UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust Senior Floating Rate Income Fund II
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2015
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 139.6%
AEROSPACE & DEFENSE - 1.9%
$ 1,889,148 DynCorp International, Inc., Term Loan ........................ 6.25% 07/07/16 $ 1,841,919
299,250 Science Applications International Corp. (SAIC), Tranche B
Incremental Loan ........................................... 3.75% 04/21/22 299,100
2,871,401 Transdigm, Inc., Term Loan C .................................. 3.75% 02/28/20 2,840,131
792,000 Transdigm, Inc., Tranche D Term Loan .......................... 3.75% 06/04/21 783,090
1,485,455 Wencor Group LLC (Jazz Acquisition, Inc.), Term Loan (First
Lien) ...................................................... 4.50% 06/19/21 1,465,966
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7,230,206
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AGRICULTURAL PRODUCTS - 1.0%
3,851,619 Jimmy Sanders, Inc. (Pinnacle Operating Corp.), Term B Loan
Refinancing (First Lien) ................................... 4.75% 11/15/18 3,798,659
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ALTERNATIVE CARRIERS - 0.8%
1,000,000 Level 3 Financing, Inc., Tranche B 2020 Term Loan ............. 4.00% 01/15/20 999,060
2,250,000 Level 3 Financing, Inc., Tranche B-II 2022 Term Loan .......... 3.50% 05/31/22 2,227,500
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3,226,560
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APPAREL RETAIL - 0.8%
990,000 J.C. Penney Corp., Inc., Term Loan ............................ 5.00% 06/20/19 985,793
2,225,640 Neiman Marcus Group, Inc., Other Term Loan .................... 4.25% 10/25/20 2,199,600
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3,185,393
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APPLICATION SOFTWARE - 3.1%
3,000,000 Epicor Software Corp., Term B Loan ............................ 4.75% 06/01/22 2,988,210
3,369,764 Infor (US), Inc., Tranche B-5 Term Loan ....................... 3.75% 06/03/20 3,269,885
2,743,590 Informatica Corp. (Italic Merger Sub., Inc.), Dollar Term
Loan ....................................................... 4.50% 08/05/22 2,724,165
1,626,819 Mitchell International, Inc., Initial Term Loan ............... 4.50% 10/13/20 1,619,498
1,373,757 Triple Point Technologies, Inc., Term Loan B .................. 5.25% 07/10/20 1,219,209
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11,820,967
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ASSET MANAGEMENT & CUSTODY BANKS - 2.4%
800,000 American Beacon Advisors, Inc., Term Loan B ................... 5.50% 03/15/22 804,000
1,326,375 Guggenheim Partners Investment Management Holdings LLC, Initial
Term Loan ..................................................... 4.25% 07/22/20 1,329,134
1,500,000 Hamilton Lane Advisors LLC, Initial Term Loan ................. 4.25% 07/08/22 1,498,125
929,816 Mondrian Investment Partners Ltd. (MIPL Group Ltd.), Term
Loan ....................................................... 4.00% 03/05/20 928,077
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
ASSET MANAGEMENT & CUSTODY BANKS (CONTINUED)
$ 4,812,500 Victory Capital Holdings (VCH Holdings LLC), Initial Term
Loan ....................................................... 7.00% 10/29/21 $ 4,794,453
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9,353,789
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AUTO PARTS & EQUIPMENT - 2.1%
704,059 Affinia Group, Inc., Tranche B-2 Term Loan .................... 4.75% 04/27/20 703,622
891,000 Cooper Standard Holdings (CS Intermediate Holdco 2 LLC), Term
Loan ....................................................... 4.00% 04/04/21 886,768
880,611 Gates Global LLC, Initial Dollar Term Loan .................... 4.25% 07/06/21 842,084
2,673,000 Henniges Automotive Holdings, Inc., Term Loan B ............... 5.50% 06/03/21 2,666,318
1,706,250 Remy International, Inc., Term B Loan 2013 .................... 4.25% 03/05/20 1,701,984
1,449,620 Tower Automotive Holdings USA LLC, Initial Term Loan (2014).... 4.00% 04/23/20 1,439,356
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8,240,132
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BROADCASTING - 4.5%
4,986,742 Clear Channel Communications, Inc., Tranche D Term Loan ....... 6.95% 01/30/19 4,394,566
1,750,000 Clear Channel Communications, Inc., Tranche E Term Loan ....... 7.70% 07/30/19 1,558,235
2,798,370 Cumulus Media Holdings, Inc., Term Loan ....................... 4.25% 12/23/20 2,567,504
2,025,397 Media General, Inc., Term Loan B .............................. 4.00% 07/31/20 2,022,237
1,057,684 Mission Broadcasting, Inc. (Nexstar Broadcasting Group, Inc.),
Term B-2 Loan .............................................. 3.75% 10/01/20 1,050,630
1,199,431 Nexstar Broadcasting Group, Inc. (Mission Broadcasting, Inc.),
Term Loan B-2 .............................................. 3.75% 09/30/20 1,191,431
755,293 Tribune Co., Term B Loan ...................................... 3.75% 12/28/20 751,282
977,219 Univision Communications, Inc., 2013 Incremental Term Loan .... 4.00% 03/01/20 969,714
2,796,420 Univision Communications, Inc., Replacement First-Lien Term
Loan ....................................................... 4.00% 03/01/20 2,774,580
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17,280,179
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BUILDING PRODUCTS - 1.0%
424,286 Hillman Group, Inc., Initial Term Loan ........................ 4.50% 06/30/21 421,634
1,310,160 Quikrete Holdings, Inc., Initial Loan (First Lien) ............ 4.00% 09/28/20 1,301,971
294,737 Quikrete Holdings, Inc., Initial Loan (Second Lien) ........... 7.00% 03/26/21 294,737
1,819,542 Unifrax Holding Co., New Term Dollar Loan ..................... 4.25% 11/28/18 1,808,734
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3,827,076
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CABLE & SATELLITE - 1.8%
2,663,043 Charter Communications Operating LLC, Bridge Loan -
Unsecured (d) (e) .......................................... 5.63% 05/21/16 2,646,399
3,271,739 Charter Communications Operating LLC, Bridge Loan -
Unsecured 1yr (d) (e) ...................................... 13.75% 05/21/16 3,251,291
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
CABLE & SATELLITE (CONTINUED)
$ 992,500 Mediacom LLC, Tranche G Term Loan ............................. 3.50% 06/30/21 $ 987,538
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6,885,228
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CASINOS & GAMING - 6.6%
721,875 Amaya Holdings B.V., 2nd Lien TL .............................. 8.00% 07/31/22 722,178
10,803,360 Amaya Holdings B.V., Initial Term B Loan (First Lien) ......... 5.00% 08/01/21 10,688,629
8,058,235 Caesars Growth Partners LLC, Term B Loan (First Lien) ......... 6.25% 05/08/21 6,983,831
2,883,477 CityCenter Holdings LLC, Term B Loan .......................... 4.25% 10/16/20 2,876,268
1,749,005 ROC Finance LLC, Funded Term B Loan ........................... 5.00% 06/20/19 1,664,475
2,420,321 Station Casinos, Inc., B Term Loan ............................ 4.25% 03/02/20 2,414,270
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25,349,651
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COAL & CONSUMABLE FUELS - 0.4%
2,681,599 Arch Coal, Inc., Term Loan .................................... 6.25% 05/16/18 1,430,177
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COMMERCIAL PRINTING - 0.3%
1,233,333 Southern Graphic, Inc., Term Loan ............................. 4.25% 10/17/19 1,218,694
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COMPUTER HARDWARE - 2.7%
10,440,655 Dell, Inc., Term B-2 Loan ..................................... 4.00% 04/29/20 10,378,324
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CONSTRUCTION MACHINERY & HEAVY TRUCKS - 0.5%
2,000,000 Navistar, Inc., Term Loan B ................................... 6.50% 08/06/20 1,977,500
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CONSTRUCTION MATERIALS - 0.2%
650,000 Summit Materials, Inc., Restatement Effective Date Term
Loans ...................................................... 4.25% 07/15/22 646,139
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CONSUMER FINANCE - 1.4%
2,547,846 Altisource Solutions S.A.R.L., Term B Loan .................... 4.50% 12/09/20 2,246,359
3,180,323 Walter Investment Management Corp., Tranche B Term Loan ....... 4.75% 12/18/20 2,998,791
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5,245,150
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DATA PROCESSING & OUTSOURCED SERVICES - 1.9%
2,870,903 Harland Clarke Holdings Corp., Tranche B-2 Term Loan .......... 5.53% 06/30/17 2,863,008
3,712,500 Interactive Data Corp., Term Loan ............................. 4.75% 05/02/21 3,707,080
882,683 Sungard Availability Services Capital, Inc., Term Loan B ...... 6.00% 03/29/19 780,548
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7,350,636
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DISTILLERS & VINTNERS - 0.3%
990,000 Winebow Holdings, Inc., Loan (First Lien) ..................... 4.75% 07/01/21 980,724
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DIVERSIFIED CHEMICALS - 0.4%
1,188,011 Gemini HDPE LLC, Advance ...................................... 4.75% 08/06/21 1,186,027
400,000 Ineos US Finance LLC, 2022 Dollar Term Loan ................... 4.25% 03/31/22 398,752
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1,584,779
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See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
DIVERSIFIED SUPPORT SERVICES - 0.5%
$ 1,988,435 SMG Holdings, Inc., Term Loan B ............................... 4.50% 02/27/20 $ 1,976,008
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EDUCATION SERVICES - 0.1%
249,375 Bright Horizons Family Solutions, Inc., Term B-1 Loan ......... 4.50% 01/30/20 249,375
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ELECTRIC UTILITIES - 0.8%
4,241,410 TXU (Texas Competitive Electric Holdings Co. LLC), 2014 Term
Loan (Non-Extending) ....................................... 4.67% 10/10/14 1,869,232
2,250,000 TXU (Texas Competitive Electric Holdings Co. LLC), 2017 Term
Loan (Extending) (f) (g) ................................... 4.67% 10/10/17 1,015,065
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2,884,297
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ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.7%
500,000 Linxens LLC, Term Loan B ...................................... 5.00% 07/31/22 497,500
2,022,955 Zebra Technologies Corp., Term Loan B ......................... 4.75% 10/27/21 2,032,503
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2,530,003
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ENVIRONMENTAL & FACILITIES SERVICES - 1.0%
497,500 PSSI (Packers Holdings LLC), Term B Loan ...................... 5.00% 12/02/21 496,256
1,689,744 ServiceMaster Co., Initial Term Loan .......................... 4.25% 07/01/21 1,680,095
1,576,000 WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan
(First Lien) ............................................... 4.75% 01/15/21 1,564,180
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3,740,531
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FOOD RETAIL - 3.1%
11,945,200 Albertsons LLC, Term B-4 Loan ................................. 5.50% 08/25/21 11,942,214
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HEALTH CARE EQUIPMENT - 2.8%
1,461,538 Alere, Inc., Term B Loan ...................................... 4.25% 06/15/22 1,460,530
3,300,000 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan .................................................. 4.25% 06/08/20 3,280,200
6,047,552 Kinetic Concepts, Inc., Dollar Term E-1 Loan .................. 4.50% 05/04/18 6,033,703
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10,774,433
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HEALTH CARE FACILITIES - 2.7%
5,133,333 21st Century Oncology, Inc., Tranche B Term Loan .............. 6.50% 04/30/22 4,908,750
1,097,931 Acadia Healthcare Co., Inc., Tranche B Term Loan .............. 4.25% 02/11/22 1,104,321
2,407,656 CHS/Community Health Systems, Inc., Incremental 2021 Term H
Loan ....................................................... 4.00% 01/27/21 2,412,038
1,375,000 Concentra, Inc. (MJ Acquisition Corp.), Term Loan B ........... 4.00% 05/15/22 1,370,421
397,990 Kindred Healthcare, Inc., New Term Loan ....................... 4.25% 04/09/21 397,246
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10,192,776
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See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE SERVICES - 8.5%
$ 3,500,000 Air Medical Group Holdings, Inc., Initial Term Loan ........... 4.50% 04/28/22 $ 3,434,375
4,047,644 CareCore National LLC, Term Loan .............................. 5.50% 03/05/21 3,946,453
398,962 CHG Healthcare Services, Inc, Term Loan (First Lien) .......... 4.25% 11/19/19 396,967
3,241,875 Curo Health Services Holdings, Inc., Term B Loan (First
Lien) ...................................................... 6.50% 02/07/22 3,245,927
4,155,564 Envision Healthcare Corp. (Emergency Medical Services Corp.),
Initial Term Loan .......................................... 4.00% 05/25/18 4,149,331
4,718,106 Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First
Lien) ...................................................... 5.25% 07/01/21 4,698,432
1,901,497 Heartland Dental Care LLC, Incremental Term Loan .............. 5.50% 12/21/18 1,898,322
333,333 National Veterinary Associates (NVA Holdings, Inc.), Delayed
Draw Term Loan ............................................. 4.75% 08/14/21 332,917
1,736,515 National Veterinary Associates (NVA Holdings, Inc.), Term Loan
(First Lien) ................................................ 4.75% 08/14/21 1,734,344
666,667 National Veterinary Associates (NVA Holdings, Inc.), Term
Loan B ..................................................... 4.75% 08/14/21 665,833
1,497,500 Surgery Centers Holdings, Inc., Initial Term Loan (First
Lien) ...................................................... 5.25% 11/03/20 1,495,628
997,500 Surgical Care Affiliates LLC, Initial Term Loan ............... 4.25% 03/17/22 993,759
5,726,162 U.S. Renal Care, Inc., Tranche B-2 Term Loan (First lien) ..... 4.25% 07/03/19 5,707,094
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32,699,382
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HEALTH CARE SUPPLIES - 1.2%
1,978,704 BSN Medical Luxembourg Holding S.A.R.L., New Term Loan B1 ..... 4.00% 06/08/19 1,967,583
459,459 ConvaTec, Inc., TLB ........................................... 4.25% 06/30/20 457,544
2,252,561 Sage Products Holdings III LLC, Term Loan B ................... 4.25% 12/13/19 2,248,349
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4,673,476
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HEALTH CARE TECHNOLOGY - 2.2%
2,432,962 Connolly Holdings, Inc., Term Loan B .......................... 4.50% 05/14/21 2,426,880
748,750 Healthport Technologies LLC (CT Technologies Intermediate
Holdings, Inc.), Initial Term Loan ......................... 5.25% 12/01/21 747,814
575,097 MedAssets, Inc., Term B Loan .................................. 4.00% 12/13/19 571,502
4,905,123 Truven Health Analytics, Inc. (VCPH Holding Corp.), Term
Loan B ..................................................... 4.50% 05/31/19 4,862,203
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8,608,399
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HOMEFURNISHING RETAIL - 0.6%
2,125,511 Serta Simmons Holdings LLC, Term Loan B ....................... 4.25% 10/01/19 2,125,129
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See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HOTELS, RESORTS & CRUISE LINES - 1.3%
$ 2,181,084 Extended Stay America (ESH Hospitality, Inc.), Term Loan ...... 5.00% 06/24/19 $ 2,196,090
667,208 La Quinta Intermediate Holdings LLC, Initial Term Loan ........ 3.75% 04/14/21 665,260
1,990,000 Norwegian Cruise Lines (NCL Corp.), Term B Loan ............... 4.00% 11/19/21 1,989,164
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4,850,514
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HOUSEHOLD PRODUCTS - 0.2%
931,034 Spectrum Brands, Inc., USD Term Loan .......................... 3.75% 06/23/22 930,001
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HYPERMARKETS & SUPER CENTERS - 3.1%
2,500,000 BJ's Wholesale Club, Inc., 2013 (November) Replacement Loan
(Second Lien) .............................................. 8.50% 03/26/20 2,475,000
9,483,305 BJ's Wholesale Club, Inc., New 2013 (November) Replacement
Loan (First Lien) .......................................... 4.50% 09/26/19 9,440,346
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11,915,346
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INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.6%
1,361,500 Calpine Corp., Term Loan ...................................... 4.00% 10/09/19 1,358,832
2,000,000 Calpine Corp., Term Loan ...................................... 3.50% 05/27/22 1,971,880
2,536,017 FREIF North American Power I LLC, Term Loan B ................. 4.75% 03/31/22 2,536,017
452,715 FREIF North American Power I LLC, Term Loan C ................. 4.75% 03/31/22 452,715
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6,319,444
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INDUSTRIAL MACHINERY - 1.5%
1,194,000 Douglas Dynamics LLC, Term Loan B ............................. 5.25% 12/02/21 1,194,000
589,208 Filtration Group Corp., Initial Term Loan (Second Lien) ....... 8.25% 11/22/21 587,482
4,032,002 Filtration Group Corp., Term Loan (First Lien) ................ 4.25% 11/23/20 4,021,921
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5,803,403
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INSURANCE BROKERS - 5.1%
3,291,338 Amwins Group LLC, TLB ......................................... 5.25% 09/06/19 3,303,680
3,913,465 Confie Seguros Holding II Co., Term B Loan (First Lien) ....... 5.75% 11/09/18 3,908,573
2,058,000 Cooper Gay Swett & Crawford Ltd., Term Loan (First Lien)....... 5.00% 04/16/20 1,872,780
2,560,588 HUB International Ltd., Initial Term Loan (New) ............... 4.00% 10/02/20 2,529,656
400,000 Hyperion Finance S.A.R.L., Initial Term Loan .................. 5.50% 04/29/22 401,000
2,651,424 National Financial Partners Corp., 2014 Specified Refinancing
Term Loan .................................................. 4.50% 07/01/20 2,621,595
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
INSURANCE BROKERS (CONTINUED)
$ 4,826,900 USI, Inc. (Compass Investors, Inc.), Initial Term Loan ........ 4.25% 12/27/19 $ 4,792,725
-------------
19,430,009
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 3.3%
2,947,500 Cincinnati Bell, Inc., Tranche B Term Loan .................... 4.00% 09/10/20 2,934,619
1,945,344 Hawaiian Telcom Communications, Inc., Term Loan ............... 5.00% 06/06/19 1,947,290
4,087,124 Numericable U.S. LLC, Dollar Denominated Tranche B-1 Loan ..... 4.50% 05/21/20 4,082,751
3,535,919 Numericable U.S. LLC, Dollar Denominated Tranche B-2 Loan ..... 4.50% 05/21/20 3,532,136
-------------
12,496,796
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IT CONSULTING & OTHER SERVICES - 0.3%
1,307,096 Sirius Computer Solutions, Inc. (SCS Holdings I, Inc.), Term
Loan B ..................................................... 6.25% 12/07/18 1,308,664
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LEISURE FACILITIES - 2.3%
5,563,303 ClubCorp Club Operations, Inc., Term B Loan ................... 4.25% 07/24/20 5,554,012
1,307,692 Life Time Fitness, Inc., Closing Date Term Loan ............... 4.25% 06/10/22 1,296,655
1,975,012 Planet Fitness Holdings LLC, Term Loan ........................ 4.75% 03/31/21 1,972,543
-------------
8,823,210
-------------
LIFE SCIENCES TOOLS & SERVICES - 7.1%
5,381,469 Immucor, Inc., Term B-2 Loan .................................. 5.00% 08/19/18 5,359,621
529,164 InVentiv Health, Inc., Term B-3 Loan .......................... 7.75% 05/15/18 527,344
7,626,842 InVentiv Health, Inc., Term B-4 Loan .......................... 7.75% 05/15/18 7,633,172
1,584,000 Millennium Laboratories LLC, Tranche B Term Loan .............. 5.25% 04/16/21 773,515
7,604,962 Ortho-Clinical Diagnostics, Inc., Initial Term Loan ........... 4.75% 06/30/21 7,484,119
3,250,000 Pharmaceutical Product Development, Inc., Initial Term Loan ... 4.25% 08/18/22 3,228,062
2,200,000 Sterigenics International (STHI Intermediate Holding Corp.),
Initial Term Loan .......................................... 4.25% 05/16/22 2,182,136
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27,187,969
-------------
MANAGED HEALTH CARE - 0.3%
1,220,455 MultiPlan, Inc. (MPH Acquisition Holdings LLC), Initial Term
Loan ....................................................... 3.75% 03/31/21 1,204,247
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METAL & GLASS CONTAINERS - 1.0%
481,720 Anchor Glass Container Corp., Term B Loan ..................... 4.50% 06/30/22 481,870
395,000 Ardagh Holdings USA, Inc. (Ardagh Packaging Finance S.A.), New
Term Loan .................................................. 4.00% 12/17/19 393,025
2,137,692 Berlin Packaging LLC, Initial Term Loan (First Lien) .......... 4.50% 10/01/21 2,136,367
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
METAL & GLASS CONTAINERS (CONTINUED)
$ 708,750 PODS, Inc. (APLPD Bidco LLC), Term Loan B ..................... 4.50% 02/02/22 $ 708,750
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3,720,012
-------------
MOVIES & ENTERTAINMENT - 3.4%
1,194,000 Creative Artists Agency LLC (CAA Holdings LLC), Initial Term
Loan ....................................................... 5.50% 12/17/21 1,201,462
9,932,949 Formula One (Delta 2 Lux S.A.R.L.), Facility B3 (USD) ......... 4.75% 07/30/21 9,844,645
1,973,500 WME IMG Worldwide, Inc., Term Loan (First Lien) ............... 5.25% 05/06/21 1,963,633
-------------
13,009,740
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.3%
1,000,000 American Energy Marcellus Holdings LLC, Initial Loan (First
Lien) ...................................................... 5.25% 08/04/20 586,250
1,888,889 American Energy Marcellus Holdings LLC, Initial Loan (Second
Lien) ...................................................... 8.50% 08/04/21 491,111
-------------
1,077,361
-------------
OIL & GAS STORAGE & TRANSPORTATION - 0.1%
1,000,000 Fieldwood Energy LLC, Closing Date Loan (Second Lien) ......... 8.38% 09/30/20 377,500
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 1.9%
4,683,538 First Data Corp., 2021 New Dollar Term Loan ................... 4.20% 03/24/21 4,670,986
2,780,000 iPayment, Inc., Term Loan ..................................... 6.75% 05/08/17 2,716,282
-------------
7,387,268
-------------
PACKAGED FOODS & MEATS - 6.0%
2,939,445 Boulder Brands, Inc. (GFA Brands, Inc.), Term Loan B (July
2014) ...................................................... 4.50% 07/09/20 2,878,834
1,631,629 Del Monte Foods, Inc., Initial Loan (First Lien) .............. 4.25%-5.50% 02/18/21 1,566,364
4,053,723 Ferrara Candy Co. (Candy Intermediate Holdings, Inc.), Initial
Term Loan .................................................. 7.50% 06/18/18 4,038,521
1,856,250 Hearthside Food Solutions LLC, Term Loan ...................... 4.50% 06/02/21 1,844,649
9,523,810 New HB Acquisition LLC, Term B Loan (First Lien) .............. 4.50% 08/03/22 9,520,857
3,348,315 New HB Acquisition LLC, Term B Loan (Second Lien) ............. 8.50% 08/03/23 3,352,500
-------------
23,201,725
-------------
PAPER PACKAGING - 1.2%
596,555 Exopack Holding Corp., Term Loan B ............................ 4.50% 04/30/19 594,813
3,898,686 Reynolds Group Holdings, Inc., Incremental U.S. Term Loan ..... 4.50% 12/01/18 3,895,294
-------------
4,490,107
-------------
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
PHARMACEUTICALS - 6.8%
$ 2,097,784 Akorn, Inc., Loan ............................................. 5.50% 04/16/21 $ 2,094,512
750,000 AMAG Pharmaceuticals, Inc., Initial Term Loan ................. 4.75% 08/17/21 748,125
2,976,625 Amneal Pharmaceuticals LLC, Second Incremental Term Loan
Retired 07/17/2015 ......................................... 4.50%-5.75% 11/01/19 2,972,130
2,315,834 Catalent Pharma Solutions, Inc., Dollar Term Loan ............. 4.25% 05/20/21 2,314,260
1,500,000 Concordia Healthcare Corp., Initial Term Loan ................. 4.75% 04/21/22 1,500,945
2,400,000 Endo Pharmaceuticals Holdings, Inc., Term Loan B .............. 3.75% 06/24/22 2,399,568
1,040,000 Horizon Pharma, Inc., Term Loan B ............................. 4.50% 04/30/21 1,038,700
5,185,691 Par Pharmaceutical Cos., Inc., Term B-2 Loan .................. 4.00% 09/30/19 5,176,616
1,990,000 Par Pharmaceutical Cos., Inc., Term B-3 Loan .................. 4.25% 09/30/19 1,984,030
1,386,000 Patheon, Inc. (JLL/Delta Dutch Newco B.V.), Initial Dollar
Term Loan .................................................. 4.25% 03/11/21 1,368,897
511,676 Valeant Pharmaceuticals International, Inc., Series C-2
Tranche B Term Loan ........................................ 3.75% 12/11/19 509,757
2,942,625 Valeant Pharmaceuticals International, Inc., Series F-1
Tranche B Term Loan ........................................ 4.00% 04/01/22 2,941,624
1,040,921 Valeant Pharmaceuticals International, Inc., Term Loan BD ..... 3.50% 02/13/19 1,037,121
-------------
26,086,285
-------------
PROPERTY & CASUALTY INSURANCE - 1.1%
194,886 Cunningham Lindsey U.S., Inc., Initial Loan (Second Lien) ..... 9.25% 06/10/20 175,398
2,831,725 Cunningham Lindsey U.S., Inc., Initial Term Loan (First
Lien) ...................................................... 5.00% 12/10/19 2,736,154
1,200,000 Sedgwick Claims Management Services, Inc., Initial Loan
(Second Lien) .............................................. 6.75% 02/28/22 1,171,128
-------------
4,082,680
-------------
PUBLISHING - 1.0%
2,020,165 Cengage Learning Acquisitions, Inc., Term Loan ................ 7.00% 03/15/20 2,015,437
1,975,000 Mergermarket USA, Inc., 2014 Incremental Term Loan ............ 4.50% 02/04/21 1,935,500
-------------
3,950,937
-------------
REAL ESTATE SERVICES - 2.8%
10,800,000 DTZ Worldwide LTD., Term Loan B ............................... 4.25% 11/04/21 10,683,036
-------------
RESEARCH & CONSULTING SERVICES - 3.7%
3,096,639 Acosta, Inc., Term Loan B ..................................... 4.25% 09/26/21 3,059,882
5,873,954 Advantage Sales & Marketing, Inc., Initial Term Loan (First
Lien) ...................................................... 4.25% 07/23/21 5,802,762
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
RESEARCH & CONSULTING SERVICES (CONTINUED)
$ 1,801,485 Information Resources, Inc., Term Loan ........................ 4.75% 09/30/20 $ 1,801,485
3,629,063 TransUnion LLC, 2015 Term B-2 Loan ............................ 3.75% 04/09/21 3,598,433
-------------
14,262,562
-------------
RESTAURANTS - 5.0%
1,437,511 Burger King Corp., Term B-2 Loan .............................. 3.75% 12/10/21 1,435,355
3,979,394 Focus Brands, Inc., Refinancing Term Loan (First Lien) ........ 4.25% 02/21/18 3,974,419
1,450,000 Focus Brands, Inc., Term Loan (Second Lien) ................... 10.25% 08/21/18 1,453,625
4,250,000 Portillo's Holdings LLC, Second Lien Term Loan ................ 8.00% 08/15/22 4,218,125
7,047,336 Portillo's Holdings LLC, Term B Loan (First Lien) ............. 4.75% 08/02/21 7,012,100
1,276,071 Red Lobster Management LLC, Initial Term Loan (First Lien) .... 6.25% 07/28/21 1,282,452
-------------
19,376,076
-------------
RETAIL REITS - 0.9%
1,050,000 Capital Automotive LLC, Term Loan (Second Lien) ............... 6.00% 04/30/20 1,052,625
2,506,144 Capital Automotive LLC, Tranche B-1 Term Loan Facility ........ 4.00% 04/10/19 2,507,197
-------------
3,559,822
-------------
SECURITY & ALARM SERVICES - 0.2%
180,125 Garda World Security Corp., Term B Delayed Draw Loan .......... 4.00% 11/06/20 177,123
704,125 Garda World Security Corp., Term Loan B ....................... 4.00% 10/18/20 692,387
-------------
869,510
-------------
SEMICONDUCTORS - 2.4%
2,583,050 Avago Technologies Cayman Ltd., Term Loan ..................... 3.75% 05/06/21 2,579,822
5,279,108 Freescale Semiconductor, Inc., Tranche B-4 Term Loan .......... 4.25% 02/28/20 5,270,872
1,473,750 Freescale Semiconductor, Inc., Tranche B5 Term Loan ........... 5.00% 01/15/21 1,474,678
-------------
9,325,372
-------------
SPECIALIZED CONSUMER SERVICES - 2.8%
4,422,391 Asurion LLC, Incremental Tranche B-1 Term Loan ................ 5.00% 05/24/19 4,387,012
4,721,687 Asurion LLC, Incremental Tranche B-4 Term Loan ................ 5.00% 08/04/22 4,668,568
1,058,824 Asurion LLC, Term Loan (Second Lien) .......................... 8.50% 03/03/21 1,035,879
660,321 Expert Global Solutions, Inc. (NCO Group, Inc.), Term B
Advance (First Lien) ....................................... 8.50% 04/03/18 656,194
-------------
10,747,653
-------------
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SPECIALIZED FINANCE - 0.9%
$ 1,300,000 AlixPartners LLP, Initial Term Loan ........................... 4.50% 07/15/22 $ 1,298,700
2,281,341 Duff & Phelps Corp., Initial Term Loan ........................ 4.75% 04/23/20 2,269,934
-------------
3,568,634
-------------
SPECIALIZED REITS - 0.4%
1,750,000 Communication Sales & Leasing, Inc., Term Loan ................ 5.00% 10/24/22 1,670,707
-------------
SPECIALTY CHEMICALS - 2.2%
671,943 A.I. Chem (Allnex (Luxembourg) & Cy S.C.A.), Tranche B-1 Term
Loan ....................................................... 4.50% 10/03/19 671,104
350,026 A.I. Chem (Allnex (Luxembourg) & Cy S.C.A.), Tranche B-2 Term
Loan ....................................................... 4.50% 10/03/19 349,588
992,500 Emerald Performance Materials LLC, Initial Term Loan (First
Lien) ...................................................... 4.50% 07/30/21 988,361
1,813,449 NuSil Technology LLC, Term Loan ............................... 5.25% 04/07/17 1,800,991
987,047 Omnova Solutions, Inc., Term B-1 Loan ......................... 4.25% 05/31/18 983,967
1,587,123 Platform Specialty Products Corp. (fka: Macdermid, Inc.),
Tranche B-2 Term Loan ...................................... 4.75% 06/07/20 1,586,632
1,528,385 Polymer Group, Inc., Initial Loan ............................. 5.25% 12/19/19 1,528,385
533,333 Trinseo Materials Operating S.C.A., Term Loan B ............... 4.25% 10/13/21 531,733
-------------
8,440,761
-------------
SPECIALTY STORES - 3.7%
1,000,000 Party City Holdings, Inc., Term Loan .......................... 4.25% 08/06/22 998,130
8,731,615 PetSmart, Inc., Tranche B-1 Loan .............................. 4.25% 03/11/22 8,713,454
1,116,071 Toys "R" US-Delaware, Inc., Canadian FILO TL .................. 8.25% 10/24/19 1,111,417
1,383,929 Toys "R" US-Delaware, Inc., FILO Term Loan .................... 8.25% 10/24/19 1,378,158
138,291 Toys "R" US-Delaware, Inc., Term B-2 Loan ..................... 5.25% 05/25/18 105,793
2,032,299 Toys "R" US-Delaware, Inc., Term B4 Loan ...................... 9.75% 04/25/20 1,777,001
-------------
14,083,953
-------------
SYSTEMS SOFTWARE - 5.5%
554,325 Applied Systems, Inc., Initial Term Loan (First Lien) ......... 4.25% 01/25/21 552,663
539,155 Applied Systems, Inc., Initial Term Loan (Second Lien) ........ 7.50% 01/24/22 535,651
1,500,000 Blue Coat Systems, Inc., Initial Term Loan .................... 4.50% 05/20/22 1,488,750
12,489,255 BMC Software Finance, Inc., Initial US Term Loan .............. 5.00% 09/10/20 11,463,387
1,950,000 Compuware Corp., Term Loan B .................................. 6.25% 12/31/19 1,891,500
887,113 SS&C Technologies Holdings, Inc., Term B-1 Loan ............... 4.00% 07/08/22 887,742
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SYSTEMS SOFTWARE (CONTINUED)
$ 146,227 SS&C Technologies Holdings, Inc., Term B-2 Loan ............... 4.00% 07/08/22 $ 146,331
4,016,677 Vertafore, Inc., Term Loan 2013 ............................... 4.25% 10/03/19 4,007,479
-------------
20,973,503
-------------
TRUCKING - 1.9%
2,228,571 Hertz Corp., Tranche B-1 Term Loan ............................ 3.75% 03/11/18 2,216,047
258,511 Kenan Advantage Group, Inc., Delayed Draw Term 1 Loan (h) ..... 1.50% (i) 07/29/22 257,298
590,426 Kenan Advantage Group, Inc., Term Loan B-2 .................... 4.00% 07/31/22 587,657
1,851,064 Kenan Advantage Group, Inc., Term Loan B1 ..................... 4.00% 07/31/22 1,842,382
2,562,642 SIRVA Worldwide, Inc., Loan ................................... 7.50% 03/27/19 2,549,829
-------------
7,453,213
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS................................................. 536,074,006
-------------
(Cost $549,452,881)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
CORPORATE BONDS AND NOTES - 5.6%
ALTERNATIVE CARRIERS - 0.5%
2,000,000 Intelsat Luxembourg S.A. (Luxembourg) ......................... 6.75% 06/01/18 1,847,500
-------------
AUTO PARTS & EQUIPMENT - 0.2%
250,000 American Axle & Manufacturing, Inc. ........................... 6.25% 03/15/21 255,938
500,000 MPG Holdco I, Inc. ............................................ 7.38% 10/15/22 527,500
-------------
783,438
-------------
CABLE & SATELLITE - 0.5%
2,000,000 CCO Holdings LLC/CCO Holdings Capital Corp. ................... 5.75% 01/15/24 2,045,000
-------------
CASINOS & GAMING - 1.1%
4,900,000 Caesars Growth Properties Holdings LLC/Caesars Growth
Properties Finance, Inc. ................................... 9.38% 05/01/22 4,128,250
-------------
HEALTH CARE EQUIPMENT - 0.5%
1,800,000 Kinetic Concepts, Inc./KCI USA, Inc. .......................... 12.50% 11/01/19 1,939,500
-------------
HEALTH CARE FACILITIES - 1.4%
350,000 CHS/Community Health Systems, Inc. ............................ 6.88% 02/01/22 372,858
1,000,000 Select Medical Corp. .......................................... 6.38% 06/01/21 1,020,000
800,000 Tenet Healthcare Corp. ........................................ 6.00% 10/01/20 858,000
1,000,000 Tenet Healthcare Corp. ........................................ 6.75% 06/15/23 1,035,000
2,250,000 Vantage Oncology LLC/Vantage Oncology Finance Co. (j) ......... 9.50% 06/15/17 2,047,500
-------------
5,333,358
-------------
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- --------------------------------------------------------------- ----------- ------------ -------------
CORPORATE BONDS AND NOTES (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES - 0.7%
$ 2,500,000 Crimson Merger Sub, Inc. (j)................................... 6.63% 05/15/22 $ 2,240,625
500,000 inVentiv Health, Inc. (j)...................................... 10.00% 08/15/18 495,000
-------------
2,735,625
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.1%
500,000 American Energy-Permian Basin LLC / AEPB Finance
Corp. (j) (k) .............................................. 6.80% 08/01/19 270,000
-------------
PHARMACEUTICALS - 0.2%
620,000 Valeant Pharmaceuticals International, Inc. (Canada) (j) ...... 5.38% 03/15/20 632,400
-------------
SECURITY & ALARM SERVICES - 0.2%
1,000,000 Garda World Security Corp. (Canada) (j)........................ 7.25% 11/15/21 940,000
-------------
SPECIALTY CHEMICALS - 0.2%
850,000 Hexion, Inc. .................................................. 6.63% 04/15/20 796,875
-------------
TOTAL CORPORATE BONDS AND NOTES........................................................... 21,451,946
-------------
(Cost $22,917,822)
SHARES DESCRIPTION VALUE
-------------- ------------------------------------------------------------------------------------------ -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (d) (e) (l) (m)....................................................... 377
-------------
TOTAL WARRANTS............................................................................ 377
-------------
(Cost $0)
COMMON STOCKS - 0.0%
DIVERSIFIED CHEMICALS - 0.0%
20 LyondellBasell Industries N.V., Class A................................................... 1,707
-------------
TOTAL COMMON STOCKS....................................................................... 1,707
-------------
(Cost $0)
TOTAL INVESTMENTS - 145.2%................................................................ 557,528,036
(Cost $572,370,703) (n)
OUTSTANDING LOAN - (41.9%)................................................................ (161,000,000)
NET OTHER ASSETS AND LIABILITIES - (3.3%)................................................. (12,520,008)
-------------
NET ASSETS - 100.0%....................................................................... $ 384,008,028
=============
-----------------------------
(a) All or a portion of the securities are available to serve as collateral on
the outstanding loan.
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
(b) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests pay interest at rates which are periodically predetermined by
reference to a base lending rate plus a premium. These base lending rates
are generally (j) the lending rate offered by one or more major European
banks, such as the London Interbank Offered Rate ("LIBOR"), (ii) the prime
rate offered by one or more United States banks or (iii) the certificate
of deposit rate. Certain Senior Loans are subject to a LIBOR floor that
establishes a minimum LIBOR rate. The interest rate shown reflects the
rate in effect at August 31, 2015. When a range of rates is disclosed, the
Fund holds more than one contract within the same tranche at varying
rates.
(c) Senior Loans generally are subject to mandatory and/or optional
prepayment. As a result, the actual remaining maturity of Senior Loans may
be substantially less than the stated maturities shown.
(d) This security is fair valued by the Pricing Committee of First Trust
Advisors L.P. (the "Advisor") in accordance with procedures adopted by the
Fund's Board of Trustees, and in accordance with provisions of the
Investment Company Act of 1940, as amended. At August 31, 2015, securities
noted as such are valued at $5,898,067 or 1.54% of net assets.
(e) Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be illiquid by the Advisor.
(f) This issuer has filed for protection in federal bankruptcy court.
(g) This issuer is in default but interest is still being accrued by the Fund
and paid by the issuer.
(h) Delayed Draw Loan (see Note 2C - Unfunded Loan Commitments in the Notes to
Portfolio of Investments).
(i) Represents commitment fee rate on unfunded loan commitment. The commitment
fee rate steps up at predetermined time intervals.
(j) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the Securities
Act of 1933, as amended, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to
procedures adopted by the Fund's Board of Trustees, this security has been
determined to be liquid by 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 August 31, 2015,
securities noted as such amounted to $6,625,525 or 1.73% of net assets.
(k) Floating rate security. The interest rate shown reflects the rate in
effect at August 31, 2015.
(l) This security is restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended. Prior
to registration, restricted securities may only be resold in transactions
exempt from registration (See Note 2D - Restricted Securities in the Notes
to Portfolio of Investments).
(m) Non-income producing security.
(n) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of August 31, 2015, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $815,516 and the aggregate gross
unrealized depreciation for all securities in which there was an excess of
tax cost over value was $15,658,183.
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2015 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of August 31,
2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 8/31/2015 PRICES INPUTS INPUTS
------------------------------------------------- ------------- ------------- ------------- -------------
Senior Floating-Rate Loan Interests:
Cable & Satellite $ 6,885,228 $ -- $ 987,538 $ 5,897,690
Other Industry Categories* 529,188,778 -- 529,188,778 --
------------- ------------- ------------- -------------
Total Senior Floating-Rate Loan Interests 536,074,006 -- 530,176,316 5,897,690
Corporate Bonds and Notes* 21,451,946 -- 21,451,946 --
Warrants* 377 -- 377 --
Common Stocks* 1,707 1,707 -- --
------------- ------------- ------------- -------------
TOTAL INVESTMENTS $ 557,528,036 $ 1,707 $ 551,628,639 $ 5,897,690
============= ============= ============= =============
All transfers in and out of the levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between levels at August 31, 2015.
Level 3 Senior Floating-Rate Loan Interests are valued by the Advisor's Pricing
Committee. Level 3 securities are valued using broker quotes. The values are
based on unobservable and non-quantitative inputs. The Fund's Board of Trustees
has adopted valuation procedures that are utilized by the Pricing Committee to
oversee the day-to-day valuation of the Fund's investments. The Advisor's
Pricing Committee, through the Fund's accounting agent, monitors daily pricing
via tolerance checks and stale and unchanged price reviews. The Advisor's
Pricing Committee also reviews monthly back testing of pricing service prices by
comparing sales prices of Fund investments to prior day pricing service prices.
Additionally, the Advisor's Pricing Committee reviews periodic information from
the Fund's third-party pricing service that compares secondary market trade
prices to their daily valuations.
The following table presents the Fund's investments measured at fair value on a
recurring basis using significant unobservable inputs (Level 3) for the period
presented:
BEGINNING BALANCE AT MAY 31, 2015
Senior Floating-Rate Loan Interests $ 3,412,500
Net Realized Gain (Loss)
Senior Floating-Rate Loan Interests 14,809
Net Change in Unrealized Appreciation/Depreciation
Senior Floating-Rate Loan Interests 1,263
Purchases
Senior Floating-Rate Loan Interests 5,897,690
Sales
Senior Floating-Rate Loan Interests (3,428,572)
Transfers In
Senior Floating-Rate Loan Interests --
Transfers Out
Senior Floating-Rate Loan Interests --
ENDING BALANCE AT AUGUST 31, 2015
Senior Floating-Rate Loan Interests 5,897,690
------------
Total Level 3 holdings $ 5,897,690
============
* See the Portfolio of Investments for the industry breakout. Industry
categories are only shown separately if they include holdings in two or
more levels or have holdings in only Level 3.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2015 (UNAUDITED)
1. ORGANIZATION
First Trust Senior Floating Rate Income Fund II (the "Fund") is a diversified,
closed-end management investment company organized as a Massachusetts business
trust on March 25, 2004, and is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended (the "1940
Act"). The Fund trades under the ticker symbol FCT on the New York Stock
Exchange ("NYSE").
The Fund, which is an investment company within the scope of Financial
Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follows
accounting and reporting guidance under FASB Accounting Standards Codification
Topic 946, "Financial Services-Investment Companies."
2. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION
The net asset value ("NAV") of the Common Shares of the Fund is determined daily
as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time,
on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The Fund's NAV per Common Share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. The Fund's investments are valued as follows:
The senior floating-rate loan interests ("Senior Loans")1 in which the
Fund invests are not listed on any securities exchange or board of trade.
Senior Loans are typically bought and sold by institutional investors in
individually negotiated private transactions that function in many
respects like an over-the-counter secondary market, although typically no
formal market-makers exist. This market, while having grown substantially
since its inception, generally has fewer trades and less liquidity than
the secondary market for other types of securities. Some Senior Loans have
few or no trades, or trade infrequently, and information regarding a
specific Senior Loan may not be widely available or may be incomplete.
Accordingly, determinations of the fair market value of Senior Loans may
be based on infrequent and dated information. Because there is less
reliable, objective data available, elements of judgment may play a
greater role in valuation of Senior Loans than for other types of
securities. Typically, Senior Loans are fair valued using information
provided by a third-party pricing service. The third-party pricing service
primarily uses over-the-counter pricing from dealer runs and broker quotes
from indicative sheets to value the Senior Loans.
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The NASDAQ(R) Stock Market LLC ("NASDAQ") and
the London Stock Exchange Alternative Investment Market ("AIM")) are
valued at the last sale price on the exchange on which they are
principally traded, or for NASDAQ and AIM securities, the official closing
price. Securities traded on more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Corporate bonds, corporate notes and other debt securities are fair valued
on the basis of valuations provided by dealers who make markets in such
securities or by an independent pricing service approved by the Fund's
Board of Trustees, which may use the following valuation inputs when
available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Fixed income and other debt securities having a remaining maturity of 60
days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
1 The terms "security" and "securities" used throughout the Notes to
Portfolio of Investments include Senior Loans.
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2015 (UNAUDITED)
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes
thereto;
2) the liquidity conditions in the relevant market and changes
thereto;
3) the interest rate conditions in the relevant market and
changes thereto (such as significant changes in interest
rates);
4) issuer-specific conditions (such as significant credit
deterioration); and
5) any other market-based data the Advisor's Pricing Committee
considers relevant. In this regard, the Advisor's Pricing
Committee may use last-obtained market-based data to assist it
when valuing portfolio securities using amortized cost.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Fund's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended (the "1933 Act")) for which a pricing service is unable to
provide a market price; securities whose trading has been formally suspended; a
security whose market or or fair value price is not available from a
pre-established pricing source; a security with respect to which an event has
occurred that is likely to materially affect the value of the security after the
market has closed but before the calculation of the Fund's NAV or make it
difficult or impossible to obtain a reliable market quotation; and a security
whose price, as provided by the pricing service, does not reflect the security's
fair value. As a general principle, the current fair value of a security would
appear to be the amount which the owner might reasonably expect to receive for
the security upon its current sale. When fair value prices are used, generally
they will differ from market quotations or official closing prices on the
applicable exchanges. A variety of factors may be considered in determining the
fair value of such securities, including, but not limited to, the following:
1) the fundamental business data relating to the borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the borrower/issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower's/issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and
14) other relevant factors.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
AUGUST 31, 2015 (UNAUDITED)
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of August 31, 2015, is
included with the Fund's Portfolio of Investments.
B. SECURITY TRANSACTIONS
Security transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed delivery or forward purchase commitments. The Fund
had no when-issued, delayed-delivery or forward purchase commitments as of
August 31, 2015.
C. UNFUNDED LOAN COMMITMENTS
The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund had unfunded delayed draw loan commitments of
$257,298 as of August 31, 2015.
D. RESTRICTED SECURITIES
The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the the 1933 Act.
Prior to registration, restricted securities may only be resold in transactions
exempt from registration under Rule 144A under the 1933 Act, normally to
qualified institutional buyers. As of August 31, 2015, the Fund held restricted
securities as shown in the following table. The Fund does not have the right to
demand that such securities be registered. These securities are valued according
to the valuation procedures as stated in the Portfolio Valuation footnote (Note
2A) and are not expressed as a discount to the carrying value of a comparable
unrestricted investment. There are no unrestricted investments with the same
maturity dates and yields for this issuer.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHARES
------------------------------------------- ----------- ------------ ----------- ------------- ----------- ------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $ 0.26 $ -- $ 377 0.00%*
* Amount is less than 0.01%.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Senior Floating Rate Income Fund II
------------------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley
President and Chief Executive Officer
(principal executive officer)
Date: October 13, 2015
--------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley
President and Chief Executive Officer
(principal executive officer)
Date: October 13, 2015
--------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: October 13, 2015
--------------------
*Print the name and title of each signing officer under his or her signature.