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: August 31, 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)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 145.1%
AEROSPACE & DEFENSE - 4.2%
$ 1,200,000 Booz Allen Hamilton, Inc.,
Term Loan B ........................ Ba3 BB 4.50% 07/18/19 $ 1,201,500
1,582,109 DAE Aviation Holdings, Inc.,
Term Loan B1 ....................... B2 B 5.45% 07/31/14 1,578,153
1,504,357 DAE Aviation Holdings, Inc.,
Term Loan B2 ....................... B2 B 5.45% 07/31/14 1,500,596
3,906,692 DynCorp International, Inc.,
Term Loan .......................... Ba2 BB- 6.25% 07/07/16 3,899,855
2,000,000 Engility Holdings, Inc., Term
Loan B ............................. Ba2 BB+ 5.75% 07/13/17 1,972,500
2,000,000 Pelican Products, Inc., Term
Loan ............................... NR (e) NR (e) 7.00% 06/06/18 1,980,000
634,874 Robertson Fuel Systems, LLC,
Term Loan .......................... NR (e) NR (e) 2.98% 04/19/13 631,700
2,955,000 Transdigm, Inc., Term Loan B ........... Ba2 BB- 4.00% 02/14/17 2,965,165
-------------
15,729,469
-------------
AGRICULTURAL PRODUCTS - 1.0%
1,394,426 Dole Food Company, Inc., Term
Loan B2 ............................ Ba2 BB- 5.00%-6.00% 07/08/18 1,396,169
2,495,292 Dole Food Company, Inc., Term
Loan C2 ............................ Ba2 BB- 5.00%-6.00% 07/08/18 2,498,411
-------------
3,894,580
-------------
ALTERNATIVE CARRIERS - 3.7%
5,925,000 Intelsat Jackson Holdings
S.A., Term Loan B .................. B1 BB- 5.25% 04/02/18 5,944,256
1,000,000 Level 3 Financing, Inc., Term
Loan B ............................. Ba3 B+ 4.75% 02/01/16 1,002,000
4,000,000 Level 3 Financing, Inc., Term
Loan B2 ............................ Ba3 B+ 5.75% 09/01/18 4,010,560
2,857,143 Telesat Canada, Term Loan B ............ Ba3 BB- 4.25% 03/28/19 2,850,457
-------------
13,807,273
-------------
ALUMINUM - 0.5%
2,000,000 Constellium Holdco B.V., Term
Loan ............................... B2 B 9.25%-10.25% 05/25/18 1,960,000
-------------
APPAREL RETAIL - 1.3%
1,750,000 Ascena Retail Group, Inc.,
Term Loan B ........................ Ba2 BB+ 4.75% 06/08/18 1,758,750
3,000,000 Neiman Marcus Group, Term Loan ......... B2 BB- 4.75% 05/16/18 3,000,000
-------------
4,758,750
-------------
APPLICATION SOFTWARE - 3.4%
2,386,786 CCC Information Systems, Inc.,
Term Loan B ........................ B1 BB- 5.75% 11/11/15 2,378,575
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
APPLICATION SOFTWARE - (CONTINUED)
$ 2,394,000 DataTel, Inc., Term Loan B ............. B1 B+ 6.25% 07/19/18 $ 2,413,750
3,960,000 Eagle Parent, Inc., Term Loan
B .................................. Ba3 B+ 5.00% 05/16/18 3,955,050
3,918,750 Lawson Software, Inc., Term
Loan B ............................. Ba3 B+ 6.25% 04/05/18 3,959,035
-------------
12,706,410
-------------
ASSET MANAGEMENT & CUSTODY BANKS - 4.8%
1,256,618 Grosvenor Capital Management
Holdings, LLP, Term Loan ........... NR (e) NR (e) 4.25% 12/05/16 1,237,769
2,821,429 Hamilton Lane Advisors, Term
Loan B ............................. NR (e) NR (e) 6.50% 02/28/18 2,807,321
1,885,060 Harbourvest Partners L.P.,
Term Loan B ........................ NR (e) NR (e) 6.25% 12/19/16 1,882,704
2,498,952 Mondrian Investment Partners
Ltd., Term Loan B .................. Ba2 BB 5.50% 07/12/18 2,503,125
812,470 Munder Capital Management,
Incremental Term Loan .............. NR (e) NR (e) 6.00% 03/23/15 788,096
6,704,791 Nuveen Investments, Inc.,
Extended Term Loan ................. B2 B 5.93%-5.96% 05/13/17 6,723,631
2,000,000 Nuveen Investments, Inc.,
Incremental Term Loan .............. B2 B 7.25% 05/13/17 2,009,000
-------------
17,951,646
-------------
AUTO PARTS & EQUIPMENT - 3.1%
3,000,000 Allison Transmission, Inc.,
Term Loan B3 ....................... Ba3 BB- 4.25% 08/15/19 2,988,750
3,944,993 HHI Holdings, LLC, Term Loan B ......... B2 B+ 7.00%-7.75% 03/21/17 3,954,855
1,957,053 Metaldyne, LLC, Term Loan B ............ B1 B+ 5.25% 05/18/17 1,969,285
565,213 Schrader International, Inc.,
Term Loan .......................... B1 B 6.25% 04/27/18 568,039
434,787 Schrader International, Inc.,
US Term Loan ....................... B1 B 6.25% 04/27/18 436,961
1,813,183 Tomkins, PLC, Term Loan B .............. Ba2 BB 4.25% 09/29/16 1,818,042
-------------
11,735,932
-------------
AUTOMOBILE MANUFACTURERS - 1.1%
3,982,406 Chrysler Group, LLC, Term Loan
B .................................. Ba2 BB 6.00% 05/24/17 4,048,912
-------------
AUTOMOTIVE RETAIL - 1.8%
1,918,795 KAR Holdings, Inc., Term Loan
B .................................. Ba3 BB- 5.00% 05/19/17 1,918,201
1,942,737 Pilot Travel Centers, LLC,
Term Loan B ........................ Ba2 BB 4.25% 03/30/18 1,944,194
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
AUTOMOTIVE RETAIL - (CONTINUED)
$ 2,750,000 Pilot Travel Centers, LLC,
Term Loan B2 ....................... Ba2 BB 4.25% 08/01/19 $ 2,756,875
-------------
6,619,270
-------------
BIOTECHNOLOGY - 1.5%
5,765,451 Grifols, SA, Term Loan B ............... Ba2 BB+ 4.50% 06/01/17 5,779,807
-------------
BROADCASTING - 6.8%
6,677,409 Clear Channel Communications,
Inc., Term Loan B .................. Caa1 CCC+ 3.88% 01/29/16 5,170,852
1,989,434 Cumulus Media Holdings, Inc.,
Term Loan, First Lien .............. Ba2 BB- 5.75% 09/16/18 1,992,757
1,000,000 Cumulus Media Holdings, Inc.,
Term Loan, Second Lien ............. B2 CCC+ 7.50% 03/18/19 1,002,500
2,689,189 FoxCo Acquisition, LLC, Term
Loan B ............................. B1 BB 4.75% 07/14/15 2,689,189
1,315,266 Hubbard Radio, LLC, Term Loan .......... Ba3 B+ 5.25% 04/28/17 1,316,910
2,132,143 LIN Television Corp., Term
Loan B ............................. Ba3 BB- 5.00% 12/21/18 2,144,147
1,980,000 Raycom TV Broadcasting, LLC,
Term Loan B ........................ NR NR 4.50% 05/31/17 1,965,150
3,802,607 Sinclair Broadcasting Group,
Inc., Term Loan B .................. Ba1 BB+ 4.00% 10/28/16 3,800,249
5,490,013 Univision Corp., Extended Term
Loan ............................... B2 B+ 4.48% 03/31/17 5,307,305
-------------
25,389,059
-------------
BUILDING PRODUCTS - 0.9%
3,483,747 Unifrax, LLC, Term Loan B .............. B2 B+ 6.50% 11/28/18 3,509,875
-------------
CABLE & SATELLITE - 2.6%
1,970,000 Bresnan Broadband Holdings,
LLC, Term Loan B ................... Ba3 BB+ 4.50% 12/14/17 1,974,925
1,163,750 Cequel Communications Holdings
I, LLC, Term Loan B ................ Ba2 BB- 4.00% 02/14/19 1,161,329
1,755,600 Charter Communications
Operating, LLC, Term Loan
D .................................. Ba1 BB+ 4.00% 05/15/19 1,753,686
2,916,667 Kabel Deutschland, Term Loan F ......... Ba2 BB 4.25% 02/01/19 2,911,388
1,909,091 UPC Financing Partnership,
Term Loan A ........................ Ba3 BB- 4.75% 12/31/17 1,914,666
-------------
9,715,994
-------------
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
CASINOS & GAMING - 4.0%
$ 2,000,000 Harrah's Entertainment, Inc.,
Term Loan B1 ....................... B2 B 3.25% 01/28/15 $ 1,896,660
5,000,000 Harrah's Entertainment, Inc.,
Term Loan B2 ....................... B2 B 3.25% 01/28/15 4,741,650
3,000,000 Harrah's Entertainment, Inc.,
Term Loan B3 ....................... B2 B 3.24% 01/28/15 2,844,990
1,330,000 Pinnacle Entertainment, Inc.,
Term Loan B ........................ Ba1 BB+ 4.00% 03/19/19 1,325,850
533,333 ROC Finance, LLC, Delayed Draw
Term Loan .......................... B1 BB- 8.50% 08/19/17 541,333
3,466,667 ROC Finance, LLC, Term Loan ............ B1 BB- 8.50% 08/19/17 3,518,667
-------------
14,869,150
-------------
COAL & CONSUMABLE FUELS - 1.3%
2,142,857 Arch Coal, Inc., Term Loan ............. Ba3 BB 5.75% 05/16/18 2,140,179
2,728,557 Walter Energy, Inc., Term Loan
B .................................. B1 BB- 4.00% 04/02/18 2,682,526
-------------
4,822,705
-------------
COMMERCIAL PRINTING - 0.7%
2,449,835 Cenveo Corp., Term Loan ................ Ba3 BB- 6.63% 12/21/16 2,448,316
-------------
COMMODITY CHEMICALS - 1.4%
2,000,000 Kronos Worldwide, Inc., Term
Loan B ............................. Ba3 BB- 5.75% 06/11/18 2,007,500
659,341 Tronox, Inc., Delayed Draw
Term Loan .......................... Ba2 BBB- 4.25% 02/08/18 657,752
2,417,582 Tronox, Inc., Term Loan ................ Ba2 BBB- 4.25% 02/08/18 2,411,756
-------------
5,077,008
-------------
COMMUNICATIONS EQUIPMENT - 0.8%
3,084,363 Commscope, Inc., Term Loan B ........... Ba3 BB 4.25% 01/14/18 3,083,253
-------------
CONSTRUCTION & ENGINEERING - 1.6%
3,974,975 Terex Corp., Term Loan ................. Ba2 BB 5.50% 04/28/17 3,994,850
2,100,000 WireCo Worldgroup, Inc., Term
Loan B ............................. Ba2 BB- 6.00% 02/15/17 2,113,125
-------------
6,107,975
-------------
CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS - 0.4%
1,500,000 Navistar International Corp.,
Term Loan B ........................ Ba2 B+ 7.00% 08/16/17 1,507,125
-------------
CONSUMER FINANCE - 0.8%
1,619,845 Ocwen Financial Corp., Term
Loan ............................... B1 B 7.00% 09/01/16 1,629,969
1,500,000 Residential Capital, LLC, Term
Loan A1 ............................ NR BB 5.00% 11/14/13 1,503,750
-------------
3,133,719
-------------
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
DATA PROCESSING & OUTSOURCED SERVICES - 0.9%
$ 3,944,154 Harland Clarke Holdings Corp.,
Term Loan B2 ....................... B1 B+ 5.50% 06/30/17 $ 3,477,442
-------------
DIVERSIFIED CHEMICALS - 1.0%
3,918,750 Ineos Group Ltd., Term Loan ............ B1 B+ 6.50% 05/04/18 3,924,471
-------------
DIVERSIFIED REAL ESTATE ACTIVITIES - 0.7%
1,300,088 iStar Financial, Inc., Term
Loan A1 ............................ B1 BB- 5.25% 06/28/13 1,301,063
1,358,233 iStar Financial, Inc., Term
Loan A1 ............................ B1 BB- 5.00% 03/19/16 1,360,352
-------------
2,661,415
-------------
DIVERSIFIED SUPPORT SERVICES - 0.5%
2,000,000 SMG, Term Loan ......................... NR (e) NR (e) 6.50% 06/07/18 1,995,000
-------------
ELECTRIC UTILITIES - 1.4%
2,000,000 Equipower Resources Holdings,
LLC, Term Loan B ................... Ba3 BB 6.50% 12/20/18 2,005,000
3,241,410 Texas Competitive Electric
Holdings Company, LLC,
Term Loan .......................... B2 CCC 3.74%-3.94% 10/10/14 2,373,166
1,000,000 Texas Competitive Electric
Holdings Company, LLC,
Term Loan .......................... B2 CCC 3.74%-3.94% 10/10/14 732,140
-------------
5,110,306
-------------
ENVIRONMENTAL & FACILITIES SERVICES - 2.3%
5,646,429 EnergySolutions, LLC, Term
Loan ............................... B1 BB- 6.25% 08/15/16 5,314,701
1,962,668 Waste Industries USA, Inc.,
Term Loan B ........................ B1 B+ 4.75% 03/17/17 1,957,761
1,163,750 WCA Waste Corp., Term Loan B ........... B1 B+ 5.50% 03/23/18 1,166,659
-------------
8,439,121
-------------
FOOD DISTRIBUTORS - 0.3%
1,050,000 General Nutrition Centers,
Inc., Term Loan B .................. Ba3 BB 4.25% 03/02/18 1,048,520
-------------
FOOTWEAR - 0.3%
1,050,000 Wolverine World Wide, Inc.,
Term Loan B ........................ Ba2 BB 4.75% 06/26/19 1,056,541
-------------
HEALTH CARE EQUIPMENT - 4.7%
1,985,000 Alere, Inc., Term Loan B ............... Ba3 BB- 4.75% 06/30/17 1,980,454
1,990,000 Alere, Inc., Term Loan B1 .............. Ba3 BB- 4.75% 06/30/17 1,985,443
498,750 Alere, Inc., Term Loan B2 .............. Ba3 BB- 4.75% 06/30/17 497,608
5,910,110 Carestream Health, Inc., Term
Loan B ............................. B1 BB- 5.00% 02/25/17 5,756,802
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HEALTH CARE EQUIPMENT - (CONTINUED)
$ 1,784,482 DJO Finance, LLC, Term Loan B2 ......... Ba2 BB- 5.23% 11/01/16 $ 1,783,733
3,177,520 DJO Finance, LLC, Term Loan B3 ......... Ba2 BB- 6.25% 09/15/17 3,180,157
714,286 Hologic, Inc., Term Loan B ............. Ba2 BBB- 4.50% 07/19/19 718,621
1,582,955 Kinetic Concepts, Inc., Term
Loan B ............................. Ba2 BB- 7.00% 05/04/18 1,596,141
-------------
17,498,959
-------------
HEALTH CARE FACILITIES - 7.4%
2,475,032 CHS/Community Health Systems,
Inc., Extended Term Loan ........... Ba3 BB 3.97% 01/25/17 2,476,790
2,969,283 Golden Living Drumm Investors,
LLC, Term Loan ..................... B1 B+ 5.00% 05/04/18 2,835,666
3,165,909 Health Management Associates,
Inc., Term Loan B .................. Ba3 BB- 4.50% 11/16/18 3,173,032
3,154,955 Kindred Healthcare, Inc., Term
Loan B ............................. Ba3 B+ 5.25% 06/01/18 3,073,462
1,750,000 Select Medical Corp., Term
Loan B ............................. Ba3 BB- 5.50% 06/01/18 1,723,750
2,970,000 Select Medical Corp., Term
Loan B ............................. Ba3 BB- 5.50% 06/01/18 2,925,450
1,980,000 Surgical Care Affiliates,
Inc., Term Loan B .................. Ba3 B 5.50% 06/29/18 1,941,647
1,995,000 United Surgical Partners
International, Inc., Term
Loan ............................... B1 B 6.00% 04/30/19 1,995,619
5,866,342 Vanguard Health Systems, Inc.,
Term Loan B ........................ Ba2 BB- 5.00% 01/29/16 5,892,037
203,720 Vantage Oncology Holdings,
LLC, Delayed Draw Term
Loan ............................... B2 B 7.75% 01/31/17 197,608
1,676,862 Vantage Oncology Holdings,
LLC, Term Loan ..................... B2 B 7.75% 01/31/17 1,626,556
-------------
27,861,617
-------------
HEALTH CARE SERVICES - 4.6%
2,850,000 Davita, Inc., Term Loan B2 ............. Ba2 BB- 4.00% 08/21/19 2,836,206
4,244,371 Emergency Medical Services
Corp., Term Loan B ................. B1 B+ 5.25% 05/25/18 4,239,065
3,413,571 Gentiva Health Services, Inc.,
Term Loan B ........................ B1 B 6.50% 08/17/16 3,288,976
2,972,481 Rural Metro Corp., Term Loan,
First Lien ......................... Ba3 B+ 5.75% 06/30/18 2,946,472
3,000,000 Sheridan Healthcare, Inc.,
Term Loan B ........................ B1 B+ 6.00% 06/29/18 3,002,490
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HEALTH CARE SERVICES - (CONTINUED)
$ 1,000,000 U.S. Renal Care, Inc., Term
Loan ............................... B1 B+ 6.25%-7.25% 07/02/19 $ 1,007,500
-------------
17,320,709
-------------
HEALTH CARE SUPPLIES - 2.0%
3,571,429 Bausch & Lomb, Inc., Term Loan
B .................................. B1 B+ 5.25% 05/17/19 3,583,321
2,000,000 BSN Medical Acquisition
Holding GMBH, Term Loan B .......... Ba3 B+ 6.00% 07/16/19 2,003,760
1,936,006 ConvaTec, Inc., Term Loan B ............ Ba3 B+ 5.75% 12/22/16 1,939,646
-------------
7,526,727
-------------
HEALTH CARE TECHNOLOGY - 2.7%
3,740,625 Emdeon Business Services, LLC,
Term Loan B ........................ Ba3 BB- 5.00% 11/02/18 3,742,383
1,970,374 MedAssets, Inc., Term Loan B ........... Ba3 BB- 5.25% 11/19/16 1,975,714
2,475,000 Trizetto Group, Inc., Term
Loan B ............................. B1 BB- 4.75% 05/02/18 2,427,059
2,000,000 Wolverine Healthcare
Analytics, Inc., Term Loan
B .................................. Ba3 B+ 6.75% 06/01/19 2,014,160
-------------
10,159,316
-------------
HOMEBUILDING - 0.5%
1,936,648 Mattamy Funding Partnership,
Term Loan .......................... NR (e) NR (e) 2.69% 04/11/13 1,912,440
-------------
HUMAN RESOURCE & EMPLOYMENT SERVICES - 0.4%
1,400,000 Genpact International, Inc.,
Term Loan B ........................ Ba2 BB+ 4.25% 08/17/19 1,400,000
-------------
HYPERMARKETS & SUPER CENTERS - 1.1%
3,970,000 BJ's Wholesale Club, Inc.,
Term Loan, First Lien .............. B1 B+ 5.25% 09/28/18 3,983,657
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 4.9%
3,957,300 AES Corp., Term Loan B ................. Ba1 BB+ 4.25% 06/01/18 3,967,193
3,950,000 Calpine Corp., Term Loan B1 ............ B1 BB- 4.50% 04/01/18 3,955,451
1,980,000 Calpine Corp., Term Loan B2 ............ B1 BB- 4.50% 04/01/18 1,982,732
2,649,255 Freif North American Power I,
LLC, Term Loan B ................... Ba3 BB- 6.00% 03/29/19 2,655,879
417,854 Freif North American Power I,
LLC, Term Loan C ................... Ba3 BB- 6.00% 03/29/19 418,898
2,970,000 NRG Energy, Inc., Term Loan B .......... Baa3 BB+ 4.00% 07/01/18 2,973,029
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - (CONTINUED)
$ 2,538,462 Star West Generation, LLC,
Term Loan B ........................ Ba3 B+ 6.00% 05/17/18 $ 2,509,904
-------------
18,463,086
-------------
INDUSTRIAL CONGLOMERATES - 0.4%
1,679,063 Colfax Corp., Term Loan B .............. Ba2 BB+ 4.50% 01/11/19 1,684,200
-------------
INDUSTRIAL MACHINERY - 1.2%
1,815,800 Douglas Dynamics, LLC, Term
Loan ............................... B1 BB 5.75% 04/18/18 1,787,056
2,786,206 Husky International, Ltd.,
Term Loan B ........................ Ba3 B 5.75%-7.50% 06/29/18 2,796,013
-------------
4,583,069
-------------
INSURANCE BROKERS - 0.8%
3,000,000 Amwins Group, LLC, Term Loan,
First Lien ......................... Ba2 B+ 5.75%-6.75% 05/23/19 3,000,000
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 2.3%
1,307,027 Avaya, Inc., Term Loan B1 .............. B1 B 3.18% 10/24/14 1,254,746
3,614,974 Avaya, Inc., Term Loan B3 .............. B1 B 4.93% 10/26/17 3,230,123
2,000,000 Hawaiian Telcom
Communications, Inc., Term
Loan, First Lien ................... B1 B- 7.00% 02/28/17 2,025,000
1,980,000 Securus Technologies, Inc.,
Term Loan B ........................ B2 B 6.50% 05/31/17 1,968,457
-------------
8,478,326
-------------
INTERNET SOFTWARE & SERVICES - 0.6%
2,369,681 AVG Technologies, Term Loan B .......... B1 B+ 7.50% 03/15/16 2,319,325
-------------
IT CONSULTING & OTHER SERVICES - 0.8%
1,537,230 Presidio, Inc., Term Loan B ............ Ba3 B+ 5.75% 03/31/17 1,521,857
1,400,000 West Corp., Term Loan B6 ............... Ba3 B+ 5.75% 06/01/18 1,404,382
-------------
2,926,239
-------------
LEISURE FACILITIES - 0.5%
1,969,231 Six Flags, Inc., Term Loan B ........... B1 BB+ 4.25% 12/20/18 1,973,839
-------------
LEISURE PRODUCTS - 1.4%
1,135,714 FGI Operating Company, LLC,
Term Loan B ........................ Ba3 B+ 5.50% 04/11/19 1,139,269
3,952,248 Live Nation Entertainment,
Inc., Term Loan B .................. Ba2 BB- 4.50% 11/07/16 3,942,367
-------------
5,081,636
-------------
LIFE & HEALTH INSURANCE - 0.3%
1,193,412 CNO Financial Group, Inc.,
Term Loan .......................... Ba3 B+ 6.25% 09/30/16 1,196,145
-------------
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES - 2.5%
$ 2,946,889 inVentiv Health, Inc., Term
Loan ............................... B1 B+ 6.50% 08/04/16 $ 2,742,081
990,000 inVentiv Health, Inc., Term
Loan 3 ............................. B1 B+ 7.00% 05/15/18 923,175
2,321,667 Pharmaceutical Products
Development, Inc., Term
Loan B ............................. Ba3 BB- 6.25% 12/05/18 2,347,298
3,465,000 Quintiles Transnational Corp.,
Term Loan B, First Lien ............ B1 BB- 5.00% 06/08/18 3,471,514
-------------
9,484,068
-------------
MANAGED HEALTH CARE - 0.9%
3,236,941 MultiPlan, Inc., Term Loan ............. Ba3 B 4.75% 08/26/17 3,223,184
-------------
MOVIES & ENTERTAINMENT - 2.0%
2,992,500 Alpha Topco, Ltd., Term Loan B ......... Ba3 BB- 5.75% 04/27/17 3,008,061
2,388,000 AMC Entertainment, Inc., Term
Loan B3 ........................... Ba2 BB- 4.75% 02/07/18 2,390,388
1,980,000 Mood Media Corp., Term Loan,
First Lien ........................ Ba3 B 7.00% 05/06/18 1,959,784
-------------
7,358,233
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.8%
3,000,000 Chesapeake Energy Corp., Term
Loan B ............................. Ba3 BB- 8.50% 12/02/17 3,006,450
-------------
OIL & GAS REFINING & MARKETING - 0.4%
104,445 Alon USA, Inc., Term Loan
(Edgington Facility) ............... B1 B+ 2.48% 08/05/13 102,356
835,556 Alon USA, Inc., Term Loan
(Paramount Facility) ............... B1 B+ 2.48% 08/05/13 818,844
506,143 Citgo Petroleum Corp., Term
Loan B ............................. Ba2 BB+ 8.00% 06/24/15 508,421
-------------
1,429,621
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 5.7%
4,580,721 First American Payment
Systems, L.P., Term Loan B ......... B1 B+ 6.75% 11/01/16 4,569,269
4,683,538 First Data Corp., Term Loan ............ B1 B+ 5.24% 03/24/17 4,588,696
1,721,474 First Data Corp., Term Loan B2 ......... B1 B+ 3.00% 09/24/14 1,696,823
573,825 First Data Corp., Term Loan B3 ......... B1 B+ 2.99% 09/24/14 565,607
607,143 Global Cash Access, Inc., Term
Loan ............................... B1 BB 7.00% 03/01/16 607,143
2,820,000 iPayment, Inc., Term Loan B ............ Ba2 B+ 5.75% 05/08/17 2,820,000
871,795 Moneygram International, Term
Loan B ............................. Ba2 BB- 4.25% 11/18/17 863,077
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
OTHER DIVERSIFIED FINANCIAL SERVICES - (CONTINUED)
$ 1,985,000 Moneygram International, Term
Loan B1 ............................ Ba2 BB- 4.25% 11/18/17 $ 1,965,150
3,592,500 RPI Finance Trust, Term Loan B ......... Baa2 BBB- 4.00% 11/09/18 3,594,763
-------------
21,270,528
-------------
PACKAGED FOODS & MEATS - 4.1%
3,500,000 Blue Buffalo Company Ltd.,
Term Loan B ........................ B1 B+ 6.50% 08/07/19 3,456,250
3,000,000 Ferrara Candy Company, Term
Loan B ............................. B2 B 7.50% 06/08/18 3,009,750
2,000,000 Hearthside Food Solutions,
LLC, Term Loan A ................... NR (e) NR (e) 6.50% 06/05/18 1,995,000
1,987,481 JBS USA, LLC, Term Loan B .............. Ba3 BB 4.25% 05/25/18 1,952,700
2,142,857 Pinnacle Foods Finance, LLC,
Term Loan F ........................ Ba3 B+ 4.75% 10/17/18 2,130,364
2,750,000 Smart Balance, Inc., Term Loan
B .................................. B1 B+ 7.00% 06/28/18 2,770,625
-------------
15,314,689
-------------
PAPER PACKAGING - 3.3%
1,658,605 RanPak Corp., Term Loan B .............. NR (e) NR (e) 4.75% 04/20/17 1,639,248
8,791,395 Reynolds Consumer Products
Holdings, Inc., Term Loan .......... Ba3 BB- 6.50% 02/09/18 8,841,946
1,963,590 Reynolds Consumer Products
Holdings, Inc., Term Loan
C .................................. Ba3 BB- 6.50% 08/09/18 1,988,390
-------------
12,469,584
-------------
PHARMACEUTICALS - 5.5%
3,198,650 Catalent Pharma Solutions,
Inc., Term Loan .................... Ba3 BB- 5.25% 09/15/17 3,212,660
2,467,878 IMS Health, Term Loan B ................ Ba3 BB 4.50% 08/26/17 2,474,566
3,000,000 Jazz Pharmaceuticals, Inc.,
Term Loan B ........................ Ba3 BBB- 5.25% 03/11/18 3,013,140
2,800,000 Valeant Pharmaceuticals
International, Inc., Term
Loan B, Series A ................... Ba1 BBB- 4.75% 02/13/19 2,806,496
733,333 Valeant Pharmaceuticals
International, Inc., Term
Loan B, Series B ................... Ba1 BBB- 4.75% 02/13/19 735,035
1,580,000 Warner Chilcott, PLC, Term
Loan B1 ............................ Ba3 BBB- 4.25% 03/15/18 1,571,215
790,000 Warner Chilcott, PLC, Term
Loan B2 ............................ Ba3 BBB- 4.25% 03/15/18 785,608
1,086,250 Warner Chilcott, PLC, Term
Loan B3 ............................ Ba3 BBB- 4.25% 03/15/18 1,080,210
4,000,000 Warner Chilcott, PLC, Term
Loan B4 ............................ Ba3 BBB- 3.24% 08/15/17 3,990,000
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
PHARMACEUTICALS - (CONTINUED)
$ 800,000 Warner Chilcott, PLC, Term
Loan B5 ............................ Ba3 BBB- 3.24% 08/15/17 $ 798,000
-------------
20,466,930
-------------
PUBLISHING - 0.1%
757,652 Yell Group, PLC, Term Loan B1 .......... Caa3 CCC+ 4.46% 07/31/14 211,112
-------------
REAL ESTATE OPERATING COMPANIES - 1.1%
3,947,443 ClubCorp Club Operations,
Inc., Term Loan .................... Ba2 BB 6.00% 11/30/16 3,944,167
-------------
REAL ESTATE SERVICES - 0.4%
1,393,829 Realogy Corp., Term Loan,
First Lien ......................... B1 B- 4.49% 10/10/16 1,345,547
-------------
RESEARCH & CONSULTING SERVICES - 4.5%
1,957,032 Acosta, Inc., Term Loan B .............. NR (e) B+ 5.75% 03/01/18 1,961,220
1,995,000 Acosta, Inc., Term Loan C .............. NR (e) B+ 5.75% 03/01/18 1,996,257
3,910,000 Advantage Sales & Marketing,
Inc., Term Loan, First
Lien ............................... NR (e) B+ 5.25% 12/18/17 3,906,325
6,427,388 Affinion Group, Inc., Term
Loan B ............................. Ba3 B+ 5.00% 07/16/15 5,455,245
1,717,857 Property Data, Inc., Term Loan ......... Ba3 B+ 7.00% 01/04/17 1,646,274
1,980,000 Symphony IRI Group, Inc., Term
Loan B2 ............................ B1 B+ 5.00% 12/01/17 1,966,793
-------------
16,932,114
-------------
RESTAURANTS - 1.8%
3,093,716 Focus Brands, Inc., Term Loan,
First Lien ......................... B1 B 6.25%-7.25% 02/21/18 3,124,653
1,500,000 Focus Brands, Inc., Term Loan,
Second Lien ........................ Caa1 CCC+ 10.25% 08/21/18 1,511,250
2,250,000 Wendy's International, Inc.,
Term Loan B ........................ B1 BB- 4.75% 05/15/19 2,260,035
-------------
6,895,938
-------------
RETAIL REITS - 0.9%
3,520,859 Capital Automotive L.P., Term
Loan B ............................. Ba3 B+ 5.25% 03/11/17 3,526,739
-------------
SEMICONDUCTORS - 1.3%
4,951,546 Freescale Semiconductor, Inc.,
Extended Term Loan ................. B1 B 4.50% 12/01/16 4,750,415
-------------
SPECIALIZED CONSUMER SERVICES - 2.6%
5,581,364 Asurion Corp., Term Loan B ............. NR (e) BB- 5.50% 05/24/18 5,594,424
1,250,000 Asurion Corp., Term Loan B1 ............ NR (e) BB- 4.75% 07/18/17 1,249,613
891,720 Asurion Corp., Term Loan,
Second Lien ........................ NR (e) B- 9.00% 05/24/19 922,038
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
SPECIALIZED CONSUMER SERVICES - (CONTINUED)
$ 1,995,000 Expert Global Solutions, Inc.,
Term Loan B ........................ Ba3 B 8.00% 04/03/18 $ 1,990,511
-------------
9,756,586
-------------
SPECIALIZED FINANCE - 2.1%
2,000,000 AlixPartners, LLP, Term Loan
B1 ................................. Ba3 B+ 5.50% 06/01/17 1,985,420
2,000,000 AlixPartners, LLP, Term Loan
B2 ................................. Ba3 B+ 6.50% 06/01/19 1,999,140
1,000,000 Fly Leasing Ltd., Term Loan B .......... B1 BBB- 6.75% 08/06/18 985,630
3,000,000 Flying Fortress, Inc., Term
Loan B ............................. Ba2 BBB- 5.00% 06/30/17 3,020,640
-------------
7,990,830
-------------
SPECIALTY CHEMICALS - 6.0%
2,394,000 Ascend Performance Materials,
LLC, Term Loan B ................... NR (e) NR (e) 6.75% 04/10/18 2,372,047
4,145,455 AZ Chemicals, Inc., Term Loan
B .................................. Ba3 BB- 7.25% 12/22/17 4,173,685
3,000,000 Emerald Performance Materials,
LLC, Term Loan B ................... B1 B 6.75% 05/18/18 2,985,000
1,784,620 Houghton International, Inc.,
Term Loan B ........................ B1 B 6.75% 01/29/16 1,798,004
1,691,525 Nusil Technology, LLC, Term
Loan, First Lien ................... NR (e) NR (e) 5.25% 04/07/17 1,683,068
1,985,000 OM Group, Inc., Term Loan B ............ Ba2 BB- 5.75% 08/02/17 1,992,444
1,473,750 Omnova Solutions, Inc., Term
Loan B ............................. Ba2 B+ 5.50% 05/31/17 1,482,047
2,216,136 Polyone Corp., Term Loan B ............. Ba1 BB- 5.00% 12/20/17 2,222,785
2,666,203 Styron Corp., Term Loan B .............. B1 B+ 8.00% 08/02/17 2,482,901
1,163,750 Taminco Global Chemical Corp.,
Term Loan .......................... B1 BB- 5.25% 02/15/19 1,166,415
-------------
22,358,396
-------------
SPECIALTY STORES - 0.3%
1,200,000 Party City Holdings, Inc.,
Term Loan B ........................ B1 B 5.75% 07/18/19 1,205,496
-------------
SYSTEMS SOFTWARE - 2.5%
2,007,732 Open Solutions, Inc., Term
Loan, First Lien ................... B1 B+ 2.58% 01/23/14 1,918,007
Page 12 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
SYSTEMS SOFTWARE - (CONTINUED)
$ 2,658,333 SS&C Technologies Holdings,
Inc., Term Loan B1 ................. Ba3 BB- 5.00% 05/24/19 $ 2,661,656
275,000 SS&C Technologies Holdings,
Inc., Term Loan B2 ................. Ba3 BB- 5.00% 05/24/19 275,344
4,435,002 Vertafore, Inc., Term Loan,
First Lien ......................... B1 B+ 5.25% 07/29/16 4,430,567
-------------
9,285,574
-------------
TIRES & RUBBER - 0.9%
3,571,429 Goodyear Tire & Rubber Co.,
Term Loan, Second Lien ............. Ba1 BB 4.75% 04/30/19 3,558,036
-------------
TRUCKING - 1.2%
2,956,315 SIRVA, Inc., Term Loan B ............... NR (e) NR (e) 10.75% 03/31/16 2,941,534
1,445,467 Swift Transportation Co.,
Inc., Term Loan B2 ................. B1 BB 5.00% 12/21/17 1,449,081
-------------
4,390,615
-------------
WIRELESS TELECOMMUNICATION SERVICES - 2.5%
3,315,004 Crown Castle Operating Co.,
Term Loan B ........................ Ba3 B+ 4.00% 01/31/19 3,310,861
3,157,955 Neustar, Inc., Term Loan B ............. Ba2 BB+ 5.00% 11/08/18 3,173,744
3,000,000 Syniverse Holdings, Inc., Term
Loan B ............................. B1 BB- 5.00% 04/23/19 2,986,890
-------------
9,471,495
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS .......................... 543,384,681
(Cost $545,414,942) -------------
PRINCIPAL STATED
VALUE DESCRIPTION RATE MATURITY VALUE
--------------- ----------------------------------------------------------- ----------- ------------- -------------
NOTES - 0.0%
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc. (Payment-In-Kind Election Note)
(f) (g) (h) (i)...................................... 14.75% 07/01/15 0
-------------
TOTAL NOTES ............................................................................. 0
(Cost $436,364) -------------
SHARES DESCRIPTION VALUE
--------------- ----------------------------------------------------------------------------------------- -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (f) (h) (j).......................................................... 2,319
-------------
TOTAL WARRANTS .......................................................................... 2,319
(Cost $0) -------------
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- ----------------------------------------------------------------------------------------- -------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred
Stock) (f) (g) (h) (j)..............................................
$ 0
-------------
TOTAL PREFERRED STOCKS ............................................. 0
(Cost $2,563,636) -------------
TOTAL INVESTMENTS - 145.1% ......................................... 543,387,000
(Cost $548,414,942) (k)
OUTSTANDING LOAN - (42.7%)
(160,000,000)
NET OTHER ASSETS AND LIABILITIES - (2.4%) .......................... (8,810,130)
-------------
NET ASSETS - 100.0% ................................................ $ 374,576,870
=============
(a) All or a portion of the securities are available to serve as collateral on
the outstanding loan.
(b) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard
& Poor's Ratings Group are considered to be below investment grade.
(c) Senior Floating-Rate Loan Interests ("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 LIBOR rate. The interest rate shown
reflects the rate in effect at August 31, 2012.
(d) 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.
(e) This Senior Loan was privately rated upon issuance. The rating agency does
not provide ongoing surveillance on the rating.
(f) 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.
(g) This borrower has filed for protection in federal bankruptcy court.
(h) 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).
(i) This Senior Loan is a Senior Subordinated Payment-in-Kind Election Note
whereby 1.00% of interest per annum is to be paid in cash and 13.75% of
interest per annum shall be paid by the issuer, at its option (i) entirely
in cash, (ii) entirely in Payment-in-Kind interest or (iii) a combination
thereof. Interest is to be paid semi-annually, however, the issuer is in
default and income is not being accrued.
(j) Non-income producing security.
(k) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of August 31, 2012, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $4,097,198 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $9,125,140.
NR Not Rated
Page 14 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
AUGUST 31, 2012 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of August 31,
2012 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2012 PRICES INPUTS INPUTS
------------ ----------- ------------ ------------
Senior Floating-Rate Loan Interests:
Aerospace & Defense $ 15,729,469 $ -- $ 15,097,769 $ 631,700
Aluminum 1,960,000 -- -- 1,960,000
Asset Management & Custody Banks 17,951,646 -- 12,473,525 5,478,121
Construction & Engineering 6,107,975 -- 3,994,850 2,113,125
Diversified Support Services 1,995,000 -- -- 1,995,000
Independent Power Producers & Energy Trader 18,463,086 -- 15,388,309 3,074,777
Industrial Machinery 4,583,069 -- 2,796,013 1,787,056
Other Diversified Financial Services 21,270,528 -- 16,701,259 4,569,269
Packaged Foods & Meats 11,858,439 -- 9,863,439 1,995,000
Specialty Chemicals 22,358,396 -- 19,373,396 2,985,000
Trucking 4,390,615 -- 1,449,081 2,941,534
Other Industry Categories* 416,716,458 -- 416,716,458 --
------------ ----------- ------------ ------------
Total Senior Floating-Rate Loan Interests 543,384,681 -- 513,854,099 29,530,582
Notes* -- -- -- -- **
Warrants* 2,319 -- 2,319 --
Preferred Stocks* -- -- -- -- **
------------ ----------- ------------ ------------
TOTAL INVESTMENTS $543,387,000 $ -- $513,856,418 $ 29,530,582
============ =========== ============ ============
* 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.
** Market value is less than $1.
There were no transfers between Level 1 and Level 2.
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 August
31, 2012, the Fund transferred Senior Floating-Rate Loan Interests valued at
$10,093,781 from Level 2 to Level 3 of the fair value hierarchy. The Senior
Floating-Rate Loan Interests that transferred from Level 2 to Level 3 did so
primarily as a result of additional information obtained from an independent
third party pricing vendor relating to the illiquidity of individual Senior
Floating-Rate Loan Interests. There were no transfers out of Level 3. Level 3
Senior Floating-Rate Loan Interests are valued based on third party pricing
service prices obtained primarily from dealer runs and indicative sheets from
brokers.
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:
BEGINNING BALANCE AT MAY 31, 2012
Senior Floating-Rate Loan Interests $ 16,377,616
Notes --
Common Stocks --
Warrants --
Preferred Stocks --
Net Realized Gain (Loss) 7,024
Net Change in Unrealized Appreciation/Depreciation 85,073
Purchases
Senior Floating-Rate Loan Interests 6,103,125
Sales
Senior Floating-Rate Loan Interests (3,136,037)
Transfers In
Senior Floating-Rate Loan Interests 10,093,781
Transfers Out
Senior Floating-Rate Loan Interests --
-------------
ENDING BALANCE AT AUGUST 31, 2012
Senior Floating-Rate Loan Interests 29,530,582
Notes -- **
Common Stocks --
Warrants --
Preferred Stocks -- **
--------------
Total Level 3 holdings $ 29,530,582
==============
See Notes to Quarterly Portfolio of Investments Page 13
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 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, or 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,
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 over-the-counter pricing from
dealer runs and broker quotes from indicative sheets 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 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" or the "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 securities 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;
12) issuer's competitive position within the industry;
13) issuer's ability to access additional liquidity through public
and/or private markets; and
14) other relevant factors.
1 The terms "security" and "securities" used throughout the Notes to
Quarterly Portfolio of Investments include Senior Loans.
Page 14
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 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 investments. An active market is a market in which
transactions for the investment 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 investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, 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
investment (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
investment.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of August 31, 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. The Fund
did not have any when-issued, delayed-delivery or forward purchase commitments
as of August 31, 2012.
C. UNFUNDED LOAN COMMITMENTS:
The Fund may enter into certain loan commitments, 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 any unfunded loan commitments as of
August 31, 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 buyers. As of
August 31, 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 $ 1.60 $ -- $ 2,319 0.00% *
TOUSA, Inc. - Notes 7/31/07(1) $ 727,273 -- 436,364 -- 0.00
TOUSA, Inc. - Preferred Stocks 7/31/07(1) 4,273 -- 2,563,636 -- 0.00
-------------- ----------- ------------
$ 3,000,000 $ 2,319 0.00% *
============== =========== ============
* Amount is less than 0.01%.
(1) Security was acquired through a restructuring that was effective on July 31,
2007.
Page 15
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 October 23, 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 October 23, 2012
----------------------
By (Signature and Title)* /s/ James M. Dykas
------------------------------------------------------
James M. Dykas
Chief Financial Officer and Chief Accounting Officer
(principal financial officer)
Date October 23, 2012
----------------------
*Print the name and title of each signing officer under his or her signature.