UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust Senior Floating Rate Income Fund II (formerly known as
First Trust/Four Corners Senior Floating Rate Income Fund II)
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2011
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 147.2%
ADVERTISING - 2.0%
$ 6,784,151 Clear Channel Communications,
Inc., Term Loan B ................. Caa1 CCC+ 3.87% 01/29/16 $ 5,122,034
2,000,000 Mood Media Corp., Term Loan, Ba3 B
First Lien ........................ 7.00% 05/06/18 1,895,000
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7,017,034
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AEROSPACE & DEFENSE - 7.0%
2,000,000 Aeroflex, Inc., Term Loan B............ B1 BB- 4.25% 05/09/18 1,870,000
1,582,109 DAE Aviation Holdings, Inc.,
Term Loan B1 ...................... B2 B 5.26% 07/31/14 1,479,271
1,520,151 DAE Aviation Holdings, Inc., B2 B
Term Loan B2 ...................... 5.22%-5.26% 07/31/14 1,421,341
5,218,095 DynCorp International, Inc.,
Term Loan ......................... Ba2 BB- 6.25% 07/07/16 4,989,803
2,319,621 GenCorp, Inc., Synthetic Ba1 BB-
Letter of Credit .................. 3.48% 04/30/13 2,273,229
1,176,747 GenCorp, Inc., Term Loan............... Ba1 BB- 3.48% 04/30/13 1,153,212
1,990,000 Pelican Products, Inc., Term
Loan .............................. NR (f) NR (f) 5.00% 03/07/17 1,930,300
2,227,351 Robertson Fuel Systems, LLC, NR (f) NR (f)
Term Loan ......................... 2.97%-5.00% 04/19/13 2,127,121
3,992,915 TASC, Inc., Term Loan B................ Ba2 BB 4.50% 12/18/15 3,783,287
2,985,000 Transdigm, Inc., Term Loan B .......... Ba2 BB- 4.00% 02/18/17 2,855,651
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23,883,215
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AGRICULTURAL PRODUCTS - 1.1%
1,408,511 Dole Food Company, Inc., Term
Loan B2 ........................... Ba2 BB- 5.00%-6.00% 07/08/18 1,355,692
2,615,806 Dole Food Company, Inc., Term
Loan C2 ........................... Ba2 BB- 5.00%-6.00% 07/08/18 2,517,713
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3,873,405
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ALTERNATIVE CARRIERS - 4.0%
5,985,000 Intelsat Jackson Holdings
S.A., Term Loan B ................. B1 BB- 5.25% 04/02/18 5,710,689
1,000,000 Level 3 Financing, Inc., Term
Loan A ............................ B1 B+ 2.49%-2.50% 03/13/14 930,000
4,000,000 Level 3 Financing, Inc., Term
Loan B2 ........................... B1 B+ 5.75% 09/01/18 3,765,000
3,106,210 Telesat Canada, U.S. Term
Loan I ............................ B1 BB- 3.23% 10/31/14 2,937,698
266,812 Telesat Canada, U.S. Term
Loan II ........................... B1 BB- 3.23% 10/31/14 252,338
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13,595,725
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See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
APPAREL RETAIL - 1.1%
$ 4,000,000 Neiman Marcus Group, Term B2 BB-
Loan .............................. 4.75% 05/16/18 $ 3,692,000
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APPLICATION SOFTWARE - 4.3%
1,990,000 Bentley Systems, Inc., Term Ba3 BB+
Loan B ............................ 5.75% 12/29/16 1,930,300
2,487,500 CCC Information Systems, B1 B+
Inc., Term Loan B ................. 5.50% 11/11/15 2,425,313
4,000,000 Eagle Parent, Inc., Term Loan Ba3 B+
B ................................. 5.00% 05/16/18 3,706,668
1,990,000 Property Data, Inc., Term Ba3 B+
Loan .............................. 7.00% 01/04/17 1,850,700
2,500,000 Trizetto Group, Inc., Term B1 BB-
Loan B ............................ 4.75% 05/02/18 2,312,500
2,493,750 Verint Systems, Inc., Term B1 B+
Loan B, First Lien ................ 4.50% 10/29/17 2,385,688
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14,611,169
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ASSET MANAGEMENT & CUSTODY BANKS - 5.7%
1,313,950 Grosvenor Capital Management
Holdings, LLP, Term Loan .......... NR (f) NR (f) 4.25% 12/05/16 1,307,380
2,265,024 Harbourvest Partners L.P.,
Term Loan B ....................... NR (f) NR (f) 6.25% 12/19/16 2,197,073
5,758,036 LPL Holdings, Inc., Term Loan ......... Ba3 BB- 5.25% 06/28/17 5,671,666
3,000,000 Mondrian Investment Partners
Ltd., Term Loan B ................. Ba2 BB 5.50% 07/14/18 2,887,500
1,326,667 Munder Capital Management,
Incremental Term Loan ............. NR (f) NR (f) 6.00% 03/23/15 1,326,667
6,704,791 Nuveen Investments, Inc.,
Extended Term Loan ................ B2 B 5.75%-5.81% 05/13/17 6,235,455
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19,625,741
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AUTO PARTS & EQUIPMENT - 3.7%
1,500,000 Autoparts Holdings Ltd., Term
Loan, First Lien .................. B1 B+ 6.50% 08/04/17 1,470,000
3,990,000 HHI Holdings, LLC, Term Loan
B ................................. B2 B+ 7.00%-7.75% 03/21/17 3,790,500
3,990,000 Metaldyne, LLC, Term Loan B ........... B1 B+ 5.25% 05/18/17 3,810,450
1,846,267 Tomkins, PLC, Term Loan B.............. Ba2 BB 4.25% 09/29/16 1,790,879
1,990,000 Transtar Holding Co., Term
Loan, First Lien .................. Ba3 BB- 4.50% 12/21/16 1,890,500
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12,752,329
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AUTOMOTIVE RETAIL - 1.2%
2,500,000 KAR Holdings, Inc., Term Loan
B ................................. Ba3 BB- 5.00% 05/19/17 2,387,500
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
AUTOMOTIVE RETAIL - (Continued)
$ 2,000,000 Pilot Travel Centers, LLC,
Term Loan B ....................... Ba2 BB+ 4.25% 03/30/18 $ 1,897,500
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4,285,000
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BIOTECHNOLOGY - 1.4%
5,000,000 Grifols, SA, Term Loan B............... Ba3 BB 6.00% 12/31/16 4,900,000
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BROADCASTING - 3.3%
1,000,000 Cumulus Media Holdings, Inc.,
Term Loan, First Lien ............. Ba2 BB 5.75% 07/29/18 925,000
1,000,000 Cumulus Media Holdings, Inc.,
Term Loan, Second Lien ............ B2 B- 7.50% 01/29/19 930,000
4,412,258 FoxCo Acquisition, LLC, Term
Loan B ............................ B1 B+ 4.75% 07/14/15 4,125,461
1,350,322 Gray Television, Inc., Term
Loan B ............................ B2 B 3.71% 12/31/14 1,249,048
1,500,000 Hubbard Radio, LLC, Term Loan.......... Ba3 B+ 5.25% 04/28/17 1,425,000
2,000,000 Raycom TV Broadcasting, LLC,
Term Loan B ....................... NR NR 4.50% 06/02/17 1,875,000
827,222 Sinclair Broadcasting Group, Baa3 BB+
Term Loan B ....................... 4.00% 10/28/16 812,746
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11,342,255
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CABLE & SATELLITE - 3.2%
1,792,547 Atlantic Broadband Finance, Ba3 B+
LLC, Term Loan .................... 4.00% 03/08/16 1,713,376
1,990,000 Bresnan Broadband Holdings, Ba3 BB+
LLC, Term Loan B .................. 4.50% 12/14/17 1,907,913
5,591,330 CSC Holdings, Inc., Term Loan Baa3 BBB-
B3, Extended Maturity ............. 1.97% 03/29/16 5,294,290
1,990,000 Knology, Inc., Term Loan B............. B1 B+ 4.00% 08/18/17 1,890,500
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10,806,079
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CASINOS & GAMING - 5.4%
1,995,000 Ameristar Casinos, Inc., Term
Loan B ............................ Ba3 BB+ 4.00% 04/16/18 1,901,899
2,894,939 CCM Merger, Inc., Term Loan B.......... B3 B+ 7.00% 03/01/17 2,808,091
5,000,000 Harrah's Entertainment, Inc.,
Term Loan B2 ...................... B3 B 3.22%-3.25% 01/28/15 4,295,835
1,990,000 Isle of Capri Casinos, Term
Loan B ............................ Ba3 BB- 4.75% 03/25/17 1,903,767
2,000,000 ROC Finance, LLC, Term Loan ........... Ba3 BB- 8.50% 08/18/17 1,940,000
2,862,123 VML US Finance, LLC, Term
Loan B ............................ Ba3 BB 4.73% 05/25/13 2,834,696
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
CASINOS & GAMING - (Continued)
$ 3,000,000 Wynn Las Vegas, LLC, Term
Loan B1............................ Ba3 BBB- 3.22% 08/17/15 $ 2,910,000
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18,594,288
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COAL & CONSUMABLE FUELS - 0.8%
2,992,500 Walter Energy, Inc., Term
Loan B ............................ B1 BB- 4.00% 04/01/18 2,872,800
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COMMUNICATIONS EQUIPMENT - 0.3%
997,500 Commscope, Inc., Term Loan B........... Ba3 BB 5.00% 01/14/18 957,600
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COMPUTER HARDWARE - 1.1%
4,325,259 CDW, LLC, Extended Term Loan .......... B2 B 4.25% 07/15/17 3,914,360
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CONSTRUCTION & ENGINEERING - 0.6%
2,000,000 Terex Corp., Term Loan................. Ba2 BB 5.50% 04/28/17 1,951,666
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CONSUMER FINANCE - 0.6%
2,000,000 Ocwen Financial Corp., Term
Loan .............................. B1 B 7.00% 08/12/16 1,920,000
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DATA PROCESSING & OUTSOURCED SERVICES - 1.6%
857,143 Global Cash Access, Inc.,
Term Loan ......................... B1 BB- 7.00% 03/01/16 831,429
5,720,578 Harland Clarke Holdings
Corp., Term Loan B ................ B1 B+ 2.72%-2.75% 06/30/14 4,748,080
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5,579,509
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DIVERSIFIED CHEMICALS - 2.2%
945,280 Ineos Group Limited, Term
Loan B2 ........................... Ba3 B 7.50% 12/16/13 959,459
945,861 Ineos Group Limited, Term
Loan C2 ........................... Ba3 B 8.00% 12/16/14 960,049
5,970,000 Univar, Inc., Term Loan B.............. B2 B 5.00% 06/30/17 5,527,223
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7,446,731
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DIVERSIFIED SUPPORT SERVICES - 0.6%
1,990,000 Brickman Group Holdings,
Inc., Term Loan B ................. B1 B+ 7.25% 10/14/16 1,965,125
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ELECTRIC UTILITIES - 0.7%
3,241,410 Texas Competitive Electric
Holdings Company, LLC,
Term Loan B3 ...................... B2 CCC 3.71%-3.77% 10/10/14 2,479,679
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ELECTRONIC EQUIPMENT & INSTRUMENT - 0.8%
2,884,000 iPayment, Inc., Term Loan B............ Ba2 B+ 5.75% 05/08/17 2,710,960
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ENVIRONMENTAL & FACILITIES SERVICES - 2.2%
5,940,000 EnergySolutions, LLC, Term
Loan ............................... Ba2 BB+ 6.25% 08/15/16 5,643,000
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
ENVIRONMENTAL & FACILITIES SERVICES - (Continued)
$ 1,995,000 Waste Industries USA, Inc.,
Term Loan B ....................... B1 B+ 4.75% 03/17/17 $ 1,865,325
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7,508,325
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FOOD DISTRIBUTORS - 0.4%
1,500,000 General Nutrition Centers,
Inc., Term Loan B ................. B1 B+ 4.25% 03/02/18 1,425,000
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FOOD RETAIL - 3.0%
4,166,014 SUPERVALU, Inc., Extended
Term Loan B2 ...................... B1 BB 3.47% 10/05/15 3,916,054
3,752,324 Univision Corp., Term Loan ............ B2 B+ 2.22% 09/29/14 3,333,313
3,541,272 Univision Corp., Extended
Term Loan ......................... B2 B+ 4.47% 03/31/17 3,032,214
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10,281,581
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GENERAL MERCHANDISE STORES - 0.3%
997,500 Savers, Inc., Term Loan B.............. Ba3 B+ 4.25% 03/04/17 957,600
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HEALTH CARE EQUIPMENT - 3.4%
3,650,823 Biomet, Inc., Dollar Term
Loan .............................. B1 BB- 3.22%-3.25% 03/25/15 3,395,266
6,982,500 Carestream Health, Inc., Term
Loan B ............................ B1 BB- 5.00% 02/28/17 5,673,281
2,976,864 DJO Finance, LLC, Term Loan............ Ba2 BB- 3.22% 05/20/14 2,751,119
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11,819,666
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HEALTH CARE FACILITIES - 6.7%
2,552,176 CHS/Community Health Systems,
Inc., Extended Term Loan .......... Ba3 BB 3.72%-3.82% 01/25/17 2,332,051
3,000,000 Golden Living Drumm
Investors, LLC, Term Loan ......... B1 B+ 5.00% 05/04/18 2,670,000
3,291,558 HCA, Inc., Term Loan B-2 .............. Ba3 BB 3.50% 03/31/17 3,039,205
1,745,625 HCR ManorCare, LLC, Term Loan
B ................................. Ba3 B+ 5.00% 04/06/18 1,475,053
3,500,000 Kindred Healthcare, Inc.,
Term Loan B ....................... Ba3 B+ 5.25% 06/01/18 3,255,000
3,000,000 Select Medical Corp., Term
Loan B ............................ Ba3 BB- 5.50% 06/01/18 2,696,250
2,000,000 Surgical Care Affiliates,
Inc., Term Loan B ................. Ba3 B 5.50% 06/22/18 1,900,000
5,925,374 Vanguard Health Systems,
Inc., Term Loan B ................. Ba2 BB- 5.00% 01/29/16 5,609,356
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22,976,915
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HEALTH CARE SERVICES - 6.0%
2,000,000 Alere, Inc., Term Loan B............... Ba2 BB- 4.50% 07/01/18 1,880,000
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
HEALTH CARE SERVICES - (Continued)
$ 4,987,500 Emergency Medical Services
Corp., Term Loan B ................ B1 B+ 5.25% 05/25/18 $ 4,646,689
3,949,686 Gentiva Health Services,
Inc., Term Loan B ................. Ba2 B+ 4.75% 08/17/16 3,396,730
1,910,000 Healthways, Inc., Term Loan B ......... Ba2 BB 1.75% 12/01/13 1,833,600
2,290,650 MedAssets, Inc., Term Loan B .......... Ba3 BB- 5.25% 11/19/16 2,170,390
995,000 Renal Advantage Holdings,
Inc., Term Loan B ................. Ba3 B 5.75% 12/10/16 980,075
2,000,000 Rural Metro Corp., Term Loan,
First Lien ........................ Ba3 B 5.75% 06/30/18 1,880,000
1,985,000 Sheridan Healthcare, Inc.,
Incremental Term Loan ............. B1 B 3.97% 06/15/14 1,806,350
203,720 Vantage Oncology Holdings,
LLC, Delayed Draw Term
Loan .............................. B2 B 7.00% 01/31/17 198,627
1,676,862 Vantage Oncology Holdings,
LLC, Term Loan .................... B2 B 6.25% 01/31/17 1,634,940
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20,427,401
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HEALTH CARE SUPPLIES - 0.5%
1,990,000 ConvaTec, Inc., Term Loan B............ Ba3 B+ 5.75% 12/22/16 1,845,725
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HOME ENTERTAINMENT SOFTWARE - 1.4%
3,000,000 DG Fastchannel, Inc., Term
Loan B ............................ B1 BB- 5.75% 06/30/18 2,850,000
1,995,000 NDS Group, Inc., Term Loan B........... Ba2 BB- 4.00% 03/12/18 1,855,350
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4,705,350
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HOMEBUILDING - 0.2%
954,660 Mattamy Funding Partnership,
Term Loan ......................... NR (f) NR (f) 2.63% 04/11/13 849,647
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INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 5.7%
5,995,000 AES Corp., Term Loan B................. Ba1 BB+ 4.25% 06/01/18 5,767,688
3,990,000 Calpine Corp., Term Loan B-1 .......... B1 B+ 4.50% 04/01/18 3,690,750
2,000,000 Calpine Corp., Term Loan B-2 .......... B1 B+ 4.50% 04/01/18 1,850,000
3,000,000 NRG Energy, Inc., Term Loan B ......... Baa3 BB+ 4.00% 07/01/18 2,902,500
2,863,636 Race Point Power, LLC, Term
Loan .............................. Ba2 BB 7.75% 01/11/18 2,763,409
2,538,462 Star West Generation, LLC,
Term Loan B ....................... Ba3 BB- 6.00% 05/24/18 2,392,500
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19,366,847
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Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
INDUSTRIAL MACHINERY - 2.5%
$ 1,995,000 Douglas Dynamics, LLC, Term
Loan .............................. B1 BB 5.75% 04/18/18 $ 1,915,200
3,000,000 Husky International, Ltd.,
Term Loan B ....................... Ba3 B 6.50% 06/30/18 2,913,750
3,887,658 Intelligrated, Inc., Term
Loan B ............................ B2 B+ 7.50% 02/17/17 3,761,309
-------------
8,590,259
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 3.5%
1,320,843 Avaya, Inc., Term Loan B1 ............. B1 B 3.06% 10/24/14 1,185,456
3,653,185 Avaya, Inc., Term Loan B3 ............. B1 B 4.81% 10/26/17 3,164,571
2,985,000 Global TelLink, Inc., Term
Loan B ............................ B1 B 5.00% 11/10/16 2,835,750
2,984,829 nTelos, Inc., Term Loan B.............. Ba3 BB 4.00% 08/07/15 2,820,664
2,000,000 Securus Technologies, Inc.,
Term Loan B ....................... B1 B+ 5.25% 06/07/17 1,925,000
-------------
11,931,441
-------------
INTERNET SOFTWARE & SERVICES - 0.8%
3,000,000 AVG Technologies, Term Loan B.......... B1 B+ 7.50% 03/15/16 2,760,000
-------------
IT CONSULTING & OTHER SERVICES - 1.1%
2,925,000 Presidio, Inc., Term Loan B ........... Ba3 B+ 7.25% 03/31/17 2,808,000
984,034 West Corp., Term Loan B5 .............. Ba3 BB- 4.50% 07/15/16 932,372
-------------
3,740,372
-------------
LEISURE FACILITIES - 1.1%
3,870,130 Six Flags, Inc., Term Loan B........... B1 BB 5.25% 06/30/16 3,773,377
-------------
LEISURE PRODUCTS - 1.8%
2,982,450 Live Nation Entertainment,
Inc., Term Loan B ................. Ba2 BB- 4.50% 11/07/16 2,803,503
1,251,395 LodgeNet Entertainment Corp.,
Term Loan ......................... B3 B 6.50% 04/04/14 1,113,741
2,500,000 SRAM, LLC, Term Loan B................. Ba2 B+ 4.75%-5.75% 06/10/18 2,375,000
-------------
6,292,244
-------------
LIFE & HEALTH INSURANCE - 0.5%
1,646,838 CNO Financial Group, Inc.,
Term Loan ......................... B1 B+ 6.25% 09/30/16 1,605,667
-------------
LIFE SCIENCES TOOLS & SERVICES - 2.0%
2,976,731 inVentiv Health, Inc., Term
Loan .............................. B1 BB- 6.50% 08/04/16 2,805,569
1,000,000 inVentiv Health, Inc., Term
Loan 3 ............................ B1 BB- 6.75% 07/19/18 940,000
3,500,000 Quintiles Transnational
Corp., Term Loan B, First
Lien .............................. B1 BB- 5.00% 06/02/18 3,241,875
-------------
6,987,444
-------------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
MANAGED HEALTH CARE - 2.1%
$ 7,818,510 MultiPlan, Inc., Term Loan............. Ba3 B 4.75% 08/26/17 $ 7,241,895
-------------
MOVIES & ENTERTAINMENT - 2.1%
1,638,415 AMC Entertainment, Inc., Term
Loan .............................. Ba2 BB- 3.50% 12/15/16 1,529,187
1,338,462 Filmyard Holdings, LLC, Term
Loan B ............................ Ba2 BB- 7.75% 06/22/16 1,325,077
1,492,500 Regal Cinemas Corp., Term
Loan .............................. Ba2 BB- 3.50% 08/23/17 1,404,816
2,992,500 TWCC Holding Corp., Term Loan
B ................................. Ba3 BB- 4.25% 02/11/17 2,865,319
-------------
7,124,399
-------------
OIL & GAS EQUIPMENT & SERVICES - 0.5%
1,978,632 Aquilex Holdings, LLC, Term
Loan .............................. B3 B 6.00% 04/01/16 1,582,905
-------------
OIL & GAS REFINING & MARKETING - 0.4%
105,556 Alon USA, Inc., Term Loan
(Edgington Facility) .............. B1 B+ 2.47%-2.57% 08/05/13 94,736
844,444 Alon USA, Inc., Term Loan
(Paramount Facility) .............. B1 B+ 2.47%-2.57% 08/05/13 757,889
583,165 Citgo Petroleum Corp., Term
Loan B ............................ Ba2 BB+ 8.00% 06/24/15 581,707
-------------
1,434,332
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 5.2%
2,987,513 Fifth Third Processing
Solutions, LLC, Term Loan
B ................................. Ba3 BB- 4.50% 11/03/16 2,823,199
4,697,222 First American Payment
Systems, L.P., Term Loan
B ................................. B1 B+ 6.75% 11/01/16 4,579,792
938,593 First Data Corp., Term Loan
B2 ................................ B1 B+ 2.97% 09/24/14 828,308
5,631,559 First Data Corp., Term Loan
B3 ................................ B1 B+ 2.97% 09/24/14 4,969,851
871,795 Moneygram International, Term
Loan B ............................ Ba1 BB- 4.50% 11/18/17 833,654
3,000,000 Royalty Pharma Finance Trust,
Term Loan ......................... Baa2 BBB- 4.00% 05/08/18 2,902,500
1,000,000 WorldPay U.S., Inc., Facility
B2A (USD) ......................... Ba2 BB 5.25% 11/30/17 949,250
-------------
17,886,554
-------------
PACKAGED FOODS & MEATS - 2.1%
3,865,511 Dean Foods Co., Term Loan B............ Ba3 BB- 3.25% 04/02/16 3,556,271
2,000,000 Del Monte Foods Company, Term Ba3 B+
Loan B ............................ 4.50% 03/08/18 1,892,500
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
PACKAGED FOODS & MEATS - (Continued)
$ 997,500 Farley's and Sathers Candy
Co., Inc., Term Loan B ............ B1 B+ 6.50% 03/30/18 $ 977,550
1,000,000 JBS USA, LLC, Term Loan B ....... Ba3 BB 4.25% 05/25/18 942,500
-------------
7,368,821
-------------
PAPER PACKAGING - 3.6%
1,943,000 RanPak Corp., Term Loan B ..... NR (f) NR (f) 4.75% 04/20/17 1,901,711
8,977,500 Reynolds Consumer Products
Holdings, Inc., Term Loan ......... Ba3 BB 6.50% 02/09/18 8,618,400
2,000,000 Reynolds Consumer Products
Holdings, Inc., Term Loan
C ................................. Ba3 BB 6.50% 08/03/18 1,913,334
-------------
12,433,445
-------------
PHARMACEUTICALS - 2.4%
2,815,187 Catalent Pharma Solutions,
Inc., Dollar Term Loan ............ Ba3 BB- 2.47% 04/10/14 2,414,022
2,493,110 IMS Health, Term Loan B................ Ba3 BB 4.50% 08/26/17 2,374,688
1,596,000 Warner Chilcott, PLC, Term
Loan B1 ........................... Ba3 BBB- 4.25% 03/15/18 1,528,170
798,000 Warner Chilcott, PLC, Term
Loan B2 ........................... Ba3 BBB- 4.25% 03/15/18 764,085
1,097,250 Warner Chilcott, PLC, Term
Loan B3 ........................... Ba3 BBB- 4.25% 03/15/18 1,050,617
-------------
8,131,582
-------------
PUBLISHING - 1.5%
2,985,000 Cenveo Corporation, Term Loan ......... Ba3 BB- 6.25% 12/21/16 2,884,256
1,961,378 Getty Images, Inc., Term Loan
B ................................. Ba3 BB- 5.25% 11/09/16 1,927,054
784,964 Yell Group, PLC, Term Loan B1 ......... Caa1 CCC+ 3.97% 07/31/14 245,301
-------------
5,056,611
-------------
REAL ESTATE OPERATING COMPANIES - 0.8%
2,985,000 ClubCorp Corp Operations,
Inc., Term Loan ................... Ba2 BB 6.00% 11/30/16 2,790,975
-------------
REAL ESTATE SERVICES - 2.3%
2,000,000 CB Richard Ellis Services,
Inc., Term Loan C ................. Ba1 BB 3.47% 03/04/18 1,896,666
4,985,000 CB Richard Ellis Services,
Inc., Term Loan D ................. Ba1 BB 3.71% 09/04/19 4,719,135
1,393,829 Realogy Corp., Term Loan,
First Lien ........................ B1 B- 4.52% 10/10/16 1,146,424
-------------
7,762,225
-------------
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
RESEARCH & CONSULTING SERVICES - 5.3%
$ 1,995,000 Acosta, Inc., Term Loan B.............. NR (f) NR (f) 4.75% 03/01/18 $ 1,865,325
5,970,000 Advantage Sales & Marketing,
Inc., Term Loan, First
Lien .............................. NR B+ 5.25% 12/17/17 5,636,677
6,493,029 Affinion Group, Inc., Term
Loan B ............................ Ba3 BB- 5.00% 10/09/16 5,892,424
1,708,785 Nielsen Finance, LLC, Dollar
Term Loan B ....................... Ba2 BB 3.96% 05/02/16 1,629,753
1,470,056 Nielsen Finance, LLC, Dollar
Term Loan C ....................... Ba2 BB 3.46% 05/02/16 1,385,528
2,000,000 Symphony IRI Group, Inc.,
Term Loan B-2 ..................... B1 B+ 5.00% 12/01/17 1,915,000
-------------
18,324,707
-------------
RESTAURANTS - 2.1%
1,990,000 Burger King Corp., Term Loan
B ................................. Ba3 BB- 4.50% 10/19/16 1,883,037
2,240,634 Dunkin Brands, Inc., Term
Loan B2 ........................... B2 B 4.00% 11/23/17 2,151,009
3,245,079 Focus Brands, Inc., Term Loan
B ................................. B2 B 5.25%-6.25% 11/05/16 3,115,276
-------------
7,149,322
-------------
RETAIL REITS - 1.3%
4,893,547 Capital Automotive L.P., Term
Loan B ............................ Ba3 B+ 5.00% 03/11/17 4,563,232
-------------
SEMICONDUTORS - 1.5%
3,964,469 Freescale Semiconductor,
Inc., Extended Term Loan .......... B1 B 4.46% 12/01/16 3,597,756
1,622,804 Intersil Corporation, Term
Loan .............................. Ba2 BB+ 4.75% 04/27/16 1,559,921
-------------
5,157,677
-------------
SPECIALIZED CONSUMER SERVICES - 4.1%
226,464 ARAMARK Corp., Prefunded
Synthetic Letter of
Credit 2 .......................... Ba3 BB 3.50% 07/26/16 209,479
3,443,529 ARAMARK Corp., Term Loan B ............ Ba3 BB 3.50% 07/26/16 3,185,264
5,877,273 Asurion Corp., Term Loan B ............ NR B+ 5.50% 05/24/18 5,495,250
2,000,000 Asurion Corp., Term Loan,
Second Lien ....................... NR B- 9.00% 05/24/19 1,912,500
1,952,080 Language Line, LLC, Term Loan
B ................................. Ba3 B+ 6.25% 06/20/16 1,815,434
1,486,457 Protection One, Inc., Term
Loan .............................. B1 BB 6.00% 06/04/16 1,419,567
-------------
14,037,494
-------------
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
SPECIALTY CHEMICALS - 4.0%
$ 1,455,319 Arizona Chemical, Inc., Term
Loan B ............................ B1 B+ 4.75% 11/19/16 $ 1,398,925
1,986,424 Houghton International, Inc.,
Term Loan B ....................... B1 B 6.75% 01/31/16 1,946,696
1,918,644 Nusil Technology, LLC, Term
Loan, First Lien .................. NR (f) NR (f) 5.25% 04/07/17 1,813,118
2,000,000 OM Group, Inc., Term Loan B............ Ba2 BB- 5.75% 08/04/17 1,970,000
1,488,750 Omnova Solutions, Inc., Term
Loan B ............................ Ba2 B+ 5.75% 05/31/17 1,436,644
3,359,244 Solutia, Inc., Term Loan .............. Ba1 BB+ 3.50% 08/01/17 3,203,879
1,990,000 Styron Corp., Term Loan B ............. B1 B+ 6.00% 08/02/17 1,820,850
-------------
13,590,112
-------------
SPECIALTY STORES - 2.6%
1,995,000 Jo-Ann Stores, Inc., Term
Loan B ............................ B1 B+ 4.75% 03/16/18 1,845,375
3,482,500 NBTY, Inc., Term Loan B ............... Ba3 BB- 4.25% 10/01/17 3,321,435
3,960,000 Petco Animal Supplies, Inc.,
Term Loan ......................... B1 B 4.50% 11/24/17 3,689,401
-------------
8,856,211
-------------
SYSTEMS SOFTWARE - 2.8%
1,018,366 Open Solutions, Inc., Term
Loan, First Lien .................. B1 BB- 2.38% 01/23/14 835,908
500,000 SunGard Data Systems, Inc.,
Incremental Term Loan ............. Ba3 BB 3.71% 02/28/14 465,000
4,260,021 SunGard Data Systems, Inc.,
Term Loan B ....................... Ba3 BB 3.84%-3.89% 02/28/16 3,908,570
4,480,000 Vertafore, Inc., Term Loan,
First Lien ........................ B1 B+ 5.25% 07/29/16 4,256,000
-------------
9,465,478
-------------
TRUCKING - 2.6%
3,990,000 Hertz Corp., Term Loan B............... Ba1 BB 3.75% 03/11/18 3,780,525
3,000,000 Sirva Worldwide, Inc., Term
Loan B ............................ NR (f) NR (f) 10.75% 03/31/16 2,925,000
2,358,385 Swift Transportation Co.,
Inc., Term Loan B ................. B1 BB- 6.00% 12/21/16 2,238,992
-------------
8,944,517
-------------
WIRELESS TELECOMMUNICATION SERVICES - 2.1%
3,486,255 MetroPCS Wireless, Inc., Term
Loan B ............................ Ba1 BB 4.00% 03/18/18 3,220,428
2,985,000 Syniverse Technologies, Inc.,
Term Loan B ....................... B1 BB- 5.25% 12/22/17 2,880,525
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
WIRELESS TELECOMMUNICATION SERVICES - (Continued)
$ 997,500 TowerCo Finance, LLC, Term
Loan B ............................ Ba3 BB- 5.25% 02/02/17 $ 947,625
-------------
7,048,578
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................. 504,572,603
(Cost $535,537,837) -------------
PRINCIPAL STATED
VALUE DESCRIPTION RATE MATURITY VALUE
---------------- ------------------------------------------------------------ ----------- ------------- -------------
NOTES - 0.0%
HOMEBUILDING - 0.0%
$ 727,273 TOUSA, Inc. (Payment-In-kind Election Note) (g)
(h) (i) (j)............................................. 14.75% 07/01/15 0
-------------
TOTAL NOTES ........................................................................... 0
(Cost $436,364) -------------
SHARES DESCRIPTION VALUE
---------------- ----------------------------------------------------------------------------------------- -------------
COMMON STOCKS - 0.4%
DIVERSIFIED CHEMICALS - 0.4%
38,260 LyondellBasell Industries AF S.C.A., Class B ............................................ 1,325,709
-------------
TOTAL COMMON STOCKS ..................................................................... 1,325,709
(Cost $633,317) -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (g) (i).............................................................. 2,203
-------------
TOTAL WARRANTS .......................................................................... 2,203
(Cost $0) -------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred 0
Stock) (g) (h) (i) (k)...................................................................
-------------
TOTAL PREFERRED STOCKS .................................................................. 0
(Cost $2,563,636) -------------
TOTAL INVESTMENTS - 147.6% .............................................................. 505,900,515
(Cost $539,171,154) (l)
OUTSTANDING LOAN - (42.0%) .............................................................. (144,000,000)
NET OTHER ASSETS AND LIABILITIES - (5.6%) ............................................... (19,187,937)
-------------
NET ASSETS - 100.0% ..................................................................... $ 342,712,578
=============
Page 12 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) All investments are available to serve as collateral on the outstanding
loan.
(c) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard
& Poor's Ratings Group are considered to be below investment grade.
(d) Senior Loans in which the Fund invests pay interest at rates which are
periodically predetermined by reference to a base lending rate plus a
premium. These base lending rates are generally (i) the lending rate
offered by one or more major European banks, such as the London Inter-Bank
Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more United
States banks or (iii) the certificate of deposit rate. Certain Senior
Loans are subject to a LIBOR floor that establishes a minimum base LIBOR
rate.
(e) 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.
(f) This Senior Loan Interest was privately rated upon issuance. The rating
agency does not provide ongoing surveillance on the rating.
(g) This security is fair valued in accordance with procedures adopted by the
Fund's Board of Trustees, and in accordance with the provisions of the
Investment Company Act of 1940, as amended.
(h) This borrower has filed for protection in federal bankruptcy court.
(i) This security is restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended. Prior
to registration, restricted securities may only be resold in transactions
exempt from registration (See Note D - Restricted Investments in the
Notes to Quarterly Portfolio of Investments).
(j) This security is a Senior Subordinated Payment-in-Kind Election Note
whereby 1.00% of interest per annum will be paid in cash and 13.75% of
interest per annum shall be paid by the issuer, at its option (i) entirely
in cash , (ii) entirely in Payment-in-Kind interest or (iii) a combination
thereof. Interest is to be paid semi-annually; however, the issuer is in
default and income is not being accrued.
(k) Non-income producing security.
(l) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of August 31, 2011, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $742,367 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $34,013,006.
NR Not Rated
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
AUGUST 31, 2011 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of August 31,
2011 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
TOTAL LEVEL 1 LEVEL 2 LEVEL 3
VALUE AT QUOTED SIGNIFICANT SIGNIFICANT
8/31/2011 PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS
--------------- ------------- ----------------- -------------------
Senior Floating-Rate Loan Interests:
Aerospace & Defense $ 23,883,215 $ -- $ 21,756,094 $ 2,127,121
Asset Management & Custody Banks 19,625,741 -- 16,121,288 3,504,453
Auto Parts & Equipment 12,752,329 -- 11,282,329 1,470,000
Cable & Satellite 10,806,079 -- 8,915,579 1,890,500
Casinos & Gaming 18,594,288 -- 16,654,288 1,940,000
Health Care Services 20,427,401 -- 18,593,834 1,833,567
Homebuilding 849,647 -- -- 849,647
Independent Power Producers & Energy Traders 19,366,847 -- 16,464,347 2,902,500
Internet Software & Services 2,760,000 -- -- 2,760,000
Other Industry Categories* 375,507,056 -- 375,507,056 --
--------------- ------------- ----------------- -----------------
Total Senior Floating-Rate Loan Interests 504,572,603 -- 485,294,815 19,277,788
Common Stocks* 1,325,709 1,325,709 -- --
Warrants* 2,203 -- 2,203 --
--------------- ------------- ----------------- -----------------
TOTAL INVESTMENTS $ 505,900,515 $ 1,325,709 $ 485,297,018 $ 19,277,788
=============== ============= ================= =================
* See the Portfolio of Investments for the industry breakout. Industry
categories are only shown separately if they include holdings in two or more
levels or have holdings in only Level 3.
All transfers in and out of Level 3 during the period are assumed to be
transferred on the last day of the period at their current value. The following
table presents the Fund's investments measured at fair value on a recurring
basis using significant unobservable inputs (Level 3) for the period presented:
NET CHANGE IN
TRANSFERS REALIZED NET UNREALIZED NET BALANCE AS OF
INVESTMENTS AT FAIR VALUE USING BALANCE AS OF IN (OUT) GAINS APPRECIATION PURCHASES AUGUST 31,
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) MAY 31, 2011 OF LEVEL 3 (LOSSES) (DEPRECIATION) (SALES) 2011
------------------------------------------- -------------- ------------ ---------- -------------- ------------ ---------------
Senior Floating-Rate Loan
Interests $ 34,433,986 $(10,630,435) $ 34,185 $ (829,382) $ (3,730,566) $ 19,277,788
Page 14 See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2011 (UNAUDITED)
VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust Senior Floating
Rate Income Fund II (the "Fund") is determined daily as of the close of regular
trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern
time, on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The NAV per Common Share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.
The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees, and in accordance with provisions of
the Investment Company Act of 1940, as amended (the "1940 Act"). The Senior
Floating-Rate Loan Interests ("Senior Loans")(1) in which the Fund invests 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, trade infrequently, and information
regarding a specific Senior Loan may not be widely available or may be
incomplete. Accordingly, determinations of the fair value of Senior Loans may be
based on infrequent and dated information. Because there is less reliable and
objective data available, elements of judgment may play a greater role in
valuation of Senior Loans than for other types of securities. Typically, Senior
Loans are valued using information provided by a third party pricing service.
The third party pricing service primarily uses broker quotes to value the Senior
Loans.
Common stocks and other securities listed on any national or foreign exchange
(excluding the NASDAQ National Market ("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. If there are no transactions on
the valuation day, the securities are valued at the mean between the most recent
bid and asked prices. Securities listed on the NASDAQ or the AIM are valued at
the official closing price. If there is no official closing price on the
valuation day, the securities are valued at the mean between the most recent bid
and asked prices. Securities traded in the over-the-counter market are valued at
their closing bid prices.
Debt securities having a remaining maturity of sixty days or less when purchased
are valued at cost adjusted for amortization of premiums and accretion of
discounts.
In the event that market quotations are not readily available, the pricing
service cannot provide a valuation, or the valuations received are deemed
unreliable, the Fund's Board of Trustees has designated First Trust Advisors
L.P. ("First Trust") to use a fair value method to value the Fund's securities.
Additionally, if events occur after the close of the principal markets for
certain securities (e.g., domestic debt and foreign securities) that could
materially affect the Fund's NAV, First Trust may use a fair value method to
value the Fund's securities. The use of fair value pricing is governed by
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with the provisions of the 1940 Act. As a general principle, the fair value of a
security is the amount which the Fund might reasonably expect to receive for the
security upon its current sale. However, in light of the judgment involved in
fair valuations, there can be no assurance that a fair value assigned to a
particular security will be the amount which the Fund might be able to receive
upon its current sale. Fair valuation of a security is based on the
consideration of all available information, including, but not limited to, the
following:
1) the fundamental business data relating to the issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on the
Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management;
11) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry; and
12) other relevant factors.
--------
1 The terms "security" and "securities" used throughout the Notes to Quarterly
Portfolio of Investments include Senior Loans.
Page 15
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2011 (UNAUDITED)
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical securities. An active market is a market in which
transactions for the security occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar securities in active markets.
o Quoted prices for identical or similar securities in markets
that are non-active. A non-active market is a market where
there are few transactions for the security, 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
security (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
security.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of August 31, 2011, is
included with the Fund's Portfolio of Investments.
B. SECURITY TRANSACTIONS:
Security transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
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. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. 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.
C. UNFUNDED LOAN COMMITMENTS:
The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund did not have unfunded delayed draw loan
commitments as of August 31, 2011.
D. RESTRICTED SECURITIES:
The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the Securities Act
of 1933, as amended (the "1933 Act"). Prior to registration, restricted
securities may only be resold in transactions exempt from registration under
Rule 144A under the 1933 Act, normally to qualified institutional investors. As
of August 31, 2011, the Fund held restricted securities as shown in the
following table. The Fund does not have the right to demand that such securities
be registered. These securities are valued according to the valuation procedures
as stated in the Portfolio Valuation footnote (Note A) and are not expressed as
a discount to the carrying value of a comparable unrestricted investment. There
are no unrestricted investments with the same maturity dates and yields for
these issuers.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHARES
----------------------------------------- ----------- ------------ ---------- -------------- --------- ------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $1.52 $ -- $ 2,203 0.00% *
TOUSA, Inc. - Notes 7/31/07(1) $ 727,273 -- 436,364 -- 0.00
TOUSA, Inc. - Preferred Stocks 7/31/07(1) 4,273 -- 2,563,636 -- 0.00
-------------- --------- ------------
$ 3,000,000 $ 2,203 0.00% *
============== ========= ============
* Amount is less than 0.01%.
(1) Security was acquired through a restructuring that was effective on July 31,
2007.
Page 16
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required by
this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Senior Floating Rate Income Fund II (formerly known as
First Trust/Four Corners Senior Floating Rate Income Fund II)
------------------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date October 24, 2011
--------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James A. Bowen
------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date October 24, 2011
--------------------
By (Signature and Title)* /s/ Mark R. Bradley
------------------------------------------------------
Mark R. Bradley, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)
Date October 24, 2011
--------------------
* Print the name and title of each signing officer under his or her signature.