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
-----------
First Trust Senior Floating Rate Income Fund II
-----------------------------------------------------------
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
-----------------------------------------------------------
(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
-----------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
--------------
Date of fiscal year end: May 31
--------
Date of reporting period: February 29, 2012
-------------------
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 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 148.4%
ADVERTISING - 2.0%
$ 6,782,749 Clear Channel Communications,
Inc., Term Loan B .................. Caa1 CCC+ 3.89% 01/29/16 $ 5,567,280
1,990,000 Mood Media Corp., Term Loan,
First Lien ......................... Ba3 B 7.00% 05/06/18 1,930,300
-------------
7,497,580
-------------
AEROSPACE & DEFENSE - 5.2%
1,907,241 Aeroflex, Inc., Term Loan B ............ B1 BB- 4.25% 05/09/18 1,857,729
1,582,109 DAE Aviation Holdings, Inc.,
Term Loan B1 ....................... B2 B 5.56% 07/31/14 1,556,399
1,512,254 DAE Aviation Holdings, Inc.,
Term Loan B2 ....................... B2 B 5.41%-5.56% 07/31/14 1,487,680
4,209,323 DynCorp International, Inc.,
Term Loan .......................... Ba2 BB- 6.25% 07/07/16 4,194,843
1,403,176 Robertson Fuel Systems, LLC,
Term Loan .......................... NR (f) NR (f) 3.02%-5.00% 04/19/13 1,378,620
3,972,950 TASC, Inc., Term Loan B ................ Ba2 BB 4.50% 12/18/15 3,946,451
2,970,000 Transdigm, Inc., Term Loan B ........... Ba2 BB- 4.00% 02/14/17 2,967,387
1,670,000 Transdigm, Inc., Term Loan B2 .......... Ba2 BB- 4.00% 02/14/17 1,671,386
-------------
19,060,495
-------------
AGRICULTURAL PRODUCTS - 1.1%
1,401,468 Dole Food Company, Inc., Term
Loan B2 ........................... Ba2 BB- 5.00%-6.00% 07/08/18 1,406,135
2,602,727 Dole Food Company, Inc., Term
Loan C2 ........................... Ba2 BB- 5.00%-6.00% 07/08/18 2,611,394
-------------
4,017,529
-------------
ALTERNATIVE CARRIERS - 3.0%
5,955,000 Intelsat Jackson Holdings
S.A., Term Loan B .................. B1 BB- 5.25% 04/02/18 5,944,876
1,000,000 Level 3 Financing, Inc., Term
Loan A.............................. Ba3 B+ 2.50%-2.83% 03/13/14 983,500
4,000,000 Level 3 Financing, Inc., Term
Loan B2............................. Ba3 B+ 5.75% 09/01/18 4,027,520
-------------
10,955,896
-------------
APPAREL RETAIL - 1.1%
4,000,000 Neiman Marcus Group, Term
Loan .............................. B2 BB- 4.75% 05/16/18 3,968,000
-------------
APPLICATION SOFTWARE - 4.2%
2,475,000 CCC Information Systems,
Inc., Term Loan B .................. B1 BB- 5.50% 11/11/15 2,471,906
2,400,000 DataTel, Inc., Term Loan B ............. B1 B+ 6.25% 07/17/18 2,425,008
3,980,000 Eagle Parent, Inc., Term Loan B Ba3 B+ 5.00% 05/16/18 3,905,375
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
APPLICATION SOFTWARE - (CONTINUED)
$ 1,980,000 Property Data, Inc., Term
Loan ............................... Ba3 B+ 7.00% 01/04/17 $ 1,737,450
2,487,500 Trizetto Group, Inc., Term
Loan B ............................. B1 BB- 4.75% 05/02/18 2,467,948
2,481,250 Verint Systems, Inc., Term
Loan B, First Lien ................. B1 B+ 4.50% 10/29/17 2,473,509
-------------
15,481,196
-------------
ASSET MANAGEMENT & CUSTODY BANKS - 5.2%
1,270,237 Grosvenor Capital Management
Holdings, LLP, Term Loan ........... NR (f) NR (f) 4.31% 12/05/16 1,213,076
2,857,143 Hamilton Lane Advisors, Term
Loan B ............................. NR (f) NR (f) 6.50% 03/01/18 2,850,000
2,095,812 Harbourvest Partners L.P.,
Term Loan B ........................ NR (f) NR (f) 6.25% 12/19/16 2,097,133
3,058,419 Mondrian Investment Partners
Ltd., Term Loan B .................. Ba2 BB 5.50% 07/12/18 3,050,773
1,203,333 Munder Capital Management,
Incremental Term Loan .............. NR (f) NR (f) 6.00% 03/23/15 1,167,233
6,704,791 Nuveen Investments, Inc.,
Extended Term Loan ................. B2 B 5.74%-5.83% 05/13/17 6,686,621
2,000,000 Nuveen Investments, Inc.,
Incremental Term Loan .............. B2 B 7.25% 05/13/17 2,014,000
-------------
19,078,836
-------------
AUTO PARTS & EQUIPMENT - 3.7%
3,970,000 HHI Holdings, LLC, Term Loan B ......... B2 B+ 7.00%-7.75% 03/21/17 3,960,075
3,970,000 Metaldyne, LLC, Term Loan B ............ B1 B+ 5.25% 05/18/17 3,962,576
2,000,000 Schaeffler AG, Term Loan C2 ............ B1 B 6.00% 02/21/17 2,005,840
1,822,386 Tomkins, PLC, Term Loan B .............. Ba2 BB 4.25% 09/29/16 1,820,965
1,980,000 Transtar Holding Co., Term
Loan, First Lien ................... Ba3 BB- 4.50% 12/21/16 1,957,725
-------------
13,707,181
-------------
AUTOMOBILE MANUFACTURERS - 0.8%
3,000,000 Chrysler Group, LLC, Term
Loan B ............................. Ba2 BB 6.00% 05/25/17 3,007,140
-------------
AUTOMOTIVE RETAIL - 1.2%
2,487,500 KAR Holdings, Inc., Term Loan B ........ Ba3 BB- 5.00% 05/19/17 2,484,390
1,942,737 Pilot Travel Centers, LLC,
Term Loan B ........................ Ba2 BB+ 4.25% 03/30/18 1,945,166
-------------
4,429,556
-------------
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
BIOTECHNOLOGY - 1.6%
$ 5,803,000 Grifols, SA, Term Loan B ................ Ba3 BB 4.50% 06/01/17 $ 5,794,934
-------------
BROADCASTING - 6.3%
2,000,000 Cumulus Media Holdings, Inc.,
Term Loan, First Lien ............... Ba2 BB- 5.75% 09/16/18 2,001,660
1,000,000 Cumulus Media Holdings, Inc.,
Term Loan, Second Lien .............. B2 CCC+ 7.50% 03/16/19 1,003,330
4,137,762 FoxCo Acquisition, LLC, Term
Loan B ............................. B1 BB 4.75% 07/14/15 4,118,356
1,343,325 Gray Television, Inc., Term
Loan B ............................. B2 B 3.77% 12/31/14 1,327,165
1,492,500 Hubbard Radio, LLC, Term Loan .......... Ba3 B+ 5.25% 04/29/17 1,493,739
2,142,857 LIN Television Corp., Term
Loan B ............................. Ba3 BB- 5.00% 01/09/19 2,153,571
1,990,000 Raycom TV Broadcasting, LLC,
Term Loan B ........................ NR NR 4.50% 06/02/17 1,948,548
821,111 Sinclair Broadcasting Group,
Inc., Term Loan B .................. Ba1 BB+ 4.00% 10/28/16 817,260
1,449,664 Sinclair Broadcasting Group,
Inc., Term Loan B2.................. Ba1 BB+ 4.00% 10/28/16 1,442,866
1,550,336 Sinclair Broadcasting Group,
Inc., Term Loan B3.................. Ba1 BB+ 4.00% 10/28/16 1,543,065
3,541,272 Univision Corp., Extended
Term Loan .......................... B2 B+ 4.49% 03/31/17 3,288,603
2,063,621 Univision Corp., Term Loan ............. B2 B+ 2.24% 09/29/14 2,030,830
-------------
23,168,993
-------------
BUILDING PRODUCTS - 0.8%
3,000,000 Unifrax, LLC, Term Loan B .............. B2 B+ 7.00% 11/25/18 3,024,300
-------------
CABLE & SATELLITE - 3.4%
1,980,000 Bresnan Broadband Holdings,
LLC, Term Loan B ................... Ba3 BB+ 4.50% 12/14/17 1,973,406
1,166,667 Cequel Communications
Holdings I, LLC, Term
Loan B ............................. Ba2 BB- 4.00% 02/14/19 1,154,732
2,563,019 CSC Holdings, Inc., Term Loan
B3, Extended Maturity .............. Baa3 BBB- 1.99% 03/29/16 2,540,234
2,916,667 Kabel Deutschland, Term Loan F ......... Ba2 BB- 4.25% 01/27/19 2,902,083
1,980,000 Knology, Inc., Term Loan B ............. B1 B+ 4.00% 08/18/17 1,961,190
1,909,091 UPC Financing Partnership,
Term Loan A ....................... Ba3 B+ 4.75% 12/31/17 1,905,750
-------------
12,437,395
-------------
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
CASINOS & GAMING - 5.2%
$ 1,985,000 Ameristar Casinos, Inc., Term
Loan B ............................. Ba3 BB+ 4.00% 04/16/18 $ 1,989,050
2,879,939 CCM Merger, Inc., Term Loan B .......... B3 B+ 7.00% 03/01/17 2,876,339
8,000,000 Harrah's Entertainment, Inc., B3 B
Term Loan B2 ....................... 3.24% 01/28/15 7,496,000
1,980,000 Isle of Capri Casinos, Term
Loan B ............................ Ba3 BB- 4.75% 03/25/17 1,977,782
2,000,000 ROC Finance, LLC, Term Loan ............ Ba3 BB- 8.50% 08/18/17 2,015,000
3,000,000 Wynn Las Vegas, LLC, Term
Loan B1 ........................... Ba2 BBB- 3.25% 08/17/15 2,975,640
-------------
19,329,811
-------------
COAL & CONSUMABLE FUELS - 0.8%
2,856,778 Walter Energy, Inc., Term
Loan B ............................. B1 BB- 4.00% 04/01/18 2,843,209
-------------
COMMERCIAL PRINTING - 0.7%
2,737,105 Cenveo Corp., Term Loan ................ Ba3 BB- 6.25% 12/21/16 2,719,150
-------------
COMMODITY CHEMICALS - 0.8%
659,341 Tronox, Inc., Delayed Draw
Term Loan .......................... Ba2 BB+ 1.00% 01/27/19 658,602
2,417,582 Tronox, Inc., Term Loan ................ Ba2 BB+ 4.25% 01/27/19 2,414,875
-------------
3,073,477
-------------
COMMUNICATIONS EQUIPMENT - 0.8%
2,987,475 Commscope, Inc., Term
Loan B .......................... Ba3 BB 5.00% 01/14/18 2,986,101
-------------
COMPUTER HARDWARE - 1.0%
3,697,309 CDW, LLC, Extended Term Loan............ B2 B 4.00% 07/15/17 3,613,454
-------------
CONSTRUCTION & ENGINEERING - 1.1%
3,995,000 Terex Corp., Term Lo an .......... Ba2 BB 5.50% 04/28/17 4,023,285
-------------
CONSUMER FINANCE - 0.9%
1,900,000 Ocwen Financial Corp., Term
Loan ............................... B1 B 7.00% 09/01/16 1,900,000
1,500,000 Ocwen Financial Corp., Term
Loan B ............................. B1 B 7.00% 09/01/16 1,496,250
-------------
3,396,250
-------------
DATA PROCESSING & OUTSOURCED SERVICES - 1.6%
785,714 Global Cash Access, Inc.,
Term Loan .......................... B1 BB 7.00% 03/01/16 783,750
5,690,784 Harland Clarke Holdings
Corp., Term Loan B ................. B1 B+ 2.74%-3.08% 06/30/14 5,199,954
-------------
5,983,704
-------------
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
DIVERSIFIED CHEMICALS - 1.6%
$ 105,936 Ineos Group Ltd., Term Loan C2 ......... Ba3 B 8.00% 12/16/14 $ 109,843
5,940,000 Univar, Inc., Term Loan B .............. B2 B+ 5.00% 06/30/17 5,892,064
-------------
6,001,907
-------------
DIVERSIFIED SUPPORT SERVICES - 0.5%
1,980,000 Brickman Group Holdings,
Inc., Term Loan B .................. B1 B+ 7.25% 10/14/16 1,994,850
-------------
ELECTRIC UTILITIES - 0.5%
3,241,410 Texas Competitive Electric
Holdings Company, LLC,
Term Loan B3 ....................... B2 CCC 3.76% 10/10/14 1,972,884
=============
ENVIRONMENTAL & FACILITIES SERVICES - 2.1%
5,646,429 EnergySolutions, LLC, Term
Loan ............................... Ba3 BB+ 6.25% 08/13/16 5,616,446
1,985,000 Waste Industries USA, Inc.,
Term Loan B ........................ B1 B+ 4.75% 03/17/17 1,980,037
-------------
7,596,483
-------------
FOOD DISTRIBUTORS - 0.4%
1,500,000 General Nutrition Centers,
Inc., Term Loan B .................. Ba3 BB- 4.25% 03/02/18 1,495,560
-------------
HEALTH CARE EQUIPMENT - 2.6%
6,946,478 Carestream Health, Inc., Term
Loan B ............................. B1 BB- 5.00% 02/28/17 6,597,903
2,961,440 DJO Finance, LLC, Term Loan ............ Ba2 BB- 3.24% 05/20/14 2,919,121
-------------
9,517,024
-------------
HEALTH CARE FACILITIES - 7.4%
2,539,319 CHS/Community Health Systems,
Inc., Extended Term Loan ........... Ba3 BB 3.99%-5.75% 01/25/17 2,508,771
2,984,642 Golden Living Drumm
Investors, LLC, Term Loan .......... B1 B+ 5.00% 05/04/18 2,808,369
3,291,558 HCA, Inc., Term Loan B-2 ............... Ba3 BB 3.83% 03/31/17 3,246,299
1,736,875 HCR ManorCare, LLC, Term Loan B ........ Ba3 B+ 5.00% 04/06/18 1,649,163
3,181,818 Health Management Associates,
Inc., Term Loan B .................. Ba3 BB- 4.50% 11/23/18 3,161,136
3,482,500 Kindred Healthcare, Inc.,
Term Loan B ........................ Ba3 B+ 5.25% 06/01/18 3,346,682
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HEALTH CARE FACILITIES - (CONTINUED)
$ 2,985,000 Select Medical Corp., Term
Loan B.............................. Ba3 BB- 5.50%-6.00% 06/01/18 $ 2,902,913
1,990,000 Surgical Care Affiliates,
Inc., Term Loan B .................. Ba3 B 5.50% 06/22/18 1,857,327
5,895,784 Vanguard Health Systems,
Inc., Term Loan B .................. Ba2 BB- 5.00% 01/29/16 5,881,045
-------------
27,361,705
-------------
HEALTH CARE SERVICES - 7.3%
1,995,000 Alere, Inc., Term Loan B ............... Ba3 BB- 4.50% 06/30/17 1,978,262
2,000,000 Alere, Inc., Term Loan B1 .............. Ba3 BB- 4.50% 06/30/17 1,983,220
3,750,000 Emdeon Business Services,
LLC, Term Loan B ................... Ba3 BB- 6.75% 10/14/18 3,792,863
4,962,500 Emergency Medical Services
Corp., Term Loan B ................. B1 B+ 5.25% 05/25/18 4,946,570
3,691,966 Gentiva Health Services,
Inc., Term Loan B .................. B1 B 4.75% 08/17/16 3,517,520
1,900,000 Healthways, Inc., Term
Loan B ........................... Ba3 BB 1.75% 12/01/13 1,819,250
2,278,150 MedAssets, Inc., Term
Loan B ........................... Ba3 BB- 5.25% 11/19/16 2,278,628
2,987,494 Rural Metro Corp., Term Loan,
First Lien ......................... Ba3 B+ 5.75% 06/30/18 2,951,076
1,975,000 Sheridan Healthcare, Inc.,
Incremental Term Loan .............. B1 B+ 3.99% 06/15/14 1,928,923
203,720 Vantage Oncology Holdings,
LLC, Delayed Draw Term
Loan ............................... B2 B 6.25% 01/31/17 196,590
1,676,862 Vantage Oncology Holdings,
LLC, Term Loan ..................... B2 B 6.25% 01/31/17 1,618,172
-------------
27,011,074
-------------
HEALTH CARE SUPPLIES - 0.5%
1,980,000 ConvaTec, Inc., Term Loan B ............ Ba3 B+ 5.75% 12/22/16 1,974,436
-------------
HEALTH CARE TECHNOLOGY - 0.4%
1,590,909 Kinetic Concepts, Inc., Term
Loan B ............................. Ba2 BB- 7.00% 04/27/18 1,616,761
-------------
HOME ENTERTAINMENT SOFTWARE - 1.3%
2,985,000 DG Fastchannel, Inc., Term
Loan B ............................. B1 BB- 5.75% 06/30/18 2,917,837
1,985,000 NDS Group, Inc., Term
Loan B .......................... Ba2 BB 4.00% 03/12/18 1,960,188
-------------
4,878,025
-------------
HOMEBUILDING - 0.5%
1,946,977 Mattamy Funding Partnership,
Term Loan ......................... NR (f) NR (f) 2.75% 04/11/13 1,849,628
-------------
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HYPERMARKETS & SUPER CENTERS - 0.8%
$ 2,993,333 BJ's Wholesale Club, Inc.,
Term Loan, First Lien .............. B1 B+ 7.00% 10/04/18 $ 3,018,687
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 5.4%
5,982,387 AES Corp., Term Loan B ................. Ba1 BB+ 4.25% 06/01/18 5,976,405
3,970,000 Calpine Corp., Term Loan B1 ............ B1 BB- 4.50% 04/01/18 3,936,334
1,990,000 Calpine Corp., Term Loan B2 ............ B1 BB- 4.50% 04/01/18 1,973,125
2,985,000 NRG Energy, Inc., Term Loan B .......... Baa3 BB+ 4.00% 07/01/18 2,972,254
2,724,545 Race Point Power, LLC, Term
Loan ............................... Ba2 BB 7.75%-8.25% 01/11/18 2,716,590
2,538,462 Star West Generation, LLC,
Term Loan B ........................ Ba3 BB- 6.00% 05/24/18 2,500,384
-------------
20,075,092
-------------
INDUSTRIAL CONGLOMERATES - 0.5%
1,687,500 Colfax Corp., Term Loan B .............. Ba2 BB+ 4.50% 12/07/18 1,688,766
-------------
INDUSTRIAL MACHINERY - 2.3%
1,825,000 Douglas Dynamics, LLC, Term
Loan ............................... B1 BB 5.75% 04/18/18 1,802,187
2,985,000 Husky International, Ltd.,
Term Loan B ........................ Ba3 B 6.50% 06/30/18 2,994,791
3,787,975 Intelligrated, Inc., Term
Loan B............................ B2 B+ 7.50% 02/17/17 3,759,565
-------------
8,556,543
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 3.2%
1,313,935 Avaya, Inc., Term Loan B1 .............. B1 B 3.24% 10/24/14 1,285,646
3,634,079 Avaya, Inc., Term Loan B3 .............. B1 B 4.99% 10/26/17 3,524,221
3,000,000 Global TelLink Corp., Term
Loan B.............................. B2 B 7.00% 12/08/18 2,988,750
2,000,000 Hawaiian Telcom
Communications, Inc.,
Term Loan, First Lien .............. B1 B- 7.00% 03/05/17 1,995,000
1,990,000 Securus Technologies, Inc.,
Term Loan B ....................... B1 B+ 5.25% 06/07/17 1,958,916
-------------
11,752,533
-------------
INTERNET SOFTWARE & SERVICES - 0.8%
3,000,000 AVG Technologies, Term Loan B .......... B1 B+ 7.50% 03/15/16 2,898,750
-------------
INVESTMENT BANKING & BROKERAGE - 1.0%
3,733,239 LPL Holdings, Inc., Term Loan........... Ba2 BB- 5.25% 06/28/17 3,748,807
-------------
IT CONSULTING & OTHER SERVICES - 1.4%
4,275,000 Presidio, Inc., Term Loan B ............ Ba3 B+ 7.25% 03/31/17 4,275,000
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
IT CONSULTING & OTHER SERVICES - (CONTINUED)
$ 984,034 West Corp., Term Loan B5 ............... Ba3 BB- 4.49%-4.51% 07/15/16 $ 984,241
-------------
5,259,241
-------------
LEISURE FACILITIES - 0.9%
3,200,000 Six Flags, Inc., Term Loan B ........... B1 BB+ 4.25% 01/17/19 3,186,016
-------------
LEISURE PRODUCTS - 1.4%
2,967,349 Live Nation Entertainment,
Inc., Term Loan B................... Ba2 BB- 4.50% 11/07/16 2,964,559
2,415,238 SRAM, LLC, Term Loan B ................. Ba3 B+ 4.75%-5.75% 06/10/18 2,397,123
-------------
5,361,682
-------------
LIFE & HEALTH INSURANCE - 0.4%
1,361,117 CNO Financial Group, Inc.,
Term Loan .......................... B1 B+ 6.25% 09/30/16 1,367,242
-------------
LIFE SCIENCES TOOLS & SERVICES - 2.0%
2,954,350 inVentiv Health, Inc., Term
Loan................................ B1 BB- 6.50% 08/04/16 2,839,869
992,500 inVentiv Health, Inc., Term
Loan 3.............................. B1 BB- 6.75% 07/19/18 952,800
3,482,500 Quintiles Transnational
Corp., Term Loan B, First
Lien ............................... B1 BB- 5.00% 06/02/18 3,459,480
-------------
7,252,149
-------------
MANAGED HEALTH CARE - 1.7%
6,565,174 MultiPlan, Inc., Term Loan ............. Ba3 B 4.75% 08/26/17 6,425,664
-------------
MOVIES & ENTERTAINMENT - 1.9%
2,400,000 AMC Entertainment, Inc., Term
Loan B2 ............................ Ba2 BB- 3.49% 02/15/16 2,368,056
1,629,747 AMC Entertainment, Inc., Term
Loan B3 ............................ Ba2 BB- 4.25% 02/23/18 1,598,504
2,977,500 TWCC Holding Corp., Term Loan
B................................... Ba3 BB- 4.25% 02/11/17 2,979,614
-------------
6,946,174
-------------
OIL & GAS EQUIPMENT & SERVICES - 0.3%
1,221,266 Aquilex Holdings, LLC, Term
Loan ............................... NR NR 9.50% 04/01/16 1,206,001
-------------
OIL & GAS REFINING & MARKETING - 0.4%
105,000 Alon USA, Inc., Term Loan
(Edgington Facility) ............... B1 B+ 2.49% 08/05/13 101,523
840,000 Alon USA, Inc., Term Loan
(Paramount Facility) ............... B1 B+ 2.49% 08/05/13 812,179
544,654 Citgo Petroleum Corp., Term
Loan B ............................. Ba2 BB+ 8.00% 06/24/15 548,739
-------------
1,462,441
-------------
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
OTHER DIVERSIFIED FINANCIAL SERVICES - 6.1%
$ 2,972,538 Fifth Third Processing
Solutions, LLC, Term Loan B ........ Ba3 BB- 4.50% 11/03/16 $ 2,974,648
4,672,222 First American Payment
Systems, L.P., Term
Loan B ........................... B1 B+ 6.75% 11/01/16 4,654,701
938,593 First Data Corp., Term
Loan B2 .......................... B1 B+ 3.00% 09/24/14 897,295
5,631,559 First Data Corp., Term
Loan B3 .......................... B1 B+ 3.00% 09/24/14 5,383,770
2,820,000 iPayment, Inc., Term Loan B ............ Ba2 B+ 5.75% 05/08/17 2,807,310
871,795 Moneygram International, Term
Loan B ............................. Ba2 BB- 4.50% 11/18/17 865,980
1,995,000 Moneygram International, Term
Loan B1 ............................ Ba2 BB- 4.50% 11/18/17 1,981,693
2,985,000 Royalty Pharma Finance Trust,
Term Loan .......................... Baa2 BBB- 4.00% 05/08/18 2,979,747
-------------
22,545,144
-------------
PACKAGED FOODS & MEATS - 1.5%
3,845,989 Dean Foods Co., Term
Loan B ........................... Ba3 BB- 3.58% 04/02/16 3,764,954
992,500 Farley's and Sathers Candy
Co., Inc., Term Loan B ............. B1 B+ 6.50% 03/30/18 982,575
995,000 JBS USA, LLC, Term Loan B............... Ba3 BB 4.25% 05/24/18 992,512
-------------
5,740,041
-------------
PAPER PACKAGING - 3.4%
1,829,594 RanPak Corp., Term Loan B .............. NR (f) NR (f) 4.75% 04/20/17 1,825,020
8,836,395 Reynolds Consumer Products
Holdings, Inc., Term Loan .......... Ba3 BB- 6.50% 02/09/18 8,915,923
1,973,590 Reynolds Consumer Products
Holdings, Inc., Term
Loan C ........................... Ba3 BB- 6.50% 08/03/18 1,994,155
-------------
12,735,098
-------------
PHARMACEUTICALS - 3.5%
2,857,143 Catalent Pharma Solutions,
Inc., Term Loan .................... Ba3 BB- 4.27% 09/15/17 2,863,086
2,480,494 IMS Health, Term Loan B ................ Ba3 BB 4.50% 08/26/17 2,481,536
2,333,333 Pharmaceutical Products
Development, Inc., Term
Loan B ............................. Ba3 BB- 6.25% 11/25/18 2,353,750
1,750,000 Valeant Pharmaceuticals
International, Inc., Term
Loan B ............................. Ba1 BBB- 3.75% 01/30/19 1,744,540
1,588,000 Warner Chilcott, PLC, Term
Loan B1 ............................ Ba3 BBB- 4.25% 03/15/18 1,584,268
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
PHARMACEUTICALS - (CONTINUED)
$ 794,000 Warner Chilcott, PLC, Term
Loan B2 ............................ Ba3 BBB- 4.25% 03/15/18 $ 792,134
1,091,750 Warner Chilcott, PLC, Term
Loan B3 ............................ Ba3 BBB- 4.25% 03/15/18 1,089,184
-------------
12,908,498
-------------
PUBLISHING - 0.6%
1,961,378 Getty Images, Inc., Term Loan B ........ Ba3 BB- 5.25% 11/09/16 1,968,733
784,964 Yell Group, PLC, Term
Loan B1 .......................... Caa1 B- 3.99% 07/31/14 245,019
-------------
2,213,752
-------------
RAILROADS - 0.5%
1,928,571 RailAmerica, Inc., Term Loan ........... B1 BB+ 4.00% 03/01/19 1,923,750
-------------
REAL ESTATE OPERATING COMPANIES - 1.1%
3,967,481 ClubCorp Corp Operations,
Inc., Term Loan .................... Ba2 BB 6.00% 11/30/16 3,978,630
-------------
REAL ESTATE SERVICES - 0.3%
1,393,829 Realogy Corp., Term Loan,
First Lien ......................... B1 B- 4.77% 10/10/16 1,293,278
-------------
RESEARCH & CONSULTING SERVICES - 4.8%
1,985,000 Acosta, Inc., Term Loan B .............. NR (f) B+ 4.75% 03/01/18 1,970,112
5,940,000 Advantage Sales & Marketing,
Inc., Term Loan, First
Lien ............................... NR (f) B+ 5.25% 12/17/17 5,908,459
6,460,208 Affinion Group, Inc., Term
Loan B ............................. Ba3 BB- 5.00% 10/09/16 6,044,365
1,700,154 Nielsen Finance, LLC, Dollar
Term Loan B ........................ Ba2 BB+ 4.01% 05/02/16 1,705,612
1,990,000 Symphony IRI Group, Inc.,
Term Loan B-2 ...................... B1 B+ 5.00% 12/01/17 1,984,189
-------------
17,612,737
-------------
RESTAURANTS - 2.6%
1,915,000 Burger King Corp., Term Loan B ......... Ba3 BB- 4.50% 10/19/16 1,908,144
3,000,000 Fertitta Morton's
Restaurants, Inc., Term
Loan B ............................. B2 BB- 8.75% 01/25/19 2,977,500
3,333,333 Focus Brands, Inc., Term
Loan, First Lien ................... B1 B 6.25%-7.25% 02/21/18 3,345,834
1,500,000 Focus Brands, Inc., Term
Loan, Second Lien .................. Caa1 CCC+ 10.25% 08/21/18 1,485,000
-------------
9,716,478
-------------
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
RETAIL REITS - 1.3%
$ 4,691,995 Capital Automotive L.P., Term
Loan B ............................. Ba3 B+ 5.00% 03/11/17 $ 4,640,383
-------------
SEMICONDUCTORS - 1.3%
4,951,546 Freescale Semiconductor,
Inc., Extended Term Loan ........... B1 B 4.52% 12/01/16 4,824,688
-------------
SPECIALIZED CONSUMER SERVICES - 3.4%
226,464 ARAMARK Corp., Prefunded
Synthetic Letter of
Credit 2 ......................... Ba3 BB 3.53% 07/26/16 224,355
3,443,529 ARAMARK Corp., Term Loan B ............. Ba3 BB 3.83% 07/26/16 3,411,469
5,659,091 Asurion Corp., Term Loan B ............. NR.(f) BB- 5.50% 05/24/18 5,637,247
2,000,000 Asurion Corp., Term Loan,
Second Lien ........................ NR (f) B- 9.00% 05/24/19 2,032,180
1,413,864 Protection One, Inc., Term
Loan ............................... B1 BB 6.00% 06/04/16 1,413,864
-------------
12,719,115
-------------
SPECIALIZED FINANCE - 0.8%
3,000,000 Flying Fortress, Inc., Term
Loan B .................... Ba3 BBB- 5.00% 06/30/17 2,990,640
-------------
SPECIALTY CHEMICALS - 4.7%
4,800,000 AZ Chemicals, Inc., Term Loan
B................................... Ba3 BB- 7.25% 12/19/17 4,838,688
1,976,424 Houghton International, Inc.,
Term Loan B ........................ B1 B 6.75% 01/31/16 1,976,424
1,810,170 Nusil Technology, LLC, Term
Loan, First Lien ................... NR (f) NR (f) 5.25% 04/07/17 1,804,142
1,995,000 OM Group, Inc., Term
Loan B ............................. Ba2 BB- 5.75% 08/04/17 1,999,987
1,481,250 Omnova Solutions, Inc., Term
Loan B ............................. Ba2 B+ 5.75% 05/31/17 1,472,614
2,227,273 Polyone Corp., Term Loan B ...... Ba1 BB- 5.00% 11/30/17 2,230,614
1,980,000 Styron Corp., Term Loan B ....... B1 B+ 6.00%-6.75% 08/02/17 1,785,307
1,166,667 Taminco Global Chemical B1 BB-
Corp., Term Loan .................. 6.25% 02/03/19 1,171,462
-------------
17,279,238
-------------
SPECIALTY STORES - 1.6%
1,985,000 Jo-Ann Stores, Inc., Term
Loan B ............................. B1 B+ 4.75% 03/16/18 1,958,262
3,920,000 Petco Animal Supplies, Inc.,
Term Loan .......................... B1 B 4.50% 11/24/17 3,902,007
-------------
5,860,269
-------------
SYSTEMS SOFTWARE - 3.2%
3,000,000 Blue Coat Systems, Inc., Term
Loan, First Lien ................... B1 BB- 7.50% 01/30/18 2,966,250
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
SYSTEMS SOFTWARE - (CONTINUED)
$ 1,013,049 Open Solutions, Inc., Term
Loan, First Lien ................... B1 B+ 2.69% 01/23/14 $ 941,923
356,996 SunGard Data Systems, Inc.,
Incremental Term Loan .............. Ba3 BB 3.74% 02/28/14 355,911
3,041,623 SunGard Data Systems, Inc.,
Term Loan B ........................ Ba3 BB 3.99%-4.15% 02/28/16 3,034,627
4,457,501 Vertafore, Inc., Term Loan,
First Lien ......................... B1 B+ 5.25% 07/29/16 4,419,612
-------------
11,718,323
-------------
TRUCKING - 2.3%
1,995,000 Avis Budget Group, Term Loan
B................................... Ba1 BB 6.25% 09/28/18 2,014,451
3,000,000 SIRVA, Inc., Term Loan B ............... NR (f) NR (f) 10.75% 03/31/16 2,940,000
2,042,965 Swift Transportation Co.,
Inc., Term Loan B .................. B1 BB 6.00% 12/21/16 2,042,965
1,575,467 Swift Transportation Co.,
Inc., Term Loan B2 ................. B1 BB 5.00% 12/15/17 1,577,436
-------------
8,574,852
-------------
WIRELESS TELECOMMUNICATION SERVICES - 3.4%
4,000,000 Crown Castle Operating Co.,
Term Loan B ........................ Ba3 B+ 4.00% 01/31/19 3,981,800
1,473,795 MetroPCS Wireless, Inc., Term
Loan B ............................. Ba1 BB 4.00%-4.06% 03/18/18 1,461,636
3,173,864 Neustar, Inc., Term Loan B ............. Ba2 BB+ 5.00% 11/08/18 3,181,798
2,970,000 Syniverse Technologies, Inc.,
Term Loan B ........................ B1 BB- 5.25% 12/22/17 2,975,108
992,500 TowerCo Finance, LLC, Term
Loan B ............................. Ba3 BB- 5.25% 02/02/17 993,741
-------------
12,594,083
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................ 548,942,594
-------------
(Cost $553,466,672)
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) -------------
Page 12 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- ----------------------------------------------------------------------------------------- -------------
COMMON STOCKS - 0.4%
DIVERSIFIED CHEMICALS - 0.4%
38,260 LyondellBasell Industries AF S.C.A., Class B ............................................ $ 1,652,067
-------------
TOTAL COMMON STOCKS ..................................................................... 1,652,067
(Cost $452,084) -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (g) (i) (k).......................................................... 3,290
-------------
TOTAL WARRANTS .......................................................................... 3,290
(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 - 148.8% .............................................................. 550,597,951
(Cost $556,918,756) (l)
OUTSTANDING LOAN - (43.0%) .............................................................. (159,000,000)
NET OTHER ASSETS AND LIABILITIES - (5.8%) ............................................... (21,608,193)
-------------
NET ASSETS - 100.0% ..................................................................... $ 369,989,758
=============
(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 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.
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED)
FEBRUARY 29, 2012 (UNAUDITED)
(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 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 February 29, 2012,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $3,679,510 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $10,000,315.
NR Not Rated
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
2/29/2012 PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS
--------------- ------------- ----------------- -------------------
Senior Floating-Rate Loan Interests:
Aerospace & Defense $ 19,060,495 $ -- $ 17,681,875 $ 1,378,620
Asset Management & Custody Banks 19,078,836 -- 16,698,527 2,380,309
Trucking 8,574,852 -- 5,634,852 2,940,000
Other Industry Categories* 502,228,411 -- 502,228,411 --
--------------- ------------- ----------------- -----------------
Total Senior Floating-Rate Loan Interests 548,942,594 -- 542,243,665 6,698,929
Common Stocks* 1,652,067 1,652,067 -- --
Warrants* 3,290 -- 3,290 --
--------------- ------------- ----------------- -----------------
TOTAL INVESTMENTS $ 550,597,951 $ 1,652,067 $ 542,246,955 $ 6,698,929
=============== ============= ================= =================
* 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. As of February
29, 2012, the Fund transferred Senior Floating-Rate Loan Interest valued at
$22,072,957 from Level 3 to Level 2 of the fair value hierarchy. The Senior
Floating-Rate Loan Interests that transferred from Level 3 to Level 2 did so
primarily as a result of additional information obtained from an independent
third party pricing vendor relating to the liquidity of individual Senior
Floating-Rate Loan Interests.
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
INVESTMENTS AT FAIR VALUE TRANSFERS REALIZED NET UNREALIZED BALANCE AS OF
USING SIGNIFICANT BALANCE AS OF IN (OUT) GAINS APPRECIATION FEBRUARY 29,
INPUTS (LEVEL 3) MAY 31, 2011 OF LEVEL 3 (LOSSES) (DEPRECIATION) PURCHASES SALES 2012
-------------------------- -------------- ------------ ---------- -------------- ------------ --------------- ---------------
Senior Floating-Rate Loan
Interests $ 34,433,986 $(20,694,337) $ 71,118 $ (294,108) $ 4,380,099 $ (11,197,829) $ 6,698,929
Page 14 See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 29, 2012 (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" or "Advisor") 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
FEBRUARY 29, 2012 (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 29, 2012, 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 had unfunded loan commitments of $395,604 as of
February 29, 2012.
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 February 29, 2012, 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 $ 2.27 $ -- $ 3,290 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 $ 3,290 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
-------------------------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
-----------------------------------------------------
Mark R. Bradley, President and Chief Executive Officer
(principal executive officer)
Date April 16, 2012
---------------------
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/ Mark R. Bradley
-----------------------------------------------------
Mark R. Bradley, President and Chief Executive Officer
(principal executive officer)
Date April 16, 2012
---------------------
By (Signature and Title)* /s/ Mark R. Bradley
-----------------------------------------------------
James M. Dykas, Treasurer, Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date April 16, 2012
---------------------
* Print the name and title of each signing officer under his or her signature.