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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6

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23

29
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)
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

Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
“AT A GLANCE”
As of November 30, 2018 (Unaudited)
Fund Statistics  
Symbol on New York Stock Exchange FCT
Common Share Price $11.85
Common Share Net Asset Value (“NAV”) $13.73
Premium (Discount) to NAV (13.69)%
Net Assets Applicable to Common Shares $366,529,592
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) 6.08%
Current Distribution Rate on NAV(2) 5.24%
Common Share Price & NAV (weekly closing price)
  
 
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

Table of Contents
First Trust Senior Floating Rate Income Fund II (FCT)
“AT A GLANCE” (Continued)
As of November 30, 2018 (Unaudited)
Credit Quality (S&P Ratings)(4) % of Senior
Loans and Other
Debt Securities(5)
BBB+ 0.1%
BBB- 6.7
BB+ 5.6
BB 9.3
BB- 16.0
B+ 24.7
B 23.5
B- 11.4
CCC+ 0.4
CCC 1.7
D 0.4
Not Rated 0.0*
Privately rated(6) 0.2
Total 100.0%
    
Top 10 Issuers % of Senior
Loans and other
Securities(5)
Bausch Health Companies, Inc. (Valeant) 4.0%
Portillo’s Holdings, LLC 3.0
Multiplan, Inc. (MPH) 2.9
Stars Group Holdings B.V. (Amaya) 2.6
Reynolds Group Holdings, Inc. 2.5
Dell International, LLC 2.4
AlixPartners, LLP 2.4
Caesars Resort Collection, LLC 2.2
Asurion, LLC (fka Asurion Corporation) 2.1
DJO Finance, LLC (ReAble Therapeutics Finance, LLC) 2.0
Total 26.1%
Industry Classification % of Senior
Loans and Other
Securities(5)
Health Care Providers & Services 14.5%
Hotels, Restaurants & Leisure 13.8
Software 10.6
Pharmaceuticals 8.4
Diversified Financial Services 6.1
Life Sciences Tools & Services 5.4
Media 3.6
Insurance 3.2
Containers & Packaging 2.9
Food & Staples Retailing 2.5
Technology Hardware, Storage & Peripherals 2.4
Health Care Equipment & Supplies 2.1
Diversified Consumer Services 2.1
Professional Services 2.0
Auto Components 2.0
Commercial Services & Supplies 1.7
Building Products 1.7
Food Products 1.6
Capital Markets 1.5
Diversified Telecommunication Services 1.4
Chemicals 1.4
Electric Utilities 1.1
Industrial Conglomerates 1.1
Health Care Technology 1.0
Aerospace & Defense 0.9
Household Products 0.7
Entertainment 0.7
Household Durables 0.7
Oil, Gas & Consumable Fuels 0.6
Specialty Retail 0.6
Independent Power and Renewable Electricity Producers 0.4
Semiconductors & Semiconductor Equipment 0.3
Construction Materials 0.3
Construction & Engineering 0.3
Machinery 0.3
Trading Companies & Distributors 0.1
Personal Products 0.0*
Energy Equipment & Services 0.0*
Total 100.0%
    
* Amount is less than 0.1%.
 
(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)
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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

Table of Contents
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)