UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

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
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)

 

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive
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: May 31, 2018

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. § 3507.

 
 

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

 

 

 

First Trust
Senior Floating Rate Income Fund II (FCT)
Annual Report
For the Year Ended
May 31, 2018
 
 
 
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Annual Report
May 31, 2018
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37
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust Senior Floating Rate Income Fund II (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach.
By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of a relevant market benchmark.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.
Table of Contents
Shareholder Letter
First Trust Senior Floating Rate Income Fund II (FCT)
Annual Letter from the Chairman and CEO
May 31, 2018
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the First Trust Senior Floating Rate Income Fund II which contains detailed information about your investment for the period ended May 31, 2018, including a market overview and a performance analysis for the period. We encourage you to read this report carefully and discuss it with your financial advisor.
As you are no doubt aware, 2017 was a very strong year for both the U.S. and global markets. The three major U.S. indices – the S&P 500® Index, the Dow Jones Industrial Average and the Nasdaq Composite – posted their best performance since 2013. And there was more good news for Wall Street as the year ended and analysts collected stock market data:
• The S&P 500® Index did something it had never previously done, finishing 2017 with 12 months of gains;
• The Dow Jones Industrial Average achieved a milestone as well, closing above 24,000 for the first time ever on November 30; and
• The Nasdaq Composite set a record by having 11 months of gains in 2017 (June was the only down month, and by just 0.86%).
As 2017 ended, President Trump signed the “Tax Cuts and Jobs Act of 2017” tax reform bill. As 2018 began, there was much enthusiasm for this tax reform package and the potential increase in take-home pay for many Americans, as well as the reduction in the federal corporate tax rate from 35% to 21%. Early in the year, many investors were also watching the Federal Reserve (the “Fed”) and its signaled intent to continue raising interest rates at a gradual pace. Based on strong job growth and the economic outlook in the U.S., the Fed did, in fact, raise interest rates on March 21, 2018. At the Fed’s May 2018 meeting, interest rates were unchanged, but the statement the Fed released points to the possibility of two or more rate hikes in the latter part of 2018.
For the entire first quarter of 2018, increased volatility was the norm. The S&P 500® Index was off to a strong start in January as it returned over 7.5% from January 2 to January 26. February, however, was a different story. Early in the month, the Dow Jones Industrial Average plunged 567 points and sank into “correction” territory (defined as a drop of 10% from the index’s high) and in just two weeks, was down more than 3,200 points. However, as February came to a close, the Dow Jones Industrial Average was back on track and up from the lows experienced earlier in the month. Volatility continued in March and April with the Dow Jones Industrial Average ending April with a small gain, while May ended with a slight decline. Across the globe, the first quarter saw the Emerging Market and Developing Market countries, as well as Europe, continue with the strong performances experienced in 2017.
The market volatility we saw during the first quarter of 2018 has continued into the second quarter, both in the U.S. and abroad. Both the U.S. and international markets have been affected by talk of a so-called “trade war” and tariffs on imports from China (and other countries), as well as geopolitical concerns around a possible war with Syria, continued concerns regarding North Korea and the potential effects of the political goals of Italy’s new prime minister. This market volatility is why we believe that one should invest for the long term and be prepared for market movements, which can happen at any time. This can be accomplished by keeping current on your portfolio and investing goals and by speaking regularly with your investment professional. As we’ve said before, markets go up and they also go down, but savvy investors are prepared for either through careful attention to their portfolios and investment goals.
At First Trust, we continue to be optimistic about the U.S. economy and we thank you for giving us the opportunity to be a part of your financial plan. We value our relationship with you and will report on your investment again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 1
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
“AT A GLANCE”
As of May 31, 2018 (Unaudited)
Fund Statistics  
Symbol on New York Stock Exchange FCT
Common Share Price $12.99
Common Share Net Asset Value (“NAV”) $14.05
Premium (Discount) to NAV (7.54)%
Net Assets Applicable to Common Shares $375,015,306
Current Monthly Distribution per Common Share(1) $0.0600
Current Annualized Distribution per Common Share $0.7200
Current Distribution Rate on Common Share Price(2) 5.54%
Current Distribution Rate on NAV(2) 5.12%
 
Common Share Price & NAV (weekly closing price)
  
 
 
Performance        
  Average Annual Total Return
  1 Year Ended
5/31/18 		5 Years Ended
5/31/18 		10 Years Ended
5/31/18 		Inception (5/25/04)
to 5/31/18
Fund Performance(3)        
NAV 4.24% 4.91% 4.70% 4.38%
Market Value 1.05% 2.96% 4.99% 3.45%
Index Performance        
S&P/LSTA Leveraged Loan Index 4.20% 3.85% 5.20% 4.81%
(1) Most recent distribution paid or declared through 5/31/2018. Subject to change in the future.
(2) Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of 5/31/2018. Subject to change in the future.
(3) Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. From inception to October 12, 2010, Four Corners Capital Management, LLC served as the Fund’s sub-advisor. Effective October 12, 2010, the Leveraged Finance Team of First Trust Advisors L.P. assumed the day-to-day responsibility for management of the Fund’s portfolio. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.
Page 2
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
“AT A GLANCE” (Continued)
As of May 31, 2018 (Unaudited)
Credit Quality (S&P Ratings)(4) % of Senior
Loans and Other
Debt Securities(5)
BBB+ 0.1%
BBB- 5.0
BB+ 3.6
BB 9.2
BB- 19.1
B+ 23.0
B 22.4
B- 11.5
CCC+ 1.3
CCC 2.1
CC 0.9
D 0.8
Privately rated(6) 0.2
Not Rated 0.8
Total 100.0%
    
Industry Classification % of Senior
Loans and Other
Securities(5)
Health Care Providers & Services 16.0%
Hotels, Restaurants & Leisure 12.9
Software 11.9
Pharmaceuticals 7.1
Life Sciences Tools & Services 5.1
Diversified Financial Services 5.0
Food & Staples Retailing 3.8
Professional Services 3.5
Insurance 3.2
Media 2.9
Containers & Packaging 2.9
Technology Hardware, Storage & Peripherals 2.4
Food Products 2.4
Diversified Telecommunication Services 1.9
Commercial Services & Supplies 1.7
Capital Markets 1.6
Health Care Equipment & Supplies 1.5
Auto Components 1.5
Health Care Technology 1.4
Building Products 1.4
Household Products 1.3
Chemicals 1.2
Electric Utilities 1.1
Diversified Consumer Services 1.1
Industrial Conglomerates 0.9
Aerospace & Defense 0.8
Semiconductors & Semiconductor Equipment 0.7
Specialty Retail 0.7
Household Durables 0.7
Oil, Gas & Consumable Fuels 0.4
Independent Power and Renewable Electricity Producers 0.4
Wireless Telecommunication Services 0.4
Machinery 0.2
Construction & Engineering 0.0*
Total 100.0%
    
* Amount is less than 0.1%.
        
Top 10 Issuers % of Senior
Loans and other
Securities(5)
MultiPlan, Inc. (MPH Acquisition Holdings LLC) 3.0%
Portillo’s Holdings LLC 3.0
BMC Software Finance, Inc. 2.7
Valeant Pharmaceuticals International, Inc. 2.6
Amaya Holdings B.V. 2.6
Reynolds Group Holdings, Inc. 2.5
Dell, Inc. (Diamond 1 Finance Corp.) 2.4
AlixPartners 2.3
BJ’s Wholesale Club, Inc. 1.8
Caesars Resorts Collection 1.8
Total 24.7%
 
 
(4) The ratings are by Standard & Poor’s except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
(5) Percentages are based on long-term positions. Money market funds are excluded.
(6) Represents Senior Loans privately rated upon issuance. The rating agency does not provide ongoing surveillance on the rating.
Page 3
Table of Contents
Portfolio Commentary
First Trust Senior Floating Rate Income Fund II (FCT)
Annual Report
May 31, 2018 (Unaudited)
Advisor
The First Trust Advisors L.P. (“First Trust”) Leveraged Finance Team is comprised of 15 experienced investment professionals specializing in below investment grade securities. The team is comprised of portfolio management, research, trading and operations personnel. As of May 31, 2018, the First Trust Leveraged Finance Team managed or supervised approximately $4.07 billion in senior secured bank loans and high-yield bonds. These assets are managed across various strategies, including two closed-end funds, an open-end fund, four exchange-traded funds, one UCITS fund and a series of unit investment trusts on behalf of retail and institutional clients.
Portfolio Management Team
William Housey, CFA – Senior Vice President, Senior Portfolio Manager
Scott D. Fries, CFA – Senior Vice President, Portfolio Manager
Commentary
First Trust Senior Floating Rate Income Fund II
The primary investment objective of First Trust Senior Floating Rate Income Fund II (“FCT” or the “Fund”) is to seek a high level of current income. As a secondary objective, the Fund attempts to preserve capital. The Fund pursues its objectives by investing primarily in a portfolio of senior secured floating-rate corporate loans (“Senior Loans”). Under normal market conditions, at least 80% of the Fund’s Managed Assets are generally invested in lower grade debt instruments. “Managed Assets” means the total asset value of the Fund minus the sum of its liabilities, other than the principal amount of borrowings. There can be no assurance that the Fund will achieve its investment objectives. Investing in Senior Loans involves credit risk and, during periods of generally declining credit quality, it may be particularly difficult for the Fund to achieve its secondary investment objective. The Fund may not be appropriate for all investors.
Market Recap
The twelve-month period ended May 31, 2018 proved to be favorable for senior loans, which experienced 10 months of positive returns, and outperformed other fixed income asset classes. Specifically, the last twelve month (“LTM”) total return for the S&P/LSTA Leveraged Loan Index (the “Index”) was 4.20%. This compares to 2.29% for high-yield bonds, 1.88% for preferred securities, 0.09% for investment grade bonds and -0.37% for the US Aggregate Index.1 For reference, the S&P 500® Total Return Index returned 14.38% over the same time period.
The senior loan asset class continues to see strong demand from investors. In turn, this demand has resulted in a wave of re-pricings (reduced spread) and refinancings. In fact, of the $896.5 billion in institutional loan issuance during the prior year period, 69.5%, or about $623.0 billion, was used for re-pricing and refinancing (JP Morgan). Investor demand for the senior loan asset class has resulted in approximately $6.5 billion of inflows over the prior year period (JP Morgan). The primary factor influencing this demand has been the gradual increase in the Federal Funds Rate by the U.S. Federal Reserve (the “Fed”). More specifically, the Fed implemented three 25 basis point (bps) rate hikes in the Federal Funds Rate over the prior year to end the period at 175 bps. This increase in the Federal Funds Rate has also led to an increase in 3-month London Interbank Offered Rate (“LIBOR”) from 121 bps to 232 bps, an increase of 111 bps over the same time period. We believe that loans have begun to benefit from this increase in LIBOR, as we appear to have reached the inflection point where LIBOR increases are offsetting the spread declines from the heavy refinancing rate.
Senior Loan Market
The Index returned 4.20% for the twelve-month period ending May 31, 2018. Lower quality CCC rated issues returned 7.17% in the period, outperforming the 4.43% return for higher quality B rated issues and the 3.78% return for even higher quality BB rated issues. The average bid price of loans in the market remained relatively stable, entering the period at $98.33 and ending the period at $98.35. The discounted spread to a 3-year life for the senior loan market began the period at L+413 and ended the period at L+379, a tightening of 34 bps.
1 High-Yield Bonds are represented by the ICE BofAML US High Yield Constrained Index, Preferred Securities are represented by the ICE BofAML Fixed Rate Preferred Securities Index, Investment Grade Bonds are represented by the ICE BofAML US Corporate Index and the US Aggregate Index is represented by the Bloomberg Barclays US Aggregate Bond Index.
Page 4
Table of Contents
Portfolio Commentary (Continued)
First Trust Senior Floating Rate Income Fund II (FCT)
Annual Report
May 31, 2018 (Unaudited)
The default rate within the Index remains below the long term average for senior loans. The LTM default rate within the Index ended the period at 2.12%, which compares favorably to the long-term average default rate of 3.01% dating back to March 1999. We believe the default rate remains below the long-term average because overall corporate fundamentals remain healthy. Given the lack of near-term debt maturities and favorable access to capital markets that companies are enjoying, we believe default rates for both senior loans and high-yield bonds will remain relatively benign for some time.
Performance Analysis
The Fund marginally outperformed the Index on a NAV basis but underperformed the Index on a market value basis for the LTM period. The Fund generated a NAV return2 of 4.24% and a market price return2 of 1.05% while the Index generated a total return of 4.20%. The Fund’s discount to NAV ended the period 292 bps wider than one year ago. At the start of the period, the Fund’s market price was at a -4.62% discount to NAV and widened to a -7.54% discount to NAV by the end of the period.
Contributing to the Fund’s outperformance relative to the Index over the period was the Fund’s use of leverage. The use of leverage was beneficial to Fund returns as loan returns outpaced the cost of borrowing. Leverage entered the period at 27.7% of managed assets and ended the period at 29.3%. Additionally, the Fund’s overweight position and selection within the drug industry benefitted returns as this industry outperformed the broader market. Partially offsetting these tailwinds were the Fund’s selection within the oil & gas and retail (except food & drug) industries.
From an income perspective, the monthly announced distribution rate began the period at $0.0663 per share and ended at $0.06 per share. At the $0.06 per share monthly distribution rate, the annualized distribution rate at the end of May 2018 was 5.12% at NAV and 5.54% at market price.
Market and Fund Outlook
We believe the current healthy credit market environment may persist for the near to intermediate term. The positive backdrop for the senior loan and high-yield bond asset classes continues to be the fact that the U.S. economy is on solid ground, in our opinion. We believe the combination of improved inflation data in the U.S., less accommodation from global central banks and increased U.S. Treasury issuance to fund greater deficits will likely continue to increase interest rate volatility and continue to propel interest rates higher. Higher interest rates would drive long-duration bond prices (the most interest rate sensitive) to be lower, in our opinion. While this may also result in credit market volatility, we remain confident in our belief that the favorable backdrop for the macro economy will persist for the near to intermediate term. Specifically, we believe senior loans, given their senior secured position in the capital structure, floating interest rate, attractive income and low default rate, are well positioned as we move through 2018. Finally, we believe that, with the potential for additional interest rate hikes on the horizon, LIBOR should continue to migrate higher through 2018 and into 2019. As we evaluate new investment opportunities, decisions will continue to be rooted in our rigorous bottom-up credit analysis and our focus will remain on identifying the opportunities that we believe offer the best risk and reward balance.
2 Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.
Page 5
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 137.9%
    Aerospace & Defense – 1.2%            
$1,540,800  
Transdigm, Inc., Incremental TLE, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   05/30/25   $1,535,222
2,821,824  
Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   06/09/23   2,814,431
        4,349,653
    Alternative Carriers – 0.7%            
2,678,397  
Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.21%   02/22/24   2,679,897
    Application Software – 6.7%            
1,633,372  
CCC Information Resources, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.99%   04/26/24   1,635,707
859,054  
Hyland Software, Term-3 Loans, 1 Mo. LIBOR + 3.25%, 0.75% Floor
  5.23%   07/01/22   864,887
984,481  
Infor (US), Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   02/02/22   983,929
2,230,934  
Informatica Corp. (Ithacalux S.A.R.L), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.23%   08/06/22   2,244,877
5,360,344  
JDA Software Group (RP Crown Parent, Inc.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   10/12/23   5,373,745
6,653  
Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor
  5.06%   11/01/23   6,681
2,654,517  
Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.36%   11/01/23   2,665,587
438,736  
LANDesk Software, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.24%   01/18/24   431,971
331,146  
Micro Focus International (MA Finance LLC), MA Finance TLB3, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   06/21/24   329,845
2,236,314  
Micro Focus International (MA Finance LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   06/21/24   2,227,525
524,453  
Mitchell International, Inc., Delayed Draw Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.22%   11/30/24   524,264
6,503,217  
Mitchell International, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.23%   11/30/24   6,500,876
1,294,000  
Qlik Technologies (Project Alpha Intermediate Holdings, Inc.), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor
  5.99%   04/26/24   1,289,148
        25,079,042
    Asset Management & Custody Banks – 2.3%            
748,487  
American Beacon Advisors, Inc. (Resolute Investment Managers), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.55%   04/30/22   750,358
794,000  
First Eagle Investment Management, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.30%   12/01/22   798,963
988,886  
Harbourvest Partners L.P., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.00% Floor
  4.55%   02/28/25   988,065
210,396  
Mondrian Investment Partners Ltd. (MIPL Group Ltd.), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.30%   03/09/20   210,922
1,758,219  
Victory Capital Holdings (VCH Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor
  5.05%   02/15/25   1,762,615
635,808  
Virtus Investment Partners, Inc., Delayed Draw Term Loan (d)
  2.50% (e)   06/01/24   635,808
3,612,700  
Virtus Investment Partners, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor
  4.43%   06/01/24   3,620,214
        8,766,945
    Auto Parts & Equipment – 2.1%            
5,456,683  
Gates Global, Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor
  5.05%   03/31/24   5,478,837
1,279,000  
Lumileds, Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.80%   06/30/24   1,274,524
Page 6
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Auto Parts & Equipment (Continued)            
$1,237,267  
Tower Automotive Holdings USA LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.69%   03/06/24   $1,240,360
        7,993,721
    Automotive Retail – 0.3%            
996,972  
KAR Auction Services, Inc., Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor
  4.81%   03/09/23   1,000,093
    Broadcasting – 1.5%            
2,672,150  
Cumulus Media Holdings, Inc., Term Loan, Prime Rate + 2.25%, 1.00% Floor (f)
  7.00%   12/23/20   2,320,308
33,483  
Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.41%   01/17/24   33,539
260,087  
Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.41%   01/17/24   260,518
567,379  
Tribune Media Co., Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  4.98%   01/27/24   566,670
45,522  
Tribune Media Co., Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  4.98%   12/27/20   45,522
2,340,003  
Univision Communications, Inc., Term Loan C5, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   03/15/24   2,255,178
        5,481,735
    Building Products – 1.9%            
189,810  
Beacon Roofing Supply, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.18%   01/02/25   189,708
62,578  
Jeld-Wen, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.30%   12/07/24   62,636
7,013,986  
Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   11/15/23   7,013,986
        7,266,330
    Cable & Satellite – 1.2%            
985,714  
Cablevision Systems Corp. (CSC Holdings, Inc.), New Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.42%   01/25/26   983,250
324,844  
Cablevision Systems Corp. (CSC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.17%   07/17/25   323,424
409,406  
Mediacom Broadband LLC, Term Loan N, 1 Mo. LIBOR + 1.75%, 0.00% Floor
  3.51%   02/15/24   409,406
1,404,305  
UnityMedia, Term Loan E, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.80%   05/31/23   1,402,844
1,107,692  
UPC Financing Partnership, Term Loan AR, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.42%   01/15/26   1,103,716
340,000  
Virgin Media Finance PLC, Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.42%   01/31/26   338,878
        4,561,518
    Casinos & Gaming – 11.3%            
13,701,131  
Amaya Holdings B.V., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.32%   04/06/25   13,703,871
9,587,026  
Caesars Resorts Collection, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   12/22/24   9,585,684
4,798,514  
CityCenter Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor
  4.23%   04/18/24   4,797,746
2,559,634  
Golden Nugget, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.73%   10/04/23   2,573,507
1,475,271  
MGM Growth Properties Operating Partnership LP, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.75%   03/23/25   1,474,253
See Notes to Financial Statements
Page 7
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Casinos & Gaming (Continued)            
$810,416  
Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor
  4.48%   01/19/24   $815,075
5,439,382  
Station Casinos, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor
  4.49%   06/08/23   5,437,098
3,848,666  
VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.96%   12/20/24   3,846,511
        42,233,745
    Coal & Consumable Fuels – 0.4%            
1,036,453  
Arch Coal, Inc., Term Loan, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   03/07/24   1,036,132
309,857  
Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   03/31/25   309,092
        1,345,224
    Commercial Printing – 0.4%            
1,362,057  
Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.23%   11/01/24   1,367,165
    Construction & Engineering – 0.0%            
185,406  
Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.49%   03/23/25   187,260
    Diversified Chemicals – 0.1%            
367,500  
Ineos US Finance LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.98%   03/31/24   367,548
    Diversified Support Services – 1.0%            
2,968,516  
Brickman Group Holdings, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.94%-4.98%   12/18/20   2,982,260
788,774  
Brickman Group Holdings, Inc., Second Lien Term Loan, 1 Mo. LIBOR + 6.50%, 1.00% Floor
  8.44%   12/18/21   792,292
        3,774,552
    Education Services – 0.1%            
243,169  
Bright Horizons Family Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.75% Floor
  3.73%   11/07/23   243,701
    Electric Utilities – 0.9%            
370,312  
Dayton Power & Light Co., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor
  3.99%   08/24/22   371,546
1,945,076  
Vistra Energy Corp. (f/k/a TXU), Term Loan B-2, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.19%-4.23%   12/14/23   1,948,557
1,000,000  
Vistra Energy Corp. (TXU), Term Loan B3, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.19%   12/31/25   997,360
        3,317,463
    Environmental & Facilities Services – 0.8%            
1,105,670  
PSSI (Packers Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.17%   12/04/24   1,103,824
500,000  
Servicemaster Company, LLC, The, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   11/08/23   502,345
1,361,465  
WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.30%   12/20/24   1,369,974
        2,976,143
Page 8
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Food Distributors – 0.5%            
$643,500  
TKC Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.23%   01/31/23   $646,718
1,179,000  
US Foods, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   06/27/23   1,183,020
        1,829,738
    Food Retail – 2.3%            
1,798,062  
Albertsons LLC, FILO ABL TL, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.98%   05/31/23   1,799,411
2,848,954  
Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.29%   12/21/22   2,818,270
4,228,163  
Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.32%   06/22/23   4,177,341
        8,795,022
    Health Care Equipment – 2.1%            
3,799,398  
DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   06/08/20   3,808,099
3,849,075  
DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.56%   06/08/20   3,857,889
198,500  
Kinetic Concepts, Inc. (Acelity L.P., Inc.), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.55%   01/31/24   199,542
        7,865,530
    Health Care Facilities – 4.2%            
1,042,097  
Acadia Healthcare Co., Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   02/11/22   1,048,932
1,192,670  
Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   02/16/23   1,200,494
1,519,588  
CHS/Community Health Systems, Inc., Term Loan G, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.31%   12/31/19   1,511,428
1,699,735  
Concentra, Inc. (MJ Acquisition Corp.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.66%   06/01/22   1,703,984
6,551,265  
Kindred Healthcare, Inc., New Term Loan, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.88%   04/09/21   6,543,076
3,672,236  
National Veterinary Associates (NVA Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor
  5.05%   02/02/25   3,674,550
        15,682,464
    Health Care Services – 10.8%            
4,157,551  
21st Century Oncology, Inc., Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor
  8.48%   01/16/23   3,982,934
289,408  
Air Medical Group, New Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.18%   03/14/25   290,010
2,839,084  
Air Methods Corp. (ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.80%   04/30/24   2,821,340
5,550  
CHG Healthcare Services, Inc, Term Loan B, 2 Mo. LIBOR + 3.00%, 1.00% Floor
  5.06%   06/07/23   5,586
2,203,245  
CHG Healthcare Services, Inc, Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.36%   06/07/23   2,217,566
3,580,216  
Curo Health Services Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 4.00%, 1.00% Floor
  6.09%   02/05/22   3,582,472
2,855,635  
DuPage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.71%   08/15/24   2,837,730
4,603,882  
Envision Healthcare Corp. (Emergency Medical Services Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  4.99%   12/01/23   4,608,532
See Notes to Financial Statements
Page 9
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Health Care Services (Continued)            
$814,823  
ExamWorks Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   07/27/23   $819,663
4,587,378  
Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.28%   07/01/21   4,166,853
4,539,411  
Surgery Centers Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor
  5.35%   08/31/24   4,530,922
5,404,347  
Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   02/06/24   5,210,709
5,284,564  
U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.55%   12/30/22   5,255,922
        40,330,239
    Health Care Supplies – 0.1%            
410,207  
ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor
  4.55%   10/31/23   410,978
    Health Care Technology – 2.0%            
5,558,629  
Change Healthcare Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   03/01/24   5,554,460
2,031,036  
Cotiviti Corp., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.00% Floor
  4.56%   09/28/23   2,028,497
        7,582,957
    Hotels, Resorts & Cruise Lines – 0.5%            
1,352,212  
Extended Stay America (ESH Hospitality, Inc.), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.98%   08/30/23   1,353,267
444,375  
Four Seasons Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.98%   11/30/23   445,548
        1,798,815
    Household Appliances – 0.9%            
3,477,628  
Traeger Grills, Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.23%   09/25/24   3,501,553
    Household Products – 1.9%            
5,303,611  
Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor
  4.06%-4.10%   06/23/22   5,296,133
1,696,389  
Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.36%   06/23/22   1,693,997
        6,990,130
    Human Resource & Employment Services – 0.5%            
1,992,500  
Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.98%   05/01/24   1,992,918
    Hypermarkets & Super Centers – 2.6%            
8,227,403  
BJ’s Wholesale Club, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.42%   01/31/24   8,233,985
1,451,165  
BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, 1 Mo. LIBOR + 7.50%, 1.00% Floor
  9.42%   02/03/25   1,463,863
        9,697,848
    Independent Power Producers & Energy Traders – 0.5%            
1,945,000  
Calpine Corp., Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor
  4.81%   01/15/24   1,945,000
    Industrial Conglomerates – 1.2%            
112,174  
Accudyne Industries, Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   08/18/24   112,414
Page 10
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Industrial Conglomerates (Continued)            
$4,423,232  
Gardner Denver, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor
  5.05%   07/30/24   $4,439,819
        4,552,233
    Industrial Machinery – 0.3%            
1,049,536  
Douglas Dynamics LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.99%   12/31/21   1,052,821
    Insurance Brokers – 4.6%            
2,865,115  
Amwins Group, Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.61%-4.73%   01/25/24   2,866,462
6,588,494  
HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor
  5.36%   04/25/25   6,574,790
2,100,298  
National Financial Partners Corp., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.98%   01/06/24   2,097,673
5,799,680  
USI, Inc. (Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.30%   05/15/24   5,787,616
        17,326,541
    Integrated Telecommunication Services – 2.0%            
5,825,782  
Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   01/31/25   5,750,047
1,739,429  
Numericable U.S. LLC (Altice France S.A.), Term Loan B12, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.35%   01/31/26   1,711,407
107,284  
Zayo Group LLC, Term Loan B2, 1 Mo. LIBOR + 2.25%, 1.00% Floor
  4.23%   01/19/24   107,820
        7,569,274
    Leisure Facilities – 2.3%            
5,669,962  
ClubCorp Club Operations, Inc., Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor
  4.89%   09/18/24   5,654,030
2,526,994  
Planet Fitness Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.73%   03/31/21   2,540,690
590,262  
Planet Fitness Holdings LLC, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor
  5.05%   03/31/21   593,461
        8,788,181
    Life Sciences Tools & Services – 7.0%            
2,144,991  
Immucor, Inc., Term Loan B First Lien, 3 Mo. LIBOR + 5.00%, 1.00% Floor
  7.30%   06/15/21   2,179,846
7,375,565  
Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor
  5.73%   06/30/21   7,377,409
6,945,084  
Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   09/27/24   6,934,250
2,028,543  
Pharmaceutical Product Development, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor
  4.48%   08/18/22   2,026,514
2,235,684  
Pharmaceutical Product Development, Inc., Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor
  4.80%   08/18/22   2,233,449
5,537,778  
Sterigenics International (STHI Intermediate Holding Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.98%   05/15/22   5,549,906
        26,301,374
    Managed Health Care – 5.2%            
3,555,654  
Davis Vision/Superior Vision (Wink Holdco), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.98%   12/02/24   3,536,809
See Notes to Financial Statements
Page 11
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Managed Health Care (Continued)            
$16,032,456  
MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor
  5.05%   06/07/23   $16,054,581
        19,591,390
    Metal & Glass Containers – 0.6%            
1,900,029  
Berlin Packaging LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.92%-4.98%   11/07/25   1,901,606
198,600  
Crown Holdings, Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.31%   04/03/25   199,655
        2,101,261
    Movies & Entertainment – 1.0%            
381,833  
AMC Entertainment, Inc., 2016 Incremental Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.17%   12/15/23   382,429
276,250  
AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.17%   12/15/22   276,664
1,935,000  
Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   02/05/25   1,926,544
987,525  
Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.92%   02/15/24   991,643
        3,577,280
    Oil & Gas Exploration & Production – 0.0%            
166,667  
Ascent Resources - Marcellus, LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor (g)
  8.41%   03/30/23   166,667
    Other Diversified Financial Services – 7.0%            
12,424,120  
AlixPartners, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor
  5.05%   04/04/24   12,447,478
6,249,242  
Duff & Phelps Corp., Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.55%   02/13/25   6,241,430
3,863,684  
First Data Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.97%   04/26/24   3,860,941
725,473  
iPayment, Inc., Term Loan, 1 Mo. LIBOR + 5.00%, 1.00% Floor
  6.94%   04/11/23   726,380
3,144,000  
Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.23%   07/01/23   3,152,363
        26,428,592
    Packaged Foods & Meats – 3.4%            
9,139,780  
Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor
  4.23%   08/03/22   9,162,629
3,427,495  
Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.97%   05/24/24   3,428,112
        12,590,741
    Paper Packaging – 3.5%            
13,197,189  
Reynolds Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   02/05/23   13,219,228
    Pharmaceuticals – 9.8%            
1,682,692  
Akorn, Inc., Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.25%   04/16/21   1,636,418
1,953,062  
Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor
  4.23%   05/20/24   1,959,702
5,182,926  
Concordia Healthcare Corp., Initial Dollar Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor (f)
  6.23%   10/21/21   4,663,183
7,289,462  
Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor
  6.25%   04/29/24   7,204,831
1,496,222  
Grifols Worldwide Operations Limited, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.00%   01/31/25   1,500,366
Page 12
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Pharmaceuticals (Continued)            
$5,240,323  
Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.25%   03/29/24   $5,249,441
970,874  
Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 6 Mo. LIBOR + 3.00%, 0.75% Floor
  5.52%   02/24/25   945,388
970,874  
Mallinckrodt International Finance S.A., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor
  5.20%   09/24/24   941,748
12,471,436  
Valeant Pharmaceuticals International, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.98%   06/01/25   12,491,765
        36,592,842
    Research & Consulting Services – 4.4%            
4,970,864  
Acosta, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   09/26/21   3,933,743
7,647,321  
Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   07/23/21   7,268,779
801,980  
Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   07/23/21   763,485
4,603,500  
Information Resources, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.57%   01/18/24   4,623,663
        16,589,670
    Restaurants – 4.3%            
175,200  
IRB Holding Corp. (Arby’s), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.17%   01/18/25   175,769
219,000  
IRB Holding Corp. (Arby’s), Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor
  5.25%   01/18/25   219,712
8,341,454  
Portillo’s Holdings LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor
  10.30%   08/15/22   8,341,454
7,463,811  
Portillo’s Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor
  6.80%   08/02/21   7,449,854
        16,186,789
    Security & Alarm Services – 0.3%            
1,191,028  
Garda World Security Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.51%   05/26/24   1,197,352
    Semiconductors – 1.0%            
2,246,400  
Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.97%   05/29/25   2,258,194
1,669,540  
Western Digital Corp., Term Loan B, 2 Mo. LIBOR + 1.75%, 0.00% Floor
  3.71%   04/29/23   1,672,328
        3,930,522
    Specialized Consumer Services – 1.5%            
500,000  
Asurion LLC, Term Loan (Second Lien), 1 Mo. LIBOR + 6.00%, 0.00% Floor
  7.98%   07/31/25   511,750
1,377,671  
Asurion LLC, Term Loan B4, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.73%   08/04/22   1,382,149
3,679,523  
Asurion LLC, Term Loan B6, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.73%   11/03/23   3,693,321
        5,587,220
    Specialized Finance – 0.1%            
280,500  
Alliant Holdings I, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  4.93%   05/09/25   280,149
    Specialty Chemicals – 1.7%            
5,162,659  
H.B. Fuller, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.95%   10/20/24   5,164,104
See Notes to Financial Statements
Page 13
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Specialty Chemicals (Continued)            
$1,082,905  
Platform Specialty Products Corp. (fka: Macdermid, Inc.), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  4.98%   06/07/23   $1,086,067
        6,250,171
    Specialty Stores – 0.8%            
305,550  
Party City Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.74%   08/19/22   306,696
298,491  
Party City Holdings, Inc., Term Loan B, 2 Mo. LIBOR + 2.75%, 0.75% Floor
  4.81%   08/19/22   299,611
297,551  
Party City Holdings, Inc., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor
  5.28%   08/19/22   298,667
2,811,036  
Toys "R" US-Delaware, Inc., Term B-2 Loan, Prime Rate + 2.75%, 1.50% Floor (f) (h)
  7.50%   05/25/18   1,076,627
1,991,346  
Toys "R" US-Delaware, Inc., Term B-4 Loan, Prime Rate + 7.75%, 1.00% Floor (f) (h)
  12.25%   04/25/20   866,235
        2,847,836
    Systems Software – 10.2%            
743,464  
Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.30%   09/13/24   748,230
511,161  
Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor
  9.30%   09/13/25   528,095
1,222,656  
Avast Software B.V. (Sybil Software LLC), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor
  4.49%   09/30/23   1,227,413
14,512,065  
BMC Software Finance, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.23%   09/10/22   14,524,690
7,096,469  
Compuware Corp., Term Loan B3, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.48%   12/15/21   7,148,274
3,836,180  
Misys Financial Software Ltd. (Almonde, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.81%   06/13/24   3,772,883
2,010,793  
Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.24%   04/24/22   1,993,198
3,165,218  
SS&C European Holdings, S.a.r.l, Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   04/16/25   3,181,044
1,185,058  
SS&C European Holdings, S.a.r.l, Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.48%   04/16/25   1,190,983
4,053,316  
Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.23%   06/30/23   4,054,573
        38,369,383
    Technology Hardware, Storage & Peripherals – 3.4%            
12,622,113  
Dell, Inc. (Diamond 1 Finance Corp.), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor
  3.99%   09/07/23   12,606,336
    Wireless Telecommunication Services – 0.5%            
1,888,000  
SBA Senior Finance II LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  3.99%   04/11/25   1,884,847
   
Total Senior Floating-Rate Loan Interests
  517,003,627
    (Cost $522,540,837)            
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
CORPORATE BONDS AND NOTES (c) – 3.5%
    Cable & Satellite – 0.5%            
1,022,000  
Altice US Finance I Corp. (i)
  5.50%   05/15/26   983,982
Page 14
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
CORPORATE BONDS AND NOTES (c) (Continued)
    Cable & Satellite (Continued)            
$1,000,000  
CCO Holdings LLC/CCO Holdings Capital Corp.
  5.75%   01/15/24   $1,005,000
        1,988,982
    Health Care Facilities – 2.7%            
1,000,000  
Select Medical Corp.
  6.38%   06/01/21   1,017,500
800,000  
Tenet Healthcare Corp.
  6.00%   10/01/20   829,000
5,776,000  
Tenet Healthcare Corp. (i)
  7.50%   01/01/22   6,073,175
2,136,000  
Tenet Healthcare Corp.
  8.13%   04/01/22   2,242,800
        10,162,475
    Life Sciences Tools & Services – 0.3%            
894,000  
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics S.A. (i)
  6.63%   05/15/22   887,894
   
Total Corporate Bonds and Notes
  13,039,351
    (Cost $13,032,550)            
FOREIGN CORPORATE BONDS AND NOTES (c) – 0.3%
    Pharmaceuticals – 0.3%            
774,000  
Valeant Pharmaceuticals International, Inc. (i)
  6.75%   08/15/21   782,456
500,000  
Valeant Pharmaceuticals International, Inc. (i)
  5.50%   11/01/25   492,500
   
Total Foreign Corporate Bonds and Notes
  1,274,956
    (Cost $1,278,165)            
    
Shares   Description   Value
COMMON STOCKS (c) – 0.9%
    Commodity Chemicals – 0.0%    
20  
LyondellBasell Industries N.V., Class A
  2,242
    Electric Utilities – 0.7%    
106,607  
Vistra Energy Corp. (j)
  2,615,070
    Oil & Gas Exploration & Production – 0.2%    
119,734  
American Energy Marcellus, Class A (g) (j) (k)
  396,140
3,699  
Fieldwood Energy Equity (j) (k) (l)
  168,304
        564,444
   
Total Common Stocks
  3,181,756
    (Cost $3,031,424)    
RIGHTS (c) – 0.0%
    Electric Utilities – 0.0%    
106,607  
Vistra Energy Corp. (j)
  58,634
175,375  
Vistra Energy Corp. Claim (j) (m) (n)
  0
        58,634
    Life Sciences Tools & Services – 0.0%    
1  
New Millennium Holdco, Inc., Corporate Claim Trust (j) (m) (n) (o)
  0
1  
New Millennium Holdco, Inc., Lender Claim Trust (j) (m) (n) (o)
  0
        0
   
Total Rights
  58,634
    (Cost $178,763)    
WARRANTS (c) – 0.0%
    Oil & Gas Exploration & Production – 0.0%    
31,000  
American Energy Marcellus First Lien Warrants (g) (j)
  2,015
    (Cost $3,100)    
See Notes to Financial Statements
Page 15
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Shares   Description   Value
MONEY MARKET FUNDS (c) – 2.1%
8,000,000  
Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio - Institutional Class - 1.61% (p)
  $8,000,000
    (Cost $8,000,000)    
   
Total Investments – 144.7%
  542,560,339
    (Cost $548,064,839) (q)    
   
Outstanding Loans – (41.3)%
  (155,000,000)
   
Net Other Assets and Liabilities – (3.4)%
  (12,545,033)
   
Net Assets – 100.0%
  $375,015,306
    
(a) 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 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. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates.
(b) 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.
(c) All of these securities are available to serve as collateral for the outstanding loans.
(d) Delayed Draw Term Loan (See Note 2C - Unfunded Loan Commitments in the Notes to Financial Statements).
(e) Represents commitment fee rate on unfunded loan commitment. The commitment fee rate steps up at predetermined time intervals.
(f) This issuer has filed for protection in federal bankruptcy court.
(g) On March 30, 2018, American Energy Marcellus Holdings LLC, also known as Ascent Resources - Marcellus LLC, completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a portion of a new exit term loan and a share of the newly issued common equity shares in the re-organized company. The Fund also received equity warrants entitling it to purchase additional common equity shares.
(h) This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer.
(i) 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 (the “1933 Act”), 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 “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 May 31, 2018, securities noted as such amounted to $9,220,007 or 2.5% of net assets.
(j) Non-income producing security.
(k) Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At May 31, 2018, securities noted as such amounted to $564,444 or 0.2% of net assets.
(l) On April 11, 2018, Fieldwood Energy, LLC completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a pro rata share of the newly issued common equity shares in the re-organized company.
(m) 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. At May 31, 2018, securities noted as such are valued at $0 or 0.0% of net assets.
(n) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(o) Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(p) Rate shown reflects yield as of May 31, 2018.
(q) Aggregate cost for federal income tax purposes was $548,121,334. As of May 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,014,481 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,575,476. The net unrealized depreciation was $5,560,995.
    
LIBOR London Interbank Offered Rate
Page 16
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of May 31, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
  Total
Value at
5/31/2018 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Senior Floating-Rate Loan Interests*
$ 517,003,627 $ — $ 517,003,627 $ —
Corporate Bonds and Notes*
 13,039,351  —  13,039,351  —
Foreign Corporate Bonds and Notes*
 1,274,956  —  1,274,956  —
Common Stocks:        
Oil & Gas Exploration & Production
 564,444  —  564,444  —
Other industry categories*
 2,617,312  2,617,312  —  —
Rights:        
Electric Utilities
 58,634  —  58,634  —**
Life Sciences Tools & Services
 —**  —  —  —**
Warrants*
 2,015  —  2,015  —
Money Market Funds
 8,000,000  8,000,000  —  —
Total Investments
$ 542,560,339 $ 10,617,312 $ 531,943,027 $—**
    
* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.
All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. There were no transfers between Levels at May 31, 2018.
Level 3 Rights that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. The Level 3 Rights values are based on unobservable and non-quantitative inputs. 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 Advisor’s Pricing Committee, through the Fund’s fund accounting agent, monitors the daily pricing via tolerance checks and stale and unchanged price reviews. The Advisor’s Pricing Committee also reviews monthly back testing of third-party pricing service prices by comparing sales prices of the Fund’s investments to prior day third-party pricing service prices. Additionally, the Advisor’s Pricing Committee reviews periodic information from the Fund’s third-party pricing service that compares secondary market trade prices to their daily valuations.
See Notes to Financial Statements
Page 17
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
May 31, 2018
The following table presents the activity of 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, 2017  
Senior Floating-Rate Loan Interests $90,379
Rights —**
Net Realized Gain (Loss)  
Senior Floating-Rate Loan Interests (19,479)
Rights —
Net Change in Unrealized Appreciation/Depreciation  
Senior Floating-Rate Loan Interests 104,498
Rights —
Purchases  
Senior Floating-Rate Loan Interests —
Rights —
Sales  
Senior Floating-Rate Loan Interests (175,398)
Rights —
Transfers In  
Senior Floating-Rate Loan Interests —
Rights —
Transfers Out  
Senior Floating-Rate Loan Interests —
Rights —
Ending Balance at May 31, 2018  
Senior Floating-Rate Loan Interests —
Rights —**
Total Level 3 holdings $—**
** Investment is valued at $0.
There was no net change in unrealized appreciation (depreciation) from Level 3 investments held as of May 31, 2018.
Page 18
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Statement of Assets and Liabilities
May 31, 2018
ASSETS:  
Investments, at value

(Cost $548,064,839)
$ 542,560,339
Cash
427,171
Receivables:  
Investment securities sold
18,622,202
Interest
1,988,821
Prepaid expenses
3,043
Total Assets
563,601,576
LIABILITIES:  
Outstanding loans
155,000,000
Payables:  
Investment securities purchased
32,177,357
Unfunded loan commitments
635,808
Investment advisory fees
334,718
Interest and fees on loans
181,135
Administrative fees
108,278
Audit and tax fees
66,650
Legal fees
33,336
Printing fees
28,112
Custodian fees
11,897
Trustees’ fees and expenses
2,714
Transfer agent fees
2,050
Financial reporting fees
770
Other liabilities
3,445
Total Liabilities
188,586,270
NET ASSETS
$375,015,306
NET ASSETS consist of:  
Paid-in capital
$ 403,582,854
Par value
266,970
Accumulated net investment income (loss)
92,009
Accumulated net realized gain (loss) on investments
(23,422,027)
Net unrealized appreciation (depreciation) on investments
(5,504,500)
NET ASSETS
$375,015,306
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)
$14.05
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)
26,696,982
See Notes to Financial Statements
Page 19
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Statement of Operations
For the Year Ended May 31, 2018
INVESTMENT INCOME:  
Interest
$ 26,306,037
Dividends
 74
Other
 472,674
Total investment income
26,778,785
EXPENSES:  
Investment advisory fees
 3,934,418
Interest and fees on loans
 3,415,428
Administrative fees
 350,787
Legal fees
 106,705
Printing fees
 98,665
Custodian fees
 75,686
Audit and tax fees
 56,085
Transfer agent fees
 27,593
Listing expense
 23,327
Trustees’ fees and expenses
 16,655
Financial reporting fees
 9,250
Other
 49,152
Total expenses
8,163,751
NET INVESTMENT INCOME (LOSS)
18,615,034
NET REALIZED AND UNREALIZED GAIN (LOSS):  
Net realized gain (loss) on investments
(4,502,205)
Net change in unrealized appreciation (depreciation) on investments
(52,148)
NET REALIZED AND UNREALIZED GAIN (LOSS)
(4,554,353)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
$ 14,060,681
Page 20
See Notes to Financial Statements
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Statements of Changes in Net Assets
  Year
Ended
5/31/2018 		  Year
Ended
5/31/2017
OPERATIONS:      
Net investment income (loss)
$ 18,615,034   $ 20,738,542
Net realized gain (loss)
 (4,502,205)    (3,792,004)
Net change in unrealized appreciation (depreciation)
 (52,148)    11,725,535
Net increase (decrease) in net assets resulting from operations
14,060,681   28,672,073
DISTRIBUTIONS TO SHAREHOLDERS FROM:      
Net investment income
 (18,612,204)    (20,842,660)
Return of capital
 (1,730,896)    (1,217,056)
Total distributions to shareholders
(20,343,100)   (22,059,716)
Total increase (decrease) in net assets
 (6,282,419)    6,612,357
NET ASSETS:      
Beginning of period
 381,297,725    374,685,368
End of period
$ 375,015,306   $ 381,297,725
Accumulated net investment income (loss) at end of period
$92,009   $(151,020)
COMMON SHARES:      
Common Shares at end of period
26,696,982   26,696,982
See Notes to Financial Statements
Page 21
Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
Statement of Cash Flows
For the Year Ended May 31, 2018
Cash flows from operating activities:    
Net increase (decrease) in net assets resulting from operations
$14,060,681  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:    
Purchases of investments
(715,082,485)  
Sales, maturities and paydown of investments
708,582,868  
Net amortization/accretion of premiums/discounts on investments
(415,572)  
Net realized gain/loss on investments
4,502,205  
Net change in unrealized appreciation/depreciation on investments
52,148  
Changes in assets and liabilities:    
Decrease in interest receivable
11,139  
Decrease in prepaid expenses
18,353  
Decrease in interest and fees payable on loans
(74,813)  
Decrease in investment advisory fees payable
(3,541)  
Decrease in audit and tax fees payable
(8,550)  
Decrease in legal fees payable
(14,563)  
Increase in printing fees payable
775  
Decrease in administrative fees payable
(2,348)  
Decrease in custodian fees payable
(7,740)  
Decrease in transfer agent fees payable
(14,853)  
Decrease in Trustees’ fees and expenses payable
(160)  
Decrease in financial reporting fees payable
(1)  
Increase in other liabilities payable
238  
Cash provided by operating activities
  $11,603,781
Cash flows from financing activities:    
Distributions to Common Shareholders from net investment income
(18,612,204)  
Distributions to Common Shareholders from return of capital
(1,730,896)  
Repayment of borrowings
(123,000,000)  
Proceeds from borrowings
132,000,000  
Cash used in financing activities
  (11,343,100)
Increase in cash
  260,681
Cash at beginning of period
  166,490
Cash at end of period
  $427,171