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: February 28, 2014
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 146.8%
AEROSPACE & DEFENSE - 2.5%
$ 1,775,510 Beechcraft Holdings, Loan .................................. 5.75% 02/14/20 $ 1,775,510
1,185,000 Booz Allen Hamilton, Inc., Refinance Tranche B ............. 3.75% 07/31/19 1,189,693
2,797,043 DynCorp International, Inc., Term Loan ..................... 6.25% 07/07/16 2,809,294
4,275,310 Transdigm, Inc., Term Loan C ............................... 3.75% 02/28/20 4,291,342
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10,065,839
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AGRICULTURAL PRODUCTS - 1.0%
3,910,723 Pinnacle Operating Corp., Term Loan B ...................... 4.75% 11/15/18 3,925,388
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ALTERNATIVE CARRIERS - 2.8%
1,314,310 DigitalGlobe, Inc., Term Loan .............................. 3.75% 01/31/20 1,312,667
5,681,629 Intelsat Jackson Holdings S.A., Term Loan B-2 .............. 3.75% 06/30/19 5,719,185
1,000,000 Level 3 Financing, Inc., Tranche B 2020 Term Loan .......... 4.00% 01/15/20 1,002,500
3,383,491 Telesat Canada, U.S. Term B-2 Loan ......................... 3.50% 03/28/19 3,379,262
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11,413,614
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ALUMINUM - 0.5%
2,083,409 Constellium Holdco B.V., Initial Dollar Term Loan .......... 6.00% 03/25/20 2,125,077
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APPAREL RETAIL - 1.0%
2,717,302 Collective Brands, Inc., 2019 Term Loan .................... 7.25% 10/09/19 2,717,302
1,246,875 Nieman Marcus Group, Inc., Term Loan ....................... 5.00% 10/25/20 1,260,778
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3,978,080
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APPLICATION SOFTWARE - 3.7%
3,848,601 Eagle Parent, Inc., Term B-2 Loan .......................... 4.00% 05/16/18 3,866,882
1,633,773 Flexera Software, LLC, Term Loan ........................... 5.00% 03/13/19 1,640,586
600,000 Genesys, Delayed Draw Term Loan ............................ 4.50% 10/21/20 601,248
300,000 Genesys, Incremental Term Loan ............................. 4.50% 10/21/20 300,624
3,488,931 Infor, Inc., Tranche B-5 Term Loan ......................... 3.75% 06/03/20 3,481,674
1,674,510 Mitchell International, Initial Term Loan .................. 4.50% 10/12/20 1,678,696
1,795,625 Triple Point Technology, Term Loan B ....................... 5.25% 07/10/20 1,657,954
1,089,000 Verint Systems, Inc., Refinanced Term Loan
(January 2014) ......................................... 3.75% 09/06/19 1,091,178
400,000 Verint Systems, Inc., Tranche B Incremental
Term Loan .............................................. 3.50% 08/03/20 400,000
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14,718,842
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ASSET MANAGEMENT & CUSTODY BANKS - 3.2%
3,007,747 Hamilton Lane Advisors, LLC, Loan .......................... 5.25% 02/28/18 3,007,747
1,521,596 Harbourvest Partners L.P., Term Loan ....................... 3.25% 02/04/21 1,519,694
1,527,070 Mondrian Investment Partners Ltd., Term Loan B ............. 4.00% 03/05/20 1,527,070
63,912 Munder Capital Management, Incremental Term Loan ........... 6.00% 03/23/15 63,952
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
ASSET MANAGEMENT & CUSTODY BANKS (CONTINUED)
$ 6,704,791 Nuveen Investments, Inc., Tranche B
(First-Lien) Term Loan ................................. 4.15% 05/13/17 $ 6,690,845
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12,809,308
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AUTO PARTS & EQUIPMENT - 3.7%
895,500 Affinia Group, Inc., Tranche B-2 Term Loan ................. 4.75% 04/25/20 896,243
2,945,820 ASP HHI Acquisition, Co., Inc., Additional
Term Loan .............................................. 5.00% 10/05/18 2,955,041
987,507 August U.S. Holding Company, Inc., US Term
B-1 (First Lien) ....................................... 5.00% 04/27/18 991,210
2,360,056 Metaldyne, LLC, Term Loan B (February 2014) ................ 4.25% 12/31/18 2,377,756
1,732,500 Remy International, Inc., Term B Loan 2013 ................. 4.25% 03/05/20 1,738,997
2,970,000 Sequa Automotive Group, Term Loan .......................... 6.25% 11/15/18 2,984,850
1,305,855 Tomkins, PLC, Term B-2 Loan ................................ 3.75% 09/29/16 1,308,794
1,559,663 Tower Automotive Holdings USA, LLC, Initial
Term Loan (2014) ....................................... 4.00% 04/23/20 1,559,647
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14,812,538
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AUTOMOBILE MANUFACTURERS - 1.4%
4,122,066 Chrysler Group, LLC, Term Loan B ........................... 3.50% 05/24/17 4,129,775
1,400,000 Chrysler Group, LLC, Tranche B Term Loan ................... 3.25% 12/31/18 1,392,748
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5,522,523
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AUTOMOTIVE RETAIL - 1.3%
598,500 Britax Group, (First Lien) Term Loan B ..................... 4.50% 10/15/20 601,277
1,855,952 KAR Auction Services, Inc., Term Loan B .................... 3.75% 05/19/17 1,856,731
2,715,625 Pilot Travel Centers, LLC, First Amendment
Tranche B Term Loan .................................... 4.25% 08/07/19 2,734,227
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5,192,235
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BROADCASTING - 7.4%
1,690,667 Clear Channel Communications, Inc., Tranche
B Term Loan ............................................ 3.80% 01/29/16 1,659,728
4,986,742 Clear Channel Communications, Inc., Tranche
D Term Loan ............................................ 6.90% 01/30/19 4,893,241
2,976,403 Cumulus Media Holdings, Inc., Term Loan .................... 4.25% 12/23/20 2,993,160
1,441,153 Hubbard Radio, LLC, Tranche 1 Term Loan .................... 4.50% 04/29/19 1,446,557
2,100,041 LIN Television Corp., Replacement Tranche B
Term Loan .............................................. 4.00% 12/21/18 2,097,415
2,000,000 Media General, Inc., Term B Loan ........................... 4.25% 07/31/20 2,016,260
1,334,680 Mission Broadcasting, Inc., Term B-2 Loan .................. 3.75% 10/01/20 1,336,322
4,292,873 NEP Holdco, Inc., Amendment No. 3
Incremental Term Loan (First Lien) ..................... 4.25% 01/31/20 4,303,606
257,143 NEP Holdco, Inc., Term Loan (Second Lien) .................. 9.50% 07/22/20 262,929
972,840 Nexstar Broadcasting, Inc., Term Loan B-2 .................. 3.75% 09/30/20 974,961
1,950,000 Raycom TV Broadcasting, LLC, Tranche B Term
Loan ................................................... 4.25% 05/31/17 1,950,000
992,500 Univision Communications, Inc., 2013
Incremental Term Loan .................................. 4.00% 03/01/20 993,899
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
BROADCASTING (CONTINUED)
$ 4,844,827 Univision Communications, Inc., Term Loan C-4 .............. 4.00% 03/01/20 $ 4,856,164
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29,784,242
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BUILDING PRODUCTS - 0.8%
333,333 Quikrete Companies, Inc., Initial Loan
(Second Lien) .......................................... 7.00% 03/26/21 342,917
1,382,441 Quikrete Holdings, Inc., Initial Loan (First
Lien) .................................................. 4.00% 09/28/20 1,385,317
1,312,114 Unifrax Holding Co., New Term Dollar Loan .................. 4.25% 11/28/18 1,316,050
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3,044,284
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CASINOS & GAMING - 8.5%
2,997,500 Bally Technologies, Inc., Term B Loan ...................... 4.25% 11/25/20 3,013,986
6,296,777 Caesars Entertainment Operating Company,
Inc., Term B-6 Loan .................................... 5.49% 01/28/18 6,017,011
5,150,000 Caesars Entertainment Resort Properties,
LLC, Term B Loan ....................................... 7.00% 10/11/20 5,226,323
2,071,429 City Center Holdings, LLC, Term Loan B
(First Lien) ........................................... 5.00% 10/16/20 2,090,527
1,990,000 Pinnacle Entertainment, Inc., Tranche B-2
Term Loan .............................................. 3.75% 08/13/20 1,991,871
3,743,704 ROC Finance, LLC, Funded Term B Loan ....................... 5.00% 06/20/19 3,645,432
9,464,286 Scientific Games International, Inc.,
Initial Term Loan ...................................... 4.25% 10/18/20 9,465,705
2,643,342 Station Casinos, Inc., B Term Loan ......................... 5.00% 03/02/20 2,644,161
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34,095,016
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COAL & CONSUMABLE FUELS - 0.7%
2,722,971 Arch Coal, Inc., Term Loan ................................. 6.25% 05/16/18 2,684,550
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COMMERCIAL PRINTING - 0.8%
1,828,333 Cenveo Corp., Term B Loan .................................. 6.25% 02/13/17 1,844,331
1,283,333 SGS International, Inc., Term Loan ......................... 4.25%-5.50% 10/17/19 1,288,146
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3,132,477
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COMMODITY CHEMICALS - 0.8%
3,382,544 Tronox, Inc., New Term Loan ................................ 4.50% 03/19/20 3,391,948
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COMMUNICATIONS EQUIPMENT - 0.6%
2,101,350 Alcatel-Lucent USA, Inc., New Term Loan C .................. 4.50% 01/30/19 2,118,959
450,000 Mitel Networks, Term Loan .................................. 5.25% 01/31/20 453,749
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2,572,708
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COMPUTER HARDWARE - 0.7%
637,814 Dell International, Term B Loan ............................ 4.50% 04/29/20 635,876
2,254,688 Dell International, Term C Loan ............................ 3.75% 10/29/18 2,251,508
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2,887,384
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See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
CONSTRUCTION & ENGINEERING - 0.5%
$ 2,073,750 WireCo Worldgroup, Inc., Term Loan ......................... 6.00% 02/15/17 $ 2,084,119
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CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS - 0.3%
1,153,253 Navistar International Corp., Tranche B Term Loan .......... 5.75% 08/17/17 1,168,153
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CONSUMER FINANCE - 2.8%
5,302,555 Altisource Solutions S.a.r.l., Term B Loan ................. 4.50% 12/09/20 5,315,812
1,741,250 Home Loan Servicing Solutions, Ltd., Initial
Term Loan .............................................. 4.75% 06/26/20 1,746,700
926,333 Ocwen Loan Servicing, LLC, Initial Term Loan ............... 5.00% 02/15/18 932,688
3,228,755 Walter Investment Management Corp., Tranche
B Term Loan ............................................ 4.75% 12/18/20 3,212,611
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11,207,811
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DATA PROCESSING & OUTSOURCED SERVICES - 0.9%
3,462,526 Harland Clarke Holdings Corp., Tranche B-2
Term Loan .............................................. 5.50% 06/30/17 3,460,379
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DISTRIBUTORS - 0.1%
507,858 Wesco Distribution, Inc., Tranche B-1 Loan ................. 3.75% 12/12/19 508,493
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DIVERSIFIED CHEMICALS - 2.2%
3,250,000 Huntsman International, LLC, Term Loan B ................... 3.75% 10/31/20 3,253,055
3,173,319 INEOS US Finance, LLC, Term Loan B ......................... 3.75% 05/04/18 3,164,497
2,369,508 Univar, Inc., Term B Loan .................................. 5.00% 06/30/17 2,353,822
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8,771,374
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DIVERSIFIED REAL ESTATE ACTIVITIES - 0.3%
1,047,362 Starwood Property Trust, Term Loan ......................... 3.50% 04/19/20 1,043,759
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DIVERSIFIED REITS - 0.8%
3,207,990 iStar Financial, Inc., Loan ................................ 4.50% 10/15/17 3,214,021
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DIVERSIFIED SUPPORT SERVICES - 0.5%
2,057,143 SMG, Term Loan B ........................................... 4.50% 02/15/20 2,062,286
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EDUCATION SERVICES - 0.2%
616,000 Bright Horizons Family Solutions, LLC, Term ................ 4.00%-5.25% 01/30/20 616,899
B Loan
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ELECTRIC UTILITIES - 0.7%
1,000,000 Texas Competitive Electric Holdings Company,
LLC, 2014 Term Loan (Non-Extending) .................... 3.74% 10/10/14 698,130
3,241,410 Texas Competitive Electric Holdings Company,
LLC, Term Loan ......................................... 3.70%-3.78% 10/10/14 2,262,925
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2,961,055
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ENVIRONMENTAL & FACILITIES SERVICES - 2.0%
2,545,714 ADS Waste Holdings, Inc., Initial Tranche
B-2 Term Loan .......................................... 3.75% 10/09/19 2,543,245
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
ENVIRONMENTAL & FACILITIES SERVICES (CONTINUED)
$ 4,006,550 EnergySolutions, LLC, Term Loan ............................ 6.75% 08/15/16 $ 4,033,274
1,600,000 WTG Holdings III Corp., Term Loan (First Lien) ............. 4.75% 01/15/21 1,604,000
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8,180,519
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FOOD RETAIL - 0.2%
750,000 Arby's Restaurant Group, Inc., Term Loan ................... 5.00% 11/15/20 753,750
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HEALTH CARE EQUIPMENT - 5.0%
1,955,000 Alere, Inc., B Term Loan ................................... 4.25% 06/30/17 1,963,152
1,960,000 Alere, Inc., Incremental B-1 Term Loan ..................... 4.25% 06/30/17 1,968,173
491,250 Alere, Inc., Incremental B-2 Term Loan ..................... 4.25% 06/30/17 493,299
2,126,041 Biomet, Inc., Dollar Term B-2 Loan ......................... 3.65%-3.75% 07/25/17 2,128,912
4,301,570 DJO Finance, LLC, Term Loan B .............................. 4.75% 09/15/17 4,323,078
1,500,000 Ikaria, Initial Term Loan (First Lien) ..................... 5.00% 02/12/21 1,508,445
4,233,555 Kinetic Concepts, Inc., Dollar Term E-1 Loan ............... 4.00% 05/04/18 4,245,917
3,168,750 Onex Carestream Finance LP, Term Loan (First
Lien 2013) ............................................. 5.00% 06/07/19 3,204,398
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19,835,374
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HEALTH CARE FACILITIES - 2.2%
2,000,000 CHS/Community Health Systems, Inc., 2021
Term D Loan ............................................ 4.25% 01/27/21 2,016,660
920,679 Select Medical Corp., Series C Tranche B
Term Loan .............................................. 4.00%-5.25% 06/01/18 923,745
1,955,175 Surgical Care Affiliates, Inc., Class C
Incremental ............................................ 4.25% 06/30/18 1,953,552
1,002,502 Surgical Care Affiliates, LLC, Class B Term
Loan - Extending ....................................... 4.25% 12/29/17 1,005,008
2,903,360 United Surgical Partners International,
Inc., New Tranche B Term Loan .......................... 4.75% 04/03/19 2,920,287
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8,819,252
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HEALTH CARE SERVICES - 6.2%
1,428,571 CareCore National, LLC, Term Loan B ........................ 5.50% 02/28/21 1,436,614
1,986,462 CHG Healthcare Services, Term Loan (First
Lien) .................................................. 4.25% 11/19/19 1,995,163
2,821,500 Davita, Inc., Tranche B-2 Term Loan ........................ 4.00% 11/01/19 2,830,331
4,220,531 Envision Healthcare Corp., Initial Term Loan ............... 4.00% 05/25/18 4,228,128
2,150,000 Gentiva Health Services, Inc., Initial Term
C Loan ................................................. 5.75% 10/18/18 2,147,313
2,087,359 Healogics, Inc., Term B Loan (First Lien) .................. 5.25% 02/05/19 2,095,187
1,930,511 Heartland Dental Care, LLC, Term Loan B .................... 5.50% 12/21/18 1,944,179
3,460,057 Sheridan Holdings, Inc., Term Loan B
(February 2013) ........................................ 4.50% 06/29/18 3,473,759
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE SERVICES (CONTINUED)
$ 4,478,775 U.S. Renal Care, Inc., Term Loan B ......................... 4.25% 07/03/19 $ 4,506,767
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24,657,441
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HEALTH CARE SUPPLIES - 1.5%
410,250 1-800 Contacts, Term Loan (First Lien) ..................... 4.25% 01/31/21 411,276
2,000,000 BSN Medical Acquisition Holding GmBH, New
Term Loan B1 ........................................... 4.00% 06/08/19 2,007,000
2,005,880 ConvaTec, Inc., Term Loan B (New) .......................... 4.00% 12/22/16 2,015,067
1,627,480 Sage Products, Inc., Replacement Term Loan
(First Lien) ........................................... 4.25% 12/13/19 1,632,574
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6,065,917
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HEALTH CARE TECHNOLOGY - 2.2%
750,000 Healthport, Term Loan B .................................... 5.25% 10/04/19 753,750
640,000 MedAssets, Inc., Term B Loan ............................... 4.00% 12/13/19 641,799
2,437,500 Trizetto Group, Inc., Term Loan ............................ 4.75% 05/02/18 2,420,754
2,000,000 Trizetto Group, Inc., Term Loan (Second
Lien) .................................................. 8.50% 03/28/19 1,950,000
2,962,575 Truven Health Analytics, Inc., Term Loan B ................. 4.50% 05/31/19 2,968,500
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8,734,803
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HOMEFURNISHING RETAIL - 1.3%
2,327,038 Serta Simmons Holdings, LLC, Term Loan B ................... 4.25% 10/01/19 2,340,326
3,000,000 Tempur-Pedic International, Inc., New Term B Loan .......... 3.50% 03/18/20 2,997,750
-------------
5,338,076
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HOTELS, RESORTS & CRUISE LINES - 1.7%
6,052,632 Hilton Worldwide, Term Loan ................................ 3.75% 10/25/20 6,070,668
800,000 LaQuinta, Term Loan B ...................................... 4.00% 02/28/21 801,600
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6,872,268
-------------
HOUSEHOLD APPLIANCES - 0.2%
600,000 Alliance Laundry Systems, LLC, Initial Term
Loan (First Lien) ...................................... 4.25% 12/10/18 602,250
-------------
HYPERMARKETS & SUPER CENTERS - 2.5%
2,500,000 BJ's Wholesale Club, Inc., 2013 (November)
Replacement Loan (Second Lien) ......................... 8.50% 03/26/20 2,564,850
7,594,115 BJ's Wholesale Club, Inc., New 2013
(November) Replacement Loan (First Lien) ............... 4.50% 09/26/19 7,635,882
-------------
10,200,732
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.3%
3,047,750 AES Corp., 2013 Other Term Loan ............................ 3.75% 06/01/18 3,057,077
1,382,500 Calpine Corp., Term Loan ................................... 4.00% 10/09/19 1,388,334
1,950,000 Calpine Corp., Term Loan (June 2011) ....................... 4.00% 04/01/18 1,954,329
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS (CONTINUED)
$ 2,472,195 Freif North American Power I, LLC, Term B-1 Loan ........... 4.75% 03/29/19 $ 2,490,736
392,529 Freif North American Power I, LLC, Term C-1 Loan ........... 4.75% 03/29/19 395,473
-------------
9,285,949
-------------
INDUSTRIAL CONGLOMERATES - 1.3%
1,291,291 Accudyne Industries, LLC, Refinancing Term Loan ............ 4.00% 12/13/19 1,292,893
1,975,050 Gardner Denver, Inc., Initial Dollar Term Loan ............. 4.25% 07/30/20 1,965,925
2,035,539 Tomkins Air Distribution, Term Loan B ...................... 4.25% 11/09/18 2,043,172
-------------
5,301,990
-------------
INDUSTRIAL MACHINERY - 1.2%
2,673,612 Husky Injection Molding Systems Ltd., New
Term Loan .............................................. 4.25% 06/30/18 2,684,654
2,111,056 Mirror Bidco Corp., Term Loan B ............................ 4.25% 12/28/19 2,120,724
-------------
4,805,378
-------------
INSURANCE BROKERS - 3.9%
3,341,941 Amwins Group, LLC, New Term Loan (First
Lien) .................................................. 5.00% 09/06/19 3,362,828
3,056,178 Confie Seguros Holding II Co., Term B Loan
(First Lien) ........................................... 5.75% 11/09/18 3,058,470
2,089,500 Cooper Gay Swett & Crawford, Ltd., Term Loan
(First Lien) ........................................... 5.00% 04/16/20 2,056,423
720,000 Cooper Gay Swett & Crawford, Ltd., Term Loan
(Second Lien) .......................................... 8.25% 10/16/20 693,900
1,396,500 HUB International Limited, Term Loan B ..................... 4.75% 10/02/20 1,408,133
4,900,593 USI, Inc., Initial Term Loan ............................... 4.25% 12/27/19 4,918,970
-------------
15,498,724
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 2.1%
3,554,375 Avaya, Inc., Term B-3 Loan ................................. 4.73% 10/26/17 3,458,656
2,992,500 Cincinnati Bell, Inc., Tranche B Term Loan ................. 4.00% 09/10/20 2,988,759
1,975,055 Hawaiian Telcom Communications, Inc., Term Loan ............ 5.00% 06/06/19 1,983,074
-------------
8,430,489
-------------
INTERNET SOFTWARE & SERVICES - 0.4%
1,400,000 Dealertrack Technologies, Inc., Term Loan B ................ 3.50% 02/28/21 1,407,000
-------------
IT CONSULTING & OTHER SERVICES - 0.4%
1,522,500 Sirius Computer Solutions, Inc., Term Loan ................. 7.00% 12/07/18 1,541,531
-------------
LEISURE FACILITIES - 0.3%
1,319,764 Six Flags, Inc., Term Loan (December 2013) ................. 3.50%-5.00% 12/20/18 1,326,363
-------------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
LIFE & HEALTH INSURANCE - 0.4%
$ 1,589,483 CNO Financial Group, Inc., Tranche B-2 Term Loan ........... 3.75% 09/28/18 $ 1,585,509
-------------
LIFE SCIENCES TOOLS & SERVICES - 4.8%
1,937,278 inVentiv Health, Inc., Consolidated Term Loan .............. 7.50% 08/04/16 1,933,404
533,246 inVentiv Health, Inc., Term B-3 Loan ....................... 7.75% 05/15/18 528,915
10,000,000 Ortho-Clinical Diagnostics, Inc., Bridge
Loan (Delayed Draw) .................................... 7.00% 02/28/22 9,950,000
2,310,000 Pharmaceutical Products Development, Inc.,
2013 Term Loan ......................................... 4.00% 12/05/18 2,319,009
4,407,177 Quintiles Transnational Holdings, Inc., Term
B-3 Loan ............................................... 3.75% 06/08/18 4,411,540
-------------
19,142,868
-------------
MANAGED HEALTH CARE - 0.7%
2,665,901 MultiPlan, Inc., Term B-1 Loan ............................. 4.00% 08/26/17 2,666,994
-------------
METAL & GLASS CONTAINERS - 2.0%
400,000 Ardagh Holdings USA, Inc., (First Lien) Term
Loan B ................................................. 4.00% 12/17/19 401,500
550,000 Ardagh Holdings USA, Inc., Term Loan ....................... 4.25% 12/17/19 551,375
1,791,000 Berlin Packaging, LLC, Term Loan B ......................... 4.75% 04/02/19 1,801,442
2,250,000 Filtration Group, Initial Term Loan (Second
Lien) .................................................. 8.25% 11/22/21 2,297,812
2,852,201 Filtration Group, Term Loan (First Lien) ................... 4.50% 11/20/20 2,874,791
-------------
7,926,920
-------------
MOVIES & ENTERTAINMENT - 1.9%
2,947,799 Alpha Topco Ltd., New Facility B (USD) ..................... 4.50% 04/30/19 2,975,627
200,000 Lions Gate Entertainment Corp., Loan ....................... 5.00% 07/19/20 202,500
300,000 TWCC Holding Corp., Term Loan (Second Lien) ................ 7.00% 06/26/20 290,250
4,038,750 Village Roadshow Films Ltd., Ultimates
Facility Tranche A-2 ................................... 4.75% 11/21/17 4,079,137
-------------
7,547,514
-------------
OIL & GAS REFINING & MARKETING - 0.1%
390,611 Citgo Petroleum Corp., Term B Loan ......................... 8.00% 06/24/15 393,540
-------------
OIL & GAS STORAGE & TRANSPORTATION - 0.2%
706,692 Fieldwood Energy, LLC, Closing Date Loan ................... 3.88% 09/28/18 707,872
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 5.8%
1,500,000 American Beacon Advisors, Initial Term Loan ................ 4.75% 11/22/19 1,500,000
2,694,000 First American Payment Systems, L.P., Term
Loan (First Lien) ...................................... 5.75% 10/12/18 2,694,000
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
OTHER DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
$ 4,683,538 First Data Corp., 2021 New Dollar Term Loan ................ 4.16% 03/24/21 $ 4,686,489
490,476 Global Cash Access, Inc., Term Loan B ...................... 4.00% 03/01/16 491,295
1,346,625 Guggenheim Investment Management Holdings,
LLC, Initial Term Loan ................................. 4.25% 07/22/20 1,358,650
2,780,000 iPayment, Inc., Term Loan .................................. 5.75% 05/08/17 2,728,376
3,352,319 Moneygram International, Inc., Term Loan ................... 4.25% 03/27/20 3,363,180
2,079,889 National Finance Partners Corp., Term B Loan ............... 5.25% 07/01/20 2,098,088
1,750,000 SAM Finance Lux S.A.R.L., Dollar Term Loan ................. 4.25% 12/17/20 1,752,923
2,425,546 Transfirst Holdings, Inc., Term B-1 Loan
(First Lien) ........................................... 4.75% 12/27/17 2,426,152
-------------
23,099,153
-------------
PACKAGED FOODS & MEATS - 5.1%
890,142 Bellisio Foods, Inc., Delayed Draw Term Loan ............... 5.25% 08/01/19 889,029
1,232,504 Bellisio Foods, Inc., Term Loan B .......................... 5.25% 08/01/19 1,230,964
3,964,698 Blue Buffalo Company Ltd., Term B-3 Loan ................... 4.00% 08/08/19 3,996,098
3,019,872 Boulder Brands, Inc., Term Loan ............................ 5.00% 07/09/20 3,037,478
700,000 Del Monte Consumer Products, Initial Loan
(First Lien) ........................................... 4.25% 02/18/21 700,875
3,351,977 Ferrara Candy Co., Term Loan B ............................. 7.50% 06/06/18 3,209,518
2,089,500 H.J. Heinz Co., Term B-2 Loan .............................. 3.50% 06/05/20 2,104,377
1,745,625 JBS USA, LLC, Incremental Term Loan ........................ 3.75% 09/18/20 1,737,630
1,957,669 JBS USA, LLC, Term Loan B .................................. 3.75% 05/25/18 1,952,775
1,675,000 New HB Acquistion, LLC, Term B Loan ........................ 6.75% 04/09/20 1,739,906
-------------
20,598,650
-------------
PAPER PACKAGING - 1.7%
750,000 Exopack Holding Corp., Term Loan B ......................... 5.25% 04/30/19 760,080
5,863,846 Reynolds Consumer Products Holdings, Inc.,
Incremental U.S. Term Loan ............................. 4.00% 12/01/18 5,903,427
-------------
6,663,507
-------------
PHARMACEUTICALS - 5.3%
1,363,636 Akorn, Inc., Term Loan B ................................... 4.50% 08/27/20 1,372,159
3,546,791 Catalent Pharma Solutions, Inc., C Term Loan ............... 4.25% 09/15/17 3,567,468
1,200,000 Endo Pharmaceuticals Holdings, Inc., Term
Loan B ................................................. 3.25% 12/12/20 1,197,504
3,614,977 IMS Healthcare, Tranche B-1 Dollar Term Loan ............... 3.75% 09/01/17 3,613,170
5,285,800 Par Pharmaceutical, Inc., Term B-2 Loan .................... 4.00% 09/30/19 5,289,923
1,400,000 Patheon, Inc., Term Loan B ................................. 4.25% 01/31/21 1,395,632
666,667 Salix Pharmaceuticals, Term Loan ........................... 4.25% 01/02/20 672,500
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
$ 592,500 Valeant Pharmaceuticals International, Inc.,
Series C-2 Tranche B Term Loan ......................... 3.75% 12/11/19 $ 593,981
1,205,344 Valeant Pharmaceuticals International, Inc.,
Series D-2 Tranche B Term Loan ......................... 3.75% 02/13/19 1,208,550
2,304,688 Valeant Pharmaceuticals International, Inc.,
Series E-1 Tranche B Term Loan ......................... 3.75% 08/05/20 2,316,787
-------------
21,227,674
-------------
PROPERTY & CASUALTY INSURANCE - 1.2%
194,886 Cunningham Lindsey Group Ltd., Initial Loan
(Second Lien) .......................................... 9.25% 06/10/20 194,643
2,934,271 Cunningham Lindsey U.S., Inc., Initial Term
Loan (First Lien) ...................................... 5.00% 12/10/19 2,919,599
1,200,000 Sedgwick CMS Holdings, Inc., Second Lien
Term Loan .............................................. 6.75% 02/15/22 1,211,352
400,000 Sedgwick CMS Holdings, Inc., Term Loan B
3.75% 02/15/21 397,900
-------------
4,723,494
-------------
PUBLISHING - 2.4%
714,000 McGraw Hill Global Education, LLC, Term B Loan ............. 9.00% 03/22/19 723,996
2,000,000 MergerMarket Group, Initial Term Loan (First Lien) ......... 4.50% 02/04/21 2,002,500
6,750,000 Tribune Co., Term Loan ..................................... 4.00% 12/27/20 6,743,655
757,652 Yell Group, PLC, Facility B1 (d) (g) ....................... 0.00% 07/31/14 167,888
-------------
9,638,039
-------------
REAL ESTATE OPERATING COMPANIES - 0.9%
3,763,303 ClubCorp Club Operations, Inc., New Term Loan .............. 4.25% 07/24/20 3,777,415
-------------
REAL ESTATE SERVICES - 0.1%
496,250 Realogy Corp., Term Loan B ................................. 4.50% 02/12/20 497,367
-------------
RESEARCH & CONSULTING SERVICES - 3.4%
4,289,475 Acosta, Inc., Term B Loan .................................. 4.25% 03/03/18 4,304,488
947,895 Advantage Sales & Marketing, Inc., 2013
Other Term Loan (Second Lien) .......................... 8.25% 06/17/18 959,156
4,748,251 Advantage Sales & Marketing, Inc., 2013 Term
Loan (First Lien) ...................................... 4.25% 12/18/17 4,765,059
600,000 CPA Global, Initial Dollar Term Loan (First
Lien) .................................................. 4.50% 12/03/20 603,498
1,828,988 Information Resources, Inc., Term Loan ..................... 4.75% 09/30/20 1,835,079
1,321,600 Property Data, Inc., Term Loan ............................. 7.00% 01/04/17 1,317,199
-------------
13,784,479
-------------
RESTAURANTS - 1.5%
4,561,585 Focus Brands, Inc., Refinancing Term Loan
(First Lien) ........................................... 4.25% 02/21/18 4,578,691
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
RESTAURANTS (CONTINUED)
$ 1,450,000 Focus Brands, Inc., Term Loan (Second Lien) ................ 10.25% 08/21/18 $ 1,471,750
-------------
6,050,441
-------------
RETAIL REITS - 0.9%
800,000 Capital Automotive L.P., Term Loan (Second Lien) ........... 6.00% 04/30/20 826,000
2,589,984 Capital Automotive L.P., Tranche B-1 Term
Loan Facility .......................................... 4.00% 04/10/19 2,596,459
-------------
3,422,459
-------------
SECURITY & ALARM SERVICES - 0.2%
182,875 Garda World Security, Term B Delayed Draw Loan ............. 5.25% 11/06/20 183,027
714,875 Garda World Security, Term Loan B .......................... 4.00% 10/18/20 715,468
-------------
898,495
-------------
SEMICONDUCTORS - 1.7%
5,359,500 Freescale Semiconductor, Inc., Tranche B-4
Term Loan .............................................. 5.00% 03/01/20 5,377,079
1,496,250 Freescale Semiconductor, Inc., Tranche B5
Term Loan .............................................. 5.00% 01/15/21 1,513,083
-------------
6,890,162
-------------
SPECIALIZED CONSUMER SERVICES - 2.7%
7,051,155 Asurion, LLC, Incremental Tranche B-1 Term Loan ............ 4.50% 05/24/19 7,061,238
1,058,824 Asurion, LLC, New (Second Lien) Term Loan .................. 8.50% 02/28/21 1,091,912
870,000 Coinmach Services, Initial Term Loan (First Lien) .......... 4.25% 11/14/19 870,722
1,935,073 Expert Global Solutions, Inc., Term B
Advance (First Lien) ................................... 8.50% 04/03/18 1,922,166
-------------
10,946,038
-------------
SPECIALIZED FINANCE - 2.8%
2,519,585 AlixPartners, LLP, 2014 January Replacement
Term B-2 Loan (First Lien) ............................. 4.00% 07/10/20 2,529,034
1,200,000 Delos Aircraft, Inc., Term Loan B .......................... 3.50% 02/28/21 1,203,600
1,891,750 Duff & Phelps Corp., Initial Term Loan ..................... 4.50% 04/23/20 1,891,750
2,951,406 Fly Funding II S.a.r.l., Loan .............................. 4.50% 08/09/19 2,991,988
2,500,000 Flying Fortress, Inc., New Loans ........................... 3.50% 06/30/17 2,508,325
-------------
11,124,697
-------------
SPECIALTY CHEMICALS - 4.0%
720,610 AI Chem & Cy S.C.A., Tranche B-1 Term Loan ................. 4.50% 10/04/19 723,615
373,890 AI Chem & Cy S.C.A., Tranche B-2 Term Loan ................. 4.50% 10/04/19 375,449
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SPECIALTY CHEMICALS (CONTINUED)
$ 1,285,288 Axalta Coating Systems Dutch Holdings
B.B.V. & Axalta Coating Systems U.S.
Holdings, Inc., Refinanced Term B Loan ................. 4.00% 02/01/20 $ 1,289,876
3,555,665 AZ Chemicals, Inc., Term Loan .............................. 5.25% 12/22/17 3,573,443
2,955,007 Emerald Performance Materials, LLC, Term
Loan (First Lien) ...................................... 6.75% 05/18/18 2,969,782
796,000 Macdermid, Inc., Tranche B Term Loan (First
Lien) .................................................. 4.00% 06/07/20 799,184
2,506,064 Nusil Technology, LLC, Term Loan ........................... 5.25% 04/07/17 2,476,317
1,451,250 Omnova Solutions, Inc., Term B-1 Loan ...................... 4.25% 05/31/18 1,456,692
1,146,338 Taminco Global Chemical Corp., Initial
Tranche B-3 Dollar Term Loan ........................... 3.25% 02/15/19 1,145,982
1,293,500 Tata Chemicals, Term Loan .................................. 3.75% 08/07/20 1,296,734
-------------
16,107,074
-------------
STEEL - 0.9%
3,456,338 FMG Resources, Loan ........................................ 4.25% 06/30/19 3,487,306
-------------
SYSTEMS SOFTWARE - 4.6%
580,645 Applied Systems, Inc., Initial Term Loan
(First Lien) ........................................... 4.25% 01/25/21 584,274
550,000 Applied Systems, Inc., Initial Term Loan
(Second Lien) .......................................... 7.50% 01/24/22 561,412
646,180 Blue Coat Systems, Inc., Term Loan B
(February 2014) ........................................ 4.00% 05/30/19 647,796
7,030,556 BMC Software, Initial US Term Loan ......................... 5.00% 09/10/20 7,046,656
2,050,714 Sungard Data Systems, Inc., Tranche D Term
Loan ................................................... 4.50% 01/31/20 2,053,278
4,286,608 Vertafore, Inc., Term Loan 2013 ............................ 4.25% 10/03/19 4,301,611
1,782,000 Wall Street Systems, Inc., Term Loan (First
Lien) .................................................. 5.75% 10/25/19 1,786,455
1,492,500 Websense, Term Loan (First Lien) ........................... 4.50% 06/25/20 1,503,694
-------------
18,485,176
-------------
TIRES & RUBBER - 0.5%
2,142,857 Goodyear Tire & Rubber Co., Loan (Second Lien) ............. 4.75% 04/30/19 2,162,679
-------------
TRUCKING - 1.5%
2,262,857 Hertz Corp., Tranche B-1 Term Loan ......................... 3.75% 03/11/18 2,265,663
2,679,750 SIRVA, Inc., Loan .......................................... 7.50% 03/27/19 2,726,646
958,370 Swift Transportation Co., Inc., Tranche B-2
Term Loan (2013) ....................................... 4.00% 12/21/17 967,359
-------------
5,959,668
-------------
WIRELESS TELECOMMUNICATION SERVICES - 1.9%
2,189,000 Cricket Communications, Inc., Term Loan C .................. 4.75% 03/08/20 2,190,029
696,500 LTS Buyer, LLC, Term B Loan (First Lien) ................... 4.00% 04/13/20 695,198
2,879,481 Syniverse Holdings, Inc., Term Loan B
(September 2013) ....................................... 4.00% 04/23/19 2,885,470
Page 12 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
WIRELESS TELECOMMUNICATION SERVICES (CONTINUED)
$ 1,934,195 Syniverse Holdings, Inc., Tranche B Term Loan .............. 4.00% 04/23/19 $ 1,940,849
-------------
7,711,546
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................... 588,138,944
(Cost $587,506,832) -------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
--------------- ------------------------------------------------------------ ----------- ------------- -------------
CORPORATE BONDS AND NOTES - 2.4%
AUTO PARTS & EQUIPMENT - 0.1%
250,000 American Axle & Manufacturing, Inc. ........................ 6.25% 03/15/21 268,750
-------------
CABLE & SATELLITE - 0.3%
1,000,000 CCO Holdings, LLC/CCO Holdings Capital Corp. ............... 6.50% 04/30/21 1,073,750
-------------
CASINOS & GAMING - 0.5%
1,000,000 Caesars Entertainment Resort Properties, LLC (e) ........... 8.00% 10/01/20 1,068,750
1,000,000 Caesars Entertainment Resort Properties, LLC (e) ........... 11.00% 10/01/21 1,062,500
-------------
2,131,250
-------------
HEALTH CARE EQUIPMENT - 0.3%
1,000,000 Kinetic Concepts, Inc./KCI USA, Inc. ....................... 12.50% 11/01/19 1,160,000
-------------
HEALTH CARE FACILITIES - 0.9%
350,000 CHS/Community Health Systems, Inc. (e) ..................... 6.88% 02/01/22 372,969
800,000 Tenet Healthcare Corp. (e) ................................. 6.00% 10/01/20 861,500
2,250,000 Vantage Oncology, LLC/Vantage Oncology
Finance Co. (e) ........................................ 9.50% 06/15/17 2,323,125
-------------
3,557,594
-------------
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc. (Payment-In-Kind Election Note)
(f) (g) (h) (i) ........................................ 14.75% 07/01/15 0
-------------
LIFE SCIENCES TOOLS & SERVICES - 0.1%
400,000 inVentiv Health, Inc. (e) .................................. 9.00% 01/15/18 428,000
-------------
SPECIALTY CHEMICALS - 0.2%
850,000 Hexion U.S. Finance Corp. .................................. 6.63% 04/15/20 882,937
-------------
TOTAL CORPORATE BONDS AND NOTES ......................................................... 9,502,281
(Cost $9,499,813) -------------
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- ----------------------------------------------------------------------------------------- -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (f) (h) (j) ......................................................... $ 7,812
-------------
TOTAL WARRANTS .......................................................................... 7,812
(Cost $0) -------------
COMMON STOCKS - 0.0%
DIVERSIFIED CHEMICALS - 0.0%
20 LyondellBasell Industries N.V., Class A (h) ............................................. 1,762
-------------
TOTAL COMMON STOCKS ..................................................................... 1,762
(Cost $0) -------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, 07/01/15 maturity date, Series A Convertible
Payment-In-Kind Preferred Stock) (f) (g) (h) (j) ........................................ 0
-------------
TOTAL PREFERRED STOCKS .................................................................. 0
(Cost $2,563,636) ....................................................................... -------------
TOTAL INVESTMENTS - 149.2% .............................................................. 597,650,799
(Cost $599,570,281) (k)
OUTSTANDING LOAN - (44.2%) .............................................................. (177,000,000)
NET OTHER ASSETS AND LIABILITIES - (5.0%) ............................................... (20,117,309)
-------------
NET ASSETS - 100.0% ..................................................................... $ 400,533,490
=============
---------------------------------------
(a) All or a portion of the securities are available to serve as
collateral on the outstanding loan.
(b) Senior Floating-Rate Loan Interests ("Senior Loans") in which the
Fund invests pay interest at rates which are periodically
predetermined by reference to a base lending rate plus a premium.
These base lending rates are generally (i) the lending rate offered
by one or more major European banks, such as the London Inter-Bank
Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more
United States banks or (iii) the certificate of deposit rate.
Certain Senior Loans are subject to a LIBOR floor that establishes a
minimum LIBOR rate. The interest rate shown reflects the rate in
effect at February 28, 2014. When a range of rates is disclosed the
Fund holds more than one contract within the same tranche at varying
rates.
(c) Senior Loans generally are subject to mandatory and/or optional
prepayment. As a result, the actual remaining maturity of Senior
Loans may be substantially less than the stated maturities shown.
(d) This issuer is in default and interest is not being accrued by the
Fund nor paid by the issuer.
(e) This security, sold within the terms of a private placement
memorandum, is exempt from registration upon resale under Rule 144A
under the Securities Act of 1933, as amended, and may be resold in
transactions exempt from registration, normally to qualified
institutional buyers. Pursuant to procedures adopted by the Fund's
Board of Trustees, this security has been determined to be liquid by
First Trust Advisors L.P., the Fund's advisor. Although market
instability can result in periods of increased overall market
illiquidity, liquidity for each security is determined based on
security specific factors and assumptions, which require subjective
judgment. At February 28, 2014, securities noted as such amounted to
$6,116,844 or 1.53% of net assets.
Page 14 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
(f) This security is fair valued 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.
(g) This issuer has filed for protection in federal bankruptcy court.
(h) This security is restricted and cannot be offered for public sale
without first being registered under the Securities Act of 1933, as
amended. Prior to registration, restricted securities may only be
resold in transactions exempt from registration (See Note 2D -
Restricted Securities in the Notes to Quarterly Portfolio of
Investments).
(i) This Note is a Senior Subordinated Payment-in-Kind Election Note
whereby 1.00% of interest per annum is to be paid in cash and 13.75%
of interest per annum shall be paid by the issuer, at its option (i)
entirely in cash, (ii) entirely in Payment-in-Kind interest or (iii)
a combination thereof. Interest is to be paid semi-annually,
however, the issuer is in default and income is not being accrued.
(j) Non-income producing security.
(k) Aggregate cost for financial reporting purposes, which approximates
the aggregate cost for federal income tax purposes. As of February
28, 2014, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$3,425,017 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$5,344,499.
See Notes to Quarterly Portfolio of Investments Page 15
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2014 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2014 is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2014 PRICES INPUTS INPUTS
------------ ----------- ------------ ------------
Senior Floating-Rate Loan Interests:
Senior Floating-Rate Loan Interests:
Life Sciences Tools & Services $ 19,142,868 $ -- $ 9,192,868 $ 9,950,000
Other Industry Categories* 568,996,076 -- 568,996,076 --
------------ ----------- ------------ ------------
Total Senior Floating-Rate Loan Interests 588,138,944 -- 578,188,944 9,950,000
Corporate Bonds and Notes* 9,502,281 -- 9,502,281 -- **
Warrants* 7,812 -- 7,812 --
Common Stocks* 1,762 1,762 -- --
Preferred Stocks* -- -- -- -- **
------------ ----------- ------------ ------------
TOTAL INVESTMENTS $597,650,799 $ 1,762 $587,699,037 $ 9,950,000
============ =========== ============ ============
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 February 28, 2014. Level 3 Senior Floating-Rate Loan
Interests are valued based on third party pricing service prices obtained from
dealer runs and indicative sheets from brokers and are typically loan interests
that are less liquid.
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, 2013
Senior Floating-Rate Loan Interests $ --
Corporate Bonds and Notes -- **
Warrants --
Common Stocks --
Preferred Stocks -- **
Net Realized Gain (Loss)
Senior Floating-Rate Loan Interests --
Net Change in Unrealized Appreciation/Depreciation
Senior Floating-Rate Loan Interests --
Purchases
Senior Floating-Rate Loan Interests 9,950,000
Sales
Senior Floating-Rate Loan Interests --
Transfers In
Senior Floating-Rate Loan Interests --
Transfers Out
Senior Floating-Rate Loan Interests --
-------------
ENDING BALANCE AT FEBRUARY 28, 2014
Senior Floating-Rate Loan Interests 9,950,000
Corporate Bonds and Notes -- **
Warrants --
Common Stocks --
Preferred Stocks -- **
-------------
Total Level 3 holdings $ 9,950,000
=============
* 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.
** Market value is less than $1.
Page 16
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
FEBRUARY 28, 2014 (UNAUDITED)
1. ORGANIZATION
First Trust Senior Floating Rate Income Fund II (the "Fund") is a diversified,
closed-end management investment company organized as a Massachusetts business
trust on March 25, 2004, and is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended (the "1940
Act"). The Fund trades under the ticker symbol FCT on the New York Stock
Exchange ("NYSE").
2.VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of the Fund is determined daily
as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time,
on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The NAV per Common Share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value, in
accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Market quotations and prices
used to value the Fund's investments are primarily obtained from third party
pricing services. 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 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.
Corporate bonds, corporate notes and other debt securities are valued on
the basis of valuations provided by dealers who make markets in such
securities or by an independent pricing service approved by the Fund's
Board of Trustees, which may use the following valuation inputs when
available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Common stocks and other 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.
Securities traded in an over-the-counter market are valued at the mean of
the most recent bid and asked prices, if available, and otherwise at their
closing bid price.
Debt securities having a remaining maturity of sixty days or less when
purchased are valued at cost adjusted for amortization of premiums and
accretion of discounts.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Fund's Board of Trustees or its
delegate at fair value. These securities generally include, but are not limited
to, restricted securities (securities which may not be publicly sold without
registration under the Securities Act of 1933, as amended) for which a pricing
service is unable to provide a market price; securities whose trading has been
formally suspended; a security whose market 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 a 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
1 The terms "security" and "securities" used throughout the Notes to
Quarterly Portfolio of Investments include Senior Loans.
Page 16
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
FEBRUARY 28, 2014 (UNAUDITED)
"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. The use of fair value prices by a Fund
generally results in prices used by the Fund that may differ from current market
quotations or official closing prices on the applicable exchange. A variety of
factors may be considered in determining the fair value of such securities,
including, but not limited to, the following:
1) the fundamental business data relating to the borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the borrower/issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower/issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and
14) other relevant factors.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of February 28, 2014, is
included with the Fund's Portfolio of Investments.
B. SECURITY TRANSACTIONS:
Security transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed delivery or forward purchase commitments. The Fund
had no when-issued, delayed-delivery or forward purchase commitments as of
February 28, 2014.
C. UNFUNDED LOAN COMMITMENTS:
The Fund may enter into certain loan commitments, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund had no unfunded delayed draw loan commitments as
of February 28, 2014.
Page 17
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
FEBRUARY 28, 2014 (UNAUDITED)
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 Securities Act
of 1933, as amended (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
February 28, 2014, the Fund held restricted securities as shown in the following
table. The Fund does not have the right to demand that such securities be
registered. These securities are valued according to the valuation procedures as
stated in the Portfolio Valuation footnote (Note 2A) and are not expressed as a
discount to the carrying value of a comparable unrestricted investment. There
are no unrestricted investments with the same maturity dates and yields for
these issuers.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHARES
------------------------------------------- ------------ ------------- ----------- -------------- ----------- ------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $ 5.39 $ -- $ 7,812 0.00% *
LyondellBasell Industries N.V., Class A
Common Stock 12/17/12 20 88.1 -- 1,762 0.00 *
TOUSA, Inc. - Notes 7/31/07(1) $ 727,273 -- 436,364 -- 0.00
TOUSA, Inc. - Preferred Stock 7/31/07(1) 4,273 -- 2,563,636 -- 0.00
-------------- ----------- ------------
$ 3,000,000 $ 9,574 0.00% *
============== =========== ============
* Amount is less than 0.01%.
(1) Security was acquired through a restructuring that was effective on July
31, 2007.
Page 18
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: April 17, 2014
-------------------
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: April 17, 2014
-------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: April 17, 2014
-------------------
*Print the name and title of each signing officer under his or her signature.