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: November 30, 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)
Semi-Annual Report
For the
Six Months Ended
November 30,
2018
Table of Contents
First Trust Senior Floating Rate
Income Fund II (FCT)
Semi-Annual Report
November 30, 2018
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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.
Shareholder Letter
First Trust Senior Floating Rate
Income Fund II (FCT)
Semi-Annual Letter from the Chairman
and CEO
November 30, 2018
Dear Shareholders,
First Trust is pleased
to provide you with the semi-annual report for the First Trust Senior Floating Rate Income Fund II (the “Fund”), which contains detailed information about your investment for the six months ended November
30, 2018, including a market overview and a performance analysis. We encourage you to read this report carefully and discuss it with your financial advisor.
As I mentioned in my May
2018 letter, 2017 was a very strong year for U.S. and global markets. Investors were rewarded with rising markets and very little volatility. As 2018 began, investors were hoping for another strong year in the
markets. For the entire first quarter, however, increased market volatility was the norm for U.S. and global markets. The markets continued their volatility throughout the second quarter. During April and May, the Dow
Jones Industrial Average (“DJIA”) closed out each month slightly down, but ended both June and July slightly up. August was a strong month for stocks, and the DJIA finished August just under its previous
high in January of 2018. At the close of the third quarter in September, the markets had moved higher into positive territory. In fact, all three major U.S. indices (the Nasdaq Composite Index, the DJIA and the S&
P 500® Index) hit record levels during the third quarter. In October, markets were again very volatile, surprising analysts
and investors alike. Both global and U.S. markets fell on fears of slowing growth, trade wars and higher interest rates. The DJIA was down 5% for October and the MSCI EAFE Index, an index of stocks in 21 developed
markets (excluding the U.S. and Canada), was down 9% for the same period. After another volatile month, the DJIA climbed 617 points (2.5%) on November 28 to post its biggest one-day gain in eight months and ended
November slightly up. The MSCI EAFE Index ended November slightly down.
Based on continued
strong job growth and the economic outlook in the U.S., the Federal Reserve (the “Fed”) raised interest rates in March, June and September. At their September meeting, the Fed also indicated the
possibility of one more rate hike in 2018 as well as three more rate hikes in 2019, however at their November meeting, they announced no additional rate hike. Analysts and investors will be watching to see whether the
Fed raises rates again in December.
Trade tensions have had
an impact on markets around the world and could continue to do so in the future. However, our economists believe that the long-term impact of U.S. tariffs will be to encourage countries to come back to the table and
talk about more equal trade. Despite market volatility, we continue to believe that the combination of low interest rates, low inflation and strong corporate earnings still point to a positive economic environment and
further growth, though we understand that past performance can never guarantee future performance.
We continue to believe
that you should invest for the long term and be prepared for market movements, which can happen at any time. You can do this by keeping current on your portfolio and by speaking regularly with your investment
professional. Markets go up and they also go down, but savvy investors are prepared for either through careful attention to investment goals.
Thank you for giving
First Trust the opportunity to be a part of your financial plan. We value our relationship with you and will report on the Fund 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
First Trust Senior Floating Rate Income
Fund II (FCT)
“AT A GLANCE”
As of November 30, 2018
(Unaudited)
| Performance | |||||
| Average Annual Total Return | |||||
| 6 Months Ended 11/30/18 | 1 Year Ended 11/30/18 | 5 Years Ended 11/30/18 | 10 Years Ended 11/30/18 | Inception (5/25/04) to 11/30/18 | |
| Fund Performance(3) | |||||
| NAV | 0.54% | 3.27% | 4.52% | 10.95% | 4.26% |
| Market Value | -6.14% | -2.87% | 1.98% | 12.02% | 2.88% |
| Index Performance | |||||
| S&P/LSTA Leveraged Loan Index | 1.00% | 3.47% | 3.68% | 8.52% | 4.71% |
| (1) | Most recent distribution paid or declared through 11/30/2018. 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 11/30/2018. 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
First Trust Senior Floating Rate Income
Fund II (FCT)
“AT A GLANCE”
(Continued)
As of November 30, 2018
(Unaudited)
| (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
Portfolio Commentary
First Trust Senior
Floating Rate Income Fund II (FCT)
Semi-Annual Report
November 30, 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 November 30, 2018, the First Trust Leveraged Finance Team managed or supervised approximately $4.54 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
During the six-month
period ended November 30, 2018, economic growth, low unemployment, and strong consumer sentiment have led to asset prices increasing. However, the effects of these positive developments were dampened by fears
surrounding increasing interest rates. Meanwhile, global economic growth concerns were fueled by fears of a trade war during the period. Over the period, the equity market, measured by the S&P 500® Index, was up 3.02%. Interest rates, as measured by the 10-year U.S. Treasury bond finished the period at 2.99% as of
November 30, 2018, up from 2.86% at the start of the six-month period. The senior loan market, as measured by the S&P/LSTA Leveraged Loan Index (the “Index”), was up 1.00% in the period, and the
high-yield bond market as measured by the ICE BofAML US High Yield Constrained Index, was up 0.19%.
In the senior loan
market, spreads over 3-month London Interbank Offered Rate (“LIBOR”) increased 58 basis points (“bps”) during the six-month period to L+437 bps. This is slightly favorable to the pre-credit
crisis average spread of L+372 bps (measured from December 1997 to June 2007) but is inside the long-term average spread of L+515 bps (measured from December 1997 to November 2018). Lower quality senior loans
outperformed higher quality senior loans during the six-month period, which was a continuation of the trend in the prior year. CCC rated issues returned 1.94%, outperforming the 1.31% return of B rated issues, and
outperforming the 0.59% return of BB rated issues in the same period. The average price of senior loans, as measured by the Index, declined in the same period from $98.35 to $96.78.
Default Rates
The last 12 months
(“LTM”) default rate within the Index entered the period at 2.12% and ended the period at 1.61%. The current LTM default rate remains well below the 2.98% long-term average default rate for the asset class
(measured from March 1999 to November 2018). We continue to believe the low default rate is reflective of the relatively sound financial condition of most companies, the lack of near-term debt maturities, and the
strong backdrop of a healthy macroeconomic environment.
Performance Analysis
The Fund generated a net
asset value (“NAV”) return1 of 0.54% and a market price return1 of -6.14%, while the Index returned 1.00% over the period. The Fund’s market price return was negatively impacted by
the Fund’s discount to NAV widening over the six-month period. At the start of the period, the Fund’s market price was at a -7.54% discount to NAV and moved to a -13.69% discount to NAV
| 1 | 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 4
Portfolio Commentary (Continued)
First Trust Senior
Floating Rate Income Fund II (FCT)
Semi-Annual Report
November 30, 2018
(Unaudited)
by the end of the
period, a widening of 615 bps. This widening was experienced by most closed-end funds in the market and may have been driven by investors selling prior to year-end for tax purposes.
From an income
perspective, the monthly distribution rate remained unchanged during the period. The monthly distribution rate stands at $0.0600 per share. The annualized distribution rate as of November 30, 2018, assuming a $0.0600
per share monthly distribution rate, was 5.24% at NAV and 6.08% at market price.
The largest contributing
factor to the Fund’s performance relative to the Index over the period was the Fund’s selection within the food service industry. The Fund’s holdings in multiple restaurant groups positively impacted
returns during the period. Additionally, the Fund’s overweight position and asset selection within the pharmaceuticals industry contributed positively to returns as certain drug manufacturers held by the Fund
reported strong financial results during the period. Another positive contributor to the Fund’s performance was its position within a toy manufacturing company whose debt saw recovery from distressed levels
after unexpectedly filing for bankruptcy.
More than offsetting
these contributing factors was the Fund’s use of leverage as senior loan returns underperformed the cost of borrowing during the period. The Fund’s leverage began the period at 29.32% and ended the period
at 29.86%. Additionally, the Fund’s asset selection within the electronics/electrical industry negatively impacted returns due to the underperformance of an enterprise software company held by the Fund and
overweight position within the home furnishings industry which underperformed.
The Fund’s LTM
default rate by par amount outstanding was 0.19% at month-end. The Fund experienced one default in a senior secured loan during the LTM period. This compares to 15 issuers within the Index that defaulted during the
same period. Since the First Trust Leveraged Finance Investment Team began managing the Fund in October 2010, the Fund has experienced 10 defaults, which compares to 91 within the Index during the same period.
Market and Fund Outlook
Near the end of November
2018, the Federal Reserve (the “Fed”) used more dovish language in their public statements concerning the potential for more interest rate hikes. We believe this is a signal that the Fed intends to slow
the rate of increase to the target federal funds rate and to take a more accommodative stance with respect to monetary policy which would likely result in LIBOR staying relatively flat as we move into 2019, in our
opinion.
We remain confident that
the favorable backdrop for the macro economy will persist for the near to intermediate term and that we are in a healthy part of the economic cycle to own senior loans and high-yield bonds. Importantly, the default
rate for senior loans remains low, at 1.61% and we believe it is likely to remain low given the overall health of the U.S. economy. 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.
Page 5
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) – 136.5% | ||||||||
| Aerospace & Defense – 1.3% | ||||||||
| $631,487 | Science Applications International Corp., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.09% | 10/31/25 | $626,752 | ||||
| 2,807,715 | Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/09/23 | 2,734,012 | ||||
| 1,533,096 | Transdigm, Inc., Tranche E Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 05/30/25 | 1,492,285 | ||||
| 4,853,049 | ||||||||
| Alternative Carriers – 0.7% | ||||||||
| 2,678,397 | Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 02/22/24 | 2,643,257 | ||||
| Application Software – 8.2% | ||||||||
| 1,625,143 | CCC Information Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.35% | 04/26/24 | 1,603,203 | ||||
| 952,715 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 5.59% | 07/01/24 | 944,779 | ||||
| 4,740,660 | Infor (US), Inc. (fka Lawson Software, Inc.), Term Loan B-6, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.14% | 02/02/22 | 4,670,404 | ||||
| 2,798,615 | Informatica Corporation, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 08/06/22 | 2,782,299 | ||||
| 6,653 | Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 11/01/23 | 6,547 | ||||
| 2,641,212 | Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.54% | 11/01/23 | 2,599,243 | ||||
| 554,117 | Micro Focus International (MA Financeco, LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/21/24 | 541,649 | ||||
| 3,742,087 | Micro Focus International (MA Financeco, LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 06/21/24 | 3,657,890 | ||||
| 6,992,532 | Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 11/30/24 | 6,880,652 | ||||
| 1,287,481 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.94% | 04/26/24 | 1,268,980 | ||||
| 5,333,203 | RP Crown Parent (JDA Software Group), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 10/12/23 | 5,229,899 | ||||
| 30,185,545 | ||||||||
| Asset Management & Custody Banks – 2.1% | ||||||||
| 800,000 | First Eagle Investment Management, Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 12/01/24 | 794,336 | ||||
| 919,294 | Harbourvest Partners L.P., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 03/01/25 | 911,250 | ||||
| 210,396 | Mondrian Investment Partners Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 03/09/20 | 210,133 | ||||
| 1,614,103 | Victory Capital Holdings, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 02/15/25 | 1,611,085 | ||||
| 3,994,634 | Virtus Investment Partners, Term Loan B, 3 Mo. LIBOR + 2.50%, 0.75% Floor | 4.91% | 06/01/24 | 3,989,640 | ||||
| 7,516,444 | ||||||||
| Auto Parts & Equipment – 2.5% | ||||||||
| 5,429,262 | Gates Global, LLC, Initial B-2 Dollar Term Loans, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/31/24 | 5,332,893 | ||||
| 950,395 | Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.84% | 06/30/24 | 907,627 | ||||
| 1,990,862 | Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/30/24 | 1,901,274 | ||||
Page 6
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Auto Parts & Equipment (Continued) | ||||||||
| $1,057,707 | Tower Automotive Holdings USA, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.13% | 03/07/24 | $1,045,807 | ||||
| 9,187,601 | ||||||||
| Automotive Retail – 0.3% | ||||||||
| 991,378 | KAR Auction Services, Inc. (Adesa), Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.94% | 03/09/23 | 981,772 | ||||
| Broadcasting – 3.8% | ||||||||
| 2,671,036 | Cumulus Media Holdings, Inc., Exit Term Loan, 1 Mo. LIBOR + 4.50%, 1.00% Floor (d) | 6.85% | 05/15/22 | 2,577,550 | ||||
| 2,489,627 | Gray Television, Inc., Term C Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.85% | 11/01/25 | 2,465,776 | ||||
| 34,603 | Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/17/24 | 34,179 | ||||
| 205,711 | Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/17/24 | 203,191 | ||||
| 8,495,601 | Tribune Media Company (fka Tribune Company), Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.34% | 01/27/24 | 8,456,691 | ||||
| 45,522 | Tribune Media Company (fka Tribune Company), Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 5.34% | 12/27/20 | 45,438 | ||||
| 13,782,825 | ||||||||
| Building Products – 2.4% | ||||||||
| 188,861 | Beacon Roofing Supply, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.57% | 01/02/25 | 183,431 | ||||
| 62,263 | JELD-WEN, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.39% | 12/07/24 | 61,641 | ||||
| 8,475,412 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 11/15/23 | 8,292,259 | ||||
| 247,418 | Resideo Technologies, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.49% | 10/24/25 | 245,871 | ||||
| 8,783,202 | ||||||||
| Cable & Satellite – 0.8% | ||||||||
| 980,786 | Cablevision (fka CSC Holdings, Inc.), January 2018 Term Loans B-2, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 01/25/26 | 965,201 | ||||
| 323,203 | Cablevision (fka CSC Holdings, Inc.), March 2017 Term Loan B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 07/17/25 | 317,709 | ||||
| 407,359 | Mediacom Broadband, Term Loan N, 1 Week LIBOR + 1.75%, 0.00% Floor | 3.98% | 02/15/24 | 400,230 | ||||
| 1,329,500 | Virgin Media Investment Holdings Limited, Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81% | 01/15/26 | 1,311,632 | ||||
| 2,994,772 | ||||||||
| Casinos & Gaming – 13.5% | ||||||||
| 11,831,490 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 12/22/24 | 11,611,779 | ||||
| 5,569,340 | CityCenter Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.59% | 04/18/24 | 5,464,915 | ||||
| 143,386 | Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.09% | 10/04/23 | 140,984 | ||||
| 3,872,195 | Golden Nugget, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.19%-5.28% | 10/04/23 | 3,807,336 | ||||
| 3,255,311 | Las Vegas Sands, LLC, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.09% | 03/27/25 | 3,202,087 | ||||
See Notes to Financial Statements
Page 7
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Casinos & Gaming (Continued) | ||||||||
| $1,467,748 | MGM Growth Properties Operating Partnership L.P., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 03/23/25 | $1,439,861 | ||||
| 1,266,951 | Penn National Gaming, Inc., Term Loan B, 2 Mo. LIBOR + 2.25%, 0.00% Floor | 4.58% | 10/01/25 | 1,254,813 | ||||
| 13,421,653 | Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 5.89% | 07/28/25 | 13,359,376 | ||||
| 5,411,459 | Station Casinos, Inc. (Red Rocks), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.85% | 06/08/23 | 5,322,657 | ||||
| 3,848,666 | VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.31% | 12/20/24 | 3,781,931 | ||||
| 49,385,739 | ||||||||
| Coal & Consumable Fuels – 0.4% | ||||||||
| 1,031,219 | Arch Coal, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/07/24 | 1,022,196 | ||||
| 308,307 | Peabody Energy, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 03/31/25 | 306,183 | ||||
| 1,328,379 | ||||||||
| Commercial Printing – 0.4% | ||||||||
| 1,355,230 | Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 10/31/24 | 1,334,901 | ||||
| Construction & Engineering – 0.4% | ||||||||
| 175,813 | Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.85% | 03/23/25 | 175,285 | ||||
| 1,291,435 | Westinghouse Electric (Brookfield WEC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 6.09% | 07/31/25 | 1,286,993 | ||||
| 1,462,278 | ||||||||
| Construction Materials – 0.4% | ||||||||
| 1,639,344 | Summit Materials, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 11/10/24 | 1,606,557 | ||||
| Diversified Chemicals – 0.1% | ||||||||
| 365,658 | Ineos US Finance, LLC, 2024 Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 03/31/24 | 358,231 | ||||
| Diversified Support Services – 0.8% | ||||||||
| 3,033,497 | Brightview Landscapes, LLC (FKA - Brickman), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.81%-4.84% | 08/15/25 | 3,014,538 | ||||
| Electric Utilities – 0.9% | ||||||||
| 368,438 | Dayton Power & Light, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.35% | 08/24/22 | 366,828 | ||||
| 1,935,227 | Vistra Operations Company, LLC (TEX/TXU), 2016 Incremental Term Loan B2, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 12/14/23 | 1,912,256 | ||||
| 997,500 | Vistra Operations Company, LLC (TEX/TXU), 2018 Incremental Term Loan B3, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30%-4.34% | 12/31/25 | 981,919 | ||||
| 3,261,003 | ||||||||
| Environmental & Facilities Services – 0.9% | ||||||||
| 2,947,422 | Packers Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.32% | 12/04/24 | 2,895,842 | ||||
| 512,991 | Servicemaster Company (The), LLC, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 11/08/23 | 511,493 | ||||
| 3,407,335 | ||||||||
Page 8
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Food Retail – 1.5% | ||||||||
| $2,834,601 | Albertson’s, LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.38% | 12/21/22 | $2,787,207 | ||||
| 2,842,856 | Albertson’s, LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.69% | 06/22/23 | 2,786,880 | ||||
| 5,574,087 | ||||||||
| Health Care Equipment – 2.9% | ||||||||
| 197,500 | Acelity L.P., Inc. (Kinetic Concepts), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.64% | 01/31/24 | 196,513 | ||||
| 5,210,491 | DJO Finance, LLC (ReAble Therapeutics Finance, LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 06/08/20 | 5,199,653 | ||||
| 5,224,689 | DJO Finance, LLC (ReAble Therapeutics Finance, LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.65% | 06/08/20 | 5,213,821 | ||||
| 10,609,987 | ||||||||
| Health Care Facilities – 1.3% | ||||||||
| 1,036,830 | Acadia Healthcare Company, Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/11/22 | 1,025,165 | ||||
| 1,186,642 | Acadia Healthcare Company, Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/16/23 | 1,173,292 | ||||
| 1,699,735 | Concentra, Inc. (fka MJ Acquisitions), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.07% | 06/01/22 | 1,679,559 | ||||
| 957,435 | Gentiva Health Services, Inc. (Kindred at Home), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.13% | 06/30/25 | 955,042 | ||||
| 4,833,058 | ||||||||
| Health Care Services – 10.9% | ||||||||
| 4,136,711 | 21st Century Oncology Holdings, Inc. (21st Century Oncology, Inc.), Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor | 8.57% | 01/16/23 | 3,800,603 | ||||
| 934,198 | Air Medical Group Holdings, Inc. (Global Medical Response), 2018 New Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor | 6.56% | 03/14/25 | 905,593 | ||||
| 612,981 | Air Medical Group Holdings, Inc. (Global Medical Response), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.57% | 04/28/22 | 584,784 | ||||
| 2,839,084 | Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 04/21/24 | 2,412,625 | ||||
| 4,563,609 | CDRH Parent, Inc. (Healogics, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.58% | 07/01/21 | 4,152,884 | ||||
| 1,254,848 | CHG Healthcare Services, Inc., Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 06/07/23 | 1,250,142 | ||||
| 2,235,579 | CHG Healthcare Services, Inc., Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.53% | 06/07/23 | 2,227,195 | ||||
| 3,638,642 | Dupage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 5.09% | 08/15/24 | 3,556,773 | ||||
| 4,189,768 | Envision Healthcare Corporation, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.09% | 10/10/25 | 4,021,424 | ||||
| 810,723 | Exam Works (Gold Merger Co, Inc.), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/27/23 | 808,696 | ||||
| 5,236,532 | Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.60% | 08/31/24 | 5,143,583 | ||||
| 5,377,052 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 02/06/24 | 5,007,380 | ||||
| 5,257,533 | U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 12/30/22 | 5,174,727 | ||||
See Notes to Financial Statements
Page 9
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Health Care Services (Continued) | ||||||||
| $845,792 | Verscend Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 6.84% | 08/27/25 | $844,380 | ||||
| 39,890,789 | ||||||||
| Health Care Supplies – 0.1% | ||||||||
| 408,670 | ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.64% | 10/31/23 | 403,562 | ||||
| Health Care Technology – 1.5% | ||||||||
| 5,418,260 | Change Healthcare Holdings, Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.09% | 03/01/24 | 5,348,581 | ||||
| Hotels, Resorts & Cruise Lines – 0.1% | ||||||||
| 442,125 | Four Seasons, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 11/30/23 | 436,678 | ||||
| Household Appliances – 0.9% | ||||||||
| 3,524,891 | Traeger Grills (TGP Holdings III, LLC), Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.64% | 09/25/24 | 3,445,581 | ||||
| Household Products – 1.0% | ||||||||
| 654,883 | Energizer Spinco, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.60% | 06/30/25 | 638,511 | ||||
| 1,004,025 | Spectrum Brands, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.35% | 06/23/22 | 991,474 | ||||
| 1,334,529 | Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor | 4.33%-4.40% | 06/23/22 | 1,317,848 | ||||
| 753,019 | Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.59% | 06/23/22 | 743,606 | ||||
| 3,691,439 | ||||||||
| Human Resource & Employment Services – 1.1% | ||||||||
| 4,094,358 | Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 05/01/24 | 4,056,485 | ||||
| Hypermarkets & Super Centers – 2.1% | ||||||||
| 7,686,131 | BJ’s Wholesale Club, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.32% | 02/03/24 | 7,634,865 | ||||
| Independent Power Producers & Energy Traders – 0.5% | ||||||||
| 1,935,000 | Calpine Corporation, New Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor | 4.89% | 01/15/24 | 1,896,571 | ||||
| Industrial Conglomerates – 1.5% | ||||||||
| 103,999 | Accudyne Industries, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 08/18/24 | 102,353 | ||||
| 4,677,967 | Gardner Denver, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 07/30/24 | 4,647,747 | ||||
| 807,880 | Messer Industries USA, Inc., Initial Term B-1, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.85% | 09/30/25 | 795,261 | ||||
| 5,545,361 | ||||||||
| Industrial Machinery – 0.3% | ||||||||
| 1,043,685 | Douglas Dynamics, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.35% | 12/31/21 | 1,039,771 | ||||
| Insurance Brokers – 4.5% | ||||||||
| 6,537,219 | Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor | 5.07%-5.09% | 01/25/24 | 6,471,847 | ||||
Page 10
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Insurance Brokers (Continued) | ||||||||
| $6,177 | HUB International Limited, Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor | 5.36% | 04/25/25 | $6,061 | ||||
| 2,458,332 | HUB International Limited, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.49% | 04/25/25 | 2,412,238 | ||||
| 2,123,253 | National Financial Partners Corp. (NFP), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 01/06/24 | 2,075,480 | ||||
| 5,770,535 | USI, Inc. (fka Compass Investors Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 05/15/24 | 5,619,059 | ||||
| 16,584,685 | ||||||||
| Integrated Telecommunication Services – 1.3% | ||||||||
| 4,827,756 | Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 01/31/25 | 4,685,965 | ||||
| Leisure Facilities – 1.5% | ||||||||
| 5,669,962 | ClubCorp Club Operations, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 5.14% | 09/18/24 | 5,468,678 | ||||
| Life Sciences Tools & Services – 7.6% | ||||||||
| 2,134,184 | Immucor, Inc., Term Loan B-3, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 7.39% | 06/15/21 | 2,139,520 | ||||
| 6,526,055 | Ortho-Clinical Diagnostics Holdings Luxembourg, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.58% | 05/31/25 | 6,356,769 | ||||
| 9,750,650 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 09/27/24 | 9,458,130 | ||||
| 3,606,347 | Pharmaceutical Product Development, Inc. (PPDI), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.84% | 08/18/22 | 3,545,256 | ||||
| 1,861,335 | Quintiles IMS, Inc. (IQVIA), Term Loan B3, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 4.14% | 06/15/25 | 1,839,241 | ||||
| 4,584,874 | Sotera Health Holdings, LLC (Sterigenics), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 05/15/22 | 4,534,440 | ||||
| 27,873,356 | ||||||||
| Managed Health Care – 5.4% | ||||||||
| 15,428,493 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 5.14% | 06/07/23 | 15,123,163 | ||||
| 4,730,669 | Versant Health (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 12/02/24 | 4,646,416 | ||||
| 19,769,579 | ||||||||
| Metal & Glass Containers – 0.6% | ||||||||
| 1,701,867 | Berlin Packaging, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30%-5.35% | 11/07/25 | 1,668,680 | ||||
| 193,412 | Berlin Packaging, LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 5.39% | 11/07/25 | 189,640 | ||||
| 179,107 | Crown Americas, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 04/03/25 | 178,631 | ||||
| 2,036,951 | ||||||||
| Movies & Entertainment – 1.0% | ||||||||
| 379,900 | AMC Entertainment, Inc., 2016 Incremental Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 12/15/23 | 373,966 | ||||
| 274,833 | AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.56% | 12/15/22 | 271,054 | ||||
| 1,925,325 | Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.84% | 02/05/25 | 1,887,897 | ||||
See Notes to Financial Statements
Page 11
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Movies & Entertainment (Continued) | ||||||||
| $982,575 | Creative Artists Agency, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.30% | 02/15/24 | $974,390 | ||||
| 3,507,307 | ||||||||
| Oil & Gas Equipment & Services – 0.1% | ||||||||
| 231,636 | NorthRiver Midsteam Finance L.P. (Grizzly/Enbridge), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.65% | 09/30/25 | 228,624 | ||||
| Oil & Gas Exploration & Production – 0.0% | ||||||||
| 166,667 | Ascent Resources - Marcellus, LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor | 8.82% | 03/30/23 | 166,667 | ||||
| Oil & Gas Storage & Transportation – 0.4% | ||||||||
| 1,292,065 | Lotus Midstream (Centurion Pipeline Company, LLC), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.00% Floor | 5.64% | 09/30/25 | 1,294,494 | ||||
| Other Diversified Financial Services – 7.8% | ||||||||
| 12,361,372 | AlixPartners, LLP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 04/04/24 | 12,222,307 | ||||
| 8,605,006 | Duff & Phelps Corporation (Deerfield Dakota), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 02/13/25 | 8,484,535 | ||||
| 1,585,579 | Financial & Risk US Holdings, Inc. (Refinitiv), Initial Dollar Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 6.09% | 10/01/25 | 1,542,832 | ||||
| 3,242,527 | First Data Corporation, 2024A New Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 04/26/24 | 3,179,719 | ||||
| 3,128,000 | Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 07/01/23 | 3,099,504 | ||||
| 28,528,897 | ||||||||
| Packaged Foods & Meats – 2.3% | ||||||||
| 2,680,776 | Hostess Brands, LLC (HB Holdings), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 4.59% | 08/03/22 | 2,609,575 | ||||
| 16,650 | Hostess Brands, LLC (HB Holdings), Term Loan B, 2 Mo. LIBOR + 2.25%, 0.75% Floor | 4.64% | 08/03/22 | 16,208 | ||||
| 3,912,760 | Hostess Brands, LLC (HB Holdings), Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.78% | 08/03/22 | 3,808,836 | ||||
| 2,055,555 | Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.32% | 05/24/24 | 2,042,194 | ||||
| 8,476,813 | ||||||||
| Paper Packaging – 3.5% | ||||||||
| 13,130,368 | Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.09% | 02/05/23 | 12,956,390 | ||||
| Personal Products – 0.1% | ||||||||
| 277,959 | Rodan & Fields, LLC, Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 6.31% | 06/15/25 | 254,333 | ||||
| Pharmaceuticals – 11.4% | ||||||||
| 1,682,692 | Akorn, Inc., Loan, 1 Mo. LIBOR + 5.50%, 1.00% Floor | 7.88% | 04/16/21 | 1,407,572 | ||||
| 19,159,651 | Bausch Health Companies, Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.31% | 06/01/25 | 18,946,787 | ||||
| 1,234,794 | Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 4.59% | 05/20/24 | 1,225,088 | ||||
| 3,283,000 | Concordia Healthcare, Dollar Term Loan, 1 Mo. LIBOR + 5.50%, 1.00% Floor | 7.82% | 09/06/24 | 3,167,570 | ||||
| 7,252,739 | Endo, LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 6.63% | 04/29/24 | 7,210,456 | ||||
| 1,603,387 | GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.32% | 10/15/25 | 1,592,692 | ||||
Page 12
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Pharmaceuticals (Continued) | ||||||||
| $1,488,665 | Grifols Worldwide Operations Limited, Tranche B Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.47% | 01/31/25 | $1,475,639 | ||||
| 5,094,142 | Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.38% | 03/29/24 | 5,038,972 | ||||
| 965,970 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 5.14% | 09/24/24 | 922,202 | ||||
| 966,019 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 5.62% | 02/24/25 | 928,586 | ||||
| 41,915,564 | ||||||||
| Research & Consulting Services – 1.8% | ||||||||
| 5,753,686 | Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/23/21 | 5,190,918 | ||||
| 797,940 | Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.59% | 07/25/21 | 718,648 | ||||
| 558,400 | TransUnion, LLC, Term Loan B4, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.34% | 06/30/25 | 553,018 | ||||
| 6,462,584 | ||||||||
| Restaurants – 4.4% | ||||||||
| 630,405 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.57% | 01/18/25 | 623,181 | ||||
| 8,341,454 | Portillo’s Holdings, LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor | 10.39% | 08/15/22 | 8,258,039 | ||||
| 7,425,139 | Portillo’s Holdings, LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor | 6.89% | 08/02/21 | 7,415,857 | ||||
| 16,297,077 | ||||||||
| Security & Alarm Services – 0.3% | ||||||||
| 1,185,013 | Garda World Security Corporation, Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.82% | 05/26/24 | 1,172,179 | ||||
| Semiconductors – 0.5% | ||||||||
| 1,095,495 | Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.35% | 05/29/25 | 1,082,830 | ||||
| 666,192 | Western Digital Corporation, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 4.06% | 04/29/23 | 646,207 | ||||
| 1,729,037 | ||||||||
| Specialized Consumer Services – 2.9% | ||||||||
| 724,000 | Asurion, LLC (fka Asurion Corporation), Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor | 8.84% | 07/31/25 | 737,271 | ||||
| 1,370,522 | Asurion, LLC (fka Asurion Corporation), Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 08/04/22 | 1,356,817 | ||||
| 3,660,526 | Asurion, LLC (fka Asurion Corporation), Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 11/03/23 | 3,620,113 | ||||
| 5,000,000 | Asurion, LLC (fka Asurion Corporation), Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 5.34% | 11/03/24 | 4,943,750 | ||||
| 10,657,951 | ||||||||
| Specialized Finance – 0.8% | ||||||||
| 3,080,604 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 5.06% | 05/09/25 | 3,021,981 | ||||
| Specialty Chemicals – 1.8% | ||||||||
| 1,135,333 | Akzonobel Specialty Chemicals (Starfruit), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.55% | 10/01/25 | 1,118,303 | ||||
See Notes to Financial Statements
Page 13
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
| SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
| Specialty Chemicals (Continued) | ||||||||
| $4,625,418 | H.B. Fuller Company, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 4.30% | 10/20/24 | $4,552,197 | ||||
| 1,082,905 | MacDermid, Incorporated (Platform Specialty Products Corporation), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 5.34% | 06/07/23 | 1,082,321 | ||||
| 6,752,821 | ||||||||
| Specialty Stores – 0.6% | ||||||||
| 2,371,479 | Toys “R” Us-Delaware, Inc., Term B-2 Loan, Prime Rate + 2.75%, 1.50% Floor (e) (f) | 8.00% | 05/25/18 | 1,154,128 | ||||
| 1,926,651 | Toys “R” Us-Delaware, Inc., Term B4 Loan, Prime Rate + 7.75%, 1.00% Floor (e) (f) | 13.00% | 04/25/20 | 963,325 | ||||
| 2,117,453 | ||||||||
| Systems Software – 6.8% | ||||||||
| 892,867 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 5.39% | 09/13/24 | 881,707 | ||||
| 511,161 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 9.39% | 09/13/25 | 512,438 | ||||
| 1,192,090 | Avast Software B.V. (Sybil), Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 4.89% | 09/30/23 | 1,180,539 | ||||
| 3,853,346 | BMC Software Finance, Inc. (Boxer Parent), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 6.65% | 10/02/25 | 3,800,362 | ||||
| 3,126,727 | Dynatrace, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 08/22/25 | 3,115,001 | ||||
| 3,636,947 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.89% | 06/13/24 | 3,512,891 | ||||
| 3,283,520 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 5.60% | 04/24/22 | 3,151,260 | ||||
| 2,908,001 | SS&C European Holdings, S.a.r.l, Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 2,835,824 | ||||
| 1,107,591 | SS&C European Holdings, S.a.r.l, Term Loan B-4, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 1,080,101 | ||||
| 1,762,032 | SS&C European Holdings, S.a.r.l, Term Loan B-5, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 4.59% | 04/16/25 | 1,714,122 | ||||
| 808,790 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.60% | 09/30/25 | 803,736 | ||||
| 2,403,762 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 5.59% | 06/15/25 | 2,360,687 | ||||
| 24,948,668 | ||||||||
| Technology Hardware, Storage & Peripherals – 3.4% | ||||||||
| 12,558,686 | Dell International, LLC, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor | 4.35% | 09/07/23 | 12,395,799 | ||||
| Trading Companies & Distributors – 0.1% | ||||||||
| 317,491 | Reece International Pty Ltd. (Hamilton), Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 4.40% | 07/02/25 | 314,317 | ||||
Total Senior Floating-Rate Loan Interests | 500,112,413 | |||||||
| (Cost $511,557,146) | ||||||||
| Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
| CORPORATE BONDS AND NOTES (c) – 3.7% | ||||||||
| Auto Parts & Equipment – 0.3% | ||||||||
| 1,093,000 | American Axle & Manufacturing, Inc. | 6.63% | 10/15/22 | 1,095,732 | ||||
Page 14
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
| CORPORATE BONDS AND NOTES (c) (Continued) | ||||||||
| Cable & Satellite – 0.4% | ||||||||
| $1,000,000 | CCO Holdings, LLC / CCO Holdings Capital Corp. | 5.75% | 01/15/24 | $1,007,700 | ||||
| 557,000 | CSC Holdings, LLC (g) | 5.50% | 05/15/26 | 540,812 | ||||
| 1,548,512 | ||||||||
| Health Care Facilities – 2.8% | ||||||||
| 1,000,000 | Select Medical Corp. | 6.38% | 06/01/21 | 1,010,950 | ||||
| 800,000 | Tenet Healthcare Corp. | 6.00% | 10/01/20 | 818,200 | ||||
| 5,776,000 | Tenet Healthcare Corp. (g) | 7.50% | 01/01/22 | 5,999,820 | ||||
| 2,136,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 2,229,450 | ||||
| 10,058,420 | ||||||||
| Health Care Services – 0.1% | ||||||||
| 438,000 | DaVita, Inc. | 5.13% | 07/15/24 | 422,123 | ||||
| Industrial Machinery – 0.1% | ||||||||
| 325,000 | SPX FLOW, Inc. (g) | 5.63% | 08/15/24 | 315,250 | ||||
Total Corporate Bonds and Notes | 13,440,037 | |||||||
| (Cost $13,438,332) | ||||||||
| FOREIGN CORPORATE BONDS AND NOTES (c) – 0.4% | ||||||||
| Pharmaceuticals – 0.4% | ||||||||
| 1,601,000 | Bausch Health Companies, Inc. (Valeant) (g) | 5.27% | 12/01/21 | 1,605,003 | ||||
| (Cost $1,579,583) | ||||||||
| Shares | Description | Value | ||
| COMMON STOCKS (c) – 0.9% | ||||
| Broadcasting – 0.1% | ||||
| 25,815 | Cumulus Media New Holdings (d) (h) | 387,225 | ||
| Electric Utilities – 0.7% | ||||
| 106,607 | Vistra Energy Corp. (h) | 2,503,132 | ||
| Oil & Gas Exploration & Production – 0.1% | ||||
| 119,734 | American Energy Marcellus, Class A (h) (i) | 354,233 | ||
| 3,699 | Fieldwood Energy Equity (h) (i) | 154,125 | ||
| 508,358 | ||||
Total Common Stocks | 3,398,715 | |||
| (Cost $3,357,338) | ||||
| RIGHTS (c) – 0.0% | ||||
| Electric Utilities – 0.0% | ||||
| 106,607 | Vistra Energy Corp. (h) | 85,605 | ||
| 175,376 | Vistra Energy Corp. Claim (h) (j) (k) | 0 | ||
| 85,605 | ||||
| Life Sciences Tools & Services – 0.0% | ||||
| 1 | New Millennium Holdco, Inc., Corporate Claim Trust (h) (j) (k) (l) | 0 | ||
| 1 | New Millennium Holdco, Inc., Lender Claim Trust (h) (j) (k) (l) | 0 | ||
| 0 | ||||
Total Rights | 85,605 | |||
| (Cost $178,763) | ||||
See Notes to Financial Statements
Page 15
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
| Shares | Description | Value | ||
| WARRANTS (c) – 0.0% | ||||
| Oil & Gas Exploration & Production – 0.0% | ||||
| 31,000 | American Energy Marcellus First Lien Warrants (h) | $930 | ||
| (Cost $3,100) | ||||
| MONEY MARKET FUNDS (c) – 2.2% | ||||
| 8,000,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.10% (m) | 8,000,000 | ||
| (Cost $8,000,000) | ||||
Total Investments – 143.7% | 526,642,703 | |||
| (Cost $538,114,262) (n) | ||||
Outstanding Loans – (42.6)% | (156,000,000) | |||
Net Other Assets and Liabilities – (1.1)% | (4,113,111) | |||
Net Assets – 100.0% | $366,529,592 | |||
| (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) | On June 4, 2018, Cumulus Media Holdings, Inc. 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. |
| (e) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
| (f) | This issuer has filed for protection in bankruptcy court. |
| (g) | 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 November 30, 2018, securities noted as such amounted to $8,460,885 or 2.3% of net assets. |
| (h) | Non-income producing security. |
| (i) | 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 November 30, 2018, securities noted as such amounted to $508,358 or 0.1% of net assets. |
| (j) | 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 November 30, 2018, securities noted as such are valued at $0 or 0.0% of net assets. |
| (k) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
| (l) | Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
| (m) | Rate shown reflects yield as of November 30, 2018. |
| (n) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of November 30, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,056,991 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $12,528,550. The net unrealized depreciation was $11,471,559. |
| LIBOR | London Interbank Offered Rate |
Page 16
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Portfolio of Investments
(Continued)
November 30, 2018
(Unaudited)
Valuation Inputs
A summary of the inputs
used to value the Fund’s investments as of November 30, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| Total Value at 11/30/2018 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 500,112,413 | $ — | $ 500,112,413 | $ — |
Corporate Bonds and Notes* | 13,440,037 | — | 13,440,037 | — |
Foreign Corporate Bonds and Notes* | 1,605,003 | — | 1,605,003 | — |
| Common Stocks: | ||||
Electric Utilities | 2,503,132 | 2,503,132 | — | — |
Other industry categories* | 895,583 | — | 895,583 | — |
| Rights: | ||||
Electric Utilities | 85,605 | — | 85,605 | —** |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 930 | — | 930 | — |
Money Market Funds | 8,000,000 | 8,000,000 | — | — |
Total Investments | $ 526,642,703 | $ 10,503,132 | $ 516,139,571 | $—** |
| * | See Portfolio of Investments for industry breakout. |
| ** | Investment is valued at $0. |
Level 3 Rights are fair
valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. These values are based on unobservable and non-quantitative inputs.
See Notes to Financial Statements
Page 17
First Trust Senior Floating Rate Income
Fund II (FCT)
Statement of Assets and
Liabilities
November 30, 2018
(Unaudited)
| ASSETS: | |
Investments, at value (Cost $538,114,262) | $ 526,642,703 |
Cash | 527,120 |
| Receivables: | |
Interest | 2,209,166 |
Investment securities sold | 708,342 |
Prepaid expenses | 7,688 |
Total Assets | 530,095,019 |
| LIABILITIES: | |
Outstanding loans | 156,000,000 |
| Payables: | |
Investment securities purchased | 6,816,978 |
Investment advisory fees | 320,592 |
Interest and fees on loans | 170,057 |
Administrative fees | 119,397 |
Legal fees | 47,352 |
Audit and tax fees | 41,582 |
Custodian fees | 16,891 |
Shareholder reporting fees | 12,588 |
Transfer agent fees | 3,304 |
Trustees’ fees and expenses | 2,807 |
Financial reporting fees | 771 |
Other liabilities | 13,108 |
Total Liabilities | 163,565,427 |
NET ASSETS | $366,529,592 |
| NET ASSETS consist of: | |
Paid-in capital | $ 403,582,854 |
Par value | 266,970 |
Accumulated distributable earnings (loss) | (37,320,232) |
NET ASSETS | $366,529,592 |
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) | $13.73 |
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) | 26,696,982 |
Page 18
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Statement of Operations
For the Six Months Ended
November 30, 2018 (Unaudited)
| INVESTMENT INCOME: | ||
Interest | $ 13,788,581 | |
Dividends | 20 | |
Other | 372,596 | |
Total investment income | 14,161,197 | |
| EXPENSES: | ||
Investment advisory fees | 1,948,951 | |
Interest and fees on loans | 2,201,704 | |
Administrative fees | 177,165 | |
Shareholder reporting fees | 51,364 | |
Legal fees | 43,510 | |
Custodian fees | 36,111 | |
Audit and tax fees | 31,932 | |
Transfer agent fees | 14,735 | |
Listing expense | 13,547 | |
Trustees’ fees and expenses | 8,275 | |
Financial reporting fees | 4,625 | |
Other | 2,072 | |
Total expenses | 4,533,991 | |
NET INVESTMENT INCOME (LOSS) | 9,627,206 | |
| NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (2,534,948) | |
Net change in unrealized appreciation (depreciation) on investments | (5,967,059) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (8,502,007) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 1,125,199 | |
See Notes to Financial Statements
Page 19
First Trust Senior Floating Rate Income
Fund II (FCT)
Statements of Changes in
Net Assets
| Six Months Ended 11/30/2018 (Unaudited) | Year Ended 5/31/2018 | ||
| OPERATIONS: | |||
Net investment income (loss) | $ 9,627,206 | $ 18,615,034 | |
Net realized gain (loss) | (2,534,948) | (4,502,205) | |
Net change in unrealized appreciation (depreciation) | (5,967,059) | (52,148) | |
Net increase (decrease) in net assets resulting from operations | 1,125,199 | 14,060,681 | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (9,610,913) | ||
Net investment income | (18,612,204) | ||
Return of capital | — | (1,730,896) | |
Total distributions to shareholders | (9,610,913) | (20,343,100) | |
Total increase (decrease) in net assets | (8,485,714) | (6,282,419) | |
| NET ASSETS: | |||
Beginning of period | 375,015,306 | 381,297,725 | |
End of period | $ 366,529,592 | $ 375,015,306 | |
Accumulated net investment income (loss) at end of period | $92,009 | ||
| COMMON SHARES: | |||
Common Shares at end of period | 26,696,982 | 26,696,982 |
Page 20
See Notes to Financial Statements
First Trust Senior Floating Rate Income
Fund II (FCT)
Statement of Cash Flows
For the Six Months Ended
November 30, 2018 (Unaudited)
| Cash flows from operating activities: | ||
Net increase (decrease) in net assets resulting from operations | $1,125,199 | |
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||
Purchases of investments | (283,668,355) | |
Sales, maturities and paydown of investments | 282,991,774 | |
Net amortization/accretion of premiums/discounts on investments | 9,883 | |
Net realized gain/loss on investments | 2,534,948 | |
Net change in unrealized appreciation/depreciation on investments | 5,967,059 | |
| Changes in assets and liabilities: | ||
Increase in interest receivable | (220,345) | |
Increase in prepaid expenses | (4,645) | |
Decrease in interest and fees payable on loans | (11,078) | |
Decrease in investment advisory fees payable | (14,126) | |
Decrease in audit and tax fees payable | (25,068) | |
Increase in legal fees payable | 14,016 | |
Decrease in shareholder reporting fees payable | (15,524) | |
Increase in administrative fees payable | 11,119 | |
Increase in custodian fees payable | 4,994 | |
Increase in transfer agent fees payable | 1,254 | |
Increase in Trustees’ fees and expenses payable | 93 | |
Increase in financial reporting fees payable | 1 | |
Increase in other liabilities payable | 9,663 | |
Cash provided by operating activities | $8,710,862 | |
| Cash flows from financing activities: | ||
Distributions to Common Shareholders from investment operations | (9,610,913) | |
Repayment of borrowings | (60,000,000) | |
Proceeds from borrowings | 61,000,000 | |
Cash used in financing activities | (8,610,913) | |
Increase in cash | 99,949 | |
Cash at beginning of period | 427,171 | |
Cash at end of period | $527,120 | |
| Supplemental disclosure of cash flow information: | ||
Cash paid during the period for interest and fees | $2,212,782 |
See Notes to Financial Statements
Page 21
First Trust Senior Floating Rate Income
Fund II (FCT)
Financial Highlights
For a Common Share
outstanding throughout each period
| Six Months Ended 11/30/2018 (Unaudited) | Year Ended May 31, | ||||||||||
| 2018 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $ 14.05 | $ 14.28 | $ 14.03 | $ 14.71 | $ 14.95 | $ 15.14 | |||||
| Income from investment operations: | |||||||||||
Net investment income (loss) | 0.36 | 0.70 | 0.78 | 0.83 | 0.87 | 0.84 | |||||
Net realized and unrealized gain (loss) | (0.32) | (0.17) | 0.30 | (0.63) | (0.27) | (0.08) | |||||
Total from investment operations | 0.04 | 0.53 | 1.08 | 0.20 | 0.60 | 0.76 | |||||
| Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.36) | (0.70) | (0.78) | (0.88) | (0.84) | (0.95) | |||||
Return of capital | — | (0.06) | (0.05) | — | — | — | |||||
Total distributions paid to Common Shareholders | (0.36) | (0.76) | |||||||||