# EDGAR Filing Document

**Accession Number:** 0001494530
**File Stem:** 0001445546-23-000101
**Filing Date:** 2023-1
**Character Count:** 348190
**Document Hash:** 81bf4d434b9b8aaff9c038d1b9461a26
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001445546-23-000101.hdr.sgml**: 20230106

**ACCESSION NUMBER**: 0001445546-23-000101

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 13

**CONFORMED PERIOD OF REPORT**: 20221031

**FILED AS OF DATE**: 20230106

**DATE AS OF CHANGE**: 20230106

**EFFECTIVENESS DATE**: 20230106

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST HIGH INCOME LONG/SHORT FUND
- **CENTRAL INDEX KEY:** 0001494530
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22442
- **FILM NUMBER:** 23515487

**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

UNITED STATES<br> SECURITIES AND EXCHANGE COMMISSION<br> Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-22442</u> 

 <u>First Trust High Income Long/Short Fund</u> <br> (Exact name of registrant as specified in charter)

120 East Liberty Drive, Suite 400<br> <u>Wheaton, IL 60187</u> <br> (Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.<br> First Trust Portfolios L.P.<br> 120 East Liberty Drive, Suite 400<br> <u>Wheaton, IL 60187</u> <br> (Name and address of agent for service)

Registrant's telephone number, including area code: <u>630-765-8000</u>

Date of fiscal year end: <u>October 31</u>

Date of reporting period: <u>October 31, 2022</u>

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

**Item 1. Reports to Stockholders.**

(a) The Report to Shareholders is attached herewith.

![](img077625571.jpg)

## First Trust

## High Income Long/Short Fund (FSD)

## Annual Report

## For the Year Ended

## October 31, 2022
![](imgafb350762.jpg)

------

**Table of Contents**

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022

---

| | |
|:---|:---|
| [Shareholder Letter](#xx_5cb06c4a-d099-41a0-afed-7276b2924e46_1)<br>| &nbsp;&nbsp;&nbsp;&nbsp;1 |
| [At a Glance](#xx_b003356f-464c-40fb-b33f-8adf7c9842d7_1)<br>| &nbsp;&nbsp;&nbsp;&nbsp;2 |
| [Portfolio Commentary](#xx_1096037e-f89f-482a-89ad-b7f45a51114c_1)<br>| &nbsp;&nbsp;&nbsp;&nbsp;4 |
| [Portfolio of Investments](#xx_093519c0-5516-4e97-9f90-d81ed1232286_1)<br>| &nbsp;&nbsp;10 |
| [Statement of Assets and Liabilities](#xx_44d0a8c1-994d-4572-ac32-451cd52e2365_1)<br>| &nbsp;&nbsp;23 |
| [Statement of Operations](#xx_0daf7af6-c421-4aa7-a92a-bbb9ba948873_1)<br>| &nbsp;&nbsp;24 |
| [Statements of Changes in Net Assets](#xx_881a0951-44a6-444e-a62d-b25b947c9b2c_1)<br>| &nbsp;&nbsp;25 |
| [Statement of Cash Flows](#xx_f5512cbc-2b99-4914-a83d-3dd4d8447338_1)<br>| &nbsp;&nbsp;26 |
| [Financial Highlights](#xx_b5380cbd-4eee-446f-b924-97622c796b40_1)<br>| &nbsp;&nbsp;27 |
| [Notes to Financial Statements](#xx_90e2f054-9899-44f2-8cb0-8967b5c303e1_1)<br>| &nbsp;&nbsp;28 |
| [Report of Independent Registered Public Accounting Firm](#xx_cd108bdd-6b89-4611-9b0e-30230a69987d_1)<br>| &nbsp;&nbsp;36 |
| [Additional Information](#xx_4b67b86e-59a2-43f5-8af0-c3d81707e5c4_1)<br>| &nbsp;&nbsp;37 |
| [Investment Objectives, Policies, Risks and Effects of Leverage](#xx_861b3fde-b23c-433e-b894-280c11bb81d5_1)<br>| &nbsp;&nbsp;41 |
| [Board of Trustees and Officers](#xx_4eb04b76-7d54-49fc-b64d-fa95215e64f6_1)<br>| &nbsp;&nbsp;48 |
| [Privacy Policy](#xx_ab4dc2eb-4046-4036-ad9c-0361cff2b5b8_1)<br>| &nbsp;&nbsp;50 |

---

#### Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or MacKay Shields LLC ("MacKay" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust High Income Long/Short Fund (the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

#### Performance and Risk Disclosure
There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See "Principal Risks" in the Investment Objectives, Policies, Risks and Effects of Leverage section of this report for a discussion of certain other risks of investing in the Fund.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit <u>www.ftportfolios.com</u> or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund performance on the Fund's web page at <u>www.ftportfolios.com</u>.

#### How to Read This Report
This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach.

By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund's performance. The statistical information that follows may help you understand the Fund's performance compared to that of a relevant market benchmark.

It is important to keep in mind that the opinions expressed by personnel of First Trust and MacKay are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

Shareholder Letter

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Letter from the Chairman and CEO

#### October 31, 2022
Dear Shareholders,

First Trust is pleased to provide you with the annual report for the First Trust High Income Long/Short Fund (the "Fund"), which contains detailed information about the Fund for the twelve months ended October 31, 2022.

As I'm writing this letter in mid-November, it strikes me that things appear to be a little more chaotic in the current climate than normal. One of the things that may have contributed to the chaotic nature of the news flow of late was the November mid-term election. For the most part, except for a few seats in Congress, the election is behind us. We learned there would be no "red wave" (Republicans gaining a strong majority in Congress) but likely gridlock ahead. Gridlock has been good for stock market investors in the past few decades, particularly when there's been a Democratic president and the Republicans have control of at least one house of Congress, according to Brian Wesbury, Chief Economist at First Trust.

The Federal Reserve (the "Fed") has kept its promise to aggressively hike interest rates to combat robust inflation. As of November 13, 2022, the Fed has increased the Federal Funds target rate (upper bound) six times, from 0.25% to 4.00%. The Fed's actions have some investors and pundits looking for evidence linking the interest rate hikes to a downturn in the economy. In short, the hope is that a pullback in economic activity might deter the Fed from executing further interest rate hikes. Fed Chairman Jerome Powell, however, recently said that the terminal rate (the ultimate rate the Fed is targeting) will likely need to be higher than previously estimated in order to curb stubbornly high inflation. The Consumer Price Index ("CPI") is a commonly used measure of inflation. The CPI stood at 7.7% on a trailing 12-month basis as of October 31, 2022, according to the U.S. Bureau of Labor Statistics. That is down from its recent high of 9.1% in June 2022. Prior to this year, the last time the CPI was higher than 7.0% was over 40 years ago. While monetary policy is an ongoing process subject to change, the Fed does appear to be steadfast in its mission to bring the rate of inflation back to its preferred level of 2.0%, and that will take some time, in my opinion. Stay tuned!

Equity and fixed income markets have contended with numerous headwinds this year, such as the war between Russia and Ukraine. Since setting its all-time high of 4,796.56 on January 3, 2022, the S&P 500<sup>®</sup> Index has been in a bear market (a price decline of 20% or more from the most recent high) for the better part of 310 days. Suffice it to say, we are all looking forward to the end of this bear market. With respect to corrections and bear markets, the silver lining is that the S&P 500<sup>®</sup> Index has never failed to fully recover the losses sustained in any previous downturn. Where might we see demand for stocks moving forward? One such source could be stock buybacks. As of the last week of October 2022, U.S. companies had announced stock buybacks totaling $1 trillion so far this year, according to Birinyi Associates. The fixed income market has not been immune to selling pressure either. Year-to-date through November 10, 2022, yields on the 10-Year Treasury Note increased by 258 basis points. As you may be aware, bond yields and bond prices are inversely related, particularly with respect to investment-grade bonds. As yields rise, prices fall and vice versa. As noted above, the Fed has more work to do, so bond investors should not be surprised to see interest rates and bond yields trend at least a bit higher in the months ahead.

Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.

Sincerely,

![](img9e6dd1313.jpg)

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### "AT A GLANCE"

#### As of October 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| **Fund Statistics** |  |
| Symbol on New York Stock Exchange | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FSD |
| Common Share Price | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$11.06 |
| Common Share Net Asset Value ("NAV") | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12.63 |
| Premium (Discount) to NAV | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(12.43)% |
| Net Assets Applicable to Common Shares | $421973439 |
| Current Monthly Distribution per Common Share<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0.1050 |
| Current Annualized Distribution per Common Share | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1.2600 |
| Current Distribution Rate on Common Share Price<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.39% |
| Current Distribution Rate on NAV<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.98% |

---

#### Common Share Price & NAV (weekly closing price)
![](imgc19ae4a64.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Performance** |  |  |  |  |
|  |  | &nbsp;&nbsp;Average Annual Total Returns | &nbsp;&nbsp;Average Annual Total Returns | &nbsp;&nbsp;Average Annual Total Returns |
|  | 1 Year Ended<br> 10/31/22 | 5 Years Ended<br> 10/31/22 | 10 Years Ended<br> 10/31/22 | Inception (9/27/10)<br> to 10/31/22 |
| **Fund Performance<sup>(3)</sup>** |  |  |  |  |
| NAV | &nbsp;&nbsp;-14.11% | &nbsp;&nbsp;1.73% | &nbsp;&nbsp;4.40% | &nbsp;&nbsp;5.08% |
| Market Value | &nbsp;&nbsp;-23.99% | &nbsp;&nbsp;0.56% | &nbsp;&nbsp;3.17% | &nbsp;&nbsp;3.54% |
| **Index Performance** |  |  |  |  |
| ICE BofA US High Yield Constrained Index | &nbsp;&nbsp;-11.45% | &nbsp;&nbsp;1.88% | &nbsp;&nbsp;4.06% | &nbsp;&nbsp;5.07% |

---

<sup>(1)</sup> Most recent distribution paid or declared through October 31, 2022. Subject to change in the future.

<sup>(2)</sup> Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of October 31, 2022. Subject to change in the future.

<sup>(3)</sup> Total return is based on the combination of reinvested dividend, capital gain, and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### "AT A GLANCE" (Continued)

#### As of October 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| **Credit Quality<sup>(4)</sup>** | &nbsp;&nbsp;**% of Total<br> Fixed-Income<br> Investments<sup>(5)</sup>** |
| &nbsp;&nbsp;BBB- and above | &nbsp;&nbsp;&nbsp;&nbsp;16.8% |
| &nbsp;&nbsp;BB | &nbsp;&nbsp;&nbsp;&nbsp;53.8 |
| &nbsp;&nbsp;B | &nbsp;&nbsp;&nbsp;&nbsp;25.8 |
| &nbsp;&nbsp;CCC+ and below | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.6 |
| &nbsp;&nbsp;NR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;100.0% |

---

\* Amount is less than 0.1%.

---

| | |
|:---|:---|
| **Industry Classification** | &nbsp;&nbsp;**% of<br> Long-Term<br> Investments<sup>(5)</sup>** |
| &nbsp;&nbsp;Energy | &nbsp;&nbsp;&nbsp;&nbsp;15.2% |
| &nbsp;&nbsp;Services | &nbsp;&nbsp;&nbsp;&nbsp;11.9 |
| &nbsp;&nbsp;Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.0 |
| &nbsp;&nbsp;Capital Goods | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.9 |
| &nbsp;&nbsp;Healthcare | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.5 |
| &nbsp;&nbsp;Basic Industry | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.2 |
| &nbsp;&nbsp;Leisure | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.9 |
| &nbsp;&nbsp;Consumer Goods | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.2 |
| &nbsp;&nbsp;Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.9 |
| &nbsp;&nbsp;Automotive | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.3 |
| &nbsp;&nbsp;Telecommunications | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.3 |
| &nbsp;&nbsp;Banking | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.6 |
| &nbsp;&nbsp;Technology & Electronics | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.6 |
| &nbsp;&nbsp;Financial Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3 |
| &nbsp;&nbsp;Utility | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.0 |
| &nbsp;&nbsp;Real Estate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.6 |
| &nbsp;&nbsp;Transportation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.5 |
| &nbsp;&nbsp;Insurance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.7 |
| &nbsp;&nbsp;Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.4 |
| &nbsp;&nbsp;Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;100.0% |

---

\* Amount is less than 0.1%.

---

| | |
|:---|:---|
| **Asset Classification** | &nbsp;&nbsp;**% of<br> Long-Term<br> Investments<sup>(5)</sup>** |
| &nbsp;&nbsp;Corporate Bonds and Notes | &nbsp;&nbsp;&nbsp;&nbsp;74.3% |
| &nbsp;&nbsp;Foreign Corporate Bonds and Notes | &nbsp;&nbsp;&nbsp;&nbsp;16.3 |
| &nbsp;&nbsp;Capital Preferred Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.1 |
| &nbsp;&nbsp;Senior Floating-Rate Loan Interests | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.8 |
| &nbsp;&nbsp;Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.4 |
| &nbsp;&nbsp;Equity | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;100.0% |

---

---

| | |
|:---|:---|
| **Country Exposure** | &nbsp;&nbsp;**% of<br> Long-Term<br> Investments<sup>(5)</sup>** |
| &nbsp;&nbsp;United States | &nbsp;&nbsp;&nbsp;&nbsp;83.3% |
| &nbsp;&nbsp;Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.4 |
| &nbsp;&nbsp;Multinational | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3 |
| &nbsp;&nbsp;Netherlands | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.9 |
| &nbsp;&nbsp;United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 |
| &nbsp;&nbsp;Liberia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.9 |
| &nbsp;&nbsp;France | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.8 |
| &nbsp;&nbsp;Finland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.6 |
| &nbsp;&nbsp;Germany | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.6 |
| &nbsp;&nbsp;Luxembourg | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.6 |
| &nbsp;&nbsp;Mexico | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.5 |
| &nbsp;&nbsp;Panama | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.5 |
| &nbsp;&nbsp;Bermuda | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.4 |
| &nbsp;&nbsp;Ireland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.3 |
| &nbsp;&nbsp;Denmark | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.3 |
| &nbsp;&nbsp;Cayman Islands | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.2 |
| &nbsp;&nbsp;Italy | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;100.0% |

---

---

| | |
|:---|:---|
| **Fund Allocation** | &nbsp;&nbsp;**% of Net Assets** |
| &nbsp;&nbsp;Corporate Bonds and Notes | &nbsp;&nbsp;&nbsp;&nbsp;92.5% |
| &nbsp;&nbsp;Foreign Corporate Bonds and Notes | &nbsp;&nbsp;&nbsp;&nbsp;20.3 |
| &nbsp;&nbsp;Capital Preferred Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.9 |
| &nbsp;&nbsp;Senior Floating-Rate Loan Interests | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3 |
| &nbsp;&nbsp;Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.5 |
| &nbsp;&nbsp;Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.1 |
| &nbsp;&nbsp;Rights | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.0\* |
| &nbsp;&nbsp;U.S. Government Bonds Sold Short | &nbsp;&nbsp;&nbsp;(12.4) |
| &nbsp;&nbsp;Corporate Bonds Sold Short | &nbsp;&nbsp;&nbsp;&nbsp;(1.0) |
| &nbsp;&nbsp;Outstanding Loan | &nbsp;&nbsp;&nbsp;(33.8) |
| &nbsp;&nbsp;Net Other Assets and Liabilities<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;22.6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total | &nbsp;&nbsp;100.0% |

---

\* Amount is less than 0.1%.

<sup>(4)</sup> The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody's Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.

<sup>(5)</sup> Percentages are based on long positions only. Short positions are excluded.

<sup>(6)</sup> Includes forward foreign currency contracts.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)

#### Advisor
First Trust Advisors L.P. ("First Trust" or the "Advisor") serves as the investment advisor to the First Trust High Income Long/Short Fund (the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund.

#### Sub-Advisor
MacKay Shields LLC, Sub-Advisor to the Fund, was founded in 1938 and became a registered investment advisor in 1969. As of October 31, 2022, MacKay had approximately $124.1 billion in assets under management.

#### FSD Portfolio Management Team

#### Eric Gold – Senior Managing Director, Head of Global Credit

#### Matthew Jacob – Managing Director, Global Credit

#### Shu-Yang Tan, CFA – Managing Director, Global Credit

#### Market Recap
This report covers the Fund for the year ended October 31, 2022.

• The 12-month period ended October 31, 2022 has been a tough ride for most segments of the market, which was marked by extreme bouts of volatility, primarily driven by global inflationary concerns. With
inflation peaking at over 9% based on the Consumer Price Index, the highest levels in over 40 years in the U.S., the implementation of tighter monetary policy by the U.S. Federal Reserve (the "Fed") and
other central banks around the world has been the primary focus of market participants. With a commitment to restore price stability and reduce inflation to its 2% target, the Fed increased interest rates five times
in 2022 to a range of 3.00% to 3.25%, which included three substantial and consecutive rate hikes of 75 basis points ("bps").

• Within this backdrop, global supply chain pressures, impacted by the zero tolerance COVID-19 lockdowns in China earlier in the year, along with geopolitical implications resulting from Russia's
invasion of Ukraine in February 2022 and the ongoing war, also weighed on markets.

• Given the heightened volatility over the period, we witnessed a surge in interest rates across the Treasury curve accompanied by yield curve inversion, which is an indication of an economic slowdown.
Over the period, the yield of the 2-Year U.S. Treasury soared 398 bps to 4.48%. The yield on the 10-Year rose by 250 bps and closed at 4.05%, while the yield on the 30-Year widened 222 bps to 4.16%.

• As yields rose, fixed income and equity markets alike delivered negative returns. The S&P 500<sup>®</sup> Index declined -14.6% for the period. According to ICE Data, U.S. Corporate investment grade bonds lost -19.6%, Global & European high
yield fell -13.9% and -12.0% respectively, and U.S. high yield declined -11.5%. The 10-Year U.S. Treasuries fell -17.7% over the period.

• Within commodity markets, oil prices both in the U.S. and globally increased substantially due the Russia-Ukraine war and risk to the energy supply. During the period, we saw oil prices spike to over
$110 per barrel from $83.57 at the end of October 2021, but that has corrected in recent months. WTI closed October 2022 at $86.53.

• According to the U.S. Bureau of Labor Statistics' monthly jobs report, U.S. employers' added over five million jobs during the period and the unemployment rate decreased from 4.6% to 3.7%,
figures that in our opinion support a strong labor market. We believe that a tight labor market in the midst of high inflation is a major concern of the Fed and one of the main reasons why the Fed continues to tighten
monetary policy to slow the economy.

• Due mainly to tighter global monetary conditions and higher energy prices, global manufacturing activity, as measured by IHS Markit's JPM Global Manufacturing PMI, remains in
contraction territory, finishing at 49.4 in October 2022. During the period, export activity continued to fall globally. Although signaling growth in June and July 2022, China's manufacturing companies, as
measured by Caixin China PMI, declined for much of the period, impacted by the restrictive health policies within the country. Likewise, U.S. business activity, as measured by the IHS Markit US Services PMI, and
business activity in the Eurozone, as measured by the IHS Markit Eurozone Composite PMI, both contracted during the period.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)
U.S. high yield spreads widened by 148 bps for the 12-month period ended October 31, 2022 to 463 bps over Treasuries, according to ICE Data. With the overall U.S. high yield market<sup>1</sup> down -11.5% for the period, all rating categories delivered negative returns, with the higher quality segment outperforming their lower quality counterparts. Single-B's declined the least with a return of -10.5%<sup>2</sup>, while BB's decreased -11.2%<sup>3</sup>. CCC's fell -15.7%<sup>4</sup>, and Distressed credits plunged -29.6%<sup>5</sup>. Looking at market technicals, according to JP Morgan, high yield investors redeemed -$51.1 billion from the market in 2022, significantly exceeding the outflows for the full calendar year of 2021 (-$13.2 billion). New issuance in high yield has been depressed during the past year with $95.1 billion coming to market, less than a quarter of the issuance in 2021 ($483 billion). Unlike the high yield market, the loan market experienced strong inflows in early 2022, benefitting from demand for floating rate instruments, but investors reversed course with outflows over the past several months washing away the net inflows that accumulated; year-to-date loan outflows now total -$3.8 billion. Likewise, issuance in the loan market deteriorated in recent months versus the stronger activity experienced earlier; however, the year-to-date issuance for loans exceeds the high yield market at $211.5 billion. Finally, defaults remain low compared to historical levels but have picked up in recent months. Year-to-date, eight high yield bond issuers defaulted and 12 loan issuers defaulted.

![](img282523f35.jpg)

Past performance is no guarantee of future results.<br> Source: US HY, ICE BofA US High Yield Index<br> B, ICE BofA Single-B U.S. High Yield Index<sup>2</sup> BB, ICE BofA BB U.S. High Yield Index<sup>3</sup>

CCC and Lower, ICE BofA CCC & Lower U.S. High Yield Index<sup>4</sup> Distressed, ICE BofA U.S. Distressed High Yield Index<sup>5</sup>

Following a strong year for high yield in 2021, 2022 has been a difficult environment for high yield and all segments of the markets given record high inflation in major economies across the globe, tightening monetary policies by key central banks and a weakening growth outlook. Against this backdrop, we've seen certain themes driving returns during the year. Reflecting back to the first quarter of 2022, markets were led by higher rates as opposed to significant spread widening; this was a "rates-on" environment. Interest rates rose sharply as inflation was amplified by impacts related to the confluence of unique circumstances related to the COVID-19 Omicron variant, the Russian war in Ukraine and China lockdowns, while spreads only widened by 33 bps. As a result, duration sensitive assets underperformed in the first quarter of 2022 while lower quality assets outperformed. However, in the second quarter of 2022 we witnessed a "risk-off" environment as sentiment shifted to macroeconomic concerns and whether the Fed, in its efforts to bring down inflation, would drive the economy towards recession and weaker corporate profitability. As a result, credit markets became more risk averse with spreads widening 244 bps in the second quarter of 2022, generating a total return of approximately -10%. As would be expected, lower quality pockets of the market were most impacted, driven by distressed bonds, CCC's and B's which returned -19.0%, -13.9% and -10.7% respectively. In the third quarter of 2022, however, the resonating theme was "rates off and risk on"; the market embraced risk and penalized interest rate sensitive assets. High yield spreads tightened by 44 bps and the asset class significantly outperformed higher quality bonds, with a return of -0.68%. In the third quarter, treasury yields rose approximately 65–130 bps across the curve and investment grade bonds declined by over 5% (as measured by the Bloomberg US Corporate Bond

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)
Index). The "rates off and risk on" theme continued into October 2022 with high yield spreads tightening 80 bps and the asset class returning 2.85%, reversing some negative performance earlier in the year.

Over the 12-month period ended October 31, 2022, all sectors of the high yield market delivered negative returns. The Energy sector was the top performer benefitting from the increase in oil prices over the period and the risk to supply due to the Russia-Ukraine conflict. High yield energy companies have continued to benefit from the overall greater global demand for energy, robust cash flow, improved balance sheets and continued capital discipline from most management teams. The Transportation sector was also a top performer, gaining from the post pandemic surge in personal and business travel as well as the decline in oil and gas prices in recent months. Alternatively, Banking was the worst performing sector, primarily resulting from the movement in rates given the sector's longer duration composition. The Healthcare sector has also lagged due to labor shortages, higher wages and volume pressure impacting hospitals.

![](img54833d8d6.jpg)

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)

#### Performance Analysis

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Average Annual Total Returns | &nbsp;&nbsp;Average Annual Total Returns | &nbsp;&nbsp;Average Annual Total Returns |
|  | &nbsp;&nbsp;1 Year Ended<br> 10/31/22 | &nbsp;&nbsp;5 Years Ended<br> 10/31/22 | &nbsp;&nbsp;10 Years Ended<br> 10/31/22 | &nbsp;&nbsp;Inception (9/27/10)<br> to 10/31/22 |
| **Fund Performance\*** |  |  |  |  |
| NAV | &nbsp;&nbsp;-14.11% | &nbsp;&nbsp;1.73% | &nbsp;&nbsp;4.40% | &nbsp;&nbsp;5.08% |
| Market Value | &nbsp;&nbsp;-23.99% | &nbsp;&nbsp;0.56% | &nbsp;&nbsp;3.17% | &nbsp;&nbsp;3.54% |
| **Index Performance** |  |  |  |  |
| ICE BofA US High Yield Constrained Index | &nbsp;&nbsp;-11.45% | &nbsp;&nbsp;1.88% | &nbsp;&nbsp;4.06% | &nbsp;&nbsp;5.07% |

---

![](imgac76f6847.jpg)

<br> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance.

Turning to performance, the Fund underperformed the ICE BofA US High Yield Constrained Index<sup>6</sup> (the "Benchmark") with a return\* of -23.99% on a share price basis and -14.11% on a net asset value basis, compared to the Benchmark's return of -11.45% for the period. As a result of the negative returns in high yield, the underperformance was primarily driven by leverage within the Fund. The Fund has short positions in U.S. Treasury notes in the front end of the curve<sup>7</sup> to reduce the portfolio's exposure to interest rate risk, while at the same time purchasing additional high yield securities to lever up the portfolio<sup>8</sup>. From a sector perspective, issue selection within the Banking and Leisure sectors detracted during the year, while security selection within the Services and Consumer Goods sectors added to results along with an overweight to Energy. Our underweight to the Distressed segment of the market, defined as bonds with spreads greater than 1,000, also contributed to relative performance for the period. The forward foreign currency contracts had minimal impact to the Fund performance.

We believe that we are in the late stage of the economic cycle. Consistent with our philosophy and process, we started de-risking positioning within the Fund in the second half of 2021 due to rich valuations and some early signs of a moderating economic outlook. We continued to de-risk as we moved to a late cycle viewpoint earlier in 2022. We moved up in quality by reducing CCC rated credits and re-allocating capital toward higher quality BB's, potential rising star BB's and in some instances BBB's. These businesses tend to be more durable and are better positioned to withstand an economic downturn. We continue to emphasize more durable businesses that have shown the ability to withstand economic downturns, companies with solid liquidity and minimal near-term maturities. From a sector perspective, we reduced exposure to consumer related names given declining real incomes, expected uptick in unemployment and recent pull back in banks' willingness to lend. This includes discretionary retail, consumer related financial services and automotive companies. Alternatively, we continue to find attractive opportunities in businesses that tend to be more inflation resistant and have some ability to pass through price increases including services, technology and consumer non-discretionary. In addition, we

\* Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)
continue to see opportunities in higher quality energy producers, which we believe will continue to benefit from what we see as a continued supply/demand imbalance caused in part by years of underinvestment, as well as a secular tailwind driven by demand from European countries.

The Fund has a practice of seeking to maintain a relatively stable monthly distribution, which may be changed at any time. The practice has no impact on the Fund's investment strategy and may reduce the Fund's NAV. However, the Advisor believes the practice helps maintain the Fund's competitiveness and may benefit the Fund's market price and premium/discount to the Fund's NAV. The monthly distribution rate began and ended the period at $0.105 per share. At the $0.105 per share monthly distribution rate, the annualized distribution rate at October 31, 2022 was 9.98% at NAV and 11.39% at market price. For the twelve-month period ended October 31, 2022, 62.89% of the distributions were characterized as ordinary income and 37.11% of the distributions were characterized as return of capital. The final determination of the source and tax status of all 2022 distributions will be made after the end of 2022 and will be provided on Form 1099-DIV. The foregoing is not to be construed as tax advice. Please consult your tax advisor for further information regarding tax matters.

#### Outlook
Resilience has defined the U.S. economy during the period even as households and businesses confronted high inflation, still-disrupted supply chains, a sharp slowdown in the housing market and a significant tightening in financial conditions. More recently, that resilience is beginning to wane. For example, while on the surface the economy performed strongly in the third quarter, the details of the latest gross domestic product ("GDP") report showed a meaningful slowdown in final demand from households and businesses. In fact, this component of GDP, which is a useful indicator of underlying spending in the economy, came to a virtual standstill in the third quarter of 2022. While residential investment was the primary culprit for weak final demand, the data also indicate that household spending continues to decelerate. With many households facing declining real income due to inflation that has outstripped wage gains, as well as losses on financial assets, spending is likely to decelerate further in the coming quarters. Credit card borrowing and excess savings accumulated during the pandemic have cushioned spending, but these sources of funds cannot last indefinitely.

Meanwhile, the labor market has evidenced some recent slowing as well. On the surface the labor market remains strong by historical standards, with above-average payrolls growth, a low level of new unemployment claims and labor demand that still far outstrips labor supply. But the latest payrolls growth number at 261,000 was the weakest of the post-pandemic period, and the number of unemployed workers has risen to the highest level since February 2022. In all likelihood, peak labor market strength is now in the rearview mirror given the aforementioned household consumption outlook and anticipated pressure on corporate profit margins as businesses run into more limited pricing power.

The loss of momentum in the economy is occurring before the full effects of monetary tightening have been felt, in our view. The effects will likely occur next year, given the typical lags seen with Fed policy. And the Fed is not even done tightening. Given its focus on bringing inflation down to target, the Fed will likely seek to raise the policy rate into the five percent range by the end of the first quarter of next year before pausing to take stock.

#### Fund Notes:

<sup>1</sup> ICE BofA US High Yield Index.

<sup>2</sup> ICE BofA Single-B U.S. High Yield Index (H0A2) is a subset of ICE BofA U.S. High Yield Index including all securities rated B1 through B3, inclusive.

<sup>3</sup> The ICE BofA BB U.S. High Yield Index (H0A1) is a subset of ICE BofA U.S. High Yield Index including all securities rated BB1 through BB3, inclusive.

<sup>4</sup> ICE BofA CCC & Lower U.S. High Yield Index (H0A3) is a subset of ICE BofA U.S. High Yield Index including all securities rated CCC1 or lower.

<sup>5</sup> ICE BofA U.S. Distressed High Yield Index (H0DI) is a subset of ICE BofA U.S. High Yield Index including all securities with an option-adjusted spread greater than or equal to 1,000 basis points.

<sup>6</sup> ICE BofA U.S. High Yield Master II Constrained Index tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the US domestic market but caps issuer exposure at 2%.

<sup>7</sup> Front end of the yield curve is the short end of the yield curve; generally considered to be bond maturities within two years.

<sup>8</sup> Lever up is to use leverage. Leverage is a technique where a fund's manager borrows assets at one rate and invests the proceeds from the borrowed assets at another rate, seeking to increase yield and total return. Use of leverage can result in additional risk and cost and can magnify the effect of any losses.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Portfolio Commentary (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### Annual Report

#### October 31, 2022 (Unaudited)

#### Credit Rating Disclosure
ICE BofA utilizes its own composite scale, similar to those of Moody's, S&P and Fitch, when publishing a composite rating on an index constituent (e.g., BBB3, BBB2, BBB1). Index constituent composite ratings are the simple averages of numerical equivalent values of the ratings from Moody's, S&P and Fitch. If only two of the designated agencies rate a bond, the composite rating is based on an average of the two. Likewise, if only one of the designated agencies rates a bond, the composite rating is based on that one rating.

#### Source Information
ICE Data Indices, LLC ("ICE Data"), is used with permission. ICE<sup>®</sup> is a registered trademark of ICE Data or its affiliates and BOFA<sup>®</sup> is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates ("BOFA") and may not be used without BOFA's prior written approval. ICE data, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE Data, its affiliates nor their respective third party suppliers shall be subject to any damages or liability with respect to the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and your use is at your own risk. Ice data, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend MacKay Shields LLC, or any of its products or services.

Copyright <sup>©</sup>2022, Markit Economics Limited. All rights reserved and all intellectual property rights retained by Markit Economics Limited.

#### General Disclosure
Availability of this document and products and services provided by MacKay Shields LLC and MacKay Shields Europe Investment Management Limited (collectively, "MacKay Shields") may be limited by applicable laws and regulations in certain jurisdictions and this document is provided only for persons to whom this document and the products and services of MacKay Shields may otherwise lawfully be issued or made available. None of the products and services provided by MacKay Shields are offered to any person in any jurisdiction where such offering would be contrary to local law or regulation. This document is provided for information purposes only. It does not constitute investment advice and should not be construed as an offer to buy securities. The contents of this document have not been reviewed by any regulatory authority in any jurisdiction.

This material contains the opinions of certain professionals at MacKay Shields LLC and are subject to change without notice. This material is distributed for informational purposes only. Forecasts, estimates, and opinions contained herein should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. Any forward-looking statements speak only as of the date they are made and MacKay Shields assumes no duty and does not undertake to update forward-looking statements. No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission of MacKay Shields LLC. <sup>©</sup>2022, MacKay Shields LLC. All Rights Reserved.

#### Past performance is not indicative of future results.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES – 92.5%** | **CORPORATE BONDS AND NOTES – 92.5%** | **CORPORATE BONDS AND NOTES – 92.5%** | **CORPORATE BONDS AND NOTES – 92.5%** | **CORPORATE BONDS AND NOTES – 92.5%** |
|  | **Automotive – 3.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;$2300000 | Dana, Inc. (a)<br>| 4.50% | 02/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1761779 |
| &nbsp;&nbsp;&nbsp;&nbsp;1185000 | Energizer Holdings, Inc. (b)<br>| 4.38% | 03/31/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;956888 |
| &nbsp;&nbsp;&nbsp;&nbsp;1100000 | Ford Motor Credit Co., LLC<br>| 5.58% | 03/18/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1088026 |
| &nbsp;&nbsp;&nbsp;&nbsp;1400000 | Ford Motor Credit Co., LLC<br>| 5.13% | 06/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1356866 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | Ford Motor Credit Co., LLC<br>| 4.95% | 05/28/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;917020 |
| &nbsp;&nbsp;&nbsp;&nbsp;2205000 | Ford Motor Credit Co., LLC (a)<br>| 4.13% | 08/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1959421 |
| &nbsp;&nbsp;&nbsp;&nbsp;5000000 | Ford Motor Credit Co., LLC (a)<br>| 5.11% | 05/03/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4479245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;710000 | Goodyear Tire & Rubber (The) Co.<br>| 4.88% | 03/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;647800 |
| &nbsp;&nbsp;&nbsp;&nbsp;2255000 | Thor Industries, Inc. (a) (b)<br>| 4.00% | 10/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1826618 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14993663 |
|  | **Basic Industry – 6.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;435000 | Avient Corp. (a) (b)<br>| 7.13% | 08/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;416554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645000 | Brundage-Bone Concrete Pumping Holdings, Inc. (a) (b)<br>| 6.00% | 02/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;588174 |
| &nbsp;&nbsp;&nbsp;&nbsp;1450000 | Camelot Return Merger Sub, Inc. (a) (b)<br>| 8.75% | 08/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1210750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320000 | Carpenter Technology Corp.<br>| 6.38% | 07/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296149 |
| &nbsp;&nbsp;&nbsp;&nbsp;1276000 | Carpenter Technology Corp. (a)<br>| 7.63% | 03/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1248617 |
| &nbsp;&nbsp;&nbsp;&nbsp;1005000 | Compass Minerals International, Inc. (b)<br>| 4.88% | 07/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;953508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;808000 | Compass Minerals International, Inc. (b)<br>| 6.75% | 12/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;761271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995000 | Cornerstone Building Brands, Inc. (b)<br>| 6.13% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;619077 |
| &nbsp;&nbsp;&nbsp;&nbsp;2540000 | Dycom Industries, Inc. (a) (b)<br>| 4.50% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2222716 |
| &nbsp;&nbsp;&nbsp;&nbsp;1150000 | Foundation Building Materials, Inc. (b)<br>| 6.00% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;796184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900000 | Great Lakes Dredge & Dock Corp. (b)<br>| 5.25% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;712993 |
| &nbsp;&nbsp;&nbsp;&nbsp;1970000 | Innophos Holdings, Inc. (a) (b)<br>| 9.38% | 02/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1878454 |
| &nbsp;&nbsp;&nbsp;&nbsp;2445000 | JELD-WEN, Inc. (a) (b)<br>| 4.88% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1827356 |
| &nbsp;&nbsp;&nbsp;&nbsp;1820000 | LGI Homes, Inc. (a) (b)<br>| 4.00% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1398497 |
| &nbsp;&nbsp;&nbsp;&nbsp;1855000 | Meritage Homes Corp. (a)<br>| 6.00% | 06/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1803851 |
| &nbsp;&nbsp;&nbsp;&nbsp;1125000 | Novelis Corp. (b)<br>| 3.25% | 11/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;987299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885000 | Novelis Corp. (b)<br>| 3.88% | 08/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;687773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;385000 | Olympus Water US Holding Corp. (b)<br>| 4.25% | 10/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;313611 |
| &nbsp;&nbsp;&nbsp;&nbsp;1145000 | Standard Industries, Inc./NJ (b)<br>| 4.38% | 07/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932442 |
| &nbsp;&nbsp;&nbsp;&nbsp;1390000 | TopBuild Corp. (a) (b)<br>| 4.13% | 02/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1091415 |
| &nbsp;&nbsp;&nbsp;&nbsp;3765000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (a)<br>| 5.88% | 06/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3702228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770000 | Weekley Homes LLC/Weekley Finance Corp. (b)<br>| 4.88% | 09/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;626288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;805000 | White Cap Parent LLC (b) (c)<br>| 8.25% | 03/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681453 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25756660 |
|  | **Capital Goods – 4.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1065000 | Amsted Industries, Inc. (a) (b)<br>| 5.63% | 07/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;989426 |
| &nbsp;&nbsp;&nbsp;&nbsp;1589000 | Berry Global, Inc. (a) (b)<br>| 4.50% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1480114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;936000 | Crown Americas LLC (b)<br>| 5.25% | 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;857645 |
| &nbsp;&nbsp;&nbsp;&nbsp;1470000 | EnerSys (a) (b)<br>| 4.38% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1293005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;985000 | Graphic Packaging International LLC (a) (b)<br>| 3.75% | 02/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;848213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81000 | Howmet Aerospace, Inc.<br>| 6.88% | 05/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82584 |
| &nbsp;&nbsp;&nbsp;&nbsp;5325000 | Howmet Aerospace, Inc. (a)<br>| 3.00% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4445150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;984000 | Owens-Brockway Glass Container, Inc. (b)<br>| 6.63% | 05/13/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;942438 |
| &nbsp;&nbsp;&nbsp;&nbsp;1600000 | TK Elevator US Newco, Inc. (b)<br>| 5.25% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1438432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625000 | TransDigm, Inc. (b)<br>| 8.00% | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;637431 |
| &nbsp;&nbsp;&nbsp;&nbsp;1085000 | TransDigm, Inc. (b)<br>| 6.25% | 03/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1069891 |
| &nbsp;&nbsp;&nbsp;&nbsp;1800000 | TransDigm, Inc. (a)<br>| 6.38% | 06/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1739394 |
| &nbsp;&nbsp;&nbsp;&nbsp;2305000 | TransDigm, Inc. (a)<br>| 5.50% | 11/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2093770 |
| &nbsp;&nbsp;&nbsp;&nbsp;2515000 | TriMas Corp. (a) (b)<br>| 4.13% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2172834 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20090327 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Consumer Goods – 5.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;$2245000 | CD&R Smokey Buyer, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.75% | 07/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2145412 |
| &nbsp;&nbsp;&nbsp;&nbsp;3545000 | Darling Ingredients, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.25% | 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3408500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;665000 | Darling Ingredients, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;6.00% | 06/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640904 |
| &nbsp;&nbsp;&nbsp;&nbsp;2120000 | Edgewell Personal Care Co. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.50% | 06/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2001142 |
| &nbsp;&nbsp;&nbsp;&nbsp;1605000 | Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.00% | 12/31/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1447014 |
| &nbsp;&nbsp;&nbsp;&nbsp;3149000 | Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.00% | 12/31/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2649805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;288000 | Lamb Weston Holdings, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.88% | 05/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;268169 |
| &nbsp;&nbsp;&nbsp;&nbsp;1585000 | Mattel, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.88% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1545074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;940000 | Newell Brands, Inc.<br>| &nbsp;&nbsp;&nbsp;6.38% | 09/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;919729 |
| &nbsp;&nbsp;&nbsp;&nbsp;1000000 | Performance Food Group, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.25% | 08/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625000 | Post Holdings, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.75% | 03/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;605731 |
| &nbsp;&nbsp;&nbsp;&nbsp;2760000 | Post Holdings, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 04/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2326412 |
| &nbsp;&nbsp;&nbsp;&nbsp;2800000 | Primo Water Holdings, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.38% | 04/30/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2375965 |
| &nbsp;&nbsp;&nbsp;&nbsp;1100000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;920475 |
| &nbsp;&nbsp;&nbsp;&nbsp;1400000 | Spectrum Brands, Inc.<br>| &nbsp;&nbsp;&nbsp;5.75% | 07/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1383480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;740000 | Triton Water Holdings, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;6.25% | 04/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;562250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670000 | US Foods, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 06/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;582069 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24631681 |
|  | **Energy – 17.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1200000 | Aethon United BR L.P./Aethon United Finance Corp. (b)<br>| &nbsp;&nbsp;&nbsp;8.25% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1221452 |
| &nbsp;&nbsp;&nbsp;&nbsp;1560000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.00% | 11/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1539369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;970000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;8.25% | 12/31/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;937524 |
| &nbsp;&nbsp;&nbsp;&nbsp;2624000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.88% | 06/30/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2306168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640000 | Callon Petroleum Co. (a)<br>| &nbsp;&nbsp;&nbsp;6.38% | 07/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615198 |
| &nbsp;&nbsp;&nbsp;&nbsp;1310000 | Callon Petroleum Co. (b)<br>| &nbsp;&nbsp;&nbsp;7.50% | 06/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1246779 |
| &nbsp;&nbsp;&nbsp;&nbsp;2555000 | Cheniere Energy Partners L.P. (a)<br>| &nbsp;&nbsp;&nbsp;4.50% | 10/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2258875 |
| &nbsp;&nbsp;&nbsp;&nbsp;1020000 | Cheniere Energy, Inc.<br>| &nbsp;&nbsp;&nbsp;4.63% | 10/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;941587 |
| &nbsp;&nbsp;&nbsp;&nbsp;1100000 | CNX Midstream Partners L.P. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.75% | 04/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;906334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192000 | CNX Resources Corp. (b)<br>| &nbsp;&nbsp;&nbsp;7.25% | 03/14/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;822000 | CNX Resources Corp. (b)<br>| &nbsp;&nbsp;&nbsp;6.00% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;768463 |
| &nbsp;&nbsp;&nbsp;&nbsp;2050000 | Comstock Resources, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.75% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1972377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;391000 | Continental Resources, Inc./OK<br>| &nbsp;&nbsp;&nbsp;4.38% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;351509 |
| &nbsp;&nbsp;&nbsp;&nbsp;1025000 | CrownRock L.P./CrownRock Finance, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;5.00% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;934000 | DCP Midstream Operating L.P.<br>| &nbsp;&nbsp;&nbsp;5.13% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;878530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;695000 | DCP Midstream Operating L.P.<br>| &nbsp;&nbsp;&nbsp;3.25% | 02/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;554398 |
| &nbsp;&nbsp;&nbsp;&nbsp;2650000 | Delek Logistics Partners LP/Delek Logistics Finance Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.13% | 06/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2380515 |
| &nbsp;&nbsp;&nbsp;&nbsp;2600000 | Endeavor Energy Resources L.P./EER Finance, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.75% | 01/30/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2545413 |
| &nbsp;&nbsp;&nbsp;&nbsp;1600000 | EnLink Midstream LLC (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.63% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1535832 |
| &nbsp;&nbsp;&nbsp;&nbsp;2335000 | EnLink Midstream LLC (a)<br>| &nbsp;&nbsp;&nbsp;5.38% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2159128 |
| &nbsp;&nbsp;&nbsp;&nbsp;1825000 | EQM Midstream Partners L.P. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.50% | 07/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1783828 |
| &nbsp;&nbsp;&nbsp;&nbsp;1700000 | EQM Midstream Partners L.P. (a)<br>| &nbsp;&nbsp;&nbsp;5.50% | 07/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1522316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132000 | EQM Midstream Partners L.P. (b)<br>| &nbsp;&nbsp;&nbsp;7.50% | 06/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128548 |
| &nbsp;&nbsp;&nbsp;&nbsp;3620000 | EQM Midstream Partners L.P. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.75% | 01/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3033904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;791000 | Hess Midstream Operations L.P. (b)<br>| &nbsp;&nbsp;&nbsp;5.63% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;776952 |
| &nbsp;&nbsp;&nbsp;&nbsp;1040000 | Hess Midstream Operations L.P. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.25% | 02/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;892221 |
| &nbsp;&nbsp;&nbsp;&nbsp;1845000 | Hilcorp Energy I L.P./Hilcorp Finance Co. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.75% | 02/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1692372 |
| &nbsp;&nbsp;&nbsp;&nbsp;1320000 | Hilcorp Energy I L.P./Hilcorp Finance Co. (b)<br>| &nbsp;&nbsp;&nbsp;6.00% | 02/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1202758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925000 | Holly Energy Partners L.P./Holly Energy Finance Corp. (b)<br>| &nbsp;&nbsp;&nbsp;6.38% | 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;894614 |
| &nbsp;&nbsp;&nbsp;&nbsp;1575000 | Laredo Petroleum, Inc. (a)<br>| &nbsp;&nbsp;&nbsp;9.50% | 01/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1577953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210000 | Laredo Petroleum, Inc.<br>| 10.13% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;206655 |
| &nbsp;&nbsp;&nbsp;&nbsp;1785000 | Laredo Petroleum, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.75% | 07/31/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1698285 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Energy (Continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;$1130000 | Nabors Industries, Inc. (b)<br>| 7.38% | 05/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1113033 |
| &nbsp;&nbsp;&nbsp;&nbsp;4280000 | Occidental Petroleum Corp. (a)<br>| 8.50% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4659936 |
| &nbsp;&nbsp;&nbsp;&nbsp;3070000 | Occidental Petroleum Corp. (a)<br>| 6.63% | 09/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3198541 |
| &nbsp;&nbsp;&nbsp;&nbsp;1310000 | PBF Holding Co., LLC/PBF Finance Corp.<br>| 7.25% | 06/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1299278 |
| &nbsp;&nbsp;&nbsp;&nbsp;1250000 | PBF Holding Co., LLC/PBF Finance Corp.<br>| 6.00% | 02/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1138194 |
| &nbsp;&nbsp;&nbsp;&nbsp;2626000 | Permian Resources Operating LLC (a) (b)<br>| 6.88% | 04/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2550923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;725000 | Rockcliff Energy II LLC (b)<br>| 5.50% | 10/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;647508 |
| &nbsp;&nbsp;&nbsp;&nbsp;1913000 | SM Energy Co.<br>| 5.63% | 06/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1853334 |
| &nbsp;&nbsp;&nbsp;&nbsp;1470000 | SM Energy Co.<br>| 6.50% | 07/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1428193 |
| &nbsp;&nbsp;&nbsp;&nbsp;1100000 | Southwestern Energy Co. (d)<br>| 5.70% | 01/23/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1088477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730000 | Southwestern Energy Co.<br>| 8.38% | 09/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;756194 |
| &nbsp;&nbsp;&nbsp;&nbsp;3265000 | Southwestern Energy Co. (a)<br>| 5.38% | 03/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3024533 |
| &nbsp;&nbsp;&nbsp;&nbsp;1700000 | Southwestern Energy Co. (a)<br>| 4.75% | 02/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1469956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547000 | Sunoco L.P./Sunoco Finance Corp.<br>| 4.50% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;471145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;920000 | Tap Rock Resources LLC (b)<br>| 7.00% | 10/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860435 |
| &nbsp;&nbsp;&nbsp;&nbsp;2000000 | Targa Resources Partners L.P./Targa Resources Partners Finance Corp.<br>| 5.00% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1848769 |
| &nbsp;&nbsp;&nbsp;&nbsp;1720000 | Venture Global Calcasieu Pass LLC (a) (b)<br>| 3.88% | 08/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1488135 |
| &nbsp;&nbsp;&nbsp;&nbsp;2645000 | Venture Global Calcasieu Pass LLC (a) (b)<br>| 4.13% | 08/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2261515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;905000 | Venture Global Calcasieu Pass LLC (a) (b)<br>| 3.88% | 11/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;728005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;909000 | Western Midstream Operating L.P.<br>| 4.50% | 03/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;835253 |
| &nbsp;&nbsp;&nbsp;&nbsp;1251000 | Western Midstream Operating L.P. (d)<br>| 4.30% | 02/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1101036 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75475703 |
|  | **Financial Services – 2.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700000 | Block, Inc.<br>| 3.50% | 06/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565313 |
| &nbsp;&nbsp;&nbsp;&nbsp;1150000 | Fortress Transportation and Infrastructure Investors LLC (b)<br>| 6.50% | 10/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1109750 |
| &nbsp;&nbsp;&nbsp;&nbsp;2635000 | Fortress Transportation and Infrastructure Investors LLC (a) (b)<br>| 5.50% | 05/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2212405 |
| &nbsp;&nbsp;&nbsp;&nbsp;2100000 | Icahn Enterprises L.P./Icahn Enterprises Finance Corp. (a)<br>| 5.25% | 05/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1938762 |
| &nbsp;&nbsp;&nbsp;&nbsp;1395000 | LPL Holdings, Inc. (a) (b)<br>| 4.63% | 11/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1286854 |
| &nbsp;&nbsp;&nbsp;&nbsp;1330000 | MSCI, Inc. (b)<br>| 3.88% | 02/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1123085 |
| &nbsp;&nbsp;&nbsp;&nbsp;1540000 | OneMain Finance Corp.<br>| 6.13% | 03/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1506859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;610000 | OneMain Finance Corp.<br>| 3.50% | 01/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501748 |
| &nbsp;&nbsp;&nbsp;&nbsp;1225000 | PennyMac Financial Services, Inc. (b)<br>| 5.38% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1105342 |
| &nbsp;&nbsp;&nbsp;&nbsp;1240000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc. (b)<br>| 3.63% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;958037 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12308155 |
|  | **Healthcare – 7.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3065000 | Avantor Funding, Inc. (a) (b)<br>| 3.88% | 11/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2600945 |
| &nbsp;&nbsp;&nbsp;&nbsp;2775000 | Carriage Services, Inc. (a) (b)<br>| 4.25% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2139636 |
| &nbsp;&nbsp;&nbsp;&nbsp;1365000 | Catalent Pharma Solutions, Inc. (a) (b)<br>| 3.50% | 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1105425 |
| &nbsp;&nbsp;&nbsp;&nbsp;4010000 | Centene Corp. (a)<br>| 4.63% | 12/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3641040 |
| &nbsp;&nbsp;&nbsp;&nbsp;1024000 | Centene Corp. (a)<br>| 3.00% | 10/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;827269 |
| &nbsp;&nbsp;&nbsp;&nbsp;1485000 | CHS/Community Health Systems, Inc. (b)<br>| 6.00% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1106206 |
| &nbsp;&nbsp;&nbsp;&nbsp;2250000 | CHS/Community Health Systems, Inc. (a) (b)<br>| 5.25% | 05/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1562501 |
| &nbsp;&nbsp;&nbsp;&nbsp;1250000 | Elanco Animal Health, Inc. (e)<br>| 6.40% | 08/28/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1128913 |
| &nbsp;&nbsp;&nbsp;&nbsp;1405000 | Encompass Health Corp.<br>| 4.50% | 02/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1260847 |
| &nbsp;&nbsp;&nbsp;&nbsp;1495000 | HCA, Inc. (a)<br>| 5.88% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1481485 |
| &nbsp;&nbsp;&nbsp;&nbsp;1495000 | HCA, Inc. (a)<br>| 5.88% | 02/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1459853 |
| &nbsp;&nbsp;&nbsp;&nbsp;1665000 | HealthEquity, Inc. (a) (b)<br>| 4.50% | 10/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1467281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885000 | PRA Health Sciences, Inc. (b)<br>| 2.88% | 07/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;799184 |
| &nbsp;&nbsp;&nbsp;&nbsp;1325000 | Prestige Brands, Inc. (a) (b)<br>| 5.13% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1233449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990000 | Prestige Brands, Inc. (b)<br>| 3.75% | 04/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;796133 |
| &nbsp;&nbsp;&nbsp;&nbsp;4750000 | Service Corp International (a)<br>| 7.50% | 04/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4934687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615000 | Syneos Health, Inc. (b)<br>| 3.63% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;510709 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Healthcare (Continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;$1730000 | Teleflex, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.25% | 06/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1575658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175000 | Tenet Healthcare Corp. (b)<br>| &nbsp;&nbsp;&nbsp;4.38% | 01/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;778000 | Tenet Healthcare Corp. (b)<br>| &nbsp;&nbsp;&nbsp;6.13% | 06/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;718662 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30497014 |
|  | **Insurance – 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505000 | NMI Holdings, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;7.38% | 06/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505199 |
|  | **Leisure – 4.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1730000 | Affinity Gaming (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.88% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1446529 |
| &nbsp;&nbsp;&nbsp;&nbsp;1790000 | Boyd Gaming Corp. (a)<br>| &nbsp;&nbsp;&nbsp;4.75% | 12/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1653674 |
| &nbsp;&nbsp;&nbsp;&nbsp;1290000 | Caesars Entertainment, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.25% | 07/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1254081 |
| &nbsp;&nbsp;&nbsp;&nbsp;1055000 | Caesars Resort Collection LLC/CRC Finco, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.75% | 07/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1031922 |
| &nbsp;&nbsp;&nbsp;&nbsp;1075000 | Carnival Holdings Bermuda Ltd. (b)<br>| 10.38% | 05/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1092732 |
| &nbsp;&nbsp;&nbsp;&nbsp;1470000 | CDI Escrow Issuer, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;5.75% | 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1328880 |
| &nbsp;&nbsp;&nbsp;&nbsp;1200000 | Everi Holdings, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;5.00% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1047222 |
| &nbsp;&nbsp;&nbsp;&nbsp;1800000 | Hilton Domestic Operating Co., Inc. (a)<br>| &nbsp;&nbsp;&nbsp;4.88% | 01/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1611144 |
| &nbsp;&nbsp;&nbsp;&nbsp;1725000 | Hilton Domestic Operating Co., Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.00% | 05/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1444596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700000 | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer (b)<br>| &nbsp;&nbsp;&nbsp;5.88% | 10/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;633304 |
| &nbsp;&nbsp;&nbsp;&nbsp;2650000 | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.88% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2266810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;524000 | Penn Entertainment, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.13% | 07/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765000 | Scientific Games Holdings L.P./Scientific Games US FinCo, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;6.63% | 03/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;659441 |
| &nbsp;&nbsp;&nbsp;&nbsp;2700000 | Scientific Games International, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.00% | 05/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2618757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;775000 | Station Casinos LLC (b)<br>| &nbsp;&nbsp;&nbsp;4.50% | 02/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;662783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325000 | Station Casinos LLC (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 12/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;259181 |
| &nbsp;&nbsp;&nbsp;&nbsp;1485000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. (b)<br>| &nbsp;&nbsp;&nbsp;5.13% | 10/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1180820 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20605914 |
|  | **Media – 9.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1235000 | Arches Buyer, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.25% | 06/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1016010 |
| &nbsp;&nbsp;&nbsp;&nbsp;2300000 | Arches Buyer, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.13% | 12/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1776187 |
| &nbsp;&nbsp;&nbsp;&nbsp;1850000 | CCO Holdings LLC/CCO Holdings Capital Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.50% | 05/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1783150 |
| &nbsp;&nbsp;&nbsp;&nbsp;3330000 | CCO Holdings LLC/CCO Holdings Capital Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.75% | 03/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2804409 |
| &nbsp;&nbsp;&nbsp;&nbsp;3500000 | CSC Holdings LLC (a)<br>| &nbsp;&nbsp;&nbsp;5.25% | 06/01/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3398693 |
| &nbsp;&nbsp;&nbsp;&nbsp;2325000 | CSC Holdings LLC (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.50% | 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2185256 |
| &nbsp;&nbsp;&nbsp;&nbsp;2230000 | CSC Holdings LLC (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 12/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1609319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;745000 | Diamond Sports Group LLC/Diamond Sports Finance Co. (b)<br>| &nbsp;&nbsp;&nbsp;5.38% | 08/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149931 |
| &nbsp;&nbsp;&nbsp;&nbsp;2655000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.88% | 08/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2396084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900000 | DISH DBS Corp.<br>| &nbsp;&nbsp;&nbsp;5.88% | 11/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;832500 |
| &nbsp;&nbsp;&nbsp;&nbsp;2090000 | DISH DBS Corp. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.25% | 12/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1812396 |
| &nbsp;&nbsp;&nbsp;&nbsp;2853000 | DISH DBS Corp. (a)<br>| &nbsp;&nbsp;&nbsp;7.38% | 07/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2175955 |
| &nbsp;&nbsp;&nbsp;&nbsp;1255000 | iHeartCommunications, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.25% | 08/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1145564 |
| &nbsp;&nbsp;&nbsp;&nbsp;1250000 | iHeartCommunications, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.75% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1084169 |
| &nbsp;&nbsp;&nbsp;&nbsp;2185000 | Lamar Media Corp. (a)<br>| &nbsp;&nbsp;&nbsp;4.00% | 02/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1858463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900000 | Match Group Holdings II LLC (b)<br>| &nbsp;&nbsp;&nbsp;3.63% | 10/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;687330 |
| &nbsp;&nbsp;&nbsp;&nbsp;3100000 | Netflix, Inc.<br>| &nbsp;&nbsp;&nbsp;4.88% | 04/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2959686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;945000 | News Corp. (b)<br>| &nbsp;&nbsp;&nbsp;3.88% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825330 |
| &nbsp;&nbsp;&nbsp;&nbsp;1480000 | News Corp. (b)<br>| &nbsp;&nbsp;&nbsp;5.13% | 02/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1323268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;920000 | Nexstar Media, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;5.63% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875412 |
| &nbsp;&nbsp;&nbsp;&nbsp;2175000 | Sirius XM Radio, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.13% | 07/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1776790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;410000 | TEGNA, Inc.<br>| &nbsp;&nbsp;&nbsp;4.63% | 03/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655000 | TripAdvisor, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;7.00% | 07/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648271 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Media (Continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$880000 | Univision Communications, Inc. (b)<br>| 4.50% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$746704 |
| &nbsp;&nbsp;&nbsp;&nbsp;1805000 | Warnermedia Holdings, Inc. (b)<br>| 3.64% | 03/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1702612 |
| &nbsp;&nbsp;&nbsp;&nbsp;1565000 | Warnermedia Holdings, Inc. (b)<br>| 3.76% | 03/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1392731 |
| &nbsp;&nbsp;&nbsp;&nbsp;1490000 | WMG Acquisition Corp. (b)<br>| 3.75% | 12/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1246325 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40603488 |
|  | **Real Estate – 3.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1199000 | Iron Mountain, Inc. (a) (b)<br>| 4.88% | 09/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1111781 |
| &nbsp;&nbsp;&nbsp;&nbsp;1845000 | Iron Mountain, Inc. (a) (b)<br>| 5.25% | 03/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1701893 |
| &nbsp;&nbsp;&nbsp;&nbsp;1575000 | Iron Mountain, Inc. (a) (b)<br>| 5.25% | 07/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1361160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825000 | Iron Mountain, Inc. (b)<br>| 4.50% | 02/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;890000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (b)<br>| 4.75% | 06/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;711988 |
| &nbsp;&nbsp;&nbsp;&nbsp;1500000 | SBA Communications Corp.<br>| 3.88% | 02/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1356562 |
| &nbsp;&nbsp;&nbsp;&nbsp;1840000 | SBA Communications Corp.<br>| 3.13% | 02/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1493684 |
| &nbsp;&nbsp;&nbsp;&nbsp;1934000 | Service Properties Trust (a)<br>| 7.50% | 09/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1888067 |
| &nbsp;&nbsp;&nbsp;&nbsp;2295000 | VICI Properties L.P./VICI Note Co., Inc. (b)<br>| 5.63% | 05/01/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2268171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360000 | VICI Properties L.P./VICI Note Co., Inc. (b)<br>| 3.50% | 02/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;335350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175000 | VICI Properties L.P./VICI Note Co., Inc. (b)<br>| 4.25% | 12/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925000 | XHR L.P. (b)<br>| 4.88% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;799533 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13859711 |
|  | **Retail – 5.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3490000 | Albertsons Cos, Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC (a) (b)<br>| 3.50% | 03/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2877051 |
| &nbsp;&nbsp;&nbsp;&nbsp;2150000 | Arko Corp. (a) (b)<br>| 5.13% | 11/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1723494 |
| &nbsp;&nbsp;&nbsp;&nbsp;1430000 | Asbury Automotive Group, Inc. (a)<br>| 4.50% | 03/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1210459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;817000 | Bath & Body Works, Inc. (b)<br>| 9.38% | 07/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;848679 |
| &nbsp;&nbsp;&nbsp;&nbsp;3400000 | Bath & Body Works, Inc. (a)<br>| 7.50% | 06/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3220438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555000 | Group 1 Automotive, Inc. (b)<br>| 4.00% | 08/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457554 |
| &nbsp;&nbsp;&nbsp;&nbsp;2000000 | Hanesbrands, Inc. (a) (b)<br>| 4.63% | 05/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1949900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700000 | LCM Investments Holdings II LLC (b)<br>| 4.88% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;592295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;620000 | Michaels Cos (The), Inc. (b)<br>| 7.88% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875000 | Nordstrom, Inc.<br>| 4.38% | 04/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;672949 |
| &nbsp;&nbsp;&nbsp;&nbsp;2795000 | Sonic Automotive, Inc. (a) (b)<br>| 4.63% | 11/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2196409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825000 | Sonic Automotive, Inc. (b)<br>| 4.88% | 11/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;628629 |
| &nbsp;&nbsp;&nbsp;&nbsp;2615000 | Victoria's Secret & Co. (a) (b)<br>| 4.63% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2086587 |
| &nbsp;&nbsp;&nbsp;&nbsp;1135000 | Yum! Brands, Inc. (b)<br>| 4.75% | 01/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1017323 |
| &nbsp;&nbsp;&nbsp;&nbsp;2950000 | Yum! Brands, Inc. (a)<br>| 5.38% | 04/01/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2643156 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22470074 |
|  | **Services – 10.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3225000 | Allied Universal Holdco LLC/Allied Universal Finance Corp. (a) (b)<br>| 6.63% | 07/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3085986 |
| &nbsp;&nbsp;&nbsp;&nbsp;3005000 | Allied Universal Holdco LLC/Allied Universal Finance Corp. (a) (b)<br>| 9.75% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2596283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;685000 | Allied Universal Holdco LLC/Allied Universal Finance Corp. (b)<br>| 6.00% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;477193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;385000 | APX Group, Inc. (b)<br>| 6.75% | 02/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310000 | APX Group, Inc. (b)<br>| 5.75% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;247989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680000 | Aramark Services, Inc. (a) (b)<br>| 6.38% | 05/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674485 |
| &nbsp;&nbsp;&nbsp;&nbsp;1075000 | Aramark Services, Inc. (a) (b)<br>| 5.00% | 02/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;983512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (b)<br>| 5.38% | 03/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;338615 |
| &nbsp;&nbsp;&nbsp;&nbsp;1250000 | Brink's (The) Co. (a) (b)<br>| 5.50% | 07/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1215181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625000 | Clarivate Science Holdings Corp. (a) (b)<br>| 3.88% | 07/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;537552 |
| &nbsp;&nbsp;&nbsp;&nbsp;1520000 | Clean Harbors, Inc. (a) (b)<br>| 4.88% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1432668 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Services (Continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;$1175000 | Covanta Holding Corp. (b)<br>| 4.88% | 12/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1003280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950000 | GYP Holdings III Corp. (a) (b)<br>| 4.63% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;751590 |
| &nbsp;&nbsp;&nbsp;&nbsp;3045000 | H&E Equipment Services, Inc. (a) (b)<br>| 3.88% | 12/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2576877 |
| &nbsp;&nbsp;&nbsp;&nbsp;3605000 | Herc Holdings, Inc. (a) (b)<br>| 5.50% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3412241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750000 | Hertz (The) Corp. (b)<br>| 4.63% | 12/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640493 |
| &nbsp;&nbsp;&nbsp;&nbsp;1450000 | Imola Merger Corp. (a) (b)<br>| 4.75% | 05/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1252720 |
| &nbsp;&nbsp;&nbsp;&nbsp;1330000 | LBM Acquisition LLC (a) (b)<br>| 6.25% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;933540 |
| &nbsp;&nbsp;&nbsp;&nbsp;1445000 | NESCO Holdings II, Inc. (a) (b)<br>| 5.50% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1270061 |
| &nbsp;&nbsp;&nbsp;&nbsp;1915000 | Prime Security Services Borrower LLC/Prime Finance, Inc. (a) (b)<br>| 3.38% | 08/31/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1670320 |
| &nbsp;&nbsp;&nbsp;&nbsp;1800000 | Sotheby's (a) (b)<br>| 7.38% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1758096 |
| &nbsp;&nbsp;&nbsp;&nbsp;2065000 | Sotheby's/Bidfair Holdings, Inc. (a) (b)<br>| 5.88% | 06/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1728995 |
| &nbsp;&nbsp;&nbsp;&nbsp;3000000 | Uber Technologies, Inc. (a) (b)<br>| 7.50% | 05/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3005355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655000 | Uber Technologies, Inc. (b)<br>| 8.00% | 11/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;790000 | Uber Technologies, Inc. (b)<br>| 6.25% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759083 |
| &nbsp;&nbsp;&nbsp;&nbsp;2165000 | United Rentals North America, Inc. (a)<br>| 3.75% | 01/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1758846 |
| &nbsp;&nbsp;&nbsp;&nbsp;3065000 | WASH Multifamily Acquisition, Inc. (a) (b)<br>| 5.75% | 04/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2862767 |
| &nbsp;&nbsp;&nbsp;&nbsp;2500000 | Waste Pro USA, Inc. (a) (b)<br>| 5.50% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2316862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;880000 | WESCO Distribution, Inc. (b)<br>| 7.13% | 06/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889891 |
| &nbsp;&nbsp;&nbsp;&nbsp;1045000 | WESCO Distribution, Inc. (b)<br>| 7.25% | 06/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1061621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225000 | White Cap Buyer LLC (b)<br>| 6.88% | 10/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;191228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;805000 | Williams Scotsman International, Inc. (a) (b)<br>| 6.13% | 06/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;804453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;855000 | Williams Scotsman International, Inc. (b)<br>| 4.63% | 08/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;773523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640000 | ZoomInfo Technologies LLC/ZoomInfo Finance Corp. (b)<br>| 3.88% | 02/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;536262 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44585017 |
|  | **Technology & Electronics – 3.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900000 | Boxer Parent Co., Inc. (a) (b)<br>| 7.13% | 10/02/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;884019 |
| &nbsp;&nbsp;&nbsp;&nbsp;1760000 | Central Parent, Inc./CDK Global, Inc. (a) (b)<br>| 7.25% | 06/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1682560 |
| &nbsp;&nbsp;&nbsp;&nbsp;2380000 | CommScope, Inc. (a) (b)<br>| 6.00% | 03/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2317692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820000 | CommScope, Inc. (b)<br>| 8.25% | 03/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;729832 |
| &nbsp;&nbsp;&nbsp;&nbsp;1235000 | Dell International LLC/EMC Corp. (a)<br>| 8.35% | 07/05/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1311200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349000 | Endurance International Group Holdings, Inc. (b)<br>| 6.00% | 02/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230314 |
| &nbsp;&nbsp;&nbsp;&nbsp;1900000 | Entegris, Inc. (a) (b)<br>| 4.38% | 04/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1673929 |
| &nbsp;&nbsp;&nbsp;&nbsp;1760000 | Fair Isaac Corp. (a) (b)<br>| 4.00% | 06/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1597156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;934000 | NCR Corp. (b)<br>| 5.13% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;785973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585000 | Presidio Holdings, Inc. (b)<br>| 8.25% | 02/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;521960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580000 | PTC, Inc. (b)<br>| 3.63% | 02/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355000 | PTC, Inc. (b)<br>| 4.00% | 02/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;690000 | SS&C Technologies, Inc. (b)<br>| 5.50% | 09/30/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;643608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350000 | Twilio, Inc.<br>| 3.63% | 03/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289548 |
| &nbsp;&nbsp;&nbsp;&nbsp;2320000 | Viavi Solutions, Inc. (a) (b)<br>| 3.75% | 10/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1940320 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15481060 |
|  | **Telecommunications – 3.0%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1200000 | Cable One, Inc. (a) (b)<br>| 4.00% | 11/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;979344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655000 | Cogent Communications Group, Inc. (a) (b)<br>| 3.50% | 05/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;589200 |
| &nbsp;&nbsp;&nbsp;&nbsp;1035000 | Cogent Communications Group, Inc. (b)<br>| 7.00% | 06/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;984936 |
| &nbsp;&nbsp;&nbsp;&nbsp;1765000 | Level 3 Financing, Inc. (b)<br>| 3.63% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1350128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900000 | Level 3 Financing, Inc. (a) (b)<br>| 3.75% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;686178 |
| &nbsp;&nbsp;&nbsp;&nbsp;1187000 | Lumen Technologies, Inc., Series P (a)<br>| 7.60% | 09/15/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;785230 |
| &nbsp;&nbsp;&nbsp;&nbsp;3685000 | Sprint Corp. (a)<br>| 7.63% | 03/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3852244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565000 | T-Mobile USA, Inc.<br>| 2.25% | 02/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509398 |
| &nbsp;&nbsp;&nbsp;&nbsp;1515000 | T-Mobile USA, Inc.<br>| 3.75% | 04/05/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1398083 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** | **CORPORATE BONDS AND NOTES (Continued)** |
|  | **Telecommunications (Continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;$1490000 | T-Mobile USA, Inc.<br>| &nbsp;&nbsp;&nbsp;5.38% | 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1472144 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12606885 |
|  | **Transportation – 1.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555000 | Allegiant Travel Co. (b)<br>| &nbsp;&nbsp;&nbsp;7.25% | 08/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;571121 | American Airlines 2013-2 Class A Pass Through Trust<br>| &nbsp;&nbsp;&nbsp;4.95% | 01/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565393 |
| &nbsp;&nbsp;&nbsp;&nbsp;1540000 | American Airlines, Inc. (b)<br>| 11.75% | 07/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1686312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;714000 | First Student Bidco, Inc./First Transit Parent, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.00% | 07/31/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;581910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674794 | JetBlue 2020-1 Class B Pass Through Trust<br>| &nbsp;&nbsp;&nbsp;7.75% | 11/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651663 |
| &nbsp;&nbsp;&nbsp;&nbsp;2550750 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.50% | 06/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2525013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;685000 | United Airlines, Inc. (b)<br>| &nbsp;&nbsp;&nbsp;4.38% | 04/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;626420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;895000 | United Airlines, Inc. (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.63% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;769266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39766 | US Airways 2000-3C Pass Through Trust (f) (g)<br>| &nbsp;&nbsp;&nbsp;8.39% | 09/01/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39766 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7968371 |
|  | **Utility – 1.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655000 | Calpine Corp. (b)<br>| &nbsp;&nbsp;&nbsp;3.75% | 03/01/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;538234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470000 | Clearway Energy Operating LLC (b)<br>| &nbsp;&nbsp;&nbsp;3.75% | 02/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393585 |
| &nbsp;&nbsp;&nbsp;&nbsp;1690000 | Clearway Energy Operating LLC (a) (b)<br>| &nbsp;&nbsp;&nbsp;3.75% | 01/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1341353 |
| &nbsp;&nbsp;&nbsp;&nbsp;1355000 | FirstEnergy Corp. (e)<br>| &nbsp;&nbsp;&nbsp;4.40% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1274743 |
| &nbsp;&nbsp;&nbsp;&nbsp;2515000 | PG&E Corp. (a)<br>| &nbsp;&nbsp;&nbsp;5.00% | 07/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2294950 |
| &nbsp;&nbsp;&nbsp;&nbsp;1060000 | Vistra Operations Co. LLC (b)<br>| &nbsp;&nbsp;&nbsp;5.63% | 02/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1012099 |
| &nbsp;&nbsp;&nbsp;&nbsp;1310000 | Vistra Operations Co. LLC (b)<br>| &nbsp;&nbsp;&nbsp;4.38% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1123600 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7978564 |
|  | **Total Corporate Bonds and Notes<br>** | **Total Corporate Bonds and Notes<br>** | **Total Corporate Bonds and Notes<br>** | &nbsp;&nbsp;&nbsp;&nbsp;390417486 |
|  | (Cost $434,983,278) |  |  |  |
| **Principal<br> Value<br> (Local<br> Currency)** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value<br> (US Dollars)** |
| **FOREIGN CORPORATE BONDS AND NOTES – 20.3%** | **FOREIGN CORPORATE BONDS AND NOTES – 20.3%** | **FOREIGN CORPORATE BONDS AND NOTES – 20.3%** | **FOREIGN CORPORATE BONDS AND NOTES – 20.3%** | **FOREIGN CORPORATE BONDS AND NOTES – 20.3%** |
|  | **Automotive – 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;918000 | Clarios Global L.P. (USD) (b)<br>| &nbsp;&nbsp;&nbsp;6.75% | 05/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;920763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;607000 | Clarios Global L.P./Clarios US Finance Co. (USD) (b)<br>| &nbsp;&nbsp;&nbsp;6.25% | 05/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;588705 |
| &nbsp;&nbsp;&nbsp;&nbsp;1099000 | Clarios Global L.P./Clarios US Finance Co. (USD) (b)<br>| &nbsp;&nbsp;&nbsp;8.50% | 05/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1083905 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2593373 |
|  | **Banking – 1.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2930000 | Barclays PLC (USD) (h)<br>| &nbsp;&nbsp;&nbsp;7.33% | 11/02/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2926506 |
| &nbsp;&nbsp;&nbsp;&nbsp;1685000 | Deutsche Bank AG/New York NY (USD) (a) (h)<br>| &nbsp;&nbsp;&nbsp;3.73% | 01/14/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1185438 |
| &nbsp;&nbsp;&nbsp;&nbsp;2835000 | Deutsche Bank AG/New York NY (USD) (a) (h)<br>| &nbsp;&nbsp;&nbsp;3.74% | 01/07/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1932114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500000 | Intesa Sanpaolo SpA (USD) (b)<br>| &nbsp;&nbsp;&nbsp;5.02% | 06/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;472159 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6516217 |
|  | **Basic Industry – 1.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1350000 | Ahlstrom-Munksjo Holding 3 Oy (USD) (b)<br>| &nbsp;&nbsp;&nbsp;4.88% | 02/04/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1086230 |
| &nbsp;&nbsp;&nbsp;&nbsp;1900000 | James Hardie International Finance DAC (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.00% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1720824 |
| &nbsp;&nbsp;&nbsp;&nbsp;2250000 | SPCM S.A. (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;3.38% | 03/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1797660 |
| &nbsp;&nbsp;&nbsp;&nbsp;2200000 | Stora Enso OYJ (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;7.25% | 04/15/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2260775 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6865489 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value<br> (Local<br> Currency)** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value<br> (US Dollars)** |
| **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** |
|  | **Capital Goods – 3.2%** |  |  |  |
| &nbsp;&nbsp;464000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (USD) (b)<br>| 6.00% | 06/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$445955 |
| 1815000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (USD) (a) (b)<br>| 3.25% | 09/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1492819 |
| 1385000 | Bombardier, Inc. (USD) (a) (b)<br>| 7.13% | 06/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1313371 |
| 3100000 | Bombardier, Inc. (USD) (a) (b)<br>| 7.88% | 04/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2949851 |
| &nbsp;&nbsp;715000 | Bombardier, Inc. (USD) (b)<br>| 6.00% | 02/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;638137 |
| 2240000 | Canpack S.A./Canpack US LLC (USD) (a) (b)<br>| 3.13% | 11/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1954264 |
| &nbsp;&nbsp;450000 | Canpack S.A./Canpack US LLC (USD) (b)<br>| 3.88% | 11/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;358259 |
| 1880000 | Cascades, Inc./Cascades USA, Inc. (USD) (a) (b)<br>| 5.38% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610756 |
| &nbsp;&nbsp;875000 | OI European Group BV (USD) (b)<br>| 4.75% | 02/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736199 |
| 2380000 | Titan Acquisition Ltd./Titan Co-Borrower LLC (USD) (a) (b)<br>| 7.75% | 04/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1939239 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13438850 |
|  | **Consumer Goods – 0.7%** |  |  |  |
| 1000000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc. (USD) (a) (b)<br>| 5.50% | 01/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914516 |
| 2500000 | Minerva Luxembourg S.A. (USD) (a) (b)<br>| 4.38% | 03/18/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1902975 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2817491 |
|  | **Energy – 1.0%** |  |  |  |
| 2065000 | MEG Energy Corp. (USD) (a) (b)<br>| 7.13% | 02/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100621 |
| 2250000 | Petroleos Mexicanos (USD) (a)<br>| 6.50% | 03/13/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1977064 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4077685 |
|  | **Healthcare – 0.9%** |  |  |  |
| 3850000 | Teva Pharmaceutical Finance Netherlands III B.V. (USD) (a)<br>| 7.13% | 01/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3820393 |
|  | **Leisure – 2.4%** |  |  |  |
| &nbsp;&nbsp;725000 | Carnival Corp. (USD) (b)<br>| 5.75% | 03/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505191 |
| 2885000 | Carnival Corp. (USD) (a) (b)<br>| 6.00% | 05/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1918330 |
| &nbsp;&nbsp;778000 | International Game Technology PLC (USD) (b)<br>| 5.25% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;715818 |
| &nbsp;&nbsp;700000 | Melco Resorts Finance Ltd. (USD) (b)<br>| 5.75% | 07/21/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;406000 |
| 2220000 | NCL Corp Ltd. (USD) (a) (b)<br>| 5.88% | 02/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1987666 |
| 1915000 | Royal Caribbean Cruises Ltd. (USD) (a) (b)<br>| 4.25% | 07/01/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1517494 |
| 2815000 | Royal Caribbean Cruises Ltd. (USD) (a) (b)<br>| 5.38% | 07/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2218741 |
| &nbsp;&nbsp;437000 | Royal Caribbean Cruises Ltd. (USD) (b)<br>| 8.25% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;436231 |
| &nbsp;&nbsp;513000 | Royal Caribbean Cruises Ltd. (USD) (b)<br>| 9.25% | 01/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;521095 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10226566 |
|  | **Media – 0.4%** |  |  |  |
| 1820000 | UPC Holding, B.V. (USD) (a) (b)<br>| 5.50% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1599758 |
|  | **Retail – 0.6%** |  |  |  |
| 1855000 | 1011778 BC ULC/New Red Finance, Inc. (USD) (a) (b)<br>| 5.75% | 04/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1850539 |
| 1000000 | 1011778 BC ULC/New Red Finance, Inc. (USD) (b)<br>| 3.50% | 02/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838400 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2688939 |
|  | **Services – 3.1%** |  |  |  |
| 2330000 | Garda World Security Corp. (USD) (a) (b)<br>| 4.63% | 02/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2071009 |
| 3410000 | Garda World Security Corp. (USD) (a) (b)<br>| 9.50% | 11/01/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3091707 |
| &nbsp;&nbsp;750000 | GFL Environmental, Inc. (USD) (b)<br>| 3.75% | 08/01/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;711517 |
| &nbsp;&nbsp;800000 | GFL Environmental, Inc. (USD) (b)<br>| 5.13% | 12/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;762752 |
| 2272000 | GFL Environmental, Inc. (USD) (a) (b)<br>| 4.00% | 08/01/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1971346 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br> Value<br> (Local<br> Currency)** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value<br> (US Dollars)** |
| **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** | **FOREIGN CORPORATE BONDS AND NOTES (Continued)** |
|  | **Services (Continued)** |  |  |  |
| &nbsp;&nbsp;655000 | GFL Environmental, Inc. (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;4.75% | 06/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$572364 |
| 4125000 | Ritchie Bros. Auctioneers, Inc. (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.38% | 01/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4068982 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13249677 |
|  | **Technology & Electronics – 0.7%** |  |  |  |
| &nbsp;&nbsp;225000 | Broadcom Corp./Broadcom Cayman Finance Ltd. (USD)<br>| &nbsp;&nbsp;&nbsp;3.50% | 01/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197809 |
| 1760000 | Open Text Corp. (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;3.88% | 12/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1405439 |
| &nbsp;&nbsp;570000 | Seagate HDD Cayman (USD)<br>| &nbsp;&nbsp;&nbsp;4.13% | 01/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432120 |
| &nbsp;&nbsp;725000 | Sensata Technologies BV (USD) (b)<br>| &nbsp;&nbsp;&nbsp;4.00% | 04/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;611759 |
| &nbsp;&nbsp;244000 | Sensata Technologies BV (USD) (b)<br>| &nbsp;&nbsp;&nbsp;5.88% | 09/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232162 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2879289 |
|  | **Telecommunications – 2.3%** |  |  |  |
| 1635000 | Altice France S.A./France (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.13% | 07/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1234425 |
| &nbsp;&nbsp;600000 | DKT Finance ApS (EUR) (i)<br>| &nbsp;&nbsp;&nbsp;7.00% | 06/17/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578087 |
| 1116000 | DKT Finance ApS (USD) (b)<br>| &nbsp;&nbsp;&nbsp;9.38% | 06/17/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1078335 |
| 1350000 | Iliad Holding SAS (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;6.50% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1252382 |
| 1340000 | Telecom Italia Capital S.A. (USD)<br>| &nbsp;&nbsp;&nbsp;7.72% | 06/04/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1068563 |
| 1300000 | Total Play Telecomunicaciones SA de CV (USD) (b)<br>| &nbsp;&nbsp;&nbsp;6.38% | 09/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;894284 |
| 1000000 | Vmed O2 UK Financing I PLC (GBP) (b)<br>| &nbsp;&nbsp;&nbsp;4.50% | 07/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;895013 |
| &nbsp;&nbsp;870000 | VZ Secured Financing BV (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.00% | 01/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;699571 |
| 2700000 | Ziggo Bond Co. BV (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.13% | 02/28/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2143381 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9844041 |
|  | **Transportation – 1.2%** |  |  |  |
| &nbsp;&nbsp;850000 | Air Canada (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;3.88% | 08/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;753351 |
| 2595000 | Air Canada 2020-1 Class C Pass Through Trust (USD) (b)<br>| 10.50% | 07/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2664271 |
| 1645000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd. (USD) (a) (b)<br>| &nbsp;&nbsp;&nbsp;5.50% | 04/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1572410 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4990032 |
|  | **Total Foreign Corporate Bonds and Notes<br>** | **Total Foreign Corporate Bonds and Notes<br>** | **Total Foreign Corporate Bonds and Notes<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85607800 |
|  | (Cost $98,794,498) |  |  |  |
| **Par<br> Amount<br> (Local Currency)** | **Description** | **Stated<br> Rate** | **Stated<br> Maturity** | **Value<br> (US Dollars)** |
| **CAPITAL PREFERRED SECURITIES – 8.9%** | **CAPITAL PREFERRED SECURITIES – 8.9%** | **CAPITAL PREFERRED SECURITIES – 8.9%** | **CAPITAL PREFERRED SECURITIES – 8.9%** | **CAPITAL PREFERRED SECURITIES – 8.9%** |
|  | **Automotive – 1.2%** |  |  |  |
| 5935000 | General Motors Financial Co., Inc., Series A (USD) (h)<br>| &nbsp;&nbsp;&nbsp;5.75% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4880944 |
|  | **Banking – 3.0%** |  |  |  |
| 2940000 | Bank of America Corp., Series DD (USD) (h)<br>| &nbsp;&nbsp;&nbsp;6.30% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2881376 |
| 3000000 | Barclays Bank PLC, 3 Mo. EUR LIBOR + 0.71% (EUR) (i) (k)<br>| &nbsp;&nbsp;&nbsp;1.71% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2307169 |
| 4475000 | Citigroup, Inc., Series M (USD) (h)<br>| &nbsp;&nbsp;&nbsp;6.30% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4189719 |
| 3935000 | Citigroup, Inc., Series V (USD) (a) (h)<br>| &nbsp;&nbsp;&nbsp;4.70% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3167675 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12545939 |
|  | **Financial Services – 1.2%** |  |  |  |
| 3175000 | American AgCredit Corp., Series QIB (USD) (a) (b) (h)<br>| &nbsp;&nbsp;&nbsp;5.25% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2917031 |
| 3210000 | Textron Financial Corp., 3 Mo. LIBOR + 1.74% (USD) (a) (b) (k)<br>| &nbsp;&nbsp;&nbsp;4.64% | 02/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2217157 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5134188 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Par<br> Amount<br> (Local Currency)** | **Description** | **Stated<br> Rate** | **Stated<br> Maturity** | **Value<br> (US Dollars)** |
| **CAPITAL PREFERRED SECURITIES (Continued)** | **CAPITAL PREFERRED SECURITIES (Continued)** | **CAPITAL PREFERRED SECURITIES (Continued)** | **CAPITAL PREFERRED SECURITIES (Continued)** | **CAPITAL PREFERRED SECURITIES (Continued)** |
|  | **Insurance – 1.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5400000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (USD) (a) (b) (k)<br>| &nbsp;&nbsp;&nbsp;5.03% | 02/12/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4481944 |
| &nbsp;&nbsp;&nbsp;&nbsp;3500000 | Lincoln National Corp., 3 Mo. LIBOR + 2.36% (USD) (a) (k)<br>| &nbsp;&nbsp;&nbsp;5.30% | 05/17/66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2721394 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7203338 |
|  | **Utility – 1.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1695000 | Edison International, Series B (USD) (a) (h)<br>| &nbsp;&nbsp;&nbsp;5.00% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1360237 |
| &nbsp;&nbsp;&nbsp;&nbsp;6595000 | Vistra Corp. (USD) (a) (b) (h)<br>| &nbsp;&nbsp;&nbsp;8.00% | (j) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6281276 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7641513 |
|  | **Total Capital Preferred Securities<br>** | **Total Capital Preferred Securities<br>** | **Total Capital Preferred Securities<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37405922 |
|  | (Cost $43,243,866) |  |  |  |
| **Principal<br> Value** | **Description** | **Rate (l)** | **Stated<br> Maturity (m)** | **Value** |
| **SENIOR FLOATING-RATE LOAN INTERESTS – 2.3%** | **SENIOR FLOATING-RATE LOAN INTERESTS – 2.3%** | **SENIOR FLOATING-RATE LOAN INTERESTS – 2.3%** | **SENIOR FLOATING-RATE LOAN INTERESTS – 2.3%** | **SENIOR FLOATING-RATE LOAN INTERESTS – 2.3%** |
|  | **Capital Goods – 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;$2775000 | ADS Tactical, Inc., Initial Term Loan, 1 Mo. LIBOR + 5.75%, 1.00% Floor<br>| &nbsp;&nbsp;&nbsp;9.32% | 03/19/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2497500 |
|  | **Insurance – 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;972675 | HUB International Ltd., Term Loan B3, 3 Mo. LIBOR + 3.25%, 0.75% Floor<br>| &nbsp;&nbsp;&nbsp;7.53% | 04/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;954214 |
|  | **Retail – 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1076821 | Michaels Cos (The), Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 0.75% Floor<br>| &nbsp;&nbsp;&nbsp;7.92% | 04/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825793 |
|  | **Services – 1.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5800000 | TruGreen L.P., Initial Term Loan (Second Lien), 1 Mo. LIBOR + 8.50%, 0.75% Floor<br>| 12.92% | 11/02/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4872000 |
|  | **Technology & Electronics – 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600000 | Dcert Buyer, Inc., First Amendment Refinancing Loan (Second Lien), 1 Mo. LIBOR + 7.00%, 0.00% Floor<br>| &nbsp;&nbsp;&nbsp;9.90% | 02/16/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;557400 |
|  | **Total Senior Floating-Rate Loan Interests<br>** | **Total Senior Floating-Rate Loan Interests<br>** | **Total Senior Floating-Rate Loan Interests<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9706907 |
|  | (Cost $11,007,162) |  |  |  |
| **Principal<br> Value** | **Description** | **Stated<br> Coupon** | **Stated<br> Maturity** | **Value** |
| **MORTGAGE-BACKED SECURITIES – 0.5%** | **MORTGAGE-BACKED SECURITIES – 0.5%** | **MORTGAGE-BACKED SECURITIES – 0.5%** | **MORTGAGE-BACKED SECURITIES – 0.5%** | **MORTGAGE-BACKED SECURITIES – 0.5%** |
|  | **Collateralized Mortgage Obligations – 0.0%** |  |  |  |
|  | Washington Mutual Alternative Mortgage Pass-Through<br> Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11129 | &nbsp;&nbsp;&nbsp;Series 2007-5, Class A11, 1 Mo. LIBOR x -6 + 39.48% (n)<br>| 17.97% | 06/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12973 |
|  | **Commercial Mortgage-Backed Securities – 0.5%** |  |  |  |
|  | Securitized Asset Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6461463 | &nbsp;&nbsp;&nbsp;Series 2006-FR4, Class A2A, 1 Mo. LIBOR + 0.16% (k)<br>| &nbsp;&nbsp;&nbsp;3.75% | 08/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2098007 |
|  | **Total Mortgage-Backed Securities<br>** | **Total Mortgage-Backed Securities<br>** | **Total Mortgage-Backed Securities<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2110980 |
|  | (Cost $5,030,157) |  |  |  |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value** |
| **COMMON STOCKS – 0.1%** | **COMMON STOCKS – 0.1%** | **COMMON STOCKS – 0.1%** |
|  | **Energy – 0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | Thunderbird Resources Equity, Inc. (f) (g) (o) (p)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$66253 |
|  | **Utility – 0.1%** |  |
| 13918 | Vistra Corp.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;319697 |
|  | **Total Common Stocks<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;385950 |
|  | (Cost $960,424) |  |
| **RIGHTS – 0.0%** | **RIGHTS – 0.0%** | **RIGHTS – 0.0%** |
|  | **Utility – 0.0%** |  |
| 13918 | Vistra Corp., no expiration date (o) (p)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16702 |
|  | (Cost $22,917) |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total Investments – 124.6%<br>** | **Total Investments – 124.6%<br>** | **Total Investments – 124.6%<br>** | |
| <br>**Principal<br> Value** | (Cost $594,042,302)<br>**Description** | <br>**Stated<br> Coupon** | <br>**Stated<br> Maturity** | 525651747<br>**Value** |
| **U.S. GOVERNMENT BONDS SOLD SHORT – (12.4)%** | **U.S. GOVERNMENT BONDS SOLD SHORT – (12.4)%** | **U.S. GOVERNMENT BONDS SOLD SHORT – (12.4)%** | **U.S. GOVERNMENT BONDS SOLD SHORT – (12.4)%** | **U.S. GOVERNMENT BONDS SOLD SHORT – (12.4)%** |
| $(30000000) | United States Treasury Note<br>| 1.38% | 09/30/23 | &nbsp;&nbsp;&nbsp;&nbsp;(29146888) |
| &nbsp;&nbsp;(24000000) | United States Treasury Note<br>| 2.88% | 05/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;(23060625) |
|  | **Total U.S. Government Bonds Sold Short<br>** | **Total U.S. Government Bonds Sold Short<br>** | **Total U.S. Government Bonds Sold Short<br>** | &nbsp;&nbsp;&nbsp;&nbsp;(52207513) |
|  | (Proceeds $52,553,860) |  |  |  |
| **CORPORATE BONDS SOLD SHORT – (1.0)%** | **CORPORATE BONDS SOLD SHORT – (1.0)%** | **CORPORATE BONDS SOLD SHORT – (1.0)%** | **CORPORATE BONDS SOLD SHORT – (1.0)%** | **CORPORATE BONDS SOLD SHORT – (1.0)%** |
|  | **Energy – (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;(1600000) | Halliburton Co.<br>| 2.92% | 03/01/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1345883) |
|  | **Technology & Electronics – (0.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;(2930000) | Amkor Technology, Inc. (b)<br>| 6.63% | 09/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2896774) |
|  | **Total Corporate Bonds Sold Short<br>** | **Total Corporate Bonds Sold Short<br>** | **Total Corporate Bonds Sold Short<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4242657) |
|  | (Proceeds $4,479,457) |  |  |  |
|  | **Total Investments Sold Short – (13.4)%<br>** | **Total Investments Sold Short – (13.4)%<br>** | **Total Investments Sold Short – (13.4)%<br>** | &nbsp;&nbsp;&nbsp;&nbsp;(56450170) |
|  | (Proceeds $57,033,317) |  |  |  |

---

---

| | |
|:---|:---|
| **Outstanding Loan – (33.8)%<br>**  | &nbsp;&nbsp;&nbsp;(142732693) |
| **Net Other Assets and Liabilities – 22.6%<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95504555 |
| **Net Assets – 100.0%<br>**  | &nbsp;&nbsp;$421973439 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| **Settlement<br> Date** | **Counterparty** | **Amount<br> Purchased** | **Amount<br> Purchased** | **Amount<br> Sold** | **Amount<br> Sold** | **Purchase<br> Value as of<br> 10/31/2022** | **Sale<br> Value as of<br> 10/31/2022** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| 02/06/23 | JPM | USD | 3037323 | EUR | 2988000 | $3037323 | $2976703 | $60620 |
| 02/06/23 | JPM | USD | &nbsp;&nbsp;&nbsp;&nbsp;896802 | GBP | &nbsp;&nbsp;&nbsp;&nbsp;769000 | &nbsp;&nbsp;&nbsp; 896802 | &nbsp;&nbsp;&nbsp; 884747 | &nbsp;&nbsp;&nbsp; 12055 |
| Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | Net Unrealized Appreciation / (Depreciation) | &nbsp;&nbsp;$72675 |

---

Counterparty Abbreviations <br> JPM JPMorgan Chase

See Note 2D – Forward Foreign Currency Contracts in the Notes to Financial Statements.

(a) This security or a portion of this security is segregated as collateral for investments sold short and borrowings in the margin account (see Note 2F - Short Sales
in the Notes to Financial Statements) .

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022
(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, as amended (the
"1933 Act"), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund 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 October 31, 2022, securities noted as such amounted to $349,824,146 of total investments and
$(2,896,774) of total investments sold short, or 82.9% and (0.7)% of net assets, respectively.

(c) These notes are Senior Payment-in-kind ("PIK") Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely
in PIK interest. Interest paid in cash will accrue on the notes at a rate of 8.25% per annum ("Cash Interest Rate") and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest
Rate plus 75 basis points. For the fiscal year ended October 31, 2022, this security paid all of its interest in cash.

(d) Multi-Step Coupon Bond - Coupon steps up or down based upon ratings changes. The interest rate shown reflects the rate in effect at October 31, 2022.

(e) Multi-Step Coupon Bond - Coupon steps up or down at a predetermined date. The interest rate shown reflects the rate in effect at October 31, 2022.

(f) This security is fair valued by the Advisor's Pricing Committee in accordance with procedures approved by the Fund's Board of Trustees, and in accordance with the
provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $106,019 or 0.0% of net assets.

(g) This security's value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).

(h) Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2022. At a predetermined date, the fixed rate will
change to a floating rate or a variable rate.

(i) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act.

(j) Perpetual maturity.

(k) Floating or variable rate security.

(l) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending
rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury's
Office of Financial Research, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a
minimum LIBOR or SOFR rate.

(m) 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.

(n) Inverse floating rate security.

(o) Pursuant to procedures adopted by the Fund's Board of Trustees, this security has been determined to be illiquid by the Sub-Advisor.

(p) Non-income producing security.

---

| | |
|:---|:---|
| EUR | &nbsp;&nbsp;Euro |
| GBP | &nbsp;&nbsp;British Pound Sterling |
| LIBOR | &nbsp;&nbsp;London Interbank Offered Rate |
| SOFR | &nbsp;&nbsp;Secured Overnight Financing Rate |
| USD | &nbsp;&nbsp;United States Dollar |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Portfolio of Investments (Continued)

#### October 31, 2022

------

#### Valuation Inputs
A summary of the inputs used to value the Fund's investments as of October 31, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** | **ASSETS TABLE** |
|  | **Total<br> Value at<br> 10/31/2022** | **Level 1<br> Quoted<br> Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** |
| Corporate Bonds and Notes: |  |  |  |  |
| &nbsp;&nbsp;Transportation<br>| &nbsp;&nbsp;&nbsp;&nbsp;$7968371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$7928605 | $39766 |
| &nbsp;&nbsp;Other Industry Categories\*<br>| &nbsp;&nbsp;&nbsp;382449115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp; 382449115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Foreign Corporate Bonds and Notes\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;85607800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp; 85607800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Capital Preferred Securities\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;37405922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp; 37405922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Senior Floating-Rate Loan Interests\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9706907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9706907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Mortgage-Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2110980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2110980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Common Stocks: |  |  |  |  |
| &nbsp;&nbsp;Energy<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 66253 |
| &nbsp;&nbsp;Utility<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;319697 | &nbsp;&nbsp;&nbsp;&nbsp;319697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Rights\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments<br>| &nbsp;&nbsp;&nbsp;525651747 | &nbsp;&nbsp;&nbsp;&nbsp;319697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525226031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106019 |
| Forward Foreign Currency Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Total<br>| $525724422 | &nbsp;&nbsp;$319697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$525298706 | &nbsp;&nbsp;$106019 |
| **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** | **LIABILITIES TABLE** |
|  | **Total<br> Value at<br> 10/31/2022** | **Level 1<br> Quoted<br> Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** |
| U.S. Government Bonds Sold Short<br>| $(52207513) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(52207513) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— |
| Corporate Bonds Sold Short\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;(4242657) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp; (4242657) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Investments<br>| $(56450170) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(56450170) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— |

---

\* See Portfolio of Investments for industry breakout.

Level 3 Investments that are fair valued by the Advisor's Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable and non-quantitative inputs.

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Statement of Assets and Liabilities

#### October 31, 2022

---

| | |
|:---|:---|
| **ASSETS:** |  |
| Investments, at value<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $594,042,302)<br>| $525651747 |
| Cash<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86508425 |
| Foreign currency (Cost $59,482)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56405 |
| Unrealized appreciation on forward foreign currency contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72675 |
| Due from broker<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104785 |
| Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8570151 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investment securities sold<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6204207 |
| &nbsp;&nbsp;&nbsp;&nbsp;Margin interest rebate<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49371 |
| Prepaid expenses<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14724 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Assets<br>| &nbsp;&nbsp;&nbsp;&nbsp;627232490 |
| **LIABILITIES:** |  |
| Borrowings<br>| &nbsp;&nbsp;&nbsp;&nbsp;142732693 |
| Investments sold short, at value (proceeds $57,033,317)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56450170 |
| Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investment securities purchased<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4957961 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest expense on investments sold short<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360638 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investment advisory fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352419 |
| &nbsp;&nbsp;&nbsp;&nbsp;Margin interest expense<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253602 |
| &nbsp;&nbsp;&nbsp;&nbsp;Audit and tax fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76656 |
| &nbsp;&nbsp;&nbsp;&nbsp;Administrative fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34356 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder reporting fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32806 |
| &nbsp;&nbsp;&nbsp;&nbsp;Transfer agent fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3112 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustees' fees and expenses<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1552 |
| &nbsp;&nbsp;&nbsp;&nbsp;Custodian fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1386 |
| &nbsp;&nbsp;&nbsp;&nbsp;Financial reporting fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Legal fees<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369 |
| Other liabilities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities<br>| &nbsp;&nbsp;&nbsp;&nbsp;205259051 |
| **NET ASSETS<br>**  | &nbsp;&nbsp;$421973439 |
| **NET ASSETS consist of:** |  |
| Paid-in capital<br>| $606540425 |
| Par value<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;334191 |
| Accumulated distributable earnings (loss)<br>| &nbsp;&nbsp;&nbsp;(184901177) |
| **NET ASSETS<br>**  | &nbsp;&nbsp;$421973439 |
| **NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12.63 |
| Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33419132 |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Statement of Operations

#### For the Year Ended October 31, 2022

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** |  |
| Interest | &nbsp;&nbsp;$35580302 |
| Margin interest rebate  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430781 |
| Other | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4243 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36015326 |
| **EXPENSES:** |  |
| Investment advisory fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4769434 |
| Margin interest expense | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3745217 |
| Interest expense on investments sold short | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1410700 |
| Administrative fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277508 |
| Shareholder reporting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120015 |
| Audit and tax fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68157 |
| Listing expense | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40599 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29238 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23197 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20914 |
| Trustees' fees and expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18924 |
| Financial reporting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9250 |
| Other | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34299 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10567452 |
| **NET INVESTMENT INCOME (LOSS)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25447874 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS):** |  |
| Net realized gain (loss) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(16938026) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward foreign currency contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;781491 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency transactions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11957) |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments sold short | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60235 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;(16108257) |
| Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(92280990) |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward foreign currency contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24869 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency translation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1515) |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments sold short | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4562752 |
| Net change in unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;(87694884) |
| **NET REALIZED AND UNREALIZED GAIN (LOSS)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;(103803141) |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS<br>** | &nbsp;&nbsp;$(78355267) |

---

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Statements of Changes in Net Assets

---

| | | |
|:---|:---|:---|
|  | **Year<br> Ended<br> 10/31/2022** | &nbsp;&nbsp;**Year<br> Ended<br> 10/31/2021** |
| **OPERATIONS:** |  |  |
| Net investment income (loss)<br>| &nbsp;&nbsp;&nbsp;$25447874 | &nbsp;&nbsp;$31554701 |
| Net realized gain (loss)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (16108257) | &nbsp;&nbsp;&nbsp;&nbsp; 14683510 |
| Net change in unrealized appreciation (depreciation)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (87694884) | &nbsp;&nbsp;&nbsp;&nbsp; 16718724 |
| Net increase (decrease) in net assets resulting from operations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(78355267) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62956935 |
| **DISTRIBUTIONS TO SHAREHOLDERS FROM:** |  |  |
| Investment operations<br>| &nbsp;&nbsp;&nbsp;&nbsp; (26519418) | &nbsp;&nbsp;&nbsp;&nbsp; (31788503) |
| Return of capital<br>| &nbsp;&nbsp;&nbsp;&nbsp; (15651193) | &nbsp;&nbsp;&nbsp;&nbsp; (12431797) |
| Total distributions to shareholders<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(42170611) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44220300) |
| **CAPITAL TRANSACTIONS:** |  |  |
| Repurchase of Common Shares\*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (549030) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2503784) |
| Net increase (decrease) in net assets resulting from capital transactions<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(549030) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2503784) |
| Total increase (decrease) in net assets<br>| &nbsp;&nbsp;&nbsp; (121074908) | &nbsp;&nbsp;&nbsp;&nbsp; 16232851 |
| **NET ASSETS:** |  |  |
| Beginning of period<br>| &nbsp;&nbsp;&nbsp;&nbsp; 543048347 | &nbsp;&nbsp;&nbsp;&nbsp; 526815496 |
| End of period<br>| $421973439 | $543048347 |
| **CAPITAL TRANSACTIONS were as follows:** |  |  |
| Common Shares at beginning of period<br>| &nbsp;&nbsp;&nbsp;&nbsp; 33470143 | &nbsp;&nbsp;&nbsp;&nbsp; 33642356 |
| Common Shares repurchased \*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (51011) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (172213) |
| Common Shares at end of period<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33419132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33470143 |

---

\* On September 15, 2015, the Fund commenced a share repurchase program. The program originally expired on March 15, 2016, but the Board of Trustees of the Fund has subsequently authorized the continuation of the Fund's share repurchase program until March 15, 2023. For the year ended October 31, 2022, the Fund repurchased 51,011 of its shares at a weighted-average discount of 12.68% from net asset value per share. For the year ended October 31, 2021, the fund repurchased 172,213 of its shares at a weighted-average discount of 11.27% from net asset value per share. The Fund expects to continue to repurchase its outstanding shares until the earlier of (i) the repurchase of an additional 1,622,496 common shares (for an aggregate of 1,673,507), or (ii) March 15, 2023.

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Statement of Cash Flows

#### For the Year Ended October 31, 2022

---

| | | |
|:---|:---|:---|
| **Cash flows from operating activities:** |  |  |
| Net increase (decrease) in net assets resulting from operations<br>| &nbsp;&nbsp;$(78355267) |  |
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases of investments<br>| &nbsp;&nbsp;&nbsp;(212516654) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sales, maturities and paydown of investments<br>| &nbsp;&nbsp;&nbsp;&nbsp;275521607 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Borrowed investments purchased<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2966740) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net amortization/accretion of premiums/discounts on investments<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;691221 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain/loss on investments <br>| &nbsp;&nbsp;&nbsp;&nbsp;16938026 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain/loss on investments sold short<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(60235) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments <br>| &nbsp;&nbsp;&nbsp;&nbsp;92280990 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on forward foreign currency contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(24869) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments sold short<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4562752) |  |
| **Changes in assets and liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in interest receivable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1203591 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in margin interest rebate receivable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(49371) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in due from broker<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(26470) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in prepaid expenses<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1906) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in interest payable on investments sold short<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(68658) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in investment advisory fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(109119) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in audit and tax fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7625 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in legal fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17636) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in shareholder reporting fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3484 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in administrative fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2613) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in custodian fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(18318) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in transfer agent fees payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1264) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in trustees' fees and expenses payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase in margin interest expense payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;186134 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Decrease in other liabilities payable<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(581) |  |
| **Cash provided by operating activities<br>**  |  | &nbsp;&nbsp;$88050490 |
| **Cash flows from financing activities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Repurchase of Common Shares<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(549030) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions to Common Shareholders from investment operations<br>| &nbsp;&nbsp;&nbsp;&nbsp;(26519418) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions to Common Shareholders from return of capital<br>| &nbsp;&nbsp;&nbsp;&nbsp;(15651193) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from borrowing<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;671726 |  |
| **Cash used in financing activities<br>**  |  | &nbsp;&nbsp;&nbsp;&nbsp;(42047915) |
| Increase in cash and foreign currency (a)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;46002575 |
| Cash and foreign currency at beginning of period<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;40562255 |
| **Cash and foreign currency at end of period<br>**  |  | &nbsp;&nbsp;$86564830 |
| **Supplemental disclosure of cash flow information:** |  |  |
| Cash paid during the period for interest and fees <br>|  | &nbsp;&nbsp;&nbsp;$5038441 |

---

(a) Includes net change in unrealized appreciation (depreciation) on foreign currency of $(1,515).

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### First Trust High Income Long/Short Fund (FSD)<br>

#### Financial Highlights

#### For a Common Share outstanding throughout each period

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Year Ended October 31,** | **Year Ended October 31,** | **Year Ended October 31,** | **Year Ended October 31,** | **Year Ended October 31,** |
| | **2022** | &nbsp;&nbsp;&nbsp;&nbsp;**2021** | &nbsp;&nbsp;&nbsp;&nbsp;**2020** | &nbsp;&nbsp;&nbsp;&nbsp;**2019** | &nbsp;&nbsp;&nbsp;&nbsp;**2018** |
| Net asset value, beginning of period<br>| &nbsp;&nbsp;&nbsp;$16.22 | &nbsp;&nbsp;&nbsp;&nbsp;$15.66 | &nbsp;&nbsp;&nbsp;&nbsp;$16.94 | &nbsp;&nbsp;&nbsp;&nbsp;$16.57 | &nbsp;&nbsp;&nbsp;&nbsp;$18.23 |
| **Income from investment operations:** |  |  |  |  |  |
| Net investment income (loss)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.96 |
| Net realized and unrealized gain (loss)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3.09) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.92) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.32) |
| Total from investment operations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2.33) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.36) |
| **Distributions paid to shareholders from:** |  |  |  |  |  |
| Net investment income<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.79) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.95) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.92) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.92) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.98) |
| Return of capital<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.47) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.37) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.40) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.36) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.37) |
| Total distributions paid to Common Shareholders<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.26) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.32) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.32) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.28) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1.35) |
| Common Share repurchases<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.01 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.04 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.04 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.05 |
| Net asset value, end of period<br>| &nbsp;&nbsp;&nbsp;&nbsp;$12.63 | &nbsp;&nbsp;&nbsp;&nbsp;$16.22 | &nbsp;&nbsp;&nbsp;&nbsp;$15.66 | &nbsp;&nbsp;&nbsp;&nbsp;$16.94 | &nbsp;&nbsp;&nbsp;&nbsp;$16.57 |
| Market value, end of period<br>| &nbsp;&nbsp;&nbsp;&nbsp;$11.06 | &nbsp;&nbsp;&nbsp;&nbsp;$16.05 | &nbsp;&nbsp;&nbsp;&nbsp;$13.49 | &nbsp;&nbsp;&nbsp;&nbsp;$15.49 | &nbsp;&nbsp;&nbsp;&nbsp;$13.91 |
| **Total return based on net asset value (b)<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(14.11)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.88% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.53% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.58% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(0.82)% |
| **Total return based on market value (b)<br>**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23.99)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29.67% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4.35)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21.54% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10.24)% |
| **Ratios to average net assets/supplemental data:** |  |  |  |  |  |
| Net assets, end of period (in 000's)<br>| $421973 | &nbsp;&nbsp;&nbsp;&nbsp;$543048 | &nbsp;&nbsp;&nbsp;&nbsp;$526815 | &nbsp;&nbsp;&nbsp;&nbsp;$582502 | &nbsp;&nbsp;&nbsp;&nbsp;$578360 |
| Ratio of total expenses to average net assets<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.22% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.84% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.13% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.53% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20% |
| Ratio of total expenses to average net assets excluding interest expense<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.13% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.19% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.22% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.16% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.13% |
| Ratio of net investment income (loss) to average net assets<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.34% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.74% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.55% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.48% |
| Portfolio turnover rate<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29% |

---

(a) Amount is less than $0.01.

(b) Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend
Reinvestment Plan, and changes in net asset value per share for net asset value returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for
periods of less than one year. Past performance is not indicative of future results.

See Notes to Financial Statements

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
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").

The Fund's primary investment objective is to provide current income. The Fund's secondary objective is capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, a majority of its assets in a diversified portfolio of U.S. and foreign (including emerging markets) high-yield corporate fixed-income securities of varying maturities that are rated below-investment grade at the time of purchase. For purposes of this strategy, "corporate fixed-income securities" include corporate bonds, debentures, notes, commercial paper and other similar types of corporate debt instruments, including instruments issued by corporations with direct or indirect government ownership, as well as asset-backed securities, preferred shares, senior floating-rate loan participations, commitments and assignments ("Senior Loans")<sup>(1)</sup>, payment-in-kind securities, zero-coupon bonds, bank certificates of deposit, fixed time deposits, bankers' acceptances and derivative instruments that provide the same or similar economic impact as a physical investment in the above securities. Below-investment grade fixed-income securities are commonly referred to as "high-yield" or "junk" bonds and are considered speculative with respect to the issuer's capacity to pay interest and repay principal. As part of its investment strategy, the Fund intends to maintain both long and short positions in securities under normal market conditions. The Fund will take long positions in securities that MacKay Shields LLC ("MacKay" or the "Sub-Advisor") believes offer the potential for attractive returns and that it considers in the aggregate to have the potential to outperform the Fund's benchmark, the ICE BofA US High Yield Constrained Index (the "Index"). The Fund will take short positions in securities that the Sub-Advisor believes in the aggregate will underperform the Index. The Fund's long positions, either directly or through derivatives, may total up to 130% of the Fund's Managed Assets. The Fund's short positions, either directly or through derivatives, may total up to 30% of the Fund's Managed Assets. "Managed Assets" means the average daily gross asset value of the Fund (which includes the principal amount of any borrowings), minus the sum of the Fund's liabilities. There can be no assurance that the Fund will achieve its investment objectives. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation

The 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 readily available market quotations such as 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 approved by the Fund's Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. 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 fair valued on the basis of valuations provided by a third-party pricing service approved by the Advisor's Pricing Committee, which may use the following valuation inputs when available:

1) benchmark yields;

------

<sup>(1)</sup> The terms "security" and "securities" used throughout the Notes to Financial Statements include Senior Loans.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
2) reported trades;

3) broker/dealer quotes;

4) issuer spreads;

5) benchmark securities;

6) bids and offers; and

7) reference data including market research publications.

Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq 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 primary exchange for such securities.

Securities traded in an over-the-counter market are valued at the mean of their most recent bid and asked price, if available, and otherwise at their last trade price.

The Senior Loans 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.

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 a third-party pricing service.

Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor's Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:

1) the credit conditions in the relevant market and changes thereto;

2) the liquidity conditions in the relevant market and changes thereto;

3) the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);

4) issuer-specific conditions (such as significant credit deterioration); and

5) any other market-based data the Advisor's Pricing Committee considers relevant. In this regard, the Advisor's Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the 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 (the "1933 Act")) 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 most recent price provided by a pricing service; <br> 2) the fundamental business data relating to the borrower/issuer;

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
3) an evaluation of the forces which influence the market in which these securities are purchased and sold;

4) the type, size and cost of the security;

5) the financial statements of the borrower/issuer, or the financial condition of the country of issue;

6) the credit quality and cash flow of the borrower/issuer, or country of issue, based on the Pricing Committee's, sub-advisor's or portfolio manager's analysis, as applicable, or external analysis;

7) the information as to any transactions in or offers for the security;

8) the price and extent of public trading in similar securities (or equity securities) of the borrower/issuer, or comparable companies;

9) the coupon payments;

10) the quality, value and salability of collateral, if any, securing the security;

11) 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;

12) 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;

13) the borrower's/issuer's competitive position within the industry;

14) the borrower's/issuer's ability to access additional liquidity through public and/or private markets; and

15) 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:

• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.

• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or
price quotations vary substantially either over time or among market makers, or in which little information is released publicly.

o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss
severities, credit risks, and default rates).

o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing
the investment.

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 October 31, 2022, is included with the Fund's Portfolio of Investments.

In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund's investment adviser to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 was September 8, 2022.

Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Fund's Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Fund.

B. Securities Transactions and Investment Income

Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method.

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates the London Interbank Offered Rates ("LIBOR"), announced on March 5, 2021 that it intended to phase-out all LIBOR reference rates, beginning December 31, 2021. Since that announcement, the FCA has ceased publication of all non-USD LIBOR reference rates and the 1-week and 2-month USD LIBOR reference rates as of December 31, 2021. The remaining USD LIBOR settings will cease to be published or no longer be representative immediately after June 30, 2023. The International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that the FCA's March 5, 2021 announcement of its intention to cease providing LIBOR reference rates, constituted an index cessation event under the Interbank Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to be used in ISDA fallbacks was fixed as of the date of the announcement.

In the United States, the Alternative Reference Rates Committee (the "ARRC"), a group of market participants convened by the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York in cooperation with other federal and state government agencies, has since 2014 undertaken efforts to identify U.S. dollar reference interest rates as alternatives to LIBOR and to facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC identified the Secured Overnight Financing Rate ("SOFR"), a broad measure of the cost of cash overnight borrowing collateralized by U.S. Treasury securities, as the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New York began daily publishing of SOFR in April 2018. There is no assurance that any alternative reference rate, including SOFR, will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity.

At this time, it is not possible to predict the full impact of the elimination of LIBOR and the establishment of an alternative reference rate on the Fund or its investments.

Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At October 31, 2022, the Fund had no when-issued, delayed-delivery or forward purchase commitments.

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 had no unfunded loan commitments as of October 31, 2022.

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 in "Unrealized appreciation on forward foreign currency contracts" and "Unrealized depreciation on forward foreign currency contracts" on the Statement of Assets and Liabilities. The change in unrealized appreciation (depreciation) is included in "Net change in unrealized appreciation (depreciation) on forward foreign currency contracts" on the Statement of Operations. When the forward contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or the cost of) the closing transaction and the Fund's basis in the contract. This realized gain or loss is included in "Net realized gain (loss) on forward foreign currency contracts" on the Statement of Operations. Risks arise from the possible inability of Counterparties to meet the terms of their contracts and from movement in currency, 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. 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. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in "Net change in unrealized appreciation (depreciation) on foreign currency translation" on the Statement of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in

------

[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
market price and are shown in "Net change in unrealized appreciation (depreciation) on investments" on the Statement of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are shown in "Net realized gain (loss) on foreign currency transactions" on the Statement of Operations. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in "Net realized gain (loss) on investments" on the Statement of Operations.

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 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 affected 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 for the purpose of purchasing or borrowing securities on margin. At October 31, 2022, the Fund had $142,732,693 in borrowings, which approximates fair value, as shown in "Borrowings" on the Statement of Assets and Liabilities. The borrowings are categorized as Level 2 within the fair value hierarchy. At October 31, 2022, the Fund had $56,450,170 of investments sold short as shown in "Investments sold short, at value" on the Statement of Assets and Liabilities. The Fund is charged interest on debit margin balances at a rate equal to the Overnight Bank Funding Rate plus 75 basis points. With regard to securities held short, the Fund is credited a rebate equal to the market value of its short positions at a rate equal to the Overnight Bank Funding Rate less 35 basis points. This rebate rate applies to easy to borrow securities. Securities that are hard to borrow may earn a rebate that is less than the foregoing or may be subject to a premium charge on a security by security basis. The different rebate rate is determined at the time of a short sale request. At October 31, 2022, the Fund had a debit margin balance of $199,203,365 with an interest rate of 3.82%. For the fiscal year ended October 31, 2022, the Fund had margin interest rebate of $430,781 and margin interest expense of $3,745,217, as shown on the Statement of Operations. For the fiscal year ended October 31, 2022, the average margin balance and interest rate were $202,170,414 and 1.78%, respectively.

G. Dividends and Distributions to Shareholders

Level dividend distributions are declared and paid monthly to Common Shareholders after the payment of interest and/or dividends in connection with leverage. The level dividend rate may be modified by the Board of Trustees from time to time. If, for any monthly distribution, net investment company taxable income, if any (which term includes net short-term capital gain), is less than the amount of the distribution, the difference will generally be a tax-free return of capital distributed from the Fund's assets. Distributions of any net long-term capital gains earned by the Fund are distributed at least annually. Distributions will automatically be reinvested into additional Common Shares pursuant to the Fund's Dividend Reinvestment Plan unless cash distributions are elected by the shareholder.

Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some point in the future. Permanent differences incurred during the fiscal year ended October 31, 2022, resulting in book and tax accounting differences, have been reclassified at year end to reflect an increase in accumulated net investment income (loss) of $766,849, a decrease in accumulated net realized gain (loss) of $692,044, and a decrease to paid-in capital of $74,805. Accumulated distributable earnings (loss) consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments, and unrealized appreciation (depreciation) on investments. Net assets were not affected by this reclassification.

The tax character of distributions paid by the Fund during the fiscal years ended October 31, 2022 and 2021, was as follows:

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022

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| | | |
|:---|:---|:---|
| Distributions paid from: | &nbsp;&nbsp;**2022** | &nbsp;&nbsp;&nbsp;**2021** |
| Ordinary income<br>| &nbsp;&nbsp;&nbsp;&nbsp;$26519418 | &nbsp;&nbsp;&nbsp;&nbsp;$31788503 |
| Capital gains<br>|  |  |
| Return of capital<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15651193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12431797 |

---

As of October 31, 2022, the components of distributable earnings and net assets on a tax basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— |
| Undistributed capital gains<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Total undistributed earnings<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Accumulated capital and other losses<br>| &nbsp;&nbsp;&nbsp;&nbsp;(105185660) |
| Net unrealized appreciation (depreciation)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(68183419) |
| Total accumulated earnings (losses)<br>| &nbsp;&nbsp;&nbsp;&nbsp;(173369079) |
| Other<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11532098) |
| Paid-in capital<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;606874616 |
| Total net assets<br>| &nbsp;&nbsp;&nbsp;$421973439 |

---

H. Income and Other Taxes

The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At October 31, 2022, the Fund had non-expiring capital loss carryforwards available for federal income tax purposes of $105,185,660.

Of these losses, $27,151,412 is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $2,219,032 per year.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended October 31, 2022, the Fund did not incur any net late year ordinary losses.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2019, 2020, 2021, and 2022 remain open to federal and state audit. As of October 31, 2022, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's financial statements for uncertain tax positions.

As of October 31, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:

---

| | | | |
|:---|:---|:---|:---|
| Tax Cost | &nbsp;&nbsp;Gross<br> Unrealized<br> Appreciation | &nbsp;&nbsp;Gross<br> Unrealized<br> (Depreciation) | &nbsp;&nbsp;Net Unrealized<br> Appreciation<br> (Depreciation) |
| $537454135 | &nbsp;&nbsp;$3094078 | &nbsp;&nbsp;$(71273961) | &nbsp;&nbsp;$(68179883) |

---

I. Expenses

The Fund will pay all expenses directly related to its operations.

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#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. For these services, First Trust is entitled to a monthly fee calculated at an annual rate of 1.00% of the Fund's Managed Assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.

MacKay serves as the Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's supervision. The Sub-Advisor receives a portfolio management fee at an annual rate of 0.50% of Managed Assets that is paid by First Trust from its investment advisory fee.

BNY Mellon Investment Servicing (US) Inc. ("BNYM IS") served as the Fund's transfer agent in accordance with certain fee arrangements until December 31, 2021. Effective December 31, 2021, Computershare, Inc. ("Computershare") commenced serving as the Fund's transfer agent. As transfer agent, Computershare is responsible for maintaining shareholder records for the Fund. The Bank of New York Mellon ("BNYM") serves as the Fund's administrator, fund accountant, and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BNYM is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund's books of account, records of the Fund's securities transactions, and certain other books and records. As custodian, BNYM is responsible for custody of the Fund's assets. BNYM IS and BNYM are subsidiaries of The Bank of New York Mellon Corporation, a financial holding company.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.

Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Fund for acting in such capacities.

4. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of investments, excluding short-term investments and investments sold short, for the year ended October 31, 2022, were $215,163,090 and $279,572,498, respectively. The cost of purchases to cover short sales and the proceeds of short sales were $2,966,740 and $0, respectively.

5. Derivative Transactions

The following table presents the types of derivatives held by the Fund at October 31, 2022, the primary underlying risk exposure and the location of these instruments as presented on the Statement of Assets and Liabilities.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;**Asset Derivatives** | &nbsp;&nbsp;**Asset Derivatives** | &nbsp;&nbsp;**Liability Derivatives** | &nbsp;&nbsp;**Liability Derivatives** |
| **Derivative<br> Instrument** | **Risk<br> Exposure** | **Statement of Assets and<br> Liabilities Location** | **Value** | **Statement of Assets and<br> Liabilities Location** | **Value** |
| Forward foreign<br> currency<br> contracts | &nbsp;&nbsp;Currency Risk | &nbsp;&nbsp;Unrealized appreciation<br> on forward foreign<br> currency contracts | &nbsp;&nbsp;$72675 | &nbsp;&nbsp;Unrealized depreciation<br> on forward foreign<br> currency contracts | &nbsp;&nbsp;$— |

---

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended October 31, 2022, on derivative instruments, as well as the primary underlying risk exposure associated with each instrument.

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#### Notes to Financial Statements (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022

---

| | |
|:---|:---|
| **Statement of Operations Location** |  |
| **Currency Risk Exposure** |  |
| Net realized gain (loss) on forward foreign currency contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$781491 |
| Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24869 |

---

During the fiscal year ended October 31, 2022, the notional values of forward foreign currency contracts opened and closed were $74,197,454 and $82,332,462, respectively.

The Fund does not have the right to offset financial assets and liabilities related to forward foreign currency contracts on the Statement of Assets and Liabilities.

6. Indemnification

The Fund has a variety of indemnification obligations under contracts with its service providers. The Fund's maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

7. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.

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Report of Independent Registered Public Accounting Firm

#### To the Shareholders and the Board of Trustees of First Trust High Income Long/Short Fund:

#### Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of First Trust High Income Long/Short Fund (the "Fund"), including the portfolio of investments, as of October 31, 2022, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2022, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

#### Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2022, by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

![](img1a7b1cf18.jpg)

Chicago, Illinois

December 21, 2022

We have served as the auditor of one or more First Trust investment companies since 2001.

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#### Additional Information

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

#### Dividend Reinvestment Plan
If your Common Shares are registered directly with the Fund or if you hold your Common Shares with a brokerage firm that participates in the Fund's Dividend Reinvestment Plan (the "Plan"), unless you elect, by written notice to the Fund, to receive cash distributions, all dividends, including any capital gain distributions, on your Common Shares will be automatically reinvested by Computershare Trust Company N.A. (the "Plan Agent"), in additional Common Shares under the Plan. BNY Mellon Investment Servicing (US) Inc. served as the Plan Agent until December 31, 2021. Effective December 31, 2021, Computershare Trust Company N.A. commenced serving as the Fund's Plan Agent. If you elect to receive cash distributions, you will receive all distributions in cash paid by check mailed directly to you by the Plan Agent, as the dividend paying agent.

If you decide to participate in the Plan, the number of Common Shares you will receive will be determined as follows:

(1) If Common Shares are trading at or above net asset value ("NAV") at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) NAV per Common Share on that
date or (ii) 95% of the market price on that date.

(2) If Common Shares are trading below NAV at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase Common Shares in the open market,
on the NYSE or elsewhere, for the participants' accounts. It is possible that the market price for the Common Shares may increase before the Plan Agent has completed its purchases. Therefore, the average
purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase Common Shares in the open market within 30 days of the valuation date except where temporary curtailment or
suspension of purchases is necessary to comply with federal securities laws. Interest will not be paid on any uninvested cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving written notice to the Plan Agent, or by telephone at (866) 340-1104, in accordance with such reasonable requirements as the Plan Agent and the Fund may agree upon. If you withdraw or the Plan is terminated, you will receive a certificate for each whole share in your account under the Plan, and you will receive a cash payment for any fraction of a share in your account. If you wish, the Plan Agent will sell your shares and send you the proceeds, minus brokerage commissions.

The Plan Agent maintains all Common Shareholders' accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Common Shares in your account will be held by the Plan Agent in non-certificated form. The Plan Agent will forward to each participant any proxy solicitation material and will vote any shares so held only in accordance with proxies returned to the Fund. Any proxy you receive will include all Common Shares you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions in Common Shares. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases.

Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Capital gains and income are realized although cash is not received by you. Consult your financial advisor for more information.

If you hold your Common Shares with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above.

The Fund reserves the right to amend or terminate the Plan if in the judgment of the Board of Trustees the change is warranted. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained by writing Computershare, Inc., P.O. Box 505000, Louisville, KY 40233-5000.

#### Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies and information on how the Fund voted proxies relating to portfolio investments during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund's website at <u>www.ftportfolios.com</u>; and (3) on the Securities and Exchange Commission's ("SEC") website at <u>www.sec.gov</u>.

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#### Additional Information (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

#### Portfolio Holdings
The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at <u>www.sec.gov</u>. The Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above.

#### Federal Tax Information
Of the ordinary income (including short-term capital gain) distributions made by the Fund during the year ended October 31, 2022, none qualify for the corporate dividends received deduction available to corporate shareholders or as qualified dividend income.

Distributions paid to foreign shareholders during the Fund's fiscal year ended October 31, 2022, that were properly designated by the Fund as "interest-related dividends" or "short-term capital gain dividends," may not be subject to federal income tax provided that the income was earned directly by such foreign shareholders.

#### NYSE Certification Information
In accordance with Section 303A-12 of the New York Stock Exchange ("NYSE") Listed Company Manual, the Fund's President has certified to the NYSE that, as of May 2, 2022, he was not aware of any violation by the Fund of NYSE corporate governance listing standards. In addition, the Fund's reports to the SEC on Form N-CSR contain certifications by the Fund's principal executive officer and principal financial officer that relate to the Fund's public disclosure in such reports and are required by Rule 30a-2 under the 1940 Act.

#### Submission of Matters to a Vote of Shareholders
The Fund held its Annual Meeting of Shareholders (the "Annual Meeting") on April 18, 2022. At the Annual Meeting, James A. Bowen and Niel B. Nielson were elected by the Common Shareholders of First Trust High Income Long/Short Fund as Class III Trustees for a three-year term expiring at the Fund's annual meeting of shareholders in 2025. The number of votes cast in favor of Mr. Bowen was 26,747,905 and the number of votes withheld was 673,127. The number of votes cast in favor of Mr. Nielson was 26,265,660 and the number of votes withheld was 1,155,372. Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, and Robert F. Keith are the other current and continuing Trustees.

#### Advisory and Sub-Advisory Agreements

#### Board Considerations Regarding Approval of Continuation of Investment Management and Investment Sub-Advisory Agreements
The Board of Trustees of First Trust High Income Long/Short Fund (the "Fund"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Advisory Agreement") between the Fund and First Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Fund, the Advisor and MacKay Shields LLC (the "Sub-Advisor"). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2023 at a meeting held on June 12–13, 2022. The Board determined that the continuation of the Agreements is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12–13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by the Fund and the sub-advisory fee rate as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor and the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund's performance to that of one or more relevant benchmark indexes and to

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#### Additional Information (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any indirect benefits to the Advisor and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12–13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Fund and the Advisor and among the Fund, the Advisor and the Sub-Advisor continue to be reasonable business arrangements from the Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor and the Sub-Advisor manage the Fund.

In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Fund and reviewed all of the services provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board reviewed the materials provided by the Sub-Advisor and considered the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor's day-to-day management of the Fund's investments. In considering the Sub-Advisor's management of the Fund, the Board noted the background and experience of the Sub-Advisor's portfolio management team, including the Board's prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objectives, policies and restrictions.

The Board considered the advisory and sub-advisory fee rates payable under the Agreements for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from its advisory fee. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund and non-fund clients, as applicable. With respect to the Expense Group, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating a relevant peer group for the Fund, including that (i) the Fund is unique in its composition, which makes assembling peers with similar strategies and asset mix difficult; and (ii) not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations into account in considering the peer data, and noted that the contractual advisory fee rate payable by the Fund, based on average net assets, was above the median contractual advisory fee of the peer funds in the Expense Group. With respect to fees charged to other clients, the Board considered differences between the Fund and other clients that limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. The Board received and reviewed information comparing the Fund's performance for periods ended December 31, 2021 to the performance of the funds in the Performance Universe and to that of a benchmark index. In reviewing the Fund's performance as compared to the performance of the Performance Universe, the Board took into account the limitations described above with respect to creating a relevant peer group for the Fund. Based on the information provided on net asset value performance, the Board noted that the Fund underperformed the Performance Universe median for the one-, five- and ten-year periods ended December 31, 2021 and outperformed the Performance Universe median for the three-year period ended December 31, 2021. The Board also noted that the

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#### Additional Information (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
Fund outperformed the benchmark index for the one-, three , five- and ten-year periods ended December 31, 2021. In addition, the Board considered information provided by the Advisor on the impact of leverage on the Fund's returns. The Board also received information on the Fund's annual distribution rate as of December 31, 2021 and the Fund's average trading discount for various periods and comparable information for a peer group.

On the basis of all the information provided on the fees, expenses and performance of the Fund and the ongoing oversight by the Board, the Board concluded that the advisory and sub-advisory fees continue to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board determined that due to the Fund's closed-end structure, the potential for realization of economies of scale as Fund assets grow was not a material factor to be considered. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2021 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund, including the Advisor's compensation for fund reporting services pursuant to a separate Fund Reporting Services Agreement. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

The Board noted the Sub-Advisor's expenses in providing investment services to the Fund and considered the Sub-Advisor's statement that it expects that existing expenses incurred by the Sub-Advisor relating to providing services to the Fund would remain approximately the same over the next twelve months. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor from its advisory fee and its understanding that the Fund's sub-advisory fee rate was the product of an arm's length negotiation. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered indirect benefits that may be realized by the Sub-Advisor from its relationship with the Fund, noting that the Sub-Advisor did not identify any material indirect benefits. The Board concluded that the character and amount of potential indirect benefits to the Sub-Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis.

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#### Investment Objectives, Policies, Risks and Effects of Leverage

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

#### Changes Occurring During the Prior Fiscal Year
*The following information is a summary of certain changes during the most recent fiscal year ended October 31, 2022. This information may not reflect all of the changes that have occurred since you purchased shares of the Fund.*

During the Fund's most recent fiscal year, there were no material changes to the Fund's investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with an investment in the Fund.

#### Investment Objectives
The Fund's primary investment objective is to provide current income. The Fund's secondary objective is capital appreciation.

#### Principal Investment Policies
In pursuit of its investment objectives, under normal market conditions:

• The Fund invests primarily in a diversified portfolio of U.S. and foreign (including emerging markets) high-yield corporate fixed-income securities of varying maturities that are rated below-investment
grade at the time of purchase. Such securities include corporate bonds; debentures; notes; commercial paper; other types of corporate debt instruments, including instruments issued by corporations with direct or
indirect government ownership; asset-backed securities; preferred shares; loan participations and assignments; payment-in-kind securities; zero-coupon bonds; bank certificates of deposit; fixed time deposits;
banker's acceptances; and derivative instruments that provide the same or similar economic impact as a physical investment in any of the above referenced securities.

• The Fund will generally limit its investment in securities rated below "B-" by Standard & Poor's Ratings Group, a division of the McGraw Hill Companies, Inc., or Fitch Ratings,
below "B3" by Moody's Investors Service, Inc., comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the investment team to be of comparable
quality at the time of purchase to no more than 5% above the approximate aggregate weighting of such securities in the index which the Fund tracks.

• The Fund maintains both long and short positions in securities. The Fund's long positions, either directly or indirectly, may total up to 130% of the Fund's managed assets. The Fund's
short positions, either directly or through derivatives, may total up to 30% of the Fund's managed assets.

• The Fund's use of derivatives, other than for hedging purposes, will not exceed 30% of the Fund's managed assets. The Fund's principal investments in derivative instruments may include
investments in credit default swaps, structured notes, special purpose vehicles, futures transactions, options and options on futures as well as certain currency and interest rate instruments such as foreign currency
forward contracts, currency exchange transactions on a spot (i.e., cash) basis, put and call options on foreign currencies and interest rate swaps.

• The Fund's investments may be denominated in U.S. dollars or in foreign currencies. In order to minimize the impact of currency fluctuations, the Sub-Advisor may at times hedge certain or all of
the Fund's investments denominated in foreign currencies into U.S. dollars.

• The Fund may also invest up to 5% of its managed assets in common stock, including those of foreign issuers; invest up to 20% of its managed assets in securities that, at the time of investment, are
illiquid; invest without limit in securities that are unregistered or are held by control persons of the issuer; and invest without limit in securities that are subject to contractual restrictions on their resale.

• To the extent the Fund enters into derivatives transactions, it will do so pursuant to Rule 18f-4 under the 1940 Act. Rule 18f-4 requires the Fund to implement certain policies and
procedures designed to manage its derivatives risks, dependent upon the Fund's level of exposure to derivative instruments.

#### Fundamental Investment Policies
The Fund, as a fundamental policy, may not:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. With respect to 75% of its total assets, purchase any securities if, as a result (i) more than 5% of the Fund's total assets would then be invested in securities of any single issuer, or (ii) the Fund would hold more than 10% of the outstanding voting securities of any single issuer; provided, that Government securities (as defined in the 1940 Act) securities issued by other investment companies and cash items (including receivables) shall not be counted for purposes of this limitation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Purchase or sell real estate or commodities except as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

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#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Borrow money except as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Issue senior securities except as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. Underwrite the securities of other issuers except (a) to the extent that the Fund may be deemed to be an underwriter within the meaning of the Securities Act of 1933, as amended, in connection with the purchase and sale of portfolio securities; and (b) as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6. Make loans except as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7. Purchase the securities of any issuer if, as a result of such purchase, the Fund's investments would be concentrated in any particular industry except as permitted by (i) the 1940 Act and the rules and regulations thereunder, or other successor law governing the regulation of registered investment companies, or interpretations or modifications thereof by the SEC, SEC staff or other authority of competent jurisdiction, or (ii) exemptive or other relief or permission from the SEC, SEC staff or other authority of competent jurisdiction.

Except as noted above, the foregoing fundamental investment policies, together with the investment objectives of the Fund, cannot be changed without approval by holders of a majority of the outstanding voting securities of the Fund, as defined in the 1940 Act, which includes common shares of beneficial interest and preferred shares of beneficial interest ("Preferred Shares"), if any, voting together as a single class, and of the holders of the outstanding Preferred Shares voting as a single class. Under the 1940 Act, a "majority of the outstanding voting securities" means the vote of: (i) 67% or more of the Fund's shares present at a meeting, if the holders of more than 50% of the Fund's shares are present or represented by proxy, or (ii) more than 50% of the Fund's shares, whichever is less.

The foregoing restrictions and limitations will apply only at the time of purchase of securities, and the percentage limitations will not be considered violated unless an excess or deficiency occurs or exists immediately after and as a result of an acquisition of securities, unless otherwise indicated.

#### Principal Risks
The Fund is a closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objectives. The following discussion summarizes the principal risks associated with investing in the Fund, which includes the risk that you could lose some or all of your investment in the Fund. The Fund is subject to the informational requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940 and, in accordance therewith, files reports, proxy statements and other information that is available for review. The order of the below risk factors does not indicate the significance of any particular risk factor.

**Credit Agency Risk. Credit ratings are determined by credit rating agencies and are only the opinions of such entities. Ratings assigned by a rating agency are not absolute standards of credit quality and do not evaluate market risk or the liquidity of securities. Any shortcomings or inefficiencies in credit rating agencies' processes for determining credit ratings may adversely affect the credit ratings of securities held by the Fund and, as a result, may adversely affect those securities' perceived or actual credit risk.**

**Credit and Below-Investment Grade Securities Risk. Credit risk is the risk that one or more securities in the Fund's portfolio will decline in price, or the issuer thereof will fail to pay dividends or interest or repay principal when due. Below-investment grade instruments are commonly referred to as high-yield securities or "junk" bonds and are considered speculative with respect to the issuer's capacity to pay dividends or interest and repay principal and are susceptible to default or decline in market value due to adverse economic and business developments. High-yield securities are often unsecured and subordinated to other creditors of the issuer. The market values for high-yield securities tend to be very volatile, and these securities are generally less liquid than investment**

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
grade securities. For these reasons, an investment in the Fund is subject to the following specific risks: (i) increased price sensitivity to changing interest rates and to a deteriorating economic environment; (ii) greater risk of loss due to default or declining credit quality; (iii) adverse company specific events more likely to render the issuer unable to make dividend, interest and/or principal payments; (iv) negative perception of the high-yield market which may depress the price and liquidity of high-yield securities; (v) volatility; and (vi) liquidity.

**Currency Risk. The value of securities denominated or quoted in foreign currencies may be adversely affected by fluctuations in the relative currency exchange rates and by exchange control regulations. The Fund's investment performance may be negatively affected by a devaluation of a currency in which the Fund's investments are denominated or quoted. Further, the Fund's investment performance may be significantly affected, either positively or negatively, by currency exchange rates because the U.S. dollar value of securities denominated or quoted in another currency will increase or decrease in response to changes in the value of such currency in relation to the U.S. dollar.**

**Cyber Security Risk. The Fund is susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund's digital information systems through "hacking" or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund's third-party service providers, such as its administrator, transfer agent, custodian, or Sub-Advisor, as applicable, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. The Fund has established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third party service providers. Substantial costs may be incurred by the Fund in order to resolve or prevent cyber incidents in the future.**

**Distressed Securities Risk. Distressed securities frequently do not produce income while they are outstanding. The Fund may be required to incur certain extraordinary expenses in order to protect and recover its investment. The Fund also will be subject to significant uncertainty as to when and in what manner and for what value the obligations evidenced by the distressed securities will eventually be satisfied. Distressed securities might be repaid only after lengthy workout, bankruptcy or similar proceedings, during which the issuer may not make any interest or other payments. Because there typically is substantial uncertainty regarding the outcome of such proceedings, there is a high risk of loss, including loss of the entire investment.**

#### Fixed-Income Securities Risk. An investment in fixed-income securities is subject to certain risks, including:
• *Issuer Risk. The value of fixed-income securities may decline for a number of reasons which directly relate to the issuer, such as management performance, leverage and reduced demand for the issuer's goods and services. In addition, an issuer of fixed-income securities may default on its obligation to pay interest and repay principal.* 

• *Prepayment Risk. Prepayment risk is the risk that the issuer of a debt security will repay principal prior to the scheduled maturity date. During periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Fund to reinvest the proceeds from such prepayment in lower yielding securities, which may result in a decline in the Fund's income and distributions to common shareholders.* 

• *Reinvestment Risk. Reinvestment risk is the risk that income from the Fund's portfolio will decline if the Fund invests the proceeds from matured, traded or called bonds at market interest rates that are below the Fund portfolio's current earnings rate.* 

**Forward Foreign Currency Exchange Contracts Risk. Forward foreign currency exchange contracts involve certain risks, including the risk of failure of the counterparty to perform its obligations under the contract and the risk that the use of forward contracts may not serve as a complete hedge because of an imperfect correlation between movements in the prices of the contracts and the prices of the currencies hedged. While forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the hedged currencies, they also may limit any potential gain that might result should the value of the currencies increase. In addition, because forward currency exchange contracts are privately negotiated transactions, there can be no assurance that the Fund will have flexibility to roll-over a forward currency exchange contract upon its expiration if it desires to do so. Hedging against a decline in the value of a currency does not eliminate fluctuations in the value of a portfolio security traded in that currency or prevent a loss if the value of the security declines. Moreover, it may not be possible for the Fund to hedge against a devaluation that is so generally anticipated that the Fund is not able to contract to sell the currency at a price above the devaluation level it anticipates. The cost to the Fund of engaging in currency exchange transactions varies with such factors as the currency involved, the length of the contract period and prevailing market conditions.**

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
**Illiquid and Restricted Securities Risk. The Fund may invest in securities that are restricted and/or illiquid. Restricted securities are securities that cannot be offered for public resale unless registered under the applicable securities laws or that have a contractual restriction that prohibits or limits their resale. Restricted securities may be illiquid as they generally are not listed on an exchange and may have no active trading market. Investments in restricted securities could have the effect of increasing the amount of the Fund's assets invested in illiquid securities if qualified institutional buyers are unwilling to purchase these securities. Illiquid and restricted securities may be difficult to dispose of at a fair price at the times when the Fund believes it is desirable to do so. The market price of illiquid and restricted securities generally is more volatile than that of more liquid securities, which may adversely affect the price that the Fund pays for or recovers upon the sale of such securities. Illiquid and restricted securities are also more difficult to value, especially in challenging markets.**

**Inflation Risk. The Fund invests in securities that are subject to inflation risk. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the present value of the Fund's assets and distributions may decline. This risk is more prevalent with respect to debt securities. Inflation creates uncertainty over the future real value (after inflation) of an investment. Inflation rates may change frequently and drastically as a result of various factors, including unexpected shifts in the domestic or global economy, and the Fund's investments may not keep pace with inflation, which may result in losses to Fund investors.**

**Interest Rate Risk. Interest rate risk is the risk that securities will decline in value because of changes in market interest rates. For fixed rate securities, when market interest rates rise, the market value of such securities generally will fall. Investments in fixed rate securities with long-term maturities may experience significant price declines if long-term interest rates increase. During periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected prepayments. This may lock in a below-market yield, increase the security's duration and further reduce the value of the security. Fixed rate securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. The duration of a security will be expected to change over time with changes in market factors and time to maturity.**

The interest rates payable on floating rate securities are not fixed and may fluctuate based upon changes in market rates. As short-term interest rates decline, interest payable on floating rate securities typically decreases. Alternatively, during periods of rising interest rates, interest payable on floating rate securities typically increases. Changes in interest rates on floating rate securities may lag behind changes in market rates or may have limits on the maximum increases in interest rates. The value of floating rate securities may decline if their interest rates do not rise as much, or as quickly, as interest rates in general.

Many financial instruments use or may use a floating rate based upon the LIBOR. The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates LIBOR, intends to cease making LIBOR available as a reference rate over a phase-out period that began in early 2022. However, subsequent announcements by the FCA, the LIBOR administrators, and other regulators indicate that it is possible that the most widely used LIBOR rates may continue until mid-2023. While some instruments tied to LIBOR may include a replacement rate, not all instruments have such fallback provisions and the effectiveness of such replacement rates remains uncertain. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. In the United States, it is anticipated that in many instances the Secured Overnight Financing Rate ("SOFR") will replace LIBOR as the reference rate for many floating rate instruments. There is no assurance that the composition or characteristics of SOFR, or any alternative reference rate, will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. As a result, the transition process might lead to increased volatility and reduced liquidity in markets that currently rely on LIBOR to determine interest rates; a reduction in the value of some LIBOR-based investments; increased difficulty in borrowing or refinancing and diminished effectiveness of any applicable hedging strategies against instruments whose terms currently include LIBOR; and/ or costs incurred in connection with temporary borrowings and closing out positions and entering into new agreements. Any potential effects of the transition away from LIBOR on the Fund or on certain instruments in which the Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. Any such effects on the transition away from LIBOR, as well as other unforeseen effects, could result in losses to the Fund.

**Leverage Risk. The use of leverage by the Fund can magnify the effect of any losses. If the income and gains from the securities and investments purchased with leverage proceeds do not cover the cost of leverage, the return to the common shares will be less than if leverage had not been used. Leverage involves risks and special considerations for common shareholders including: (i) the likelihood of greater volatility of net asset value and market price of the common shares than a comparable portfolio without leverage; (ii) the risk that fluctuations in interest rates on borrowings will reduce the return to the common shareholders or will result in fluctuations in the dividends paid on the common shares; (iii) in a declining market, the use of leverage is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares; and (iv) when the Fund uses certain types of leverage, the investment advisory fee payable to the Advisor and by the Advisor to the Sub-Advisor will be higher than if the Fund did not use leverage.**

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
**Management Risk and Reliance on Key Personnel. The implementation of the Fund's investment strategy depends upon the continued contributions of certain key employees of the Advisor and Sub-Advisor, some of whom have unique talents and experience and would be difficult to replace. The loss or interruption of the services of a key member of the portfolio management team could have a negative impact on the Fund.**

**Market Discount from Net Asset Value. Shares of closed-end investment companies such as the Fund frequently trade at a discount from their net asset value. The Fund cannot predict whether its common shares will trade at, below or above net asset value.**

**Market Risk. Securities held by the Fund, as well as shares of the Fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of the Fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on the Fund and its investments. For example, the coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, had negative impacts, and in many cases severe impacts, on markets worldwide. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of reasonably normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. Also, in February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility across markets globally, including the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain Fund investments as well as Fund performance. As the global pandemic and conflict in Ukraine have illustrated, such events may affect certain geographic regions, countries, sectors and industries more significantly than others. These events also may adversely affect the prices and liquidity of the Fund's portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of the Fund's shares and result in increased market volatility. During any such events, the Fund's shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on the Fund's shares may widen.**

**Non-U.S. Securities Risk. Investing in securities of non-U.S. issuers, which are generally denominated in non-U.S. currencies, may involve certain risks not typically associated with investing in securities of U.S. issuers. These risks include: (i) there may be less publicly available information about non-U.S. issuers or markets due to less rigorous disclosure or accounting standards or regulatory practices; (ii) non-U.S. markets may be smaller, less liquid and more volatile than the U.S. market; (iii) potential adverse effects of fluctuations in currency exchange rates or controls on the value of the Fund's investments; (iv) the economies of non-U.S. countries may grow at slower rates than expected or may experience a downturn or recession; (v) the impact of economic, political, social or diplomatic events; (vi) certain non-U.S. countries may impose restrictions on the ability of non-U.S. issuers to make payments of principal and interest to investors located in the United States due to blockage of non-U.S. currency exchanges or otherwise; and (vii) withholding and other non-U.S. taxes may decrease the Fund's return. Foreign companies are generally not subject to the same accounting, auditing and financial reporting standards as are U.S. companies. In addition, there may be difficulty in obtaining or enforcing a court judgment abroad, including in the event the issuer of a non-U.S. security defaults or enters bankruptcy, administration or other proceedings. These risks may be more pronounced to the extent that the Fund invests a significant amount of its assets in companies located in one region or in emerging markets.**

**Operational Risk. The Fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of the Fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. The Fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect the Fund's ability to meet its investment objective. Although the Fund and the Fund's investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.**

**Potential Conflicts of Interest Risk. First Trust, MacKay and the portfolio managers have interests which may conflict with the interests of the Fund. In particular, First Trust and MacKay currently manage and may in the future manage and/or advise other investment funds or accounts with the same or substantially similar investment objective and strategies as the Fund. In addition, while the Fund is using certain types of leverage, the amount of the fees paid to First Trust (and by First Trust to MacKay) for investment advisory and management services are higher than if the Fund did not use leverage because the fees paid are calculated based on managed assets. Therefore, First Trust and MacKay could have a financial incentive to leverage the Fund.**

**Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company's capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights**

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.

**Short Selling Risk. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. Because losses on short sales arise from increases in the value of the security sold short, such losses are theoretically unlimited. It is possible that the Fund's long securities positions will decline in value at the same time that the value of its short securities positions increase, thereby increasing potential losses to the Fund. In addition, the Fund's short selling strategies will limit its ability to fully benefit from increases in the fixed-income markets.**

The Fund may not be able to borrow a security that it needs to deliver or it may not be able to close out a short position at an acceptable price and may have to sell related long positions before it had intended to do so. Thus, the Fund may not be able to successfully implement its short sale strategy due to limited availability of desired securities or for other reasons. 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. Further, when the Fund is selling a security short, it must maintain a segregated account of cash or high-grade securities equal to the margin requirement. As a result, the Fund may maintain high levels of cash or other liquid assets, which may limit the Fund's ability to pursue other opportunities.

**Valuation Risk. Unlike publicly traded common stock which trades on national exchanges, there is no central place or exchange for fixed-income securities trading. Fixed-income securities generally trade on an "over-the-counter" market which may be anywhere in the world where the buyer and seller can settle on a price. Due to the lack of centralized information and trading, the valuation of fixed-income securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial market, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing.**

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Investment Objectives, Policies, Risks and Effects of Leverage (Continued)

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

#### Effects of Leverage
The aggregate principal amount of borrowings under the brokerage account with Pershing, LLC (the "Pershing Account") represented approximately 25.28% of Managed Assets as of October 31, 2022. Asset coverage with respect to the borrowings under the Pershing Account was 395.64% as of October 31, 2022. As of October 31, 2022, the approximate annual interest and fee rate was 3.82%.

Assuming that the Fund's leverage costs remain as described above (at an assumed average annual cost of 3.82%), the annual return that the Fund's portfolio must experience (net of expenses) in order to cover its leverage costs would be 0.97%.

The following table is furnished in response to requirements of the SEC. It is designed to illustrate the effect of leverage on Common Share total return, assuming investment portfolio total returns (comprised of income and changes in the value of securities held in the Fund's portfolio) of (10%), (5%), 0%, 5% and 10%. These assumed investment portfolio returns are hypothetical figures and are not necessarily indicative of the investment portfolio returns experienced or expected to be experienced by the Fund.

The table further assumes leverage representing 25.28% of the Fund's Managed Assets, net of expenses, and an annual leverage interest and fee rate of 3.82%.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Assumed Portfolio Total Return (Net of Expenses)<br>| &nbsp;&nbsp;&nbsp;&nbsp;-10% | &nbsp;&nbsp;&nbsp;&nbsp;-5% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0% | &nbsp;&nbsp;&nbsp;&nbsp;5% | &nbsp;&nbsp;&nbsp;&nbsp;10% |
| Common Share Total Return<br>| -14.67% | -7.98% | -1.29% | 5.40% | 12.09% |

---

Common Share total return is composed of two elements: the Common Share dividends paid by the Fund (the amount of which is largely determined by the net investment income of the Fund after paying dividends or interest on its leverage) and gains or losses on the value of the securities the Fund owns. As required by SEC rules, the table above assumes that the Fund is more likely to suffer capital losses than to enjoy capital appreciation. For example, to assume a total return of 0% the Fund must assume that the distributions it receives on its investments are entirely offset by losses in the value of those securities.

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Board of Trustees and Officers<br>

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)
The following tables identify the Trustees and Officers of the Fund. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name, Year of Birth and Position with the Fund** | &nbsp;&nbsp;**Term of Office and Year First Elected or Appointed<sup>(1)</sup>** | &nbsp;&nbsp;**Principal Occupations<br> During Past 5 Years** | &nbsp;&nbsp;**Number of Portfolios in the First Trust Fund Complex Overseen by Trustee** | &nbsp;&nbsp;**Other Trusteeships or Directorships Held by Trustee During Past 5 Years** |
| **INDEPENDENT TRUSTEES** | **INDEPENDENT TRUSTEES** | **INDEPENDENT TRUSTEES** | **INDEPENDENT TRUSTEES** | **INDEPENDENT TRUSTEES** |
| Richard E. Erickson, Trustee<br> (1951) | &nbsp;&nbsp;• Three Year Term<br>• Since Fund Inception | &nbsp;&nbsp;Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | &nbsp;&nbsp;223 |  |
| Thomas R. Kadlec, Trustee<br> (1957) | &nbsp;&nbsp;• Three Year Term<br>• Since Fund Inception | &nbsp;&nbsp;Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | &nbsp;&nbsp;223 | &nbsp;&nbsp;Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
| Denise M. Keefe, Trustee<br> (1964) | &nbsp;&nbsp;• Three Year Term<br>• Since 2021 | &nbsp;&nbsp;Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | &nbsp;&nbsp;223 | &nbsp;&nbsp;Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
| Robert F. Keith, Trustee<br> (1956) | &nbsp;&nbsp;• Three Year Term<br>• Since Fund Inception | &nbsp;&nbsp;President, Hibs Enterprises (Financial and Management Consulting) | &nbsp;&nbsp;223 | &nbsp;&nbsp;Formerly, Director of Trust Company of Illinois |
| Niel B. Nielson, Trustee<br> (1954) | &nbsp;&nbsp;• Three Year Term<br>• Since Fund Inception | &nbsp;&nbsp;Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | &nbsp;&nbsp;223 |  |

---

<sup>(1)</sup> Currently, Denise M. Keefe and Robert F. Keith, as Class I Trustees, are serving as trustees until the Fund's 2023 annual meeting of shareholders. Richard E. Erickson and Thomas R. Kadlec, as Class II Trustees, are serving as trustees until the Fund's 2024 annual meeting of shareholders. James A. Bowen and Niel B. Nielson, as Class III Trustees, are serving as trustees until the Fund's 2025 annual meeting of shareholders.

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[**Table of Contents**](#JOB_10-31_503e97eb-86c4-4e6b-adec-fdab70ec2335_TOC)

#### Board of Trustees and Officers (Continued)<br>

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name, Year of Birth and Position with the Fund** | &nbsp;&nbsp;**Term of Office and Year First Elected or Appointed<sup>(1)</sup>** | &nbsp;&nbsp;**Principal Occupations<br> During Past 5 Years** | &nbsp;&nbsp;**Number of Portfolios in the First Trust Fund Complex Overseen by Trustee** | &nbsp;&nbsp;**Other Trusteeships or Directorships Held by Trustee During Past 5 Years** |
| **INTERESTED TRUSTEE** | **INTERESTED TRUSTEE** | **INTERESTED TRUSTEE** | **INTERESTED TRUSTEE** | **INTERESTED TRUSTEE** |
| James A. Bowen<sup>(2)</sup>, Trustee and<br> Chairman of the Board<br> (1955) | &nbsp;&nbsp;• Three Year Term<br>• Since Fund Inception | &nbsp;&nbsp;Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | &nbsp;&nbsp;223 |  |

---

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| | | | |
|:---|:---|:---|:---|
| **Name and Year of Birth** | &nbsp;&nbsp;**Position and Offices with Fund** | &nbsp;&nbsp;**Term of Office and Length of Service** | &nbsp;&nbsp;**Principal Occupations<br> During Past 5 Years** |
| **OFFICERS<sup>(3)</sup>** | **OFFICERS<sup>(3)</sup>** | **OFFICERS<sup>(3)</sup>** | **OFFICERS<sup>(3)</sup>** |
| James M. Dykas<br> (1966) | &nbsp;&nbsp;President and Chief Executive Officer | &nbsp;&nbsp;• Indefinite Term<br>• Since 2016 | &nbsp;&nbsp;Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
| Donald P. Swade<br> (1972) | &nbsp;&nbsp;Treasurer, Chief Financial Officer and Chief Accounting Officer | &nbsp;&nbsp;• Indefinite Term<br>• Since 2016 | &nbsp;&nbsp;Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| W. Scott Jardine<br> (1960) | &nbsp;&nbsp;Secretary and Chief Legal Officer | &nbsp;&nbsp;• Indefinite Term<br>• Since Fund Inception | &nbsp;&nbsp;General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
| Daniel J. Lindquist<br> (1970) | &nbsp;&nbsp;Vice President | &nbsp;&nbsp;• Indefinite Term<br>• Since Fund Inception | &nbsp;&nbsp;Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| Kristi A. Maher<br> (1966) | &nbsp;&nbsp;Chief Compliance Officer and Assistant Secretary | &nbsp;&nbsp;• Indefinite Term<br>• Chief Compliance Officer Since January 2011<br>• Assistant Secretary Since Fund Inception | &nbsp;&nbsp;Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |

---

<sup>(2)</sup> Mr. Bowen is deemed an "interested person" of the Fund due to his position as CEO of First Trust Advisors L.P., investment advisor of the Fund.

<sup>(3)</sup> The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.

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#### Privacy Policy

#### First Trust High Income Long/Short Fund (FSD)

#### October 31, 2022 (Unaudited)

#### Privacy Policy
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

#### Sources of Information
We collect nonpublic personal information about you from the following sources:

• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;

• Information about your transactions with us, our affiliates or others;

• Information we receive from your inquiries by mail, e-mail or telephone; and

• Information we collect on our website through the use of "cookies." For example, we may identify the pages on our website that your browser requests or visits.

#### Information Collected
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

#### Disclosure of Information
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:

• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as
trustees, banks, financial representatives, proxy services, solicitors and printers.

• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your
account from fraud).

In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.

#### Use of Website Analytics
We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: <u>Google Analytics</u> and <u>AddThis</u>.

#### Confidentiality and Security
With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

#### Policy Updates and Inquiries
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to <u>www.ftportfolios.com</u>, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

March 2022

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![](imgafb350762.jpg)

#### INVESTMENT ADVISOR
First Trust Advisors L.P.

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

#### INVESTMENT SUB-ADVISOR
MacKay Shields LLC

1345 Avenue of the Americas

43rd Floor

New York, NY 10105

#### TRANSFER AGENT
Computershare, Inc.

P.O. Box 505000

Louisville, KY 40233

#### ADMINISTRATOR,<br> FUND ACCOUNTANT,<br> AND CUSTODIAN
The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

#### INDEPENDENT REGISTERED<br> PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP

111 S. Wacker Drive

Chicago, IL 60606

#### LEGAL COUNSEL
Chapman and Cutler LLP

320 South Canal Street

Chicago, IL 60606

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 2. Code of Ethics.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant, as of the end of the period covered by this report, has adopted a code of
ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer
or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third
party.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) There have been no amendments, during the period covered by this report, to a provision of
the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer
or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third
party, and that relates to any element of the code of ethics description.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) The registrant has not granted any waivers, including an implicit waiver, from a provision
of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant
or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) A copy of the code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1).

**Item 3. Audit Committee Financial Expert.**

As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.

**Item 4. Principal Accountant Fees and Services.**

(a) *Audit Fees* (*Registrant*) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $52,000 for the fiscal year ended October 31, 2021 and $54,000 for the fiscal year ended October 31, 2022.

(b) *Audit-Related Fees* (*Registrant*) — The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2021 and $0 for the fiscal year ended October 31, 2022.

*Audit-Related Fees* (*Investment Advisor*) — The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2021 and $0 for the fiscal year ended October 31, 2022.

(c) *Tax Fees* (*Registrant*) *—* The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $5,200 for the fiscal year ended October 31, 2022 and $16,250 for the fiscal year ended October 31, 2022. These fees were for consultation and/or tax return preparation.

*Tax Fees* (*Investment Advisor*) — The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended October 31, 2021 and $0 for the fiscal year ended October 31, 2022.

(d) *All Other Fees* (*Registrant*) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2021 and $0 for the fiscal year ended October 31, 2022.

*All Other Fees* (*Investment Advisor*) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2020 and $0 for the fiscal year ended October 31, 2021.

(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the *"Committee"*) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.

The Committee is also responsible for the pre-approval of the independent auditor's engagements for non-audit services with the registrant's advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the *de minimis* exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant's advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to the *de minimis* exception, the Committee will consider whether the provision of such non-audit services is compatible with the auditor's independence.

---

| | |
|:---|:---|
| (e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant's investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |

---

---

| | |
|:---|:---|
| Registrant: | Advisor and Distributor: |
| (b) 0% | (b) 0% |
| (c) 0% | (c) 0% |
| (d) 0% | (d) 0% |

---

&nbsp;&nbsp;&nbsp;&nbsp;(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's
full-time, permanent employees was less than fifty percent.

&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant,
and rendered to the registrant's investment advisor (not including any sub-advisor whose role is primarily portfolio management and is
subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with
the advisor that provides ongoing services to the registrant for the registrant's fiscal year ended October 31, 2021 were $5,200
for the registrant and $16,500 for the registrant's investment advisor and for the registrant's fiscal year ended October
31, 2022 were $16,250 for the Registrant and $0 for the registrant's investment advisor.

&nbsp;&nbsp;&nbsp;&nbsp;(h) The registrant's audit committee of its Board of Trustees has determined that the provision of non-audit
services that were rendered to the registrant's investment advisor (not including any sub-advisor whose role is primarily portfolio
management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common
control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(j) Not applicable.

**Item 5. Audit Committee of Listed Registrants.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant has a separately designated standing audit committee established in accordance
with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 consisting of all the independent directors of the registrant. The
audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B.
Nielson.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting
period is included as part of the report to shareholders filed under Item 1 of this form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

The Proxy Voting Policies are attached herewith.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies.**

---

| | |
|:---|:---|
| **(a)(1)** | **Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members.** |

---

**Information provided as of January 6, 2023**

MacKay Shields LLC ("MacKay Shields" or the "Sub-Advisor") was founded in 1938 and became a registered investment advisor in 1969 and serves as the sub-advisor to the registrant.

**Eric Gold, Senior Managing Director, Head of Global Credit Group**

Mr. Gold joined MacKay Shields in 2010. Before joining the Global Credit team, Mr. Gold served as a Managing Director for the High Yield team. Mr. Gold is currently the head of the Global Credit Group and Portfolio Manager.

**Matthew Jacob, Managing Director, Global Credit Group**

Mr. Jacob joined MacKay Shields and the Global Fixed Income Division in 2011 as a portfolio analyst and was promoted to Portfolio Manager in 2017. Mr. Jacob is currently a member of the Global Credit Group.

**Shu-Yang Tan, Managing Director, Global Credit Group**

Mr. Tan joined MacKay Shields and the Global Fixed Income Division in 2010 as a portfolio analyst and was promoted to Portfolio Manager in 2017. Mr. Tan is currently a member of the Global Credit Group.

Eric Gold is a Senior Managing Director and Head of the Global Credit Group.

The team of portfolio managers that oversee the security selection for the First Trust High Income Long/Short Fund are Eric Gold, Matthew Jacob and Shu-Yang Tan.

MacKay Shields utilizes a team approach in all aspects of investment management and decision-making. No one portfolio manager is singularly responsible for any particular account. Investment decisions are carried across all portfolios with similar guidelines. While portfolio managers conduct their own industry-specific research, all information is continually shared with the other members of the investment team. Additionally, portfolio managers will cross-train to gain familiarity with other industries.

The portfolio managers within the Global Credit Team generally come to a consensus on the appropriateness of a security for inclusion or removal from the portfolio. On the rare occasions this is not possible, Eric Gold as Head of the Team, is ultimately responsible and has final decision-making power.

(a)(2) Other Accounts Managed by Portfolio Managers or Management Team Member and Potential Conflicts of Interest

**Information provided as of October 31, 2022.**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;Name of Portfolio Manager or Team Member\* | &nbsp;&nbsp;Type of Accounts\* | &nbsp;&nbsp;Total # of Accounts Managed | &nbsp;&nbsp;Total Assets | &nbsp;&nbsp;# of Accounts Managed for which Advisory Fee is Based on Performance | &nbsp;&nbsp;Total Assets for which Advisory Fee is Based on Performance |
| &nbsp;&nbsp;1. Matt Jacob | &nbsp;&nbsp;Registered Investment Companies: | &nbsp;&nbsp;3 | &nbsp;&nbsp;$1394130310 | &nbsp;&nbsp;0 | &nbsp;&nbsp;$0 |
|  | &nbsp;&nbsp;Other Pooled Investment Vehicles: | &nbsp;&nbsp;15 | &nbsp;&nbsp;$7340216601 | &nbsp;&nbsp;1 | &nbsp;&nbsp;$509116 |
|  | &nbsp;&nbsp;Other Accounts: | &nbsp;&nbsp;19 | &nbsp;&nbsp;$2252490294 | &nbsp;&nbsp;1 | &nbsp;&nbsp;$509116 |
| &nbsp;&nbsp;2. Shu-Yang Tan | &nbsp;&nbsp;Registered Investment Companies: | &nbsp;&nbsp;2 | &nbsp;&nbsp;$1369010357 | &nbsp;&nbsp;0 | &nbsp;&nbsp;$0 |
|  | &nbsp;&nbsp;Other Pooled Investment Vehicles: | &nbsp;&nbsp;15 | &nbsp;&nbsp;$7340216601 | &nbsp;&nbsp;1 | &nbsp;&nbsp;$509116 |
|  | &nbsp;&nbsp;Other Accounts: | &nbsp;&nbsp;19 | &nbsp;&nbsp;$2252490294 | &nbsp;&nbsp;1 | &nbsp;&nbsp;$509116 |
| &nbsp;&nbsp;3. Eric Gold | &nbsp;&nbsp;Registered Investment Companies: | &nbsp;&nbsp;1 | &nbsp;&nbsp;$48132979 | &nbsp;&nbsp;0 | &nbsp;&nbsp;$0 |
|  | &nbsp;&nbsp;Other Pooled Investment Vehicles: | &nbsp;&nbsp;15 | &nbsp;&nbsp;$7340216601 | &nbsp;&nbsp;1 | &nbsp;&nbsp;$509116 |
|  | &nbsp;&nbsp;Other Accounts: | &nbsp;&nbsp;19 | &nbsp;&nbsp;$2252490294 | &nbsp;&nbsp;0 | &nbsp;&nbsp; $0<br>|

---

\**The Global Credit Group utilizes a team approach in all aspects of investment management and decision-making. No one portfolio manager is singularly responsible for any particular account. Information provided are assets and number of accounts managed by the team.*

**Potential Conflicts of Interests**

The Global Credit team that manages the Fund provides portfolio management services for other MacKay Shields accounts, including mutual funds; institutional managed accounts; private commingled funds; and hedge funds. Managing accounts that have a performance-based fee at the same time that we manage accounts that only have an asset-based fee is commonly referred to as "side-by-side management." Except for distinctions based on investment objectives, investment guidelines and cash flow, all accounts are treated the same, regardless of fee structure. This creates a conflict of interest by giving us an incentive to favor those accounts for which we receive a performance-based fee because we will receive a higher fee if their performance exceeds the applicable benchmark.

MacKay Shields' Trade Allocation Policy provides that: (1) no client will be favored over any other client;(2) trades should be pre-allocated, subject to certain exceptions, and allocations should be in writing; and (3) the firm's Compliance Department conducts periodic reviews of client account performance as a function of allocation to assure that no account or group of accounts is being preferred systematically in the allocation process. As a general practice, when creating an order, the portfolio manager will utilize the firm's trade order management systems in selecting the participating client accounts prior to entering an aggregated order.

When determining which accounts will participate in a trade, the portfolio managers will consider various objective criteria which may include but are not limited to: client cash limitations, actual and anticipated or potential account inflows and outflows, duration and/or average maturity, credit ratings and anticipated credit ratings, account size, deal size, trade lots, processing costs, existing exposure to an issuer or industry type, other concentration limits, and specific investment objectives, investment guidelines and anticipated guidelines changes, borrowing capacity, and other practical limitations. If the aggregated order is filled in its entirety, it will be allocated among clients in accordance with the target allocation; if the order is partially filled, it will be allocated pro rata based on the allocation methodology recorded in the trade order management system unless that would be impractical. Additionally, the policy contains a procedure for limited offerings, which provides that in a limited offering, the allocations may be pro-rata based on size of the order or account size and within a strategy pro-rata based on account size.

We allocate securities among client accounts based on the factors described above and usually do so before executing the trade. When it is impractical or not feasible to allocate prior to the execution of the trade, we will allocate the trade after the trade is executed but in no event later than the end of the day, in a fair and equitable manner among all the participating accounts, based on the above factors. In those situations, in which there is a limited supply of a security, it is our general policy to make a pro rata allocation based on the original amounts targeted for the accounts. However, if in our portfolio managers' judgment or as a result of factors such as investment guideline constraints (e.g., duration limits), minimum trading lots for specific securities, account strategy, or low cash levels, the amount that would then be allocated to an account would not be suitable or be too small to properly manage, that account may be excluded from the pro rata allocation. We cannot assure that in every instance an investment will be allocated on a pro rata basis, and differences may occur due to the factors mentioned above.

**(a)(3) Compensation Structure of Portfolio Manager(s) or Management Team Members** 

**Information provided as of October 31, 2022.** 

MacKay Shields establishes salaries at competitive levels, verified through industry surveys, to attract and maintain the best professional talent. Incentives are paid annually to the firm's employees based upon an individual's performance and the profitability of the firm, and in some instances may be fixed and guaranteed for a period of time. Incentive bonuses (both cash and deferred) are an integral portion of total compensation at MacKay Shields and vary based upon an individual's role, responsibility and performance. A significant percentage of the compensation program for the Fund's portfolio managers is incentive based.

MacKay Shields has a phantom equity program and awards are an integral component of the firm's compensation structure. Awards vest and pay out after several years. Thus, eligible professionals share in the results and success of the firm.

The compensation received by portfolio managers is generally based on both quantitative and qualitative factors. The quantitative factors may include: (i) investment performance; (ii) assets under management; (iii) revenues and profitability; and (iv) industry benchmarks. The qualitative factors may include, among others, leadership, adherence to the firm's policies and procedures, and contribution to the firm's goals and objectives.

The compensation received by portfolio managers is generally based on both quantitative and qualitative factors. The quantitative factors may include: (i) investment performance; (ii) assets under management; (iii) revenues and profitability; and (iv) industry benchmarks. The qualitative factors may include, among others, leadership, adherence to the firm's policies and procedures, and contribution to the firm's goals and objectives. To the extent that an increase in the size of a Fund or another account managed by a portfolio manager has a positive impact on revenues/profitability, a portfolio manager's compensation may also increase. There is no difference between the method used in determining portfolio managers' compensation with respect to a Fund and other accounts they manage. We do not believe the compensation structure provides an incentive for an employee who provides services to the Fund to take undue risks in managing the assets of the Fund.

MacKay Shields maintains an employee benefit program, including health and non-health insurance, and a 401(k) defined contribution plan for all of its employees regardless of their job title, responsibilities or seniority.

MacKay Shields has performance-based fee arrangements with "eligible clients" (as that term is defined under Rule 205-3 of the Advisers Act). In these cases, a portion of these performance-based fees may be included in the incentive program described above.

Variable or incentive compensation, both cash bonus and deferred awards, are a significant component of total compensation for portfolio managers at MacKay Shields. Incentive compensation received by portfolio managers is generally based on both quantitative and qualitative factors. This approach instills a strong sense of commitment towards the overall success of the firm. Deferred awards are provided to attract, retain, motivate and reward key personnel. As such, MacKay Shields maintains a phantom equity plan and awards vest and pay out after several years. Thus, eligible employees share in the results and success of the firm with the receipt of an award from the phantom equity plan. Receipt of an award from the phantom equity plan is conditioned upon execution of an Executive Employment Agreements with MacKay, which include provisions relating to fixed and variable compensation. The Executive Employment Agreements are renewable for one-year terms and can be terminated on 60 days' prior written notice. There is also a provision for termination by MacKay for cause, as defined in the Agreements. The Agreements contain restrictions regarding non-solicitation of clients and non-hiring of employees following termination of the portfolio managers' employment. None of the portfolio managers is subject to a non-compete agreement that could potentially affect the portfolio manager's ability to manage the Fund.

**(a)(4) Disclosure of Securities Ownership**

**Information provided as of October 31, 2022.**

---

| | |
|:---|:---|
| &nbsp;&nbsp;Name | &nbsp;&nbsp;Dollar Range of Fund Shares Beneficially Owned |
| &nbsp;&nbsp; Shu-Yang Tan | &nbsp;&nbsp; $50001-$100000 |
| &nbsp;&nbsp; Matt Jacob |  |
| &nbsp;&nbsp; Eric Gold |  |

---

**Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

**REGISTRANT PURCHASES OF EQUITY SECURITIES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Period** | **(a) Total Number of Shares (or Units) Purchased** | **(b) Average Price Paid per Share (or Unit)** | **(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs** | **(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs** |
| Month #1<br> (11/01/2021-11/30/2021) | 0 |  | 2938945 | 1673507 |
| Month #2 <br> (12/01/2021-12/31/2021) | 0 |  | 2938945 | 1673507 |
| Month #3 <br> (1/01/2022-1/31/2022) | 0 |  | 2938945 | 1673507 |
| Month #4 <br> (2/01/2022-2/28/2022) | 0 |  | 2938945 | 1673507 |
| Month #5<br> (3/01/2022-3/31/2022) | 0 |  | 2938945 | 1673507 |
| Month #6 <br> (4/01/2022-4/30/2022) | 0 |  | 2938945 | 1673507 |
| Month #7 <br> (5/01/2022-5/31/2022) | 0 |  | 2938945 | 1673507 |
| Month #8 <br> (6/01/2022-6/30/2022) | 0 |  | 2938945 | 1673507 |
| Month #9 <br> (7/01/2022-7/31/2022) | 0 |  | 2938945 | 1673507 |
| Month #10 <br> (8/01/2022-8/31/2022) | 0 |  | 2938945 | 1673507 |
| Month #11 <br> (9/01/2022-9/30/2022) | 16854 | 10.89 | 2955799 | 1656653 |
| Month #12 <br> (10/01/2022-10/31/2022) | 34157 | 10.70 | 2989956 | 1622496 |
| Total | 51011 | $10.76 | 2989956 | 1622496 |

---

On September 15, 2015, the Fund commenced a share repurchase program. The program originally expired on March 15, 2016, but the Board of Trustees of the Fund has subsequently authorized the continuation of the Fund's share repurchase program until March 15, 2023. For the year ended October 31, 2022, the fund repurchased 51,011 of its shares at a weighted-average discount of 12.68% from net asset value per share. For the year ended October 31, 2021, the fund repurchased 172,213 of its shares at a weighted-average discount of 11.27% from net asset value per share. The Fund expects to continue to repurchase its outstanding shares until the earlier of (i) the repurchase of an additional 1,622,496 common shares (for an aggregate of 1,673,507), or (ii) March 15, 2023.

**Item 10. Submission of Matters to a Vote of Security Holders.**

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

**Item 11. Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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)).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the registrant's internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has
materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

**Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 13. Exhibits.**

(a)(1) [Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto](ethics.htm).

(a)(2) [Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto](certs_302.htm).

(a)(3) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) [Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto](certs_906.htm) .

**SIGNATURES**<br>

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)\* | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

Date: <u>January 6, 2023</u>

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)\* | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

Date: <u>January 6, 2023</u>

---

| | |
|:---|:---|
| By (Signature and Title)\* | &nbsp;&nbsp;&nbsp;/s/ Donald P. Swade |
|  | &nbsp;&nbsp;&nbsp;Donald P. Swade, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---

Date: <u>January 6, 2023</u>

<sup>\*</sup> Print the name and title of each signing officer under his or her signature.

## Ex-99.Code

#### SENIOR FINANCIAL OFFICER<br> CODE OF CONDUCT
I. Introduction

This code of conduct is being adopted by the investment companies advised by First Trust Advisors L.P., from time to time, (the "FUNDS"). The reputation and integrity of the Funds are valuable assets that are vital to the Funds' success. Each officer of the Funds, and officers and employees of the investment adviser to the Funds who work on Fund matters, including each of the Funds' senior financial officers ("SFOS"), is responsible for conducting each Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the Principal Executive Officer (who is the President), the Controller (who is the principal accounting officer), and the Treasurer (who is the principal financial officer), and any person who performs a similar function.

The Funds, First Trust Advisors L.P. and First Trust Portfolios have adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of 1940 (the "RULE 17J-1 CODE"). These Codes of Ethics are designed to prevent certain conflicts of interest that may arise when officers, employees, or directors of the Funds and the foregoing entities know about present or future Fund transactions and/or have the power to influence those transactions, and engage in transactions with respect to those same securities in their personal account(s) or otherwise take advantage of their position and knowledge with respect to those securities. In an effort to prevent these conflicts and in accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit transactions and conduct that create conflicts of interest, and to establish compliance procedures.

The Sarbanes-Oxley Act of 2002 was designed to address corporate malfeasance and to help assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under Section 406 of the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to prevent future situations (such as occurred in well-reported situations involving such companies as Enron and WorldCom) where a company creates an environment in which employees are afraid to express their opinions or to question unethical and potentially illegal business practices.

The Funds have chosen to adopt a senior financial officer Code of Conduct to encourage their SFOs, and other Fund officers and employees of First Trust Advisors or First Trust Portfolios to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Funds' financial disclosures are complete, accurate, and understandable.

II. Purposes of This Code of Conduct

The purposes of this Code are:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. To promote honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submits to, the SEC and in other public communications the Funds make;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. To promote compliance with applicable governmental laws, rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. To encourage the prompt internal reporting to an appropriate person of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. To establish accountability for adherence to the Code.

III. Questions About This Code

The Funds' Boards of Trustees have designated W. Scott Jardine or other appropriate officer designated by the President of the respective Funds to be the Compliance Coordinator for the implementation and administration of the Code.

IV. Handling of Financial Information

The Funds have adopted guidelines under which its SFOs perform their duties. However, the Funds expect that all officers or employees of the adviser or distributor who participate in the preparation of any part of any Fund's financial statements follow these guidelines with respect to each Fund:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. Act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Disclose to the Fund's Compliance Coordinator any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Coordinator, it should be disclosed to the Fund's Principal Financial Officer or Principal Executive Officer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. Provide information to the Fund's other officers and appropriate employees of service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. Endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. Comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;F. Act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;G. Respect the confidentiality of information acquired in the course of your work except when you have Fund approval to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;H. Share and maintain skills important and relevant to the Fund's needs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I. Proactively promote ethical behavior among peers in your work environment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;J. Responsibly use and control all assets and resources employed or entrusted to you.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;K. Record or participate in the recording of entries in the Fund's books and records that are accurate to the best of your knowledge.

V. Waivers of This Code

SFOs and other parties subject to this Code may request a waiver of a provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by submitting their request in writing to the Compliance Coordinator for appropriate review. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. A good faith interpretation of the provisions of this Code, however, shall not constitute a waiver.

VI. Annual Certification

Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements.

VII. Reporting Suspected Violations

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. SFOs or other officers of the Funds or employees of the First Trust group who work on Fund matters who observe, learn of, or, in good faith, suspect a violation of the Code MUST immediately report the violation to the Compliance Coordinator, another member of the Funds' or First Trust's senior management, or to the Audit Committee of the Fund Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Because service providers such as an administrator, outside accounting firm, and custodian provide much of the work relating to the Funds' financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Coordinator even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. SFOs or other officers or employees who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible.

VIII. Violations of The Code

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. Dishonest, unethical or illegal conduct will constitute a violation of this Code, regardless of whether this Code specifically refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Funds and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors and officers, and criminal laws. The federal securities laws generally prohibit the Funds from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit materials facts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. Examples of criminal violations of the law include stealing, embezzling, misapplying corporate or bank funds, making a payment for an expressed purpose on a Fund's behalf to an individual who intends to use it for a different purpose; or making payments, whether corporate or personal, of cash or other items of value that are intended to influence the judgment or actions of political candidates, government officials or businesses in connection with any of the Funds' activities. The Funds must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations.

Amended: June 1, 2009

## Ex-99.Cert

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 <br> of the Sarbanes-Oxley Act**

I, James M. Dykas, certify that:

1. I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this
report;

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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; 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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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: | January 6, 2023 | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  |  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 <br> of the Sarbanes-Oxley Act**

I, Donald P. Swade, certify that:

1. I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this
report;

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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; 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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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: | January 6, 2023 | &nbsp;&nbsp;&nbsp;/s/ Donald P. Swade |
|  |  | &nbsp;&nbsp;&nbsp;Donald P. Swade, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---

## Exhibit 99.906

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 <br> of the Sarbanes-Oxley Act**

I, James M. Dykas, President and Chief Executive Officer of First Trust High Income Long/Short Fund (the "Registrant"), certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section
13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | January 6, 2023 | &nbsp;&nbsp;&nbsp;/s/ James M. Dykas |
|  |  | &nbsp;&nbsp;&nbsp;James M. Dykas, President and Chief Executive Officer<br> (principal executive officer) |

---

I, Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer of First Trust High Income Long/Short Fund (the "Registrant"), certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section
13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant.

---

| | | |
|:---|:---|:---|
| Date: | January 6, 2023 | &nbsp;&nbsp;&nbsp;/s/ Donald P. Swade |
|  |  | &nbsp;&nbsp;&nbsp;Donald P. Swade, Treasurer, Chief Financial Officer <br> and Chief Accounting Officer<br> (principal financial officer) |

---

## Ex-99

**MacKay Shields LLC**

**Proxy Voting Policies and Procedures Revised January 2022**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.**  **<u>Introduction</u>** 

MacKay Shields LLC ("MacKay Shields" or the "Firm"), has adopted these "Proxy Voting Policy and Procedures" (the "Policy") to ensure the Firm's compliance with Rule 206(4)- 6 under the Investment Advisers Act of 1940, as amended (the "Advisers Act") and other applicable fiduciary obligations. The Policy applies to proxies relating to securities held by clients of MacKay Shields who have delegated the responsibility of voting proxies to the Firm. The Policy is designed to assist Firm employees in meeting their specific responsibilities in this area and to reasonably ensure that proxies are voted in the best interests of the Firm's clients.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. <u>Statement of Policy</u> 

**2.1** It is the policy of MacKay Shields that where the Firm has voting authority, all proxies are to be voted in the best interest of the client without regard to the interests of MacKay Shields or other related parties. Specifically, MacKay Shields shall not subordinate the interests of clients to unrelated objectives, including MacKay Shields' interests. MacKay Shields shall act with the care, skill, prudence and diligence under the circumstances then prevailing that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character and with like aims. For purposes of the Policy, the "best interests of clients" shall mean, unless otherwise specified by the client, the clients' best economic interests over the long term as determined by MacKay Shields – that is, the common interest that all MacKay Shields clients share in seeing the value of a common investment increase over time. It is further the policy of the Firm that complete and accurate disclosure concerning its proxy voting policies and procedures and proxy voting records as required by the Advisers Act, be made available to its clients.

**2.2** When proxies with respect to securities held by clients of MacKay Shields have not been received by MacKay Shields or its proxy voting service provider, MacKay Shields will make reasonable efforts to obtain missing proxies. MacKay Shields is not responsible for voting proxies it or its proxy voting service provider does not receive.

**2.3** MacKay Shields may choose not to vote proxies when it believes that it is appropriate. This may occur, without limitation, under the following circumstances:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· If the effect on the client's economic interests or the value of
the portfolio holding is indeterminable or insignificant;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· If the cost of voting the proxy outweighs the possible benefit to the client; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· If a jurisdiction imposes share blocking restrictions which prevent the
Firm from trading shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. <u>Use of Third Party Proxy Voting Service Provider</u> 

To discharge its responsibility, MacKay Shields has examined third-party services that assist in the researching and voting of proxies and the development of voting guidelines. After such review, the Firm has selected Institutional Shareholder Services, Inc., ("ISS"), to research voting proposals, analyze the financial implications of voting proposals and vote proxies. MacKay Shields utilizes the research and analytical services, operational implementation, administration, record-keeping and reporting services provided by ISS.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. <u>Proxy Voting Guidelines</u> 

**4.1** To the extent that a client has authorized Mackay Shields to vote proxies on its behalf, and except as set forth Sections 6 & 7 of this Policy or at otherwise directed by a client in writing, MacKay has determined to adopt the following proxy voting guidelines:

**4.1.a** Proxies for non-union clients will generally be voted in accordance with the voting recommendations contained in the applicable ISS non-union domestic or global proxy voting guidelines, as in effect from time-to-time ("Non-Union Guidelines"). Refer to Exhibit A for the current U.S. Summary Proxy Voting Guidelines.

**4.1.b** Proxies for union or Taft-Hartley clients will generally be voted in accordance with the voting recommendations contained in the applicable ISS Taft- Hartley domestic or international proxy voting guidelines, as in effect from time- to-time ("Union Guidelines"). Refer to Exhibit B for the current U.S. and International Taft-Hartley Proxy Voting Guidelines.

**4.1.c** Notwithstanding Section 4.1.a of this Policy, proxies for non-union clients whose investment strategy directs MacKay Shields to invest primarily in assets that satisfy Environmental, Social and Governance ("ESG") criteria, as determined by MacKay Shields, in its discretion, will be voted in accordance with the voting recommendations contained in the applicable ISS Sustainability U.S. or International proxy voting guidelines, as in effect from time-to-time ("Sustainability Guidelines"). Refer to Exhibit C for the current U.S. and International Sustainability Proxy Voting Guidelines.

**4.2** For purposes of the Policy, the Non-Union Guidelines, Union Guidelines, and Sustainability Guidelines are collectively referred to as the "Standard Guidelines."

**4.3** A client may choose to use proxy voting guidelines different from the Standard Guidelines ("Custom Guidelines"). Any Custom Guidelines must be furnished by the client to MacKay Shields in writing and MacKay Shields will general vote proxies for any such client in accordance with the applicable Custom Guidelines.

**4.4** In the event the Standard Guidelines or any client's Custom Guidelines do not address how a proxy should be voted or state that the vote is to be determined on a "case- by-case" basis, the proxy will be voted in accordance with ISS recommendations, subject

to Section 6. In the event that ISS has not made a recommendation, MacKay Shields will follow the procedure set forth in Section 7.

**4.5** For clients using the Standard Guidelines, the Firm will instruct ISS to cast votes in accordance with the Standard Guidelines. For clients using Custom Guidelines, the Firm will provide ISS with a copy of such Custom Guidelines and will instruct ISS to cast votes in accordance with such Custom Guidelines. ISS will cast votes in accordance with the Standard Guidelines or Custom Guidelines, as the case may be, unless instructed otherwise by MacKay Shields as set forth in Sections 6 and 7. Upon receipt of a specific request from a client pursuant to Section 4.6, the Firm will instruct ISS to cast such client's proxy in accordance with such request.

**4.6** Notwithstanding the foregoing, MacKay Shields will vote a proxy with respect to a particular security held by a client in accordance with such client's specific request even if it is in a manner inconsistent with the Standard Guidelines or the client's Custom Guidelines, as the case may be. Any such specific requests must be furnished to MacKay Shields by the client in writing and must be received by MacKay on a timely basis for instructing ISS how to cast the vote.

**4.7** In an effort to avoid possible conflicts of interest, MacKay Shields has determined to generally vote proxies based on the Standard Guidelines or a client's Custom Guidelines, as the case may be. For the avoidance of doubt, however, it is recognized that the Firm's portfolio management teams have the ultimate responsibility for determining how to vote proxies in the best interest of a client voting.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. <u>Client Account Set-up and Review</u> 

**5.1** Initially, MacKay Shields must verify whether the client has duly authorized MacKay Shields to vote proxies on its behalf, or if the client has retained the responsibility of voting proxies. The Marketing and Client Services departments, in conjunction with the Legal and/or Compliance Department, will have primary responsibility for making that determination. MacKay's Compliance Department will be responsible for ensuring that a record of each client's proxy voting status and, to the extent applicable, the type of proxy voting guidelines in maintained. In its sole discretion, the Firm may decline to accept authority to vote a client's proxies. Any such refusal shall be in writing.

**5.2** In most cases, the delegation of voting authority to MacKay Shields, and the Firm's use of a third-party proxy voting service provider shall be memorialized in the client's investment management agreement.

**5.3** MacKay Shields shall notify ISS of new client accounts using such form as ISS shall specify from time to time. Designated personnel within the Firm will be responsible for ensuring that each new client's account for which the Firm has proxy voting authority is established on the appropriate systems and that each such account is properly coded for voting under the appropriate Non-Union Guidelines, Union Guidelines or Custom Guidelines, as the case may be.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6. <u>Overriding Guidelines</u> 

A portfolio manager may propose that a particular proxy vote be cast in a manner different from the Standard Guidelines or an ISS voting recommendation, or may propose an abstention from voting, if they believe that to do so, based on all facts and circumstances, is in the best interest of the Firm's clients as a whole. Any portfolio manager who proposes to override the Standard Guidelines or an ISS voting recommendation on a particular vote or to abstain from voting must complete a Proxy Vote Override/Decision Form, which is set forth in Schedule C.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7. <u>Referral of Voting Decision by ISS to MacKay Shields</u> 

**7.1** In the event that the Standard Guidelines or a client's Custom Guidelines do not address how a proxy should be voted on a specific proposal for an issuer and ISS has not made a recommendation as to how such proxy should be voted, ISS will so advise MacKay Shields. In that event, the Legal and/or Compliance Departments will request that the appropriate portfolio manager makes a voting recommendation and complete a Proxy Vote Override/Decision Form.

**7.2** In the event that the Standard Guidelines or a client's Custom Guidelines require a "case-by-case" determination on a particular proxy vote and ISS has not made a recommendation as to how such proxy should be voted, ISS will so advise MacKay Shields. In that event, the Legal and/or Compliance Departments will request that the appropriate portfolio manager make a voting recommendation and complete a Proxy Vote Override/Decision Form.

**7.3** In the event that ISS determines that a conflict of interest exists as a result of which ISS is precluded from making a recommendation as to how a proxy should be voted on a specific proposal for an issuer, ISS will so advise MacKay Shields. In that event, the Legal and/or Compliance Departments will request that the appropriate portfolio manager make a voting recommendation and complete a Proxy Vote Override/Decision Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8. <u>Conflicts of Interest</u> 

**8.1** The Firm's portfolio managers may make proxy voting decisions in connection with (i) overriding the Standard Guidelines or an ISS voting recommendation pursuant to Section 6, or (ii) deciding on a vote pursuant to Section 7. In such event, the portfolio managers have an affirmative duty to disclose to the Legal and/or Compliance Departments any potential conflict of interest known to them that exists between the Firm and the client on whose behalf the proxy is to be voted ("Conflict").

**8.2.** By way of example, Conflicts may exist in situations where the Firm is called to vote on a proxy involving an issuer or proponent of a proxy proposal regarding the issuer where MacKay Shields or an affiliated person of the Firm also:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Manages the issuer's or proponent's pension plan;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Administers the issuer's or proponent's employee benefit plan;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Provided brokerage, underwriting, insurance or banking services to the
issuer or proponent; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Manages money for an employee group.

Additional Conflicts may exist, among others, if an executive of the Firm or its control affiliates is a close relative of, or has a personal or business relationship with:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· An executive of the issuer or proponent;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A director of the issuer or proponent;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A person who is a candidate to be a director of the issuer;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A participant in the proxy contest; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A proponent of a proxy proposal.

**8.3** Whether a relationship creates a Conflict will depend on the facts and circumstances. Even if these parties do not attempt to influence the Firm with respect to voting, the value of the relationship to MacKay Shields or an affiliate can create a Conflict.

**8.4** After a Proxy Vote Override/Decision Form is completed pursuant to Sections 6 or 7, such Form, which elicits information as to whether a potential Conflict exists, must be submitted to the Legal and/or Compliance Departments for review. If the Firm's General Counsel ("GC"), Chief Compliance Officer ("CCO") or their designee determines that there is no potential Conflict, the GC, CCO or their designee, may instruct ISS to vote the proxy issue as set forth in the completed Form.

**8.5** If the GC, CCO or their designee determines that there exists or may exist a Conflict, he or she will refer the issue to the Compliance Committee for consideration by convening (in person or via telephone) an emergency meeting of the Compliance Committee. For purposes of this Policy, a majority vote of those members present shall resolve any Conflict. The Compliance Committee will consider the facts and circumstances of the pending proxy vote and the potential or actual Conflict and make a determination as to how to vote the proxy – i.e., whether to permit or deny the recommendation of the portfolio manager, or whether to take other action, such as delegating the proxy vote to an independent third party or obtaining voting instructions from clients.

**8.6** In considering the proxy vote and potential Conflict, the Compliance Committee may review the following factors, including but not limited to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The percentage of outstanding securities of the issuer held on behalf of
clients by the Firm.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The nature of the relationship of the issuer or proponent with the Firm,
its affiliates or its executive officers.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether there has been any attempt to directly or indirectly influence
the portfolio manager's decision.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether the direction (for or against) of the proposed vote would appear
to benefit the Firm or a related party.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether an objective decision to vote in a certain way will still create
a strong appearance of a Conflict.

MacKay Shields may not abstain from voting any such proxy for the purpose of avoiding Conflict.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9. <u>Securities Lending</u> 

If MacKay Shields portfolio managers or their designees become aware of an upcoming shareholder meeting where there is an important vote to be taken, or become aware of a request for consent of security holders on a material matter affecting the investment, MacKay Shields will consider whether to request that clients call back securities loans, if applicable. In determining whether to request that clients call back securities loans, the relevant portfolio manager(s) shall consider whether the benefit to the client in voting the matter or giving or withholding consent outweighs the benefit to the client in keeping the security on loan. There may be instances when MacKay Shields may not be aware of the upcoming shareholder meeting or request for consent with sufficient time in advance to make such a request, or when MacKay Shields' request that a client call back a securities loan in sufficient time to vote or give or withhold consent may not be successful.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10. <u>Reporting</u> 

Upon request, MacKay Shields shall report annually (or more frequently if specifically requested) to its clients on proxy votes cast on their behalf. MacKay Shields will provide any client who makes a written or verbal request with a copy of a report disclosing how MacKay Shields voted securities held in that client's portfolio. The report will generally contain the following information:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The name of the issuer of the security;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The security's exchange ticker symbol;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The security's CUSIP number;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The shareholder meeting date;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A brief identification of the matter voted on;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether the matter was proposed by the issuer or by a security holder;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether MacKay Shields cast its vote on the matter on behalf of the client;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· How MacKay Shields voted on behalf of the client; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Whether MacKay Shields voted for or against management on behalf of the client.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11. <u>Record-Keeping</u> 

Either MacKay Shields or ISS as indicated below will maintain the following records:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A copy of the Policy and MacKay's Standard Guidelines and Custom Guidelines;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A copy of each proxy statement received by MacKay
Shields or forwarded to ISS by the client's custodian regarding client securities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A record of each vote cast by MacKay Shields on behalf of a client;

that were material to making a decision on the proxy voting (or abstaining from voting) of client securities or that memorialize the basis
for that decision including the resolution of any Conflict, a copy of all guideline override requests and all supporting documents; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· A copy of each written request by a client for information
on how MacKay Shields voted proxies on behalf of the client, as well as a copy of any written response by MacKay Shields to any request
by a client for information on how MacKay Shields voted proxies on behalf of the client; records of oral requests for information or oral
responses will not be kept.

Such records must be maintained for at least eight years, the first two years in an appropriate office of MacKay Shields.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12. <u>Review of Voting and Guidelines</u> 

As part of its periodic reviews, MacKay Shields' Compliance Department will conduct an annual review of the prior year's proxy voting as well as the guidelines established for proxy voting. Documentation shall be maintained of this review and a report setting forth the results of the review will be presented annually to the Compliance Committee. In addition, MacKay Shields' Compliance Department maintains a list of non-voting accounts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13. <u>How to Request Information On How the Firm Voted Proxies</u> 

Clients may, at anytime, request and receive information from MacKay Shields as to how the Firm voted proxies for securities held in their account. Any such proxy information request should be in writing to:

MacKay Shields LLC

1345 Avenue of the Americas New York, NY 10105

43rd Floor

Attention: Head of Client Services

**<u>Exhibits</u>:**

Exhibit A - 2021 U.S. Summary Proxy Voting Guidelines (Standard Guidelines for non-union clients) – published November 19, 2020. Effective for Meetings on or after February 1, 2021

Exhibit B (Part I and II) - 2021 U.S. Taft-Hartley Proxy Voting Guidelines and 2021 International Taft-Hartley Proxy Voting Guidelines (Standard Guidelines for union clients (Taft-Hartley) (US and International)) – published December 27, 2020

Exhibit C (Part I and II) - 2021 U.S. Sustainability Proxy Voting Guidelines and 2021 International Sustainability Proxy Voting Guidelines (Standard Guidelines for ESG investment objective mandates) – Effective for meetings on or after September 1, 2021

Schedule D- Proxy Vote Override/Decision Form

Access to the ISS Voting Guidelines mentioned above and other ISS Voting Guidelines are available at https://www.issgovernance.com/policy-gateway/voting-policies/