0001445546-11-001663.txt : 20110429 0001445546-11-001663.hdr.sgml : 20110429 20110429101000 ACCESSION NUMBER: 0001445546-11-001663 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110228 FILED AS OF DATE: 20110429 DATE AS OF CHANGE: 20110429 EFFECTIVENESS DATE: 20110429 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST TRUST SENIOR FLOATING RATE INCOME FUND II CENTRAL INDEX KEY: 0001282850 IRS NUMBER: 113716541 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-21539 FILM NUMBER: 11791437 BUSINESS ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE STREET 2: SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 BUSINESS PHONE: 630-765-8000 MAIL ADDRESS: STREET 1: 120 EAST LIBERTY DRIVE STREET 2: SUITE 400 CITY: WHEATON STATE: IL ZIP: 60187 FORMER COMPANY: FORMER CONFORMED NAME: FIRST TRUST FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II DATE OF NAME CHANGE: 20040305 N-Q 1 fct_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS 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 (formerly known as First Trust/Four Corners 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: February 28, 2011 ----------------- Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached herewith. FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) FEBRUARY 28, 2011 (UNAUDITED)
PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - 150.6% ADVERTISING - 1.7% $ 1,000,000 Autotrader.Com, Term Loan B1 .......... Ba3 BB+ 4.75% 12/14/15 $ 1,007,283 5,784,152 Clear Channel Communications, Inc., Term Loan B ................. Caa1 CCC+ 3.91% 01/15/16 5,295,391 ------------- 6,302,674 ------------- AEROSPACE & DEFENSE - 7.9% 1,582,109 DAE Aviation Holdings, Inc., Term Loan B1 ...................... B2 B 5.31% 07/31/14 1,593,974 1,528,048 DAE Aviation Holdings, Inc., Term Loan B2 ...................... B2 B 5.29%-5.31% 07/31/14 1,539,508 2,319,621 GenCorp, Inc., Synthetic Letter of Credit .................. Ba2 BB- 3.52% 04/30/13 2,250,033 1,182,892 GenCorp, Inc., Term Loan .............. Ba2 BB- 3.52% 04/30/13 1,147,405 997,500 Ids Acquisition Corp., Term Loan .............................. NR BB- 5.50% 11/30/16 1,004,358 2,000,000 Pelican Products, Inc., Term Loan .............................. NR (f) NR (f) 5.75% 11/30/16 2,020,000 2,387,284 Robertson Fuel Systems, LLC, Term Loan ......................... NR (f) NR (f) 3.10%-5.00% 04/19/13 2,321,634 500,000 Scitor Corp., Term Loan B ............. B2 B 5.75% 02/15/17 498,125 500,000 Si Organization, Inc., Term Loan B ............................ Ba3 B+ 4.50% 11/22/16 503,750 4,235,161 Spirit Aerosystems, Inc., Term Loan B ....................... Ba1 BBB- 3.54% 09/30/16 4,252,809 393,750 TASC, Inc., Term Loan A ............... Ba2 BB 5.50% 12/18/14 394,488 3,279,375 TASC, Inc., Term Loan B ............... Ba2 BB 5.75% 12/18/15 3,280,742 3,000,000 Transdigm, Inc., Term Loan B........... Ba2 BB- 5.00% 12/10/16 3,019,374 5,728,972 Triumph Group, Inc., Term Loan B ............................ Baa3 BB+ 4.50% 06/16/16 5,740,430 ------------- 29,566,630 ------------- AGRICULTURAL PRODUCTS - 1.1% 1,184,355 Dole Food Co., Inc., Term Loan B1 ........................... Ba2 BB- 5.00%-5.50% 03/02/17 1,192,172 2,941,642 Dole Food Co., Inc., Term Loan C1 ........................... Ba2 BB- 5.00%-5.50% 03/02/17 2,961,057 ------------- 4,153,229 ------------- AIRLINES - 0.1% 485,000 Delta Air Lines, Inc., Synthetic Revolving Credit Facility ................... Ba2 BB- 2.25%-2.26% 04/30/12 481,363 ------------- ALTERNATIVE CARRIERS - 3.3% 6,000,000 Intelsat Jackson Holdings S.A., Term Loan B ................. B1 BB- 5.25% 03/30/18 6,040,314 See Notes to Quarterly Portfolio of Investments Page 1 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) ALTERNATIVE CARRIERS - (CONTINUED) $ 1,000,000 Level 3 Financing, Inc., Term Loan A ............................ B1 B+ 2.55% 03/13/14 $ 975,000 4,964,102 Telesat Canada, U.S. Term Loan I ............................ B1 BB- 3.27% 10/31/14 4,954,794 426,391 Telesat Canada, U.S. Term Loan II ........................... B1 BB- 3.27% 10/31/14 425,591 ------------- 12,395,699 ------------- ALUMINUM - 0.8% 3,000,000 Novelis, Inc., Term Loan B ............ Ba2 BB- 5.00% 12/17/16 3,035,358 ------------- APPAREL RETAIL - 1.0% 2,000,000 Gymboree Corp., Term Loan, First Lien ........................ B1 B+ 5.00%-5.50% 02/11/18 2,006,000 1,000,000 J. Crew Group, Inc., Term Loan B ............................ B1 B 4.75% 02/15/18 1,000,000 867,577 Phillips-Van Heusen Corporation, Term Loan B .......... Ba2 BBB 5.25% 05/06/16 867,577 ------------- 3,873,577 ------------- APPLICATION SOFTWARE - 4.4% 722,205 Activant Solutions, Inc., Term Loan ......................... B1 B+ 2.31% 05/02/13 718,594 4,323,455 Activant Solutions, Inc., Term Loan B3 ...................... B1 B+ 4.81% 02/02/16 4,350,477 2,000,000 Bentley Systems, Inc., Term Loan B ............................ Ba3 BB+ 5.75%-6.50% 01/31/17 2,010,000 2,500,000 CCC Information Systems, Inc., Term Loan B ................. B1 B+ 5.50% 11/11/15 2,523,438 2,108,516 Dealer Computer Services, Inc., Term Loan ................... Ba3 BB- 5.25% 04/21/17 2,120,640 2,000,000 Property Data, Inc., Term Loan .............................. Ba3 B+ 7.00% 01/05/17 1,997,500 2,691,848 Verint Systems, Inc., Term Loan, First Lien .................. B1 BB- 5.25% 05/25/14 2,698,577 ------------- 16,419,226 ------------- ASSET MANAGEMENT & CUSTODY BANKS - 6.0% 1,313,950 Grosvenor Capital Management Holdings, LLP, Term Loan .......... NR (f) NR (f) 4.31% 12/05/16 1,287,671 2,468,750 Harbourvest Partners L.P., Term Loan B ....................... NR (f) NR (f) 6.25% 12/03/16 2,481,094 2,804,548 LPL Holdings, Inc., Extended Term Loan ......................... Ba3 BB- 4.25% 06/30/15 2,808,053 5,788,061 LPL Holdings, Inc., Term Loan ......... Ba3 BB- 5.25% 06/30/17 5,838,707 1,333,333 Munder Capital Management, Incremental Term Loan ............. NR (f) NR (f) 6.00% 03/31/15 1,336,667 See Notes to Quarterly Portfolio of Investments Page 2 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) ASSET MANAGEMENT & CUSTODY BANKS - (CONTINUED) $ 6,704,791 Nuveen Investments, Inc., Extended Term Loan ................ B3 B 5.80%-5.81% 05/13/17 $ 6,679,648 2,000,000 Nuveen Investments, Inc., Term Loan ......................... B3 B 3.30% 11/13/14 1,939,166 135,384 Oxford US Acquisition, LLC, Term Loan, Tranche B-2 ............ NR (f) NR (f) 2.05% 05/12/14 134,199 ------------- 22,505,205 ------------- AUTOMOBILE MANUFACTURERS - 1.6% 1,324,324 Federal Mogul Corp., Term Loan B ............................ Ba3 B+ 2.20% 12/27/14 1,286,043 675,676 Federal Mogul Corp., Term Loan C ............................ Ba3 B+ 2.20%-2.21% 12/27/15 656,145 2,181,987 Ford Motor Co., Term Loan, Tranche B-1 ....................... Baa3 BB 3.01%-3.05% 12/15/13 2,181,067 997,500 Metaldyne, LLC, Term Loan B ........... B1 B+ 7.75% 10/22/16 1,017,450 1,000,000 Transtar Industries, Inc., Term Loan, First Lien ............. Ba3 BB- 6.25%-6.75% 12/21/16 1,015,000 ------------- 6,155,705 ------------- AUTOMOTIVE RETAIL - 0.6% 2,166,842 KAR Holdings, Inc., Term Loan B ................................. Ba3 B+ 3.02% 10/20/13 2,162,586 ------------- BIOTECHNOLOGY - 0.8% 3,000,000 Grifols, SA, Term Loan B .............. Ba3 BB 6.00% 12/31/16 3,035,001 ------------- BROADCASTING - 1.9% 753,514 Cumulus Media, Inc., Term Loan, First Lien .................. Caa1 B- 4.01% 06/11/14 740,705 1,357,318 Gray Television, Inc., Term Loan B ............................ B2 B 3.77%-5.75% 12/31/14 1,346,494 4,286,250 LBI Media, Inc., Term Loan B .......... B1 B- 1.76% 03/31/12 4,079,082 1,000,000 Sinclair Broadcast Group, Inc., Term Loan B ................. Baa3 BB+ 5.50% 10/29/15 1,010,833 ------------- 7,177,114 ------------- BUILDING PRODUCTS - 0.8% 1,000,000 CPG International, Inc., Term Loan B ............................ B2 B 6.00% 02/18/17 1,008,750 1,995,000 Goodman Global, Inc., Term Loan B ............................ B1 B+ 5.75% 10/29/16 2,009,651 ------------- 3,018,401 ------------- CABLE & SATELLITE - 6.1% 1,930,435 Atlantic Broadband Finance, LLC, Term Loan .................... Ba3 B+ 5.00% 11/30/15 1,930,033 2,000,000 Bresnan Broadband Holdings, LLC, Term Loan .................... Ba3 BB+ 4.50% 12/10/17 2,012,222 See Notes to Quarterly Portfolio of Investments Page 3 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) CABLE & SATELLITE - (CONTINUED) $ 232,906 Charter Communications Operating, LLC, Term Loan B-1 ..... Ba1 BB+ 2.27% 03/06/14 $ 232,118 6,146,624 Charter Communications Operating, LLC, Term Loan C ....... Ba1 BB+ 3.56% 09/06/16 6,161,032 5,619,640 CSC Holdings, Inc., Term Loan B-3, Extended Maturity ............ Baa3 BBB- 2.01%-4.00% 03/29/16 5,636,814 2,000,000 Knology, Inc., Term Loan B ............ B1 B+ 5.50% 02/23/17 2,005,000 995,000 Mediacom Broadband, LLC, Term Loan F ............................ Ba3 BB- 4.50% 10/23/17 997,902 1,000,000 Rovi Corp., Term Loan B ............... Ba1 BB+ 4.00% 02/11/18 1,010,000 838,594 UPC Broadband Holdings B.V., Term Loan T ....................... Ba3 B+ 3.76% 12/31/16 839,381 1,946,576 UPC Broadband Holdings B.V., Term Loan X ....................... Ba3 B+ 3.76% 12/31/17 1,946,576 ------------- 22,771,078 ------------- CASINOS & GAMING - 5.8% 2,914,044 CCM Merger, Inc., Term Loan B ......... Caa1 BB- 8.50% 07/13/12 2,932,256 3,000,000 CCM Merger, Inc., Term Loan B ......... B3 B+ 7.00% 03/01/17 3,036,564 4,000,000 Harrah's Entertainment, Inc., Term Loan B-2 ..................... Caa1 B 3.30% 01/28/15 3,705,716 358,259 Las Vegas Sands, LLC, Delayed Draw Term Loan 1 .................. Ba3 BB- 2.04%-3.04% 11/23/16 356,647 1,994,987 Las Vegas Sands, LLC, Term Loan B ............................ Ba3 BB- 3.04% 11/23/16 1,985,370 4,930,965 VML US Finance, LLC, Term Loan B ............................ Ba3 BB- 4.79% 05/25/13 4,937,099 5,000,000 Wynn Las Vegas, LLC, Term Loan B ............................ Ba3 BB 3.27% 08/04/15 4,970,835 ------------- 21,924,487 ------------- COMMUNICATIONS EQUIPMENT - 0.3% 1,000,000 Commscope, Inc., Term Loan B .......... Ba3 BB 5.00%-5.75% 01/14/18 1,014,583 ------------- COMPUTER HARDWARE - 0.8% 3,000,000 CDW Corp., Term Loan .................. B2 B 4.26% 10/15/14 2,993,334 ------------- DATA PROCESSING & OUTSOURCED SERVICES - 2.0% 1,000,000 Global Cash Access, Inc., Term Loan ......................... B1 BB- 7.00% 02/18/16 1,007,500 6,755,000 Harland Clarke Holdings Corp., Term Loan B ................ B1 B+ 2.76%-2.80% 06/30/14 6,444,696 ------------- 7,452,196 ------------- See Notes to Quarterly Portfolio of Investments Page 4 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) DIVERSIFIED CHEMICALS - 5.6% $ 637,174 Brenntag Holding GmbH & Co. KG, Acquisition Term Loan ......... Ba2 BBB- 3.76%-3.96% 01/17/14 $ 636,377 4,322,712 Brenntag Holding GmbH & Co. KG, Term Loan B2 .................. Ba2 BBB- 3.76%-3.81% 01/17/14 4,317,308 3,000,000 Brenntag Holding GmbH & Co. KG, Term Loan, Second Lien .............................. B1 BB- 6.45% 06/18/15 3,012,501 3,062,655 Celanese Holdings, LLC, Extended Term Loan ................ Ba2 BB+ 1.80% 10/31/16 3,083,906 1,068,219 Huntsman International, LLC, Term Loan C ....................... Ba2 BB- 2.51%-2.53% 06/30/16 1,068,553 1,406,442 Ineos Group Limited, Term Loan B2 ........................... B1 B 7.50% 12/14/13 1,449,222 1,407,306 Ineos Group Limited, Term Loan C2 ........................... B1 B 8.00% 12/14/14 1,450,112 6,000,000 Univar, Inc., Term Loan B ............. B2 B 5.00% 06/30/17 6,020,628 ------------- 21,038,607 ------------- DIVERSIFIED SUPPORT SERVICES - 0.7% 2,000,000 Brickman Group Holdings, Inc., Term Loan B ................. B1 B+ 7.25% 10/15/16 2,041,666 643,437 Diversey, Inc., Term Loan B ........... Ba2 BB- 5.25% 11/24/15 643,437 ------------- 2,685,103 ------------- ELECTRIC UTILITIES - 4.0% 3,604,527 Astoria Generating Co., Acquisitions, LLC, Term Loan B ............................ B1 BB- 2.06% 02/23/13 3,590,109 7,947,687 NRG Energy, Inc., Extended Synthetic Letter of Credit ............................ Baa3 BB+ 3.55% 08/31/15 7,997,360 415,235 NRG Energy, Inc., Extended Term Loan B ....................... Baa3 BB+ 3.55% 08/31/15 417,830 3,000,000 Race Point Power, LLC, Term Loan .............................. Ba2 BB 7.75% 12/29/17 3,007,500 ------------- 15,012,799 ------------- ENVIRONMENTAL & FACILITIES SERVICES - 1.6% 5,970,000 EnergySolutions, LLC, Term Loan .............................. Ba2 BB+ 6.25% 08/13/16 6,040,894 ------------- FOOD DISTRIBUTORS - 0.2% 847,826 B&G Foods, Inc., Term Loan C .......... Ba1 BB 2.31% 02/23/13 841,467 ------------- FOOD RETAIL - 3.7% 2,362,111 SUPERVALU, Inc., Term Loan B .......... B1 BB 1.64% 06/02/12 2,346,362 4,187,002 SUPERVALU, Inc., Extended Term Loan B-2 ..................... B1 BB 3.51% 10/05/15 4,188,551 3,785,598 Univision Corp., Term Loan ............ B2 B 2.51% 09/29/14 3,692,310 See Notes to Quarterly Portfolio of Investments Page 5 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) FOOD RETAIL - (CONTINUED) $ 3,572,675 Univision Corp., Extended Term Loan ......................... B2 B 4.51% 03/29/16 $ 3,484,848 ------------- 13,712,071 ------------- FOREST PRODUCTS - 0.7% 2,806,804 Georgia-Pacific Corporation, Term Loan C ....................... Ba1 BBB+ 3.55% 12/23/14 2,811,873 ------------- HEALTH CARE EQUIPMENT - 4.1% 5,669,789 Biomet, Inc., Dollar Term Loan .............................. B1 BB- 3.26%-3.30% 03/25/15 5,663,586 7,000,000 Carestream Health, Inc., Term Loan B ............................ B1 BB- 5.00% 02/28/17 6,947,500 2,992,288 Djo Finance, LLC, Term Loan ........... Ba2 BB- 3.26% 05/20/14 2,969,846 ------------- 15,580,932 ------------- HEALTH CARE FACILITIES - 6.2% 262,866 CHS/Community Health Systems, Inc., Delayed Draw Term Loan .............................. Ba3 BB 2.51%-2.56% 07/25/14 260,730 2,565,034 CHS/Community Health Systems, Inc., Extended Term Loan .......... Ba3 BB 3.76% 01/25/17 2,570,628 5,101,882 CHS/Community Health Systems, Inc., Term Loan ................... Ba3 BB 2.56% 07/25/14 5,060,429 314,354 Fresenius SE, Term Loan C-1 ........... Baa3 BBB- 4.50% 09/10/14 315,828 179,567 Fresenius SE, Term Loan C-2 ........... Baa3 BBB- 4.50% 09/10/14 180,409 3,291,558 HCA, Inc., Term Loan B-2 .............. Ba3 BB 3.55% 03/31/17 3,300,281 4,603,731 Select Medical Corp., Term Loan B-1 .......................... Ba2 BB- 4.06%-6.00% 08/22/14 4,615,240 152,532 United Surgical Partners International, Inc., Delayed Draw Term Loan ............ Ba3 B 2.27% 04/19/14 150,530 807,258 United Surgical Partners International, Inc., Term Loan B ............................ Ba3 B 2.27%-2.31% 04/19/14 796,663 5,955,112 Vanguard Health Systems, Inc., Term Loan B ................. Ba2 BB- 5.00% 01/29/16 5,993,821 ------------- 23,244,559 ------------- HEALTH CARE SERVICES - 2.8% 1,000,000 Davita, Inc., Term Loan B ............. Ba2 BB 4.50% 10/20/16 1,007,136 1,920,000 Healthways, Inc., Term Loan B ......... Ba2 BB 1.81% 12/01/13 1,795,200 See Notes to Quarterly Portfolio of Investments Page 6 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) HEALTH CARE SERVICES - (CONTINUED) $ 2,500,000 MedAssets, Inc., Term Loan B .......... Ba3 BB- 5.25% 11/19/16 $ 2,518,750 1,000,000 Renal Advantage Holdings, Inc., Term Loan B ................. Ba3 B 5.75% 12/10/16 1,013,750 1,000,000 Rural Metro Corp., Term Loan B ................................. B1 B+ 6.00% 11/19/16 1,011,667 1,995,000 Sheridan Healthcare, Inc., Incremental Term Loan ............. B1 B 4.06% 06/15/14 1,999,988 102,041 Vantage Oncology Holdings, LLC, Delayed Draw Term Loan .............................. B2 B 0.75% 02/28/17 101,786 897,959 Vantage Oncology Holdings, LLC, Term Loan .................... B2 B 7.00% 02/28/17 895,714 ------------- 10,343,991 ------------- HEALTH CARE SUPPLIES - 0.5% 2,000,000 ConvaTec, Inc., Term Loan B ........... Ba3 B+ 5.75% 12/05/16 2,009,166 ------------- HOMEBUILDING - 0.2% 959,698 Mattamy Funding Partnership, Term Loan ......................... NR (f) NR (f) 2.56% 04/11/13 916,511 ------------- HOUSEHOLD PRODUCTS - 0.5% 2,000,000 Global Autocare, Inc., Term Loan B ............................ Ba3 B+ 6.00% 11/05/16 2,010,000 ------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.7% 3,423,883 Dynegy Holdings, Inc., Synthetic Letter of Credit ........ B1 B+ 4.02% 04/02/13 3,394,996 3,371,591 Texas Competitive Electric Holdings Co., LLC, Initial Term Loan B3 .............. B2 B- 3.76%-3.80% 10/10/14 2,834,665 ------------- 6,229,661 ------------- INDUSTRIAL CONGLOMERATES - 0.4% 1,369,824 Bucyrus International, Inc., Term Loan C ....................... Ba2 BB+ 4.25% 01/17/16 1,373,934 ------------- INDUSTRIAL MACHINERY - 1.3% 5,000,000 Intelligrated, Inc., Term Loan B ............................ B2 B+ 7.50% 02/28/17 4,950,000 ------------- INTEGRATED TELECOMMUNICATION SERVICES - 3.3% 1,327,751 Avaya, Inc., Term Loan B .............. B1 B 3.03% 10/26/14 1,287,088 2,667,060 Avaya, Inc., Term Loan B-3 ............ B1 B 4.81% 10/26/17 2,612,767 4,987,500 Global Tel Link Corp., Term Loan B ............................ B1 B 7.25% 11/12/16 5,012,437 1,481,259 NTELOS, Inc., Term Loan ............... Ba3 BB 6.00% 08/07/15 1,486,444 See Notes to Quarterly Portfolio of Investments Page 7 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) INTEGRATED TELECOMMUNICATION SERVICES - (CONTINUED) $ 1,994,805 tw telecom holdings, inc., Term Loan B ....................... Ba1 B+ 3.52% 12/30/16 $ 2,001,422 ------------- 12,400,158 ------------- IT CONSULTING & OTHER SERVICES - 3.8% 444,582 Apptis (DE), Inc., Term Loan .......... B1 B+ 4.52%-4.56% 12/20/12 443,470 5,735,625 DynCorp International, Inc., Term Loan ......................... Ba1 BB 6.25% 07/07/16 5,782,227 3,000,000 Presidio, Inc., Term Loan B ........... Ba3 B+ 7.50% 12/16/15 2,970,000 4,147,081 West Corporation, Term Loan B-2 ............................... Ba3 BB- 2.66%-2.83% 10/24/13 4,131,530 997,403 West Corporation, Term Loan B-5 ............................... Ba3 BB- 4.53%-4.71% 07/15/16 1,003,636 ------------- 14,330,863 ------------- LEISURE FACILITIES - 2.9% 1,000,000 Cedar Fair, L.P., Term Loan B ......... Ba2 BB- 4.00% 12/31/17 1,005,000 1,001,765 London Arena and Waterfront Finance, LLC, Term Loan A ......... NR (f) NR (f) 2.76% 03/08/12 1,001,765 3,870,130 Six Flags, Inc., Term Loan B .......... B1 BB 5.50% 06/30/16 3,901,575 962,500 Town Sports International, LLC, Term Loan .................... Ba2 BB- 2.13% 02/27/14 924,000 3,960,000 Universal City Development Partners, Ltd., Term Loan ......... Ba2 B+ 5.50% 11/06/14 3,998,776 ------------- 10,831,116 ------------- LEISURE PRODUCTS - 0.8% 992,500 Live Nation Entertainment, Inc., Term Loan B ................. Ba2 BB- 4.50% 11/06/16 996,205 1,269,119 LodgeNet Entertainment Corp., Term Loan ......................... B3 B 2.31% 04/04/14 1,172,348 944,026 Sram, LLC, Term Loan B ................ Ba3 BB- 5.00%-5.50% 04/30/15 951,106 ------------- 3,119,659 ------------- LIFE & HEALTH INSURANCE - 0.5% 2,000,000 CNO Financial Group, Inc., Term Loan ......................... B1 B 7.50% 09/30/16 2,011,666 ------------- LIFE SCIENCES TOOLS & SERVICES - 1.2% 1,990,000 inVentiv Health, Inc., Term Loan .............................. Ba3 BB- 4.75% 08/04/16 1,998,706 333,333 inVentiv Health, Inc., Term Loan B-1 .......................... Ba3 BB- 4.75% 08/04/16 334,584 666,667 inVentiv Health, Inc., Term Loan B-2 .......................... Ba3 BB- 1.63% 08/04/16 669,167 1,425,125 Quintiles Transnational Corp., Term Loan B, First Lien .............................. Ba2 BB 2.31% 03/31/13 1,419,780 ------------- 4,422,237 ------------- See Notes to Quarterly Portfolio of Investments Page 8 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) MANAGED HEALTH CARE - 3.4% $ 1,164,194 IASIS Healthcare Corporation, Delayed Draw Term Loan ............ Ba2 B+ 2.26% 03/15/14 $ 1,158,737 318,412 IASIS Healthcare Corporation, Synthetic Letter of Credit ............................ Ba2 B+ 2.36% 03/15/14 316,920 3,363,525 IASIS Healthcare Corporation, Term Loan ......................... Ba2 B+ 2.26% 03/15/14 3,347,760 7,818,510 MultiPlan, Inc., Term Loan ............ Ba3 B 4.75% 08/17/17 7,877,149 ------------- 12,700,566 ------------- METAL & GLASS CONTAINERS - 0.8% 2,741,594 BWAY Corporation, Term Loan B ......... Ba3 B 5.00% 02/18/18 2,751,875 243,407 BWAY Corporation, Term Loan C ......... Ba3 B 5.00% 02/18/18 244,320 ------------- 2,996,195 ------------- MOVIES & ENTERTAINMENT - 2.9% 4,655,000 AMC Entertainment, Inc., Term Loan .............................. Ba2 BB- 3.51% 12/15/16 4,682,641 1,500,000 Filmyard Holdings, LLC, Term Loan B ............................ Ba2 BB- 7.75% 06/30/16 1,526,250 1,500,000 Regal Cinemas Corporation, Term Loan ......................... Ba2 BB- 3.80% 07/31/17 1,507,500 3,000,000 TWCC Holding Corporation, Term Loan B ....................... Ba3 BB- 4.25% 02/11/17 3,027,750 ------------- 10,744,141 ------------- MULTI-UTILITIES - 1.1% 2,510,637 KGEN, LLC, Synthetic Letter of Credit ......................... B1 BB- 2.22% 02/08/14 2,498,084 1,683,849 KGEN, LLC, Term Loan .................. B1 BB- 2.06% 02/08/14 1,675,430 ------------- 4,173,514 ------------- OFFICE SERVICES & SUPPLIES - 0.5% 841,176 Pike Electric, Inc., Term Loan B ............................ NR (f) NR (f) 2.06% 07/01/12 832,764 950,843 Pike Electric, Inc., Term Loan C ............................ NR (f) NR (f) 2.06% 12/10/12 941,335 ------------- 1,774,099 ------------- OIL & GAS EQUIPMENT & SERVICES - 0.5% 1,989,882 Aquilex Holdings, LLC, Term Loan .............................. Ba3 BB- 6.00% 04/01/16 1,993,199 ------------- OIL & GAS EXPLORATION & PRODUCTION - 0.9% 1,968,872 Helix Energy Solutions Group, Inc., Term Loan ................... Ba2 BB- 2.51%-2.52% 07/01/13 1,962,474 See Notes to Quarterly Portfolio of Investments Page 9 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) OIL & GAS EXPLORATION & PRODUCTION - (CONTINUED) $ 1,433,407 SemCrude, L.P., Prefunded Synthetic Letter of Credit ............................ NR NR 8.50% 11/30/12 $ 1,439,380 160,508 SemCrude, L.P., Term Loan, Second Lien (g).................... NR NR 9.00% 11/30/16 162,213 ------------- 3,564,067 ------------- OIL & GAS REFINING & MARKETING - 0.9% 106,111 Alon USA, Inc., Term Loan (Edgington Facility) .............. B1 B+ 2.56% 06/22/13 91,256 848,889 Alon USA, Inc., Term Loan (Paramount Facility) .............. B1 B+ 2.51%-2.56% 06/22/13 730,044 114,943 Calumet Lubricants Co., L.P., Synthetic Letter of Credit ............................ B1 B 4.15% 01/03/15 114,368 844,564 Calumet Lubricants Co., L.P., Term Loan ......................... B1 B 4.29%-4.31% 01/03/15 840,341 1,501,925 Citgo Petroleum Corporation, Term Loan B ....................... Ba2 BB+ 8.00%-8.25% 06/24/15 1,571,389 ------------- 3,347,398 ------------- OTHER DIVERSIFIED FINANCIAL SERVICES - 4.2% 2,000,000 Fifth Third Processing, LLC, Term Loan B ....................... Ba3 BB- 5.50% 10/29/16 2,015,500 1,000,000 Fifth Third Processing, LLC, Term Loan, Second Lien ............ B2 B- 8.25% 10/29/17 1,024,375 5,000,000 First American Payment Systems, L.P., Term Loan B ........ B1 B+ 6.75% 10/29/16 5,037,500 1,000,000 First Data Corp., Term Loan B-2 ............................... B1 B+ 3.01% 09/24/14 946,625 6,000,000 First Data Corp., Term Loan B-3 ............................... B1 B+ 3.01% 09/24/14 5,680,908 1,000,000 WorldPay U.S., Inc., Facility B2A (USD) ......................... Ba2 BB 6.25% 11/30/17 1,005,500 ------------- 15,710,408 ------------- PACKAGED FOODS & MEATS - 1.7% 3,885,034 Dean Foods Co., Term Loan B ........... Ba3 BB- 3.31% 04/02/16 3,862,835 2,000,000 Del Monte Foods Company, Term Loan B ............................ Ba3 B+ 4.50% 02/16/18 2,012,500 500,000 Windsor Quality Food Company, Ltd., Term Loan B ................. B1 BB- 5.75% 02/15/17 502,188 ------------- 6,377,523 ------------- PAPER PACKAGING - 3.6% 2,044,797 Graham Packaging Holdings Co., Term Loan C .................. B1 B+ 6.75% 04/30/14 2,057,577 See Notes to Quarterly Portfolio of Investments Page 10 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) PAPER PACKAGING - (CONTINUED) $ 2,351,511 Graphic Packaging International, Inc., Term Loan .............................. Ba3 BB+ 3.05% 05/16/14 $ 2,355,104 9,000,000 Reynolds Consumer Products Holdings, Inc., Term Loan E ....... Ba3 BB 4.25% 11/05/15 9,046,872 ------------- 13,459,553 ------------- PHARMACEUTICALS - 4.2% 2,000,000 Amneal Pharmaceuticals, LLC, Term Loan B ....................... NR NR 6.75% 12/21/15 1,995,000 4,829,849 Catalent Pharma Solutions, Inc., Dollar Term Loan ............ Ba3 BB- 2.51% 04/10/14 4,769,476 1,698,313 Mylan, Inc., Term Loan B .............. Baa3 BBB- 3.56% 10/02/14 1,706,008 2,516,949 Warner Chilcott Corporation, Term Loan A ....................... Ba3 BB 6.00% 10/30/14 2,517,999 1,336,500 Warner Chilcott Corporation, Term Loan B ....................... Ba3 BB 6.25% 04/30/15 1,345,688 1,245,567 Warner Chilcott Corporation, Term Loan B1 ...................... Ba3 BB 6.25% 04/30/15 1,252,644 2,074,094 Warner Chilcott Corporation, Term Loan B2 ...................... Ba3 BB 6.25% 04/30/15 2,085,879 ------------- 15,672,694 ------------- PUBLISHING - 1.4% 3,000,000 Cenveo Corporation, Term Loan ......... Ba3 BB- 6.25% 12/21/16 3,027,501 1,995,000 Getty Images, Inc., Term Loan B ....... Ba3 BB- 5.25% 11/09/16 2,019,315 804,056 Yell Group, PLC, Term Loan B1 ......... B3 B- 4.01% 07/31/14 363,166 ------------- 5,409,982 ------------- REAL ESTATE OPERATING COMPANIES - 0.8% 3,000,000 ClubCorp Corp Operations, Inc., Term Loan ................... Ba2 BB 6.00% 11/30/16 3,030,000 ------------- REAL ESTATE SERVICES - 0.9% 1,995,000 CB Richard Ellis Services, Inc., Term Loan B ................. Ba1 BB 3.51% 11/08/16 1,995,000 1,393,829 Realogy Corp., Term Loan, First Lien ........................ B1 B- 4.56% 10/10/16 1,336,770 ------------- 3,331,770 ------------- RESTAURANTS - 1.9% 2,000,000 Burger King Corp., Term Loan B ........ Ba3 BB- 4.50% 10/19/16 2,009,166 1,500,000 Dunkin' Brands, Inc., Term Loan B ............................ B2 B 4.25% 11/19/17 1,509,375 See Notes to Quarterly Portfolio of Investments Page 11 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) RESTAURANTS - (CONTINUED) $ 3,500,000 Focus Brands, Inc., Term Loan B ....... B2 B 7.25%-7.50% 11/05/16 $ 3,513,125 ------------- 7,031,666 ------------- RETAIL REITS - 1.5% 5,305,951 Capital Automotive, L.P., Term Loan C ....................... Ba3 B+ 4.75% 12/14/12 5,514,873 ------------- SEMICONDUCTOR EQUIPMENT - 0.3% 1,000,000 Edwards (Cayman Islands II), Ltd., Term Loan ................... B3 B+ 5.50% 05/31/16 993,750 ------------- SEMICONDUCTORS - 1.5% 3,990,316 Freescale Semiconductor, Inc., Extended Term Loan .......... B1 B- 4.51% 12/01/16 3,982,451 1,741,250 Intersil Corporation, Term Loan .............................. Ba2 BB+ 4.75% 04/26/16 1,749,085 ------------- 5,731,536 ------------- SPECIALIZED CONSUMER SERVICES - 10.4% 955,000 Acosta, Inc., Term Loan ............... NR (f) NR (f) 4.50% 07/28/13 959,775 2,000,000 Acosta, Inc., Term Loan B ............. NR (f) NR (f) 4.75% 03/01/18 2,015,000 3,299,518 Acxiom Corporation, Extended Term Loan ......................... Ba2 BBB- 3.26%-3.30% 03/15/15 3,311,891 6,000,000 Advantage Sales & Marketing, Inc., Term Loan, First Lien .............................. NR (f) B+ 5.25% 12/23/17 6,037,458 6,525,850 Affinion Group, Inc., Term Loan B ............................ Ba3 BB- 5.00% 10/09/16 6,558,479 226,464 ARAMARK Corporation, Prefunded Synthetic Letter of Credit 2 ................ Ba3 BB 3.51% 07/26/16 227,030 3,443,529 ARAMARK Corporation, Term Loan B ............................ Ba3 BB 3.55% 07/26/16 3,452,137 7,000,000 Asurion Corp., New Term Loan, First Lien ........................ NR (f) NR (f) 6.75% 03/31/15 7,088,753 1,462,475 Asurion Corp., Term Loan, First Lien ........................ NR (f) NR (f) 3.26%-3.31% 07/03/14 1,438,482 2,000,000 Language Line, LLC, Term Loan B ....... Ba3 B+ 6.25% 06/20/16 2,023,750 2,722,465 Nielsen Finance, LLC, Dollar Term Loan B ....................... Ba2 BB- 4.01% 05/01/16 2,734,942 1,477,481 Nielsen Finance, LLC, Dollar Term Loan C ....................... Ba2 BB- 3.76% 05/02/16 1,481,482 1,580,572 Protection One, Inc., Term Loan .............................. Ba3 BB 6.00% 06/04/16 1,584,524 ------------- 38,913,703 ------------- See Notes to Quarterly Portfolio of Investments Page 12 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) SPECIALTY CHEMICALS - 4.3% $ 1,978,723 Arizona Chemical, Inc., Term Loan B ............................ B1 B+ 6.75% 11/19/16 $ 1,998,922 1,991,424 Houghton International, Inc., Term Loan B ....................... B1 B 6.75% 01/31/16 2,011,338 945,103 ISP Chemco, LLC, Term Loan ............ Ba3 BB 1.81% 02/16/13 937,424 1,496,250 Omnova Solutions, Inc., Term Loan B ............................ Ba2 B+ 5.75% 06/30/17 1,514,018 2,000,000 Rockwood Specialties Goup, Inc., Term Loan B ................. Ba1 BBB- 3.75% 02/15/18 2,021,250 1,056,066 Solutia, Inc., Term Loan .............. Ba1 BB+ 4.50% 03/17/17 1,057,222 4,534,945 Solutia, Inc., Term Loan .............. Ba1 BB+ 3.50% 08/01/17 4,534,945 2,000,000 Styron Corp., Term Loan B ............. B1 B+ 6.00% 08/01/17 2,018,000 ------------- 16,093,119 ------------- SPECIALTY STORES - 2.3% 2,500,000 Harbor Freight Tools USA, Inc., Term Loan ................... Ba3 B+ 6.50% 12/29/17 2,525,000 1,000,000 NBTY, Inc., Term Loan B ............... Ba3 BB- 4.25% 10/01/17 1,004,583 5,000,000 Petco Animal Supplies, Inc., Term Loan ......................... B1 B 4.50% 11/30/17 5,018,750 ------------- 8,548,333 ------------- SYSTEMS SOFTWARE - 3.9% 1,741,250 Information Solution Company, Term Loan ......................... Ba2 BB+ 4.75% 04/12/16 1,752,133 1,023,683 Open Solutions, Inc., Term Loan, First Lien .................. B1 BB- 2.43% 01/23/14 917,902 500,000 SunGard Data Systems, Inc., Incremental Term Loan ............. Ba3 BB 3.76% 02/18/14 502,187 3,019,452 SunGard Data Systems, Inc., Term Loan A ....................... Ba3 BB 2.01% 02/28/14 2,998,962 4,260,021 SunGard Data Systems, Inc., Term Loan B ....................... Ba3 BB 3.91%-3.94% 02/28/16 4,268,388 4,000,000 Vertafore, Inc., Term Loan, First Lien ........................ B1 B+ 5.25% 07/28/16 4,030,000 ------------- 14,469,572 ------------- TRUCKING - 1.9% 2,358,385 Swift Transportation Co., Inc., Term Loan B ................. B1 BB- 6.00% 12/21/16 2,368,703 631,439 The Hertz Corporation, Prefunded Synthetic Letter of Credit .................. Ba1 BB 2.01% 12/21/12 630,559 4,108,827 The Hertz Corporation, Term Loan .............................. Ba1 BB 2.01% 12/21/12 4,103,099 ------------- 7,102,361 ------------- See Notes to Quarterly Portfolio of Investments Page 13 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PRINCIPAL RATINGS (c) STATED VALUE DESCRIPTION MOODY'S S&P RATE (d) MATURITY (e) VALUE ---------------- --------------------------------------- ----------------- ----------- ------------- ------------- SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED) WIRELESS TELECOMMUNICATION SERVICES - 1.1% $ 3,000,000 Syniverse Technologies, Inc., Term Loan B ....................... B1 BB- 5.25% 12/22/16 $ 3,031,251 1,000,000 TowerCo Finance, LLC, Term Loan B ............................ Ba3 BB- 5.25% 02/01/17 1,006,250 ------------- 4,037,501 ------------- TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................... 565,076,236 (Cost $561,551,553) ------------- SENIOR FLOATING-RATE NOTES - 0.2% SEMICONDUCTORS - 0.2% 650,000 NXP B.V. .............................. B3 B- 3.15% 10/15/13 649,187 ------------- TOTAL SENIOR FLOATING-RATE NOTES ........................................................ 649,187 (Cost $650,000) ------------- NOTES - 0.0% HOMEBUILDING - 0.0% 727,273 TOUSA, Inc. (Payment-In-kind Election Note) (h) (i) (j) (k)............................ 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) (h) (i) (j) (l)................................................................... 0 ------------- TOTAL PREFERRED STOCKS .................................................................. 0 (Cost $2,563,636) ------------- COMMON STOCKS - 0.6% DIVERSIFIED CHEMICALS - 0.4% 38,260 LyondellBasell Industries AF S.C.A., Class B ............................................ 1,456,941 ------------- OIL & GAS EXPLORATION & PRODUCTION - 0.2% 19,828 SemGroup Corp., Class A ................................................................. 636,677 ------------- TOTAL COMMON STOCKS ..................................................................... 2,093,618 (Cost $1,129,017) ------------- WARRANTS - 0.0% BROADCASTING - 0.0% 1,449 Cumulus Media, Inc. (h) (j).............................................................. 5,377 ------------- TOTAL WARRANTS .......................................................................... 5,377 (Cost $0) -------------
See Notes to Quarterly Portfolio of Investments Page 14 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
DESCRIPTION VALUE ----------------------------------------------------------------------------------------- ------------- TOTAL INVESTMENTS - 151.4% .............................................................. $ 567,824,418 (Cost $566,330,570) (m) OUTSTANDING LOAN - (42.7%) (160,000,000) NET OTHER ASSETS AND LIABILITIES - (8.7%) ............................................... (32,696,310) ------------- NET ASSETS - 100.0% ..................................................................... $ 375,128,108 =============
-------- (a) All percentages shown in the Portfolio of Investments are based on net assets. (b) All or a portion of the securities 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 Inter-Bank 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) Interest for the period commencing on November 30, 2009 and 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 on January 1, 2012, shall be payable as Cash Interest. (h) This security is fair valued in accordance with procedures adopted by the Fund's Board of Trustees. (i) This borrower has filed for protection in federal bankruptcy court. (j) This security is restricted and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. Prior to registration, restricted securities may only be resold in transactions exempt from registration (See Note D - Restricted Securities in the Notes to Quarterly Portfolio of Investments). (k) This security is a Senior Subordinated Payment-in-Kind Election Note whereby 1.00% of interest per annum will be paid in cash and 13.75% of interest per annum shall be paid by the issuer, at its option (i) entirely in cash , (ii) entirely in Payment-in-Kind interest or (iii) a combination there of (i) and (ii). Interest is to be paid semi-annually; however, the issuer is in default and income is not being accrued. (l) Non-income producing security. (m) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of February 28, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $7,057,267 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,563,419. NR Not Rated See Notes to Quarterly Portfolio of Investments Page 15 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments):
TOTAL LEVEL 1 LEVEL 2 LEVEL 3 VALUE AT QUOTED SIGNIFICANT SIGNIFICANT 2/28/2011 PRICES OBSERVABLE INPUTS OBSERVABLE INPUTS --------------- ------------- ----------------- ----------------- Senior Floating-Rate Loan Interests: Advertising $ 6,302,674 $ - $ 6,302,674 $ - Aerospace & Defense 29,566,630 - 20,714,076 8,852,554 Agricultural Products 4,153,229 - 4,153,229 - Airlines 481,363 - 481,363 - Alternative Carriers 12,395,699 - 12,395,699 - Aluminum 3,035,358 - 3,035,358 - Apparel Retail 3,873,577 - 3,873,577 - Application Software 16,419,226 - 12,068,749 4,350,477 Asset Management & Custody Banks 22,505,205 - 17,399,773 5,105,432 Automobile Manufacturers 6,155,705 - 5,138,255 1,017,450 Automotive Retail 2,162,586 - 2,162,586 - Biotechnology 3,035,001 - 3,035,001 - Broadcasting 7,177,114 - 7,177,114 - Building Products 3,018,401 - 3,018,401 - Cable & Satellite 22,771,078 - 22,771,078 - Casinos & Gaming 21,924,487 - 21,924,487 - Communications Equipment 1,014,583 - 1,014,583 - Computer Hardware 2,993,334 - 2,993,334 - Data Processing & Outsourced Services 7,452,196 - 6,444,696 1,007,500 Diversified Chemicals 21,038,607 - 21,038,607 - Diversified Support Services 2,685,103 - 2,685,103 - Electric Utilities 15,012,799 - 15,012,799 - Environmental & Facilities Services 6,040,894 - 6,040,894 - Food Distributors 841,467 - 841,467 - Food Retail 13,712,071 - 13,712,071 - Forest Products 2,811,873 - 2,811,873 - Health Care Equipment 15,580,932 - 15,580,932 - Health Care Facilities 23,244,559 - 23,244,559 - Health Care Services 10,343,991 - 8,548,791 1,795,200 Health Care Supplies 2,009,166 - 2,009,166 - Homebuilding 916,511 - - 916,511 Household Products 2,010,000 - 2,010,000 - Independent Power Producers & Energy Traders 6,229,661 - 6,229,661 - Industrial Conglomerates 1,373,934 - 1,373,934 - Industrial Machinery 4,950,000 - - 4,950,000 Integrated Telecommunication Services 12,400,158 - 12,400,158 - IT Consulting & Other Services 14,330,863 - 10,917,393 3,413,470 Leisure Facilities 10,831,116 - 9,907,116 924,000 Leisure Products 3,119,659 - 2,168,553 951,106 Life & Health Insurance 2,011,666 - 2,011,666 - Life Sciences Tools & Services 4,422,237 - 4,422,237 - Managed Health Care 12,700,566 - 12,700,566 - Metal & Glass Containers 2,996,195 - 2,996,195 - Movies & Entertainment 10,744,141 - 10,744,141 - See Notes to Quarterly Portfolio of Investments Page 16 FIRST TRUST SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF INVESTMENTS (a) (b) - (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) TOTAL LEVEL 1 LEVEL 2 LEVEL 3 VALUE AT QUOTED SIGNIFICANT SIGNIFICANT 2/28/2011 PRICES OBSERVABLE INPUTS OBSERVABLE INPUTS --------------- ------------- ----------------- ----------------- Senior Floating-Rate Loan Interests (Continued): Multi-Utilities $ 4,173,514 - - 4,173,514 Office Services & Supplies 1,774,099 - - 1,774,099 Oil & Gas Equipment & Services 1,993,199 - 1,993,199 - Oil & Gas Exploration & Production 3,564,067 - 3,564,067 - Oil & Gas Refining & Marketing 3,347,398 - 2,526,098 821,300 Other Diversified Financial Services 15,710,408 - 10,672,908 5,037,500 Packaged Foods & Meats 6,377,523 - 6,377,523 - Paper Packaging 13,459,553 - 13,459,553 - Pharmaceuticals 15,672,694 - 13,677,694 1,995,000 Publishing 5,409,982 - 5,409,982 - Real Estate Operating Companies 3,030,000 - 3,030,000 - Real Estate Services 3,331,770 - 3,331,770 - Restaurants 7,031,666 - 7,031,666 - Retail REITs 5,514,873 - 5,514,873 - Semiconductor Equipment 993,750 - 993,750 - Semiconductors 5,731,536 - 5,731,536 - Specialized Consumer Services 38,913,703 - 38,913,703 - Specialty Chemicals 16,093,119 - 16,093,119 - Specialty Stores 8,548,333 - 8,548,333 - Systems Software 14,469,572 - 14,469,572 - Trucking 7,102,361 - 7,102,361 - Wireless Telecommunication Services 4,037,501 - 4,037,501 - --------------- ------------- ----------------- ----------------- Total Senior Floating-Rate Loan Interest 565,076,236 - 517,991,123 47,085,113 Senior Floating-Rate Notes* 649,187 - 649,187 - Common Stocks* 2,093,618 2,093,618 - - Warrants* 5,377 - 5,377 - --------------- ------------- ----------------- ----------------- TOTAL INVESTMENTS $ 567,824,418 $ 2,093,618 $ 518,645,687 $ 47,085,113 =============== ============= ================= =================
* See the Portfolio of Investments for the industry breakout. The following table presents the Fund's investments measured at fair value on a recurring basis using significant unobservable inputs (level 3) for the period presented:
NET CHANGE IN TRANSFERS REALIZED NET UNREALIZED NET BALANCE AS OF INVESTMENTS AT FAIR VALUE USING BALANCE AS OF IN (OUT) GAINS APPRECIATION PURCHASES FEBRUARY 28, SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) MAY 31, 2010 OF LEVEL 3 (LOSSES) (DEPRECIATION) (SALES) 2011 ------------------------------------------- -------------- ------------ ---------- -------------- ------------ --------------- Senior Floating-Rate Loan Interests $ 17,428,350 $ 14,297,511 $ (64,665) $ 786,609 $ 14,637,308 $ 47,085,113
See Notes to Quarterly Portfolio of Investments Page 17 NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FEBRUARY 28, 2011 (UNAUDITED) VALUATION AND INVESTMENT PRACTICES A. PORTFOLIO VALUATION: The net asset value ("NAV") of the Common Shares of First Trust 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. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding. The Fund's investments are valued daily in accordance with valuation procedures adopted by the Fund's Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940, as amended (the "1940 Act"). The 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. Common stocks and other securities listed on any national or foreign exchange (excluding the NASDAQ National Market ("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. If there are no transactions on the valuation day, the securities are valued at the mean between the most recent bid and asked prices. Securities listed on the NASDAQ or the AIM are valued at the official closing price. If there is no official closing price on the valuation day, the securities are valued at the mean between the most recent bid and asked prices. Securities traded in the over-the-counter market are valued at their closing bid prices. Debt securities having a remaining maturity of sixty days or less when purchased are valued at cost adjusted for amortization of premiums and accretion of discounts. In the event that market quotations are not readily available, the pricing service does not provide a valuation, or the valuations received 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 securities. Additionally, if events occur after the close of the principal markets for certain securities (e.g., domestic debt and foreign securities) that could materially affect the Fund's NAV, First Trust may use a fair value method to value the Fund's securities. The use of fair value pricing is governed by valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the 1940 Act. As a general principle, the fair value of a security is the amount which the Fund might reasonably expect to receive for the security upon its current sale. However, in light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security will be the amount which the Fund might be able to receive upon its current sale. Fair valuation of a security is based on the consideration of all available information, including, but not limited to, the following: 1) the fundamental business data relating to the 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 security; 4) the financial statements of the issuer; 5) the credit quality and cash flow of the issuer, based on the Sub-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 issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer's management; 11) the prospects for the issuer's industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; and 12) other relevant factors. Page 18 NOTES TO NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED) FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FEBRUARY 28, 2011 (UNAUDITED) 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. 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 may 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 securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011, is included with the Fund's Portfolio of Investments. B. SECURITY TRANSACTIONS: Security transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. Due to the nature of the Senior Loan market, the actual settlement date may not be certain at the time of the purchase or sale for some of the Senior Loans. Interest income on such Senior Loans is not accrued until settlement date. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued or 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 unfunded delayed draw loan commitments as of February 28, 2011. D. RESTRICTED SECURITIES: The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the Securities Act of 1933, as amended. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of February 28, 2011, the Fund held restricted securities as shown in the following table. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation footnote (Note 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 $ 3.71 $ - $ 5,377 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 -------------- --------- ------------ $ 3,000,000 $ 5,377 0.00% ============== ========= ============
(1) Security was acquired through a restructuring that was effective on July 31, 2007. Page 19 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 April 27, 2011 -------------------- 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 April 27, 2011 -------------------- By (Signature and Title)* /s/ Mark R. Bradley ------------------------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) Date April 27, 2011 -------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 cert_302.txt SECTION 302 CERTIFICATION CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, James A. Bowen, certify that: 1. I have reviewed this report on Form N-Q of First Trust Senior Floating Rate Income Fund II (formerly known as First Trust/Four Corners Senior Floating Rate Income Fund II); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 27, 2011 /s/ James A. Bowen --------------------- -------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Mark R. Bradley, certify that: 1. I have reviewed this report on Form N-Q of First Trust Senior Floating Rate Income Fund II (formerly known as First Trust/Four Corners Senior Floating Rate Income Fund II); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 27, 2011 /s/ Mark R. Bradley --------------------- -------------------------------------------- Mark R. Bradley, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)