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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 Ratio0.86%
Current Fund Data (as of 7/23/2021)
Closing NAV1$47.73
Closing Market Price2$47.92
Bid/Ask Midpoint$47.92
Bid/Ask Premium0.40%
30-Day Median Bid/Ask Spread30.02%
Total Net Assets$2,438,822,566
Outstanding Shares51,100,002
Daily Volume485,144
Average 30-Day Daily Volume473,121
Closing Market Price 52-Week High/Low$48.25 / $45.77
Closing NAV 52-Week High/Low$48.04 / $45.86
Number of Holdings (excluding cash)215
Top Holdings (as of 7/23/2021)*
Holding Percent
MPH ACQUISITION HOLDINGS MLTPLN TL B 1L USD 2.27%
CHANGE HEALTHCARE HOLDINGS EM TL B 1L USD 2.01%
SOLARWINDS HOLDINGS INC SWI TL 1L USD 1.96%
MCAFEE LLC MCAFEE TL B 1L USD 1.87%
CCC INFORMATION SERVICES INC CCCG TL B 1L USD 1.84%
GOLDEN NUGGET NUGGET TL B 1L USD 1.83%
CAESARS RESORT COLLECTIO CAERES TL 1L USD 1.75%
ZELIS PAYMENTS BUYER INC STRATO TL B 1L USD 1.73%
Parexel PRXL TL B 1L USD 1.70%
HYLAND SOFTWARE INC HSI TL 1L USD 1.65%

* Excluding cash.  Holdings are subject to change.

NAV History (Since Inception)
Past performance is not indicative of future results.
Overall Morningstar RatingTM (as of 6/30/2021)4

Among 232 funds in the Bank Loan category. This fund was rated 5 stars/232 funds (3 years), 3 stars/209 funds (5 years) based on risk adjusted returns.
Distribution Information
Dividend per Share Amt (as of 7/25/2021)5$0.1350
30-Day SEC Yield (as of 6/30/2021)62.75%
12-Month Distribution Rate (as of 6/30/2021)73.14%
Distribution Rate (as of 6/30/2021)83.51%
Fund Characteristics (as of 7/22/2021)
Weighted Average Effective Duration90.34 Years
Weighted Average Maturity4.50 Years
Weighted Average Price$99.16
Weighted Average Coupon4.01%
Weighted Average Yield-To-Maturity104.05%
Days to Reset1125.10 Days
3-Month LIBOR120.13%
Percent of Assets with LIBOR Floors59.41%
Please note: Weighted average maturity excludes defaulted assets. Weighted average price excludes equity prices.
Asset Type Breakdown (as of 6/30/2021)
  Asset Percent
Loan 93.98%
Bond 5.82%
Equity 0.21%
Bid/Ask Premium/Discount (as of 7/23/2021)
  2020 Q1 2021 Q2 2021 Q3 2021
Days Traded at Premium 113 59 63 16
Days Traded at Discount 140 2 0 0
Credit Quality (as of 6/30/2021)
BBB- 0.04%
BB 1.94%
BB- 5.93%
B+ 24.01%
B 39.46%
B- 23.39%
CCC+ 2.05%
CCC 1.30%
CCC- 0.16%
D 1.46%
NR 0.26%
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 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.
Top Industry Exposure (as of 6/30/2021)
Software 21.08%
Health Care Providers & Services 17.25%
Pharmaceuticals 9.53%
Health Care Technology 8.05%
Hotels, Restaurants & Leisure 7.21%
Insurance 5.43%
Media 5.36%
Containers & Packaging 3.52%
Commercial Services & Supplies 3.29%
Diversified Telecommunication Services 2.90%
Hypothetical Growth of $10,000 Since Inception (as of 7/23/2021) *


Month End Performance (as of 6/30/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception13
Fund Performance *
Net Asset Value (NAV) 1.05% 2.60% 9.43% 4.11% 3.94% N/A 3.34%
After Tax Held 0.73% 1.96% 8.02% 2.45% 2.30% N/A 1.68%
After Tax Sold 0.62% 1.53% 5.56% 2.42% 2.28% N/A 1.80%
Market Price 1.07% 2.44% 9.82% 4.18% 4.01% N/A 3.38%
Index Performance **
Markit iBoxx USD Liquid Leveraged Loan Index 0.78% 1.88% 8.85% 2.98% 3.48% N/A 2.72%
S&P/LSTA Leveraged Loan Index 1.47% 3.28% 11.65% 4.40% 4.99% N/A 4.01%
S&P/LSTA U.S. Leveraged Loan 100 Index 1.13% 2.17% 9.37% 4.30% 4.67% N/A 3.54%
Quarter End Performance (as of 6/30/2021)
  3 Month YTD 1 Year 3 Year 5 Year 10 Year Since
Fund
Inception13
Fund Performance *
Net Asset Value (NAV) 1.05% 2.60% 9.43% 4.11% 3.94% N/A 3.34%
After Tax Held 0.73% 1.96% 8.02% 2.45% 2.30% N/A 1.68%
After Tax Sold 0.62% 1.53% 5.56% 2.42% 2.28% N/A 1.80%
Market Price 1.07% 2.44% 9.82% 4.18% 4.01% N/A 3.38%
Index Performance **
Markit iBoxx USD Liquid Leveraged Loan Index 0.78% 1.88% 8.85% 2.98% 3.48% N/A 2.72%
S&P/LSTA Leveraged Loan Index 1.47% 3.28% 11.65% 4.40% 4.99% N/A 4.01%
S&P/LSTA U.S. Leveraged Loan 100 Index 1.13% 2.17% 9.37% 4.30% 4.67% N/A 3.54%
3-Year Statistics (as of 6/30/2021)
  Standard Deviation Alpha Beta Sharpe Ratio Correlation
FTSL 6.80% 0.39 0.75 0.42 0.97
Markit iBoxx USD Liquid Leveraged Loan Index 7.52% -0.92 0.83 0.25 0.97
S&P/LSTA Leveraged Loan Index 8.79% --- 1.00 0.38 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 determined by using the midpoint of the national best bid offer price ("NBBO") as of the time that the fund's NAV is calculated. 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.

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

S&P/LSTA Leveraged Loan Index - The Index is a leveraged loan index which covers the U.S. Loan market. The Index reflects the market-weighted performance of institutional leveraged loans in the U.S. loan market based upon real-time market weightings, spreads and interest payments.

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 market 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 median bid-ask spread is calculated by identifying the national best bid and national best offer ("NBBO") for the fund as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth.
4
The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The Morningstar Rating does not include any adjustment for sales loads. The top 10% of products in each product 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 Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
5 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.
6 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.
7 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.
8 Distribution Rate is calculated by dividing the fund's most recent ordinary distribution paid or declared, on an annualized basis, by the NAV price. Distribution rates may vary.
9 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.
10 The annualized return that would be earned on a debt security if held to maturity, weighted by the value of each debt security in the fund's portfolio. The calculation does not include the effect of fund fees and expenses.
11 The average number of days until the floating component of a loan resets.
12 A short-term funding rate estimated by banks in London that they would be charged if borrowing from other banks assuming a three month maturity.
13 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.

Risk Considerations

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 a fund by authorized participants in very large creation/redemption units. If a 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 a fund's net asset value and possibly face delisting.

A fund's shares will change in value, and you could lose money by investing in a fund. One of the principal risks of investing in a fund is market risk. Market risk is the risk that a particular stock owned by a fund, fund shares or stocks in general may fall in value. There can be no assurance that a fund's investment objective will be achieved. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

In managing a fund's investment portfolio, the portfolio managers will apply investment techniques and risk analyses that may not have the desired result.

Companies that issue loans tend to be highly leveraged and thus are more susceptible to the risks of interest deferral, default and/or bankruptcy. 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. The senior loan market has seen a significant increase in loans with weaker lender protections which may impact recovery values and/or trading levels in the future.

A fund that effects all or a portion of its creations and redemptions for cash rather than in-kind may be less tax-efficient.

A fund may be subject to the risk that a counterparty will not fulfill its obligations which may result in significant financial loss to a fund.

Covenant-lite loans contain fewer maintenance covenants than traditional loans and may not include terms that allow the lender to monitor the financial performance of the borrower and declare a default if certain criteria are breached. This may hinder a fund's ability to mitigate problems and increase a fund's exposure to losses on such investments.

As the use of Internet technology has become more prevalent in the course of business, funds have become more susceptible to potential operational risks through breaches in cyber security.

Certain securities are subject to call, credit, inflation, income, interest rate, extension and prepayment risks. These risks could result in a decline in a security's value and/or income, increased volatility as interest rates rise or fall and have an adverse impact on a fund's performance.

The market value of floating rate securities may fall in a declining interest rate environment and may also fall in a rising interest rate environment if there is a lag between the rise in interest rates and the reset. Income earned by a fund on floating rate securities may decline due to lower coupon payments on floating-rate securities.

High yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and therefore, are considered to be highly speculative.

A fund may be a constituent of one or more indices which could greatly affect a fund's trading activity, size and volatility.

To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on a fund or on certain instruments in which a fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to a fund.

Certain fund investments may be subject to restrictions on resale, trade over-the-counter or in limited volume, or lack an active trading market. Illiquid securities may trade at a discount and may be subject to wide fluctuations in market value.

A fund and a fund's advisor may seek to reduce various operational risks through controls and procedures, but it is not possible to completely protect against such risks.

A fund with significant exposure to a single asset class, country, region, industry, or sector may be more affected by an adverse economic or political development than a broadly diversified fund.

Securities of small- and mid-capitalization companies may experience greater price volatility and be less liquid than larger, more established companies.

Trading on the exchange may be halted due to market conditions or other reasons. There can be no assurance that the requirements to maintain the listing of a fund on the exchange will continue to be met or be unchanged.

Due to the lack of centralized information and trading, and variations in lot sizes of certain debt securities, the valuation of debt securities may carry more uncertainty and risk than that of publicly traded securities.

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.

©2021 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
 
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA, the Internal Revenue Code or any other regulatory framework. Financial professionals are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for their clients.
First Trust Portfolios L.P.  Member SIPC and FINRA. (Form CRS)   •  First Trust Advisors L.P. (Form CRS)
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