FIRST TRUST
First Trust Exchange-Traded Fund IV
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First Trust Senior Loan Fund (FTSL)
Semi-Annual Report
For the Six Months Ended
April 30, 2022
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TABLE OF CONTENTS
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FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL REPORT
APRIL 30, 2022
Shareholder Letter........................................................... 1
Fund Performance Overview.................................................... 2
Portfolio Management......................................................... 5
Understanding Your Fund Expenses............................................. 6
Portfolio of Investments..................................................... 7
Statement of Assets and Liabilities.......................................... 21
Statement of Operations...................................................... 22
Statements of Changes in Net Assets.......................................... 23
Financial Highlights......................................................... 24
Notes to Financial Statements................................................ 25
Additional Information....................................................... 32
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund IV (the "Trust") described in
this report (First Trust Senior Loan Fund; hereinafter referred to as the
"Fund") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that the Fund will achieve its investment objectives. The
Fund is subject to market risk, which is the possibility that the market values
of securities owned by the Fund will decline and that the value of the Fund's
shares may therefore be less than what you paid for them. Accordingly, you can
lose money investing in the Fund. See "Risk Considerations" in the Additional
Information section of this report for a discussion of certain other risks of
investing in the Fund.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on the Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment in
the Fund. It includes details about the Fund and presents data and analysis that
provide insight into the Fund's performance and investment approach.
The statistical information that follows may help you understand the Fund's
performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in the
Fund are spelled out in the prospectus, the statement of additional information,
and other Fund regulatory filings.
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SHAREHOLDER LETTER
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FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
APRIL 30, 2022
Dear Shareholders:
First Trust is pleased to provide you with the semi-annual report for the First
Trust Senior Loan Fund (the "Fund"), which contains detailed information about
the Fund for the six months ended April 30, 2022.
A couple of famous financial industry quotes came to mind recently as I was
sizing up the current business climate: "There's no such thing as a free lunch"
and "Don't fight the Fed!" It seems that for some, the trillions of dollars of
financial stimulus funneled into U.S. households and businesses by the Federal
government and its agencies to help mitigate the fallout stemming from the
coronavirus ("COVID-19") pandemic, which commenced sometime around February
2020, was for all intents and purposes "free money." It was not free. From the
close of February 2020 through March 2022, the Federal Reserve (the "Fed")
expanded the U.S. money supply, known as M2, by 41% to $21.81 trillion to boost
liquidity in the financial system. Normally, M2 grows around 6.0% on a
year-over-year basis. When you factor in that all this new capital was
accompanied by a breakdown of the global supply chain, there is little wonder
why inflation is rampant.
One of the more common definitions of inflation is too many dollars chasing too
few goods. The biggest downside to the supply chain bottlenecks, such as the
severe backup of container ships at some U.S. ports, is that they have markedly
reduced the flow of imported goods to retailers. The Fed has been signaling to
Americans and the rest of the globe that, after many years of artificially low
interest rates, tighter monetary policy will likely rule the day for the
foreseeable future. Higher interest rates make borrowing capital more expensive
and that should slow consumption over time, which, in turn, should bring down
inflation. Don't fight the Fed is code for don't bet against the Fed, in my
opinion. Stay tuned!
The primary job of the Fed is price stability. Its standard inflation target
rate is 2.0%. The most recent Consumer Price Index release showed that prices
were up 8.3% on a year-over-year basis as of April 30, 2022, according to data
from the U.S. Bureau of Labor Statistics. While down from 8.5% the prior month,
it is clearly elevated and that means the Fed has some work to do to with
respect to mitigating inflation. The war between Russia and Ukraine is making
the Fed's job even tougher, particularly in the areas of food and energy. Rising
costs and potential shortages could become even bigger if the COVID-19 outbreak
in China grows. These are important events to monitor. Fed Chairman Jerome
Powell has stated that the Fed is poised to raise the Federal Funds target rate
(upper bound) by 50 basis points at each of its next two meetings (set for June
and July), which would take the rate up to 2.00%. Data from CME Group indicates
that current market pricing has the rate rising to 2.75% or 3.00% by year-end.
Securities markets do not go up in a straight line and they do not just go up
year in and year out. In fact, what we have witnessed over the past couple of
decades are often referred to as boom and bust cycles. Thankfully, it has ended
up more boom than bust. Simply put, investors, not traders of the market, need
to be willing to take the bad with the good. As the various stages of an
economic cycle come and go (expansion to contraction), the markets tend to
reprice securities to reflect the current narrative. In other words, we believe
the markets essentially heal themselves - if you let them. That is an accurate
depiction of how the markets have behaved so far in 2022, in my opinion. In
response to a softening economy, the stock and bond markets have experienced
some serious downside through the first four months of this year, as measured by
the broader market indices. As of today, Brian Wesbury, Chief Economist at First
Trust, is not forecasting a recession for the U.S. in 2022 or 2023. Whether he
is proven right or wrong, we encourage investors to stay the course.
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the Fund
again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 1
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
The First Trust Senior Loan Fund's (the "Fund") primary investment objective is
to provide high current income. The Fund's secondary investment objective is the
preservation of capital. Under normal market conditions, the Fund seeks to
outperform each of the S&P/LSTA U.S. Leveraged Loan 100 Index (the "LL 100") and
the Markit iBoxx USD Liquid Leveraged Loan Index (the "MI 100") by investing at
least 80% of its net assets (including investment borrowings) in first lien
senior floating rate bank loans ("Senior Loans"). The LL 100 is a market
value-weighted index designed to measure the performance of the largest segment
of the U.S. syndicated leveraged loan market. The LL 100 consists of 100 loan
facilities drawn from a larger benchmark, the S&P/LSTA Leveraged Loan Index. The
MI 100 selects the 100 most liquid Senior Loans in the market. The Fund does not
seek to track either the LL 100 or MI 100, but rather seeks to outperform each
of the Indices. It is anticipated that the Fund, in accordance with its
principal investment strategy, will invest approximately 50% to 75% of its net
assets in Senior Loans that are eligible for inclusion in and meet the liquidity
thresholds of the LL 100 and/or MI 100 at the time of investment.
A Senior Loan is an advance or commitment of funds made by one or more banks or
similar financial institutions to one or more corporations, partnerships or
other business entities and typically pays interest at a floating or adjusting
rate that is determined periodically at a designated premium above a base
lending rate, most commonly the London Interbank Offered Rate ("LIBOR").
The Fund invests primarily in Senior Loans that are below investment grade
quality at the time of investment. Securities rated below investment grade,
commonly referred to as "junk" or "high-yield" securities, include securities
that are rated Ba1/BB+/BB+ or below by Moody's Investors Service, Inc., Fitch,
Inc., or S&P Global Ratings, respectively. The Fund invests in Senior Loans made
predominantly to businesses operating in North America, but may also invest in
Senior Loans made to businesses operating outside of North America. The Senior
Loans included in the Fund's portfolio often maintain a duration of less than 90
days; however, the inclusion of LIBOR floors on certain Senior Loans or other
factors may cause interest rate duration to be longer than 90 days. The Fund may
also invest up to 20% of its net assets in (1) non-Senior Loan debt securities,
which may be fixed-rate or floating-rate income-producing securities (including,
without limitation, U.S. government debt securities and corporate debt
securities which may include convertible bonds), (2) warrants, U.S. and non U.S.
equity and equity-like positions and interests and other securities issued by or
with respect to a borrower or its affiliates, and/or (3) securities of other
investment companies.
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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year 5 years Inception 5 Years Inception
Ended Ended Ended (5/1/13) Ended (5/1/13)
4/30/22 4/30/22 4/30/22 to 4/30/22 4/30/22 to 4/30/22
FUND PERFORMANCE
NAV -0.18% 1.51% 3.21% 3.11% 17.13% 31.74%
Market Price -0.06% 1.53% 3.24% 3.14% 17.30% 32.10%
INDEX PERFORMANCE
S&P/LSTA Leveraged Loan Index(1) 0.60% 2.94% 3.97% 3.85% 21.49% 40.54%
Markit iBoxx USD Liquid Leveraged Loan
Index -0.85% 0.43% 2.44% 2.46% 12.82% 24.40%
S&P/LSTA U.S. Leveraged Loan 100 Index 0.05% 1.71% 3.57% 3.32% 19.18% 34.21%
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Total returns for the period since inception are calculated from the inception
date of the Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the period indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the period
indicated.
The Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of the Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of the Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in the Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike the Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by the Fund. These
expenses negatively impact the performance of the Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future performance.
(1) Prior to March 1, 2021, the Fund's primary benchmark was the S&P/LSTA U.S.
Leveraged Loan 100 Index ("LL 100"). Effective March 1, 2021, the Fund
selected the S&P/LSTA Leveraged Loan Index ("LLI") because LLI is more
representative of the Fund's portfolio. The Fund will continue to maintain
LL 100 and the Markit iBoxx USD Liquid Leveraged Loan Index ("MI 100") as
secondary benchmarks.
Page 2
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
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% OF SENIOR LOANS
AND OTHER
INDUSTRY CLASSIFICATION SECURITIES(1)
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Software 20.3%
Health Care Providers & Services 12.6
Health Care Technology 9.1
Pharmaceuticals 8.8
Insurance 7.9
Media 7.3
Hotels, Restaurants & Leisure 6.3
Containers & Packaging 2.4
Professional Services 2.3
Diversified Telecommunication Services 2.3
Commercial Services & Supplies 2.2
Specialty Retail 2.2
Diversified Consumer Services 2.0
Electric Utilities 1.9
Health Care Equipment & Supplies 1.5
Capital Markets 1.3
Electronic Equipment, Instruments &
Components 1.3
Road & Rail 1.1
Trading Companies & Distributors 1.1
Auto Components 1.1
Entertainment 0.9
Diversified Financial Services 0.8
Machinery 0.8
Aerospace & Defense 0.5
Beverages 0.4
IT Services 0.4
Construction & Engineering 0.3
Building Products 0.2
Communications Equipment 0.2
Household Durables 0.2
Airlines 0.1
Textiles, Apparel & Luxury Goods 0.1
Chemicals 0.1
Life Sciences Tools & Services 0.0*
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Total 100.0%
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* Amount is less than 0.1%.
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% OF SENIOR LOANS
AND OTHER
ASSET CLASSIFICATION SECURITIES(1)
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Senior Floating-Rate Loan Interests 91.2%
Corporate Bonds and Notes 8.1
Foreign Corporate Bonds and Notes 0.6
Common Stocks 0.1
Warrants 0.0*
Rights 0.0*
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Total 100.0%
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% OF SENIOR LOANS
AND OTHER
CREDIT QUALITY (S&P RATINGS)(2) DEBT SECURITIES(1)
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BB+ 0.8%
BB 2.0
BB- 8.1
B+ 19.7
B 39.7
B- 24.5
CCC+ 1.7
CCC 1.4
CCC- 0.1
D 0.8
NR 1.2
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Total 100.0%
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% OF SENIOR LOANS
AND OTHER
TOP 10 ISSUERS SECURITIES(1)
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HUB International Ltd. 2.6%
Internet Brands, Inc. (WebMD/MH
Sub I LLC) 2.5
IRB Holding Corp. (Arby's/Inspire Brands) 2.4
Change Healthcare Holdings LLC 2.3
Hyland Software, Inc. 2.2
Applied Systems, Inc. 2.0
AssuredPartners, Inc. 2.0
PG&E Corp. 1.9
Bausch Health Companies, Inc. (Valeant) 1.9
Verscend Technologies, Inc. (Cotiviti) 1.8
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Total 21.6%
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(1) Percentages are based on long-term positions. Money market funds are
excluded.
(2) The ratings are by S&P Global Ratings. A credit rating is an assessment
provided by a nationally recognized statistical rating organization
(NRSRO) of the creditworthiness of an issuer with respect to debt
obligations except for those debt obligations that are privately rated.
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 credit worthiness of the issuers of the underlying securities in
the Fund, and not to the Fund or its shares. Credit ratings are subject to
change.
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
MAY 1, 2013 - APRIL 30, 2022
First Trust Senior S&P/LSTA Leveraged Markit iBoxx USD Liquid S&P/LSTA U.S. Leveraged
Loan Fund Loan Index(1) Leveraged Loan Index Loan 100 Index
5/1/13 $10,000 $10,000 $10,000 $10,000
10/31/13 10,092 10,150 10,103 10,122
4/30/14 10,275 10,382 10,323 10,338
10/31/14 10,385 10,492 10,389 10,434
4/30/15 10,637 10,730 10,594 10,589
10/31/15 10,567 10,540 10,280 10,268
4/30/16 10,763 10,707 10,484 10,527
10/31/16 11,034 11,230 10,826 10,968
4/30/17 11,247 11,568 11,026 11,260
10/31/17 11,414 11,799 11,161 11,452
4/30/18 11,592 12,080 11,404 11,706
10/31/18 11,760 12,334 11,602 11,929
4/30/19 12,044 12,592 11,877 12,262
10/31/19 12,156 12,663 11,905 12,339
4/30/20 11,619 11,759 11,122 11,765
10/31/20 12,266 12,880 11,798 12,527
4/30/21 12,978 13,653 12,387 13,195
10/31/21 13,198 13,969 12,547 13,415
4/30/22 13,175 14,053 12,441 13,421
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
(1) Prior to March 1, 2021, the Fund's primary benchmark was the S&P/LSTA U.S.
Leveraged Loan 100 Index ("LL 100"). Effective March 1, 2021, the Fund
selected the S&P/LSTA Leveraged Loan Index ("LLI") because LLI is more
representative of the Fund's portfolio. The Fund will continue to maintain
LL 100 and the Markit iBoxx USD Liquid Leveraged Loan Index ("MI 100") as
secondary benchmarks.
Page 4
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PORTFOLIO MANAGEMENT
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FIRST TRUST SENIOR LOAN FUND (FTSL)
SEMI-ANNUAL REPORT
APRIL 30, 2022 (UNAUDITED)
ADVISOR
The First Trust Advisors L.P. ("First Trust") Leveraged Finance Team is
comprised of 17 experienced investment professionals specializing in below
investment grade securities. The team is comprised of portfolio management,
research, trading and operations personnel. As of April 30, 2022, the First
Trust Leveraged Finance Team managed or supervised approximately $7.4 billion in
senior secured bank loans and high-yield bonds. These assets are managed across
various strategies, including two closed-end funds, an open-end fund, four
exchange-traded funds, and a series of unit investment trusts on behalf of
retail and institutional clients.
PORTFOLIO MANAGEMENT TEAM
WILLIAM HOUSEY, CFA - MANAGING DIRECTOR OF FIXED INCOME, SENIOR PORTFOLIO
MANAGER
JEFFREY SCOTT, CFA - SENIOR VICE PRESIDENT AND PORTFOLIO MANAGER
The portfolio managers are primarily and jointly responsible for the day-to-day
management of the Fund. Mr. Housey has served as a part of the portfolio
management team of the Fund since 2013, while Mr. Scott has served as part of
the portfolio management team of the Fund since 2020.
Page 5
FIRST TRUST SENIOR LOAN FUND (FTSL)
UNDERSTANDING YOUR FUND EXPENSES
APRIL 30, 2022 (UNAUDITED)
As a shareholder of First Trust Senior Loan Fund (the "Fund"), you incur two
types of costs: (1) transaction costs; and (2) ongoing costs, including
management fees, distribution and/or service (12b-1) fees, if any, and other
Fund expenses. This Example is intended to help you understand your ongoing
costs of investing in the Fund and to compare these costs with the ongoing costs
of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended April 30, 2022.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
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ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
NOVEMBER 1, 2021 APRIL 30, 2022 PERIOD PERIOD (a)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
Actual $1,000.00 $ 998.20 0.85% $4.21
Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26
(a) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (November 1,
2021 through April 30, 2022), multiplied by 181/365 (to reflect the
six-month period).
Page 6
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS -- 89.0%
AEROSPACE & DEFENSE -- 0.5%
$ 1,969,377 Atlantic Aviation FBO, Inc. (KKR Apple Bidco LLC), Term Loan
(First Lien), 1 Mo. LIBOR + 3.00%, 0.50% Floor............... 3.76% 09/23/28 $ 1,946,394
4,117,182 Peraton Corp., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75%
Floor........................................................ 4.51% 02/01/28 4,080,498
4,893,354 Spirit Aerosystems, Inc., New Term Loan B, 1 Mo. LIBOR +
3.75%, 0.50% Floor........................................... 4.51% 01/15/25 4,878,821
6,878,384 Transdigm, Inc., Tranche G Refinancing Term Loan, 1 Mo.
LIBOR + 2.25%, 0.00% Floor................................... 3.01% 08/22/24 6,766,610
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17,672,323
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AIRLINES -- 0.2%
5,723,987 American Airlines, Inc. (AAdvantage Loyalty IP Ltd.), Initial
Term Loan, 3 Mo. LIBOR + 4.75%, 0.75% Floor.................. 5.81% 03/24/28 5,820,951
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APPAREL RETAIL -- 0.1%
3,317,526 Authentic Brands Group (ABG Intermediate Holdings 2 LLC),
Term Loan B1, 3 Mo. SOFR + 3.50%, 0.50% Floor................ 4.00% 12/21/28 3,288,497
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APPAREL, ACCESSORIES & LUXURY GOODS -- 0.1%
328,750 Careismatic Brands/New Trojan, Inc. (fka Strategic Partners),
Initial Term Loan, 1 Mo. LIBOR + 3.25%, 0.50% Floor.......... 4.01% 01/06/28 315,873
2,747,847 Careismatic Brands/New Trojan, Inc. (fka Strategic Partners),
Initial Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor.......... 4.26% 01/06/28 2,640,214
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2,956,087
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APPLICATION SOFTWARE -- 14.5%
3,397,565 AppLovin Corp., Amendment No. 6 New Term Loan, 1 Mo.
LIBOR + 3.00%, 0.50% Floor................................... 3.76% 10/25/28 3,372,797
807,047 CCC Intelligent Solutions, Inc., Term Loan B, 3 Mo. LIBOR +
2.25%, 0.50% Floor........................................... 3.26% 09/21/28 795,950
15,316,672 ConnectWise LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50%
Floor........................................................ 4.26% 09/30/28 15,201,797
44,620,458 Epicor Software Corp., Term Loan C (First Lien), 1 Mo. LIBOR
+ 3.25%, 0.75% Floor......................................... 4.01% 07/30/27 44,297,852
1,042,627 Flexera Software LLC, 2020 Term Loan B, 3 Mo. LIBOR +
3.75%, 0.75% Floor........................................... 4.50% 01/26/28 1,034,808
31,119,618 Gainwell Acquisition Corp. (fka Milano), Term Loan B, 3 Mo.
LIBOR + 4.00%, 0.75% Floor................................... 5.01% 10/01/27 30,983,625
63,283,130 Greeneden U.S. Holdings II LLC (Genesys Telecommunications
Lboratories, Inc.), Initial Dollar Term Loan, 1 Mo. LIBOR +
4.00%, 0.75% Floor........................................... 4.76% 12/01/27 63,045,818
15,443,551 Hyland Software, Inc., Term Loan (Second Lien), 1 Mo. LIBOR
+ 6.25%, 0.75% Floor......................................... 7.01% 07/10/25 15,366,333
66,474,246 Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%,
0.75% Floor.................................................. 4.26% 07/01/24 66,187,078
13,592,450 Imprivata, Inc., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.50%
Floor........................................................ 4.25% 11/30/27 13,517,148
23,872,929 Internet Brands, Inc. (WebMD/MH Sub I LLC), 2020 June New
Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor.................. 4.75% 09/15/24 23,740,196
59,839,995 Internet Brands, Inc. (WebMD/MH Sub I LLC), Initial Term
Loan, 1 Mo. LIBOR + 3.50%, 0.00% Floor....................... 4.26% 09/13/24 59,421,115
11,578,646 Internet Brands, Inc. (WebMD/MH Sub I LLC), Term Loan
(Second Lien), 1 Mo. LIBOR + 6.25%, 0.00% Floor.............. 6.71% 02/23/29 11,431,018
5,896,535 ION Trading Technologies Ltd., Term Loan B, 1 Mo. LIBOR +
4.75%, 0.00% Floor........................................... 5.51% 04/01/28 5,855,613
See Notes to Financial Statements Page 7
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
APPLICATION SOFTWARE (CONTINUED)
$ 34,592,273 LogMeIn, Inc. (GoTo Group, Inc.), Term Loan B, 1 Mo. LIBOR
+ 4.75%, 0.00% Floor......................................... 5.30% 08/31/27 $ 33,187,135
24,984,444 McAfee Corp. (Condor Merger Sub, Inc.), Term Loan B, 1 Mo.
SOFR + 4.00%, 0.50% Floor.................................... 4.50% 02/28/29 24,297,372
2,060,039 MeridianLink, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50%
Floor........................................................ 4.01% 11/09/28 2,023,988
247,071 Micro Focus International (MA Financeco LLC), Seattle Spinco
Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor................ 3.51% 06/21/24 243,830
3,890,962 Micro Focus International (MA Financeco LLC), Term Loan B4,
3 Mo. LIBOR + 4.25%, 1.00% Floor............................. 5.25% 06/05/25 3,860,963
2,980,038 N-Able, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50%
Floor........................................................ 3.51% 07/19/28 2,942,787
14,335,603 RealPage, Inc., Term Loan (Second Lien), 1 Mo. LIBOR +
6.50%, 0.75% Floor........................................... 7.26% 04/22/29 14,386,351
50,871,465 RealPage, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50%
Floor........................................................ 3.75% 04/24/28 50,013,263
64,354,874 SolarWinds Holdings, Inc., Initial Term Loan, 1 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 3.51% 02/05/24 63,691,376
9,016,801 Solera Holdings, Inc. (Polaris Newco), Term Loan B, 1 Mo.
LIBOR + 4.00%, 0.50% Floor................................... 4.76% 06/04/28 8,911,575
375,462 Tenable, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.50%
Floor........................................................ 3.27% 07/07/28 373,116
765,732 TIBCO Software, Inc., Term Loan B-3, 1 Mo. LIBOR + 3.75%,
0.00% Floor.................................................. 4.52% 06/30/26 762,860
685,164 Ultimate Kronos Group (UKG, Inc.), 2021 Term Loan, 3 Mo.
LIBOR + 3.25%, 0.50% Floor................................... 4.21% 05/03/26 677,456
3,973,588 Veeam Software Holdings Ltd. (VS Buyer LLC), Term Loan B,
1 Mo. LIBOR + 3.00%, 0.00% Floor............................. 3.76% 02/28/27 3,930,872
---------------
563,554,092
---------------
ASSET MANAGEMENT & CUSTODY BANKS -- 1.3%
15,451,614 Edelman Financial Engines Center LLC, Term Loan (Second
Lien), 1 Mo. LIBOR + 6.75%, 0.00% Floor...................... 7.51% 07/20/26 15,096,227
35,896,631 Edelman Financial Engines Center LLC, Term Loan B, 1 Mo.
LIBOR + 3.50%, 0.75% Floor................................... 4.26% 04/07/28 35,592,587
---------------
50,688,814
---------------
AUTO PARTS & EQUIPMENT -- 1.0%
9,186,973 Clarios Global L.P. (Power Solutions), Term Loan B, 1 Mo.
LIBOR + 3.25%, 0.00% Floor................................... 4.01% 04/30/26 9,030,060
2,140,035 Dexko Global (Dornoch Debt Merger Sub, Inc.), Delayed Draw
Term Loan, 3 Mo. LIBOR + 3.75%, 0.50% Floor.................. 4.72% 10/04/28 2,085,014
11,235,181 Dexko Global (Dornoch Debt Merger Sub, Inc.), Term Loan B,
3 Mo. LIBOR + 3.75%, 0.50% Floor............................. 4.72% 10/04/28 10,946,325
19,616,828 Truck Hero, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75%
Floor........................................................ 4.01% 01/31/28 18,273,075
---------------
40,334,474
---------------
BROADCASTING -- 2.9%
1,032,877 Diamond Sports Group LLC, Priority Term Loan, 3 Mo. LIBOR
+ 8.00%, 1.00% Floor......................................... 9.00% 05/25/26 1,048,205
1,166,515 E.W. Scripps Co., Tranche B-3 Term Loan, 1 Mo. LIBOR +
2.75%, 0.75% Floor........................................... 3.51% 01/07/28 1,160,683
Page 8 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
BROADCASTING (CONTINUED)
$ 40,174,706 iHeartCommunications, Inc., Second Amendment Incremental
Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor................ 4.01% 05/01/26 $ 39,915,177
8,502,712 iHeartCommunications, Inc., Term Loan B, 1 Mo. LIBOR +
3.00%, 0.00% Floor........................................... 3.76% 05/01/26 8,423,552
42,953,210 Univision Communications, Inc., 2017 Replacement Repriced
Term Loan C-5 (First Lien), 1 Mo. LIBOR + 2.75%, 1.00%
Floor........................................................ 3.75% 03/15/24 42,765,505
19,911,219 Univision Communications, Inc., 2021 Replacement New Term
Loan (First Lien), 1 Mo. LIBOR + 3.25%, 0.75% Floor.......... 4.01% 03/24/26 19,724,651
---------------
113,037,773
---------------
BUILDING PRODUCTS -- 0.2%
6,398,306 Hunter Douglas, Inc. (Solis), Term Loan B, 3 Mo. SOFR +
3.50%, 0.50% Floor........................................... 4.00% 02/28/29 6,079,990
2,373,665 Quikrete Holdings, Inc., Term Loan B-1, 1 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 3.76% 03/18/29 2,309,054
---------------
8,389,044
---------------
CABLE & SATELLITE -- 0.7%
353,462 Cablevision (aka CSC Holdings LLC), March 2017 Term Loan
B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor........................ 2.80% 07/17/25 346,128
6,278,031 DIRECTV Holdings LLC, Term Loan B, 1 Mo. LIBOR + 5.00%,
0.75% Floor.................................................. 5.76% 07/31/27 6,246,013
22,330,037 Radiate Holdco LLC (RCN), Inc., Amendment No. 6 Term Loan,
1 Mo. LIBOR + 3.25%, 0.75% Floor............................. 4.01% 09/25/26 22,003,125
---------------
28,595,266
---------------
CASINOS & GAMING -- 2.6%
9,759,798 Caesars Resort Collection LLC, New Term Loan B-1, 1 Mo.
LIBOR + 3.50%, 0.00% Floor................................... 4.26% 07/20/25 9,717,734
24,924,888 Caesars Resort Collection LLC, Term Loan B, 1 Mo. LIBOR +
2.75%, 0.00% Floor........................................... 3.51% 12/22/24 24,794,530
65,950,746 Golden Nugget, Inc. (Fertitta Entertainment LLC), Initial Term
Loan B, 1 Mo. SOFR + 4.00%, 0.50% Floor...................... 4.70% 01/27/29 65,601,867
500,000 Light & Wonder (FKA Scientific Games International, Inc.), Term
Loan B, 1 Mo. SOFR + 3.00%, 0.50% Floor...................... 3.57% 04/07/29 497,190
1,699,679 Scientific Games Holdings L.P. (Scientific Games Lottery),
Initial Dollar Term Loan, 3 Mo. SOFR + 3.50%, 0.50% Floor.... 4.47% 02/28/29 1,680,864
---------------
102,292,185
---------------
COMMUNICATIONS EQUIPMENT -- 0.2%
7,125,185 Commscope, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00%
Floor........................................................ 4.01% 04/06/26 6,841,959
---------------
CONSTRUCTION & ENGINEERING -- 0.3%
10,033,068 USIC, Inc., Term Loan (First Lien), 1 Mo. LIBOR + 3.50%,
0.75% Floor.................................................. 4.26% 05/15/28 9,915,179
---------------
DATA PROCESSING & OUTSOURCED SERVICES -- 0.2%
8,195,716 Paysafe Holdings (US) Corp., Facility Term Loan B1, 1 Mo.
LIBOR + 2.75%, 0.50% Floor................................... 3.51% 06/24/28 7,893,540
---------------
DIVERSIFIED CHEMICALS -- 0.1%
2,742,167 Ineos US Petrochem LLC (Ineos Quattro), Term Loan B, 1 Mo.
LIBOR + 2.75%, 0.50% Floor................................... 3.51% 01/31/26 2,709,042
---------------
See Notes to Financial Statements Page 9
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
EDUCATION SERVICES -- 0.3%
$ 11,947,228 Ascensus Holdings, Inc. (Mercury), Incremental Term Loan B,
3 Mo. LIBOR + 3.50%, 0.50% Floor............................. 4.56% 08/02/28 $ 11,758,103
---------------
ELECTRIC UTILITIES -- 1.8%
72,561,593 PG&E Corp., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50%
Floor........................................................ 3.81% 06/23/25 71,518,883
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.2%
23,934,251 Chamberlain Group, Inc. (Chariot), Term Loan B, 3 Mo. LIBOR
+ 3.50%, 0.50% Floor......................................... 4.51% 11/03/28 23,462,986
24,524,183 Verifone Systems, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%,
0.00% Floor.................................................. 4.50% 08/20/25 24,049,150
---------------
47,512,136
---------------
ENVIRONMENTAL & FACILITIES SERVICES -- 1.4%
27,905,541 Allied Universal Holdco LLC, Initial Term Loan, 1 Mo. LIBOR +
3.75%, 0.50% Floor........................................... 4.51% 05/14/28 27,152,649
22,059,382 Packers Holdings LLC (PSSI), Term Loan B, 6 Mo. LIBOR +
3.25%, 0.75% Floor........................................... 4.00% 03/15/28 21,634,739
4,972,685 TruGreen L.P., Second Refinancing Term Loan B, 1 Mo. LIBOR
+ 4.00%, 0.75% Floor......................................... 4.76% 11/02/27 4,944,738
---------------
53,732,126
---------------
HEALTH CARE DISTRIBUTORS -- 0.2%
6,632,744 Radiology Partners, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%,
0.00% Floor.................................................. 4.80% - 4.88% 07/09/25 6,520,849
---------------
HEALTH CARE EQUIPMENT -- 0.1%
3,529,324 Embecta Corp., Initial Term Loan, 3 Mo. SOFR + 3.00%, 0.50%
Floor........................................................ 3.65% 03/31/29 3,485,207
---------------
HEALTH CARE FACILITIES -- 0.5%
16,806,499 Ardent Health Services, Inc. (AHP Health Partners, Inc.), Term
Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor..................... 4.26% 08/24/28 16,696,249
2,488,963 WP CityMD Bidco. LLC (Summit Health), Second Amendment
Refi Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor............. 3.75% 12/23/28 2,461,484
---------------
19,157,733
---------------
HEALTH CARE SERVICES -- 9.3%
6,601,876 AccentCare (Pluto Acquisition I, Inc.), New Term Loan B, 3 Mo.
LIBOR + 4.00%, 0.00% Floor................................... 4.51% 06/20/26 6,469,838
30,907,199 ADMI Corp. (Aspen Dental), 2020 Incremental Term Loan B2,
1 Mo. LIBOR + 3.38%, 0.50% Floor............................. 3.88% 12/23/27 30,399,394
15,018,653 ADMI Corp. (Aspen Dental), 2021 Incremental Term Loan B3,
1 Mo. LIBOR + 3.50%, 0.50% Floor............................. 4.26% 12/23/27 14,830,920
5,922,329 Air Methods Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00%
Floor........................................................ 4.51% 04/21/24 5,646,230
34,393,697 athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan B,
1 Mo. SOFR + 3.50%, 0.50% Floor.............................. 4.01% 01/27/29 33,877,791
14,752,286 Aveanna Healthcare LLC, 2021 Term Loan B, 3 Mo. LIBOR +
3.75%, 0.50% Floor........................................... 4.25% 07/15/28 14,460,339
3,448,004 Aveanna Healthcare LLC, Delayed Draw Term Loan, 1 Mo.
LIBOR + 3.75%, 0.50% Floor................................... 4.25% 07/15/28 3,379,768
19,337,195 Brightspring Health (Phoenix Guarantor, Inc.), Incremental Term
Loan B-3, 1 Mo. LIBOR + 3.50%, 0.00% Floor................... 4.13% 03/05/26 19,005,756
73,681 CHG Healthcare Services, Inc., Term Loan B, 3 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 4.51% 09/30/28 73,145
Page 10 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE SERVICES (CONTINUED)
$ 29,251,135 CHG Healthcare Services, Inc., Term Loan B, 6 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 5.00% 09/30/28 $ 29,038,480
6,452,188 Civitas Solutions (National Mentor Holdings, Inc.), Term Loan B,
1 Mo. LIBOR + 3.75%, 0.75% Floor............................. 4.52% 03/01/28 6,188,745
8,045,348 Civitas Solutions (National Mentor Holdings, Inc.), Term Loan B,
3 Mo. LIBOR + 3.75%, 0.75% Floor............................. 4.76% 03/01/28 7,716,856
476,007 Civitas Solutions (National Mentor Holdings, Inc.), Term Loan C,
3 Mo. LIBOR + 3.75%, 0.75% Floor............................. 4.76% 03/01/28 456,572
23,197,103 Envision Healthcare Corp., Initial Term Loan, 1 Mo. LIBOR +
3.75%, 0.00% Floor........................................... 4.51% 10/10/25 14,092,240
45,753,847 ExamWorks Group, Inc. (Electron Bidco), Term Loan B, 1 Mo.
LIBOR + 3.00%, 0.50% Floor................................... 3.76% 10/29/28 45,321,930
10,528,673 Global Medical Response, Inc. (fka Air Medical), 2018 New
Term Loan, 6 Mo. LIBOR + 4.25%, 1.00% Floor.................. 5.25% 03/14/25 10,438,022
1,399,749 Global Medical Response, Inc. (fka Air Medical), 2021
Refinancing Term Loan, 3 Mo. LIBOR + 4.25%, 1.00% Floor...... 5.25% 10/02/25 1,387,208
1,096,363 Help at Home (HAH Group Holding Co. LLC), Delayed Draw
Term Loan, 3 Mo. LIBOR + 5.00%, 1.00% Floor.................. 6.00% 10/29/27 1,077,177
8,862,363 Help at Home (HAH Group Holding Co. LLC), Initial Term
Loan, 3 Mo. LIBOR + 5.00%, 1.00% Floor....................... 6.00% 10/29/27 8,707,271
17,048,007 Packaging Coordinators, Inc. (PCI Pharma), Term Loan B, 3 Mo.
LIBOR + 3.75%, 0.75% Floor................................... 4.76% 11/30/27 16,941,457
5,945,428 Radnet Management, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%,
0.75% Floor.................................................. 3.75% 04/22/28 5,881,752
749,722 SCP Health (Onex TSG Intermediate Corp.), Term Loan B, 1 Mo.
LIBOR + 4.75%, 0.75% Floor................................... 5.51% 02/28/28 740,215
3,102,531 Surgery Centers Holdings, Inc., 2021 Term Loan B, 1 Mo.
LIBOR + 3.75%, 0.75% Floor................................... 4.50% 08/31/26 3,071,071
28,477,509 Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00%
Floor........................................................ 3.75% 02/06/24 26,460,448
23,655,252 U.S. Anesthesia Partners Intermediate Holdings, Inc., New Term
Loan B, 3 Mo. LIBOR + 4.25%, 0.50% Floor..................... 4.75% 09/30/28 23,353,647
38,118,465 U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%,
0.00% Floor.................................................. 5.76% 06/28/26 33,639,545
---------------
362,655,817
---------------
HEALTH CARE SUPPLIES -- 1.4%
54,994,982 Medline Borrower L.P. (Mozart), Initial Dollar Term Loan, 1 Mo.
LIBOR + 3.25%, 0.50% Floor................................... 3.75% 10/21/28 54,032,570
---------------
HEALTH CARE TECHNOLOGY -- 8.4%
70,963,389 Change Healthcare Holdings LLC, Closing Date Term Loan,
1 Mo. LIBOR + 2.50%, 1.00% Floor............................. 3.50% 03/01/24 70,789,529
31,241,739 Ciox Health (Healthport/CT Technologies Intermediate Holdings,
Inc.), New Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor..... 5.01% 12/16/25 30,875,586
8,696,855 Clario (fka eResearch Technology, Inc.), Incremental Term
Loan B, 1 Mo. LIBOR + 4.50%, 1.00% Floor..................... 5.50% 02/04/27 8,658,241
33,488,614 Ensemble RCM LLC (Ensemble Health), Term Loan B, 3 Mo.
LIBOR + 3.75%, 0.00% Floor................................... 4.99% 08/01/26 33,344,948
26,057,116 Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), Term
Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor..................... 4.01% 03/10/28 25,768,142
13,301,770 Navicure, Inc. (Waystar Technologies, Inc.), Term Loan B, 1 Mo.
LIBOR + 4.00%, 0.00% Floor................................... 4.76% 10/23/26 13,276,896
See Notes to Financial Statements Page 11
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE TECHNOLOGY (CONTINUED)
$ 16,249 Press Ganey (Azalea TopCo, Inc.), 2021 Term Loan, 1 Mo.
LIBOR + 3.75%, 0.75% Floor................................... 4.51% 07/25/26 $ 16,097
6,434,735 Press Ganey (Azalea TopCo, Inc.), 2021 Term Loan, 3 Mo.
LIBOR + 3.75%, 0.75% Floor................................... 4.99% 07/25/26 6,374,441
25,818 Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR +
3.50%, 0.00% Floor........................................... 4.26% 07/25/26 25,426
10,043,220 Press Ganey (Azalea TopCo, Inc.), Term Loan B, 3 Mo. LIBOR +
3.50%, 0.00% Floor........................................... 4.74% 07/25/26 9,890,764
68,332,995 Verscend Technologies, Inc. (Cotiviti), New Term Loan B-1,
1 Mo. LIBOR + 4.00%, 0.00% Floor............................. 4.46% 08/27/25 68,034,380
8,962,304 Zelis Payments Buyer, Inc., New Term Loan B, 1 Mo. LIBOR +
3.50%, 0.00% Floor........................................... 3.96% 09/30/26 8,878,327
51,940,152 Zelis Payments Buyer, Inc., Term Loan B, 1 Mo. LIBOR +
3.50%, 0.00% Floor........................................... 3.96% 09/30/26 51,555,795
---------------
327,488,572
---------------
HOMEFURNISHING RETAIL -- 0.3%
9,270,114 At Home Holding III, Inc. (Ambience), Term Loan B, 3 Mo.
LIBOR + 4.25%, 0.50% Floor................................... 5.22% 07/30/28 8,296,752
4,152,395 Rent-A-Center, Inc., New Term Loan B, 3 Mo. LIBOR + 3.25%,
0.50% Floor.................................................. 3.81% 02/15/28 4,056,890
---------------
12,353,642
---------------
HOTELS, RESORTS & CRUISE LINES -- 0.3%
11,939,243 Alterra Mountain Company, Term Loan B-2, 1 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 4.26% 08/17/28 11,842,297
---------------
HOUSEHOLD APPLIANCES -- 0.2%
6,115,679 Weber-Stephen Products LLC, Term Loan B, 1 Mo. LIBOR +
3.25%, 0.75% Floor........................................... 4.01% 10/31/27 5,921,506
---------------
HUMAN RESOURCE & EMPLOYMENT SERVICES -- 0.1%
2,901,889 Alight, Inc. (fka Tempo Acq.), Extended Term Loan 2022, 1 Mo.
SOFR + 3.00%, 0.50% Floor.................................... 3.70% 08/31/28 2,878,326
---------------
INDUSTRIAL MACHINERY -- 0.8%
9,846,895 Filtration Group Corp., 2021 Incremental Term Loan B, 1 Mo.
LIBOR + 3.50%, 0.50% Floor................................... 4.26% 10/21/28 9,711,500
19,923,792 TK Elevator Newco GMBH (Vertical U.S. Newco, Inc.), New
Term Loan B1 (USD), 6 Mo. LIBOR + 3.50%, 0.50% Floor......... 4.02% 07/31/27 19,712,201
---------------
29,423,701
---------------
INSURANCE BROKERS -- 6.9%
3,652,771 Alliant Holdings I LLC, 2019 New Term Loan, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 4.01% 05/10/25 3,612,992
32,911,969 Alliant Holdings I LLC, Initial Term Loan, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 4.01% 05/09/25 32,570,672
14,951,123 Alliant Holdings I LLC, New Term Loan B4, 1 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 4.05% 11/06/27 14,831,514
1,455,140 AmWINS Group, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%,
0.75% Floor.................................................. 3.00% - 3.01% 02/28/28 1,427,681
12,920,670 AssuredPartners, Inc., 2021 Term Loan B, 1 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 4.26% 02/13/27 12,726,860
13,196,405 AssuredPartners, Inc., Incremental Term Loan 2022, 1 Mo. LIBOR
+ 3.50%, 0.50% Floor......................................... 4.20% 02/13/27 12,998,459
41,944,701 AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%,
0.00% Floor.................................................. 4.26% 02/12/27 41,350,345
Page 12 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
INSURANCE BROKERS (CONTINUED)
$ 9,027,266 BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%,
0.00% Floor.................................................. 3.76% 01/27/27 $ 8,878,496
3,515,548 Cross Financial Corp., Term Loan B, 6 Mo. LIBOR + 4.00%,
0.75% Floor.................................................. 4.81% 09/15/27 3,503,841
86,475 HUB International Ltd., Initial Term Loan B, 2 Mo. LIBOR +
3.00%, 0.00% Floor........................................... 4.00% 04/25/25 85,286
33,206,591 HUB International Ltd., Initial Term Loan B, 3 Mo. LIBOR +
3.00%, 0.00% Floor........................................... 4.21% 04/25/25 32,750,000
120,205 HUB International Ltd., New Term Loan B-3, 2 Mo. LIBOR +
3.25%, 0.75% Floor........................................... 4.18% 04/25/25 119,487
47,360,946 HUB International Ltd., New Term Loan B-3, 3 Mo. LIBOR +
3.25%, 0.75% Floor........................................... 4.35% 04/25/25 47,077,726
57,332,074 USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo.
LIBOR + 3.00%, 0.00% Floor................................... 4.01% 05/15/24 56,758,754
---------------
268,692,113
---------------
INTEGRATED TELECOMMUNICATION SERVICES -- 1.8%
25,245,038 Frontier Communications Corp., Term Loan B, 3 Mo. LIBOR +
3.75%, 0.75% Floor........................................... 4.81% 05/01/28 24,782,296
11,634,021 Numericable (Altice France S.A. or SFR), Term Loan B-11,
3 Mo. LIBOR + 2.75%, 0.00% Floor............................. 3.05% 07/31/25 11,406,227
1,925,615 Numericable (Altice France S.A. or SFR), Term Loan B-12,
3 Mo. LIBOR + 3.69%, 0.00% Floor............................. 4.73% 01/31/26 1,903,355
12,800,372 Numericable (Altice France S.A. or SFR), Term Loan B-13,
3 Mo. LIBOR + 4.00%, 0.00% Floor............................. 4.51% 08/14/26 12,693,745
19,050,284 Zayo Group Holdings, Inc., Incremental Term Loan B-2, 1 Mo.
SOFR + 4.25%, 0.50% Floor.................................... 4.75% 03/09/27 18,574,027
2,389,219 Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1 Mo.
LIBOR + 3.00%, 0.00% Floor................................... 3.76% 03/09/27 2,263,331
---------------
71,622,981
---------------
MANAGED HEALTH CARE -- 1.0%
40,622,904 Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 4.25%,
0.50% Floor.................................................. 4.76% 08/31/28 38,953,709
---------------
METAL & GLASS CONTAINERS -- 0.5%
4,679,061 Altium Packaging LLC (FKA Consolidated Container), Term
Loan B, 1 Mo. LIBOR + 2.75%, 0.50% Floor..................... 3.52% 02/03/28 4,500,695
14,314,105 PODS LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75%
Floor........................................................ 3.75% 03/31/28 14,129,167
---------------
18,629,862
---------------
MOVIES & ENTERTAINMENT -- 0.8%
1,848,603 Cineworld Group PLC (Crown), New Priority Term Loan, 6 Mo.
LIBOR + 8.25%, 1.00% Floor................................... 9.25% 05/23/24 1,965,305
3,391,100 Cineworld Group PLC (Crown), Priority Term Loan B-1, Fixed
Rate at 15.25% (c)........................................... 15.25% 05/23/24 3,919,908
22,540,563 Cineworld Group PLC (Crown), Term Loan B, 3 Mo. LIBOR +
2.50%, 1.00% Floor........................................... 4.00% 02/28/25 17,156,750
2,200,401 PUG LLC (Stubhub/Viagogo), Incremental Term Loan B-2, 1 Mo.
LIBOR + 4.25%, 0.50% Floor................................... 4.75% 02/13/27 2,172,896
7,977,407 PUG LLC (Stubhub/Viagogo), Term Loan B, 1 Mo. LIBOR +
3.50%, 0.00% Floor........................................... 4.26% 02/12/27 7,768,000
---------------
32,982,859
---------------
See Notes to Financial Statements Page 13
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
OFFICE SERVICES & SUPPLIES -- 0.5%
$ 19,752,764 Dun & Bradstreet Corp., Refinancing Term Loan, 1 Mo. LIBOR +
3.25%, 0.00% Floor........................................... 3.92% 02/08/26 $ 19,584,865
---------------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 0.0%
963,707 AlixPartners, LLP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.50%
Floor........................................................ 3.25% 02/04/28 952,625
---------------
PAPER PACKAGING -- 1.8%
28,452,006 Graham Packaging Company L.P., Term Loan B, 1 Mo. LIBOR +
3.00%, 0.75% Floor........................................... 3.76% 08/04/27 27,831,468
5,000,000 Pactiv LLC/Evergreen Packaging LLC (fka Reynolds Group
Holdings), Term Loan B-2, 1 Mo. LIBOR + 3.25%, 0.00%
Floor........................................................ 4.01% 02/05/26 4,856,250
36,764,512 Pactiv LLC/Evergreen Packaging LLC (fka Reynolds Group
Hldings), Tranche B-3 U.S. Term Loan, 1 Mo. LIBOR +
3.50%, 0.50% Floor........................................... 4.26% 09/20/28 35,813,414
---------------
68,501,132
---------------
PHARMACEUTICALS -- 7.7%
2,117,208 Akorn, Inc., Exit Take Back Term Loan, 3 Mo. LIBOR + 7.50%,
1.00% Floor (d).............................................. 8.50% 09/30/25 2,106,622
65,080,688 Bausch Health Cos., Inc. (Valeant), Second Amendment Term
Loan B, 1 Mo. SOFR + 5.25%, 0.50% Floor...................... 6.14% 02/11/27 62,884,215
38,938,144 Endo LLC, 2021 Term Loan B, 1 Mo. LIBOR + 5.00%, 0.75%
Floor........................................................ 5.81% 03/27/28 36,027,518
56,864,399 Jazz Pharmaceuticals, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%,
0.50% Floor.................................................. 4.26% 05/05/28 56,750,670
28,242,804 Mallinckrodt International Finance S.A., 2017 Term Loan B,
3 Mo. LIBOR + 5.25%, 0.75% Floor (e)......................... 6.25% 09/24/24 26,195,201
5,541,325 Mallinckrodt International Finance S.A., 2018 Incremental Term
Loan, 3 Mo. LIBOR + 5.50%, 0.75% Floor (e)................... 6.25% 02/24/25 5,131,267
59,915,360 Nestle Skin Health (Sunshine Lux VII S.A.R.L./Galderma), 2021
Term Loan B-3, 3 Mo. LIBOR + 3.75%, 0.75% Floor.............. 4.76% 10/02/26 59,326,991
1,306,112 Padagis LLC, Term Loan B, 3 Mo. LIBOR + 4.75%, 0.50%
Floor........................................................ 5.25% 07/06/28 1,302,846
49,425,466 Parexel International Corp. (Phoenix Newco), Term Loan (First
Lien), 1 Mo. LIBOR + 3.50%, 0.50% Floor...................... 4.26% 11/15/28 49,039,454
---------------
298,764,784
---------------
RESEARCH & CONSULTING SERVICES -- 2.2%
50,199,447 Clarivate Analytics PLC (Camelot), Amendment No. 2
Incremental Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor...... 4.00% 10/31/26 49,722,552
16,075,232 Corelogic, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50%
Floor........................................................ 4.31% 06/02/28 15,070,530
9,341,664 J.D. Power (Project Boost Purchaser LLC), 2021 Incremental
Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor................ 4.26% 05/26/26 9,205,462
3,700,057 Nielsen Consumer, Inc. (Indy US Holdco LLC/NielsonIQ), Term
Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor..................... 4.51% 03/05/28 3,674,638
5,949,195 Veritext Corp. (VT TopCo, Inc.), Non-Fungible Term Loan (First
Lien), 3 Mo. LIBOR + 3.75%, 0.75% Floor...................... 4.76% 08/10/25 5,886,015
---------------
83,559,197
---------------
RESTAURANTS -- 2.9%
20,630,710 IRB Holding Corp. (Arby's/Inspire Brands), New Term Loan B
2022, 1 Mo. SOFR + 3.00%, 0.75% Floor........................ 3.75% 12/15/27 20,321,249
Page 14 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
RESTAURANTS (CONTINUED)
$ 66,558,165 IRB Holding Corp. (Arby's/Inspire Brands), Term Loan B, 3 Mo.
LIBOR + 2.75%, 1.00% Floor................................... 3.76% 02/05/25 $ 65,911,219
4,538,375 Portillo's Holdings LLC, Term Loan B-3, 1 Mo. LIBOR + 5.50%,
1.00% Floor.................................................. 6.50% 08/30/24 4,510,010
20,813,936 Whatabrands LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50%
Floor........................................................ 4.01% 07/31/28 20,567,915
---------------
111,310,393
---------------
SECURITY & ALARM SERVICES -- 0.2%
8,629,846 Garda World Security Corp., Term Loan B, 1 Mo. LIBOR +
4.25%, 0.00% Floor........................................... 4.92% 10/30/26 8,534,918
---------------
SOFT DRINKS -- 0.4%
16,009,900 Tropicana (Naked Juice LLC/Bengal Debt Merger Sub LLC),
Term Loan (First Lien), 3 Mo. SOFR + 3.25%, 0.50% Floor...... 4.00% 01/24/29 15,686,820
1,318,011 Tropicana (Naked Juice LLC/Bengal Debt Merger Sub LLC), Term
Loan (Second Lien), 3 Mo. SOFR + 6.00%, 0.50% Floor.......... 6.65% 01/24/30 1,308,126
---------------
16,994,946
---------------
SPECIALIZED CONSUMER SERVICES -- 1.7%
9,404,932 Asurion LLC, New B-8 Term Loan, 1 Mo. LIBOR + 3.25%,
0.00% Floor.................................................. 4.01% 12/23/26 9,185,515
12,979,453 Asurion LLC, Term Loan B-3 (Second Lien), 1 Mo. LIBOR +
5.25%, 0.00% Floor........................................... 6.01% 01/31/28 12,577,869
4,395,044 Asurion LLC, Term Loan B-4 (Second Lien), 1 Mo. LIBOR +
5.25%, 0.00% Floor........................................... 6.01% 01/20/29 4,258,797
37,418,505 Asurion LLC, Term Loan B-6, 1 Mo. LIBOR + 3.13%, 0.00%
Floor........................................................ 3.89% 11/03/23 37,224,677
2,393,303 Asurion LLC, Term Loan B-7, 1 Mo. LIBOR + 3.00%, 0.00%
Floor........................................................ 3.76% 11/03/24 2,367,240
312,342 Driven Holdings LLC, 2021 Term Loan B, 1 Yr. LIBOR + 3.00%,
0.50% Floor.................................................. 3.52% 11/30/28 308,438
---------------
65,922,536
---------------
SPECIALIZED FINANCE -- 0.8%
31,434,694 WCG Purchaser Corp. (WIRB-Copernicus Group), Term Loan B,
3 Mo. LIBOR + 4.00%, 1.00% Floor............................. 5.01% 01/08/27 31,336,618
---------------
SPECIALTY STORES -- 1.7%
9,494,832 Bass Pro Group LLC (Great Outdoors Group LLC), Term Loan B,
1 Mo. LIBOR + 3.75%, 0.75% Floor............................. 4.51% 03/05/28 9,388,015
47,286,246 Petco Health and Wellness Co., Inc., Initial Term Loan B, 3 Mo.
LIBOR + 3.25%, 0.75% Floor................................... 4.26% 03/03/28 46,779,810
11,599,424 Petsmart, Inc., Initial Term Loan B, 3 Mo. LIBOR + 3.75%,
0.75% Floor.................................................. 4.50% 02/12/28 11,477,630
---------------
67,645,455
---------------
SYSTEMS SOFTWARE -- 5.1%
66,858,537 Applied Systems, Inc., Term Loan (First Lien), 3 Mo. LIBOR +
3.00%, 0.50% Floor........................................... 4.01% 09/19/24 66,616,509
938,570 Applied Systems, Inc., Term Loan (First Lien), Prime Rate +
2.00%, 0.50% Floor........................................... 5.50% 09/19/24 935,172
8,633,931 Applied Systems, Inc., Term Loan (Second Lien), 3 Mo. LIBOR
+ 5.50%, 0.75% Floor......................................... 6.51% 09/19/25 8,607,684
6,364,592 BeyondTrust (Brave Parent Holdings, Inc.), Term Loan B, 1 Mo.
LIBOR + 4.00%, 0.00% Floor................................... 4.46% 04/19/25 6,292,990
See Notes to Financial Statements Page 15
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (a) MATURITY (b) VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SYSTEMS SOFTWARE (CONTINUED)
$ 17,568,062 BMC Software Finance, Inc. (Boxer Parent), 2021 Replacement
Dollar Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor........... 4.51% 10/02/25 $ 17,333,177
2,754,535 Idera, Inc., Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.75%
Floor........................................................ 4.52% 02/15/28 2,715,173
24,463,880 Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term
Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor..................... 4.74% 06/13/24 23,703,298
10,395,000 Proofpoint, Inc., Term Loan (Second Lien), 3 Mo. LIBOR +
6.25%, 0.50% Floor........................................... 6.76% 08/31/29 10,385,229
38,920,705 Proofpoint, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50%
Floor........................................................ 3.76% 08/31/28 38,255,939
22,760,900 Sophos Group PLC (Surf), Term Loan B, 3 Mo. LIBOR + 3.50%,
0.00% Floor.................................................. 4.11% 03/05/27 22,508,026
982,278 SUSE (Marcel Lux IV S.A.R.L.), Facility Term Loan B1 USD,
1 Mo. LIBOR + 3.25%, 0.00% Floor............................. 4.01% 03/15/26 975,727
---------------
198,328,924
---------------
TRADING COMPANIES & DISTRIBUTORS -- 1.0%
41,256,555 SRS Distribution, Inc., 2021 Refinancing Term Loan, 3 Mo.
LIBOR + 3.50%, 0.50% Floor................................... 4.02% 06/04/28 39,709,435
840,339 SRS Distribution, Inc., 2022 Refinancing Term Loan, 1 Mo.
SOFR + 3.50%, 0.50% Floor.................................... 4.00% 06/04/28 808,826
---------------
40,518,261
---------------
TRUCKING -- 0.8%
25,429,990 Hertz (The) Corp., Exit Term Loan B, 1 Mo. LIBOR + 3.25%,
0.50% Floor.................................................. 3.75% 06/30/28 25,306,145
4,785,233 Hertz (The) Corp., Exit Term Loan C, 1 Mo. LIBOR + 3.25%,
0.50% Floor.................................................. 3.75% 06/30/28 4,761,929
---------------
30,068,074
---------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS.................................................... 3,457,174,946
(Cost $3,509,823,738) ---------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
CORPORATE BONDS AND NOTES -- 7.9%
AEROSPACE & DEFENSE -- 0.0%
1,082,000 TransDigm, Inc. (f)............................................. 6.25% 03/15/26 1,079,149
---------------
ALTERNATIVE CARRIERS -- 0.1%
2,760,000 Cogent Communications Group, Inc. (f)........................... 3.50% 05/01/26 2,609,152
---------------
BROADCASTING -- 0.8%
8,109,000 Cumulus Media New Holdings, Inc. (f)............................ 6.75% 07/01/26 8,079,929
10,208,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (f)....... 5.38% 08/15/26 3,738,578
2,148,000 Gray Television, Inc. (f)....................................... 5.88% 07/15/26 2,164,175
1,711,000 iHeartCommunications, Inc....................................... 8.38% 05/01/27 1,696,867
1,038,000 iHeartCommunications, Inc. (f).................................. 5.25% 08/15/27 971,942
12,412,000 Nexstar Media, Inc. (f)......................................... 5.63% 07/15/27 12,091,770
1,905,000 Univision Communications, Inc. (f).............................. 5.13% 02/15/25 1,874,139
---------------
30,617,400
---------------
CABLE & SATELLITE -- 2.7%
52,771,000 CCO Holdings LLC / CCO Holdings Capital Corp. (f)............... 5.13% 05/01/27 51,515,842
53,853,000 CSC Holdings LLC (f)............................................ 7.50% 04/01/28 49,729,207
2,882,000 Radiate Holdco LLC / Radiate Finance, Inc. (f).................. 4.50% 09/15/26 2,658,126
---------------
103,903,175
---------------
Page 16 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
CORPORATE BONDS AND NOTES (CONTINUED)
CASINOS & GAMING -- 0.3%
$ 9,968,000 Caesars Entertainment, Inc. (f)................................. 6.25% 07/01/25 $ 10,089,111
---------------
ELECTRIC UTILITIES -- 0.0%
2,000,000 PG&E Corp....................................................... 5.00% 07/01/28 1,840,220
---------------
HEALTH CARE FACILITIES -- 1.1%
4,014,000 Select Medical Corp. (f)........................................ 6.25% 08/15/26 3,990,438
10,530,000 Tenet Healthcare Corp. (f)...................................... 4.63% 09/01/24 10,451,604
9,264,000 Tenet Healthcare Corp. (f)...................................... 4.88% 01/01/26 9,028,417
2,015,000 Tenet Healthcare Corp. (f)...................................... 6.25% 02/01/27 2,001,983
16,407,000 Tenet Healthcare Corp. (f)...................................... 5.13% 11/01/27 15,950,885
3,607,000 Tenet Healthcare Corp. (f)...................................... 4.63% 06/15/28 3,405,134
---------------
44,828,461
---------------
HEALTH CARE SERVICES -- 0.6%
24,652,000 Global Medical Response, Inc. (f)............................... 6.50% 10/01/25 23,914,166
---------------
HEALTH CARE TECHNOLOGY -- 0.4%
17,450,000 Change Healthcare Holdings LLC / Change Healthcare Finance,
Inc. (f)..................................................... 5.75% 03/01/25 17,428,449
---------------
INSURANCE BROKERS -- 0.8%
3,124,000 Alliant Holdings Intermediate LLC / Alliant Holdings
Co-Issuer (f)................................................ 4.25% 10/15/27 2,889,262
2,265,000 AmWINS Group, Inc. (f).......................................... 4.88% 06/30/29 2,076,473
8,328,000 AssuredPartners, Inc. (f)....................................... 7.00% 08/15/25 8,224,733
16,858,000 HUB International Ltd. (f)...................................... 7.00% 05/01/26 16,705,098
---------------
29,895,566
---------------
INTEGRATED TELECOMMUNICATION SERVICES -- 0.3%
1,430,000 Frontier Communications Holdings LLC (f)........................ 5.88% 10/15/27 1,371,670
2,619,000 Frontier Communications Holdings LLC (f)........................ 5.00% 05/01/28 2,394,552
5,600,000 Frontier Communications Holdings LLC (f)........................ 6.75% 05/01/29 5,053,020
4,564,000 Zayo Group Holdings, Inc. (f)................................... 4.00% 03/01/27 3,978,553
---------------
12,797,795
---------------
PAPER PACKAGING -- 0.1%
3,226,000 Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group
Issuer LLC (f)............................................... 4.00% 10/15/27 2,819,217
---------------
PHARMACEUTICALS -- 0.1%
2,460,000 Horizon Therapeutics USA, Inc. (f).............................. 5.50% 08/01/27 2,462,989
1,604,000 Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (f)......... 4.13% 04/30/28 1,488,079
---------------
3,951,068
---------------
RESEARCH & CONSULTING SERVICES -- 0.0%
1,000,000 Clarivate Science Holdings Corp. (f)............................ 3.88% 07/01/28 891,470
---------------
RESTAURANTS -- 0.1%
3,185,000 IRB Holding Corp. (f)........................................... 7.00% 06/15/25 3,264,561
---------------
SYSTEMS SOFTWARE -- 0.2%
6,282,000 SS&C Technologies, Inc. (f)..................................... 5.50% 09/30/27 6,164,338
---------------
TRUCKING -- 0.3%
12,706,000 Hertz (The) Corp. (f)........................................... 4.63% 12/01/26 11,598,736
---------------
TOTAL CORPORATE BONDS AND NOTES.............................................................. 307,692,034
(Cost $325,415,780) ---------------
See Notes to Financial Statements Page 17
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ---------------------------------------------------------------- ------------- ------------ ---------------
FOREIGN CORPORATE BONDS AND NOTES -- 0.6%
DATA PROCESSING & OUTSOURCED SERVICES -- 0.2%
$ 10,755,000 Paysafe Finance PLC / Paysafe Holdings US Corp. (f)............. 4.00% 06/15/29 $ 8,779,629
---------------
ENVIRONMENTAL & FACILITIES SERVICES -- 0.1%
1,323,000 Allied Universal Holdco LLC / Allied Universal Finance Corp. /
Atlas Luxco IV S.A.R.L. (f).................................. 4.63% 06/01/28 1,172,390
882,000 Allied Universal Holdco LLC / Allied Universal Finance Corp. /
Atlas Luxco IV S.A.R.L. (f).................................. 4.63% 06/01/28 775,128
---------------
1,947,518
---------------
PHARMACEUTICALS -- 0.3%
9,875,000 Bausch Health Cos., Inc. (f).................................... 6.13% 04/15/25 9,918,203
2,939,000 Endo Dac / Endo Finance LLC / Endo Finco, Inc. (f).............. 9.50% 07/31/27 2,312,141
214,000 Jazz Securities DAC (f)......................................... 4.38% 01/15/29 197,420
250,000 Mallinckrodt International Finance S.A. / Mallinckrodt CB
LLC (e) (f) (g).............................................. 5.63% 10/15/23 131,591
---------------
12,559,355
---------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES...................................................... 23,286,502
(Cost $25,884,521) ---------------
SHARES DESCRIPTION VALUE
---------------- --------------------------------------------------------------------------------------------- ---------------
COMMON STOCKS -- 0.0%
PHARMACEUTICALS -- 0.0%
249,316 Akorn, Inc. (h) (i).......................................................................... 2,142,622
(Cost $2,858,880) ---------------
WARRANTS -- 0.0%
MOVIES & ENTERTAINMENT -- 0.0%
972,355 Cineworld Group PLC, expiring 11/23/25 (h) (j)............................................... 201,744
(Cost $0) ---------------
RIGHTS -- 0.0%
ELECTRIC UTILITIES -- 0.0%
4,887 Vistra Energy Corp., no expiration date (h) (j).............................................. 6,475
---------------
LIFE SCIENCES TOOLS & SERVICES -- 0.0%
1 New Millennium Holdco, Inc., Corporate Claim Trust, no expiration date (h) (j) (k) (l)....... 0
1 New Millennium Holdco, Inc., Lender Claim Trust, no expiration date (h) (j) (k) (l).......... 0
---------------
0
---------------
TOTAL RIGHTS................................................................................. 6,475
(Cost $8,491) ---------------
MONEY MARKET FUNDS -- 6.3%
244,255,932 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class -
0.23% (m)................................................................................. 244,255,932
(Cost $244,255,932) ---------------
TOTAL INVESTMENTS -- 103.8%.................................................................. 4,034,760,255
(Cost $4,108,247,342)
NET OTHER ASSETS AND LIABILITIES -- (3.8)%................................................... (148,506,911)
---------------
NET ASSETS -- 100.0%......................................................................... $ 3,886,253,344
===============
Page 18 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
(a) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests generally pay interest at rates which are periodically
predetermined by reference to a base lending rate plus a premium. These
base lending rates are generally (i) the lending rate offered by one or
more major European banks, such as the LIBOR, (ii) the Secured Overnight
Financing Rate ("SOFR") obtained from the U.S. Department of the
Treasury's Office of Financial Research, (iii) the prime rate offered by
one or more United States banks or (iv) the certificate of deposit rate.
Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes
a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund
holds more than one contract within the same tranche with identical LIBOR
or SOFR period, spread and floor, but different LIBOR or SOFR 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) The issuer will pay interest on the loans in cash and in Payment-In-Kind
("PIK") interest. Interest paid in cash will accrue at the rate of 7.00%
per annum ("Cash Interest Rate") and PIK interest will accrue on the loan
at the rate of 8.25% per annum. For the six months ended April 30, 2022,
the Fund received a portion of the interest in cash and PIK interest with
a principal value of $137,133 for Cineworld Group PLC.
(d) The issuer may pay interest on the loans (1) entirely in cash or (2) in
the event that both the PIK Toggle Condition has been satisfied and the
issuer elects to exercise the PIK interest, 2.50% payable in cash and
7.00% payable as PIK interest. For the six months ended April 30, 2022,
this security paid all of its interest in cash.
(e) The issuer has filed for protection in bankruptcy court.
(f) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the 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 April 30, 2022, securities noted as such
amounted to $327,441,449 or 8.4% of net assets.
(g) This issuer is in default and interest is not being accrued by the Fund
nor paid by the issuer.
(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 April 30, 2022,
securities noted as such amounted to $2,142,622 or 0.0% of net assets.
(j) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.
(k) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).
(l) 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 provisions of the Investment Company Act of 1940, as
amended. At April 30, 2022, securities noted as such are valued at $0 or
0.0% of net assets.
(m) Rate shown reflects yield as of April 30, 2022.
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
See Notes to Financial Statements Page 19
FIRST TRUST SENIOR LOAN FUND (FTSL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
APRIL 30, 2022 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of April 30,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
4/30/2022 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Senior Floating-Rate Loan Interests*.............. $3,457,174,946 $ -- $3,457,174,946 $ --
Corporate Bonds and Notes*........................ 307,692,034 -- 307,692,034 --
Foreign Corporate Bonds and Notes*................ 23,286,502 -- 23,286,502 --
Common Stocks*.................................... 2,142,622 -- 2,142,622 --
Warrants*......................................... 201,744 -- 201,744 --
Rights:
Electric Utilities............................. 6,475 -- 6,475 --
Life Sciences Tools & Services................. --** -- -- --**
Money Market Funds................................ 244,255,932 244,255,932 -- --
-------------- -------------- -------------- --------------
Total Investments................................. $4,034,760,255 $ 244,255,932 $3,790,504,323 $ --**
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.
Level 3 Rights are fair valued by the Advisor's Pricing Committee and are
footnoted in the Portfolio of Investments. These values are based on
unobservable and non-quantitative inputs.
Page 20 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2022 (UNAUDITED)
ASSETS:
Investments, at value..................................................... $4,034,760,255
Cash...................................................................... 1,306,548
Receivables:
Investment securities sold............................................. 62,442,615
Interest............................................................... 13,419,433
Capital shares sold.................................................... 2,342,714
Dividends.............................................................. 33,083
--------------
Total Assets........................................................... 4,114,304,648
--------------
LIABILITIES:
Payables:
Investment securities purchased........................................ 225,296,307
Investment advisory fees............................................... 2,687,132
Unrealized depreciation on unfunded loan commitments...................... 67,865
--------------
Total Liabilities...................................................... 228,051,304
--------------
NET ASSETS................................................................ $3,886,253,344
==============
NET ASSETS CONSIST OF:
Paid-in capital........................................................... $4,034,896,731
Par value................................................................. 829,500
Accumulated distributable earnings (loss)................................. (149,472,887)
--------------
NET ASSETS................................................................ $3,886,253,344
==============
NET ASSET VALUE, per share................................................ $ 46.85
==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)................................. 82,950,002
==============
Investments, at cost...................................................... $4,108,247,342
==============
See Notes to Financial Statements Page 21
FIRST TRUST SENIOR LOAN FUND (FTSL)
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2022 (UNAUDITED)
INVESTMENT INCOME:
Interest.................................................................. $ 70,526,451
Dividends................................................................. 69,442
--------------
Total investment income................................................ 70,595,893
--------------
EXPENSES:
Investment advisory fees.................................................. 14,265,833
--------------
Total expenses......................................................... 14,265,833
--------------
NET INVESTMENT INCOME (LOSS).............................................. 56,330,060
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments................................... 1,231,668
--------------
Net change in unrealized appreciation (depreciation) on:
Investments............................................................ (68,702,249)
Unfunded loan commitments.............................................. (61,621)
--------------
Net change in unrealized appreciation (depreciation)...................... (68,763,870)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (67,532,202)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................................ $ (11,202,142)
==============
Page 22 See Notes to Financial Statements
FIRST TRUST SENIOR LOAN FUND (FTSL)
STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED
4/30/2022 YEAR ENDED
(UNAUDITED) 10/31/2021
-------------- --------------
OPERATIONS:
Net investment income (loss).............................................. $ 56,330,060 $ 64,839,416
Net realized gain (loss).................................................. 1,231,668 2,082,051
Net change in unrealized appreciation (depreciation)...................... (68,763,870) 48,540,282
-------------- --------------
Net increase (decrease) in net assets resulting from operations........... (11,202,142) 115,461,749
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................................... (61,409,827) (64,316,388)
-------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................................. 1,122,600,348 1,550,254,032
Cost of shares redeemed................................................... (30,386,553) (11,712,176)
-------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................................... 1,092,213,795 1,538,541,856
-------------- --------------
Total increase (decrease) in net assets................................... 1,019,601,826 1,589,687,217
NET ASSETS:
Beginning of period....................................................... 2,866,651,518 1,276,964,301
-------------- --------------
End of period............................................................. $3,886,253,344 $2,866,651,518
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................................... 60,000,002 27,850,002
Shares sold............................................................... 23,600,000 32,400,000
Shares redeemed........................................................... (650,000) (250,000)
-------------- --------------
Shares outstanding, end of period......................................... 82,950,002 60,000,002
============== ==============
See Notes to Financial Statements Page 23
FIRST TRUST SENIOR LOAN FUND (FTSL)
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
4/30/2022 ------------------------------------------------------------------------
(UNAUDITED) 2021 2020 2019 2018 2017
------------ ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period..... $ 47.78 $ 45.85 $ 47.15 $ 47.75 $ 48.26 $ 48.32
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............. 0.78 1.54 1.67 2.13 1.87 1.68
Net realized and unrealized gain (loss).. (0.87) 1.92 (1.27) (0.57) (0.43) (0.04)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations......... (0.09) 3.46 0.40 1.56 1.44 1.64
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income.................... (0.84) (1.53) (1.67) (2.15) (1.92) (1.70)
Return of capital........................ -- -- (0.03) (0.01) (0.03) --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions...................... (0.84) (1.53) (1.70) (2.16) (1.95) (1.70)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period........... $ 46.85 $ 47.78 $ 45.85 $ 47.15 $ 47.75 $ 48.26
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a)......................... (0.18)% 7.60% 0.90% 3.37% 3.03% 3.43%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)..... $3,886,253 $2,866,652 $1,276,964 $1,603,148 $1,883,903 $1,341,599
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets................................ 0.85% (b) 0.85% 0.85% 0.85% 0.85% 0.85%
Ratio of net investment income (loss) to
average net assets.................... 3.36% (b) 3.27% 3.63% 4.50% 3.94% 3.53%
Portfolio turnover rate (c).............. 20% 92% 76% 44% 88% 110%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 24 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
1. ORGANIZATION
First Trust Exchange-Traded Fund IV (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on September 15,
2010, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of eleven funds that are offering shares. This
report covers the First Trust Senior Loan Fund (the "Fund"), a diversified
series of the Trust, which trades under the ticker "FTSL" on The Nasdaq Stock
Market LLC ("Nasdaq"). The Fund represents a separate series of shares of
beneficial interest in the Trust. Unlike conventional mutual funds, the Fund
issues and redeems shares on a continuous basis, at net asset value ("NAV"),
only in large blocks of shares known as "Creation Units."
The Fund's primary investment objective is to provide high current income. The
Fund's secondary investment objective is the preservation of capital. Under
normal market conditions, the Fund seeks to outperform each of the S&P/LSTA U.S.
Leveraged Loan 100 Index (the "LL 100") and the Markit iBoxx USD Liquid
Leveraged Loan Index (the "MI 100") by investing at least 80% of its net assets
(including investment borrowings) in first lien senior floating rate bank loans
("Senior Loans")(1). The LL 100 is a market value-weighted index designed to
measure the performance of the largest segment of the U.S. syndicated leveraged
loan market. The LL 100 consists of 100 loan facilities drawn from a larger
benchmark, the S&P/LSTA Leveraged Loan Index. The MI 100 selects the 100 most
liquid Senior Loans in the market. The Fund does not seek to track either the LL
100 or MI 100, but rather seeks to outperform each of the Indices. It is
anticipated that the Fund, in accordance with its principal investment strategy,
will invest approximately 50% to 75% of its net assets in Senior Loans that are
eligible for inclusion in and meet the liquidity thresholds of the LL 100 and/or
MI 100 at the time of investment.
A Senior Loan is an advance or commitment of funds made by one or more banks or
similar financial institutions to one or more corporations, partnerships or
other business entities and typically pays interest at a floating or adjusting
rate that is determined periodically at a designated premium above a base
lending rate, most commonly the London Interbank Offered Rate. The Fund invests
primarily in Senior Loans that are below investment grade quality at the time of
investment. The Fund invests in Senior Loans made predominantly to businesses
operating in North America, but may also invest in Senior Loans made to
businesses operating outside of North America.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund is considered an investment company and follows accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Fund in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
The Fund's NAV is determined daily as of the close of regular trading on the New
York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the
NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV
is determined as of that time. Domestic debt securities and foreign securities
are priced using data reflecting the earlier closing of the principal markets
for those securities. The Fund's NAV is calculated by dividing the value of all
assets of the Fund (including accrued interest and dividends), less all
liabilities (including accrued expenses and dividends declared but unpaid), by
the total number of shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. The Fund's investments are valued as
follows:
-----------------------------
(1) The terms "security" and "securities" used throughout the Notes to
Financial Statements include Senior Loans.
Page 25
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
Senior Loans in which the Fund invests are not listed on any securities
exchange or board of trade. Senior Loans are typically bought and sold by
institutional investors in individually negotiated private transactions
that function in many respects like an over-the-counter secondary market,
although typically no formal market-makers exist. This market, while
having grown substantially since its inception, generally has fewer trades
and less liquidity than the secondary market for other types of
securities. Some Senior Loans have few or no trades, or trade
infrequently, and information regarding a specific Senior Loan may not be
widely available or may be incomplete. Accordingly, determinations of the
market value of Senior Loans may be based on infrequent and dated
information. Because there is less reliable, objective data available,
elements of judgment may play a greater role in valuation of Senior Loans
than for other types of securities. Typically, Senior Loans are valued
using information provided by a third-party pricing service. The
third-party pricing service primarily uses over-the-counter pricing from
dealer runs and broker quotes from indicative sheets to value the Senior
Loans.
Corporate bonds, corporate notes and other debt securities are fair valued
on the basis of valuations provided by dealers who make markets in such
securities or by a third-party pricing service approved by the Trust's
Board of Trustees, which may use the following valuation inputs when
available:
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.
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Fixed income and other debt securities having a remaining maturity of
sixty days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:
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.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
Page 26
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
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 a 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 borrower/issuer, 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) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity
through public and/or private markets; and
14) other relevant factors.
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:
o 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.
o 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.
o 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.
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 April 30, 2022, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.
The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates
the London Interbank Offered Rates ("LIBOR") announced on March 5, 2021 that it
intended to phase-out all LIBOR reference rates, beginning December 31, 2021.
Since that announcement, the FCA has ceased publication of all non-USD LIBOR
reference rates and the 1-week and 2-month USD LIBOR reference rates as of
December 31, 2021. The remaining USD LIBOR settings will cease to be published
or no longer be representative immediately after June 30, 2023. The
International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that
the FCA's March 5, 2021 announcement of its intention to cease providing LIBOR
reference rates, constituted an index cessation event under the Interbank
Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks
Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to
be used in ISDA fallbacks was fixed as of the date of the announcement.
Page 27
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
In the United States, the Alternative Reference Rates Committee (the "ARRC"), a
group of market participants convened by the Board of Governors of the Federal
Reserve System and the Federal Reserve Bank of New York in cooperation with
other federal and state government agencies, has since 2014 undertaken efforts
to identify U.S. dollar reference interest rates as alternatives to LIBOR and to
facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC
identified the Secured Overnight Financing Rate ("SOFR"), a broad measure of the
cost of cash overnight borrowing collateralized by U.S. Treasury securities, as
the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New
York began daily publishing of SOFR in April 2018. There is no assurance that
any alternative reference rate, including SOFR, will be similar to or produce
the same value or economic equivalence as LIBOR or that instruments using an
alternative rate will have the same volume or liquidity.
At this time, it is not possible to predict the full impact of the elimination
of LIBOR and the establishment of an alternative reference rate on the Fund or
its investments.
Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed delivery or forward purchase commitments. The Fund
had no when-issued, delayed-delivery, or forward purchase commitments (other
than unfunded loan commitments discussed below) as of April 30, 2022.
C. UNFUNDED LOAN COMMITMENTS
The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. Unfunded loan commitments are marked-to-market daily, and
any unrealized appreciation (depreciation) is included in the Statement of
Assets and Liabilities and Statement of Operations. In connection with these
commitments, the Fund earns a commitment fee typically set as a percentage of
the commitment amount. The commitment fees are included in "Interest" on the
Statement of Operations. As of April 30, 2022, the Fund had the following
unfunded loan commitments:
UNREALIZED
PRINCIPAL COMMITMENT APPRECIATION
BORROWER VALUE AMOUNT VALUE (DEPRECIATION)
------------------------------------------------------------- -------------- -------------- -------------- --------------
athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan $ 5,829,440 $ 5,799,759 $ 5,741,998 $ (57,761)
Veritext Corp. (VT TopCo, Inc.), Term Loan 796,318 794,447 787,861 (6,586)
Zelis Payments Buyer, Inc., Term Loan 770,328 766,628 763,110 (3,518)
-------------- -------------- --------------
$ 7,360,834 $ 7,292,969 $ (67,865)
============== ============== ==============
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income, if any, are declared and paid monthly by
the Fund, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by the Fund, if any, are distributed
at least annually.
Distributions in cash may be reinvested automatically in additional whole shares
only if the broker through whom the shares were purchased makes such option
available. Such shares will generally be reinvested by the broker based upon the
market price of those shares and investors may be subject to customary brokerage
commissions charged by the broker.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Fund and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid during the fiscal year ended October 31,
2021 was as follows:
Distributions paid from:
Ordinary income................................. $ 64,316,388
Capital gains................................... --
Return of capital............................... --
Page 28
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
As of October 31, 2021, the components of distributable earnings on a tax basis
for the Fund were as follows:
Undistributed ordinary income................... $ 636,225
Accumulated capital and other gain (loss)....... (72,251,056)
Net unrealized appreciation (depreciation)...... (5,246,087)
E. INCOME TAXES
The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, the Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of the Fund's taxable income exceeds
the distributions from such taxable income for the calendar year.
The Fund is subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. The taxable years ended 2018,
2019, 2020, and 2021 remain open to federal and state audit. As of April 30,
2022, management has evaluated the application of these standards to the Fund
and has determined that no provision for income tax is required in the Fund's
financial statements for uncertain tax positions.
The Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
The Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. As of October 31, 2021, the
Fund had non-expiring capital loss carryforwards available for federal income
tax purposes of $72,251,056.
During the taxable year ended October 31, 2021, the Fund utilized non-expiring
capital loss carryforwards in the amount of $1,710,608.
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended October 31, 2021, the Fund had no
net late year ordinary or capital losses.
As of April 30, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:
Gross Gross Net Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------------- -------------- -------------- --------------
$4,108,247,342 $ 2,275,734 $ (75,762,821) $ (73,487,087)
F. EXPENSES
Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Fund, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in the Fund's portfolio, managing the Fund's business affairs and providing
certain administrative services necessary for the management of the Fund.
Pursuant to the Investment Management Agreement between the Trust and the
Advisor, First Trust manages the investment of the Fund's assets and is
responsible for the Fund's expenses, including the cost of transfer agency,
custody, fund administration, legal, audit and other services, but excluding fee
payments under the Investment Management Agreement, interest, taxes, pro rata
share of fees and expenses attributable to investments in other investment
companies ("acquired fund fees and expenses"), brokerage commissions and other
expenses connected with the execution of portfolio transactions, distribution
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
and service fees payable pursuant to a Rule 12b-1 plan, if any, and
extraordinary expenses. The Fund has agreed to pay First Trust an annual unitary
management fee equal to 0.85% of its average daily net assets. In addition, the
Fund incurs acquired fund fees and expenses. The total of the unitary management
fee and acquired fund fees and expenses represents the Fund's total annual
operating expenses.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As
fund accountant and administrator, BNYM is responsible for maintaining the books
and records of the Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for the Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
defined-outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and the Valuation Committee are
paid annual fees to serve in such capacities, with such compensation allocated
pro rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended April 30, 2022, the cost of purchases and proceeds from
sales of investments, excluding short-term investments and in-kind transactions,
were $1,761,006,216 and $646,920,520, respectively.
For the six months ended April 30, 2022, there were no in-kind transactions.
5. BORROWINGS
The Trust, on behalf of the Fund, along with First Trust Exchange-Traded Fund
III and First Trust Series Fund have a $280 million Credit Agreement with The
Bank of Nova Scotia ("Scotia") as administrative agent for a group of lenders.
Prior to March 2, 2022, the commitment amount was $355 million. Scotia charges a
commitment fee of 0.25% of the daily amount of the excess of the commitment
amount over the outstanding principal balance of the loans and an agency fee.
First Trust allocates the commitment fee and agency fee amongst the funds that
have access to the credit line. To the extent that the Fund accesses the credit
line, there would also be an interest fee charged. The Fund did not have any
borrowings outstanding during the six months ended April 30, 2022.
6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES
The Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with the Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, the Fund publishes through the National Securities
Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets
that it will accept in exchange for a Creation Unit of the Fund's shares. An
Authorized Participant that wishes to effectuate a creation of the Fund's shares
deposits with the Fund the "basket" of securities, cash or other assets
identified by the Fund that day, and then receives the Creation Unit of the
Fund's shares in return for those assets. After purchasing a Creation Unit, the
Authorized Participant may continue to hold the Fund's shares or sell them in
the secondary market. The redemption process is the reverse of the purchase
process: the Authorized Participant redeems a Creation Unit of the Fund's shares
for a basket of securities, cash or other assets. The combination of the
creation and redemption process with secondary market trading in the Fund's
shares and underlying securities provides arbitrage opportunities that are
designed to help keep the market price of the Fund's shares at or close to the
NAV per share of the Fund.
The Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of the Fund times the number of shares
Page 30
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
in a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
The Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of the Fund times the
number of shares in a Creation Unit, minus the fees described above and, if
applicable, any operational processing and brokerage costs, transfer fees, stamp
taxes and part or all of the spread between the expected bid and offer side of
the market related to the securities comprising the redemption basket. Investors
who use the services of a broker or other such intermediary in addition to an
Authorized Participant to effect a redemption of a Creation Unit may also be
assessed an amount to cover the cost of such services. The redemption fee
charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits
redemption fees to no more than 2% of the value of the shares redeemed.
7. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is
authorized to pay an amount up to 0.25% of its average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Fund, for amounts expended to finance activities primarily intended to result in
the sale of Creation Units or the provision of investor services. FTP may also
use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before March 31, 2023.
8. INDEMNIFICATION
The Trust, on behalf of the Fund, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through
the date the financial statements were issued, and has determined that there
were no subsequent events requiring recognition or disclosure in the financial
statements that have not already been disclosed.
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
The Fund files portfolio holdings information for each month in a fiscal quarter
within 60 days after the end of the relevant fiscal quarter on Form N-PORT.
Portfolio holdings information for the third month of each fiscal quarter will
be publicly available on the SEC's website at www.sec.gov. The Fund's complete
schedule of portfolio holdings for the second and fourth quarters of each fiscal
year is included in the semi-annual and annual reports to shareholders,
respectively, and is filed with the SEC on Form N-CSR. The semi-annual and
annual report for the Fund is available to investors within 60 days after the
period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are
available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. In February 2022, Russia invaded Ukraine which has caused and could
continue to cause significant market disruptions and volatility within the
markets in Russia, Europe, and the United States. The hostilities and sanctions
resulting from those hostilities could have a significant impact on certain fund
investments as well as fund performance. The outbreak of the respiratory disease
designated as COVID-19 in December 2019 has caused significant volatility and
declines in global financial markets, which have caused losses for investors.
While the development of vaccines has slowed the spread of the virus and allowed
for the resumption of "reasonably" normal business activity in the United
States, many countries continue to impose lockdown measures in an attempt to
slow the spread. Additionally, there is no guarantee that vaccines will be
effective against emerging variants of the disease.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee (the "Liquidity Committee").
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST SENIOR LOAN FUND (FTSL)
APRIL 30, 2022 (UNAUDITED)
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds (including the Fund),
monitors the funds' holdings of assets classified as illiquid investments to
seek to ensure they do not exceed 15% of a fund's net assets and establishes
policies and procedures regarding redemptions in kind.
At the April 18, 2022 meeting of the Board of Trustees, as required by Rule
22e-4 and the Program, the Advisor provided the Board with a written report
prepared by the Advisor that addressed the operation of the Program during the
period from March 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 and assessed the Program's adequacy and effectiveness of
implementation during this period, including the operation of the highly liquid
investment minimum for each fund, including the Fund, that is required under the
Program to have one, and any material changes to the Program.
As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
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FIRST TRUST
First Trust Exchange-Traded Fund IV
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
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