3.26% | 04/25/25 | 3,928,462 | ||||
133,837 | Ryan Specialty Group, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 07/23/27 | 132,834 | ||||
860,648 | USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 3.31% | 05/15/24 | 830,706 | ||||
14,143,556 | ||||||||
Integrated Telecommunication Services – 3.0% | ||||||||
2,053,600 | CenturyLink, Inc. (Qwest), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 2.41% | 03/15/27 | 1,974,598 | ||||
270,442 | Numericable (Altice France S.A. or SFR), Term Loan B-13, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.17% | 08/14/26 | 263,971 | ||||
1,896,418 | Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 02/28/27 | 1,839,525 | ||||
4,078,094 | ||||||||
Interactive Home Entertainment – 0.4% | ||||||||
529,107 | Playtika Holding Corp., Term Loan B, 3 Mo. LIBOR + 6.00%, 1.00% Floor | 7.07% | 11/30/24 | 533,075 | ||||
Investment Banking & Brokerage – 0.2% | ||||||||
290,603 | Citadel Securities L.P., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 02/27/26 | 286,848 | ||||
Leisure Facilities – 1.2% | ||||||||
1,850,485 | ClubCorp Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 3.06% | 09/18/24 | 1,582,165 | ||||
Managed Health Care – 3.5% | ||||||||
3,568,760 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 06/07/23 | 3,510,018 | ||||
1,159,987 | Versant Health (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 12/02/24 | 1,130,118 | ||||
4,640,136 | ||||||||
Metal & Glass Containers – 1.1% | ||||||||
1,582,559 | Berry Global, Inc., Term Loan Y, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 2.19% | 07/01/26 | 1,532,281 | ||||
Movies & Entertainment – 1.5% | ||||||||
2,313,894 | Cineworld Group PLC (Crown), Term Loan B, 6 Mo. LIBOR + 2.25%, 0.00% Floor | 3.32% | 02/05/25 | 1,456,064 | ||||
74,169 | Live Nation Entertainment, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 1.94% | 10/17/26 | 68,545 | ||||
517,029 | PUG, LLC (Stubhub), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.66% | 01/31/27 | 436,026 | ||||
1,960,635 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Other Diversified Financial Services – 1.5% | ||||||||
$2,084,892 | Refinitiv US Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.41% | 10/01/25 | $2,067,775 | ||||
Packaged Foods & Meats – 0.4% | ||||||||
126,036 | BellRing Brands, LLC, Term Loan B, 1 Mo. LIBOR + 5.00%, 1.00% Floor | 6.00% | 10/21/24 | 126,352 | ||||
324,897 | Froneri International Limited, Facility B2 Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 2.41% | 01/31/27 | 311,147 | ||||
110,965 | Simply Good Foods (Atkins Nutritionals, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 4.75% | 07/07/24 | 110,687 | ||||
548,186 | ||||||||
Paper Packaging – 2.1% | ||||||||
437,306 | Graham Packaging Company, L.P., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 07/28/27 | 435,977 | ||||
2,379,017 | Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 02/05/23 | 2,328,058 | ||||
2,764,035 | ||||||||
Pharmaceuticals – 9.2% | ||||||||
725,011 | Akorn, Inc., Loan, 1 Mo. LIBOR + 14.50%, 1.00% Floor (c) | 15.50% | 04/16/21 | 701,448 | ||||
3,378,467 | Bausch Health Companies, Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.18% | 06/01/25 | 3,319,885 | ||||
2,925,814 | Endo LLC, Term Loan B, 3 Mo. LIBOR + 4.25%, 0.75% Floor | 5.00% | 04/29/24 | 2,793,157 | ||||
1,398,290 | GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.91% | 10/15/25 | 1,363,333 | ||||
1,362,873 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor | 3.50% | 09/24/24 | 1,135,791 | ||||
198,587 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 02/24/25 | 166,233 | ||||
1,254,458 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.93% | 09/27/24 | 1,203,602 | ||||
1,724,913 | Pharmaceutical Product Development, Inc. (PPDI/Jaguar), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 08/18/22 | 1,716,875 | ||||
12,400,324 | ||||||||
Publishing – 0.1% | ||||||||
176,365 | Meredith Corp., Tranche B-3 Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 01/31/25 | 171,810 | ||||
Research & Consulting Services – 0.1% | ||||||||
139,381 | Clarivate Analytics PLC (Camelot), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 10/31/26 | 136,245 | ||||
56,179 | Nielsen Finance LLC (VNU, Inc.), Term Loan B5, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 4.75% | 06/30/25 | 56,179 | ||||
192,424 | ||||||||
Restaurants – 0.2% | ||||||||
327,000 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 6 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/05/25 | 306,399 | ||||
Specialized Consumer Services – 2.3% | ||||||||
1,046,485 | Asurion, LLC, Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor | 6.66% | 08/04/25 | 1,054,009 | ||||
434,755 | Asurion, LLC, Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 11/03/24 | 427,282 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Specialized Consumer Services (Continued) | ||||||||
$1,563,683 | Asurion, LLC, Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 11/03/23 | $1,538,273 | ||||
3,019,564 | ||||||||
Systems Software – 6.4% | ||||||||
2,440,353 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 09/19/24 | 2,415,950 | ||||
234,945 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 8.00% | 09/13/25 | 236,486 | ||||
1,764,545 | McAfee, LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.92% | 09/30/24 | 1,745,682 | ||||
493,637 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 06/13/24 | 455,928 | ||||
1,794,917 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 04/24/22 | 1,624,022 | ||||
980,700 | Sophos Group PLC (Surf), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 3.83% | 02/28/27 | 951,279 | ||||
600,007 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.41% | 03/15/26 | 577,507 | ||||
623,946 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.41% | 07/02/25 | 592,331 | ||||
8,599,185 | ||||||||
Wireless Telecommunication Services – 0.9% | ||||||||
213,974 | Frontier Communications Corp., Term Loan B-1, 3 Mo. LIBOR + 3.75%, 0.75% Floor (c) | 5.35% | 06/15/24 | 210,229 | ||||
715 | Frontier Communications Corp., Term Loan B-1, PRIME Rate + 2.75%, 0.75% Floor (c) | 6.00% | 06/15/24 | 703 | ||||
941,164 | T-Mobile USA, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.16% | 04/01/27 | 944,185 | ||||
1,155,117 | ||||||||
Total Senior Floating-Rate Loan Interests | 102,489,842 | |||||||
(Cost $108,151,241) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 17.3% | ||||||||
Airlines – 0.1% | ||||||||
176,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (d) | 6.50% | 06/20/27 | 182,600 | ||||
Application Software – 0.1% | ||||||||
86,000 | BY Crown Parent LLC/BY Bond Finance, Inc. (d) | 4.25% | 01/31/26 | 89,466 | ||||
Automotive Retail – 0.1% | ||||||||
155,000 | KAR Auction Services, Inc. (d) | 5.13% | 06/01/25 | 155,969 | ||||
Broadcasting – 5.3% | ||||||||
250,000 | Cumulus Media Holdings, Inc. (d) | 6.75% | 07/01/26 | 227,379 | ||||
160,000 | Diamond Sports Group LLC/Diamond Sports Finance Co. (d) | 5.38% | 08/15/26 | 123,598 | ||||
1,986,000 | Gray Television, Inc. (d) | 5.13% | 10/15/24 | 2,045,371 | ||||
500,000 | Gray Television, Inc. (d) | 7.00% | 05/15/27 | 547,575 | ||||
625,000 | iHeartCommunications, Inc. (d) | 4.75% | 01/15/28 | 621,556 | ||||
2,000,000 | Nexstar Broadcasting, Inc. (d) | 5.63% | 08/01/24 | 2,060,210 | ||||
1,417,000 | Sinclair Television Group, Inc. (d) | 5.63% | 08/01/24 | 1,436,633 | ||||
7,062,322 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Casinos & Gaming – 0.4% | ||||||||
$422,000 | Colt Merger Sub, Inc. (d) | 6.25% | 07/01/25 | $440,771 | ||||
190,000 | Golden Nugget, Inc. (d) | 6.75% | 10/15/24 | 131,812 | ||||
572,583 | ||||||||
Coal & Consumable Fuels – 0.2% | ||||||||
500,000 | Peabody Energy Corp. (d) | 6.00% | 03/31/22 | 329,062 | ||||
Food Retail – 0.3% | ||||||||
415,000 | Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s L.P./Albertson’s, LLC (d) | 3.50% | 02/15/23 | 424,752 | ||||
Health Care Facilities – 2.9% | ||||||||
1,939,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 2,091,696 | ||||
815,000 | Tenet Healthcare Corp. | 6.75% | 06/15/23 | 860,640 | ||||
695,000 | Tenet Healthcare Corp. (d) | 4.63% | 09/01/24 | 711,291 | ||||
173,000 | Tenet Healthcare Corp. (d) | 4.63% | 06/15/28 | 182,346 | ||||
3,845,973 | ||||||||
Health Care Services – 0.9% | ||||||||
487,000 | DaVita, Inc. | 5.00% | 05/01/25 | 500,879 | ||||
752,000 | MEDNAX, Inc. (d) | 5.25% | 12/01/23 | 763,359 | ||||
1,264,238 | ||||||||
Health Care Technology – 1.0% | ||||||||
1,325,000 | Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (d) | 5.75% | 03/01/25 | 1,356,469 | ||||
Insurance Brokers – 0.6% | ||||||||
227,000 | AmWINS Group, Inc. (d) | 7.75% | 07/01/26 | 250,792 | ||||
462,000 | HUB International Ltd. (d) | 7.00% | 05/01/26 | 491,570 | ||||
742,362 | ||||||||
Integrated Telecommunication Services – 0.3% | ||||||||
325,000 | Zayo Group Holdings, Inc. (d) | 6.13% | 03/01/28 | 336,121 | ||||
Managed Health Care – 1.0% | ||||||||
574,000 | MPH Acquisition Holdings LLC (d) | 7.13% | 06/01/24 | 589,785 | ||||
672,000 | Polaris Intermediate Corp. (d) (e) | 8.50% | 12/01/22 | 684,600 | ||||
1,274,385 | ||||||||
Movies & Entertainment – 0.1% | ||||||||
137,000 | Cinemark USA, Inc. | 4.88% | 06/01/23 | 116,793 | ||||
43,000 | Live Nation Entertainment, Inc. (d) | 6.50% | 05/15/27 | 46,280 | ||||
163,073 | ||||||||
Oil & Gas Exploration & Production – 0.0% | ||||||||
625,000 | Mesquite Energy, Inc. (c) (f) (g) | 6.13% | 01/15/23 | 6,250 | ||||
Packaged Foods & Meats – 0.2% | ||||||||
214,000 | B&G Foods, Inc. | 5.25% | 04/01/25 | 223,872 | ||||
Paper Packaging – 0.6% | ||||||||
348,000 | GPC Merger Sub, Inc. (d) | 7.13% | 08/15/28 | 362,572 | ||||
399,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu. (d) | 7.00% | 07/15/24 | 406,980 | ||||
769,552 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Real Estate Services – 0.2% | ||||||||
$270,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | 5.88% | 06/15/24 | $291,966 | ||||
Restaurants – 0.2% | ||||||||
257,000 | IRB Holding Corp. (d) | 7.00% | 06/15/25 | 280,566 | ||||
Systems Software – 1.8% | ||||||||
2,244,000 | SS&C Technologies, Inc. (d) | 5.50% | 09/30/27 | 2,412,300 | ||||
Technology Hardware, Storage & Peripherals – 1.0% | ||||||||
1,360,000 | Dell International, LLC/EMC Corp. (d) | 5.88% | 06/15/21 | 1,363,400 | ||||
Total Corporate Bonds and Notes | 23,147,281 | |||||||
(Cost $23,011,763) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 1.0% | ||||||||
Building Products – 0.4% | ||||||||
100,000 | Cemex S.A.B. de C.V. (d) | 7.75% | 04/16/26 | 106,019 | ||||
329,000 | Cemex S.A.B. de C.V. (d) | 7.38% | 06/05/27 | 351,573 | ||||
100,000 | Cemex S.A.B. de C.V. (d) | 5.45% | 11/19/29 | 97,015 | ||||
554,607 | ||||||||
Integrated Telecommunication Services – 0.2% | ||||||||
173,000 | Altice France S.A. (d) | 7.38% | 05/01/26 | 184,712 | ||||
Other Diversified Financial Services – 0.1% | ||||||||
133,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 4.50% | 09/15/23 | 135,356 | ||||
Pharmaceuticals – 0.1% | ||||||||
91,000 | Bausch Health Cos., Inc. (d) | 5.88% | 05/15/23 | 91,071 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (d) | 5.63% | 10/15/23 | 41,250 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (d) | 5.50% | 04/15/25 | 44,531 | ||||
176,852 | ||||||||
Real Estate Services – 0.2% | ||||||||
196,000 | Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. (d) | 5.88% | 04/15/23 | 207,494 | ||||
Total Foreign Corporate Bonds and Notes | 1,259,021 | |||||||
(Cost $1,600,750) |
Shares | Description | Value | ||
COMMON STOCKS – 0.2% | ||||
Broadcasting – 0.0% | ||||
426 | Cumulus Media Holdings (h) | 1,674 | ||
Electric Utilities – 0.2% | ||||
14,134 | Vistra Energy Corp. | 263,741 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
47,894 | Ascent Resources - Marcellus LLC Class A Common Shares (h) (i) | 36,519 | ||
Total Common Stocks | 301,934 | |||
(Cost $377,489) | ||||
RIGHTS – 0.0% | ||||
Electric Utilities – 0.0% | ||||
14,134 | Vistra Energy Corp. (g) (h) | 15,371 | ||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust (g) (h) (j) (k) | 0 |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
Shares | Description | Value | ||
RIGHTS (Continued) | ||||
Life Sciences Tools & Services (Continued) | ||||
1 | New Millennium Holdco, Inc., Lender Claim Trust (g) (h) (j) (k) | 0 | ||
0 | ||||
Total Rights | 15,371 | |||
(Cost $23,096) | ||||
WARRANTS – 0.0% | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
12,400 | Ascent Resources - Marcellus, LLC First Lien Warrants, expiring 3/20/23 (g) (h) | 372 | ||
(Cost $1,240) | ||||
MONEY MARKET FUNDS – 8.9% | ||||
11,914,024 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.04% (l) | 11,914,024 | ||
(Cost $11,914,024) | ||||
Total Investments – 103.8% | 139,127,845 | |||
(Cost $145,079,603) (m) | ||||
Net Other Assets and Liabilities – (3.8)% | (5,041,328) | |||
Net Assets – 100.0% | $134,086,517 |
(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) | This issuer has filed for protection in bankruptcy court. |
(d) | 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 July 31, 2020, securities noted as such amounted to $20,178,850 or 15.0% of net assets. |
(e) | 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-to-date period (November 01, 2019 to July 31, 2020), this security paid all of its interest in cash. |
(f) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(g) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(h) | Non-income producing security. |
(i) | Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At July 31, 2020, securities noted as such amounted to $36,519 or 0.0% of net assets. |
(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 July 31, 2020, 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. |
(l) | Rate shown reflects yield as of July 31, 2020. |
(m) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of July 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,346,720 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,298,478. The net unrealized depreciation was $5,951,758. |
First Trust Short Duration High Income Fund
Portfolio of Investments (Continued)
July 31, 2020 (Unaudited)
LIBOR | London Interbank Offered Rate |
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of July 31, 2020 is as follows:
Total Value at 7/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 102,489,842 | $ — | $ 102,489,842 | $ — |
Corporate Bonds and Notes* | 23,147,281 | — | 23,147,281 | — |
Foreign Corporate Bonds and Notes* | 1,259,021 | — | 1,259,021 | — |
Common Stocks: | ||||
Oil & Gas Exploration & Production | 36,519 | — | 36,519 | — |
Other industry categories* | 265,415 | 265,415 | — | — |
Rights: | ||||
Electric Utilities | 15,371 | — | 15,371 | — |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 372 | — | 372 | — |
Money Market Funds | 11,914,024 | 11,914,024 | — | — |
Total Investments | $ 139,127,845 | $ 12,179,439 | $ 126,948,406 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
Level 3 Investments that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.