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: February 28, 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)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 150.6%
ADVERTISING - 1.7%
$ 1,000,000 Autotrader.Com, Term Loan B1 .......... Ba3 BB+ 4.75% 12/14/15 $ 1,007,283
5,784,152 Clear Channel Communications,
Inc., Term Loan B ................. Caa1 CCC+ 3.91% 01/15/16 5,295,391
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6,302,674
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AEROSPACE & DEFENSE - 7.9%
1,582,109 DAE Aviation Holdings, Inc.,
Term Loan B1 ...................... B2 B 5.31% 07/31/14 1,593,974
1,528,048 DAE Aviation Holdings, Inc.,
Term Loan B2 ...................... B2 B 5.29%-5.31% 07/31/14 1,539,508
2,319,621 GenCorp, Inc., Synthetic
Letter of Credit .................. Ba2 BB- 3.52% 04/30/13 2,250,033
1,182,892 GenCorp, Inc., Term Loan .............. Ba2 BB- 3.52% 04/30/13 1,147,405
997,500 Ids Acquisition Corp., Term
Loan .............................. NR BB- 5.50% 11/30/16 1,004,358
2,000,000 Pelican Products, Inc., Term
Loan .............................. NR (f) NR (f) 5.75% 11/30/16 2,020,000
2,387,284 Robertson Fuel Systems, LLC,
Term Loan ......................... NR (f) NR (f) 3.10%-5.00% 04/19/13 2,321,634
500,000 Scitor Corp., Term Loan B ............. B2 B 5.75% 02/15/17 498,125
500,000 Si Organization, Inc., Term
Loan B ............................ Ba3 B+ 4.50% 11/22/16 503,750
4,235,161 Spirit Aerosystems, Inc.,
Term Loan B ....................... Ba1 BBB- 3.54% 09/30/16 4,252,809
393,750 TASC, Inc., Term Loan A ............... Ba2 BB 5.50% 12/18/14 394,488
3,279,375 TASC, Inc., Term Loan B ............... Ba2 BB 5.75% 12/18/15 3,280,742
3,000,000 Transdigm, Inc., Term Loan B........... Ba2 BB- 5.00% 12/10/16 3,019,374
5,728,972 Triumph Group, Inc., Term
Loan B ............................ Baa3 BB+ 4.50% 06/16/16 5,740,430
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29,566,630
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AGRICULTURAL PRODUCTS - 1.1%
1,184,355 Dole Food Co., Inc., Term
Loan B1 ........................... Ba2 BB- 5.00%-5.50% 03/02/17 1,192,172
2,941,642 Dole Food Co., Inc., Term
Loan C1 ........................... Ba2 BB- 5.00%-5.50% 03/02/17 2,961,057
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4,153,229
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AIRLINES - 0.1%
485,000 Delta Air Lines, Inc.,
Synthetic Revolving
Credit Facility ................... Ba2 BB- 2.25%-2.26% 04/30/12 481,363
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ALTERNATIVE CARRIERS - 3.3%
6,000,000 Intelsat Jackson Holdings
S.A., Term Loan B ................. B1 BB- 5.25% 03/30/18 6,040,314
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
ALTERNATIVE CARRIERS - (CONTINUED)
$ 1,000,000 Level 3 Financing, Inc., Term
Loan A ............................ B1 B+ 2.55% 03/13/14 $ 975,000
4,964,102 Telesat Canada, U.S. Term
Loan I ............................ B1 BB- 3.27% 10/31/14 4,954,794
426,391 Telesat Canada, U.S. Term
Loan II ........................... B1 BB- 3.27% 10/31/14 425,591
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12,395,699
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ALUMINUM - 0.8%
3,000,000 Novelis, Inc., Term Loan B ............ Ba2 BB- 5.00% 12/17/16 3,035,358
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APPAREL RETAIL - 1.0%
2,000,000 Gymboree Corp., Term Loan,
First Lien ........................ B1 B+ 5.00%-5.50% 02/11/18 2,006,000
1,000,000 J. Crew Group, Inc., Term
Loan B ............................ B1 B 4.75% 02/15/18 1,000,000
867,577 Phillips-Van Heusen
Corporation, Term Loan B .......... Ba2 BBB 5.25% 05/06/16 867,577
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3,873,577
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APPLICATION SOFTWARE - 4.4%
722,205 Activant Solutions, Inc.,
Term Loan ......................... B1 B+ 2.31% 05/02/13 718,594
4,323,455 Activant Solutions, Inc.,
Term Loan B3 ...................... B1 B+ 4.81% 02/02/16 4,350,477
2,000,000 Bentley Systems, Inc., Term
Loan B ............................ Ba3 BB+ 5.75%-6.50% 01/31/17 2,010,000
2,500,000 CCC Information Systems,
Inc., Term Loan B ................. B1 B+ 5.50% 11/11/15 2,523,438
2,108,516 Dealer Computer Services,
Inc., Term Loan ................... Ba3 BB- 5.25% 04/21/17 2,120,640
2,000,000 Property Data, Inc., Term
Loan .............................. Ba3 B+ 7.00% 01/05/17 1,997,500
2,691,848 Verint Systems, Inc., Term
Loan, First Lien .................. B1 BB- 5.25% 05/25/14 2,698,577
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16,419,226
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ASSET MANAGEMENT & CUSTODY BANKS - 6.0%
1,313,950 Grosvenor Capital Management
Holdings, LLP, Term Loan .......... NR (f) NR (f) 4.31% 12/05/16 1,287,671
2,468,750 Harbourvest Partners L.P.,
Term Loan B ....................... NR (f) NR (f) 6.25% 12/03/16 2,481,094
2,804,548 LPL Holdings, Inc., Extended
Term Loan ......................... Ba3 BB- 4.25% 06/30/15 2,808,053
5,788,061 LPL Holdings, Inc., Term Loan ......... Ba3 BB- 5.25% 06/30/17 5,838,707
1,333,333 Munder Capital Management,
Incremental Term Loan ............. NR (f) NR (f) 6.00% 03/31/15 1,336,667
See Notes to Quarterly Portfolio of Investments Page 2
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
ASSET MANAGEMENT & CUSTODY BANKS - (CONTINUED)
$ 6,704,791 Nuveen Investments, Inc.,
Extended Term Loan ................ B3 B 5.80%-5.81% 05/13/17 $ 6,679,648
2,000,000 Nuveen Investments, Inc.,
Term Loan ......................... B3 B 3.30% 11/13/14 1,939,166
135,384 Oxford US Acquisition, LLC,
Term Loan, Tranche B-2 ............ NR (f) NR (f) 2.05% 05/12/14 134,199
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22,505,205
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AUTOMOBILE MANUFACTURERS - 1.6%
1,324,324 Federal Mogul Corp., Term
Loan B ............................ Ba3 B+ 2.20% 12/27/14 1,286,043
675,676 Federal Mogul Corp., Term
Loan C ............................ Ba3 B+ 2.20%-2.21% 12/27/15 656,145
2,181,987 Ford Motor Co., Term Loan,
Tranche B-1 ....................... Baa3 BB 3.01%-3.05% 12/15/13 2,181,067
997,500 Metaldyne, LLC, Term Loan B ........... B1 B+ 7.75% 10/22/16 1,017,450
1,000,000 Transtar Industries, Inc.,
Term Loan, First Lien ............. Ba3 BB- 6.25%-6.75% 12/21/16 1,015,000
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6,155,705
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AUTOMOTIVE RETAIL - 0.6%
2,166,842 KAR Holdings, Inc., Term Loan
B ................................. Ba3 B+ 3.02% 10/20/13 2,162,586
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BIOTECHNOLOGY - 0.8%
3,000,000 Grifols, SA, Term Loan B .............. Ba3 BB 6.00% 12/31/16 3,035,001
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BROADCASTING - 1.9%
753,514 Cumulus Media, Inc., Term
Loan, First Lien .................. Caa1 B- 4.01% 06/11/14 740,705
1,357,318 Gray Television, Inc., Term
Loan B ............................ B2 B 3.77%-5.75% 12/31/14 1,346,494
4,286,250 LBI Media, Inc., Term Loan B .......... B1 B- 1.76% 03/31/12 4,079,082
1,000,000 Sinclair Broadcast Group,
Inc., Term Loan B ................. Baa3 BB+ 5.50% 10/29/15 1,010,833
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7,177,114
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BUILDING PRODUCTS - 0.8%
1,000,000 CPG International, Inc., Term
Loan B ............................ B2 B 6.00% 02/18/17 1,008,750
1,995,000 Goodman Global, Inc., Term
Loan B ............................ B1 B+ 5.75% 10/29/16 2,009,651
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3,018,401
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CABLE & SATELLITE - 6.1%
1,930,435 Atlantic Broadband Finance,
LLC, Term Loan .................... Ba3 B+ 5.00% 11/30/15 1,930,033
2,000,000 Bresnan Broadband Holdings,
LLC, Term Loan .................... Ba3 BB+ 4.50% 12/10/17 2,012,222
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
CABLE & SATELLITE - (CONTINUED)
$ 232,906 Charter Communications
Operating, LLC, Term Loan B-1 ..... Ba1 BB+ 2.27% 03/06/14 $ 232,118
6,146,624 Charter Communications
Operating, LLC, Term Loan C ....... Ba1 BB+ 3.56% 09/06/16 6,161,032
5,619,640 CSC Holdings, Inc., Term Loan
B-3, Extended Maturity ............ Baa3 BBB- 2.01%-4.00% 03/29/16 5,636,814
2,000,000 Knology, Inc., Term Loan B ............ B1 B+ 5.50% 02/23/17 2,005,000
995,000 Mediacom Broadband, LLC, Term
Loan F ............................ Ba3 BB- 4.50% 10/23/17 997,902
1,000,000 Rovi Corp., Term Loan B ............... Ba1 BB+ 4.00% 02/11/18 1,010,000
838,594 UPC Broadband Holdings B.V.,
Term Loan T ....................... Ba3 B+ 3.76% 12/31/16 839,381
1,946,576 UPC Broadband Holdings B.V.,
Term Loan X ....................... Ba3 B+ 3.76% 12/31/17 1,946,576
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22,771,078
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CASINOS & GAMING - 5.8%
2,914,044 CCM Merger, Inc., Term Loan B ......... Caa1 BB- 8.50% 07/13/12 2,932,256
3,000,000 CCM Merger, Inc., Term Loan B ......... B3 B+ 7.00% 03/01/17 3,036,564
4,000,000 Harrah's Entertainment, Inc.,
Term Loan B-2 ..................... Caa1 B 3.30% 01/28/15 3,705,716
358,259 Las Vegas Sands, LLC, Delayed
Draw Term Loan 1 .................. Ba3 BB- 2.04%-3.04% 11/23/16 356,647
1,994,987 Las Vegas Sands, LLC, Term
Loan B ............................ Ba3 BB- 3.04% 11/23/16 1,985,370
4,930,965 VML US Finance, LLC, Term
Loan B ............................ Ba3 BB- 4.79% 05/25/13 4,937,099
5,000,000 Wynn Las Vegas, LLC, Term
Loan B ............................ Ba3 BB 3.27% 08/04/15 4,970,835
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21,924,487
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COMMUNICATIONS EQUIPMENT - 0.3%
1,000,000 Commscope, Inc., Term Loan B .......... Ba3 BB 5.00%-5.75% 01/14/18 1,014,583
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COMPUTER HARDWARE - 0.8%
3,000,000 CDW Corp., Term Loan .................. B2 B 4.26% 10/15/14 2,993,334
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DATA PROCESSING & OUTSOURCED SERVICES - 2.0%
1,000,000 Global Cash Access, Inc.,
Term Loan ......................... B1 BB- 7.00% 02/18/16 1,007,500
6,755,000 Harland Clarke Holdings
Corp., Term Loan B ................ B1 B+ 2.76%-2.80% 06/30/14 6,444,696
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7,452,196
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See Notes to Quarterly Portfolio of Investments Page 4
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
DIVERSIFIED CHEMICALS - 5.6%
$ 637,174 Brenntag Holding GmbH & Co.
KG, Acquisition Term Loan ......... Ba2 BBB- 3.76%-3.96% 01/17/14 $ 636,377
4,322,712 Brenntag Holding GmbH & Co.
KG, Term Loan B2 .................. Ba2 BBB- 3.76%-3.81% 01/17/14 4,317,308
3,000,000 Brenntag Holding GmbH & Co.
KG, Term Loan, Second
Lien .............................. B1 BB- 6.45% 06/18/15 3,012,501
3,062,655 Celanese Holdings, LLC,
Extended Term Loan ................ Ba2 BB+ 1.80% 10/31/16 3,083,906
1,068,219 Huntsman International, LLC,
Term Loan C ....................... Ba2 BB- 2.51%-2.53% 06/30/16 1,068,553
1,406,442 Ineos Group Limited, Term
Loan B2 ........................... B1 B 7.50% 12/14/13 1,449,222
1,407,306 Ineos Group Limited, Term
Loan C2 ........................... B1 B 8.00% 12/14/14 1,450,112
6,000,000 Univar, Inc., Term Loan B ............. B2 B 5.00% 06/30/17 6,020,628
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21,038,607
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DIVERSIFIED SUPPORT SERVICES - 0.7%
2,000,000 Brickman Group Holdings,
Inc., Term Loan B ................. B1 B+ 7.25% 10/15/16 2,041,666
643,437 Diversey, Inc., Term Loan B ........... Ba2 BB- 5.25% 11/24/15 643,437
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2,685,103
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ELECTRIC UTILITIES - 4.0%
3,604,527 Astoria Generating Co.,
Acquisitions, LLC, Term
Loan B ............................ B1 BB- 2.06% 02/23/13 3,590,109
7,947,687 NRG Energy, Inc., Extended
Synthetic Letter of
Credit ............................ Baa3 BB+ 3.55% 08/31/15 7,997,360
415,235 NRG Energy, Inc., Extended
Term Loan B ....................... Baa3 BB+ 3.55% 08/31/15 417,830
3,000,000 Race Point Power, LLC, Term
Loan .............................. Ba2 BB 7.75% 12/29/17 3,007,500
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15,012,799
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ENVIRONMENTAL & FACILITIES SERVICES - 1.6%
5,970,000 EnergySolutions, LLC, Term
Loan .............................. Ba2 BB+ 6.25% 08/13/16 6,040,894
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FOOD DISTRIBUTORS - 0.2%
847,826 B&G Foods, Inc., Term Loan C .......... Ba1 BB 2.31% 02/23/13 841,467
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FOOD RETAIL - 3.7%
2,362,111 SUPERVALU, Inc., Term Loan B .......... B1 BB 1.64% 06/02/12 2,346,362
4,187,002 SUPERVALU, Inc., Extended
Term Loan B-2 ..................... B1 BB 3.51% 10/05/15 4,188,551
3,785,598 Univision Corp., Term Loan ............ B2 B 2.51% 09/29/14 3,692,310
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
FOOD RETAIL - (CONTINUED)
$ 3,572,675 Univision Corp., Extended
Term Loan ......................... B2 B 4.51% 03/29/16 $ 3,484,848
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13,712,071
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FOREST PRODUCTS - 0.7%
2,806,804 Georgia-Pacific Corporation,
Term Loan C ....................... Ba1 BBB+ 3.55% 12/23/14 2,811,873
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HEALTH CARE EQUIPMENT - 4.1%
5,669,789 Biomet, Inc., Dollar Term
Loan .............................. B1 BB- 3.26%-3.30% 03/25/15 5,663,586
7,000,000 Carestream Health, Inc., Term
Loan B ............................ B1 BB- 5.00% 02/28/17 6,947,500
2,992,288 Djo Finance, LLC, Term Loan ........... Ba2 BB- 3.26% 05/20/14 2,969,846
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15,580,932
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HEALTH CARE FACILITIES - 6.2%
262,866 CHS/Community Health Systems,
Inc., Delayed Draw Term
Loan .............................. Ba3 BB 2.51%-2.56% 07/25/14 260,730
2,565,034 CHS/Community Health Systems,
Inc., Extended Term Loan .......... Ba3 BB 3.76% 01/25/17 2,570,628
5,101,882 CHS/Community Health Systems,
Inc., Term Loan ................... Ba3 BB 2.56% 07/25/14 5,060,429
314,354 Fresenius SE, Term Loan C-1 ........... Baa3 BBB- 4.50% 09/10/14 315,828
179,567 Fresenius SE, Term Loan C-2 ........... Baa3 BBB- 4.50% 09/10/14 180,409
3,291,558 HCA, Inc., Term Loan B-2 .............. Ba3 BB 3.55% 03/31/17 3,300,281
4,603,731 Select Medical Corp., Term
Loan B-1 .......................... Ba2 BB- 4.06%-6.00% 08/22/14 4,615,240
152,532 United Surgical Partners
International, Inc.,
Delayed Draw Term Loan ............ Ba3 B 2.27% 04/19/14 150,530
807,258 United Surgical Partners
International, Inc., Term
Loan B ............................ Ba3 B 2.27%-2.31% 04/19/14 796,663
5,955,112 Vanguard Health Systems,
Inc., Term Loan B ................. Ba2 BB- 5.00% 01/29/16 5,993,821
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23,244,559
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HEALTH CARE SERVICES - 2.8%
1,000,000 Davita, Inc., Term Loan B ............. Ba2 BB 4.50% 10/20/16 1,007,136
1,920,000 Healthways, Inc., Term Loan B ......... Ba2 BB 1.81% 12/01/13 1,795,200
See Notes to Quarterly Portfolio of Investments Page 6
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 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)
$ 2,500,000 MedAssets, Inc., Term Loan B .......... Ba3 BB- 5.25% 11/19/16 $ 2,518,750
1,000,000 Renal Advantage Holdings,
Inc., Term Loan B ................. Ba3 B 5.75% 12/10/16 1,013,750
1,000,000 Rural Metro Corp., Term Loan
B ................................. B1 B+ 6.00% 11/19/16 1,011,667
1,995,000 Sheridan Healthcare, Inc.,
Incremental Term Loan ............. B1 B 4.06% 06/15/14 1,999,988
102,041 Vantage Oncology Holdings,
LLC, Delayed Draw Term
Loan .............................. B2 B 0.75% 02/28/17 101,786
897,959 Vantage Oncology Holdings,
LLC, Term Loan .................... B2 B 7.00% 02/28/17 895,714
-------------
10,343,991
-------------
HEALTH CARE SUPPLIES - 0.5%
2,000,000 ConvaTec, Inc., Term Loan B ........... Ba3 B+ 5.75% 12/05/16 2,009,166
-------------
HOMEBUILDING - 0.2%
959,698 Mattamy Funding Partnership,
Term Loan ......................... NR (f) NR (f) 2.56% 04/11/13 916,511
-------------
HOUSEHOLD PRODUCTS - 0.5%
2,000,000 Global Autocare, Inc., Term
Loan B ............................ Ba3 B+ 6.00% 11/05/16 2,010,000
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7%
3,423,883 Dynegy Holdings, Inc.,
Synthetic Letter of Credit ........ B1 B+ 4.02% 04/02/13 3,394,996
3,371,591 Texas Competitive Electric
Holdings Co., LLC,
Initial Term Loan B3 .............. B2 B- 3.76%-3.80% 10/10/14 2,834,665
-------------
6,229,661
-------------
INDUSTRIAL CONGLOMERATES - 0.4%
1,369,824 Bucyrus International, Inc.,
Term Loan C ....................... Ba2 BB+ 4.25% 01/17/16 1,373,934
-------------
INDUSTRIAL MACHINERY - 1.3%
5,000,000 Intelligrated, Inc., Term
Loan B ............................ B2 B+ 7.50% 02/28/17 4,950,000
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 3.3%
1,327,751 Avaya, Inc., Term Loan B .............. B1 B 3.03% 10/26/14 1,287,088
2,667,060 Avaya, Inc., Term Loan B-3 ............ B1 B 4.81% 10/26/17 2,612,767
4,987,500 Global Tel Link Corp., Term
Loan B ............................ B1 B 7.25% 11/12/16 5,012,437
1,481,259 NTELOS, Inc., Term Loan ............... Ba3 BB 6.00% 08/07/15 1,486,444
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
INTEGRATED TELECOMMUNICATION SERVICES - (CONTINUED)
$ 1,994,805 tw telecom holdings, inc.,
Term Loan B ....................... Ba1 B+ 3.52% 12/30/16 $ 2,001,422
-------------
12,400,158
-------------
IT CONSULTING & OTHER SERVICES - 3.8%
444,582 Apptis (DE), Inc., Term Loan .......... B1 B+ 4.52%-4.56% 12/20/12 443,470
5,735,625 DynCorp International, Inc.,
Term Loan ......................... Ba1 BB 6.25% 07/07/16 5,782,227
3,000,000 Presidio, Inc., Term Loan B ........... Ba3 B+ 7.50% 12/16/15 2,970,000
4,147,081 West Corporation, Term Loan
B-2 ............................... Ba3 BB- 2.66%-2.83% 10/24/13 4,131,530
997,403 West Corporation, Term Loan
B-5 ............................... Ba3 BB- 4.53%-4.71% 07/15/16 1,003,636
-------------
14,330,863
-------------
LEISURE FACILITIES - 2.9%
1,000,000 Cedar Fair, L.P., Term Loan B ......... Ba2 BB- 4.00% 12/31/17 1,005,000
1,001,765 London Arena and Waterfront
Finance, LLC, Term Loan A ......... NR (f) NR (f) 2.76% 03/08/12 1,001,765
3,870,130 Six Flags, Inc., Term Loan B .......... B1 BB 5.50% 06/30/16 3,901,575
962,500 Town Sports International,
LLC, Term Loan .................... Ba2 BB- 2.13% 02/27/14 924,000
3,960,000 Universal City Development
Partners, Ltd., Term Loan ......... Ba2 B+ 5.50% 11/06/14 3,998,776
-------------
10,831,116
-------------
LEISURE PRODUCTS - 0.8%
992,500 Live Nation Entertainment,
Inc., Term Loan B ................. Ba2 BB- 4.50% 11/06/16 996,205
1,269,119 LodgeNet Entertainment Corp.,
Term Loan ......................... B3 B 2.31% 04/04/14 1,172,348
944,026 Sram, LLC, Term Loan B ................ Ba3 BB- 5.00%-5.50% 04/30/15 951,106
-------------
3,119,659
-------------
LIFE & HEALTH INSURANCE - 0.5%
2,000,000 CNO Financial Group, Inc.,
Term Loan ......................... B1 B 7.50% 09/30/16 2,011,666
-------------
LIFE SCIENCES TOOLS & SERVICES - 1.2%
1,990,000 inVentiv Health, Inc., Term
Loan .............................. Ba3 BB- 4.75% 08/04/16 1,998,706
333,333 inVentiv Health, Inc., Term
Loan B-1 .......................... Ba3 BB- 4.75% 08/04/16 334,584
666,667 inVentiv Health, Inc., Term
Loan B-2 .......................... Ba3 BB- 1.63% 08/04/16 669,167
1,425,125 Quintiles Transnational
Corp., Term Loan B, First
Lien .............................. Ba2 BB 2.31% 03/31/13 1,419,780
-------------
4,422,237
-------------
See Notes to Quarterly Portfolio of Investments Page 8
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 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 - 3.4%
$ 1,164,194 IASIS Healthcare Corporation,
Delayed Draw Term Loan ............ Ba2 B+ 2.26% 03/15/14 $ 1,158,737
318,412 IASIS Healthcare Corporation,
Synthetic Letter of
Credit ............................ Ba2 B+ 2.36% 03/15/14 316,920
3,363,525 IASIS Healthcare Corporation,
Term Loan ......................... Ba2 B+ 2.26% 03/15/14 3,347,760
7,818,510 MultiPlan, Inc., Term Loan ............ Ba3 B 4.75% 08/17/17 7,877,149
-------------
12,700,566
-------------
METAL & GLASS CONTAINERS - 0.8%
2,741,594 BWAY Corporation, Term Loan B ......... Ba3 B 5.00% 02/18/18 2,751,875
243,407 BWAY Corporation, Term Loan C ......... Ba3 B 5.00% 02/18/18 244,320
-------------
2,996,195
-------------
MOVIES & ENTERTAINMENT - 2.9%
4,655,000 AMC Entertainment, Inc., Term
Loan .............................. Ba2 BB- 3.51% 12/15/16 4,682,641
1,500,000 Filmyard Holdings, LLC, Term
Loan B ............................ Ba2 BB- 7.75% 06/30/16 1,526,250
1,500,000 Regal Cinemas Corporation,
Term Loan ......................... Ba2 BB- 3.80% 07/31/17 1,507,500
3,000,000 TWCC Holding Corporation,
Term Loan B ....................... Ba3 BB- 4.25% 02/11/17 3,027,750
-------------
10,744,141
-------------
MULTI-UTILITIES - 1.1%
2,510,637 KGEN, LLC, Synthetic Letter
of Credit ......................... B1 BB- 2.22% 02/08/14 2,498,084
1,683,849 KGEN, LLC, Term Loan .................. B1 BB- 2.06% 02/08/14 1,675,430
-------------
4,173,514
-------------
OFFICE SERVICES & SUPPLIES - 0.5%
841,176 Pike Electric, Inc., Term
Loan B ............................ NR (f) NR (f) 2.06% 07/01/12 832,764
950,843 Pike Electric, Inc., Term
Loan C ............................ NR (f) NR (f) 2.06% 12/10/12 941,335
-------------
1,774,099
-------------
OIL & GAS EQUIPMENT & SERVICES - 0.5%
1,989,882 Aquilex Holdings, LLC, Term
Loan .............................. Ba3 BB- 6.00% 04/01/16 1,993,199
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.9%
1,968,872 Helix Energy Solutions Group,
Inc., Term Loan ................... Ba2 BB- 2.51%-2.52% 07/01/13 1,962,474
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
OIL & GAS EXPLORATION & PRODUCTION - (CONTINUED)
$ 1,433,407 SemCrude, L.P., Prefunded
Synthetic Letter of
Credit ............................ NR NR 8.50% 11/30/12 $ 1,439,380
160,508 SemCrude, L.P., Term Loan,
Second Lien (g).................... NR NR 9.00% 11/30/16 162,213
-------------
3,564,067
-------------
OIL & GAS REFINING & MARKETING - 0.9%
106,111 Alon USA, Inc., Term Loan
(Edgington Facility) .............. B1 B+ 2.56% 06/22/13 91,256
848,889 Alon USA, Inc., Term Loan
(Paramount Facility) .............. B1 B+ 2.51%-2.56% 06/22/13 730,044
114,943 Calumet Lubricants Co., L.P.,
Synthetic Letter of
Credit ............................ B1 B 4.15% 01/03/15 114,368
844,564 Calumet Lubricants Co., L.P.,
Term Loan ......................... B1 B 4.29%-4.31% 01/03/15 840,341
1,501,925 Citgo Petroleum Corporation,
Term Loan B ....................... Ba2 BB+ 8.00%-8.25% 06/24/15 1,571,389
-------------
3,347,398
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 4.2%
2,000,000 Fifth Third Processing, LLC,
Term Loan B ....................... Ba3 BB- 5.50% 10/29/16 2,015,500
1,000,000 Fifth Third Processing, LLC,
Term Loan, Second Lien ............ B2 B- 8.25% 10/29/17 1,024,375
5,000,000 First American Payment
Systems, L.P., Term Loan B ........ B1 B+ 6.75% 10/29/16 5,037,500
1,000,000 First Data Corp., Term Loan
B-2 ............................... B1 B+ 3.01% 09/24/14 946,625
6,000,000 First Data Corp., Term Loan
B-3 ............................... B1 B+ 3.01% 09/24/14 5,680,908
1,000,000 WorldPay U.S., Inc., Facility
B2A (USD) ......................... Ba2 BB 6.25% 11/30/17 1,005,500
-------------
15,710,408
-------------
PACKAGED FOODS & MEATS - 1.7%
3,885,034 Dean Foods Co., Term Loan B ........... Ba3 BB- 3.31% 04/02/16 3,862,835
2,000,000 Del Monte Foods Company, Term
Loan B ............................ Ba3 B+ 4.50% 02/16/18 2,012,500
500,000 Windsor Quality Food Company,
Ltd., Term Loan B ................. B1 BB- 5.75% 02/15/17 502,188
-------------
6,377,523
-------------
PAPER PACKAGING - 3.6%
2,044,797 Graham Packaging Holdings
Co., Term Loan C .................. B1 B+ 6.75% 04/30/14 2,057,577
See Notes to Quarterly Portfolio of Investments Page 10
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
PAPER PACKAGING - (CONTINUED)
$ 2,351,511 Graphic Packaging
International, Inc., Term
Loan .............................. Ba3 BB+ 3.05% 05/16/14 $ 2,355,104
9,000,000 Reynolds Consumer Products
Holdings, Inc., Term Loan E ....... Ba3 BB 4.25% 11/05/15 9,046,872
-------------
13,459,553
-------------
PHARMACEUTICALS - 4.2%
2,000,000 Amneal Pharmaceuticals, LLC,
Term Loan B ....................... NR NR 6.75% 12/21/15 1,995,000
4,829,849 Catalent Pharma Solutions,
Inc., Dollar Term Loan ............ Ba3 BB- 2.51% 04/10/14 4,769,476
1,698,313 Mylan, Inc., Term Loan B .............. Baa3 BBB- 3.56% 10/02/14 1,706,008
2,516,949 Warner Chilcott Corporation,
Term Loan A ....................... Ba3 BB 6.00% 10/30/14 2,517,999
1,336,500 Warner Chilcott Corporation,
Term Loan B ....................... Ba3 BB 6.25% 04/30/15 1,345,688
1,245,567 Warner Chilcott Corporation,
Term Loan B1 ...................... Ba3 BB 6.25% 04/30/15 1,252,644
2,074,094 Warner Chilcott Corporation,
Term Loan B2 ...................... Ba3 BB 6.25% 04/30/15 2,085,879
-------------
15,672,694
-------------
PUBLISHING - 1.4%
3,000,000 Cenveo Corporation, Term Loan ......... Ba3 BB- 6.25% 12/21/16 3,027,501
1,995,000 Getty Images, Inc., Term Loan B ....... Ba3 BB- 5.25% 11/09/16 2,019,315
804,056 Yell Group, PLC, Term Loan B1 ......... B3 B- 4.01% 07/31/14 363,166
-------------
5,409,982
-------------
REAL ESTATE OPERATING COMPANIES - 0.8%
3,000,000 ClubCorp Corp Operations,
Inc., Term Loan ................... Ba2 BB 6.00% 11/30/16 3,030,000
-------------
REAL ESTATE SERVICES - 0.9%
1,995,000 CB Richard Ellis Services,
Inc., Term Loan B ................. Ba1 BB 3.51% 11/08/16 1,995,000
1,393,829 Realogy Corp., Term Loan,
First Lien ........................ B1 B- 4.56% 10/10/16 1,336,770
-------------
3,331,770
-------------
RESTAURANTS - 1.9%
2,000,000 Burger King Corp., Term Loan B ........ Ba3 BB- 4.50% 10/19/16 2,009,166
1,500,000 Dunkin' Brands, Inc., Term
Loan B ............................ B2 B 4.25% 11/19/17 1,509,375
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
---------------- --------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
RESTAURANTS - (CONTINUED)
$ 3,500,000 Focus Brands, Inc., Term Loan B ....... B2 B 7.25%-7.50% 11/05/16 $ 3,513,125
-------------
7,031,666
-------------
RETAIL REITS - 1.5%
5,305,951 Capital Automotive, L.P.,
Term Loan C ....................... Ba3 B+ 4.75% 12/14/12 5,514,873
-------------
SEMICONDUCTOR EQUIPMENT - 0.3%
1,000,000 Edwards (Cayman Islands II),
Ltd., Term Loan ................... B3 B+ 5.50% 05/31/16 993,750
-------------
SEMICONDUCTORS - 1.5%
3,990,316 Freescale Semiconductor,
Inc., Extended Term Loan .......... B1 B- 4.51% 12/01/16 3,982,451
1,741,250 Intersil Corporation, Term
Loan .............................. Ba2 BB+ 4.75% 04/26/16 1,749,085
-------------
5,731,536
-------------
SPECIALIZED CONSUMER SERVICES - 10.4%
955,000 Acosta, Inc., Term Loan ............... NR (f) NR (f) 4.50% 07/28/13 959,775
2,000,000 Acosta, Inc., Term Loan B ............. NR (f) NR (f) 4.75% 03/01/18 2,015,000
3,299,518 Acxiom Corporation, Extended
Term Loan ......................... Ba2 BBB- 3.26%-3.30% 03/15/15 3,311,891
6,000,000 Advantage Sales & Marketing,
Inc., Term Loan, First
Lien .............................. NR (f) B+ 5.25% 12/23/17 6,037,458
6,525,850 Affinion Group, Inc., Term
Loan B ............................ Ba3 BB- 5.00% 10/09/16 6,558,479
226,464 ARAMARK Corporation,
Prefunded Synthetic
Letter of Credit 2 ................ Ba3 BB 3.51% 07/26/16 227,030
3,443,529 ARAMARK Corporation, Term
Loan B ............................ Ba3 BB 3.55% 07/26/16 3,452,137
7,000,000 Asurion Corp., New Term Loan,
First Lien ........................ NR (f) NR (f) 6.75% 03/31/15 7,088,753
1,462,475 Asurion Corp., Term Loan,
First Lien ........................ NR (f) NR (f) 3.26%-3.31% 07/03/14 1,438,482
2,000,000 Language Line, LLC, Term Loan B ....... Ba3 B+ 6.25% 06/20/16 2,023,750
2,722,465 Nielsen Finance, LLC, Dollar
Term Loan B ....................... Ba2 BB- 4.01% 05/01/16 2,734,942
1,477,481 Nielsen Finance, LLC, Dollar
Term Loan C ....................... Ba2 BB- 3.76% 05/02/16 1,481,482
1,580,572 Protection One, Inc., Term
Loan .............................. Ba3 BB 6.00% 06/04/16 1,584,524
-------------
38,913,703
-------------
See Notes to Quarterly Portfolio of Investments Page 12
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 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 - 4.3%
$ 1,978,723 Arizona Chemical, Inc., Term
Loan B ............................ B1 B+ 6.75% 11/19/16 $ 1,998,922
1,991,424 Houghton International, Inc.,
Term Loan B ....................... B1 B 6.75% 01/31/16 2,011,338
945,103 ISP Chemco, LLC, Term Loan ............ Ba3 BB 1.81% 02/16/13 937,424
1,496,250 Omnova Solutions, Inc., Term
Loan B ............................ Ba2 B+ 5.75% 06/30/17 1,514,018
2,000,000 Rockwood Specialties Goup,
Inc., Term Loan B ................. Ba1 BBB- 3.75% 02/15/18 2,021,250
1,056,066 Solutia, Inc., Term Loan .............. Ba1 BB+ 4.50% 03/17/17 1,057,222
4,534,945 Solutia, Inc., Term Loan .............. Ba1 BB+ 3.50% 08/01/17 4,534,945
2,000,000 Styron Corp., Term Loan B ............. B1 B+ 6.00% 08/01/17 2,018,000
-------------
16,093,119
-------------
SPECIALTY STORES - 2.3%
2,500,000 Harbor Freight Tools USA,
Inc., Term Loan ................... Ba3 B+ 6.50% 12/29/17 2,525,000
1,000,000 NBTY, Inc., Term Loan B ............... Ba3 BB- 4.25% 10/01/17 1,004,583
5,000,000 Petco Animal Supplies, Inc.,
Term Loan ......................... B1 B 4.50% 11/30/17 5,018,750
-------------
8,548,333
-------------
SYSTEMS SOFTWARE - 3.9%
1,741,250 Information Solution Company,
Term Loan ......................... Ba2 BB+ 4.75% 04/12/16 1,752,133
1,023,683 Open Solutions, Inc., Term
Loan, First Lien .................. B1 BB- 2.43% 01/23/14 917,902
500,000 SunGard Data Systems, Inc.,
Incremental Term Loan ............. Ba3 BB 3.76% 02/18/14 502,187
3,019,452 SunGard Data Systems, Inc.,
Term Loan A ....................... Ba3 BB 2.01% 02/28/14 2,998,962
4,260,021 SunGard Data Systems, Inc.,
Term Loan B ....................... Ba3 BB 3.91%-3.94% 02/28/16 4,268,388
4,000,000 Vertafore, Inc., Term Loan,
First Lien ........................ B1 B+ 5.25% 07/28/16 4,030,000
-------------
14,469,572
-------------
TRUCKING - 1.9%
2,358,385 Swift Transportation Co.,
Inc., Term Loan B ................. B1 BB- 6.00% 12/21/16 2,368,703
631,439 The Hertz Corporation,
Prefunded Synthetic
Letter of Credit .................. Ba1 BB 2.01% 12/21/12 630,559
4,108,827 The Hertz Corporation, Term
Loan .............................. Ba1 BB 2.01% 12/21/12 4,103,099
-------------
7,102,361
-------------
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 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 - 1.1%
$ 3,000,000 Syniverse Technologies, Inc.,
Term Loan B ....................... B1 BB- 5.25% 12/22/16 $ 3,031,251
1,000,000 TowerCo Finance, LLC, Term
Loan B ............................ Ba3 BB- 5.25% 02/01/17 1,006,250
-------------
4,037,501
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................... 565,076,236
(Cost $561,551,553) -------------
SENIOR FLOATING-RATE NOTES - 0.2%
SEMICONDUCTORS - 0.2%
650,000 NXP B.V. .............................. B3 B- 3.15% 10/15/13 649,187
-------------
TOTAL SENIOR FLOATING-RATE NOTES ........................................................ 649,187
(Cost $650,000) -------------
NOTES - 0.0%
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc. (Payment-In-kind
Election Note) (h) (i)
(j) (k)............................ 14.75% 07/01/15 0
-------------
TOTAL NOTES ............................................................................. 0
(Cost $436,364) -------------
SHARES DESCRIPTION VALUE
---------------- ----------------------------------------------------------------------------------------- -------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred
Stock) (h) (i) (j) (l)................................................................... 0
-------------
TOTAL PREFERRED STOCKS .................................................................. 0
(Cost $2,563,636) -------------
COMMON STOCKS - 0.6%
DIVERSIFIED CHEMICALS - 0.4%
38,260 LyondellBasell Industries AF S.C.A., Class B ............................................ 1,456,941
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.2%
19,828 SemGroup Corp., Class A ................................................................. 636,677
-------------
TOTAL COMMON STOCKS ..................................................................... 2,093,618
(Cost $1,129,017) -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (h) (j).............................................................. 5,377
-------------
TOTAL WARRANTS .......................................................................... 5,377
(Cost $0) -------------
See Notes to Quarterly Portfolio of Investments Page 14
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
DESCRIPTION VALUE
----------------------------------------------------------------------------------------- -------------
TOTAL INVESTMENTS - 151.4% .............................................................. $ 567,824,418
(Cost $566,330,570) (m)
OUTSTANDING LOAN - (42.7%) (160,000,000)
NET OTHER ASSETS AND LIABILITIES - (8.7%) ............................................... (32,696,310)
-------------
NET ASSETS - 100.0% ..................................................................... $ 375,128,108
=============
--------
(a) All percentages shown in the Portfolio of Investments are based on
net assets.
(b) All or a portion of the securities 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 generally 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.
(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) Interest for the period commencing on November 30, 2009 and ending
on December 31, 2011, shall be payable, at the Borrowers' option,
(i) in cash at a rate per annum equal to 9% ("Cash Interest") or
(ii) in Payment-in-Kind interest at a rate per annum equal to 11%
and, commencing on January 1, 2012, shall be payable as Cash
Interest.
(h) This security is fair valued in accordance with procedures adopted
by the Fund's Board of Trustees.
(i) This borrower has filed for protection in federal bankruptcy court.
(j) 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 Securities in the Notes to Quarterly Portfolio of
Investments).
(k) 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 there of (i) and (ii). Interest is to be paid
semi-annually; however, the issuer is in default and income is not
being accrued.
(l) Non-income producing security.
(m) Aggregate cost for financial reporting purposes, which approximates
the aggregate cost for federal income tax purposes. As of February
28, 2011, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$7,057,267 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$5,563,419.
NR Not Rated
See Notes to Quarterly Portfolio of Investments Page 15
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
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
2/28/2011 PRICES OBSERVABLE INPUTS OBSERVABLE INPUTS
--------------- ------------- ----------------- -----------------
Senior Floating-Rate Loan Interests:
Advertising $ 6,302,674 $ - $ 6,302,674 $ -
Aerospace & Defense 29,566,630 - 20,714,076 8,852,554
Agricultural Products 4,153,229 - 4,153,229 -
Airlines 481,363 - 481,363 -
Alternative Carriers 12,395,699 - 12,395,699 -
Aluminum 3,035,358 - 3,035,358 -
Apparel Retail 3,873,577 - 3,873,577 -
Application Software 16,419,226 - 12,068,749 4,350,477
Asset Management & Custody Banks 22,505,205 - 17,399,773 5,105,432
Automobile Manufacturers 6,155,705 - 5,138,255 1,017,450
Automotive Retail 2,162,586 - 2,162,586 -
Biotechnology 3,035,001 - 3,035,001 -
Broadcasting 7,177,114 - 7,177,114 -
Building Products 3,018,401 - 3,018,401 -
Cable & Satellite 22,771,078 - 22,771,078 -
Casinos & Gaming 21,924,487 - 21,924,487 -
Communications Equipment 1,014,583 - 1,014,583 -
Computer Hardware 2,993,334 - 2,993,334 -
Data Processing & Outsourced Services 7,452,196 - 6,444,696 1,007,500
Diversified Chemicals 21,038,607 - 21,038,607 -
Diversified Support Services 2,685,103 - 2,685,103 -
Electric Utilities 15,012,799 - 15,012,799 -
Environmental & Facilities Services 6,040,894 - 6,040,894 -
Food Distributors 841,467 - 841,467 -
Food Retail 13,712,071 - 13,712,071 -
Forest Products 2,811,873 - 2,811,873 -
Health Care Equipment 15,580,932 - 15,580,932 -
Health Care Facilities 23,244,559 - 23,244,559 -
Health Care Services 10,343,991 - 8,548,791 1,795,200
Health Care Supplies 2,009,166 - 2,009,166 -
Homebuilding 916,511 - - 916,511
Household Products 2,010,000 - 2,010,000 -
Independent Power Producers & Energy
Traders 6,229,661 - 6,229,661 -
Industrial Conglomerates 1,373,934 - 1,373,934 -
Industrial Machinery 4,950,000 - - 4,950,000
Integrated Telecommunication Services 12,400,158 - 12,400,158 -
IT Consulting & Other Services 14,330,863 - 10,917,393 3,413,470
Leisure Facilities 10,831,116 - 9,907,116 924,000
Leisure Products 3,119,659 - 2,168,553 951,106
Life & Health Insurance 2,011,666 - 2,011,666 -
Life Sciences Tools & Services 4,422,237 - 4,422,237 -
Managed Health Care 12,700,566 - 12,700,566 -
Metal & Glass Containers 2,996,195 - 2,996,195 -
Movies & Entertainment 10,744,141 - 10,744,141 -
See Notes to Quarterly Portfolio of Investments Page 16
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
TOTAL LEVEL 1 LEVEL 2 LEVEL 3
VALUE AT QUOTED SIGNIFICANT SIGNIFICANT
2/28/2011 PRICES OBSERVABLE INPUTS OBSERVABLE INPUTS
--------------- ------------- ----------------- -----------------
Senior Floating-Rate Loan Interests (Continued):
Multi-Utilities $ 4,173,514 - - 4,173,514
Office Services & Supplies 1,774,099 - - 1,774,099
Oil & Gas Equipment & Services 1,993,199 - 1,993,199 -
Oil & Gas Exploration & Production 3,564,067 - 3,564,067 -
Oil & Gas Refining & Marketing 3,347,398 - 2,526,098 821,300
Other Diversified Financial Services 15,710,408 - 10,672,908 5,037,500
Packaged Foods & Meats 6,377,523 - 6,377,523 -
Paper Packaging 13,459,553 - 13,459,553 -
Pharmaceuticals 15,672,694 - 13,677,694 1,995,000
Publishing 5,409,982 - 5,409,982 -
Real Estate Operating Companies 3,030,000 - 3,030,000 -
Real Estate Services 3,331,770 - 3,331,770 -
Restaurants 7,031,666 - 7,031,666 -
Retail REITs 5,514,873 - 5,514,873 -
Semiconductor Equipment 993,750 - 993,750 -
Semiconductors 5,731,536 - 5,731,536 -
Specialized Consumer Services 38,913,703 - 38,913,703 -
Specialty Chemicals 16,093,119 - 16,093,119 -
Specialty Stores 8,548,333 - 8,548,333 -
Systems Software 14,469,572 - 14,469,572 -
Trucking 7,102,361 - 7,102,361 -
Wireless Telecommunication Services 4,037,501 - 4,037,501 -
--------------- ------------- ----------------- -----------------
Total Senior Floating-Rate Loan
Interest 565,076,236 - 517,991,123 47,085,113
Senior Floating-Rate Notes* 649,187 - 649,187 -
Common Stocks* 2,093,618 2,093,618 - -
Warrants* 5,377 - 5,377 -
--------------- ------------- ----------------- -----------------
TOTAL INVESTMENTS $ 567,824,418 $ 2,093,618 $ 518,645,687 $ 47,085,113
=============== ============= ================= =================
* See the Portfolio of Investments for the industry breakout.
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 FEBRUARY 28,
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) MAY 31, 2010 OF LEVEL 3 (LOSSES) (DEPRECIATION) (SALES) 2011
------------------------------------------- -------------- ------------ ---------- -------------- ------------ ---------------
Senior Floating-Rate Loan
Interests $ 17,428,350 $ 14,297,511 $ (64,665) $ 786,609 $ 14,637,308 $ 47,085,113
See Notes to Quarterly Portfolio of Investments Page 17
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 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
Loans 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,
or trade infrequently, and information regarding a specific Senior Loan may not
be widely available or may be incomplete. Accordingly, determinations of the
market value of Senior Loans may be based on infrequent and dated information.
Because there is less reliable, objective data available, elements of judgment
may play a greater role in valuation of Senior Loans than for other types of
securities. Typically, Senior Loans are valued using information provided by a
third party pricing service.
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 does not provide a valuation, or the valuations received are deemed
unreliable, the Fund's Board of Trustees has designated First Trust Advisors
L.P. ("First Trust") to use a fair value method to value the Fund's securities.
Additionally, if events occur after the close of the principal markets for
certain securities (e.g., domestic debt and foreign securities) that could
materially affect the Fund's NAV, First Trust may use a fair value method to
value the Fund's securities. The use of fair value pricing is governed by
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with the provisions of the 1940 Act. As a general principle, the fair value of a
security is the amount which the Fund might reasonably expect to receive for the
security upon its current sale. 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 security;
4) the financial statements of the issuer;
5) the credit quality and cash flow of the issuer, based on the
Sub-Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management;
11) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry; and
12) other relevant factors.
Page 18
NOTES TO NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 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 February 28, 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 or 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 February 28, 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. 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 buyers. As of February 28, 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 $ 3.71 $ - $ 5,377 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 $ 5,377 0.00%
============== ========= ============
(1) Security was acquired through a restructuring that was effective on July 31,
2007.
Page 19
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 April 27, 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 April 27, 2011
--------------------
By (Signature and Title)* /s/ Mark R. Bradley
-------------------------------------------------------
Mark R. Bradley, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)
Date April 27, 2011
--------------------
* Print the name and title of each signing officer under his or her signature.