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, 2017
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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, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 138.3%
AEROSPACE & DEFENSE - 2.0%
$ 400,000 B/E Aerospace, Inc., Term Loan B ............................. 3.89%-4.00% 12/16/21 $ 401,624
6,407,524 Transdigm, Inc., Term Loan F - Extended ...................... 3.78% 06/15/23 6,438,408
780,000 Transdigm, Inc., Tranche D Term Loan ......................... 3.78%-4.00% 06/04/21 782,785
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7,622,817
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ALTERNATIVE CARRIERS - 1.4%
5,412,772 Level 3 Financing, Inc., Tranche B 2024 Term Loan ............ 3.31% 02/15/24 5,437,887
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APPAREL RETAIL - 0.4%
1,531,976 Neiman Marcus Group, Inc., The, Other Term Loan .............. 4.25% 10/25/20 1,232,720
249,375 Samsonite International S.A., Term Loan B .................... 3.50% 08/01/23 251,662
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1,484,382
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APPLICATION SOFTWARE - 4.6%
4,593,834 Epicor Software Corp., Term B Loan ........................... 4.75% 06/01/22 4,605,319
1,270,542 Infor (US), Inc., Term Loan B ................................ 3.75% 02/02/22 1,271,444
2,709,295 Informatica Corp. (Ithacalux S.A.R.L), Dollar Term Loan ...... 4.50% 08/05/22 2,692,362
995,960 JDA Software Group (RP Crown Parent, Inc.), Term Loan B ...... 4.50% 09/21/23 1,004,365
2,688,000 Kronos, Inc., 1st Lien Term Loan ............................. 5.00%-5.03% 10/31/23 2,718,509
991,667 LANDesk Software, Inc., Term Loan B .......................... 5.25% 01/18/24 996,446
2,520,870 Mitchell International, Inc., Initial Term Loan .............. 4.50%-4.54% 10/13/20 2,535,063
500,000 Synchronoss Technologies, Inc., Term Loan B .................. 4.08% 01/31/24 501,250
1,346,755 Triple Point Technologies, Inc., Term Loan B.................. 5.25% 07/10/20 1,188,929
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17,513,687
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ASSET MANAGEMENT & CUSTODY BANKS - 2.2%
770,609 American Beacon Advisors, Inc., Term Loan B .................. 5.25% 03/15/22 772,859
1,306,226 Guggenheim Partners Investment Management Holdings LLC,
Term Loan B ............................................... 3.53% 07/22/23 1,315,043
1,423,558 Hamilton Lane Advisors LLC, Initial Term Loan ................ 4.28% 07/08/22 1,427,714
631,189 Mondrian Investment Partners Ltd. (MIPL Group Ltd.),
Term Loan B ............................................... 4.00% 03/05/20 632,375
4,437,500 Victory Capital Holdings (VCH Holdings LLC), Initial
Term Loan ................................................. 8.50% 10/29/21 4,474,953
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8,622,944
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AUTO PARTS & EQUIPMENT - 0.5%
794,667 Cooper Standard Holdings (CS Intermediate Holdco 2 LLC),
Term Loan B ............................................... 3.75% 11/15/23 803,607
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
AUTO PARTS & EQUIPMENT (CONTINUED)
$ 1,252,929 Tower Automotive Holdings USA LLC, Initial Term Loan (2014)... 4.06% 04/23/20 $ 1,252,929
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2,056,536
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AUTOMOTIVE RETAIL - 0.5%
2,056,552 KAR Auction Services, Inc., Tranche B-3 Term Loan ............ 4.50% 03/09/23 2,080,984
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BROADCASTING - 3.3%
2,798,370 Cumulus Media Holdings, Inc., Term Loan ...................... 4.25% 12/23/20 2,038,444
33,745 Nexstar Broadcasting, Inc., Mission Term Loan ................ 3.77% 09/26/23 34,262
355,345 Nexstar Broadcasting, Inc., Nexstar Term Loan ................ 3.77% 09/22/23 360,786
599,924 Tribune Media Co., Extended Term Loan C ...................... 3.78% 01/31/24 604,987
48,013 Tribune Media Co., Term B Loan ............................... 3.77% 12/27/20 48,013
2,615,678 Univision Communications, Inc., 2013 Incremental Term Loan ... 4.00% 03/01/20 2,622,584
6,874,764 Univision Communications, Inc., Replacement First-Lien Term
Loan ...................................................... 4.00% 03/01/20 6,899,307
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12,608,383
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BUILDING PRODUCTS - 1.7%
192,548 Jeld-Wen, Inc., Term Loan B .................................. 4.75% 07/01/22 193,751
6,254,545 Quikrete Holdings, Inc., Term Loan B ......................... 4.02% 11/04/23 6,326,848
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6,520,599
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CABLE & SATELLITE - 1.0%
328,125 Cablevision Systems Corp. (CSC Holdings, Inc.), TL B ......... 3.77% 10/01/24 331,268
1,569,395 Cequel Communications LLC (Altice US Finance I Corp.), Term
Loan B .................................................... 3.88% 10/31/24 1,585,748
412,500 Mediacom Broadband LLC, Term Loan K .......................... 3.00% 02/19/24 414,047
1,200,000 UPC Financing Partnership, Term Loan AP ...................... 3.52% 04/15/25 1,203,900
340,000 Virgin Media Finance PLC, Term Loan I ........................ 3.52% 01/31/25 341,323
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3,876,286
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CASINOS & GAMING - 9.8%
721,875 Amaya Holdings B.V., 2nd Lien TL ............................. 8.00% 07/31/22 723,904
10,641,310 Amaya Holdings B.V., Term Loan B ............................. 4.50% 08/01/21 10,641,310
748,125 Boyd Gaming Corp., Term Loan B2 .............................. 3.59% 08/31/23 756,010
5,069,224 Caesars Entertainment Resort Properties LLC, Term B Loan ..... 7.00% 10/11/20 5,111,451
9,936,141 Caesars Growth Partners LLC, Term B Loan (First Lien) ........ 6.25% 05/08/21 9,989,995
4,316,389 CityCenter Holdings LLC, Term Loan B ......................... 3.75% 10/16/20 4,369,264
381,731 MGM Growth Properties Operating Partnership LP, Term Loan B... 3.28% 04/25/23 384,712
333,333 Penn National Gaming, Inc., Term Loan B ...................... 3.28% 01/13/24 335,903
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
CASINOS & GAMING (CONTINUED)
$ 5,273,500 Station Casinos, Inc., Term Loan B ........................... 3.28% 06/08/23 $ 5,296,914
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37,609,463
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COAL & CONSUMABLE FUELS - 0.4%
800,000 Arch Coal, Inc., Term Loan B (d).............................. 5.00% 02/28/24 800,000
660,000 Peabody Energy Corp., Exit Term Loan ......................... 6.25% 02/28/22 664,673
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1,464,673
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COMMERCIAL PRINTING - 0.3%
1,214,113 Southern Graphic, Inc., Term Loan ............................ 4.25% 10/17/19 1,226,254
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CONSTRUCTION MATERIALS - 0.2%
640,250 Summit Materials, Inc., Term Loan B .......................... 3.53%-3.75% 07/17/22 647,184
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CONSUMER FINANCE - 1.4%
2,503,789 Altisource Solutions S.A.R.L., Term B Loan ................... 4.50% 12/09/20 2,447,454
3,064,626 Walter Investment Management Corp., Tranche B Term Loan ...... 4.75% 12/18/20 2,903,305
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5,350,759
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DISTRIBUTORS - 0.3%
498,750 HD Supply, Inc., Term B-2 Loan ............................... 3.75% 08/13/23 502,491
635,045 HD Supply, Inc., Term Loan B ................................. 3.75% 08/13/21 639,414
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1,141,905
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DIVERSIFIED CHEMICALS - 0.1%
392,996 Ineos US Finance LLC, Term Loan B ............................ 3.81% 03/31/22 394,718
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DIVERSIFIED SUPPORT SERVICES - 0.2%
816,667 Brickman Group Holdings, Inc, Second Lien Term Loan .......... 7.50% 12/31/21 820,407
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EDUCATION SERVICES - 0.1%
245,937 Bright Horizons Family Solutions, Inc., Term Loan B .......... 3.52% 11/03/23 248,440
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ELECTRIC UTILITIES - 2.8%
375,000 Dayton Power & Light Co., Term Loan B ........................ 4.04% 08/31/22 377,812
740,306 Lightstone Generation LLC, Term Loan B ....................... 6.54% 12/31/23 750,796
70,505 Lightstone Generation LLC, Term Loan C ....................... 6.54% 12/31/23 71,504
1,800,000 Vistra Energy Corp. (TXU/TEX/TCEH), 2016 Incremental Term
Loan (e) .................................................. 4.02% 12/31/23 1,810,404
6,162,786 Vistra Energy Corp. (TXU/TEX/TCEH), Term Loan B (e)........... 3.53% 08/04/23 6,190,518
1,405,548 Vistra Energy Corp. (TXU/TEX/TCEH), Term Loan C (e)........... 3.53% 08/04/23 1,411,873
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10,612,907
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ENVIRONMENTAL & FACILITIES SERVICES - 1.0%
621,272 PSSI (Packers Holdings LLC), Term B Loan ..................... 4.75% 12/02/21 630,591
1,594,103 ServiceMaster Co., Term Loan B ............................... 3.28% 11/02/23 1,610,044
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
ENVIRONMENTAL & FACILITIES SERVICES (CONTINUED)
$ 1,552,000 WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan
(First Lien) .............................................. 4.75% 01/15/21 $ 1,557,820
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3,798,455
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FOOD DISTRIBUTORS - 0.3%
1,194,000 US Foods, Inc., Term Loan B .................................. 3.53% 06/27/23 1,208,626
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FOOD RETAIL - 2.7%
10,171,499 Albertsons LLC, Term Loan B4 ................................. 3.78% 08/22/21 10,292,336
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HEALTH CARE EQUIPMENT - 1.2%
1,341,614 Alere, Inc., Term B Loan ..................................... 4.25% 06/15/22 1,343,921
3,250,500 DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial
Term Loan ................................................. 4.25% 06/08/20 3,189,553
200,000 Kinetic Concepts, Inc. (Acelity L.P., Inc.), Term Loan B ..... 4.28% 01/31/24 199,876
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4,733,350
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HEALTH CARE FACILITIES - 7.8%
1,081,379 Acadia Healthcare Co., Inc., Term Loan B1 .................... 3.78% 02/11/22 1,089,035
1,237,500 Acadia Healthcare Co., Inc., Term Loan B2 .................... 3.78% 02/15/23 1,247,165
9,533,657 CHS/Community Health Systems, Inc., Incremental 2021 Term H
Loan ...................................................... 4.00%-4.05% 01/27/21 9,365,770
1,354,375 Concentra, Inc. (MJ Acquisition Corp.), Term Loan B .......... 4.00%-5.75% 05/15/22 1,362,000
6,636,274 Kindred Healthcare, Inc., New Term Loan ...................... 4.31% 04/09/21 6,590,682
2,697,051 National Veterinary Associates (NVA Holdings, Inc.), Term
Loan B2 ................................................... 4.50% 08/14/21 2,724,021
7,527,976 Select Medical Corp., Term Loan F ............................ 6.00%-7.75% 02/28/21 7,527,976
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29,906,649
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HEALTH CARE SERVICES - 9.9%
3,981,576 21st Century Oncology, Inc., Tranche B Term Loan ....... 7.13% 04/30/22 3,686,940
3,447,500 Air Medical Group Holdings, Inc., Initial Term Loan .... 4.25% 04/28/22 3,451,809
3,932,611 CareCore National LLC, Term Loan ....................... 5.50% 03/05/21 3,947,358
1,570,295 CHG Healthcare Services, Inc, Term Loan B.............. 4.75% 05/31/23 1,589,923
3,193,125 Curo Health Services Holdings, Inc., Term Loan B ....... 5.75%-5.79% 02/15/22 3,205,099
4,349,550 Envision Healthcare Corp. (Emergency Medical Services Corp.),
Term Loan B ............................................... 4.00% 11/15/23 4,402,092
665,000 ExamWorks Group, Inc., Term Loan B ..................... 4.25% 07/27/23 671,650
4,646,800 Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First
Lien) ..................................................... 5.25% 07/01/21 4,283,792
1,474,933 Surgery Centers Holdings, Inc., Term Loan B................... 4.75% 11/03/20 1,483,237
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
HEALTH CARE SERVICES (CONTINUED)
$ 982,538 Surgical Care Affiliates LLC, Term Loan B .................... 3.75% 03/17/22 $ 983,766
5,280,000 Team Health, Inc., Term Loan B ............................... 3.75% 01/31/24 5,263,526
5,352,142 U.S. Renal Care, Inc., Term Loan B ........................... 5.25% 12/30/22 4,923,970
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37,893,162
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HEALTH CARE SUPPLIES - 0.1%
414,894 ConvaTec, Inc., Term Loan B .................................. 3.28% 10/31/23 417,748
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HEALTH CARE TECHNOLOGY - 0.7%
600,000 Change Healthcare Holdings, Inc., Term Loan B ................ 3.75% 02/02/24 602,502
2,056,810 Cotiviti Corp., Term Loan B .................................. 3.61% 09/28/23 2,070,961
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2,673,463
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HOTELS, RESORTS & CRUISE LINES - 0.5%
1,436,400 Extended Stay America (ESH Hospitality, Inc.), Term Loan B ... 3.78% 08/30/23 1,446,096
450,000 Four Seasons Holdings, Inc., Term Loan B ..................... 3.75% 11/21/23 456,106
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1,902,202
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HOUSEHOLD PRODUCTS - 0.2%
691,706 Spectrum Brands, Inc., Term Loan B ........................... 3.25%-3.51% 06/23/22 700,255
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HYPERMARKETS & SUPER CENTERS - 2.5%
8,380,211 BJ's Wholesale Club, Inc., 1st Lien Term Loan ................ 4.75% 01/31/24 8,312,164
1,451,165 BJ's Wholesale Club, Inc., 2nd Lien Term Loan ................ 8.50% 01/26/25 1,449,046
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9,761,210
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INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.5%
1,975,000 Calpine Corp., Term Loan B5 .................................. 3.50% 01/16/24 1,984,144
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INDUSTRIAL CONGLOMERATES - 2.7%
9,988,422 Gardner Denver, Inc., Initial Dollar Term Loan ............... 4.25%-4.57% 07/30/20 9,963,451
340,000 Rexnord (RBS Global, Inc.), Term Loan B ...................... 3.75%-3.79% 08/21/23 341,860
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10,305,311
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INDUSTRIAL MACHINERY - 0.3%
1,176,000 Douglas Dynamics LLC, Term Loan B ............................ 4.50% 12/31/21 1,178,940
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INSURANCE BROKERS - 3.7%
1,200,000 Amwins Group LLC, Term Loan B (First Lien) ................... 3.75% 01/31/24 1,206,000
4,166,667 Confie Seguros Holding II Co., Term Loan B.................... 5.75% 03/30/22 4,183,167
2,521,693 HUB International Ltd., Initial Term Loan (New) .............. 4.00%-4.03% 10/02/20 2,540,731
1,750,000 National Financial Partners Corp., Term Loan B ............... 4.50% 12/09/23 1,768,602
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
INSURANCE BROKERS (CONTINUED)
$ 4,642,638 USI, Inc. (Compass Investors, Inc.), Initial Term Loan ....... 4.25% 12/27/19 $ 4,667,801
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14,366,301
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INTEGRATED TELECOMMUNICATION SERVICES - 3.3%
1,754,444 Cincinnati Bell, Inc., Tranche B Term Loan ................... 4.00% 09/10/20 1,768,340
1,915,633 Hawaiian Telcom Communications, Inc., Term Loan .............. 5.25%-5.29% 06/06/19 1,915,633
4,688,358 Numericable U.S. LLC (Altice France S.A.), Term Loan B10 ..... 4.29% 01/31/25 4,721,551
3,123,993 Numericable U.S. LLC (Altice France S.A.), USD TLB-7 Loan .... 5.29% 01/15/24 3,150,765
1,083,333 Zayo Group Holdings, Inc., Term Loan B2 ...................... 3.50% 01/12/24 1,093,473
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12,649,762
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LEISURE FACILITIES - 2.0%
3,664,780 ClubCorp Club Operations, Inc., Term Loan B .................. 4.00% 12/15/22 3,686,916
1,396,228 Life Time Fitness, Inc., Term Loan B ......................... 4.00% 06/10/22 1,402,776
2,654,296 Planet Fitness Holdings LLC, Term Loan B ..................... 4.28%-4.50% 03/31/21 2,670,885
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7,760,577
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LIFE SCIENCES TOOLS & SERVICES - 6.6%
5,298,678 Immucor, Inc., Term B-2 Loan ................................. 5.00% 08/19/18 5,230,219
5,833,333 InVentiv Health, Inc., Term Loan B ........................... 4.80% 09/30/23 5,868,858
520,108 Millennium Laboratories LLC (New Millennium Holdco.), Closing
Date Term Loan (f) ........................................ 7.50% 12/21/20 262,654
7,489,736 Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.),
Initial Term Loan ......................................... 4.75% 06/30/21 7,417,460
4,319,037 Pharmaceutical Product Development, Inc., Initial Term Loan... 4.25% 08/18/22 4,340,632
2,172,500 Sterigenics International (STHI Intermediate Holding Corp.),
Initial Term Loan ......................................... 4.25% 05/16/22 2,171,153
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25,290,976
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MANAGED HEALTH CARE - 1.6%
5,903,911 MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B... 5.00% 06/15/23 5,993,532
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METAL & GLASS CONTAINERS - 0.8%
369,127 Ardagh Holdings USA, Inc. (Ardagh Packaging Finance S.A.),
Term Loan B ............................................... 4.01% 12/17/21 370,050
2,564,191 Berlin Packaging LLC, Initial Term Loan (First Lien) ......... 4.50% 10/01/21 2,584,807
173,913 Berry Plastics Corp., Term Loan J ............................ 3.28% 01/12/23 174,951
-------------
3,129,808
-------------
MOVIES & ENTERTAINMENT - 1.9%
279,792 AMC Entertainment, Inc., Term Loan B ......................... 3.52% 12/15/22 282,741
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
MOVIES & ENTERTAINMENT (CONTINUED)
$ 386,667 AMC Entertainment, Inc., Term Loan B1 ........................ 3.53% 12/15/23 $ 390,727
1,000,000 Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B... 4.50% 02/15/24 1,009,380
4,350,283 Formula One (Delta 2 Lux S.A.R.L.), Term Loan B .............. 4.25% 02/01/24 4,360,550
1,157,100 Live Nation Entertainment, Inc., Term Loan B ................. 3.31% 11/15/23 1,170,603
-------------
7,214,001
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.4%
1,000,000 American Energy Marcellus Holdings LLC (Ascent Resources -
Marcellus LLC), Initial Loan (First Lien) ................. 5.28% 08/04/20 710,000
1,888,889 American Energy Marcellus Holdings LLC (Ascent Resources -
Marcellus LLC), Initial Loan (Second Lien) ................ 8.53% 08/04/21 236,111
1,000,000 Fieldwood Energy LLC, Closing Date Loan (Second Lien) ........ 8.38% 09/30/20 750,000
-------------
1,696,111
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 2.7%
4,186,319 First Data Corp., Term Loan 2021 ............................. 3.78% 03/24/21 4,222,279
2,760,000 iPayment, Inc., Term Loan .................................... 6.75% 05/08/17 2,732,400
3,184,000 Wex, Inc., Term Loan B ....................................... 4.28% 06/30/23 3,231,760
-------------
10,186,439
-------------
PACKAGED FOODS & MEATS - 4.3%
5,486,250 Amplify Snack Brands, Inc., Term Loan B ...................... 6.50% 08/31/23 5,342,236
682,784 B&G Foods, Inc., Tranche B Term Loan ......................... 3.78% 11/02/22 689,045
10,283,140 New HB Acquisition LLC, Term Loan B .......................... 4.00% 08/03/22 10,403,967
-------------
16,435,248
-------------
PAPER PACKAGING - 2.7%
10,349,166 Reynolds Group Holdings, Inc., Term Loan B ................... 3.31% 02/05/23 10,426,785
-------------
PERSONAL PRODUCTS - 0.0%
114,286 Prestige Brands, Inc., Term Loan B4 .......................... 3.53% 01/19/24 115,666
-------------
PHARMACEUTICALS - 10.6%
1,682,692 Akorn, Inc., Loan ............................................ 5.25% 04/16/21 1,705,829
781,250 AMAG Pharmaceuticals, Inc., Initial Term Loan ................ 4.75% 08/17/21 779,297
3,573,339 Amneal Pharmaceuticals LLC, Term Loan B ...................... 4.50%-6.25% 11/01/19 3,585,846
2,153,718 Catalent Pharma Solutions, Inc., Term Loan B ................. 3.75% 05/20/21 2,178,852
10,259,315 Concordia Healthcare Corp., Initial Dollar Term Loan ......... 5.25% 10/21/21 8,366,472
5,353,444 Endo Pharmaceuticals Holdings, Inc., 2015 Incremental Term B
Loan ...................................................... 3.81% 06/27/22 5,374,483
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
$ 660,000 Grifols Worldwide Operations Ltd., Term Loan B ............... 2.96% 01/19/25 $ 662,165
4,480,523 Horizon Pharma, Inc., Term Loan B ............................ 5.00% 04/30/21 4,517,846
2,359,898 Patheon, Inc. (JLL/Delta Dutch Newco B.V.), Initial Dollar
Term Loan ................................................. 4.25% 03/11/21 2,369,927
496,225 Valeant Pharmaceuticals International, Inc., Series C-2
Tranche B Term Loan ....................................... 5.00% 12/11/19 498,399
9,664,941 Valeant Pharmaceuticals International, Inc., Series F-1
Tranche B Term Loan ....................................... 5.53% 04/01/22 9,725,347
1,009,488 Valeant Pharmaceuticals International, Inc., Term Loan BD .... 5.25% 02/13/19 1,013,910
-------------
40,778,373
-------------
PROPERTY & CASUALTY INSURANCE - 1.0%
194,886 Cunningham Lindsey U.S., Inc., Initial Loan (Second
Lien) (g) ................................................. 9.32% 06/10/20 90,866
2,787,266 Cunningham Lindsey U.S., Inc., Initial Term Loan (First
Lien) ..................................................... 5.00%-5.07% 12/10/19 2,442,342
1,200,000 Sedgwick Claims Management Services, Inc., Initial Loan
(Second Lien) ............................................. 6.75% 02/28/22 1,203,504
-------------
3,736,712
-------------
REAL ESTATE SERVICES - 2.5%
9,566,968 DTZ Worldwide LTD., 2015-1 Additional Term Loan .............. 4.25%-4.30% 11/04/21 9,619,108
121,053 Realogy Corp., Term Loan B ................................... 3.03% 07/20/22 121,961
-------------
9,741,069
-------------
RESEARCH & CONSULTING SERVICES - 4.9%
4,995,907 Acosta, Inc., Term Loan B .................................... 4.25% 09/26/21 4,872,559
6,777,565 Advantage Sales & Marketing, Inc., Initial Term Loan (First
Lien) ..................................................... 4.25% 07/23/21 6,743,677
300,000 Information Resources, Inc., Second Lien Term Loan ........... 9.25% 12/31/24 297,999
2,650,000 Information Resources, Inc., Term Loan B ..................... 5.25% 12/31/23 2,681,482
4,312,957 TransUnion LLC, Term Loan B-2 ................................ 3.28% 04/09/23 4,357,423
-------------
18,953,140
-------------
RESTAURANTS - 6.6%
1,417,665 Burger King Corp. (1011778 B.C. ULC), Term Loan B ............ 3.25% 02/15/24 1,416,787
3,857,369 Focus Brands, Inc., Term Loan B .............................. 5.00% 10/15/23 3,906,782
2,220,000 Landry's Restaurants, Inc., Term Loan B ...................... 4.03% 09/19/23 2,242,666
8,341,454 Portillo's Holdings LLC, Second Lien Term Loan ............... 9.00% 08/15/22 8,362,308
7,935,738 Portillo's Holdings LLC, Term B Loan (First Lien) ............ 5.50% 08/02/21 7,995,256
1,256,786 Red Lobster Management LLC, Initial Term Loan (First Lien) ... 6.25% 07/28/21 1,272,496
-------------
25,196,295
-------------
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
RETAIL REITS - 0.8%
$ 1,050,000 Capital Automotive LLC, Term Loan (Second Lien) .............. 6.00% 04/30/20 $ 1,057,875
1,802,320 Capital Automotive LLC, Tranche B-1 Term Loan Facility ....... 4.00% 04/10/19 1,819,225
-------------
2,877,100
-------------
SECURITY & ALARM SERVICES - 0.2%
177,375 Garda World Security Corp., Term B Delayed Draw Loan ......... 4.00% 11/06/20 178,040
693,375 Garda World Security Corp., Term Loan B ...................... 4.00% 10/18/20 695,975
-------------
874,015
-------------
SEMICONDUCTORS - 1.2%
2,501,252 Micron Technology, Inc., Term Loan B ......................... 4.54% 04/26/22 2,532,718
2,029,800 Western Digital Corp., Term Loan B ........................... 4.53% 08/31/23 2,040,578
-------------
4,573,296
-------------
SOFT DRINKS - 0.6%
2,118,832 Keurig Green Mountain, Inc. (Maple Holdings Acquisition
Corp.), Term B USD Loan ................................... 5.25%-5.31% 03/03/23 2,141,355
-------------
SPECIALIZED CONSUMER SERVICES - 2.7%
873,645 Asurion LLC, New Term Loan B-2 ............................... 4.03% 07/08/20 882,932
1,058,824 Asurion LLC, Term Loan (Second Lien) ......................... 8.50% 03/03/21 1,073,383
3,022,784 Asurion LLC, Term Loan B5 .................................... 4.75% 11/03/23 3,061,657
4,597,743 Asurion LLC, TL- B4 .......................................... 4.25% 08/04/22 4,652,364
650,000 TKC Holdings, Inc., Term Loan B .............................. 4.75% 01/31/23 654,875
-------------
10,325,211
-------------
SPECIALIZED FINANCE - 1.0%
1,283,783 AlixPartners LLP, Term Loan B ................................ 4.00% 07/28/22 1,295,709
2,495,159 Duff & Phelps Corp., Initial Term Loan ....................... 4.75% 04/23/20 2,511,378
-------------
3,807,087
-------------
SPECIALTY CHEMICALS - 0.5%
1,403,416 Platform Specialty Products Corp. (fka: Macdermid, Inc.),
Term Loan B ............................................... 3.50% 10/31/23 1,418,503
525,333 Trinseo Materials Operating S.C.A., Term Loan B .............. 4.25% 10/13/21 530,261
-------------
1,948,764
-------------
SPECIALTY STORES - 2.5%
627,481 Coinstar, Inc. (Aspen Merger Sub, Inc.), Term Loan B ......... 5.25% 09/27/23 632,777
913,034 Party City Holdings, Inc., Term Loan B ....................... 3.79% 08/19/22 905,803
3,735,107 PetSmart, Inc., Term Loan B .................................. 4.00% 03/10/22 3,676,727
2,993,531 Toys "R" US-Delaware, Inc., Term B-2 Loan..................... 5.25% 05/25/18 2,798,952
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED
VALUE DESCRIPTION RATE (b) MATURITY (c) VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
SENIOR FLOATING-RATE LOAN INTERESTS (CONTINUED)
SPECIALTY STORES (CONTINUED)
$ 2,001,584 Toys "R" US-Delaware, Inc., Term B4 Loan ..................... 9.80% 04/25/20 $ 1,679,109
-------------
9,693,368
-------------
SYSTEMS SOFTWARE - 5.7%
670,909 Applied Systems, Inc., Initial Term Loan (First Lien) ........ 4.00% 01/25/21 675,438
533,266 Applied Systems, Inc., Initial Term Loan (Second Lien) ....... 7.50% 01/24/22 537,266
1,629,375 Avast Software B.V. (Sybil Software LLC), Term Loan B ........ 5.00% 08/31/22 1,652,805
12,292,113 BMC Software Finance, Inc., Initial US Term Loan ............. 5.00% 09/10/20 12,354,312
2,153,808 Compuware Corp., Term Loan B3 ................................ 5.25% 12/15/21 2,152,731
680,000 Riverbed Technology, Inc., Term Loan B ....................... 4.25% 04/24/22 685,195
3,890,250 Vertafore, Inc., Term Loan B ................................. 4.25% 06/17/23 3,921,878
-------------
21,979,625
-------------
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 3.7%
11,803,455 Dell, Inc. (Diamond 1 Finance Corp.), Term Loan B ............ 3.25% 09/07/23 11,875,456
2,125,319 Vertiv, Inc. (Cortes NP Acquisition), Term Loan B ............ 6.00%-6.04% 10/15/23 2,140,367
-------------
14,015,823
-------------
TRADING COMPANIES & DISTRIBUTORS - 0.2%
720,000 Avolon Holding LTD., Term Loan B2 ............................ 3.50% 01/19/22 732,456
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS................................................ 530,735,961
(Cost $534,332,838) -------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
CORPORATE BONDS AND NOTES - 5.9%
AUTO PARTS & EQUIPMENT - 0.1%
500,000 MPG Holdco I, Inc. ........................................... 7.38% 10/15/22 542,700
-------------
CABLE & SATELLITE - 0.5%
1,000,000 CCO Holdings LLC/CCO Holdings Capital Corp. .................. 5.75% 01/15/24 1,052,000
1,000,000 Ziggo Secured Finance B.V. (Netherlands) (h).................. 5.50% 01/15/27 1,015,000
-------------
2,067,000
-------------
CASINOS & GAMING - 1.4%
4,900,000 Caesars Growth Properties Holdings LLC/Caesars Growth
Properties Finance, Inc. .................................. 9.38% 05/01/22 5,316,500
-------------
HEALTH CARE FACILITIES - 1.6%
350,000 CHS/Community Health Systems, Inc. ........................... 6.88% 02/01/22 308,875
1,000,000 Select Medical Corp. ......................................... 6.38% 06/01/21 1,011,250
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------- ----------- ------------ -------------
CORPORATE BONDS AND NOTES (CONTINUED)
HEALTH CARE FACILITIES (CONTINUED)
$ 3,000,000 Tenet Healthcare Corp. ....................................... 5.00% 03/01/19 $ 3,017,040
800,000 Tenet Healthcare Corp. ....................................... 6.00% 10/01/20 850,000
1,000,000 Tenet Healthcare Corp. ....................................... 8.13% 04/01/22 1,052,500
-------------
6,239,665
-------------
LIFE SCIENCES TOOLS & SERVICES - 0.6%
2,500,000 Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics
S.A. (h) .................................................. 6.63% 05/15/22 2,237,500
-------------
METAL & GLASS CONTAINERS - 0.1%
504,000 Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.
(Ireland) (h) ............................................. 4.25% 09/15/22 512,820
-------------
PHARMACEUTICALS - 1.3%
4,286,000 Valeant Pharmaceuticals International, Inc. (Canada) (h) ..... 6.75% 08/15/18 4,243,140
620,000 Valeant Pharmaceuticals International, Inc. (Canada) (h) ..... 5.38% 03/15/20 558,000
-------------
4,801,140
-------------
SECURITY & ALARM SERVICES - 0.3%
1,000,000 Garda World Security Corp. (Canada) (h) ...................... 7.25% 11/15/21 960,000
-------------
TOTAL CORPORATE BONDS AND NOTES.......................................................... 22,677,325
(Cost $22,448,255) -------------
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------- -------------
COMMON STOCKS - 0.5%
COMMODITY CHEMICALS - 0.0%
20 LyondellBasell Industries N.V., Class A.................................................. 1,825
-------------
ELECTRIC UTILITIES - 0.5%
106,607 Vistra Energy Corp. (e) (i).............................................................. 1,722,769
-------------
LIFE SCIENCES TOOLS & SERVICES - 0.0%
15,800 New Millennium Holdco, Inc. (f) (i) (j).................................................. 16,796
-------------
TOTAL COMMON STOCKS...................................................................... 1,741,390
(Cost $1,726,078) -------------
RIGHTS - 0.0%
ELECTRIC UTILITIES - 0.0%
112,741 Vistra Energy Corp. (e) (i).............................................................. 122,662
175,375 Vistra Energy Corp. Claim (e) (g) (i) (k)................................................ 0
-------------
122,662
-------------
LIFE SCIENCES TOOLS & SERVICES - 0.0%
1 New Millennium Holdco, Inc., Lender Claim Trust (f) (g) (i) (k).......................... 0
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------- -------------
RIGHTS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES (CONTINUED)
1 New Millennium Holdco, Inc., Corporate Claim Trust (f) (g) (i) (k)....................... $ 0
-------------
0
-------------
TOTAL RIGHTS............................................................................. 122,662
(Cost $195,888) -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (g) (i) (k) (l)...................................................... 0
(Cost $0) -------------
TOTAL INVESTMENTS - 144.7%............................................................... 555,277,338
(Cost $558,703,059) (m)
OUTSTANDING LOAN - (41.2%)............................................................... (158,000,000)
NET OTHER ASSETS AND LIABILITIES - (3.5%)................................................ (13,587,035)
-------------
NET ASSETS - 100.0%...................................................................... $ 383,690,303
=============
-----------------------------
(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, 2017. 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) On October 4, 2016, Arch Coal, Inc. completed a Bankruptcy Plan of
Reorganization. In connection with the Plan of Reorganization, each lender
received a portion of a new term loan equal to its closing date term loan
percentage pursuant to the new credit agreement and a pro rata share of
the newly issued common equity shares in the new company. The company also
made a cash distribution to the first lien creditors.
(e) On October 3, 2016, Texas Competitive Electric Holdings ("TCEH") completed
their reorganization in the form of a tax free spin off from the parent
company, Energy Future Holdings. As part of the reorganization, first lien
claim holders received equity in a new entity TCEH Corp., cash held by the
new entity, tax receivable rights and a beneficial interest in an
unsecured claim to the parent company, Energy Future Holdings. Effective
November 7, 2016, TCEH Corp. changed its name to Vistra Energy Corp.
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
(f) On December 21, 2015, Millennium Health, LLC completed a Bankruptcy Plan
of Reorganization. As part of the Bankruptcy Plan of Reorganization, the
holders of Millennium Laboratories LLC, Tranche B Term Loan received a
portion of a new term loan and a pro rata share of the newly issued common
equity shares in New Millennium Holdco, Inc., the new company. Each lender
was also issued a beneficial interest in the Corporate Claim Trust
entitling it, as holder of such beneficial interest, to receive Corporate
Claim Trust Distributions when and if net cash proceeds from the pursuit
of Retained Corporate Causes of Action are available to make such a
distribution. In addition, each lender was issued a beneficial interest in
the Lender Claim Trust entitling it, as holder of such beneficial
interest, to receive Lender Claim Trust Distributions when and if net cash
proceeds from the pursuit of Retained Lender Causes of Action are
available to make such a distribution.
(g) Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be illiquid by First Trust Advisors L.P.
(the "Advisor").
(h) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the Securities
Act of 1933, as amended (the "1933 Act"), and may be resold in
transactions exempt from registration, normally to qualified institutional
buyers. Pursuant to procedures adopted by the Fund's Board of Trustees,
this security has been determined to be liquid by 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
February 28, 2017, securities noted as such amounted to $9,526,460 or 2.5%
of net assets.
(i) Non-income producing security.
(j) Security received in a transaction exempt from registration under the 1933
Act. The security may be resold pursuant to an exemption from registration
under the 1933 Act, typically to qualified institutional buyers. Pursuant
to procedures adopted by the Fund's Board of Trustees, this security has
been determined to be liquid by the Advisor. Although market instability
can result in periods of increased overall market illiquidity, liquidity
for the security is determined based on security-specific factors and
assumptions, which require subjective judgment. At February 28, 2017,
security noted as such amounted to $16,796 or 0.0% of net assets.
(k) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Fund's Board of Trustees, and in
accordance with the provisions of the Investment Company Act of 1940, as
amended. At February 28, 2017, investments noted as such are valued at $0
or 0.0% of net assets.
(l) This security is restricted and cannot be offered for public sale without
first being registered under the 1933 Act. Prior to registration,
restricted securities may only be resold in transactions exempt from
registration (See Note D - Restricted Securities in the Notes to Portfolio
of Investments).
(m) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of February 28, 2017,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $4,915,663 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $8,341,384.
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2017 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio
of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 2/28/2017 PRICES INPUTS INPUTS
------------------------------------------------ ------------- ------------- ------------- -------------
Senior Floating-Rate Loan Interests:
Property & Casualty Insurance $ 3,736,712 $ -- $ 3,645,846 $ 90,866
Other Industry Categories* 526,999,249 -- 526,999,249 --
------------- ------------- ------------- -------------
Total Senior Floating-Rate Loan Interests 530,735,961 -- 530,645,095 90,866
Corporate Bonds and Notes* 22,677,325 -- 22,677,325 --
Common Stocks:
Life Sciences Tools & Services 16,796 -- 16,796 --
Other Industry Categories* 1,724,594 1,724,594 -- --
------------- ------------- ------------- -------------
Total Common Stocks 1,741,390 1,724,594 16,796 --
Rights: -- -- -- --
Electric Utilities 122,662 -- 122,662 -- **
Life Sciences Tools & Services -- ** -- -- -- **
------------- ------------- ------------- -------------
Total Rights 122,662 -- 122,662 -- **
Warrants* -- ** -- -- ** --
------------- ------------- ------------- -------------
TOTAL INVESTMENTS $ 555,277,338 $ 1,724,594 $ 553,461,878 $ 90,866
============= ============= ============= =============
* 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.
** Investment is valued at $0.
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, 2017.
Level 3 Senior Floating-Rate Loan Interests and Rights that are fair valued by
the Advisor's Pricing Committee are footnoted in the Portfolio of Investments.
Level 3 Senior Floating-Rate Loan Interests are valued based on either
third-party pricing service prices obtained from dealer runs and indicative
sheets from brokers or are valued using broker quotes. The Level 3 Rights values
are based on unobservable and non-quantitative inputs. The Fund's Board of
Trustees has adopted valuation procedures that are utilized by the Advisor's
Pricing Committee to oversee the day-to-day valuation of the Fund's investments.
The Advisor's Pricing Committee, through the Fund's fund accounting agent,
monitors the daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
third-party pricing service prices by comparing sales prices of the Fund's
investments to prior day third-party pricing service prices. Additionally, the
Advisor's Pricing Committee reviews periodic information from the Fund's
third-party pricing service that compares secondary market trade prices to their
daily valuations.
See Notes to Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2017 (UNAUDITED)
The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using significant unobservable
inputs (Level 3) for the period presented:
BEGINNING BALANCE AT MAY 31, 2016
Senior Floating-Rate Loan Interests $ 2,528,145
Rights -- **
Net Realized Gain (Loss)
Senior Floating-Rate Loan Interests (24,930)
Rights --
Net Change in Unrealized Appreciation/Depreciation
Senior Floating-Rate Loan Interests 125,008
Rights --
Purchases
Senior Floating-Rate Loan Interests --
Rights -- **
Sales
Senior Floating-Rate Loan Interests (2,537,357)
Rights --
Transfers In
Senior Floating-Rate Loan Interests --
Rights --
Transfers Out
Senior Floating-Rate Loan Interests --
Rights --
ENDING BALANCE AT FEBRUARY 28, 2017
Senior Floating-Rate Loan Interests 90,866
Rights -- **
--------------
Total Level 3 holdings $ 90,866
==============
** Investment is valued at $0.
There was a net change of $(9,179) in unrealized appreciation (depreciation)
from Level 3 investments held as of February 28, 2017.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
FEBRUARY 28, 2017 (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 is considered an investment company and follows accounting and
reporting guidance under Financial Accounting Standards Board 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. If the third-party
pricing service cannot or does not provide a valuation for a particular
Senior Loan or such valuation is deemed unreliable, the Advisor's Pricing
Committee may value such Senior Loan at fair value according to procedures
adopted by the Fund's Board of Trustees, and in accordance with the
provisions of the 1940 Act. Fair valuation of a Senior Loan is based on
the consideration of all available information, 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.
(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)
FEBRUARY 28, 2017 (UNAUDITED)
Common stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq 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 fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
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 a third-party 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),
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 third-party pricing service is
unable to provide a market price; securities whose trading has been formally
suspended; a security whose market 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 third-party 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 type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
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:
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II (FCT)
FEBRUARY 28, 2017 (UNAUDITED)
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 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 February 28, 2017, 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.
Interest income is recorded on the accrual basis. Market premiums and discounts
are amortized over the expected life of each respective borrowing.
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
didn't have any when-issued, delayed-delivery or forward purchase commitments as
of February 28, 2017.
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 did not have any unfunded delayed draw loan
commitments as of February 28, 2017.
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 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, 2017, 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 date and yield for this issuer.
ACQUISITION PRINCIPAL VALUE CURRENT % OF
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE NET ASSETS
------------------------------------------- ----------- ------------ --------- ------------- ----------- ------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $0.00 $0.00 $-- 0.00%
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/ James M. Dykas
----------------------------------------
James M. Dykas
President and Chief Executive Officer
(principal executive officer)
Date: April 11, 2017
----------------
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/ James M. Dykas
----------------------------------------
James M. Dykas
President and Chief Executive Officer
(principal executive officer)
Date: April 11, 2017
----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: April 11, 2017
----------------
*Print the name and title of each signing officer under his or her signature.