UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust Senior Floating Rate Income Fund II
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2014
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 141.8%
AEROSPACE & DEFENSE - 1.9%
$ 2,191,779 DynCorp International, Inc., Term Loan ....................... 6.25% 07/07/16 $ 2,182,201
3,253,717 Transdigm, Inc., Term Loan C ................................. 3.75% 02/28/20 3,231,625
800,000 Transdigm, Inc., Tranche D Term Loan ......................... 3.75% 06/04/21 794,336
1,500,000 Wencor (Jazz Acquisition, Inc.), Term Loan (First Lien) ...... 4.50% 06/19/21 1,497,195
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7,705,357
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AGRICULTURAL PRODUCTS - 1.0%
3,891,022 Jimmy Sanders, Inc. (Pinnacle Operating Corp.), Term B
Loan Refinancing (First Lien) ............................ 4.75% 11/15/18 3,876,430
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ALTERNATIVE CARRIERS - 1.7%
5,681,629 Intelsat Jackson Holdings S.A., Term Loan B-2 ................ 3.75% 06/30/19 5,650,835
1,000,000 Level 3 Financing, Inc., Tranche B 2020 Term Loan ............ 4.00% 01/15/20 995,000
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6,645,835
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APPAREL RETAIL - 0.7%
1,000,000 J.C. Penney Corp., Inc, Term Loan ............................ 5.00% 06/20/19 999,250
1,240,641 Neiman Marcus Group Inc., The, Other Term Loan ............... 4.25% 10/25/20 1,230,381
500,000 Nine West Holdings, Inc., Initial Loan ....................... 4.75% 10/08/19 500,625
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2,730,256
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APPLICATION SOFTWARE - 2.6%
3,829,358 Epicor Software Corp., Term B-2 Loan ......................... 4.00% 05/16/18 3,809,024
3,404,627 Infor (US), Inc., Tranche B-5 Term Loan ...................... 3.75% 06/03/20 3,374,837
1,666,137 Mitchell International, Inc., Initial Term Loan .............. 4.50% 10/13/20 1,662,672
1,699,522 Triple Point Technologies, Inc., Term Loan B.................. 5.25% 07/10/20 1,512,574
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10,359,107
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ASSET MANAGEMENT & CUSTODY BANKS - 2.0%
1,228,442 Mondrian Investment Partners Ltd., Term Loan B ............... 4.00% 03/05/20 1,225,371
6,704,791 Nuveen Investments, Inc., Tranche B First-Lien Term Loan ..... 4.16% 05/13/17 6,686,822
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7,912,193
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AUTO PARTS & EQUIPMENT - 5.2%
732,782 Affinia Group, Inc., Tranche B-2 Term Loan ................... 4.75% 04/25/20 735,530
2,875,313 ARC Automotive Group, Inc. (Casco Automotive Group,
Inc.), Term Loan ......................................... 6.00% 11/15/18 2,882,501
2,931,017 ASP HHI Acquisition Co., Inc., Additional Term Loan .......... 5.00% 10/05/18 2,921,872
900,000 Cooper Standard Holdings (CS Intermediate Holdco 2 LLC),
Term Loan ................................................ 4.00% 04/04/21 895,050
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
AUTO PARTS & EQUIPMENT (CONTINUED)
$ 2,800,000 Gates Global LLC, Initial Dollar Term Loan ................... 4.25% 07/05/21 $ 2,777,992
2,700,000 Henniges Automotive Holdings, Term Loan B .................... 6.00% 06/03/21 2,720,250
900,000 Jason, Inc., Initial Term Loan ............................... 5.50% 06/30/21 903,375
2,319,484 Metaldyne LLC, USD Term Loan 2014 ............................ 4.25% 12/18/18 2,316,005
1,723,750 Remy International, Inc., Term B Loan 2013 ................... 4.25% 03/05/20 1,717,286
825,797 Schrader LLC (August U.S. Holding Co., Inc.), Lux Term
B-2 Loan ................................................. 5.00% 04/27/18 830,958
509,207 Schrader LLC (August U.S. Holding Co., Inc.), US Term
B-2 Loan ................................................. 5.00% 12/30/18 512,390
1,551,864 Tower Automotive Holdings USA LLC, Initial Term Loan
(2014) ................................................... 4.00% 04/23/20 1,539,573
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20,752,782
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AUTOMOTIVE RETAIL - 0.8%
595,500 Britax US Holdings, Inc., 1st Lien TLB ....................... 4.50% 10/15/20 506,175
2,695,000 Pilot Travel Centers LLC, First Amendment Tranche B Term
Loan ..................................................... 4.25% 08/07/19 2,700,067
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3,206,242
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BROADCASTING - 8.1%
1,250,000 Clear Channel Communications, Inc., Term Loan E Extended ..... 7.66% 07/30/19 1,245,312
4,986,742 Clear Channel Communications, Inc., Tranche D Term Loan ...... 6.91% 01/30/19 4,909,846
2,930,654 Cumulus Media Holdings, Inc., Term Loan ...................... 4.25% 12/23/20 2,920,573
1,369,720 Hubbard Radio LLC, Tranche 1 Term Loan ....................... 4.50% 04/29/19 1,364,584
1,966,473 LIN Television Corp., Replacement Tranche B Term Loan ........ 4.00% 12/21/18 1,955,421
1,855,367 Media General, Inc., Term B Loan ............................. 4.25% 07/31/20 1,860,006
1,000,000 Mediacom LLC, Term Loan G .................................... 3.75% 06/30/21 990,000
1,066,162 Mission Broadcasting, Inc. (Nexstar Broadcasting Group,
Inc.), Term B-2 Loan ..................................... 3.75% 10/01/20 1,055,500
4,282,141 NEP/NCP Holdco, Inc., Amendment No. 3 Incremental Term
Loan (First Lien) ........................................ 4.25% 01/22/20 4,246,471
257,143 NEP/NCP Holdco, Inc., Term Loan (Second Lien) ................ 9.50% 07/22/20 260,571
1,209,044 Nexstar Broadcasting Group, Inc. (Mission Broadcasting,
Inc.), Term Loan B-2 ..................................... 3.75% 09/30/20 1,196,954
6,224,267 Tribune Co., Term Loan ....................................... 4.00% 12/27/20 6,211,819
987,500 Univision Communications, Inc., 2013 Incremental Term
Loan ..................................................... 4.00% 03/01/20 980,834
2,825,616 Univision Communications, Inc., Term Loan C-4
(Replacement First-Lien Term Loan) ....................... 4.00% 03/01/20 2,806,204
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32,004,095
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BUILDING PRODUCTS - 1.1%
428,571 Hillman Group, Inc., The, Initial Term Loan .................. 4.50% 06/30/21 428,391
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
$ 1,375,512 Quikrete Holdings, Inc., Initial Loan (First Lien) ........... 4.00% 09/28/20 $ 1,366,626
333,333 Quikrete Holdings, Inc., Initial Loan (Second Lien) .......... 7.00% 03/26/21 336,667
2,235,557 Unifrax Holding Co., New Term Dollar Loan..................... 4.25% 11/28/18 2,224,379
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4,356,063
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CABLE & SATELLITE - 1.7%
6,760,000 Charter Communications Operating LLC, Term Loan G ............ 4.25% 08/12/21 6,798,059
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CASINOS & GAMING - 8.5%
750,000 Amaya Gaming Group, 2nd Lien TL .............................. 8.00% 07/31/22 758,910
8,250,000 Amaya Gaming Group, Initial Term B Loan (First Lien) ......... 5.00% 08/01/21 8,169,562
2,242,987 Bally Technologies, Inc., Term B Loan ........................ 4.25% 11/25/20 2,238,792
1,731,078 Caesars Entertainment Operating Co., Inc., Term B-4 Loan .... 10.50 10/31/16 1,706,202
5,984,962 Caesars Entertainment Resort Properties LLC, Term B Loan ..... 7.00% 10/11/20 5,873,582
7,137,125 Caesars Growth Partners LLC, Term B Loan (First Lien) ........ 6.25% 05/08/21 6,968,903
1,883,477 CityCenter Holdings LLC, Term B Loan ......................... 4.25% 10/16/20 1,880,652
3,724,938 ROC Finance LLC, Funded Term B Loan .......................... 5.00% 06/20/19 3,610,881
2,546,976 Station Casinos, Inc., B Term Loan ........................... 4.25% 03/02/20 2,536,635
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33,744,119
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COAL & CONSUMABLE FUELS - 0.7%
2,709,180 Arch Coal, Inc., Term Loan ................................... 6.25% 05/16/18 2,633,702
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COMMERCIAL PRINTING - 0.3%
1,266,667 Southern Graphic, Inc., Term Loan ............................ 4.25%-5.50% 10/17/19 1,262,715
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COMMUNICATIONS EQUIPMENT - 0.1%
385,495 Mitel Networks Corp., Term Loan .............................. 5.25% 01/31/20 385,857
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COMPUTER HARDWARE - 2.7%
10,519,819 Dell, Inc., Term B Loan ...................................... 4.50% 04/29/20 10,540,122
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CONSTRUCTION & ENGINEERING - 0.5%
2,043,716 WireCo WorldGroup, Inc., Term Loan ........................... 6.00% 02/15/17 2,043,716
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CONSTRUCTION MACHINERY & HEAVY TRUCKS - 0.3%
1,153,253 Navistar, Inc., Tranche B Term Loan .......................... 5.75% 08/17/17 1,162,860
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CONSUMER FINANCE - 2.3%
5,275,976 Altisource Solutions S.A.R.L., Term B Loan ................... 4.50% 12/09/20 5,064,937
921,667 Ocwen Loan Servicing LLC, Initial Term Loan .................. 5.00% 02/15/18 910,146
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
CONSUMER FINANCE (CONTINUED)
$ 3,212,611 Walter Investment Management Corp., Tranche B Term Loan ...... 4.75% 12/18/20 $ 3,134,705
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9,109,788
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DATA PROCESSING & OUTSOURCED SERVICES - 2.0%
3,265,319 Harland Clarke Holdings Corp., Tranche B-2 Term Loan ......... 5.48% 06/30/17 3,268,029
3,750,000 Interactive Data Corp., Term Loan ............................ 4.75% 05/02/21 3,759,375
997,500 Sungard Availability Services Capital, Term Loan B ........... 6.00% 03/29/19 987,834
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8,015,238
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DISTILLERS & VINTNERS - 0.2%
1,000,000 Winebow Holdings, Inc., Loan (First Lien) .................... 4.75% 07/01/21 997,500
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DIVERSIFIED CHEMICALS - 1.6%
1,200,000 Gemini HDPE LLC, Advance Term Loan ........................... 4.75% 08/06/21 1,200,000
2,832,428 Ineos US Finance LLC, Term Loan B ............................ 3.75% 05/04/18 2,812,969
2,357,316 Univar, Inc., Term B Loan .................................... 5.00% 06/30/17 2,358,801
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6,371,770
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DIVERSIFIED SUPPORT SERVICES - 0.5%
2,046,857 SMG Holdings, Inc., Term Loan B .............................. 4.50% 02/27/20 2,045,588
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ELECTRIC UTILITIES - 1.0%
4,241,410 TXU (Texas Competitive Electric Holdings Co. LLC), 2014
Term Loan (Non-Extending) (d) (e)......................... 4.65% 10/10/14 3,280,731
1,000,000 TXU (Texas Competitive Electric Holdings Co. LLC), 2017
Term Loan (Extending) (d) (e) ............................ 4.65% 10/10/17 773,280
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4,054,011
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ENVIRONMENTAL & FACILITIES SERVICES - 0.7%
1,200,000 ServiceMaster Co., Initial Term Loan ......................... 4.25% 07/01/21 1,190,100
1,592,000 WTG Holdings III Corp. (EWT Holdings III Corp.), Term
Loan (First Lien) ........................................ 4.75% 01/15/21 1,586,030
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2,776,130
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HEALTH CARE EQUIPMENT - 5.3%
4,383,744 Alere, Inc., B Term Loan ..................................... 4.25%-5.50% 06/30/17 4,365,727
1,986,380 Biomet, Inc., Dollar Term B-2 Loan ........................... 3.66%-3.73% 07/25/17 1,981,832
2,994,759 Carestream Health, Inc. (Onex Carestream Finance L.P.),
Term Loan (First Lien 2013) .............................. 5.00% 06/07/19 2,997,874
4,481,103 DJO Finance LLC (ReAble Therapeutics Finance LLC), New
Tranche B Term Loan ...................................... 4.25% 09/15/17 4,474,113
1,415,730 Ikaria, Inc., Initial Term Loan (First Lien) ................. 5.00% 02/12/21 1,418,831
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE EQUIPMENT (CONTINUED)
$ 5,704,887 Kinetic Concepts, Inc., Dollar Term E-1 Loan ................. 4.00% 05/04/18 $ 5,679,443
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20,917,820
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HEALTH CARE FACILITIES - 2.3%
1,990,000 CHS/Community Health Systems, Inc., 2021 Term D Loan ......... 4.25% 01/27/21 1,994,079
882,237 Select Medical Corp., Series E Tranche B Term Loan ........... 3.75%-5.00% 06/01/18 875,074
500,000 Surgery Centers Holdings, Inc., 1st Lien Term Loan ........... 5.25% 07/24/20 499,375
997,347 Surgical Care Affiliates LLC, Class B Term Loan -
Extending ................................................ 4.23% 12/29/17 994,854
1,945,350 Surgical Care Affiliates LLC, Class C Incremental ............ 4.00% 06/30/18 1,938,055
2,888,734 United Surgical Partners International, Inc., New
Tranche B Term Loan ...................................... 4.75% 04/03/19 2,886,567
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9,188,004
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HEALTH CARE SERVICES - 7.0%
1,425,000 CareCore National LLC, Term Loan ............................. 5.50% 03/05/21 1,427,679
1,976,285 CHG Healthcare Services, Inc, Term Loan (First Lien) ......... 4.25% 11/19/19 1,971,957
3,483,333 Curo Health Services Holdings, Inc., Initial Term Loan
(First Lien) ............................................. 5.75% 06/08/20 3,445,609
4,198,875 Envision Healthcare Corp. (Emergency Medical Services
Corp.), Initial Term Loan ................................ 4.00% 05/25/18 4,188,378
2,493,734 Gentiva Health Services, Inc., Initial Term B Loan ........... 6.50% 10/18/19 2,495,306
2,069,375 Gentiva Health Services, Inc., Initial Term C Loan ........... 5.75% 10/18/18 2,065,071
3,250,000 Healogics, Inc., Initial Term Loan (First Lien) .............. 5.25% 07/01/21 3,258,125
1,920,782 Heartland Dental Care LLC, Incremental Term Loan ............. 5.50% 12/21/18 1,924,623
1,500,000 National Veterinary Associates (NVA Holdings, Inc.),
TL 1L .................................................... 4.75% 08/14/21 1,503,750
5,451,312 U.S. Renal Care, Inc., Tranche B-2 Term Loan (First
lien) .................................................... 4.25% 07/03/19 5,444,498
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27,724,996
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HEALTH CARE SUPPLIES - 0.9%
1,978,704 BSN Medical Luxembourg Holding S.A.R.L., New Term Loan
B1 ....................................................... 4.00% 06/08/19 1,970,057
1,412,467 Sage Products Holdings III LLC, Replacement Term Loan
(First Lien) ............................................. 4.25% 12/13/19 1,410,701
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3,380,758
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE TECHNOLOGY - 3.2%
$ 1,200,000 Connolly Holdings, Inc., Initial Term Loan (First Lien) ...... 5.00% 05/14/21 $ 1,205,256
746,250 Healthport Technologies LLC (CT Technologies
Intermediate Holdings, Inc.), Term Loan B ................ 5.25% 10/04/19 747,183
601,667 MedAssets, Inc., Term B Loan ................................. 4.00% 12/13/19 596,655
2,350,228 TriZetto Group, Inc. (TZ Merger Sub, Inc.), Term Loan ........ 4.75% 05/02/18 2,350,228
4,000,000 TriZetto Group, Inc. (TZ Merger Sub, Inc.), Term Loan
(Second Lien) ............................................ 8.50% 03/28/19 4,040,000
3,947,650 Truven Health Analytics, Inc. (VCPH Holding Corp.), Term
Loan B ................................................... 4.50% 05/31/19 3,927,912
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12,867,234
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HOMEFURNISHING RETAIL - 0.6%
2,327,038 Serta Simmons Holdings LLC, Term Loan B ...................... 4.25% 10/01/19 2,323,757
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HOTELS, RESORTS & CRUISE LINES - 0.9%
2,231,897 Extended Stay America (ESH Hospitality, Inc.), Term Loan ..... 5.00% 06/24/19 2,251,425
769,524 La Quinta Intermediate Holdings LLC, Initial Term Loan ....... 4.00% 04/14/21 768,239
472,500 Orient Express Hotels (Belmond Interfin Ltd.), Dollar
Term Loan ................................................ 4.00% 03/19/21 468,758
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3,488,422
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HYPERMARKETS & SUPER CENTERS - 4.3%
6,880,000 Albertsons LLC, Term Loan B4 ................................. 5.50% 08/08/21 6,894,310
2,500,000 BJ's Wholesale Club, Inc., 2013 (November) Replacement
Loan (Second Lien) ....................................... 8.50% 03/26/20 2,523,750
7,556,144 BJ's Wholesale Club, Inc., New 2013 (November)
Replacement Loan (First Lien) ............................ 4.50% 09/26/19 7,512,470
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16,930,530
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INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.5%
1,375,500 Calpine Corp., Term Loan ..................................... 4.00% 10/09/19 1,373,038
1,940,000 Calpine Corp., Term Loan (6/11) .............................. 4.00% 04/01/18 1,937,827
2,388,185 FREIF North American Power I LLC, Term B-1 Loan .............. 4.75%-6.00% 03/29/19 2,409,081
392,529 FREIF North American Power I LLC, Term C-1 Loan .............. 4.75% 03/29/19 395,964
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6,115,910
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INDUSTRIAL CONGLOMERATES - 0.8%
1,965,150 Gardner Denver, Inc., Initial Dollar Term Loan ............... 4.25% 07/30/20 1,961,632
1,268,215 Hamilton Sundstrand Industrial (Silver II US Holdings
LLC), Refinancing Term Loan .............................. 4.00% 12/13/19 1,262,508
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3,224,140
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
INDUSTRIAL MACHINERY - 2.6%
$ 2,100,500 Dematic Holdings (Mirror Bidco Corp.), Term Loan B ........... 4.25% 12/28/19 $ 2,086,070
2,250,000 Filtration Group Corp., Initial Term Loan (Second Lien) ...... 8.25% 11/22/21 2,265,750
2,837,940 Filtration Group Corp., Term Loan (First Lien) ............... 4.50% 11/20/20 2,839,359
3,158,713 Husky Injection Molding Systems Ltd., New Term Loan .......... 4.25% 06/30/21 3,146,868
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10,338,047
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INSURANCE BROKERS - 4.1%
3,325,088 Amwins Group LLC, New Term Loan (First Lien) ................. 5.00% 09/06/19 3,318,870
3,040,620 Confie Seguros Holding II Co., Term B Loan (First Lien) ...... 5.75% 11/09/18 3,037,580
2,079,000 Cooper Gay Swett & Crawford Ltd., Term Loan (First Lien) ..... 5.00% 04/16/20 1,933,470
720,000 Cooper Gay Swett & Crawford Ltd., Term Loan (Second
Lien) .................................................... 8.25% 10/16/20 648,000
2,586,518 HUB International Ltd., Initial Term Loan (New) .............. 4.25% 10/02/20 2,566,032
4,876,028 USI, Inc. (Compass Investors, Inc.), Initial Term Loan ....... 4.25% 12/27/19 4,831,315
-------------
16,335,267
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 4.0%
3,533,628 Avaya, Inc., Term B-3 Loan ................................... 4.66% 10/26/17 3,423,202
2,977,500 Cincinnati Bell, Inc., Tranche B Term Loan ................... 4.00% 09/10/20 2,965,411
1,965,152 Hawaiian Telcom Communications, Inc., Term Loan .............. 5.00% 06/06/19 1,973,504
3,390,999 Numericable U.S. LLC, Dollar Denominated Tranche B-1
Loan ..................................................... 4.50% 05/21/20 3,401,613
2,933,676 Numericable U.S. LLC, Dollar Denominated Tranche B-2
Loan ..................................................... 4.50% 05/21/20 2,942,859
994,468 XO Communications LLC, Initial Term Loan...................... 4.25% 03/20/21 990,987
-------------
15,697,576
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INVESTMENT BANKING & BROKERAGE - 0.4%
1,600,000 RCS Capital Corp., Term Loan (First Lien) .................... 6.50% 04/29/19 1,615,328
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IT CONSULTING & OTHER SERVICES - 0.4%
1,466,250 Sirius Computer Solutions, Inc. (SCS Holdings I, Inc.),
Term Loan ................................................ 7.00% 12/07/18 1,475,341
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LEISURE FACILITIES - 0.5%
1,995,000 Planet Fitness Holdings LLC, Term Loan ....................... 4.75% 03/31/21 1,991,668
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LIFE SCIENCES TOOLS & SERVICES - 4.7%
530,388 InVentiv Health, Inc., Term B-3 Loan ......................... 7.75%-8.50% 05/15/18 527,073
7,626,842 InVentiv Health, Inc., Term B-4 Loan ......................... 7.75% 05/15/18 7,598,241
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES (CONTINUED)
$ 1,600,000 Millennium Laboratories LLC, Tranche B Term Loan ............. 5.25% 04/16/21 $ 1,601,504
5,666,667 Ortho-Clinical Diagnostics, Inc., Initial Term Loan .......... 4.75% 06/30/21 5,664,287
2,298,333 Pharmaceutical Product Development, Inc., 2013 Term Loan ..... 4.00% 12/05/18 2,296,426
1,000,000 Sterigenics International (STHI Intermediate Holding
Corp.), Initial Term Loan ................................ 4.50% 08/06/21 996,670
-------------
18,684,201
-------------
MANAGED HEALTH CARE - 0.4%
1,459,091 MultiPlan, Inc. (MPH Acquisition Holdings LLC), Initial
Term Loan ................................................ 4.00% 03/31/21 1,449,242
-------------
METAL & GLASS CONTAINERS - 0.9%
399,000 Ardagh Holdings USA, Inc. (Ardagh Packaging Finance
S.A.), New Term Loan ..................................... 4.00% 12/17/19 396,674
1,782,000 Berlin Packaging LLC, Term Loan B ............................ 4.75% 04/02/19 1,780,325
1,000,000 BWAY Holding Co., Initial Term Loan .......................... 5.50% 08/14/20 1,004,170
600,000 Mauser Holdings GmBH, Initial Dollar Term Loan (First
Lien) .................................................... 4.50% 07/31/21 596,064
-------------
3,777,233
-------------
MOVIES & ENTERTAINMENT - 3.4%
5,932,949 Formula One (Alpha Topco Ltd.), Term Loan B .................. 4.75% 07/30/21 5,905,776
200,000 Lions Gate Entertainment Corp., Loan ......................... 5.00% 07/19/20 200,834
300,000 TWCC Holding Corp., Term Loan (Second Lien) .................. 7.00% 06/26/20 296,001
4,016,250 Village Roadshow Films (BVI) Ltd., Ultimates Facility
Tranche A-2 .............................................. 4.75% 11/21/17 4,056,413
3,000,000 WME IMG Worldwide, Inc., Term Loan (First Lien) .............. 5.25% 05/06/21 2,968,140
-------------
13,427,164
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.7%
1,000,000 American Energy Marcellus Holdings LLC, Initial Loan
(First Lien) ............................................. 5.25% 08/04/20 1,000,830
1,888,889 American Energy Marcellus Holdings LLC, Initial Loan
(Second Lien) ............................................ 8.50% 08/04/21 1,899,901
-------------
2,900,731
-------------
OIL & GAS REFINING & MARKETING - 0.1%
333,333 CITGO Petroleum Corp., Term B Loan ........................... 4.50% 07/29/21 334,307
-------------
OIL & GAS STORAGE & TRANSPORTATION - 0.3%
1,000,000 Fieldwood Energy LLC, Closing Date Loan (Second Lien) ........ 8.38% 09/30/20 1,021,670
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
OTHER DIVERSIFIED FINANCIAL SERVICES - 5.6%
$ 1,461,618 American Beacon Advisors, Inc., Initial Term Loan ............ 4.75% 11/22/19 $ 1,461,618
2,276,309 First American Payment Systems L.P., Term Loan (First
Lien) .................................................... 5.75% 10/12/18 2,267,773
4,683,538 First Data Corp., 2021 New Dollar Term Loan .................. 4.16% 03/24/21 4,670,377
1,339,875 Guggenheim Partners Investment Management Holdings LLC,
Initial Term Loan ........................................ 4.25% 07/22/20 1,332,894
2,780,000 iPayment, Inc., Term Loan .................................... 6.75% 05/08/17 2,750,476
3,397,773 Moneygram International, Inc., Term Loan ..................... 4.25% 03/27/20 3,341,200
2,269,444 National Financial Partners Corp., 2014 Specified
Refinancing Term Loan .................................... 4.50% 07/01/20 2,255,260
1,741,250 Santander Asset Management (SAM Finance Lux S.A.R.L),
Dollar Term Loan ......................................... 4.25% 12/17/20 1,738,534
2,359,394 Transfirst Holdings, Inc., Term B-2 Loan ..................... 4.00% 12/27/17 2,348,187
-------------
22,166,319
-------------
PACKAGED FOODS & MEATS - 4.3%
3,944,824 Blue Buffalo Co. Ltd., Term B-3 Loan ......................... 4.00% 08/08/19 3,939,893
3,004,697 Boulder Brands, Inc. (GFA Brands, Inc.), Term Loan B ......... 5.00% 07/09/20 3,008,453
696,500 Del Monte Foods, Inc., Initial Loan (First Lien) ............. 4.25% 02/18/21 688,518
4,084,962 Ferrara Candy Co. (Candy Intermediate Holdings, Inc.),
Initial Term Loan ........................................ 7.50% 06/06/18 3,972,626
1,875,000 Hearthside Food Solutions LLC, Term Loan ..................... 4.50% 06/02/21 1,876,181
1,729,524 JBS USA LLC, Term Loan B ..................................... 3.75% 05/25/18 1,712,228
1,670,813 New HB Acquisition LLC, Term B Loan .......................... 6.75% 04/09/20 1,712,583
-------------
16,910,482
-------------
PAPER PACKAGING - 1.7%
746,250 Exopack Holding Corp., Term Loan B ........................... 5.25% 04/30/19 750,601
5,834,527 Reynolds Group Holdings, Inc., Incremental U.S. Term
Loan ..................................................... 4.00% 12/01/18 5,818,832
-------------
6,569,433
-------------
PERSONAL PRODUCTS - 0.4%
1,500,000 Prestige Brands International, Inc., Term Loan B ............. 4.50% 04/28/21 1,507,500
-------------
PHARMACEUTICALS - 3.8%
2,113,636 Akorn, Inc., Loan ............................................ 4.50% 04/17/21 2,116,278
2,333,333 Catalent Pharma Solutions, Inc., Dollar Term Loan ............ 4.50% 05/20/21 2,334,803
5,233,218 Par Pharmaceutical Cos., Inc., Term B-2 Loan ................. 4.00% 09/30/19 5,187,427
1,400,000 Patheon, Inc (JLL/Delta Dutch Newco B.V.), Initial
Dollar Term Loan ......................................... 4.25% 03/11/21 1,388,632
650,000 Salix Pharmaceuticals Ltd., Term Loan ........................ 4.25% 01/02/20 650,631
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
$ 511,676 Valeant Pharmaceuticals International, Inc., Series C-2
Tranche B Term Loan ...................................... 3.75% 12/11/19 $ 510,269
1,040,921 Valeant Pharmaceuticals International, Inc., Series D-2
Tranche B Term Loan ...................................... 3.75% 02/13/19 1,037,673
1,990,492 Valeant Pharmaceuticals International, Inc., Series E-1
Tranche B Term Loan ...................................... 3.75% 08/05/20 1,983,286
-------------
15,208,999
-------------
PROPERTY & CASUALTY INSURANCE - 1.1%
194,886 Cunningham Lindsey U.S., Inc., Initial Loan (Second
Lien) .................................................... 9.25% 06/10/20 194,459
2,919,451 Cunningham Lindsey U.S., Inc., Initial Term Loan (First
Lien) .................................................... 5.00% 12/10/19 2,868,361
1,200,000 Sedgwick Claims Management Services, Inc., Initial Loan
(Second Lien) ............................................ 6.75% 02/28/22 1,194,000
-------------
4,256,820
-------------
PUBLISHING - 1.0%
2,094,750 Cengage Learning Acquisitions, Inc., Term Loan ............... 7.00% 03/15/20 2,107,402
1,995,000 Mergermarket USA, Inc., 2014 Incremental Term Loan ........... 4.50% 02/04/21 1,950,113
-------------
4,057,515
-------------
REAL ESTATE OPERATING COMPANIES - 0.9%
3,763,303 ClubCorp Club Operations, Inc., New Term Loan ................ 4.00% 07/24/20 3,716,261
-------------
REAL ESTATE SERVICES - 0.1%
493,769 Realogy Corp., Initial Term B Loan 2014 ...................... 3.75% 03/05/20 491,300
-------------
RESEARCH & CONSULTING SERVICES - 3.2%
3,120,000 Acosta, Inc., TL 1L .......................................... 5.00% 08/13/21 3,131,700
112,903 Advantage Sales & Marketing, Inc., Delayed Draw Term
Loan ..................................................... 4.25% 07/01/21 111,729
3,387,097 Advantage Sales & Marketing, Inc., Initial Term Loan
(First Lien) ............................................. 4.25% 07/23/21 3,351,871
597,000 CPA Global (Redtop Acquisitions Ltd.), Initial Dollar
Term Loan (First Lien) ................................... 4.50% 12/03/20 596,003
1,819,820 Information Resources, Inc., Term Loan ....................... 4.75-6.00% 09/30/20 1,818,692
3,665,813 TransUnion LLC, 2014 Replacement Term Loan ................... 4.00% 04/09/21 3,649,023
-------------
12,659,018
-------------
RESTAURANTS - 4.0%
746,250 Arby's Restaurant Group (ARG IH Corp.), Term Loan ............ 5.00% 11/15/20 746,951
500,000 Dave & Buster's, Inc., Term Loan ............................. 4.50% 07/25/20 498,625
4,323,911 Focus Brands, Inc., Refinancing Term Loan (First Lien) ....... 4.25% 02/21/18 4,289,666
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
RESTAURANTS (CONTINUED)
$ 1,450,000 Focus Brands, Inc., Term Loan (Second Lien) .................. 10.25 08/21/18 $ 1,450,000
3,250,000 Portillo's Holdings, LLC, Second Lien Term Loan .............. 8.00% 08/15/22 3,245,937
4,333,333 Portillo's Holdings, LLC, Term B Loan (First Lien) ........... 4.75% 08/02/21 4,322,500
1,285,714 Red Lobster Management LLC, Initial Term Loan (First
Lien) .................................................... 6.25% 07/28/21 1,288,929
-------------
15,842,608
-------------
RETAIL REITS - 0.8%
800,000 Capital Automotive LLC, Term Loan (Second Lien) .............. 6.00% 04/30/20 808,000
2,533,275 Capital Automotive LLC, Tranche B-1 Term Loan Facility ....... 4.00% 04/10/19 2,528,005
-------------
3,336,005
-------------
SECURITY & ALARM SERVICES - 0.2%
181,958 Garda World Security Corp., Term B Delayed Draw Loan ......... 4.00% 11/06/20 180,594
711,292 Garda World Security Corp., Term Loan B ...................... 4.00% 10/18/20 705,957
-------------
886,551
-------------
SEMICONDUCTORS - 2.5%
3,000,000 Avago Technologies Cayman Ltd., Term Loan .................... 3.75% 05/06/21 2,995,230
5,332,703 Freescale Semiconductor, Inc., Tranche B-4 Term Loan ......... 4.25% 02/28/20 5,311,745
1,488,750 Freescale Semiconductor, Inc., Tranche B5 Term Loan .......... 5.00% 01/15/21 1,493,410
-------------
9,800,385
-------------
SPECIALIZED CONSUMER SERVICES - 3.0%
9,009,788 Asurion LLC, Incremental Tranche B-1 Term Loan ............... 5.00% 05/24/19 9,032,312
1,058,824 Asurion LLC, Term Loan (Second Lien) ......................... 8.50% 03/03/21 1,091,647
1,905,375 Expert Global Solutions, Inc. (NCO Group, Inc.), Term B
Advance (First Lien) ..................................... 8.50% 04/03/18 1,902,194
-------------
12,026,153
-------------
SPECIALIZED FINANCE - 1.8%
2,519,585 AlixPartners LLP, 2014 January Replacement Term B-2 Loan
(First Lien) ............................................. 4.00% 07/10/20 2,506,987
1,882,251 Duff & Phelps Corp., Initial Term Loan ....................... 4.50% 04/23/20 1,878,956
2,876,687 FLY Leasing Ltd. (Fly Funding II S.A.R.L), Loan .............. 4.50% 08/09/19 2,878,845
-------------
7,264,788
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SPECIALTY CHEMICALS - 2.5%
$ 679,887 A.I. Chem (Allnex (Luxembourg) & Cy S.C.A.), Tranche B-1
Term Loan ................................................ 4.50% 10/03/19 $ 679,037
352,761 A.I. Chem (Allnex (Luxembourg) & Cy S.C.A.), Tranche B-2
Term Loan ................................................ 4.50% 10/03/19 352,320
1,125,636 Arizona Chemical (AZ Chem US, Inc.), Initial Term Loan ....... 4.50% 06/10/22 1,129,384
1,282,050 Axalta Coating Systems U.S. Holdings, Inc., Refinanced
Term B Loan .............................................. 3.75% 02/01/20 1,273,601
1,000,000 Emerald Performance Materials LLC, Initial Term Loan
(First Lien) ............................................. 4.50% 07/30/21 995,830
3,485,295 NuSil Technology LLC, Term Loan .............................. 5.25% 04/07/17 3,414,335
997,409 Omnova Solutions, Inc., Term B-1 Loan ........................ 4.25% 05/31/18 997,409
101,893 Polymer Group, Inc., Amendment No. 1 Delayed Draw
Incremental Loan (f)...................................... 4.25% (g) 12/19/19 101,639
1,038,824 Polymer Group, Inc., Initial Loan ............................ 5.25% 12/19/19 1,044,018
-------------
9,987,573
-------------
SPECIALTY STORES - 0.2%
745,957 Toys "R" US-Delaware, Inc., Initial Loan ..................... 6.00% 09/01/16 696,537
-------------
SYSTEMS SOFTWARE - 4.9%
577,742 Applied Systems, Inc., Initial Term Loan (First Lien) ........ 4.25% 01/25/21 576,297
550,000 Applied Systems, Inc., Initial Term Loan (Second Lien) ....... 7.50% 01/24/22 553,300
12,620,682 BMC Software Finance, Inc., Initial US Term Loan ............. 5.00% 09/10/20 12,577,267
4,260,194 Vertafore, Inc., Term Loan 2013 .............................. 4.25% 10/03/19 4,252,227
1,485,702 Websense, Inc., Term Loan (First Lien) ....................... 4.50% 06/25/20 1,483,845
-------------
19,442,936
-------------
TIRES & RUBBER - 0.5%
2,142,857 Goodyear Tire & Rubber Co., The, Loan (Second Lien) .......... 4.75% 04/30/19 2,148,879
-------------
TRUCKING - 1.6%
2,251,429 Hertz Corp., The, Tranche B-1 Term Loan ...................... 3.75% 03/11/18 2,235,961
2,666,250 SIRVA Worldwide, Inc., Loan .................................. 7.50% 03/27/19 2,719,575
1,317,024 Swift Transportation Co. LLC, Tranche B Loan ................. 3.75% 06/09/21 1,314,390
-------------
6,269,926
-------------
WIRELESS TELECOMMUNICATION SERVICES - 0.2%
693,000 Lightower Fiber Networks (LTS Buyer LLC or Sidera
Networks, Inc.), Term B Loan (First Lien) ................ 4.00% 04/13/20 688,960
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................ 562,633,829
(Cost $564,721,904) -------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
CORPORATE BONDS AND NOTES - 4.2%
AUTO PARTS & EQUIPMENT - 0.1%
$ 250,000 American Axle & Manufacturing, Inc. .......................... 6.25% 03/15/21 $ 266,250
-------------
CASINOS & GAMING - 1.2%
4,900,000 Caesars Growth Properties Holdings LLC/Caesars
Growth Properties Finance, Inc. (h)....................... 9.38% 05/01/22 4,749,937
-------------
HEALTH CARE EQUIPMENT - 0.3%
1,000,000 Kinetic Concepts, Inc./KCI USA, Inc. ......................... 12.50% 11/01/19 1,143,750
-------------
HEALTH CARE FACILITIES - 0.9%
350,000 CHS/Community Health Systems, Inc. (h)........................ 6.88% 02/01/22 373,625
800,000 Tenet Healthcare Corp. ....................................... 6.00% 10/01/20 870,000
2,250,000 Vantage Oncology LLC/Vantage Oncology Finance
Co. (h)................................................... 9.50% 06/15/17 2,165,625
-------------
3,409,250
-------------
LIFE SCIENCES TOOLS & SERVICES - 1.0%
2,500,000 Crimson Merger Sub, Inc. (h).................................. 6.63% 05/15/22 2,390,625
500,000 inVentiv Health, Inc. (h)..................................... 11.00% 08/15/18 417,500
435,000 inVentiv Health, Inc. (h) (i)................................. 10.00% 08/15/18 417,600
750,000 inVentiv Health, Inc. (h)..................................... 11.00% 08/15/18 626,250
-------------
3,851,975
-------------
OIL & GAS EQUIPMENT & SERVICES - 0.1%
250,000 Niska Gas Storage Canada ULC/Niska Gas Storage
Canada Finance Corp. (h).................................. 6.50% 04/01/19 242,813
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.1%
500,000 American Energy-Permian Basin LLC / AEPB
Finance Corp. (h) (j)..................................... 6.74% 08/01/19 491,250
-------------
SECURITY & ALARM SERVICES - 0.2%
1,000,000 Garda World Security Corp. (h)................................ 7.25% 11/15/21 1,028,750
-------------
SPECIALTY CHEMICALS - 0.2%
850,000 Hexion U.S. Finance Corp. .................................... 6.63% 04/15/20 898,875
-------------
SPECIALTY STORES - 0.1%
500,000 Toys R US - Delaware, Inc. (h)................................ 7.38% 09/01/16 481,250
-------------
TOTAL CORPORATE BONDS AND NOTES ...................................................... 16,564,100
(Cost $16,784,951) -------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------- -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (k) (l) (m)....................................................... 4,957
-------------
TOTAL WARRANTS ....................................................................... 4,957
(Cost $0) -------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------- -------------
COMMON STOCKS - 0.0%
DIVERSIFIED CHEMICALS - 0.0%
20 LyondellBasell Industries N.V., Class A .............................................. $ 2,287
-------------
TOTAL COMMON STOCKS .................................................................. 2,287
(Cost $0) -------------
TOTAL INVESTMENTS - 146.0% ........................................................... 579,205,173
(Cost $581,506,855) (n)
OUTSTANDING LOAN - (43.6%) ........................................................... (173,000,000)
NET OTHER ASSETS AND LIABILITIES - (2.4%) ............................................ (9,564,041)
-------------
NET ASSETS - 100.0% .................................................................. $ 396,641,132
=============
---------------------------------------------
(a) All or a portion of the securities are available to serve as collateral
on the outstanding loan.
(b) 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, 2014. When a range of
rates is disclosed, the Fund holds more than one contract within the
same tranche at varying rates.
(c) 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.
(d) This issuer has filed for protection in federal bankruptcy court.
(e) This issuer is in default but interest is still being accrued by the
Fund and paid by the issuer.
(f) Delayed Draw Loan (see Note 2C in the Notes to Quarterly Portfolio of
Investments).
(g) Represents commitment fee rate on unfunded loan commitment. The
commitment fee rate steps up at predetermined time intervals.
(h) This security, sold within the terms of a private placement memorandum,
is exempt from registration upon resale under Rule 144A under the
Securities Act of 1933, as amended, and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At August 31, 2014, securities noted as
such are valued at $13,385,225 or 3.37% of net assets.
(i) These notes are Payment-in-Kind ("PIK") Toggle Notes ("Notes") whereby
the issuer may, at its option, elect to pay interest on the Notes (1)
entirely in cash or (2) entirely in PIK interest. Interest paid in cash
will accrue at the rate of 10% per annum ("Cash Interest Rate") and PIK
interest will accrue on the Notes at a rate per annum equal to the Cash
Interest Rate plus 2%. For the fiscal year-to-date period (June 1, 2014
through August 31, 2014), the Fund did not receive PIK interest.
(j) Floating rate security. The interest rate shown reflects the rate in
effect at August 31, 2014.
(k) This security is fair valued by the Advisor's Pricing Committee 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.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2014 (UNAUDITED)
(l) 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 2D - Restricted
Securities in the Notes to Quarterly Portfolio of Investments).
(m) Non-income producing security.
(n) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of August 31, 2014,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $1,598,896 and the
aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $3,900,578.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2014
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of August 31,
2014 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
Level 2 Level 3
Total Level 1 Significant Significant
Value at Quoted Observable Unobservable
Investments 8/31/2014 Prices Inputs Inputs
------------------------------------------------- ------------- ------------- ------------- -------------
Senior Floating-Rate Loan Interests:
Movies & Entertainment $ 13,427,164 $ - $ 9,370,751 $ 4,056,413
Other Industry Categories* 549,206,665 - 549,206,665 -
------------- ------------- ------------- -------------
Total Senior Floating-Rate Loan Interests 562,633,829 - 558,577,416 4,056,413
Corporate Bonds and Notes* 16,564,100 - 16,564,100 -
Warrants* 4,957 - 4,957 -
Common Stocks* 2,287 2,287 - -
------------- ------------- ------------- -------------
Total Investments $ 579,205,173 $ 2,287 $ 575,146,473 $ 4,056,413
============= ============= ============= =============
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. There were no
transfers in or out of Level 3 as of August 31, 2014. Level 3 Senior
Floating-Rate Loan Interests are valued using third party pricing service
prices. These values are based on unobservable and non-quantitative inputs, such
as dealer runs and indicative sheets from brokers. The Fund's Board of Trustees
has adopted valuation procedures that are utilized by the Advisor's Pricing
Committee to oversee the day-to-day valuation of the Fund's investments. The
Pricing Committee, through the Fund's fund accounting agent, monitors daily
pricing via tolerance checks and stale and unchanged price reviews. The Pricing
Committee also reviews monthly back testing of pricing service prices by
comparing sales prices of Fund investments to prior day pricing service prices.
Additionally, the Pricing Committee reviews periodic information from the Fund's
third party pricing service that compares secondary market trade prices to their
daily valuations.
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, 2014
Senior Floating-Rate Loan Interests $ 4,067,775
Corporate Bonds and Notes -
Warrants -
Common Stocks - +
Net Realized Gain (Loss)
Senior Floating-Rate Loan Interests 53
Common Stocks - **
Net Change in Unrealized Appreciation/Depreciation
Senior Floating-Rate Loan Interests (165)
Common Stocks - **
Purchases
Senior Floating-Rate Loan Interests -
Common Stocks -
Sales
Senior Floating-Rate Loan Interests (11,250)
Common Stocks - **
Transfers In
Senior Floating-Rate Loan Interests -
Common Stocks -
Transfers Out
Senior Floating-Rate Loan Interests -
Common Stocks -
-------------
ENDING BALANCE AT AUGUST 31, 2014
Senior Floating-Rate Loan Interests 4,056,413
Corporate Bonds and Notes -
Warrants -
Common Stocks -
-------------
Total Level 3 holdings $ 4,056,413
=============
* 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.
** Value is less than $1.
+ Investment is valued at $0.
See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2014 (UNAUDITED)
1. ORGANIZATION
First Trust Senior Floating Rate Income Fund II (the "Fund") is a diversified,
closed-end management investment company organized as a Massachusetts business
trust on March 25, 2004, and is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended (the "1940
Act"). The Fund trades under the ticker symbol FCT on the New York Stock
Exchange ("NYSE").
2. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of the Fund is determined daily
as of the close of regular trading on the 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. 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 at market value or, in absence of market
value with respect to any portfolio securities, at fair value. Market value
prices represent last sale or official closing prices from a national or foreign
exchange (i.e. a regulated market) and are primarily obtained from third party
pricing services. Fair value prices represent any prices not considered market
value prices and are either obtained from a third party pricing service or are
determined by First Trust Advisors L.P.'s (the "Advisor") Pricing Committee in
accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee are footnoted as such in the footnotes to the
Portfolio of Investments. The Fund's investments are valued as follows:
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 market value of Senior Loans may
be based on infrequent and dated information. Because there is less
reliable, objective data available, elements of judgment may play a
greater role in valuation of Senior Loans than for other types of
securities. Typically, Senior Loans are fair 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 equity securities listed on any national or
foreign exchange (excluding The NASDAQ(R) Stock Market, LLC ("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, or for NASDAQ and AIM securities, the official closing
price. Securities traded on more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Bonds, notes and other debt securities are valued on the basis of
valuations provided by dealers who make markets in such securities or by
an independent pricing service approved by the Fund's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Debt securities having a remaining maturity of sixty days or less when
purchased are fair valued at cost adjusted for amortization of premiums
and accretion of discounts.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Fund's Board of Trustees or its
delegate at fair value. These securities generally include, but are not limited
to, restricted securities (securities which may not be publicly sold without
registration under the Securities Act of 1933, as amended (the "1933 Act")) for
which a pricing service is unable to provide a market price; securities whose
trading has been formally suspended; a security whose market or fair value
price is not available from a pre-established pricing source; a security with
respect to which an event has occurred that is likely to materially affect the
(1) The terms "security" and "securities" used throughout the Notes to
Quarterly Portfolio of Investments include Senior Loans.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2014 (UNAUDITED)
value of the security after the market has closed but before the calculation of
the Fund's NAV or make it difficult or impossible to obtain a reliable market
quotation; and a security whose price, as provided by the pricing service, does
not reflect the security's "fair value." As a general principle, the current
"fair value" of a security would appear to be the amount which the owner might
reasonably expect to receive for the security upon its current sale. When fair
value prices are used, generally they will differ from market quotations or
official closing prices on the applicable exchanges. A variety of factors may be
considered in determining the fair value of such securities, including, but not
limited to, the following:
1) the fundamental business data relating to the borrower/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 borrower/issuer;
5) the credit quality and cash flow of the borrower/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 borrower/issuer, 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 borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower/issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and
14) other relevant factors.
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, 2014, 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
had no when-issued, delayed-delivery or forward purchase commitments as of
August 31, 2014.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2014 (UNAUDITED)
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 had unfunded delayed draw loan commitments of
$101,893 as of August 31, 2014.
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 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, 2014, 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
2A) and are not expressed as a discount to the carrying value of a comparable
unrestricted investment. There are no unrestricted investments with the same
maturity dates and yields for these issuers.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHARES
------------------------------------------- ----------- ------------ ----------- ------------- ----------- ------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $ 3.42 $ - $ 4,957 0.00% *
* Amount is less than 0.01%.
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
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By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley
President and Chief Executive Officer
(principal executive officer)
Date: October 24, 2014
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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 24, 2014
-------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: October 24, 2014
-------------------
*Print the name and title of each signing officer under his or her signature.