0001445546-17-004532.txt : 20170929 0001445546-17-004532.hdr.sgml : 20170929 20170929101120 ACCESSION NUMBER: 0001445546-17-004532 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170731 FILED AS OF DATE: 20170929 DATE AS OF CHANGE: 20170929 EFFECTIVENESS DATE: 20170929 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST HIGH INCOME LONG/SHORT FUND CENTRAL INDEX KEY: 0001494530 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-22442 FILM NUMBER: 171109437 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE, SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 N-Q 1 fsd_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22442 ----------- First Trust High Income Long/Short Fund ------------------------------------------------------------ (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------ (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: October 31 ------------ Date of reporting period: July 31, 2017 --------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule of Investments is attached herewith. FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES - 91.1% AUTOMOTIVE - 4.3% $ 4,025,000 Dana, Inc. (a)....................................... 5.50% 12/15/24 $ 4,191,031 220,000 Ford Motor Co........................................ 8.90% 01/15/32 300,666 1,400,000 Ford Motor Co. (a)................................... 7.75% 06/15/43 1,795,328 1,620,000 Ford Motor Co........................................ 9.98% 02/15/47 2,551,173 4,360,000 Gates Global LLC/Gates Global Co. (a) (b) ........... 6.00% 07/15/22 4,474,450 1,275,000 Goodyear Tire & Rubber (The) Co...................... 5.00% 05/31/26 1,318,031 3,857,000 Navistar International Corp.......................... 8.25% 11/01/21 3,907,623 1,970,000 Tenneco, Inc......................................... 5.00% 07/15/26 2,009,400 3,155,000 ZF North America Capital, Inc. (b)................... 4.75% 04/29/25 3,308,806 --------------- 23,856,508 --------------- BANKING - 1.5% 612,000 Ally Financial, Inc. (a)............................. 8.00% 11/01/31 762,705 6,165,000 Ally Financial, Inc. (a)............................. 8.00% 11/01/31 7,683,131 --------------- 8,445,836 --------------- BASIC INDUSTRY - 10.7% 650,000 AK Steel Corp. ...................................... 7.63% 10/01/21 681,688 4,500,000 AK Steel Corp. ...................................... 8.38% 04/01/22 4,702,500 4,754,000 Aleris International, Inc. (a)....................... 7.88% 11/01/20 4,620,294 2,425,000 Beazer Homes USA, Inc. .............................. 8.75% 03/15/22 2,712,532 4,600,000 CalAtlantic Group, Inc. (a).......................... 8.38% 05/15/18 4,824,250 500,000 CalAtlantic Group, Inc. ............................. 5.88% 11/15/24 545,000 800,000 Cliffs Natural Resources, Inc. ...................... 4.88% 04/01/21 778,000 200,000 Freeport-McMoRan, Inc. .............................. 4.00% 11/14/21 200,750 1,000,000 Freeport-McMoRan, Inc. .............................. 3.55% 03/01/22 972,500 3,680,000 Freeport-McMoRan, Inc. .............................. 3.88% 03/15/23 3,574,200 960,000 Freeport-McMoRan, Inc. .............................. 4.55% 11/14/24 943,200 777,000 K Hovnanian Enterprises, Inc. (b).................... 7.00% 01/15/19 767,288 2,979,000 KB Home ............................................. 7.50% 09/15/22 3,403,507 1,100,000 Koppers, Inc. (a) (b)................................ 6.00% 02/15/25 1,174,250 3,180,000 Meritage Homes Corp. ................................ 6.00% 06/01/25 3,446,325 1,840,000 Momentive Performance Escrow Claim (c) (d) (e) (f)... N/A N/A 2 1,340,000 Momentive Performance Materials, Inc. (a) (c) 4.69% 04/24/22 1,283,050 1,000,000 Novelis Corp. (b).................................... 6.25% 08/15/24 1,072,700 2,862,000 Novelis Corp. (b).................................... 5.88% 09/30/26 3,019,410 2,045,000 Olin Corp. .......................................... 5.13% 09/15/27 2,147,250 1,760,000 PQ Corp. (b)......................................... 6.75% 11/15/22 1,910,515 4,570,000 PulteGroup, Inc. (a)................................. 7.88% 06/15/32 5,461,150 2,025,000 Shea Homes L.P./Shea Homes Funding Corp. (b) ........ 6.13% 04/01/25 2,100,938 4,250,000 Standard Industries, Inc. (b)........................ 5.00% 02/15/27 4,393,437 3,765,000 TRI Pointe Group, Inc./TRI Pointe Homes, Inc. ....... 5.88% 06/15/24 4,028,550 --------------- 58,763,286 ---------------
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) CAPITAL GOODS - 6.9% $ 3,045,000 Ball Corp. .......................................... 4.00% 11/15/23 $ 3,119,222 4,100,000 BWAY Holding Co. (b)................................. 5.50% 04/15/24 4,310,125 3,500,000 Crown Americas LLC/Crown Americas Capital Corp. ..... 4.50% 01/15/23 3,710,000 4,645,000 KLX, Inc. (b)........................................ 5.88% 12/01/22 4,900,475 1,350,000 Orbital ATK, Inc. ................................... 5.50% 10/01/23 1,424,250 2,840,000 Owens-Brockway Glass Container, Inc. (a) (b) ........ 5.00% 01/15/22 3,012,161 5,700,000 Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU (b) ................. 5.13% 07/15/23 6,006,375 3,725,000 Sealed Air Corp. (b)................................. 5.50% 09/15/25 4,069,562 3,370,000 Terex Corp. (b)...................................... 5.63% 02/01/25 3,517,438 3,825,000 Triumph Group, Inc. (a).............................. 4.88% 04/01/21 3,638,531 --------------- 37,708,139 --------------- CONSUMER GOODS - 5.2% 3,495,000 B&G Foods, Inc. ..................................... 5.25% 04/01/25 3,652,275 3,245,000 Cott Holdings, Inc. (b).............................. 5.50% 04/01/25 3,419,419 1,920,000 First Quality Finance Co., Inc. (b).................. 5.00% 07/01/25 1,986,816 3,640,000 Kronos Acquisition Holdings, Inc. (b)................ 9.00% 08/15/23 3,667,300 1,915,000 Lamb Weston Holdings, Inc. (b)....................... 4.63% 11/01/24 2,008,356 2,000,000 Pilgrim's Pride Corp. (b)............................ 5.75% 03/15/25 2,060,000 1,765,000 Post Holdings, Inc. (b).............................. 5.50% 03/01/25 1,866,488 3,610,000 Post Holdings, Inc. (b).............................. 5.00% 08/15/26 3,713,787 3,910,000 Spectrum Brands, Inc. (a)............................ 5.75% 07/15/25 4,203,250 2,040,000 US Foods, Inc. (b)................................... 5.88% 06/15/24 2,139,450 --------------- 28,717,141 --------------- ENERGY - 6.9% 5,100,000 AmeriGas Partners L.P./AmeriGas Finance Corp. (a).... 5.88% 08/20/26 5,253,000 1,875,000 Andeavor Logistics L.P./Tesoro Logistics Finance Corp. ............................................ 5.25% 01/15/25 2,013,281 2,026,000 California Resources Corp. (b)....................... 8.00% 12/15/22 1,299,173 2,060,000 Carrizo Oil & Gas, Inc. ............................. 6.25% 04/15/23 2,057,425 765,000 CITGO Petroleum Corp. (b)............................ 6.25% 08/15/22 782,213 3,825,000 Continental Resources, Inc. ......................... 5.00% 09/15/22 3,803,465 2,720,000 Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp. .................................... 6.25% 04/01/23 2,784,600 4,465,000 Denbury Resources, Inc. ............................. 5.50% 05/01/22 2,444,587 1,955,000 Hilcorp Energy I L.P./Hilcorp Finance Co. (b) ....... 5.00% 12/01/24 1,866,048 1,990,000 Sanchez Energy Corp.................................. 6.13% 01/15/23 1,631,800 2,020,000 SM Energy Co......................................... 5.63% 06/01/25 1,898,800 2,110,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp. .................................... 5.75% 03/01/25 2,094,175 2,280,000 Suburban Propane Partners L.P./Suburban Energy Finance Corp. .................................... 5.88% 03/01/27 2,262,900
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) ENERGY (CONTINUED) $ 1,300,000 Sunoco L.P./Sunoco Finance Corp. (a)................. 5.50% 08/01/20 $ 1,334,125 1,560,000 Sunoco L.P./Sunoco Finance Corp. .................... 6.38% 04/01/23 1,649,700 1,520,000 Ultra Resources, Inc. (b)............................ 7.13% 04/15/25 1,551,920 3,135,000 Whiting Petroleum Corp. ............................. 5.75% 03/15/21 2,986,087 --------------- 37,713,299 --------------- FINANCIAL SERVICES - 4.5% 6,855,000 Icahn Enterprises L.P./Icahn Enterprises Finance Corp. (a) ........................................ 6.00% 08/01/20 7,056,366 2,885,000 MSCI, Inc. (b)....................................... 5.75% 08/15/25 3,137,438 3,415,000 Navient Corp. ....................................... 8.00% 03/25/20 3,785,527 3,640,000 OneMain Financial Holdings, Inc. (b)................. 7.25% 12/15/21 3,840,200 1,395,000 Springleaf Finance Corp. ............................ 6.00% 06/01/20 1,476,956 4,555,000 Springleaf Finance Corp. (a)......................... 7.75% 10/01/21 5,124,375 --------------- 24,420,862 --------------- HEALTHCARE - 6.8% 1,265,000 Alere, Inc. ......................................... 6.50% 06/15/20 1,290,300 2,045,000 Becton Dickinson and Co. ............................ 4.67% 06/06/47 2,150,340 520,000 CHS/Community Health Systems, Inc. .................. 8.00% 11/15/19 522,600 2,335,000 CHS/Community Health Systems, Inc. .................. 6.88% 02/01/22 2,011,019 2,085,000 CHS/Community Health Systems, Inc. .................. 6.25% 03/31/23 2,144,944 3,225,000 DaVita, Inc. ........................................ 5.00% 05/01/25 3,280,792 3,400,000 Greatbatch Ltd. (b).................................. 9.13% 11/01/23 3,738,742 6,285,000 HCA, Inc. (a)........................................ 5.00% 03/15/24 6,687,240 3,910,000 Hologic, Inc. (a) (b)................................ 5.25% 07/15/22 4,144,600 3,845,000 inVentiv Group Holdings, Inc./inVentiv Health, Inc./ InVentiv Health Clinical, Inc. (a) (b)............ 7.50% 10/01/24 4,229,500 3,665,000 MPH Acquisition Holdings LLC (b)..................... 7.13% 06/01/24 3,976,525 2,720,000 Tenet Healthcare Corp. .............................. 8.13% 04/01/22 2,933,520 --------------- 37,110,122 --------------- INSURANCE - 1.2% 6,950,000 Hartford Financial Services Group (The), Inc. (b) (g) ..................................... 3.31% 02/12/47 6,797,969 --------------- LEISURE - 4.5% 2,500,000 Boyd Gaming Corp. ................................... 6.38% 04/01/26 2,731,250 3,400,000 ESH Hospitality, Inc. (b)............................ 5.25% 05/01/25 3,561,500 1,680,000 GLP Capital LP/GLP Financing II, Inc. ............... 5.38% 04/15/26 1,835,400 3,120,000 Live Nation Entertainment, Inc. (b).................. 4.88% 11/01/24 3,205,800 4,825,000 MGM Resorts International (a)........................ 6.75% 10/01/20 5,367,812 3,410,000 Scientific Games International, Inc. ................ 10.00% 12/01/22 3,814,938 4,225,000 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (b)......................................... 5.50% 03/01/25 4,456,488 --------------- 24,973,188 ---------------
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) MEDIA - 6.3% $ 5,945,000 CCO Holdings LLC/CCO Holdings Capital Corp. (a) ..... 5.75% 01/15/24 $ 6,271,975 2,370,000 CCO Holdings LLC/CCO Holdings Capital Corp. (a) ..... 5.75% 02/15/26 2,553,675 2,000,000 Clear Channel Worldwide Holdings, Inc., Series B .... 7.63% 03/15/20 2,022,500 2,841,000 Clear Channel Worldwide Holdings, Inc., Series B .... 6.50% 11/15/22 2,958,191 2,325,000 CSC Holdings, Inc. (b)............................... 5.50% 04/15/27 2,481,938 6,330,000 Dish DBS Corp. (a)................................... 6.75% 06/01/21 7,010,475 7,415,000 iHeartCommunications, Inc. (a)....................... 9.00% 03/01/21 5,551,981 2,115,000 Lamar Media Corp..................................... 5.75% 02/01/26 2,305,350 3,150,000 Sirius XM Radio, Inc. (a) (b)........................ 5.38% 07/15/26 3,309,232 --------------- 34,465,317 --------------- RETAIL - 2.9% 3,270,000 Dollar Tree, Inc. ................................... 5.75% 03/01/23 3,478,463 5,445,000 Hanesbrands, Inc. (a) (b)............................ 4.63% 05/15/24 5,587,931 3,300,000 KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b)................................... 5.25% 06/01/26 3,506,250 2,975,000 Murphy Oil USA, Inc. ................................ 6.00% 08/15/23 3,153,500 --------------- 15,726,144 --------------- SERVICES - 7.9% 1,820,000 Acosta, Inc. (b)..................................... 7.75% 10/01/22 1,383,200 4,345,000 Ashtead Capital, Inc. (b)............................ 6.50% 07/15/22 4,518,800 2,720,000 CD&R Waterworks Merger Sub LLC (b)................... 6.13% 08/15/25 2,781,200 2,125,000 CoreCivic, Inc. (a).................................. 5.00% 10/15/22 2,225,937 2,385,000 GEO (The) Group, Inc. ............................... 6.00% 04/15/26 2,495,044 2,986,000 Herc Rentals, Inc. (a) (b)........................... 7.50% 06/01/22 3,247,275 1,090,000 Herc Rentals, Inc. (b)............................... 7.75% 06/01/24 1,188,100 3,207,000 Iron Mountain, Inc. (b).............................. 6.00% 10/01/20 3,327,262 4,250,000 Iron Mountain, Inc. ................................. 5.75% 08/15/24 4,388,125 3,015,000 KAR Auction Services, Inc. (b)....................... 5.13% 06/01/25 3,150,675 3,055,000 ServiceMaster (The) Co. LLC (a) (b).................. 5.13% 11/15/24 3,131,375 2,400,000 Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (b)......................................... 6.75% 06/01/25 2,494,608 41,000 United Rentals North America, Inc. .................. 7.63% 04/15/22 42,948 2,097,000 United Rentals North America, Inc. .................. 6.13% 06/15/23 2,199,229 1,400,000 United Rentals North America, Inc. (a)............... 5.50% 07/15/25 1,482,250 2,900,000 United Rentals North America, Inc. (a)............... 5.88% 09/15/26 3,132,000 2,250,000 United Rentals North America, Inc. .................. 4.88% 01/15/28 2,261,250 --------------- 43,449,278 --------------- TECHNOLOGY & ELECTRONICS - 7.3% 2,595,000 CDK Global, Inc. (b)................................. 4.88% 06/01/27 2,672,850 2,300,000 CommScope Technologies LLC (a) (b)................... 5.00% 03/15/27 2,311,500
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) TECHNOLOGY & ELECTRONICS (CONTINUED) $ 2,800,000 CommScope, Inc. (b).................................. 5.00% 06/15/21 $ 2,880,500 4,166,000 Dell International LLC/EMC Corp. (a) (b)............. 8.35% 07/15/46 5,458,310 5,783,000 First Data Corp. (a) (b)............................. 7.00% 12/01/23 6,252,869 2,870,000 Match Group, Inc. ................................... 6.38% 06/01/24 3,135,475 4,015,000 NCR Corp. ........................................... 6.38% 12/15/23 4,296,050 3,019,000 PTC, Inc. ........................................... 6.00% 05/15/24 3,256,746 3,825,000 Qorvo, Inc. ......................................... 7.00% 12/01/25 4,370,062 5,035,000 Zebra Technologies Corp. (a)......................... 7.25% 10/15/22 5,368,569 --------------- 40,002,931 --------------- TELECOMMUNICATIONS - 10.7% 4,260,000 CenturyLink, Inc., Series P ......................... 7.60% 09/15/39 3,972,450 2,570,000 CyrusOne L.P./CyrusOne Finance Corp. (b)............. 5.38% 03/15/27 2,720,988 3,025,000 Equinix, Inc. ....................................... 5.88% 01/15/26 3,319,937 2,500,000 Equinix, Inc. ....................................... 5.38% 05/15/27 2,709,375 400,000 Frontier Communications Corp. ....................... 6.25% 09/15/21 352,872 6,450,000 Frontier Communications Corp. (a).................... 11.00% 09/15/25 5,942,062 1,956,000 Hughes Satellite Systems Corp. ...................... 5.25% 08/01/26 2,058,690 3,070,000 Level 3 Financing, Inc. ............................. 5.38% 01/15/24 3,238,850 2,900,000 Level 3 Financing, Inc. ............................. 5.25% 03/15/26 3,088,500 1,695,000 Sprint Capital Corp. ................................ 6.88% 11/15/28 1,851,788 11,425,000 Sprint Capital Corp. (a)............................. 8.75% 03/15/32 14,195,562 570,000 Sprint Communications, Inc. (a)...................... 9.25% 04/15/22 706,800 7,610,000 T-Mobile USA, Inc. (a)............................... 6.00% 03/01/23 8,066,600 2,925,000 T-Mobile USA, Inc. .................................. 6.00% 04/15/24 3,151,687 2,028,000 ViaSat, Inc. (a)..................................... 6.88% 06/15/20 2,073,630 1,275,000 Windstream Services LLC (a).......................... 6.38% 08/01/23 1,048,688 --------------- 58,498,479 --------------- TRANSPORTATION - 2.9% 2,000,000 American Airlines Group, Inc. ....................... 6.13% 06/01/18 2,068,320 752,018 Continental Airlines 2003-ERJ1 Pass Through Trust............................................. 7.88% 07/02/18 767,999 1,246,810 Continental Airlines 2005-ERJ1 Pass Through Trust (a)......................................... 9.80% 04/01/21 1,371,490 5,406,371 US Airways 2000-3C Pass Through Trust ............... 8.39% 03/01/22 5,933,492 5,775,000 XPO Logistics, Inc. (a) (b).......................... 6.50% 06/15/22 6,020,437 --------------- 16,161,738 --------------- UTILITY - 0.6% 3,420,000 Calpine Corp. ....................................... 5.75% 01/15/25 3,210,525 --------------- TOTAL CORPORATE BONDS AND NOTES...................................................... 500,020,762 (Cost $476,242,911) ---------------
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- ----------------------------------------------------- -------------- -------------- --------------- FOREIGN CORPORATE BONDS AND NOTES - 20.5% AUTOMOTIVE - 0.1% 650,000 Dana Financing Luxembourg Sarl (USD) (b)............. 5.75% 04/15/25 $ 677,625 --------------- BANKING - 0.3% 1,320,000 Barclays PLC ........................................ 4.84% 05/09/28 1,372,958 --------------- BASIC INDUSTRY - 5.3% 409,000 Anglo American Capital PLC (USD) (b)................. 4.13% 04/15/21 425,360 1,401,000 Anglo American Capital PLC (USD) (a) (b)............. 4.88% 05/14/25 1,502,573 7,052,000 ArcelorMittal (USD) ................................. 7.50% 10/15/39 8,356,620 1,700,000 Cemex SAB de CV (USD) (b)............................ 7.75% 04/16/26 1,955,000 2,345,000 FMG Resources (August 2006) Pty Ltd. (USD) (b) ...... 9.75% 03/01/22 2,670,251 2,825,000 MMC Norilsk Nickel OJSC via MMC Finance DAC (USD) (b)......................................... 6.63% 10/14/22 3,157,022 1,625,000 SPCM S.A. (USD) (b).................................. 4.88% 09/15/25 1,671,719 4,200,000 Stora Enso OYJ (USD) (a) (b)......................... 7.25% 04/15/36 4,977,000 2,505,000 Teck Resources Ltd. (USD) ........................... 6.00% 08/15/40 2,680,350 1,795,000 Teck Resources Ltd. (USD) ........................... 6.25% 07/15/41 1,958,794 --------------- 29,354,689 --------------- CAPITAL GOODS - 2.3% 5,100,000 Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (a) (b)........................... 7.25% 05/15/24 5,648,250 535,000 Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (USD) (b)............................... 6.00% 02/15/25 571,112 2,890,000 Bombardier, Inc. (USD) (a) (b)....................... 6.00% 10/15/22 2,955,025 3,288,000 Bombardier, Inc. (USD) (a) (b)....................... 6.13% 01/15/23 3,361,980 --------------- 12,536,367 --------------- CONSUMER GOODS - 0.5% 2,925,000 Minerva Luxembourg S.A. (USD) (b).................... 6.50% 09/20/26 2,935,969 --------------- ENERGY - 2.3% 2,350,000 Gazprom OAO Via Gaz Capital S.A. (USD) (b) .......... 8.63% 04/28/34 3,147,489 4,350,000 Petrobras Global Finance B.V. (USD) (a).............. 6.88% 01/20/40 4,246,687 2,120,000 Petrobras Global Finance B.V. (USD) ................. 7.25% 03/17/44 2,138,550 3,350,000 Weatherford International Ltd. (USD) ................ 4.50% 04/15/22 3,098,750 --------------- 12,631,476 --------------- HEALTHCARE - 2.4% 2,275,000 Endo Dac./Endo Finance LLC/Endo Finco, Inc. (USA) (a) (b)..................................... 6.00% 02/01/25 1,936,594 3,625,000 Valeant Pharmaceuticals International, Inc. (USA) (a) (b)..................................... 7.50% 07/15/21 3,538,906 5,319,000 Valeant Pharmaceuticals International, Inc. (USA) (a) (b)..................................... 5.88% 05/15/23 4,600,935
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- ----------------------------------------------------- -------------- -------------- --------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) HEALTHCARE (CONTINUED) 3,724,000 Valeant Pharmaceuticals International, Inc. (USD) (b)......................................... 6.13% 04/15/25 $ 3,184,020 --------------- 13,260,455 --------------- INSURANCE - 0.6% 3,500,000 Oil Insurance Ltd. (USD) (b) (g)..................... 4.28% (h) 3,202,500 --------------- LEISURE - 0.8% 3,205,000 Royal Caribbean Cruises Ltd. (USD) (a)............... 7.50% 10/15/27 4,235,196 --------------- MEDIA - 2.0% 6,895,000 Altice Luxembourg S.A. (USD) (a) (b)................. 7.75% 05/15/22 7,334,556 3,695,000 UPCB Finance IV Ltd. (USD) (b)....................... 5.38% 01/15/25 3,870,513 --------------- 11,205,069 --------------- RETAIL - 0.5% 2,720,000 1011778 BC ULC/New Red Finance, Inc. (USD) (b) ...... 4.25% 05/15/24 2,742,086 --------------- SERVICES - 0.7% 2,040,000 GFL Environmental, Inc. (USD) (b).................... 5.63% 05/01/22 2,116,500 1,690,000 Ritchie Bros. Auctioneers, Inc. (USD) (a) (b) ....... 5.38% 01/15/25 1,777,272 --------------- 3,893,772 --------------- TECHNOLOGY & ELECTRONICS - 1.1% 2,500,000 NXP B.V./NXP Funding LLC (USD) (b)................... 4.63% 06/01/23 2,706,700 3,060,000 Sensata Technologies UK Financing Co., PLC (USD) (b) ........................................ 6.25% 02/15/26 3,350,700 --------------- 6,057,400 --------------- TELECOMMUNICATIONS - 1.6% 2,900,000 Telecom Italia Capital S.A. (USD) ................... 7.72% 06/04/38 3,715,625 4,850,000 VimpelCom Holdings B.V. (USD) (b).................... 4.95% 06/16/24 4,892,438 --------------- 8,608,063 --------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES.............................................. 112,713,625 (Cost $103,722,164) --------------- PAR AMOUNT (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION RATE MATURITY (US DOLLARS) ---------------- ----------------------------------------------------- -------------- -------------- --------------- CAPITAL PREFERRED SECURITIES - 7.2% BANKING - 4.2% 5,155,000 Bank of America Corp., Series DD (USD) (a) (i) ...... 6.30% (h) 5,844,481 5,700,000 Citigroup, Inc., Series M (USD) (i).................. 6.30% (h) 6,220,125 2,775,000 Dresdner Funding Trust I (USD) (b)................... 8.15% 06/30/31 3,524,306
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PAR AMOUNT (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION RATE MATURITY (US DOLLARS) ---------------- ----------------------------------------------------- -------------- -------------- --------------- CAPITAL PREFERRED SECURITIES (CONTINUED) BANKING (CONTINUED) 2,400,000 HBOS Capital Funding L.P. (GBP) (i).................. 6.46% (h) $ 3,365,136 1,450,000 RBS Capital Trust II (USD) (i)....................... 6.43% (h) 1,685,625 2,370,000 Wells Fargo & Co., Series S (USD) (i)................ 5.90% (h) 2,577,375 --------------- 23,217,048 --------------- CAPITAL GOODS - 0.5% 3,210,000 Textron Financial Corp. (USD) (b) (g)................ 2.92% 02/15/42 2,832,825 --------------- INSURANCE - 2.5% 1,800,000 Aviva PLC (GBP) (i).................................. 6.13% 11/14/36 2,840,472 2,700,000 Chubb (The) Corp. (USD) (g).......................... 3.55% 04/15/37 2,698,312 3,000,000 CNP Assurances (EUR) (i)............................. 5.25% (h) 3,835,500 3,500,000 Lincoln National Corp. (USD) (g)..................... 3.54% 05/17/66 3,298,750 1,000,000 Lincoln National Corp. (USD) (g)..................... 3.35% 04/20/67 922,500 --------------- 13,595,534 --------------- TOTAL CAPITAL PREFERRED SECURITIES................................................... 39,645,407 (Cost $36,100,851) --------------- PRINCIPAL STATED VALUE DESCRIPTION RATE (j) MATURITY (k) VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- SENIOR FLOATING-RATE LOAN INTERESTS - 1.4% AUTOMOTIVE - 0.3% $ 1,713,234 Navistar, Inc. Term Loan B .......................... 5.23% 08/07/20 1,730,367 --------------- HEALTHCARE - 1.1% 6,120,700 Ortho-Clinical Term Loan B3 ......................... 5.05% 06/30/21 6,141,694 --------------- TOTAL SENIOR FLOATING-RATE LOAN INTERESTS............................................ 7,872,061 (Cost $7,786,626) --------------- PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- MORTGAGE-BACKED SECURITIES - 1.3% COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4% Morgan Stanley Mortgage Loan Trust 135,638 Series 2007-6XS, Class 2A1S (g).................. 1.34% 02/25/47 134,556 Specialty Underwriting & Residential Finance Trust 1,389,481 Series 2006-BC4, Class A2B (g)................... 1.34% 09/25/37 648,610 Wells Fargo Mortgage Backed Securities 1,497,273 Series 2006-AR7 Trust, Class 2A4 (g)............. 3.33% 05/25/36 1,439,747 --------------- 2,222,913 --------------- COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9% Carrington Mortgage Loan Trust 320,072 Series 2006-NC4, Class A5 (g).................... 1.29% 10/25/36 319,164
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- MORTGAGE-BACKED SECURITIES (CONTINUED) COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) HSI Asset Securitization Corp. Trust $ 13,076 Series 2007-NC1, Class A1 (g).................... 1.33% 04/25/37 $ 9,047 Morgan Stanley ABS Capital I, Inc. Trust 624,259 Series 2006-HE6, Class A2B (g)................... 1.33% 09/25/36 301,665 Securitized Asset Backed Receivables LLC Trust 8,045,162 Series 2006-FR4, Class A2A (g)................... 1.31% 08/25/36 3,682,469 Soundview Home Loan Trust 725,325 Series 2006-EQ2, Class A2 (g).................... 1.34% 01/25/37 521,405 --------------- 4,833,750 --------------- TOTAL MORTGAGE-BACKED SECURITIES..................................................... 7,056,663 (Cost $9,276,213) --------------- ASSET-BACKED SECURITIES - 0.1% Keycorp Student Loan Trust 739,321 Series 2000-A, Class A2 (g)...................... 1.51% 05/25/29 719,952 (Cost $690,261) --------------- PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- ----------------------------------------------------- -------------- -------------- --------------- FOREIGN SOVEREIGN BONDS AND NOTES - 0.8% PORTUGAL - 0.8% 4,000,000 Portugal Government International Bond (USD) ........ 5.13% 10/15/24 4,106,100 (Cost $3,959,087) --------------- SHARES DESCRIPTION VALUE ---------------- ------------------------------------------------------------------------------------- --------------- SHORT-TERM INVESTMENT - 0.7% 3,788,127 Dreyfus Government Cash Management - Institutional Shares............................ 3,788,127 (Cost $3,788,127) --------------- TOTAL INVESTMENTS - 123.1%........................................................... 675,922,697 (Cost $641,566,240) (l) --------------- PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- ----------------------------------------------------- -------------- -------------- --------------- U.S. GOVERNMENT BONDS SOLD SHORT - (17.9%) $ (101,950,000) United States Treasury Note ......................... 1.38% 09/30/23 (98,194,570) (Proceeds $98,822,755) --------------- CORPORATE BONDS SOLD SHORT - (0.8%) ENERGY - (0.8%) (2,400,000) Noble Energy, Inc. .................................. 4.15% 12/15/21 (2,540,820) (2,100,000) Noble Energy, Inc. .................................. 3.90% 11/15/24 (2,162,544)
See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED)
DESCRIPTION VALUE ------------------------------------------------------------------------------------- --------------- TOTAL CORPORATE BONDS SOLD SHORT..................................................... $ (4,703,364) (Proceeds $4,093,915) --------------- TOTAL INVESTMENTS SOLD SHORT - (18.7%)............................................... (102,897,934) (Proceeds $102,916,669) OUTSTANDING LOAN - (5.3%)............................................................ (28,866,470) NET OTHER ASSETS AND LIABILITIES - 0.9%.............................................. 4,797,668 --------------- NET ASSETS - 100.0%.................................................................. $ 548,955,961 ===============
----------------------------- (a) This security or a portion of this security is segregated as collateral for investments sold short. (b) 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, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund's Board of Trustees, this security has been determined to be liquid by MacKay Shields LLC, the Fund's sub-advisor (the "Sub-Advisor"). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. At July 31, 2017, securities noted as such amounted to $273,733,863 of total investments or 49.9% of net assets. (c) On October 24, 2014, Momentive Performance Materials, Inc. completed a Bankruptcy Plan of Reorganization. As part of the Bankruptcy Plan of Reorganization, the holders of Momentive Performance Materials, Inc. Senior Secured Lien Notes ("Senior Secured Lien Notes") scheduled to mature on October 15, 2020, received new Momentive Performance Materials, Inc. Second Priority Senior Secured Notes maturing on April 24, 2022, in an exchange for the existing Senior Secured Lien Notes, and received an escrow claim, Momentive Performance Escrow Claim. The escrow claim represents a claim on any cash that remains in a Fee Reserve account. It is unknown if any remaining cash held in the Fee Reserve account will be available after future legal and financial costs are paid. (d) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At July 31, 2017, securities noted as such are valued at $2 or 0.0% of net assets. (e) Pursuant to procedures adopted by the Fund's Board of Trustees, this security has been determined to be illiquid by the Fund's Sub-Advisor. (f) Non-income producing security. (g) Floating rate security. The interest rate shown reflects the rate in effect at July 31, 2017. (h) Perpetual maturity. (i) Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at July 31, 2017. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. (j) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown reflects the rate in effect at July 31, 2017. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche at varying rates. See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED) (k) 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. (l) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of July 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $42,727,701 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,371,244. Currency Abbreviations: EUR Euro GBP British Pound Sterling USD United States Dollar ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2017 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio of Investments):
ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2017 PRICES INPUTS INPUTS --------------- ------------- --------------- -------------- Corporate Bonds and Notes: Basic Industry............................. $ 58,763,286 $ -- $ 58,763,284 $ 2 Other Industry Categories*................. 441,257,476 -- 441,257,476 -- Foreign Corporate Bonds and Notes*............ 112,713,625 -- 112,713,625 -- Capital Preferred Securities*................. 39,645,407 -- 39,645,407 -- Senior Floating-Rate Loan Interests*.......... 7,872,061 -- 7,872,061 -- Mortgage-Backed Securities: Collateralized Mortgage Obligations........ 2,222,913 -- 2,222,913 -- Commercial Mortgage-Backed Securities...... 4,833,750 -- 4,833,750 -- Asset-Backed Securities....................... 719,952 -- 719,952 -- Foreign Sovereign Bonds and Notes**........... 4,106,100 -- 4,106,100 -- Short-Term Investment......................... 3,788,127 3,788,127 -- -- --------------- ------------- --------------- -------------- Total Investments............................. $ 675,922,697 $ 3,788,127 $ 672,134,568 $ 2 =============== ============= =============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2017 PRICES INPUTS INPUTS --------------- ------------- --------------- -------------- U.S. Government Bonds Sold Short.............. $ (98,194,570) $ -- $ (98,194,570) $ -- Corporate Bonds Sold Short*................... (4,703,364) -- (4,703,364) -- Forward Foreign Currency Contracts***......... (135,367) -- (135,367) -- --------------- ------------- --------------- -------------- Total......................................... $ (103,033,301) $ -- $ (103,033,301) $ -- =============== ============= =============== ==============
* See the Portfolio of Investments for industry breakout. ** See the Portfolio of Investments for country breakout. *** See the Forward Foreign Currency Contracts table for contract and currency detail. See Notes to Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2017 (UNAUDITED) All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at July 31, 2017. The Level 3 Corporate Bond (Momentive Performance Escrow Claim) that is fair valued by the Advisor's Pricing Committee is footnoted in the Portfolio of Investments. The Level 3 Corporate Bond (Momentive Performance Escrow Claim) values are based on unobservable and non-quantitative inputs. The Fund's Board of Trustees has adopted valuation procedures that are utilized by the Advisor's Pricing Committee to oversee the day-to-day valuation of the Fund's investments. The Advisor's Pricing Committee, through the Fund's fund accounting agent, monitors the daily pricing via tolerance checks and stale and unchanged price reviews. The Advisor's Pricing Committee also reviews monthly back testing of third-party pricing service prices by comparing sales prices of the Fund's investments to prior day third-party pricing service prices. Additionally, the Advisor's Pricing Committee reviews periodic information from the Fund's third-party pricing service that compares secondary market trade prices to their daily valuations. The following table presents the activity of the Fund's investments measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the period presented. BEGINNING BALANCE AT OCTOBER 31, 2016 Corporate Bonds and Notes $ 2 Net Realized Gain (Loss) -- Net Change in Unrealized Appreciation/Depreciation -- Purchases -- Sales -- Transfers In -- Transfers Out -- ENDING BALANCE AT JULY 31, 2017 Corporate Bonds and Notes 2 ---------- Total Level 3 holdings $ 2 ========== There was no net change in unrealized appreciation (depreciation) from Level 3 investments held as of July 31, 2017. FORWARD FOREIGN CURRENCY CONTRACTS (see Note 2D - Forward Foreign Currency Contracts in the Notes to Portfolio of Investments):
FORWARD FOREIGN CURRENCY CONTRACTS ------------------------------------------------------------ PURCHASE SALE UNREALIZED SETTLEMENT AMOUNT AMOUNT VALUE AS OF VALUE AS OF APPRECIATION/ DATE COUNTERPARTY PURCHASED + SOLD + JULY 31, 2017 JULY 31, 2017 (DEPRECIATION) ---------- -------------- -------------------- -------------------- ---------------- ---------------- -------------- 11/01/17 JPM USD 3,793,858 EUR 3,244,000 $ 3,793,858 $ 3,859,365 $ (65,507) 11/01/17 JPM USD 6,258,921 GBP 4,782,000 6,258,921 6,328,781 (69,860) ----------- Net Unrealized Appreciation (Depreciation)............................................................ $ (135,367) ===========
+ Please see Portfolio of Investments for currency descriptions. Counterparty Abbreviations: JPM JPMorgan Chase See Notes to Portfolio of Investments NOTES TO PORTFOLIO OF INVESTMENTS FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2017 (UNAUDITED) 1. ORGANIZATION First Trust High Income Long/Short Fund (the "Fund") is a diversified, closed-end management investment company organized as a Massachusetts business trust on June 18, 2010, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund trades under the ticker symbol FSD on the New York Stock Exchange ("NYSE"). 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." 2. VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION The net asset value ("NAV") of the Common Shares of the Fund is determined daily, as of the close of regular trading on the 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 per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of Common 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 Fund'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: Corporate bonds, notes, capital preferred securities, U.S. government securities, mortgage-backed securities, asset-backed securities and other debt securities are 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 Fund'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. 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. Credit default swaps are fair valued using a third-party pricing service or, if the third-party pricing service does not provide a value, by quotes provided by the selling dealer or financial institution. The senior floating-rate loan interests ("Senior Loans")1 held in the Fund 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 fair 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. 1 The terms "security" and "securities" used throughout the Notes to Portfolio of Investments include Senior Loans. NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED) FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2017 (UNAUDITED) Forward foreign currency contracts are fair valued at the current day's interpolated foreign exchange rate, as calculated using the current day's spot rate, and the thirty, sixty, ninety, and one-hundred eighty day forward rates provided by a third-party pricing service. Fixed income and other debt securities having a remaining maturity of 60 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 Fund'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 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 Sub-Advisor's or external analysis; 6) the information as to any transactions in or offers for the security; 7) the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; 8) the coupon payments; 9) the quality, value and salability of collateral, if any, securing the security; 10) the business prospects of the borrower/issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the borrower's/issuer's management; 11) the prospects for the borrower's/issuer's industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; 12) the borrower's/issuer's competitive position within the industry; 13) the borrower's/issuer's ability to access additional liquidity through public and/or private markets; and 14) other relevant factors. 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). NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED) FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2017 (UNAUDITED) 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 July 31, 2017, 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. 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. The Fund did not have any unfunded delayed draw loan commitments as of July 31, 2017. D. FORWARD FOREIGN CURRENCY CONTRACTS The Fund is subject to foreign currency risk in the normal course of pursuing its investment objectives. Forward foreign currency contracts are agreements between two parties ("Counterparties") to exchange one currency for another at a future date and at a specified price. The Fund uses forward foreign currency contracts to facilitate transactions in foreign securities and to manage the Fund's foreign currency exposure. These contracts are valued daily, and the Fund's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included on the Forward Foreign Currency Contracts table in the Portfolio of Investments. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Due to the risks, the Fund could incur losses in excess of the net unrealized value shown on the Forward Foreign Currency Contracts table in the Portfolio of Investments. In the event of default by the Counterparty, the Fund will provide notice to the Counterparty of the Fund's intent to convert the currency held by the Fund into the currency that the Counterparty agreed to exchange with the Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. E. CREDIT DEFAULT SWAPS The Fund may enter into credit default swap contracts ("CDS") for investment purposes or to manage credit risk. A CDS is an agreement between two parties ("Counterparties") to exchange the credit risk of an issuer. Swap agreements may be privately negotiated in the OTC market as a bilateral contract or centrally cleared. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the "par value," of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer "par value" or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its Counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. In the event of a default by the Counterparty, the Fund will seek withdrawal of this collateral and may incur certain costs exercising its right with respect to the collateral. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED) FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2017 (UNAUDITED) Credit default swap contracts are marked to market daily based upon quotations from brokers, market makers or an independent pricing service and the change in value, if any, is recorded as unrealized appreciation (depreciation). For a credit default swap contract sold by the Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the reference debt obligation purchased/received. The Fund did not hold any swap contracts as of July 31, 2017. F. FOREIGN CURRENCY The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. G. SHORT SALES Short sales are utilized for investment and risk management purposes and are transactions in which securities or other instruments (such as options, forwards, futures or other derivative contracts) are sold by the Fund, but are not currently owned in the Fund's portfolio. When the Fund engages in a short sale, the Fund must borrow the security sold short and deliver the security to the counterparty. Short selling allows the Fund to profit from a decline in a market price to the extent such decline exceeds the transaction costs and the costs of borrowing the securities. The Fund will pay a fee or premium to borrow the securities sold short and is obligated to repay the lenders of the securities. Any dividends or interest that accrues on the securities during the period of the loan are due to the lenders. A gain, limited to the price at which the security was sold short, or a loss, unlimited in size, will be recognized upon the termination of the short sale; which is effected by the Fund purchasing the security sold short and delivering the security to the lender. Any such gain or loss may be offset, completely or in part, by the change in the value of the long portion of the Fund's portfolio. The Fund is subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. Also, there is the risk that the counterparty to a short sale may fail to honor its contractual terms, causing a loss to the Fund. The Fund has established an account with Pershing, LLC ("Pershing") for the purpose of purchasing or borrowing securities on margin. At July 31, 2017, the Fund had $28,866,470 in borrowings associated with investments sold short and $102,897,934 of investments sold short as shown on the Portfolio of Investments. 3. DERIVATIVE TRANSACTIONS For the fiscal year-to-date period (November 1, 2016 to July 31, 2017), the notional values of forward foreign currency contracts opened and closed were $76,058,108 and $96,255,424, respectively. The average volume of credit default swap contracts was $2,871,795 for the fiscal year-to-date period (November 1, 2016 to July 31, 2017). ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) First Trust High Income Long/Short Fund ---------------------------------------------------- By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 19, 2017 -------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) Date: September 19, 2017 -------------------- By (Signature and Title)* /s/ Donald P. Swade ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 19, 2017 -------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert_302.txt SECTION 302 CERTIFICATIONS CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James M. Dykas, certify that: 1. I have reviewed this report on Form N-Q of First Trust High Income Long/Short Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 19, 2017 /s/ James M. Dykas -------------------- ---------------------------------------- James M. Dykas, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Donald P. Swade, certify that: 1. I have reviewed this report on Form N-Q of First Trust High Income Long/Short Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 19, 2017 /s/ Donald P. Swade -------------------- ---------------------------------------- Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)