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

 

First Trust Senior Floating Rate Income Fund II

(Exact name of registrant as specified in charter)

 

120 East Liberty Drive, Suite 400

Wheaton, IL 60187

(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

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 630-765-8000

 

Date of fiscal year end: May 31

 

Date of reporting period: August 31, 2018

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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. § 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
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 128.4%
    Aerospace & Defense – 1.2%            
$2,814,769  
Transdigm, Inc., Term Loan F, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   06/09/23   $2,808,182
1,536,948  
Transdigm, Inc., Tranche E Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   05/30/25   1,532,860
        4,341,042
    Alternative Carriers – 0.7%            
2,678,397  
Level 3 Financing, Inc., Tranche B 2024 Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.32%   02/22/24   2,680,995
    Application Software – 7.1%            
1,629,257  
CCC Information Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   04/26/24   1,626,716
856,884  
Hyland Software, Term-3 Loans, 1 Mo. LIBOR + 3.25%, 0.75% Floor
  5.33%   07/01/22   861,383
606,660  
Infor (US), Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   02/02/22   606,982
2,805,684  
Informatica Corp. (Ithacalux S.A.R.L), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.33%   08/06/22   2,818,310
5,346,773  
JDA Software Group (RP Crown Parent, Inc.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   10/12/23   5,355,703
6,653  
Kronos, Inc., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor
  5.16%   11/01/23   6,666
2,647,865  
Kronos, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.34%   11/01/23   2,653,160
555,513  
Micro Focus International (MA Finance LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   06/21/24   554,124
3,751,513  
Micro Focus International (MA Finance LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   06/21/24   3,742,134
7,010,101  
Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.33%   11/30/24   6,991,104
1,290,741  
Qlik Technologies (Project Alpha Intermediate Holdings, Inc.), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor
  5.99%   04/26/24   1,290,198
        26,506,480
    Asset Management & Custody Banks – 2.3%            
746,487  
American Beacon Advisors, Inc. (Resolute Investment Managers), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.58%   04/30/22   751,152
792,000  
First Eagle Investment Management, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.33%   12/01/22   794,725
967,929  
Harbourvest Partners L.P., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.31%   02/28/25   966,419
210,396  
Mondrian Investment Partners Ltd. (MIPL Group Ltd.), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.33%   03/09/20   210,922
1,614,103  
Victory Capital Holdings (VCH Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor
  5.08%   02/15/25   1,616,121
4,122,294  
Virtus Investment Partners, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor
  4.58%   06/01/24   4,132,600
        8,471,939
    Auto Parts & Equipment – 2.2%            
5,442,973  
Gates Global, Initial B-2 Dollar Term Loans, 3 Mo. LIBOR + 2.75%, 1.00% Floor
  5.08%   03/31/24   5,467,629
616,965  
Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.58%   06/30/24   610,925
1,297,199  
Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.83%   06/30/24   1,284,500
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Auto Parts & Equipment (Continued)            
$1,060,839  
Tower Automotive Holdings USA LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.88%   03/07/24   $1,064,817
        8,427,871
    Automotive Retail – 0.3%            
993,838  
KAR Auction Services, Inc., Term Loan B5, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.63%   03/09/23   996,740
    Broadcasting – 3.0%            
2,348,950  
Cumulus Media Holdings, Inc., EXIT Term Loan, 1 Mo. LIBOR + 4.50%, 1.00% Floor (d)
  6.58%   05/15/22   2,307,255
33,399  
Nexstar Broadcasting, Inc., Mission Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   01/17/24   33,510
244,818  
Nexstar Broadcasting, Inc., Nexstar Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   01/17/24   245,634
8,495,601  
Tribune Media Co., Extended Term Loan C, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  5.08%   01/27/24   8,511,573
45,522  
Tribune Media Co., Term B Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  5.08%   12/27/20   45,551
        11,143,523
    Building Products – 1.9%            
189,336  
Beacon Roofing Supply, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.32%   01/02/25   188,272
62,420  
Jeld-Wen, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.33%   12/14/24   62,382
7,013,986  
Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   11/15/23   7,005,218
        7,255,872
    Cable & Satellite – 0.5%            
983,250  
Cablevision Systems Corp. (CSC Holdings, Inc.), January 2018 Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.56%   01/25/26   983,496
324,023  
Cablevision Systems Corp. (CSC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.31%   07/17/25   322,578
408,383  
Mediacom Broadband LLC, Term Loan N, 1 Mo. LIBOR + 1.75%, 0.00% Floor
  3.71%   02/15/24   406,512
340,000  
Virgin Media Finance PLC, Term Loan K, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.56%   01/15/26   339,769
        2,052,355
    Casinos & Gaming – 12.8%            
11,861,292  
Caesars Resorts Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   12/22/24   11,894,622
4,786,427  
CityCenter Holdings LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor
  4.33%   04/18/24   4,784,177
2,522,082  
Golden Nugget, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.82%-4.83%   10/04/23   2,528,388
3,263,490  
Las Vegas Sands, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor
  3.83%   03/27/25   3,256,571
1,471,509  
MGM Growth Properties Operating Partnership LP, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   03/23/25   1,470,685
1,266,951  
Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   10/01/25   1,268,534
13,455,291  
Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor
  5.83%   07/28/25   13,555,264
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Casinos & Gaming (Continued)            
$5,425,421  
Station Casinos, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor
  4.58%   06/08/23   $5,435,295
3,848,666  
VICI Properties (Caesars), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.07%   12/20/24   3,845,780
        48,039,316
    Coal & Consumable Fuels – 0.4%            
1,033,836  
Arch Coal, Inc., Term Loan, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   03/07/24   1,032,554
309,082  
Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   03/31/25   308,826
        1,341,380
    Commercial Printing – 0.4%            
1,358,643  
Multi-Color Corp., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   11/01/24   1,362,040
    Construction & Engineering – 0.4%            
179,150  
Pike Electric, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.58%   03/23/25   180,314
1,291,435  
Westinghouse Electric (Brookfield WEC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor
  5.83%   07/31/25   1,298,216
        1,478,530
    Diversified Chemicals – 0.1%            
366,579  
Ineos US Finance LLC, 2024 Dollar Term Loan, 2 Mo. LIBOR + 2.00%, 0.00% Floor
  4.17%   03/31/24   365,967
    Diversified Support Services – 0.8%            
3,041,100  
Brightview Landscapes (FKA - Brickman), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.63%-4.69%   08/10/25   3,042,621
    Electric Utilities – 0.9%            
369,375  
Dayton Power & Light Co., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor
  4.08%   08/24/22   368,913
1,940,152  
Vistra Energy Corp. (f/k/a TXU), 2016 Incremental Term Loan B2, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   12/31/25   997,500
1,000,000  
Vistra Energy Corp. (f/k/a TXU), 2018 Incremental Term Loan B3, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.06%-4.08%   12/14/23   1,939,492
        3,305,905
    Environmental & Facilities Services – 0.9%            
1,102,899  
PSSI (Packers Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.32%   12/04/24   1,100,605
512,991  
Servicemaster Company, LLC, The, Tranche C Term Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   11/08/23   513,083
1,721,681  
WTG Holdings III Corp. (EWT Holdings III Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   12/20/24   1,722,766
        3,336,454
    Food Retail – 1.5%            
2,841,777  
Albertsons LLC, Term Loan B5, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.34%   12/21/22   2,833,195
2,850,053  
Albertsons LLC, Term Loan B6, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.31%   06/22/23   2,837,456
        5,670,651
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Health Care Equipment – 2.5%            
$4,546,447  
DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   06/08/20   $4,543,037
4,582,364  
DJO Finance LLC (ReAble Therapeutics Finance LLC), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.59%   06/08/20   4,578,927
198,000  
Kinetic Concepts, Inc. (Acelity L.P., Inc.), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.58%   01/31/24   198,602
        9,320,566
    Health Care Facilities – 1.9%            
1,039,463  
Acadia Healthcare Co., Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   02/11/22   1,044,286
1,189,656  
Acadia Healthcare Co., Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   02/16/23   1,195,176
1,699,735  
Concentra, Inc. (MJ Acquisition Corp.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.84%   06/01/22   1,706,109
957,435  
Gentiva Health Services, Inc., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.00% Floor
  6.13%   06/30/25   963,419
2,180,272  
National Veterinary Associates (NVA Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   02/02/25   2,170,744
        7,079,734
    Health Care Services – 10.3%            
4,147,131  
21st Century Oncology, Inc., Tranche B Term Loan, 3 Mo. LIBOR + 6.13%, 1.00% Floor
  8.47%   01/16/23   3,898,303
936,551  
Air Medical Group Holdings, Inc., New Term Loan B, 1 Mo. LIBOR + 4.25%, 1.00% Floor
  6.33%   03/14/25   930,117
614,525  
Air Medical Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.32%   04/28/22   603,132
2,839,084  
Air Methods Corp. (ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.83%   04/30/24   2,593,021
955,685  
CHG Healthcare Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   06/07/23   957,481
1,702,604  
CHG Healthcare Services, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.34%   06/07/23   1,705,805
2,855,635  
DuPage Medical Group (Midwest Physician), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.81%   08/15/24   2,811,030
4,603,882  
Envision Healthcare Corp. (Emergency Medical Services Corp.), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor
  5.08%   12/01/23   4,598,127
812,786  
ExamWorks Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   07/27/23   817,101
4,575,494  
Healogics, Inc. (CDRH Parent, Inc.), Initial Term Loan (First Lien), 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.57%   07/01/21   4,285,728
4,528,005  
Surgery Centers Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.57%   08/31/24   4,520,444
5,390,700  
Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   02/06/24   5,143,644
5,271,049  
U.S. Renal Care, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.58%   12/30/22   5,126,095
845,792  
Verscend Technologies, Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor
  6.57%   08/10/25   850,554
        38,840,582
    Health Care Supplies – 0.1%            
408,670  
ConvaTec, Inc., Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor
  4.58%   10/31/23   408,928
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Health Care Technology – 1.5%            
$5,488,444  
Change Healthcare Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   03/01/24   $5,489,981
    Hotels, Resorts & Cruise Lines – 0.1%            
443,250  
Four Seasons Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   11/30/23   442,856
    Household Appliances – 0.9%            
3,533,748  
Traeger Grills, Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.58%   09/25/24   3,498,410
    Household Products – 1.7%            
654,883  
Energizer Holding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.36%   06/30/25   658,157
14,405  
Spectrum Brands, Inc., Term Loan B, 2 Mo. LIBOR + 2.00%, 0.00% Floor
  4.17%   06/23/22   14,408
5,675,803  
Spectrum Brands, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.34%-4.35%   06/23/22   5,676,995
        6,349,560
    Human Resource & Employment Services – 0.8%            
3,104,724  
Tempo Acquisition, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%   05/01/24   3,110,281
    Hypermarkets & Super Centers – 2.1%            
7,705,395  
BJ’s Wholesale Club, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.07%   02/03/24   7,715,026
    Independent Power Producers & Energy Traders – 0.5%            
1,940,000  
Calpine Corp., Term Loan B5, 3 Mo. LIBOR + 2.50%, 0.00% Floor
  4.84%   01/15/24   1,941,688
    Industrial Conglomerates – 1.5%            
107,523  
Accudyne Industries, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   08/18/24   107,792
5,361,965  
Gardner Denver, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   07/30/24   5,376,388
        5,484,180
    Industrial Machinery – 0.3%            
1,046,611  
Douglas Dynamics LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   12/31/21   1,045,302
    Insurance Brokers – 3.7%            
2,857,862  
Amwins Group, Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor
  4.83%   01/25/24   2,861,434
8,236  
HUB International Ltd., Term Loan B, 2 Mo. LIBOR + 3.00%, 0.00% Floor
  5.16%   04/25/25   8,225
3,286,011  
HUB International Ltd., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.34%   04/25/25   3,281,707
2,094,981  
National Financial Partners Corp., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%   01/06/24   2,092,362
5,785,108  
USI, Inc. (Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.33%   05/15/24   5,768,215
        14,011,943
    Integrated Telecommunication Services – 1.7%            
5,811,181  
Century Link (Qwest), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   01/31/25   5,741,447
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Integrated Telecommunication Services (Continued)            
$684,119  
Numericable U.S. LLC (Altice France S.A.), Term Loan B12, 1 Mo. LIBOR + 3.69%, 0.00% Floor
  5.75%   01/31/26   $656,467
        6,397,914
    Leisure Facilities – 1.5%            
5,669,962  
ClubCorp Club Operations, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor
  5.08%   09/18/24   5,603,340
    Life Sciences Tools & Services – 7.1%            
2,139,587  
Immucor, Inc., Term Loan B-3, 2 Mo. LIBOR + 5.00%, 1.00% Floor
  7.17%   06/15/21   2,162,759
1,866,000  
IQVIA (IMS Health or Quintiles), Term Loan B3, 3 Mo. LIBOR + 1.75%, 0.00% Floor
  4.08%   06/15/25   1,862,511
6,591,975  
Ortho-Clinical Diagnostics, Inc. (Crimson Merger Sub, Inc.), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.32%   05/31/25   6,588,415
7,612,276  
Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   09/27/24   7,606,566
3,615,666  
Pharmaceutical Product Development, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor
  4.58%   08/18/22   3,611,978
4,967,988  
Sotera Health Holdings, LLC (Sterigenics), Term Loan B, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.33%   05/15/22   4,972,956
        26,805,185
    Managed Health Care – 5.2%            
3,546,743  
Davis Vision (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   12/02/24   3,536,103
16,032,456  
MultiPlan, Inc. (MPH Acquisition Holdings LLC), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor
  5.08%   06/07/23   16,016,904
        19,553,007
    Metal & Glass Containers – 0.6%            
1,701,866  
Berlin Packaging LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%-5.09%   11/07/25   1,701,389
198,163  
Berlin Packaging LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor
  5.34%   11/07/25   198,107
198,600  
Crown Holdings, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   01/19/25   199,133
        2,098,629
    Movies & Entertainment – 1.0%            
380,867  
AMC Entertainment, Inc., 2016 Incremental Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.31%   12/15/23   380,947
275,542  
AMC Entertainment, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.31%   12/15/22   275,473
1,930,162  
Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.58%   02/05/25   1,923,407
985,050  
Creative Artists Agency LLC (CAA Holdings LLC), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.06%   02/15/24   986,281
        3,566,108
    Oil & Gas Exploration & Production – 0.0%            
166,667  
Ascent Resources - Marcellus, LLC, EXIT Term Loan B, 1 Mo. LIBOR + 6.50%, 1.00% Floor
  8.58%   03/30/23   166,917
    Other Diversified Financial Services – 6.7%            
12,392,746  
AlixPartners, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   04/04/24   12,426,330
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Other Diversified Financial Services (Continued)            
$6,233,619  
Duff & Phelps Corporation (Deerfield Dakota), Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor
  5.58%   02/13/25   $6,242,720
3,242,527  
First Data Corp., 2024A New Dollar Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.07%   04/26/24   3,236,950
3,136,000  
Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   07/01/23   3,141,049
        25,047,049
    Packaged Foods & Meats – 3.3%            
9,116,873  
Hostess Brands, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor
  4.33%   08/03/22   9,082,685
3,418,861  
Post Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.07%   05/24/24   3,414,929
        12,497,614
    Paper Packaging – 3.5%            
13,163,778  
Reynolds Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor
  4.83%   02/05/23   13,201,427
    Personal Products – 0.1%            
558,712  
Rodan & Fields, Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor
  6.06%   06/15/25   562,204
    Pharmaceuticals – 9.5%            
1,682,692  
Akorn, Inc., Loan, 1 Mo. LIBOR + 4.75%, 1.00% Floor
  6.88%   04/16/21   1,628,005
1,240,681  
Catalent Pharma Solutions, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor
  4.33%   05/20/24   1,244,167
5,149,140  
Concordia Healthcare Corp., Initial Dollar Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor (e)
  6.33%   10/21/21   4,641,383
7,271,101  
Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor
  6.38%   04/29/24   7,307,456
1,492,443  
Grifols Worldwide Operations Limited, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.21%   01/31/25   1,498,219
5,094,142  
Horizon Pharma, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.38%   03/29/24   5,116,454
968,422  
Mallinckrodt International Finance S.A., 2017 Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor
  5.20%   09/24/24   959,948
968,447  
Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor
  5.52%   02/24/25   966,636
12,315,543  
Valeant Pharmaceuticals International, Inc., 2018 Incremental Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%   06/01/25   12,354,461
        35,716,729
    Research & Consulting Services – 4.1%            
4,958,052  
Acosta, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   09/26/21   3,830,095
5,789,797  
Advantage Sales & Marketing, Inc., Initial Term Loan (First Lien), 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   07/23/21   5,395,396
799,960  
Advantage Sales & Marketing, Inc., Term Loan B2, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   07/23/21   755,626
4,591,875  
Information Resources, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor
  6.57%   01/18/24   4,612,906
288,867  
Nielsen Finance LLC (VNU, Inc.), Term Loan B-4, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.07%   10/04/23   287,143
559,800  
TransUnion LLC, Term Loan B4, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   06/30/25   561,552
        15,442,718
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Restaurants – 4.3%            
$393,214  
IRB Holding Corp. (Arby’s), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.32%   01/18/25   $394,901
8,341,454  
Portillo’s Holdings LLC, Second Lien Term Loan, 3 Mo. LIBOR + 8.00%, 1.00% Floor
  10.33%   08/15/22   8,341,454
7,444,475  
Portillo’s Holdings LLC, Term B Loan (First Lien), 3 Mo. LIBOR + 4.50%, 1.00% Floor
  6.83%   08/02/21   7,444,475
        16,180,830
    Security & Alarm Services – 0.4%            
422,883  
Frontdoor, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor
  4.63%   08/31/25   423,412
1,188,021  
Garda World Security Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor
  5.80%   05/26/24   1,192,475
        1,615,887
    Semiconductors – 0.8%            
2,246,400  
Microchip Technology, Initial Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   05/29/25   2,242,199
667,866  
Western Digital Corp., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor
  3.82%   04/29/23   667,392
        2,909,591
    Specialized Consumer Services – 1.5%            
724,000  
Asurion LLC, Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor
  8.58%   07/31/25   744,511
1,374,097  
Asurion LLC, Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%   08/04/22   1,380,679
3,670,024  
Asurion LLC, Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.08%   11/03/23   3,680,520
        5,805,710
    Specialized Finance – 0.6%            
2,317,167  
Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor
  5.07%   05/09/25   2,316,240
    Specialty Chemicals – 0.9%            
2,448,080  
H.B. Fuller Company, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor
  4.08%   10/20/24   2,445,362
1,082,905  
Platform Specialty Products Corp. (fka: Macdermid, Inc.), Term Loan B6, 1 Mo. LIBOR + 3.00%, 1.00% Floor
  5.08%   06/07/23   1,085,808
        3,531,170
    Specialty Stores – 0.8%            
303,262  
Party City Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor
  4.83%   08/19/22   304,366
297,551  
Party City Holdings, Inc., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.75% Floor
  5.28%   08/19/22   298,634
2,451,110  
Toys “R” US-Delaware, Inc., Term B-2 Loan, Prime Rate + 2.75%, 1.50% Floor (e) (f)
  7.75%   05/25/18   1,268,450
1,991,346  
Toys “R” US-Delaware, Inc., Term B4 Loan, Prime Rate + 7.75%, 1.00% Floor (e) (f)
  12.75%   04/25/20   1,042,609
        2,914,059
    Systems Software – 6.0%            
741,596  
Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor
  5.33%   09/13/24   744,065
511,160  
Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor
  9.33%   09/13/25   523,940
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Principal
Value 		  Description   Rate (a)   Stated
Maturity (b) 		  Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
    Systems Software (Continued)            
$1,207,373  
Avast Software B.V. (Sybil Software LLC), Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor
  4.83%   09/30/23   $1,210,645
2,225,125  
BMC Software Finance, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.33%   07/15/25   2,225,793
3,126,727  
Dynatrace, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.32%   08/15/25   3,135,857
3,646,609  
Misys Financial Software Ltd. (Almonde, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor
  5.58%   06/13/24   3,627,391
3,283,520  
Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor
  5.33%   04/24/22   3,264,377
2,983,821  
SS&C European Holdings, S.a.r.l, Term Loan B3, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   04/16/25   2,985,312
1,160,706  
SS&C European Holdings, S.a.r.l, Term Loan B4, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   04/16/25   1,161,286
1,099,280  
SS&C European Holdings, S.a.r.l, Term Loan B5, 1 Mo. LIBOR + 2.25%, 0.00% Floor
  4.33%   04/16/25   1,099,511
2,403,762  
Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor
  5.33%   06/15/25   2,397,561
        22,375,738
    Technology Hardware, Storage & Peripherals – 3.4%            
12,590,399  
Dell, Inc. (Diamond 1 Finance Corp.), Term Loan B, 1 Mo. LIBOR + 2.00%, 0.75% Floor
  4.08%   09/07/23   12,585,112
    Trading Companies & Distributors – 0.1%            
318,287  
Reece International, Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor
  4.34%   06/15/25   317,889
   
Total Senior Floating-Rate Loan Interests
  481,769,785
    (Cost $486,534,715)            
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
CORPORATE BONDS AND NOTES (c) – 3.1%
    Cable & Satellite – 0.4%            
557,000  
Altice US Finance I Corp. (g)
  5.50%   05/15/26   548,645
1,000,000  
CCO Holdings LLC/CCO Holdings Capital Corp.
  5.75%   01/15/24   1,019,830
        1,568,475
    Health Care Facilities – 2.7%            
1,000,000  
Select Medical Corp.
  6.38%   06/01/21   1,013,750
800,000  
Tenet Healthcare Corp.
  6.00%   10/01/20   834,000
5,776,000  
Tenet Healthcare Corp. (g)
  7.50%   01/01/22   6,070,229
2,136,000  
Tenet Healthcare Corp.
  8.13%   04/01/22   2,264,160
        10,182,139
   
Total Corporate Bonds and Notes
  11,750,614
    (Cost $11,632,095)            
    
Shares   Description   Value
COMMON STOCKS (c) – 1.0%
    Broadcasting – 0.1%    
25,815  
Cumulus Media New Holdings (d) (h)
  484,031
    Electric Utilities – 0.7%    
106,607  
Vistra Energy Corp. (h)
  2,509,529
    Oil & Gas Exploration & Production – 0.2%    
119,734  
American Energy Marcellus, Class A (h) (i)
  387,639
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
Shares   Description   Value
COMMON STOCKS (c) (Continued)
    Oil & Gas Exploration & Production (Continued)    
3,699  
Fieldwood Energy Equity (h) (i)
  $195,585
        583,224
   
Total Common Stocks
  3,576,784
    (Cost $3,357,339)    
RIGHTS (c) – 0.0%
    Electric Utilities – 0.0%    
106,607  
Vistra Energy Corp. (h)
  75,958
175,375  
Vistra Energy Corp. Claim (h) (j) (k)
  0
        75,958
    Life Sciences Tools & Services – 0.0%    
1  
New Millennium Holdco, Inc., Corporate Claim Trust (h) (j) (k) (l)
  0
1  
New Millennium Holdco, Inc., Lender Claim Trust (h) (j) (k) (l)
  0
        0
   
Total Rights
  75,958
    (Cost $178,763)    
WARRANTS (c) – 0.0%
    Oil & Gas Exploration & Production – 0.0%    
31,000  
American Energy Marcellus First Lien Warrants (h)
  930
    (Cost $3,100)    
MONEY MARKET FUNDS (c) – 1.3%
4,927,827  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.84% (m)
  4,927,827
    (Cost $4,927,827)    
   
Total Investments – 133.8%
  502,101,898
    (Cost $506,633,839) (n)    
   
Outstanding Loans – (37.3)%
  (140,000,000)
   
Net Other Assets and Liabilities – 3.5%
  13,229,572
   
Net Assets – 100.0%
  $375,331,470
    
(a) Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates.
(b) Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(c) All of these securities are available to serve as collateral for the outstanding loans.
(d) On June 4, 2018, Cumulus Media Holdings, Inc. completed a Bankruptcy Plan of Reorganization. In connection with the Plan of Reorganization, the Fund received a portion of a new exit term loan and a share of the newly issued common equity shares in the re-organized company.
(e) This issuer has filed for protection in bankruptcy court.
(f) This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer.
(g) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At August 31, 2018, securities noted as such amounted to $6,618,874 or 1.8% of net assets.
(h) Non-income producing security.
See Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
August 31, 2018 (Unaudited)
(i) Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At August 31, 2018, securities noted as such amounted to $583,224 or 0.2% of net assets.
(j) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At August 31, 2018, securities noted as such are valued at $0 or 0.0% of net assets.
(k) This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Portfolio of Investments).
(l) Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(m) Rate shown reflects yield as of August 31, 2018.
(n) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of August 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,188,564 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,720,505. The net unrealized depreciation was $4,531,941.
    
LIBOR London Interbank Offered Rate
Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of August 31, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio of Investments):
  Total
Value at
8/31/2018 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Senior Floating-Rate Loan Interests*
$ 481,769,785 $ — $ 481,769,785 $ —
Corporate Bonds and Notes*
 11,750,614  —  11,750,614  —
Common Stocks:        
Electric Utilities
 2,509,529  2,509,529  —  —
Other industry categories*
 1,067,255  —  1,067,255  —
Rights:        
Electric Utilities
 75,958  —  75,958  —**
Life Sciences Tools & Services
 —**  —  —  —**
Warrants*
 930  —  930  —
Money Market Funds
 4,927,827  4,927,827  —  —
Total Investments
$ 502,101,898 $ 7,437,356 $ 494,664,542 $—**
    
* See Portfolio of Investments for industry breakout.
** Investment is valued at $0.
Level 3 Rights that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. The Level 3 Rights values are based on unobservable and non-quantitative inputs.
See Notes to Portfolio of Investments
Notes to Portfolio of Investments
First Trust Senior Floating Rate Income Fund II (FCT)
August 31, 2018 (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:
Senior floating-rate loan interests (“Senior Loans”)(1) 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 a 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 the 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 issuer/borrower, 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;
(1) The terms “security” and “securities” used throughout the Notes to Portfolio of Investments include Senior Loans.
Notes to Portfolio of Investments (Continued)
First Trust Senior Floating Rate Income Fund II (FCT)
August 31, 2018 (Unaudited)
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) the borrower’s/issuer’s competitive position within the industry;
13) the borrower’s/issuer’s ability to access additional liquidity through public and/or private markets; and
14) other relevant factors.
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.
Shares of open-end funds are valued at fair value which is based on NAV per share.
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 fair 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 sixty 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) 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;
Notes to Portfolio of Investments (Continued)
First Trust Senior Floating Rate Income Fund II (FCT)
August 31, 2018 (Unaudited)
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:
• 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.
• 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.
• 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 August 31, 2018, is included with the Fund’s Portfolio of Investments.
B. Securities Transactions
Securities 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 until payment is made. At August 31, 2018, the Fund had no when-issued, delayed-delivery or forward purchase commitments.
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 term loan commitments as of August 31, 2018.

 

 

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:October 26, 2018

 

 

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:October 26, 2018

 

By (Signature and Title)* /s/ Donald P. Swade    
  Donald P. Swade, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)		    
Date:October 26, 2018

 

 

 

*Print the name and title of each signing officer under his or her signature.