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 (formerly known
as First Trust/Four Corners Senior Floating Rate Income Fund II)
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios, L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2010
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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/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - 142.4%
AEROSPACE & DEFENSE - 7.7%
$ 327,083 BE Aerospace, Inc., Term Loan, Tranche B Ba1 BBB- 5.75% 07/28/14 $ 328,770
1,582,109 DAE Aviation Holdings, Inc., Term Loan B1 B3 B 4.23% 07/31/14 1,429,831
1,535,945 DAE Aviation Holdings, Inc., Term Loan B2 B3 B 4.14%-4.23% 07/31/14 1,388,110
2,319,621 GenCorp, Inc., Synthetic Letter of Credit Ba2 B+ 3.52% 04/30/13 2,232,635
1,189,037 GenCorp, Inc., Term Loan Ba2 B+ 3.55% 04/30/13 1,144,448
813,437 ILC Industries, Inc., Term Loan, First Lien NR (f) NR (f) 2.26% 02/24/12 794,626
1,905,750 L-1 Identity Solutions Operating Co., Term Loan B-2 B1 BB 7.25% 08/05/13 1,900,986
2,892,810 Robertson Fuel Systems, LLC, Term Loan NR (f) NR (f) 3.01%-5.00% 04/19/13 2,726,473
972,431 Safenet, Inc., Term Loan, First Lien B1 B+ 2.76% 04/12/14 918,947
4,256,832 Spirit Aerosystems, Inc., Term Loan B Ba2 BBB- 2.28% 09/30/13 4,139,769
415,625 TASC, Inc., Term Loan A Ba2 BB 5.50% 12/18/14 415,971
3,295,938 TASC, Inc., Term Loan B Ba2 BB 5.75% 12/18/15 3,304,177
5,757,761 Triumph Group, Inc., Term Loan B Baa3 BB+ 4.50% 06/16/16 5,775,034
887,687 Wesco Aircraft Hardware Corp., Term Loan,
First Lien Ba3 BB- 2.52% 09/29/13 857,728
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27,357,505
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AGRICULTURAL PRODUCTS - 1.2%
1,190,322 Dole Food Co., Inc., Term Loan B1 Ba2 BB- 5.00%-5.50% 03/02/17 1,192,448
2,956,462 Dole Food Co., Inc., Term Loan C1 Ba2 BB- 5.00%-5.50% 03/02/17 2,961,742
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4,154,190
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AIRLINES - 0.1%
485,000 Delta Air Lines, Inc., Synthetic Revolving Credit
Facility Ba2 BB- 2.26-2.28% 04/30/12 463,781
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ALUMINUM - 1.7%
4,357,684 Novelis Corp., Term Loan Ba1 BB- 2.27%-2.54% 07/06/14 4,164,011
1,980,649 Novelis, Inc., Canadian Term Loan Ba1 BB- 2.27% 07/06/14 1,892,621
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6,056,632
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APPAREL RETAIL - 0.9%
2,303,123 Hanesbrands, Inc., New Term Loan Ba1 BB+ 5.25% 12/10/15 2,319,317
946,309 Phillips-Van Heusen Corporation, Term Loan B Ba2 BBB 4.75% 05/06/16 951,541
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3,270,858
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APPLICATION SOFTWARE - 0.7%
2,691,848 Verint Systems, Inc., Term Loan, First Lien B1 BB- 5.25% 05/25/14 2,582,491
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ASSET MANAGEMENT & CUSTODY BANKS - 3.5%
1,318,164 Grosvenor Capital Management Holdings, LLP,
Term Loan NR (f) NR (f) 2.31% 12/05/13 1,239,074
2,902,401 LPL Holdings, Inc., Extended Term Loan Ba3 B+ 4.25% 06/30/15 2,808,073
4,987,500 LPL Holdings, Inc., Term Loan Ba3 B+ 5.25% 06/30/17 4,941,780
922,066 LPL Holdings, Inc., Term Loan D Ba3 B+ 2.01%-2.28% 06/28/13 894,404
2,704,791 Nuveen Investments, Inc., Term Loan B3 B 3.48%-3.53% 11/13/14 2,387,824
135,384 Oxford US Acquisition, LLC, Term Loan, Tranche B-2 NR (f) NR (f) 2.26% 05/12/14 120,266
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12,391,421
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AUTOMOBILE MANUFACTURERS - 0.7%
2,636,421 Ford Motor Co., Term Loan, Tranche B-1 Ba1 BB 3.03% 12/15/13 2,536,077
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AUTOMOTIVE RETAIL - 0.6%
2,308,825 KAR Holdings, Inc., Term Loan B Ba3 B+ 3.02% 10/20/13 2,219,358
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BROADCASTING - 2.9%
771,725 Cumulus Media, Inc., Term Loan, First Lien Caa1 B- 4.01% 06/11/14 694,553
1,417,511 Gray Television, Inc., Term Loan B B2 B 3.80% 12/31/14 1,336,890
4,308,750 LBI Media, Inc., Term Loan B B1 B- 1.76% 03/31/12 3,964,050
3,482,500 Raycom Media, Inc., Term Loan, Tranche B NR NR 1.81% 06/25/14 3,203,900
1,000,000 Sinclair Broadcast Group, Inc., Term Loan B Ba1 BB 5.50% 10/29/15 1,000,833
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10,200,226
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BUILDING PRODUCTS - 0.1%
1,000,000 South Edge, LLC, Term Loan C (g) NR NR 5.50% 10/31/09 450,000
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See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
CABLE AND SATELLITE - 5.1%
$ 577,132 Charter Communications Operating, LLC, Term Loan B-1 Ba2 BB+ 2.26% 03/06/14 $ 546,184
6,177,668 Charter Communications Operating, LLC, Term Loan C Ba2 BB+ 3.79% 09/06/16 5,908,501
5,647,951 CSC Holdings, Inc., Term Loan B-3 Baa3 BBB- 2.02% 03/29/16 5,481,540
1,000,000 Mediacom Broadband, LLC, Term Loan F Ba3 BB- 4.50% 10/23/17 950,625
3,453,424 UPC Broadband Holding B.V., Term Loan T Ba3 B+ 4.25% 12/31/16 3,315,287
1,946,576 UPC Broadband Holding B.V., Term Loan X Ba3 B+ 4.25% 12/31/17 1,858,980
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18,061,117
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CASINOS & GAMING - 4.7%
2,957,647 CCM Merger, Inc., Term Loan B B3 BB- 8.50% 07/13/12 2,927,148
360,060 Las Vegas Sands, LLC, Delayed Draw Term Loan 1 B2 B 3.01% 11/23/16 324,054
3,287,186 Penn National Gaming, Inc., Term Loan B Ba2 BB+ 2.01%-2.24% 10/03/12 3,206,223
801,458 Seminole Tribe of Florida, Delayed Draw Term Loan B1 Ba1 BBB 2.06% 03/05/14 747,359
2,889,271 Seminole Tribe of Florida, Delayed Draw Term Loan B2 Ba1 BBB 2.06% 03/05/14 2,694,245
2,012,146 Seminole Tribe of Florida, Delayed Draw Term Loan B3 Ba1 BBB 2.06% 03/05/14 1,876,326
4,975,965 VML US Finance, LLC, Term Loan B B2 B 5.04% 05/25/13 4,889,776
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16,665,131
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COMMODITY CHEMICALS - 2.3%
1,421,521 Ineos Group Limited, Term Loan B2 B2 B 9.50% 12/14/13 1,407,306
1,421,521 Ineos Group Limited, Term Loan C2 B2 B 10.00% 12/14/14 1,407,306
5,520,929 Univar, Inc., Term Loan B-Opco B2 B+ 3.26% 10/11/14 5,377,385
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8,191,997
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COMPUTER HARDWARE - 1.4%
5,178,427 Activant Solutions, Inc., Term Loan B1 B 2.56% 05/02/13 4,880,667
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DATA PROCESSING & OUTSOURCED SERVICES - 1.7%
6,790,000 Harland Clarke Holdings Corp., Term Loan B B1 B+ 2.76%-3.03% 06/30/14 5,853,951
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DIVERSIFIED CHEMICALS - 4.7%
637,174 Brenntag Holding GmbH & Co. KG, Acquisition
Term Loan Ba2 BBB- 4.01%-4.48% 01/17/14 629,209
3,000,000 Brenntag Holding GmbH & Co. KG, Term Loan,
Second Lien B1 BB- 6.47% 06/18/15 2,975,001
4,322,712 Brenntag Holding GmbH & Co. KG, Term Loan B2 Ba2 BBB- 4.02%-4.06% 01/17/14 4,268,678
3,570,920 Huntsman International, LLC, Term Loan B Ba2 B+ 1.90%-1.98% 04/19/14 3,362,804
1,068,219 Huntsman International, LLC, Term Loan C Ba2 B+ 2.51%-2.65% 06/30/16 1,015,642
3,295,391 Rockwood Specialties Group, Inc., Term Loan H Ba2 BB+ 6.00% 05/15/14 3,293,743
1,246,875 Solutia, Inc., Term Loan Ba2 BB- 4.75% 03/17/17 1,245,901
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16,790,978
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DIVERSIFIED SUPPORT SERVICES - 0.2%
746,250 JohnsonDiversey, Inc., Term Loan Ba2 BB- 5.50% 11/24/15 744,384
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EDUCATION SERVICES - 1.4%
4,379,175 Education Management, LLC, Term Loan C B1 BB 2.31% 06/01/13 4,002,566
1,000,186 ProQuest-CSA, LLC, Term Loan, First Lien Ba3 BB- 2.77% 02/09/14 955,178
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4,957,744
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ELECTRIC UTILITIES - 8.3%
5,049,748 Astoria Generating Co. Acquisitions, LLC, Term
Loan B B1 BB- 2.29% 02/23/12 4,894,049
4,278,222 Calpine Corporation, First Priority Term Loan B1 B+ 3.42% 03/29/14 4,082,733
2,305,929 Covanta Energy Corporation, Synthetic Letter
of Credit Ba1 BB 2.03% 02/09/14 2,169,014
See Notes to Quarterly Portfolio of Investments Page 2
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
ELECTRIC UTILITIES - (CONTINUED)
$ 4,531,690 Covanta Energy Corporation, Term Loan Ba1 BB 1.94%-2.06% 02/09/14 $ 4,262,621
3,531,157 Mirant North America, LLC, Term Loan Ba2 BB 2.01% 01/03/13 3,489,666
3,042 NRG Energy, Inc., Synthetic Letter of Credit Baa3 BB+ 2.03% 02/01/13 2,969
7,947,687 NRG Energy, Inc., Extended Synthetic Letter
of Credit Baa3 BB+ 3.78% 08/31/15 7,766,877
110,974 NRG Energy, Inc., Term Loan B Baa3 BB+ 2.28% 02/01/13 108,286
417,322 NRG Energy, Inc., Extended Term Loan B Baa3 BB+ 3.78% 08/31/15 410,276
1,597,203 Riverside Energy Center, LLC, Term Loan Ba3 BB- 4.73% 06/24/11 1,585,224
169,917 Rocky Mountain Energy Center, LLC, Synthetic
Letter of Credit Ba3 BB- 4.73% 06/24/11 168,642
536,580 Rocky Mountain Energy Center, LLC, Term Loan Ba3 BB- 4.73% 06/24/11 532,556
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29,472,913
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ENVIRONMENTAL & FACILITIES SERVICES - 1.7%
6,000,000 EnergySolutions, LLC, Term Loan Ba2 BB+ 6.25% 08/13/16 5,891,250
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FOOD DISTRIBUTORS - 1.3%
847,826 B&G Foods, Inc., Term Loan C Ba1 BB 2.54% 02/23/13 835,815
3,904,557 Dean Foods Co., Term Loan B Ba3 BB 3.54% 04/02/14 3,745,934
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4,581,749
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FOOD RETAIL - 1.8%
2,375,145 SUPERVALU, Inc., Term Loan B Ba3 BB+ 1.51% 06/02/12 2,282,217
4,208,095 SUPERVALU, Inc., Extended Term Loan B-2 Ba3 BB+ 3.01% 10/05/15 4,051,167
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6,333,384
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FOREST PRODUCTS - 2.3%
4,134,802 Georgia-Pacific Corporation, Term Loan B1 Ba1 BBB 2.30%-2.54% 12/20/12 4,074,190
1,376,758 Georgia-Pacific Corporation, Term Loan B2 Ba1 BBB 2.30%-2.53% 12/20/12 1,356,576
2,821,551 Georgia-Pacific Corporation, Term Loan C Ba1 BBB 3.78%-3.79% 12/23/14 2,804,800
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8,235,566
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GAS UTILITIES - 0.2%
596,517 Atlas Pipeline Partners, L.P., Term Loan B1 B 7.75% 07/27/14 593,276
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HEALTH CARE EQUIPMENT - 1.6%
5,699,090 Biomet, Inc., Dollar Term Loan B1 BB- 3.26%-3.54% 03/25/15 5,505,452
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HEALTH CARE FACILITIES - 6.1%
640,641 HCA, Inc., Term Loan A Ba3 BB 2.03% 11/19/12 616,374
1,372,513 HCA, Inc., Term Loan B Ba3 BB 2.78% 11/18/13 1,321,036
3,291,558 HCA, Inc., Term Loan B-2 Ba3 BB 3.78% 03/31/17 3,186,126
4,457,381 Health Management Associates, Inc., Term Loan B B1 BB- 2.28% 02/28/14 4,168,663
5,651,633 Lifepoint Hospitals, Inc., Term Loan B Ba1 BB 1.95% 04/15/12 5,493,387
4,615,416 Select Medical Corporation, Term Loan B-1 Ba2 BB- 4.09% 08/22/14 4,494,261
483,956 Sun Healthcare Group, Inc., Synthetic Letter
of Credit Ba2 B+ 2.53% 04/19/14 468,953
1,190,131 Sun Healthcare Group, Inc., Term Loan, First Lien Ba2 B+ 3.53%-3.70% 04/19/14 1,153,237
153,311 United Surgical Partners International, Inc.,
Delayed Draw Term Loan Ba3 B 2.27% 04/19/14 142,962
811,452 United Surgical Partners International, Inc.,
Term Loan B Ba3 B 2.27%-2.50% 04/19/14 756,679
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21,801,678
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HEALTH CARE SERVICES - 7.2%
388,636 CHS/Community Health Systems, Inc., Delayed Draw
Term Loan Ba3 BB 2.55% 07/25/14 366,420
7,571,656 CHS/Community Health Systems, Inc., Term Loan Ba3 BB 2.51%-2.55% 07/25/14 7,138,830
5,611,970 DaVita, Inc., Term Loan B-1 Ba1 BB+ 1.77%-2.04% 10/05/12 5,525,422
6,985,852 Fresenius Medical Care AG, Term Loan B Baa3 BBB- 1.64%-1.91% 03/31/13 6,822,852
316,288 Fresenius SE, Term Loan C-1 Baa3 BBB- 4.50% 09/10/14 316,750
180,672 Fresenius SE, Term Loan C-2 Baa3 BBB- 4.50% 09/10/14 180,935
1,930,000 Healthways, Inc., Term Loan B Ba2 BB 2.04% 12/01/13 1,804,550
2,000,000 InVentiv Health, Inc., Term Loan Ba3 BB- 6.50% 08/15/16 1,996,250
1,432,625 Quintiles Transnational Corp., Term Loan B,
First Lien Ba2 BB 2.27%-2.54% 03/31/13 1,391,437
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25,543,446
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HOMEBUILDING - 0.2%
964,736 Mattamy Funding Partnership, Term Loan NR (f) NR (f) 2.56% 04/11/13 887,557
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See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.5%
$ 6,350,115 Dynegy Holdings, Inc., Synthetic Letter of Credit Ba3 B+ 4.02% 04/02/13 $ 6,241,636
74,150 Dynegy Holdings, Inc., Term Loan B Ba3 B+ 4.02% 04/02/13 72,883
3,389,015 Texas Competitive Electric Holdings Co., LLC,
Initial Term Loan B-3 B1 B+ 3.79%-4.03% 10/10/14 2,554,470
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8,868,989
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INDUSTRIAL CONGLOMERATES - 0.4%
1,376,608 Bucyrus International, Inc., Term Loan C Ba2 BB 4.50% 01/17/16 1,381,770
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INSURANCE BROKERS - 0.2%
784,179 HealthCare Partners, LLC, Term Loan Ba2 BBB- 2.03%-2.05% 10/31/13 748,891
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INTEGRATED TELECOMMUNICATION SERVICES - 3.7%
2,248,154 Intelsat Corp., Term Loan B-2-A B1 BB- 3.03% 01/03/14 2,124,818
2,247,462 Intelsat Corp., Term Loan B-2-B B1 BB- 3.03% 01/03/14 2,124,164
2,247,462 Intelsat Corp., Term Loan B-2-C B1 BB- 3.03% 01/03/14 2,124,164
1,488,750 NTELOS, Inc., Term Loan Ba3 BB 5.75% 08/07/15 1,490,596
4,989,690 Telesat Canada, U.S. Term Loan I B1 BB- 3.27% 10/31/14 4,817,825
428,578 Telesat Canada, U.S. Term Loan II B1 BB- 3.27% 10/31/14 413,816
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13,095,383
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INTERNET RETAIL - 0.6%
2,407,394 Sabre Holdings Corp., Term Loan B1 B 2.26%-2.48% 09/30/14 2,163,371
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IT CONSULTING & OTHER SERVICES - 3.5%
446,897 Apptis (DE), Inc., Term Loan B1 B+ 3.52%-3.79% 12/20/12 432,373
869,438 CACI International, Inc., Term Loan B Baa3 NR 1.78% 05/03/11 864,004
5,750,000 DynCorp International, Inc., Term Loan Ba1 BB 6.25% 07/07/16 5,705,438
5,760,528 West Corporation, Term Loan B-2 B1 BB- 2.64%-2.65% 10/24/13 5,505,417
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12,507,232
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LEISURE FACILITIES - 2.7%
1,038,942 London Arena and Waterfront Finance, LLC,
Term Loan A NR (f) NR (f) 2.79% 03/08/12 986,995
3,870,130 Six Flags, Inc., Exit Term Loan Caa1 D 6.00% 06/30/16 3,864,085
967,500 Town Sports International, LLC, Term Loan Ba2 BB- 2.38% 02/27/14 885,262
3,960,000 Universal City Development Partners, Ltd.,
Term Loan Ba2 BB- 5.50% 11/06/14 3,964,091
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9,700,433
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LEISURE PRODUCTS - 0.6%
997,500 Live Nation Entertainment, Inc., Term Loan B Ba2 BB- 4.50% 11/06/16 976,719
1,374,252 LodgeNet Entertainment Corp., Term Loan B3 B- 2.54% 04/04/14 1,257,441
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2,234,160
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LIFE & HEALTH INSURANCE - 0.2%
630,950 Conseco, Inc., Term Loan B2 B- 7.50% 10/10/13 615,965
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MANAGED HEALTH CARE - 5.5%
1,170,164 IASIS Healthcare Corporation, Delayed Draw
Term Loan Ba2 B+ 2.26% 03/15/14 1,105,805
318,412 IASIS Healthcare Corporation, Synthetic Letter
of Credit Ba2 B+ 2.26% 03/15/14 300,899
3,380,998 IASIS Healthcare Corporation, Term Loan Ba2 B+ 2.26% 03/15/14 3,195,043
9,100,000 MultiPlan, Inc., Term Loan Ba3 B 6.50% 08/26/17 9,038,247
5,985,000 Vanguard Health Systems, Inc., Term Loan B Ba2 BB- 5.00% 01/29/16 5,914,616
--------------
19,554,610
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METAL & GLASS CONTAINERS - 2.3%
2,742,857 BWAY Corporation, Term Loan B Ba3 B+ 5.50%-6.00% 06/16/17 2,739,429
257,143 BWAY Corporation, Term Loan C Ba3 B+ 5.50%-6.00% 06/16/17 256,821
5,127,138 Owens-Illinois Group, Inc., Term Loan B Baa2 BBB 1.79% 06/14/13 5,078,615
--------------
8,074,865
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MOVIES & ENTERTAINMENT - 2.9%
4,679,500 AMC Entertainment, Inc., Term Loan Ba2 BB- 1.76% 01/26/13 4,540,785
See Notes to Quarterly Portfolio of Investments Page 4
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
MOVIES & ENTERTAINMENT - (CONTINUED)
$ 2,000,000 National CineMedia, LLC, Term Loan B Ba3 B+ 2.29% 02/13/15 $ 1,894,166
1,491,136 Regal Cinemas Corporation, Term Loan Ba3 BB- 4.03% 11/17/16 1,472,496
2,460,742 TWCC Holding Corporation, Term Loan B Ba2 BB 5.00% 09/14/15 2,457,666
--------------
10,365,113
--------------
MULTI-UTILITIES - 1.1%
2,510,637 KGEN, LLC, Synthetic Letter of Credit B1 BB- 2.31% 02/08/14 2,359,999
1,692,619 KGEN, LLC, Term Loan B1 BB- 2.06% 02/08/14 1,591,062
--------------
3,951,061
--------------
OFFICE SERVICES & SUPPLIES - 1.3%
2,712,219 Emdeon Business Services, LLC, Term Loan,
First Lien Ba3 BB 2.27%-2.54% 11/16/13 2,621,812
955,882 Pike Electric, Inc., Term Loan B NR (f) NR (f) 2.06% 07/01/12 898,529
1,080,503 Pike Electric, Inc., Term Loan C NR (f) NR (f) 2.06% 12/10/12 1,015,673
--------------
4,536,014
--------------
OIL & GAS EQUIPMENT & SERVICES - 2.1%
2,244,375 Aquilex Holdings, LLC, Term Loan Ba2 BB- 5.50% 04/01/16 2,235,023
2,479,802 Dresser, Inc., Term Loan B B2 B+ 2.61% 05/04/14 2,347,132
2,804,984 Hercules Offshore, Inc., Term Loan B2 B- 6.00% 07/11/13 2,471,893
447,957 Targa Resources, Inc., Term Loan Ba3 B+ 5.75% 07/05/16 446,165
--------------
7,500,213
--------------
OIL & GAS EXPLORATION & PRODUCTION - 1.3%
1,979,248 Helix Energy Solutions Group, Inc., Term Loan Ba2 BB- 2.51%-2.53% 07/01/13 1,854,556
2,633,192 SemCrude, L.P., Prefunded Synthetic Letter
of Credit NR NR 8.18% 11/30/12 2,618,380
138,589 SemCrude, L.P., Prefunded Synthetic Letter
of Credit NR NR 8.50% 11/30/12 137,810
165,976 SemCrude, L.P., Term Loan, Second Lien NR NR 9.00% (h) 11/30/16 166,944
--------------
4,777,690
--------------
OIL & GAS REFINING & MARKETING - 0.4%
106,667 Alon USA, Inc., Term Loan (Edgington Facility) B1 B+ 2.51% 06/22/13 77,333
853,333 Alon USA, Inc., Term Loan (Paramount Facility) B1 B+ 2.51%-3.01% 06/22/13 618,667
114,943 Calumet Lubricants Co., L.P., Synthetic Letter
of Credit B1 B 4.38% 01/03/15 105,172
848,989 Calumet Lubricants Co., L.P., Term Loan B1 B 4.32%-4.38% 01/03/15 776,825
--------------
1,577,997
--------------
OIL & GAS STORAGE & TRANSPORTATION - 1.9%
3,000,000 Energy Transfer Equity, L.P., Term Loan Ba2 BB- 2.02% 11/01/12 2,936,250
3,920,000 Enterprise GP Holdings, L.P., Term Loan B Ba2 BB- 2.78% 11/08/14 3,841,600
--------------
6,777,850
--------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 1.7%
6,100,468 Royalty Pharma Finance Trust, Term Loan Baa2 BBB- 2.78% 04/16/13 6,003,166
--------------
PACKAGED FOODS & MEATS - 0.4%
452,477 Weight Watchers International, Inc., Term Loan B Ba1 BB+ 2.06% 01/26/14 438,051
1,003,724 Weight Watchers International, Inc., Term Loan D Ba1 BB+ 2.81% 06/30/16 981,542
--------------
1,419,593
--------------
PAPER PACKAGING - 5.7%
5,460,754 Graham Packaging Holdings Co., Term Loan B,
First Lien B1 B+ 2.56%-2.81% 10/07/11 5,439,593
2,500,000 Graphic Packaging International, Inc., Term Loan Ba3 BB+ 3.28% 05/16/14 2,455,313
3,376,872 Graphic Packaging International, Inc., Term Loan B Ba3 BB+ 2.49%-2.53% 05/16/14 3,266,654
3,984,375 Reynolds Consumer Products Holdings, Inc.,
Term Loan B1 BB- 6.25% 11/05/15 3,963,457
5,000,000 Reynolds Consumer Products Holdings, Inc.,
Incremental Term Loan B1 BB- 5.75% 05/05/16 4,964,585
--------------
20,089,602
--------------
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
PAPER PRODUCTS - 0.2%
$ 870,000 Domtar Corporation, Term Loan B Baa2 BBB 1.64% 03/07/14 $ 865,525
--------------
PHARMACEUTICALS - 4.7%
4,854,874 Catalent Pharma Solutions, Inc., Dollar Term Loan Ba3 BB- 2.51% 04/10/14 4,366,960
4,937,880 Mylan, Inc., Term Loan B Ba1 BB+ 3.56%-3.81% 10/02/14 4,909,487
2,656,780 Warner Chilcott Corporation, Term Loan A B1 BB 6.00% 10/30/14 2,652,553
1,343,250 Warner Chilcott Corporation, Term Loan B B1 BB 6.25% 04/30/15 1,341,571
1,251,841 Warner Chilcott Corporation, Term Loan B1 B1 BB 6.25% 04/30/15 1,250,011
2,084,543 Warner Chilcott Corporation, Term Loan B2 B1 BB 6.25% 04/30/15 2,081,495
--------------
16,602,077
--------------
PUBLISHING - 0.8%
81,651 Cenveo Corporation, Delayed Draw Term Loan Ba2 BB 5.04% 06/21/13 79,814
2,183,975 Cenveo Corporation, Term Loan C Ba2 BB 5.04% 06/21/13 2,134,835
845,147 Yell Group, PLC, Term Loan B1 B2 B 4.01% 07/31/14 493,941
--------------
2,708,590
--------------
RETAIL REITS - 1.5%
5,690,221 Capital Automotive, L.P., Term Loan C Ba3 B 5.82% 12/14/12 5,398,597
--------------
SEMICONDUCTORS - 0.5%
1,750,000 Intersil Corporation, Term Loan Ba2 BB+ 4.75% 04/26/16 1,750,000
--------------
SPECIALIZED CONSUMER SERVICES - 8.1%
960,000 Acosta, Inc., Term Loan NR (f) NR (f) 2.52% 07/28/13 913,200
3,323,648 Acxiom Corporation, Extended Term Loan Ba2 BBB- 3.50% 03/15/15 3,311,018
7,237,673 Advantage Sales & Marketing, Inc., Term Loan,
First Lien NR (f) NR (f) 5.00% 05/05/16 7,178,867
2,543,625 Affinion Group, Inc., Term Loan B Ba2 BB 5.00% 10/09/16 2,446,649
91,464 ARAMARK Corporation, Prefunded Synthetic Letter
of Credit 1 Ba3 BB 2.13% 01/26/14 86,348
226,464 ARAMARK Corporation, Prefunded Synthetic Letter
of Credit 2 Ba3 BB 3.60% 07/26/16 219,528
1,264,308 ARAMARK Corporation, Term Loan Ba3 BB 2.41% 01/26/14 1,195,167
3,443,529 ARAMARK Corporation, Term Loan B Ba3 BB 3.78% 07/26/16 3,338,070
4,477,456 Asurion Corp., Term Loan, First Lien NR (f) NR (f) 3.29%-3.40% 07/03/14 4,269,129
1,670,947 Nielsen Finance, LLC, Dollar Term Loan A Ba3 B+ 2.29% 08/09/13 1,595,754
2,736,146 Nielsen Finance, LLC, Dollar Term Loan B Ba3 B+ 4.04% 05/01/16 2,643,801
1,670,297 Protection One, Inc., Term Loan Ba3 BB 6.00% 06/04/16 1,651,506
--------------
28,849,037
--------------
SPECIALTY CHEMICALS - 2.0%
2,000,000 Celanese Holdings, LLC, Synthetic Letter of Credit Ba2 BB+ 1.81% 04/02/14 1,908,750
4,361,061 Celanese Holdings, LLC, Term Loan, First Lien Ba2 BB+ 2.03% 04/02/14 4,156,388
950,000 ISP Chemco, LLC, Term Loan Ba3 BB 1.81% 02/16/13 897,354
--------------
6,962,492
--------------
SPECIALTY STORES - 1.6%
3,332,996 Harbor Freight Tools USA, Inc., Term Loan C NR (f) NR (f) 5.00%-5.50% 02/12/16 3,319,457
2,504,519 The Yankee Candle Co., Inc., Term Loan Ba3 BB- 2.27% 02/06/14 2,381,284
--------------
5,700,741
--------------
SYSTEMS SOFTWARE - 4.9%
2,300,824 Dealer Computer Services, Inc., Term Loan,
First Lien Ba2 BB 5.25% 04/21/17 2,275,879
1,750,000 Information Solution Company, Term Loan Ba2 BB+ 4.75% 04/12/16 1,752,188
3,884,107 Intergraph Corporation, Term Loan, First Lien B1 BB- 4.55% 05/29/14 3,859,831
1,029,000 Open Solutions, Inc., Term Loan, First Lien B1 BB- 2.63% 01/23/14 874,650
4,633,119 SunGard Data Systems, Inc., Term Loan A Ba3 BB 2.04% 02/28/14 4,411,887
4,367,163 SunGard Data Systems, Inc., Term Loan B Ba3 BB 3.97%-4.04% 02/28/16 4,253,132
--------------
17,427,567
--------------
TECHNOLOGY DISTRIBUTORS - 0.9%
3,433,903 Sensata Technologies Finance Co., LLC, Term Loan,
First Lien B1 BB 2.14%-2.23% 04/27/13 3,238,170
--------------
See Notes to Quarterly Portfolio of Investments Page 6
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE
----------- ---------------------------------------------------- --------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS - (Continued)
TRUCKING - 3.1%
$ 3,353,168 OshKosh Corporation, Term Loan B Ba2 BB+ 6.44%-6.54% 12/06/13 $ 3,371,507
1,101,648 The Hertz Corporation, Prefunded Synthetic
Letter of Credit Ba1 BB- 2.09% 12/21/12 1,072,592
6,671,936 The Hertz Corporation, Term Loan B Ba1 BB- 2.02% 12/21/12 6,495,964
--------------
10,940,063
--------------
WIRELESS TELECOMMUNICATION SERVICES - 0.8%
3,000,000 Crown Castle Operating Company, Term Loan Ba2 BB 1.76% 03/06/14 2,875,782
--------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS 505,937,388
--------------
(Cost $520,356,991)
SENIOR FLOATING-RATE NOTES - 0.2%
LEISURE FACILITIES - 0.0%
1,225,000 HRP Myrtle Beach (i) (j) (k) (l) WR NR 7.38% 04/01/12 0
--------------
SEMICONDUCTORS - 0.2%
650,000 NXP B.V. Caa1 CCC+ 3.28% 10/15/13 610,188
--------------
TOTAL SENIOR FLOATING-RATE NOTES 610,188
--------------
(Cost $1,875,126)
NOTES - 0.0%
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc. (Payment-In-Kind Election
Note) (i) (j) (l) (m) 14.75% 07/01/15 0
--------------
TOTAL NOTES 0
--------------
(Cost $436,364)
SHARES DESCRIPTION VALUE
----------- ---------------------------------------------------------------------------------------- --------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment- In-Kind Preferred Stock) (i) (j) (k) (l) 0
--------------
TOTAL PREFERRED STOCKS 0
(Cost $2,563,636) --------------
COMMON STOCKS - 0.3%
DIVERSIFIED CHEMICALS - 0.2%
19,963 LyondellBasell Industries AF S.C.A., Class A 409,242
18,297 LyondellBasell Industries AF S.C.A., Class B 374,906
--------------
784,148
--------------
OIL & GAS EXPLORATION & PRODUCTION - 0.1%
19,828 SemGroup Corp., Class A 396,560
--------------
TOTAL COMMON STOCKS 1,180,708
(Cost $1,129,017) --------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (i) (l) 1,362
--------------
TOTAL WARRANTS 1,362
(Cost $0) --------------
TOTAL INVESTMENTS - 142.9% 507,729,646
(Cost $526,361,134) (n)
OUTSTANDING LOAN - (42.5)% (151,000,000)
NET OTHER ASSETS AND LIABILITIES - (0.4)% (1,340,710)
--------------
NET ASSETS (APPLICABLE TO COMMON SHARES) - 100.0% $ 355,388,936
==============
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (CONTINUED)
AUGUST 31, 2010 (UNAUDITED)
-----------------------------------
(a) All percentages shown in the Portfolio of Investments are based on
net assets applicable to Common Shares.
(b) All or a portion of the investments are available to serve as
collateral on the outstanding loan.
(c) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by
Standard & Poor's Ratings Group are considered to be below
investment grade.
(d) Senior Loans in which the Fund invests generally 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 Interbank Offered Rate ("LIBOR"), (ii) the prime
rate offered by one or more United States banks or (iii) the
certificate of deposit rate.
(e) 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.
(f) This Senior Loan Interest was privately rated upon issuance. The
rating agency does not provide ongoing surveillance on the rating.
(g) This issuer is in default and interest is not being accrued by the
Fund nor paid by the issuer.
(h) Interest for the period commencing on November 30, 2009 ending on
December 31, 2011, shall be payable, at the Borrowers' option, (i) in
cash at a rate per annum equal to 9% ("Cash Interest") or (ii) in
Payment-in-Kind interest at a rate per annum equal to 11%, and,
commencing January 1, 2012, shall be payable as Cash Interest.
(i) This investment is fair valued in accordance with valuation
procedures adopted by the Fund's Board of Trustees.
(j) This borrower has filed for protection in federal bankruptcy court.
(k) Non-income producing investment.
(l) This investment is restricted and cannot be offered for public sale
without first being registered under the Securities Act of 1933, as
amended. Prior to registration, restricted investments may only be
resold in transactions exempt from registration (see Note 1 D -
Restricted Investments in the Notes to Quarterly Portfolio of
Investments).
(m) This investment is a Senior Subordinated Payment-in-Kind Election
Note whereby 1.00% of interest per annum is to be paid in cash and
13.75% of interest per annum is to be paid by the issuer, at its
option (i) entirely in cash, (ii) entirely in Payment-in-Kind
interest or (iii) in a combination of (i) and (ii). Interest is to
be paid semi-annually; however, the issuer is in default and income
is not being accrued.
(n) Aggregate cost for financial reporting purposes, which approximates
the aggregate cost for federal income tax purposes. As of August 31,
2010, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$1,151,800 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$19,783,288.
NR Not rated
WR Withdrawn rating.
--------------------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of August 31,
2010 is as follows (see Note 1 A - Portfolio Valuation in the Notes to
Quarterly Portfolio of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE QUOTED OBSERVABLE UNOBSERVABLE
AT 8/31/2010 PRICES INPUTS INPUTS
-------------------- ----------------- ------------------- ----------------------
Senior Floating-Rate
Loan Interests* $ 505,937,388 $ - $ 485,034,348 $ 20,903,040
Senior Floating-Rate
Notes* 610,188 - 610,188 -
Common Stocks* 1,180,708 1,180,708 - -
Warrants* 1,362 - 1,362 -
-------------------- ----------------- ------------------- ----------------------
Total Investments $ 507,729,646 $ 1,180,708 $ 485,645,898 $ 20,903,040
==================== ================= =================== ======================
Following is a reconciliation of investments in which significant unobservable
inputs (Level 3) were used in determining value:
INVESTMENTS AT CHANGE IN
FAIR VALUE USING TRANSFERS NET UNREALIZED NET
SIGNIFICANT UNOBSERVABLE BALANCE AS OF IN (OUT) NET REALIZED APPRECIATION PURCHASES BALANCE AS OF
INPUTS (LEVEL 3) MAY 31, 2010 OF LEVEL 3 GAINS (LOSSES) (DEPRECIATION) (SALES) AUGUST 31, 2010
-----------------------------------------------------------------------------------------------------------------------------------
Senior Floating-Rate
Loan Interests $ 17,428,350 $ 3,951,061 $ 164 $ 188,936 $ (665,471) $ 20,903,040
* See the Portfolio of Investments for industry breakout.
See Notes to Quarterly Portfolio of Investments Page 8
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2010 (UNAUDITED)
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust/Four Corners
Senior Floating Rate Income Fund II ("the Fund") is determined daily as of the
close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00
p.m. Eastern time, on each day the NYSE is open for trading. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest), 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 investments, at fair value according
to valuation procedures adopted by the Fund's Board of Trustees. A majority of
the Fund's assets are valued using market information supplied by third parties.
In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
investments. Additionally, if events occur after the close of the principal
market for particular securities (e.g., domestic debt and foreign securities),
but before the Fund values its assets, that could materially affect NAV, First
Trust may use a fair value method to value the Fund's investments. The use of
fair value pricing by the Fund is governed by valuation procedures adopted by
the Fund's Board of Trustees, and in accordance with the provisions of the
Investment Company Act of 1940, as amended (the "1940 Act").
The Senior Floating-Rate Loans ("Senior Loans") 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 market value of Senior Loans may
be based on infrequent and dated information. Because there is less reliable,
objective data available, elements of judgment may play a greater role in
valuation of Senior Loans than for other types of securities. Typically, Senior
Loans are valued using information provided by a third party pricing service. If
the pricing service cannot or does not provide a valuation for a particular
Senior Loan or such valuation is deemed unreliable, First Trust may value such
Senior Loan at a fair value according to valuation procedures adopted by the
Fund's Board of Trustees, and in accordance with the provisions of the 1940 Act.
Portfolio investments listed on any exchange other than the NASDAQ National
Market ("NASDAQ") are valued at the last sale price on the business day as of
which such value is being determined. If there has been no sale on such day, the
investments are valued at the mean of the most recent bid and asked prices on
such day. Portfolio investments traded on the NASDAQ are valued at the NASDAQ
Official Closing Price as determined by NASDAQ. Portfolio investments traded on
more than one securities exchange are valued at the last sale price on the
business day as of which such value is being determined at the close of the
exchange representing the principal market for such investments. Portfolio
investments traded in the over-the-counter market, but excluding investments
traded on the NASDAQ, are valued at the closing bid prices. Short-term
investments that mature in less than 60 days when purchased are valued at
amortized cost.
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 securities. An active market is a market in which
transactions for the security occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar securities in active markets.
o Quoted prices for identical or similar securities in markets
that are non-active. A non-active market is a market where
there are few transactions for the security, 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.
Page 9
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2010 (UNAUDITED)
o Inputs other than quoted prices that are observable for the
security (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 reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
security.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risks associated with investing in those investments. A
summary of the inputs used to value the Fund's investments as of August 31, 2010
is included with the Fund's Portfolio of Investments.
B. INVESTMENT TRANSACTIONS:
Investment transactions are recorded as of the trade date. Realized gains and
losses from investment transactions are recorded on the identified cost basis.
Investments purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date. 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 investments. Interest income on such
investments 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 or
delayed-delivery 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 unfunded delayed draw loan
commitments as of August 31, 2010.
D. RESTRICTED INVESTMENTS:
The Fund invests in restricted investments, which are investments that cannot be
offered for public sale without first being registered under the Securities Act
of 1933, as amended. Prior to registration, restricted investments may only be
resold in transactions exempt from registration. The Fund held restricted
investments at August 31, 2010 as shown in the following table. The Fund does
not have the right to demand that such investments be registered. These
investments are valued according to the valuation procedures as stated in the
Portfolio Valuation footnote (Note 1 A) and are not expressed as a discount to
the carrying value of a comparable unrestricted investment. There are no
unrestricted investments with the same maturity dates and yields for these
issuers.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHARES
----------------------------------------------------------------------------------------------------------------------------------
Cumulus Media, Inc. - Warrants 6/29/09 1,449 $0.94 $ - $ 1,362 0.00%
HRP Myrtle Beach - Senior Floating Rate Notes 3/23/06 $1,225,000 - 1,225,000 - 0.00
TOUSA, Inc. - Notes 7/31/07(1) $727,273 - 436,364 - 0.00
TOUSA, Inc. - Preferred Stocks 7/31/07(1) 4,273 - 2,563,636 - 0.00
---------------------------------------
$ 4,225,000 $ 1,362 0.00%
=======================================
(1) Security was acquired through a restructuring that was effective on
July 31, 2007.
2. SUBSEQUENT EVENT
On October 12, 2010, First Trust announced that James A. Bowen, its President,
acquired 100% of the voting stock of The Charger Corporation, the general
partner of First Trust (the "Transaction"). First Trust is a limited partnership
Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2010 (UNAUDITED)
with one limited partner and one general partner (The Charger Corporation). The
Transaction is not expected to impact the day-to-day operations of the Fund. The
consummation of the Transaction is deemed to be an "assignment" (as defined in
the 1940 Act) of the Fund's investment management agreement and investment
sub-advisory agreement and resulted in the automatic termination of the
agreements.
The Board of Trustees of the Fund has approved an interim investment management
agreement with First Trust which was entered into effective upon the closing of
the Transaction and will be in effect for a maximum period of 150 days. A new
investment management agreement with First Trust has been approved by the Board
of Trustees of the Fund and will be submitted to shareholders of the Fund as of
the record date (September 30, 2010) for approval and will take effect upon such
shareholder approval. A special shareholder meeting of the Fund to vote on a
proposal to approve the new investment management and the new investment
sub-advisory agreement is expected to be held on December 6, 2010.
First Trust also announced that First Trust/Four Corners Senior Floating Rate
Income Fund II will change its name to "First Trust Senior Floating Rate Income
Fund II," effective October 12, 2010 and will continue to trade under the same
ticker symbol "FCT." The Leveraged Finance Investment Group of First Trust has,
effective October 12, 2010, taken over day-to-day responsibility for management
of the Fund's portfolio. As a result, no interim sub-advisory agreement with the
sub-advisor was entered into for the Fund.
Page 11
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 (formerly known
as First Trust/Four Corners Senior Floating Rate Income Fund II)
---------------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 20, 2010
-----------------------------
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 A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 20, 2010
-----------------------------
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, Treasurer, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date October 20, 2010
-----------------------------
* Print the name and title of each signing officer under his or her
signature.