0001445546-13-004327.txt : 20130924 0001445546-13-004327.hdr.sgml : 20130924 20130924144228 ACCESSION NUMBER: 0001445546-13-004327 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20130731 FILED AS OF DATE: 20130924 DATE AS OF CHANGE: 20130924 EFFECTIVENESS DATE: 20130924 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: 131112045 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 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, 2013 --------------- 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, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES - 82.8% AUTOMOTIVE - 4.4% $ 334,000 Chrysler Group LLC/Chrysler Group Co-Issuer, Inc. ................... 8.00% 06/15/19 $ 366,148 4,367,000 Chrysler Group LLC/Chrysler Group Co-Issuer, Inc. ................... 8.25% 06/15/21 4,880,123 2,376,000 Ford Motor Co. (a)..................... 9.22% 09/15/21 3,022,678 553,000 Ford Motor Co. (a)..................... 8.90% 01/15/32 726,885 3,000,000 Ford Motor Co. (a)..................... 7.75% 06/15/43 3,468,768 2,480,000 Ford Motor Co. (a)..................... 9.98% 02/15/47 3,470,529 21,432 General Motors Unsecured Claim Trust Units (Transferable) (b) N/A N/A 699,755 1,400,000 Goodyear Tire & Rubber (The) Co. ...... 6.50% 03/01/21 1,471,750 5,396,000 Goodyear Tire & Rubber (The) Co. (a)... 7.00% 05/15/22 5,760,230 4,872,000 Navistar International Corp. (a)....... 8.25% 11/01/21 5,005,980 1,682,000 Tomkins Inc., LLC ..................... 9.00% 10/01/18 1,841,790 --------------- 30,714,636 --------------- BANKING - 3.8% 2,285,000 Ally Financial, Inc. (a)............... 8.00% 11/01/31 2,776,275 740,000 Ally Financial, Inc. (a)............... 8.00% 11/01/31 888,000 5,610,000 Bank of America Corp. (a).............. 7.63% 06/01/19 6,856,626 6,750,000 Deutsche Postbank Funding Trust IV (EUR) (c) (d)...................... 5.98% (e) 8,800,288 3,250,000 Dresdner Funding Trust I (f)........... 8.15% 06/30/31 3,258,125 4,200,000 Fifth Third Capital Trust IV (a) (d)... 6.50% 04/15/37 4,215,750 --------------- 26,795,064 --------------- BASIC INDUSTRY - 9.4% 4,500,000 AK Steel Corp. (a)..................... 8.38% 04/01/22 3,847,500 5,250,000 Aleris International, Inc. (a)......... 7.63% 02/15/18 5,545,312 3,450,000 Alpha Natural Resources, Inc. ......... 6.00% 06/01/19 2,975,625 1,255,000 Arch Coal, Inc. ....................... 7.00% 06/15/19 1,032,238 1,428,000 Arch Coal, Inc. ....................... 7.25% 10/01/20 1,170,960 1,125,000 Arch Coal, Inc. ....................... 7.25% 06/15/21 919,688 4,405,000 Associated Materials LLC (a)........... 9.13% 11/01/17 4,773,919 3,635,000 Boise Paper Holdings LLC/Boise Finance Co. (a) ........................... 9.00% 11/01/17 3,857,644 1,700,000 Cloud Peak Energy Resources Corp., LLC (a)............................ 8.25% 12/15/17 1,802,000 6,500,000 Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (a)............. 8.88% 02/01/18 6,792,500 8,655,000 Huntsman International LLC (a)......... 8.63% 03/15/21 9,801,787 1,695,000 Momentive Performance Materials Inc ... 10.00% 10/15/20 1,822,125 3,245,000 Polypore International, Inc. (a)....... 7.50% 11/15/17 3,439,700 5,150,000 Texas Industries, Inc. (a)............. 9.25% 08/15/20 5,632,812 4,000,000 United States Steel Corp. ............. 7.38% 04/01/20 4,090,000 1,500,000 US Coatings Acquisition, Inc. (f)...... 7.38% 05/01/21 1,560,000 4,000,000 USG Corp. (a).......................... 6.30% 11/15/16 4,160,000
See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) BASIC INDUSTRY (CONTINUED) $ 1,878,000 USG Corp. (f).......................... 8.38% 10/15/18 $ 2,061,105 --------------- 65,284,915 --------------- CAPITAL GOODS - 6.1% 2,000,000 Ducommun, Inc. (a)..................... 9.75% 07/15/18 2,230,000 5,000,000 Manitowoc Co., Inc. (a)................ 8.50% 11/01/20 5,650,000 3,625,000 Mcron Finance Sub LLC/ Mcron Finance Corp. (f) ......................... 8.38% 05/15/19 3,960,312 2,945,000 Milacron LLC/Mcron Finance Corp. (f)... 7.75% 02/15/21 3,018,625 3,760,000 Mueller Water Products, Inc. (a)....... 7.38% 06/01/17 3,877,500 7,500,000 Reynolds Group Issuer, Inc., LLC (a)... 8.50% 05/15/18 7,837,500 2,085,000 Reynolds Group Issuer, Inc., LLC (a)... 9.88% 08/15/19 2,262,225 4,050,000 Terex Corp. ........................... 6.00% 05/15/21 4,171,500 4,000,000 Transdigm, Inc. (a).................... 7.75% 12/15/18 4,285,000 4,650,000 Triumph Group, Inc. (a)................ 8.63% 07/15/18 5,080,125 --------------- 42,372,787 --------------- CONSUMER NON-CYCLICAL - 1.0% 3,990,000 Post Holdings, Inc. (f)................ 7.38% 02/15/22 4,299,225 2,240,000 Smithfield Foods, Inc. (a)............. 6.63% 08/15/22 2,374,400 --------------- 6,673,625 --------------- ENERGY - 9.2% 1,150,000 Atlas Pipeline Partners L.P./Atlas Pipeline Finance Corp. (f) ........ 4.75% 11/15/21 1,060,875 2,535,000 Atlas Pipeline Partners L.P./Atlas Pipeline Finance Corp. (f) ........ 5.88% 08/01/23 2,433,600 3,540,000 Basic Energy Services, Inc. ........... 7.75% 10/15/22 3,531,150 3,974,000 Berry Petroleum Co. (a)................ 6.75% 11/01/20 4,132,960 600,000 Chesapeake Energy Corp. (a)............ 7.25% 12/15/18 679,500 1,970,000 Chesapeake Energy Corp. (a)............ 6.63% 08/15/20 2,147,300 6,600,000 Chesapeake Energy Corp. (a)............ 5.38% 06/15/21 6,600,000 4,135,000 EP Energy LLC/EP Energy Finance, Inc. (a) .......................... 9.38% 05/01/20 4,713,900 3,000,000 Ferrellgas Finance Corp., L.P. (a)..... 6.50% 05/01/21 3,045,000 800,000 Frontier Oil Corp. (a)................. 6.88% 11/15/18 856,000 3,960,000 Hornbeck Offshore Services, Inc. (f)... 5.00% 03/01/21 3,821,400 2,636,000 Linn Energy LLC/Linn Energy Finance Corp. (f) ......................... 6.25% 11/01/19 2,491,020 4,240,000 Linn Energy LLC/Linn Energy Finance Corp. ............................. 8.63% 04/15/20 4,430,800 5,500,000 PHI, Inc. (a).......................... 8.63% 10/15/18 5,775,000 5,900,000 Plains Exploration & Production Co. ... 6.50% 11/15/20 6,356,984 3,248,000 Samson Investment Co. (f).............. 10.00% 02/15/20 3,459,120 4,750,000 Swift Energy Co. ...................... 8.88% 01/15/20 4,999,375 3,425,000 Targa Resources Partners L.P./Targa Resources Partners Finance Corp. (a) ......................... 7.88% 10/15/18 3,716,125 --------------- 64,250,109 ---------------
Page 2 See Notes to Quarterly Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES - 6.2% $ 8,000,000 CIT Group, Inc. ....................... 4.25% 08/15/17 $ 8,210,000 10,500,000 GE Capital Trust IV (EUR) (c) (d)...... 4.63% 09/15/66 13,945,019 410,000 General Electric Capital Corp. (EUR) (c) (d) ..................... 5.50% 09/15/67 563,023 3,500,000 Icahn Enterprises L.P./Icahn Enterprises Finance Corp. ......... 8.00% 01/15/18 3,705,625 8,000,000 SLM Corp. (a).......................... 8.00% 03/25/20 8,950,000 5,000,000 Springleaf Finance Corp. (a)........... 6.90% 12/15/17 5,050,000 2,395,000 Springleaf Finance Corp. (f)........... 6.00% 06/01/20 2,221,363 700,000 Textron Financial Corp. (d) (f)........ 6.00% 02/15/67 623,000 --------------- 43,268,030 --------------- HEALTHCARE - 2.6% 5,074,000 Alere, Inc. (f)........................ 7.25% 07/01/18 5,530,660 665,000 Alere, Inc. (f)........................ 6.50% 06/15/20 682,456 2,500,000 Davita Healthcare Partners, Inc. ...... 5.75% 08/15/22 2,546,875 5,600,000 HCA Holdings, Inc. .................... 7.75% 05/15/21 6,104,000 3,150,000 Kinetic Concepts, Inc./KCI USA, Inc. .. 10.50% 11/01/18 3,480,750 --------------- 18,344,741 --------------- INSURANCE - 8.0% 2,450,000 American International Group, Inc. (EUR) (c) (d) ..................... 8.00% 05/22/38 3,777,197 1,800,000 American International Group, Inc. (EUR) (c) (d) ..................... 4.88% 03/15/67 2,259,358 3,050,000 American International Group, Inc. (GBP) (c) (d) ..................... 8.63% 05/22/38 5,454,136 10,950,000 American International Group, Inc. (GBP) (c) (d) ..................... 5.75% 03/15/67 15,808,249 5,000,000 CHUBB Corp. (a) (d).................... 6.38% 03/29/67 5,437,500 11,000,000 Glen Meadow Pass Through Trust (d) (f)...................... 6.51% 02/12/67 10,505,000 6,500,000 Liberty Mutual Group, Inc. (d) (f)..... 7.00% 03/15/37 6,743,750 3,500,000 Lincoln National Corp. (a) (d)......... 7.00% 05/17/66 3,622,500 1,800,000 Lincoln National Corp. (a) (d)......... 6.05% 04/20/67 1,809,000 --------------- 55,416,690 --------------- MEDIA - 1.8% 3,895,000 CCO Holdings LLC/CCO Holdings Capital Corp. ............................. 5.75% 01/15/24 3,651,563 3,931,000 Clear Channel Communications, Inc. (a)........................... 5.50% 12/15/16 3,164,455 1,800,000 Clear Channel Communications, Inc. (a)........................... 9.00% 03/01/21 1,782,000 456,000 Clear Channel Worldwide Holdings, Inc. .............................. 7.63% 03/15/20 478,800 3,193,000 Clear Channel Worldwide Holdings, Inc. (a) .......................... 7.63% 03/15/20 3,384,580 --------------- 12,461,398 --------------- SERVICES - 18.0% 4,432,448 American Airlines Pass Through Trust 2001-01 (g) ....................... 6.98% 05/23/21 4,388,124 1,095,000 Ashtead Capital, Inc. (f).............. 6.50% 07/15/22 1,168,913
See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) SERVICES (CONTINUED) $ 1,426,000 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. ..................... 8.25% 01/15/19 $ 1,565,035 4,915,000 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (f).................. 5.50% 04/01/23 4,865,850 6,500,000 Beazer Homes USA, Inc. (a)............. 8.13% 06/15/16 7,182,500 757,000 Caesars Entertainment Operating Co., Inc. (f)........................... 9.00% 02/15/20 711,580 992,000 Caesars Operating Escrow LLC/Caesars Escrow Corp. (f)................... 9.00% 02/15/20 932,480 10,397,000 Caesars Operating Escrow LLC/Caesars Escrow Corp. (f)................... 9.00% 02/15/20 9,851,157 4,893,148 Continental Airlines 2003-ERJ1 Pass Through Trust...................... 7.88% 07/02/18 5,235,668 2,426,298 Continental Airlines 2005-ERJ1 Pass Through Trust...................... 9.80% 04/01/21 2,711,388 1,587,751 Delta Air Lines 2009-1 Series B Pass Through Trust...................... 9.75% 12/17/16 1,746,526 8,000,000 Hertz (The) Corp. ..................... 7.50% 10/15/18 8,740,000 5,250,000 Iron Mountain, Inc. (a)................ 8.38% 08/15/21 5,715,937 3,500,000 Isle of Capri Casinos, Inc. (a)........ 7.75% 03/15/19 3,679,375 4,160,000 K Hovnanian Enterprises, Inc. (f)...... 7.25% 10/15/20 4,503,200 3,479,000 KB Home ............................... 7.50% 09/15/22 3,748,622 9,175,000 MGM Resorts International ............. 6.75% 10/01/20 9,782,844 3,500,000 Mohegan Tribal Gaming Authority (f).... 10.50% 12/15/16 3,508,750 3,074,652 Northwest Airlines 2001-1 Class B Pass Through Trust...................... 7.69% 04/01/17 3,382,118 4,127,000 Pinnacle Entertainment, Inc. .......... 7.75% 04/01/22 4,343,667 1,780,000 Pulte Group, Inc. (a).................. 7.63% 10/15/17 2,029,200 4,570,000 Pulte Group, Inc. (a).................. 7.88% 06/15/32 5,004,150 3,319,000 Shea Homes L.P./Shea Homes Funding Corp. ............................. 8.63% 05/15/19 3,667,495 5,500,000 Standard Pacific Corp. (a)............. 8.38% 05/15/18 6,393,750 2,597,986 UAL 2009-2B Pass Through Trust (f)..... 12.00% 01/15/16 2,916,240 375,000 United Rentals North America, Inc. .... 7.38% 05/15/20 415,313 7,062,000 United Rentals North America, Inc. (a)................................ 8.38% 09/15/20 7,821,165 367,000 United Rentals North America, Inc. .... 7.63% 04/15/22 411,040 6,712,290 US Airways 2000-3C Pass Through Trust ............................. 8.39% 03/01/22 7,047,904 2,000,000 US Airways Group, Inc. ................ 6.13% 06/01/18 1,925,000 --------------- 125,394,991 --------------- TECHNOLOGY & ELECTRONICS - 5.0% 5,500,000 Alcatel-Lucent USA, Inc. (a)........... 6.45% 03/15/29 4,372,500 5,675,000 CommScope, Inc. (f).................... 8.25% 01/15/19 6,256,688 9,050,000 First Data Corp. (f)................... 8.88% 08/15/20 9,955,000 4,175,000 First Data Corp. (f)................... 10.63% 06/15/21 4,258,500 637,000 Freescale Semiconductor, Inc. (f)...... 10.13% 03/15/18 700,700 2,950,000 Freescale Semiconductor, Inc. (f)...... 5.00% 05/15/21 2,854,125
Page 4 See Notes to Quarterly Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- CORPORATE BONDS AND NOTES (CONTINUED) TECHNOLOGY & ELECTRONICS (CONTINUED) $ 6,460,000 Sungard Data Systems, Inc. ............ 6.63% 11/01/19 $ 6,734,550 --------------- 35,132,063 --------------- TELECOMMUNICATIONS - 4.7% 2,500,000 Frontier Communications Corp. (a)...... 9.00% 08/15/31 2,462,500 2,411,000 Hughes Satellite Systems Corp. (a)..... 7.63% 06/15/21 2,621,963 3,500,000 MetroPCS Wireless, Inc. (a)............ 7.88% 09/01/18 3,815,000 8,830,000 Sprint Capital Corp. (a)............... 8.75% 03/15/32 9,359,800 550,000 Sprint Communications, Inc. ........... 6.00% 11/15/22 532,125 2,600,000 Sprint Nextel Corp. ................... 9.13% 03/01/17 3,009,500 6,000,000 Sprint Nextel Corp. (a)................ 9.25% 04/15/22 7,200,000 2,428,000 Viasat, Inc. .......................... 6.88% 06/15/20 2,591,890 1,500,000 Windstream Corp. ...................... 6.38% 08/01/23 1,432,500 --------------- 33,025,278 --------------- UTILITY - 2.6% 6,736,000 Calpine Corp. (f)...................... 7.88% 07/31/20 7,342,240 3,350,000 Energy Future Intermediate Holding Co., LLC/Energy Future Intermediate Holding Finance, Inc. (a).......... 10.00% 12/01/20 3,643,125 5,000,000 NRG Energy, Inc. (a)................... 8.25% 09/01/20 5,575,000 2,150,000 Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. (f)......... 11.50% 10/01/20 1,623,250 --------------- 18,183,615 --------------- TOTAL CORPORATE BONDS AND NOTES........................................ 577,317,942 (Cost $546,992,434) --------------- PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- --------------------------------------- -------------- -------------- --------------- FOREIGN CORPORATE BONDS AND NOTES - 30.6% AUTOMOTIVE - 1.6% 7,450,000 Banque PSA Finance S.A. (USD) (f)...... 5.75% 04/04/21 7,173,322 4,120,000 Schaeffler Finance B.V. (USD) (f)...... 4.75% 05/15/21 4,017,000 --------------- 11,190,322 --------------- BANKING - 8.5% 6,500,000 ABN AMRO Bank N.V. (EUR) (d)........... 4.31% (e) 8,192,017 2,975,000 Ageas Hybrid Financing S.A. (EUR) (d).. 5.13% (e) 3,898,434 3,500,000 Banco do Brasil S.A. (USD) (f)......... 5.88% 01/19/23 3,384,500 2,200,000 Barclays Bank PLC (GBP) ............... 10.00% 05/21/21 4,410,470 2,000,000 Belfius Funding N.V. (GBP) (h)......... 1.21% 02/09/17 2,498,758 8,264,000 Canada Square Operations PLC (GBP) (d)................................ 7.50% (e) 12,490,731 5,325,000 HBOS Capital Funding L.P. (GBP) (d).... 6.46% (e) 7,837,436 4,350,000 Industrial Senior Trust (USD) (f)...... 5.50% 11/01/22 4,154,250
See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- --------------------------------------- -------------- -------------- --------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) BANKING (CONTINUED) 2,100,000 Mizuho Capital Investment, Ltd. (USD) (a) (d) (f).................. 14.95% (e) $ 2,341,500 3,000,000 National Westminster Bank PLC (GBP) (d).......................... 5.98% (e) 3,523,238 3,000,000 Royal Bank of Scotland N.V. (EUR) (h).. 4.70% 06/10/19 3,891,283 2,250,000 UT2 Funding PLC (EUR) ................. 5.32% 06/30/16 2,866,080 --------------- 59,488,697 --------------- BASIC INDUSTRY - 6.6% 3,868,000 Aperam (USD) (f)....................... 7.38% 04/01/16 3,742,290 2,648,000 Arcelormittal (USD) (a)................ 6.75% 02/25/22 2,753,920 3,592,000 Arcelormittal (USD) (a)................ 7.50% 10/15/39 3,421,380 185,000 Arcelormittal (USD) ................... 7.25% 03/01/41 173,206 3,451,000 Boart Longyear Management Pty., Ltd. (USD) (f).......................... 7.00% 04/01/21 3,140,410 4,000,000 Cemex Espana Luxembourg (USD) (f)...... 9.25% 05/12/20 4,390,000 3,135,000 FMG Resources Pty, Ltd. (USD) (f)...... 7.00% 11/01/15 3,221,213 2,694,628 INEOS Group Holdings PLC (EUR) ........ 7.88% 02/15/16 3,634,098 6,300,000 Novelis, Inc. (USD) (a)................ 8.75% 12/15/20 6,977,250 3,700,000 Severstal OAO Via Steel Capital S.A. (USD) (f).......................... 5.90% 10/17/22 3,431,750 4,200,000 Stora Enso Oyj (USD) (f)............... 7.25% 04/15/36 3,969,000 6,785,000 Vedanta Resources PLC (USD) (f)........ 8.25% 06/07/21 7,120,009 --------------- 45,974,526 --------------- CAPITAL GOODS - 1.5% 3,000,000 Albea Beauty Holdings S.A. (USD) (f)... 8.38% 11/01/19 3,067,500 3,000,000 Ardagh Packaging Finance (EUR) ........ 9.25% 10/15/20 4,290,390 2,775,000 Bombardier, Inc. (USD) (f)............. 6.13% 01/15/23 2,851,312 --------------- 10,209,202 --------------- CONSUMER NON-CYCLICAL - 2.1% 6,000,000 JBS Finance II Ltd. (USD) (f).......... 8.25% 01/29/18 6,375,000 5,900,000 Minerva Luxembourg S.A. (USD) (f)...... 7.75% 01/31/23 5,737,750 3,000,000 Virgolino de Oliveira Finance Ltd. (USD) (f).......................... 11.75% 02/09/22 2,445,000 --------------- 14,557,750 --------------- ENERGY - 3.0% 7,840,000 CHC Helicopter S.A. (USD) (a).......... 9.25% 10/15/20 8,212,400 3,750,000 Georgian Oil and Gas Corp. (USD) (f)... 6.88% 05/16/17 3,871,875 5,600,000 OGX Austria Gmbh (USD) (f)............. 8.50% 06/01/18 1,176,000 3,855,000 Petroleos de Venezuela S.A. (USD) ..... 12.75% 02/17/22 3,845,363 1,700,000 Precision Drilling Corp. (USD) ........ 6.63% 11/15/20 1,793,500 1,750,000 Precision Drilling Corp. (USD) ........ 6.50% 12/15/21 1,855,000 --------------- 20,754,138 ---------------
Page 6 See Notes to Quarterly Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL VALUE (LOCAL STATED STATED VALUE CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS) ---------------- --------------------------------------- -------------- -------------- --------------- FOREIGN CORPORATE BONDS AND NOTES (CONTINUED) HEALTHCARE - 1.0% 6,550,000 VPII Escrow Corp. (USD) (f)............ 7.50% 07/15/21 $ 7,057,625 --------------- INSURANCE - 2.4% 1,650,000 Aviva PLC (EUR) (d).................... 6.88% 05/22/38 2,433,952 3,500,000 CNP Assurances (EUR) (d)............... 5.25% (e) 3,841,395 5,000,000 ING Groep N.V. (GBP) (d)............... 5.14% (e) 7,165,135 3,500,000 Oil Insurance Ltd. (USD) (f) (h)....... 3.26% (e) 3,204,803 --------------- 16,645,285 --------------- SERVICES - 2.7% 1,110,000 CEVA Group PLC (GBP) (f)............... 8.38% 12/01/17 1,121,100 5,250,000 Hapag-Lloyd AG (USD) (f)............... 9.75% 10/15/17 5,565,000 5,755,000 Royal Caribbean Cruises Ltd. (USD) (a).......................... 7.50% 10/15/27 6,316,113 5,930,000 Ukraine Railways Via Shortline PLC (USD) (f).......................... 9.50% 05/21/18 5,589,025 --------------- 18,591,238 --------------- TELECOMMUNICATIONS - 1.2% 2,408,000 En Germany Holdings B.V. (EUR) ........ 10.75% 11/15/15 3,043,316 4,359,000 Intelsat Luxembourg S.A. (USD) (f)..... 7.75% 06/01/21 4,604,194 1,055,000 Intelsat Luxembourg S.A. (USD) (f)..... 8.13% 06/01/23 1,138,081 --------------- 8,785,591 --------------- TOTAL FOREIGN CORPORATE BONDS AND NOTES............................... 213,254,374 (Cost $211,645,413) --------------- PRINCIPAL STATED VALUE DESCRIPTION RATE (i) MATURITY (j) VALUE ---------------- --------------------------------------- -------------- -------------- --------------- SENIOR FLOATING-RATE LOAN INTERESTS - 2.6% AUTOMOTIVE - 1.3% $ 7,118,352 Allison Transmission, Inc. ............ 3.20% 08/07/17 7,162,771 1,743,750 Navistar, Inc. Term Loan B ............ 5.75% 08/17/17 1,775,713 --------------- 8,938,484 --------------- ENERGY - 0.8% 5,895,087 Meg Energy Term Loan .................. 3.75% 03/31/20 5,928,277 --------------- REAL ESTATE - 0.1% 395,672 Realogy Synthetic Letter of Credit .... 4.45% 10/10/16 399,878 --------------- SERVICES - 0.4% 3,000,000 US Airway Group Term Loan ............. 4.25% 05/23/19 2,998,380 --------------- TOTAL SENIOR FLOATING-RATE LOAN INTERESTS............................. 18,265,019 (Cost $18,123,760) ---------------
See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- ASSET-BACKED SECURITIES - 1.7% Ace Securities Corp. $ 3,234,066 Series 2007-HE2, Class A2A (h)..... 0.31% 12/25/36 $ 1,645,792 Carrington Mortgage Loan Trust 2,150,643 Series 2006-NC4, Class A5 (h)...... 0.25% 10/25/36 1,842,080 HSI Asset Securitization Corp. Trust 1,614,843 Series 2007-NC1, Class A1 (h)...... 0.29% 04/25/37 1,363,577 Keycorp Student Loan Trust 2,459,317 Series 2000-A, Class A2 (h)........ 0.59% 05/25/29 2,256,617 Morgan Stanley ABS Capital I 816,974 Series 2006-HE6, Class A2B (h)..... 0.29% 09/25/36 534,345 Securitized Asset Backed Receivables LLC Trust 9,684,220 Series 2006-FR4, Class A2A (h)..... 0.27% 08/25/36 3,886,887 Soundview Home Loan Trust 1,056,593 Series 2006-EQ2, Class A2 (h)...... 0.30% 01/25/37 612,174 --------------- TOTAL ASSET-BACKED SECURITIES.......................................... 12,141,472 (Cost $14,930,229) --------------- MORTGAGE-BACKED SECURITIES - 0.8% COLLATERALIZED MORTGAGE OBLIGATIONS - 0.8% Morgan Stanley Mortgage Loan Trust 1,473,431 Series 2007-6XS, Class 2A1S (h).... 0.30% 02/25/47 1,297,711 Specialty Underwriting & Residential Finance 1,930,965 Series 2006-BC4, Class A2B (h)..... 0.30% 09/25/37 1,168,044 Wells Fargo Mortgage Backed Securities Trust 3,648,773 Series 2006-AR7, Class 2A4 (h)..... 2.62% 05/25/36 3,320,509 --------------- TOTAL MORTGAGE-BACKED SECURITIES....................................... 5,786,264 (Cost $6,052,186) --------------- SHARES DESCRIPTION VALUE ---------------- ----------------------------------------------------------------------- --------------- COMMON STOCKS - 2.2% AUTOMOTIVE - 1.6% 448,000 Ford Motor Co.......................................................... 7,562,240 98,768 General Motors Co. (k)................................................. 3,542,808 --------------- 11,105,048 --------------- BANKING - 0.6% 75,700 Citigroup, Inc......................................................... 3,946,998 --------------- TOTAL COMMON STOCKS.................................................... 15,052,046 (Cost $14,700,177) ---------------
Page 8 See Notes to Quarterly Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED)
SHARES DESCRIPTION VALUE ---------------- ----------------------------------------------------------------------- --------------- WARRANTS - 0.5% AUTOMOTIVE - 0.5% 77,608 General Motors Co. (k)................................................. $ 2,039,538 77,608 General Motors Co. (k)................................................. 1,445,837 --------------- TOTAL WARRANTS.......................................................... 3,485,375 (Cost $4,065,974) --------------- SHORT-TERM INVESTMENTS - 0.1% 632,396 Dreyfus Government Cash Management - Institutional Shares.............. 632,396 --------------- TOTAL SHORT-TERM INVESTMENTS........................................... 632,396 (Cost $632,396) --------------- TOTAL INVESTMENTS - 121.3%............................................. 845,934,888 (Cost $817,142,569) (l) --------------- PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ---------------- --------------------------------------- -------------- -------------- --------------- U.S. GOVERNMENT BONDS SOLD SHORT - (23.9%) $ (20,500,000) United States Treasury Note ........... 0.25% 03/31/14 (20,520,418) (119,200,000) United States Treasury Note ........... 0.88% 02/28/17 (119,251,256) (27,500,000) United States Treasury Note ........... 2.00% 02/15/22 (26,713,665) --------------- TOTAL U.S. GOVERNMENT BONDS SOLD SHORT................................. (166,485,339) (Proceeds $167,794,344) --------------- NET OTHER ASSETS AND LIABILITIES - 2.6%................................ 17,855,608 --------------- NET ASSETS - 100.0%.................................................... $ 697,305,157 ===============
----------------------------- (a) This security or a portion of this security is segregated as collateral for investments sold short. (b) The Fund previously held non-transferable trust units that were originally issued to facilitate distribution of General Motors common stock and warrants pursuant to the General Motors Bankruptcy Plan of Reorganization. The non-transferable trust units existed only for the purpose of receiving residual cash, if any, from the General Motors Bankruptcy. These units were received in exchange for the previously owned General Motors 8.375% Corporate Notes that were scheduled to mature on July 15, 2033. On June 12, 2012, the holders of these units received new transferable General Motors Unsecured Claim (GUC) Trust Units, which were created to hold and administer the common stock and warrants of General Motors Company to be contributed to the GUC Trust under the General Motors Bankruptcy Plan of Reorganization. (c) Security issued by a U.S. incorporated entity, that has its principal value denominated in the listed foreign currency. (d) Fixed-to-floating rate or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at July 31, 2013. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. (e) Perpetual maturity. See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED) (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, 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. 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, 2013, securities noted as such amounted to $223,067,818, or 31.99% of net assets. (g) The issuer is in default. Income is not being accrued. (h) Floating rate security. The interest rate shown reflects the rate in effect at July 31, 2013. (i) 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, 2013. (j) 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. (k) Non-income producing security. (l) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of July 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $46,151,302 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $17,358,983. Currency Abbreviations: EUR Euro GBP British Pound Sterling USD United States Dollar Page 10 See Notes to Quarterly Portfolio of Investments FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of July 31, 2013 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments): ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2013 PRICES INPUTS INPUTS --------------- ------------- --------------- -------------- Corporate Bonds and Notes*.................... $ 577,317,942 $ -- $ 577,317,942 $ -- Foreign Corporate Bonds and Notes*............ 213,254,374 -- 213,254,374 -- Senior Floating-Rate Loan Interests*.......... 18,265,019 -- 18,265,019 -- Asset-Backed Securities....................... 12,141,472 -- 12,141,472 -- Mortgage-Backed Securities.................... 5,786,264 -- 5,786,264 -- Common Stocks*................................ 15,052,046 15,052,046 -- -- Warrants*..................................... 3,485,375 3,485,375 -- -- Short-Term Investments........................ 632,396 632,396 -- -- --------------- ------------- --------------- -------------- Total Investments............................. 845,934,888 19,169,817 826,765,071 -- --------------- ------------- --------------- -------------- Other Financial Instruments: Forward Foreign Currency Contracts**.......... 2,306,154 -- 2,306,154 -- --------------- ------------- --------------- -------------- Total......................................... $ 848,241,042 $ 19,169,817 $ 829,071,225 $ -- =============== ============= =============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 7/31/2013 PRICES INPUTS INPUTS --------------- ------------- --------------- -------------- U.S. Government Bonds Sold Short.............. $ (166,485,339) $ -- $ (166,485,339) $ -- =============== ============= =============== ==============
* See the Portfolio of Investments for industry breakout. ** See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) PORTFOLIO OF INVESTMENTS (CONTINUED) JULY 31, 2013 (UNAUDITED) 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, 2012 Corporate Bonds and Notes $ 2,100 Net Realized Gain (Loss) -- Net Change in Unrealized Appreciation/Depreciation -- Purchases -- Sales -- Corporate Bonds and Notes (2,100) Transfers In -- Transfers Out -- ENDING BALANCE AT JULY 31, 2013 Corporate Bonds and Notes -- ---------------- Total Level 3 holdings $ -- ================ All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between levels at July 31, 2013. FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS JULY 31, 2013 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS --------------------------------------------------------- PURCHASE SALE UNREALIZED SETTLEMENT AMOUNT AMOUNT VALUE AS OF VALUE AS OF APPRECIATION/ DATE COUNTERPARTY PURCHASED (a) SOLD (a) JULY 31, 2013 JULY 31, 2013 (DEPRECIATION) ---------- -------------- -------------------- ------------------ --------------- --------------- -------------- 09/19/13 JPM EUR 2,725,000 USD 3,568,605 $ 3,625,845 $ 3,568,605 $ 57,240 09/19/13 JPM USD 70,300,153 EUR 52,427,000 70,300,153 69,758,592 541,561 09/19/13 JPM USD 60,988,314 GBP 38,982,000 60,988,313 59,280,960 1,707,353 ------------ Net Unrealized Appreciation (Depreciation)............................................................ $ 2,306,154 ============
(a) Please see Portfolio of Investments for currency descriptions. Counterparty Abbreviations: JPM JPMorgan Chase Page 12 See Notes to Quarterly Portfolio of Investments NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2013 (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 ("SEC") 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"). 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 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 in accordance with valuation procedures adopted by the Fund's Board of Trustees and in accordance with provisions of the 1940 Act. The Fund's securities will be valued as follows: Corporate bonds, notes, 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 an independent 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. A ready market does not exist for some of these investments. As such, these values may differ from the values that would have been used had a ready market for these investments existed, and the differences could be material. Common stocks and other equity securities listed on any national or foreign exchange (excluding the NASDAQ(R) Stock Market LLC ("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. Securities traded in an over-the-counter market are valued at their closing bid prices. The loan assignments, participations and commitments ("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 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. Forward foreign currency contracts are 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 an independent pricing service. Debt securities having a remaining maturity of sixty days or less when purchased are valued at cost adjusted for amortization of premiums and accretion of discounts. (1) The terms "security" and "securities" used throughout the Notes to Financial Statements include Senior Loans. Page 13 NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2013 (UNAUDITED) In the event that the pricing service or dealer does not provide a valuation, or the valuations received are deemed unreliable, the Fund's Board of Trustees has designated First Trust Advisors L.P. ("First Trust") to use a fair value method to value the Fund's securities. Additionally, if events occur after the close of the principal markets for certain securities (e.g., domestic debt and foreign securities) that could materially affect the Fund's NAV, First Trust may use a fair value method to value the Fund's securities. The use of fair value pricing is governed by valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the 1940 Act. As a general principle, the fair value of a security is the amount which the Fund might reasonably expect to receive for the security upon its current sale. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security will be the amount which the Fund might be able to receive upon its current sale. Fair valuation of a security is based on the consideration of all available information, including, but not limited to, the following: 1) the fundamental business data relating to the 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 issuer; 5) the credit quality and cash flow of the 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 issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer's management; 11) the prospects for the issuer's industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; and 12) 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 methodology 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, 2013, is included with the Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS: 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 unfunded delayed draw loan commitments as of July 31, 2013. Page 14 NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED) FIRST TRUST HIGH INCOME LONG/SHORT FUND (FSD) JULY 31, 2013 (UNAUDITED) 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 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 Schedule of Forward Foreign Currency Contracts. 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 Schedule of Forward Foreign Currency Contracts. During the fiscal period ended July 31, 2013, the open and close notional values of forward foreign currency contracts were $1,340,708,339 and $(1,041,936,898), respectively. E. 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. F. 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 that are not currently owned in the Fund's portfolio. When a short sale is engaged in, the security sold short must be borrowed and delivered 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 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. 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 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. Page 15 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/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: September 18, 2013 ------------------------ 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/ Mark R. Bradley ---------------------------------------- Mark R. Bradley, President and Chief Executive Officer (principal executive officer) Date: September 18, 2013 ------------------------ By (Signature and Title)* /s/ James M. Dykas ---------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date: September 18, 2013 ------------------------ * 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, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust High Income Fund 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 18, 2013 /s/ Mark R. Bradley ---------------------- ---------------------------------------- Mark R. Bradley, 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, James M. Dykas, certify that: 1. I have reviewed this report on Form N-Q of First Trust High Income Fund 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 18, 2013 /s/ James M. Dykas ---------------------- ---------------------------------------- James M. Dykas, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)