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First Trust Senior Loan Fund (FTSL)
Investment Objective/Strategy - The First Trust Senior Loan Fund is an actively managed exchange-traded fund. The fund's primary investment objective is to provide high current income by investing primarily in a diversified portfolio of first lien senior floating-rate bank loans ("Senior Loans"). The fund's secondary investment objective is the preservation of capital. Under normal market conditions, the fund will invest in at least 80% of its net assets in Senior Loans that are made predominantly to businesses operating in North America and may also invest up to 20% of its net assets in non-Senior Loan debt securities, warrants, equity securities and securities of other investment companies.
There can be no assurance that the Fund's investment objectives will be achieved.
Fund Overview
TickerFTSL
Fund TypeSenior Loan
Investment AdvisorFirst Trust Advisors L.P.
Investor Servicing AgentBank of New York Mellon
CUSIP33738D309
ISINUS33738D3098
Intraday NAVFTSLIV
Fiscal Year-End10/31
ExchangeNasdaq
Inception5/1/2013
Inception Price$50.00
Inception NAV$50.00
Expense Ratio0.85%
Current Fund Data (as of 8/25/2016)
Closing NAV1$48.23
Closing Share Price2$48.29
Bid/Ask Midpoint$48.26
Bid/Ask Premium0.07%
Total Net Assets$496,750,017
Outstanding Shares10,300,002
Daily Volume49,627
Average 30-Day Daily Volume74,548
Closing Share Price 52-Week High/Low$49.05 / $46.18
Closing NAV 52-Week High/Low$48.91 / $46.28
Number of Holdings (excluding cash)223
Fund Characteristics (as of 7/29/2016)
Weighted Average Effective Duration70.58 Years
Weighted Average Maturity5.12 Years
Weighted Average Price$99.10
Weighted Average Yield-To-Maturity4.73%
Days to Reset851.19 Days
Percent of Assets with LIBOR Floors89.20%
Please note: Weighted average maturity excludes defaulted assets.
Top Holdings (as of 8/25/2016)*
Holding Percent
DELL INTERNATIONAL LLC DELL TL B 1L USD 2.25%
PETSMART INC PETM TL B 1L USD 2.11%
HILTON WORLDWIDE FINANCE HLT TL B2 1L USD 1.98%
UNIVISION COMMUNICATIONS Variable rate, due 03/01/2020 1.88%
HOSTESS BRANDS LLC HOSBRA TL 1L USD 1.87%
VALEANT PHARMACEUTICALS VRXCN TL B-F1 1L USD 1.87%
PORTILLO'S HOLDINGS LLC PORTIL TL 1L USD 1.86%
BJ'S WHOLESALE CLUB INC Term Loan B 1.77%
ALBERTSON'S LLC ALBLLC TL B4 1L USD 1.75%
AMAYA BV AYACN TL 1L USD 1.75%

* Excluding cash and cash equivalents.  Holdings are subject to change.

NAV History (Since Inception)
Past performance is not indicative of future results.
Overall Morningstar RatingTM (as of 7/31/2016)3

Among 216 funds in the Bank Loan category. This fund was rated 4 stars/216 funds (3 years).
Distribution Information
Dividend per Share Amt4$0.1500
30-Day SEC Yield (as of 7/29/2016)53.76%
12-Month Distribution Rate (as of 7/29/2016)63.82%
Bid/Ask Midpoint vs. NAV (as of 6/30/2016)
Number of Days Bid/Ask Midpoint Above NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
6/30/2016 46 0 0 0
3/31/2016 29 1 0 0
12/31/2015 50 1 0 0
9/30/2015 53 8 0 0
Number of Days Bid/Ask Midpoint Below NAV
Quarter Ended 0-49
Basis Points
50-99
Basis Points
100-199
Basis Points
>=200
Basis Points
6/30/2016 18 0 0 0
3/31/2016 31 0 0 0
12/31/2015 13 0 0 0
9/30/2015 3 0 0 0

The price used to calculate market return is determined by using the midpoint between the highest bid and the lowest offer on the stock exchange, on which shares of the Fund are listed for trading, as of the time that the Fund's NAV is calculated.

Asset Type Breakdown (as of 7/29/2016)
  Asset Percent
Loan 90.81%
Bond 9.18%
Equity 0.01%
Credit Quality (as of 7/29/2016)
BBB 5.25%
BBB- 4.51%
BB+ 3.89%
BB 11.60%
BB- 22.05%
B+ 22.32%
B 17.70%
B- 8.42%
CCC+ 3.00%
CCC 0.85%
CCC- 0.04%
CC 0.09%
D 0.05%
NR 0.23%
The ratings are by Standard & Poor's except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. "NR" indicates no rating. The credit ratings shown relate to the credit worthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
Top Industry Exposure (as of 7/29/2016)
Health Care Providers & Services 14.68%
Hotels, Restaurants & Leisure 12.49%
Pharmaceuticals 7.13%
Media 6.83%
Specialty Retail 4.93%
Food & Staples Retailing 4.67%
Semiconductors & Semiconductor Equipment 4.18%
Life Sciences Tools & Services 4.14%
Software 4.00%
Professional Services 3.85%
Month End Performance (as of 7/29/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
Net Asset Value (NAV) 1.42% 5.06% 2.39% 3.00% N/A N/A 2.74%
After Tax Held 1.01% 4.06% 0.69% 1.33% N/A N/A 1.06%
After Tax Sold 0.80% 2.85% 1.32% 1.52% N/A N/A 1.31%
Market Price 1.49% 5.17% 2.37% 2.93% N/A N/A 2.77%
Index Performance
Markit iBoxx USD Liquid Leveraged Loan Index 1.83% 6.27% 2.16% 2.10% N/A N/A 2.03%
S&P/LSTA U.S. Leveraged Loan 100 Index 2.09% 7.07% 2.69% 2.28% N/A N/A 2.24%
Quarter End Performance (as of 6/30/2016)
  3 Mos YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception9
Fund Performance *
Net Asset Value (NAV) 1.54% 3.74% 1.59% 3.01% N/A N/A 2.40%
After Tax Held 1.12% 2.89% -0.10% 1.34% N/A N/A 0.73%
After Tax Sold 0.87% 2.11% 0.88% 1.53% N/A N/A 1.06%
Market Price 1.45% 3.71% 1.52% 3.04% N/A N/A 2.39%
Index Performance
Markit iBoxx USD Liquid Leveraged Loan Index 2.08% 4.47% -0.10% 1.95% N/A N/A 1.54%
S&P/LSTA U.S. Leveraged Loan 100 Index 2.80% 5.36% 0.69% 2.16% N/A N/A 1.78%
3-Year Statistics (as of 7/29/2016)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
FTSL 2.41% 1.27 0.69 1.11 0.95
Markit iBoxx USD Liquid Leveraged Loan Index 3.23% -0.12 0.97 0.56 0.98
S&P/LSTA U.S. Leveraged Loan 100 Index 3.28% --- 1.00 0.60 1.00
Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are based on the midpoint of the bid/ask spread. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.
The expense ratio for this fund is 0.85%.

Markit iBoxx USD Liquid Leveraged Loan Index - The Index selects the 100 most liquid senior loans in the market.

S&P/LSTA U.S. Leveraged Loan 100 Index - The Index is a market value-weighted index designed to measure the performance of the largest segment of the U.S. syndicated leveraged loan market.

Footnotes
1 The NAV represents the fund's net assets (assets less liabilities) divided by the fund's outstanding shares .
2 Fund shares are purchased and sold on an exchange at their share price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
3
The Morningstar RatingTM is provided for those exchange-traded funds ("ETFs") with at least a three-year history. Ratings are based on the ETF's Morningstar Risk-Adjusted Return measure which accounts for variation in monthly performance, placing more emphasis on downward variations and rewarding consistent performance. An ETF's risk-adjusted return includes a brokerage commission estimate. This estimate is intended to reflect what an average investor would pay when buying or selling an ETF. PLEASE NOTE, this estimate is subject to change and the actual brokerage commission an investor pays may be higher or lower than this estimate. Morningstar compares each ETF's risk-adjusted return to the open-end mutual fund rating breakpoints for that category. Consistent with the open-end mutual fund ratings, the top 10% of ETFs in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The overall rating for an ETF is based on a weighted average of the time-period ratings (e.g., the ETF's 3,5, and 10 year rating). The determination of an ETF's rating does not affect the retail open end mutual fund data published by Morningstar. Past performance is no guarantee of future results.
4 Most recent distribution paid or declared to today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
5 The 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period and includes the effects of fee waivers and expense reimbursements, if applicable.
6 12-Month Distribution Rate is calculated by dividing the sum of the fund's trailing 12-month ordinary distributions paid or declared by the NAV price. Distribution rates may vary.
7 A measure of a bond's sensitivity to interest rate changes that reflects the change in a bond's price given a change in yield. Given that senior loans typically pay a floating rate of interest, they tend to have an effective duration of almost zero. As such, we estimate the duration for senior loans to be approximately 0.25 years.
8 Days to Reset is the average number of days until the floating component of a loan resets.
9 Inception Date is 5/1/2013

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

ETF Characteristics

The fund lists and principally trades its shares on The Nasdaq Stock Market LLC.

Investors buying or selling fund shares on the secondary market may incur customary brokerage commissions. Market prices may differ to some degree from the net asset value of the shares. Investors who sell fund shares may receive less than the share's net asset value. Shares may be sold throughout the day on the exchange through any brokerage account. However, unlike mutual funds, shares may only be redeemed directly from the fund by authorized participants, in very large creation/redemption units. If the fund's authorized participants are unable to proceed with creation/redemption orders and no other authorized participant is able to step forward to create or redeem, fund shares may trade at a discount to the fund's net asset value and possibly face delisting.

Risk Considerations

The fund's shares will change in value and you could lose money by investing in the fund. The fund is subject to management risk because it is an actively managed portfolio. In managing the fund's investment portfolio, the advisor will apply investment techniques and risk analyses that may not have the desired result. There can be no assurance that the fund's investment objectives will be achieved.

The fund is subject to market risk. Market risk is the risk that a particular security owned by the fund or shares of the fund in general may fall in value.

Senior floating-rate loans are usually rated below investment grade but may also be unrated. As a result, the risks associated with these loans are similar to the risks of high-yield fixed income instruments. High-yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and therefore, may be highly speculative. These securities are issued by companies that may have limited operating history, narrowly focused operations, and/or other impediments to the timely payment of periodic interest and principal at maturity. The market for high-yield securities is smaller and less liquid than that for investment grade securities.

Senior Loan securities are subject to numerous risks, including credit risk, interest rate risk, income risk and prepayment risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and that the value of a security may decline as a result. Credit risk may be heightened for senior loans because companies that issue loans tend to be highly leveraged and thus are more susceptible to the risks of interest deferral, default and/or bankruptcy. Interest rate risk is the risk that if interest rates rise, the prices of the fixed-rate instruments held by the fund may fall. Income risk is the risk that if interest rates fall, the income from the fund's portfolio will decline as the fund intends to hold floating-rate debt that will adjust lower with falling interest rates. Loans are subject to pre-payment risk. The degree to which borrowers prepay loans may be affected by general business conditions, the financial condition of the borrower and competitive conditions among loan investors, among others. The fund may not be able to reinvest the proceeds received on terms as favorable as the prepaid loan.

The fund invests in securities of non-U.S. issuers which are subject to higher volatility than securities of U.S. issuers. Because the fund's NAV is determined on the basis of U.S. dollars and the fund invests in non-U.S. securities, you may lose money if the local currency of a non-U.S. market depreciates against the U.S. dollar.

The fund currently intends to effect a significant portion of creations and redemptions for cash, rather than in-kind securities. As a result, the fund may be less tax-efficient.

The fund is classified as "non-diversified" and may invest a relatively high percentage of its assets in a limited number of issuers. As a result, the fund may be more susceptible to a single adverse economic or regulatory occurrence affecting one or more of these issuers, experience increased volatility and be highly concentrated in certain issuers.

First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P. is an affiliate of First Trust Portfolios L.P., the fund's distributor.

©2016 Morningstar, Inc. All Rights Reserved. The Morningstar RatingTM information contained herein: (1) is proprietary to Morningstar;(2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Not FDIC Insured • Not Bank Guaranteed • May Lose Value
 
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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