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
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: February 28, 2013
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - 147.0%
AEROSPACE & DEFENSE - 3.6%
$ 3,000,000 Beechcraft Holdings, Term
Loan B ............................. B1 BB- 5.75% 12/05/20 $ 3,001,890
1,197,000 Booz Allen Hamilton, Inc.,
Term Loan B ........................ Ba3 BB 4.50% 07/18/19 1,207,474
3,301,429 DynCorp International, Inc.,
Term Loan .......................... Ba2 BB- 6.25% 07/07/16 3,318,761
2,000,000 Engility Holdings, Inc., Term
Loan B ............................. Ba2 BB+ 5.75% 07/13/17 1,980,000
1,365,000 Sequa Corp., Term Loan B ............... B1 B 5.25% 05/29/17 1,380,643
3,313,470 Transdigm, Inc., Term Loan C ........... Ba2 BB- 3.75% 02/25/20 3,319,699
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14,208,467
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AGRICULTURAL PRODUCTS - 1.1%
476,533 Dole Food Company, Inc., Term
Loan B2 ............................ Ba2 BB- 5.00%-6.00% 07/08/18 476,833
852,744 Dole Food Company, Inc., Term
Loan C2 ............................ Ba2 BB- 5.00%-6.00% 07/08/18 853,281
2,942,625 Jimmy Sanders, Term Loan B B2 B 6.75% 11/15/18 2,949,982
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4,280,096
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ALTERNATIVE CARRIERS - 2.6%
1,324,242 DigitalGlobe, Inc., Term Loan
B .................................. Ba2 BBB- 3.75% 01/25/20 1,329,619
5,910,188 Intelsat Jackson Holdings
S.A., Term Loan B .................. B1 BB- 4.50% 04/02/18 5,965,625
2,842,857 Telesat Canada, Term Loan B ............ Ba3 BB- 4.25% 03/28/19 2,862,757
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10,158,001
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ALUMINUM - 0.5%
1,990,000 Constellium Holdco B.V., Term
Loan ............................... B2 B 9.25% 05/25/18 2,029,800
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APPAREL RETAIL - 1.4%
1,535,625 Ascena Retail Group, Inc.,
Term Loan B ........................ Ba2 BB+ 4.75% 06/08/18 1,547,142
2,744,750 Payless ShoeSource, Term Loan
B .................................. B1 B 7.25% 09/19/19 2,768,766
1,330,000 Phillips-Van Heusen Corp.,
Term Loan B ........................ Ba1 BBB- 3.25% 12/31/19 1,340,667
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5,656,575
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APPLICATION SOFTWARE - 2.6%
2,326,186 DataTel, Inc., Term Loan B ............. B1 B+ 6.25% 07/19/18 2,343,144
3,940,000 Eagle Parent, Inc., Term Loan
B .................................. Ba3 B+ 5.00% 05/16/18 3,945,752
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
APPLICATION SOFTWARE - (CONTINUED)
$ 3,908,953 Lawson Software, Inc., Term
Loan B2 ........................... Ba3 B+ 5.25% 04/05/18 $ 3,951,287
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10,240,183
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ASSET MANAGEMENT & CUSTODY BANKS - 4.3%
2,750,000 Hamilton Lane Advisors, Term
Loan ............................... NR (e) NR (e) 6.50% 02/28/18 2,756,875
1,921,429 Harbourvest Partners L.P.,
Term Loan B ........................ NR (e) NR (e) 4.75% 11/20/17 1,931,036
2,070,027 Mondrian Investment Partners
Ltd., Term Loan B .................. Ba2 BB 5.50% 07/12/18 2,073,484
777,746 Munder Capital Management,
Incremental Term Loan .............. NR (e) NR (e) 6.00% 03/23/15 779,690
4,704,791 Nuveen Investments, Inc.,
Extended Term Loan ................. B2 B 5.20% 05/13/17 4,769,482
2,000,000 Nuveen Investments, Inc.,
Incremental Term Loan .............. B2 B 5.20% 05/13/17 2,010,000
2,257,143 TCW Group, Inc., Term Loan B ........... Ba1 BB+ 4.00% 12/20/19 2,274,071
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16,594,638
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AUTO PARTS & EQUIPMENT - 3.9%
2,985,019 Allison Transmission, Inc.,
Term Loan B3 ....................... Ba3 BB- 4.25% 08/23/19 3,010,600
2,700,000 HHI Holdings, LLC, Term Loan
B .................................. B2 B+ 7.00% 09/18/19 2,720,250
2,383,895 Metaldyne, LLC, Term Loan B ............ B1 B+ 5.00% 12/04/18 2,392,835
1,750,000 Remy International, Inc.,
Term Loan B ........................ B1 B+ 4.25% 02/28/20 1,752,188
563,800 Schrader International, Inc.,
Term Loan .......................... B1 B 6.25% 04/27/18 568,028
433,700 Schrader International, Inc.,
US Term Loan ....................... B1 B 6.25% 04/27/18 436,953
3,000,000 Sequa Automotive Group, Term
Loan B ............................. B1 B+ 6.25% 11/15/18 3,007,500
1,338,914 Tomkins, PLC, Term Loan B2 ............. Ba2 BB 3.75% 09/29/16 1,348,956
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15,237,310
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AUTOMOBILE MANUFACTURERS - 1.0%
3,962,293 Chrysler Group, LLC, Term
Loan B ............................. Ba1 BB 6.00% 05/24/17 4,044,629
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AUTOMOTIVE RETAIL - 1.2%
1,911,143 KAR Holdings, Inc., Term Loan
B .................................. Ba3 BB- 5.00% 05/19/17 1,930,254
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
AUTOMOTIVE RETAIL - (CONTINUED)
$ 2,743,125 Pilot Travel Centers, LLC,
Term Loan B2 ....................... Ba2 BB 4.25% 08/01/19 $ 2,767,978
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4,698,232
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BIOTECHNOLOGY - 1.5%
5,727,902 Grifols, SA, Term Loan B ............... Ba2 BB+ 4.25% 06/01/17 5,757,344
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BROADCASTING - 7.8%
6,677,409 Clear Channel Communications,
Inc., Term Loan B .................. Caa1 CCC+ 3.85% 01/29/16 5,710,854
1,978,438 Cumulus Media Holdings, Inc.,
Term Loan, First Lien .............. Ba2 BB- 4.50% 09/16/18 1,996,738
1,000,000 Cumulus Media Holdings, Inc.,
Term Loan, Second Lien ............. B2 CCC+ 7.50% 03/18/19 1,021,880
2,094,750 FoxCo Acquisition, LLC, Term
Loan B ............................. B2 B 5.50% 07/14/17 2,118,840
1,255,442 Hubbard Radio, LLC, Tranche 1
Term Loan .......................... Ba3 B+ 4.50% 04/28/17 1,265,385
2,121,429 LIN Television Corp., Term
Loan B ............................. Ba3 BB 4.00% 12/21/18 2,134,688
482,857 Mission Broadcasting, Term
Loan B ............................. Ba2 BB 4.50% 11/19/19 488,893
3,528,155 NEP Holdco, Inc., Term Loan B1 B 4.75% 01/22/20 3,536,975
257,143 NEP Holdco, Inc., Term Loan,
Second Lien ........................ Caa1 CCC+ 9.50% 07/18/20 263,571
1,142,143 Nexstar Broadcasting, Term
Loan B.............................. Ba2 BB 4.50% 11/19/19 1,156,420
1,970,000 Raycom TV Broadcasting, LLC,
Term Loan B ........................ NR NR 4.25% 05/31/17 1,962,613
3,780,013 Sinclair Broadcasting Group,
Inc., Term Loan B .................. Ba1 BB+ 4.00% 10/28/16 3,792,260
4,881,438 Univision Corp., Extended
First Lien Term Loan ............... B2 B+ 4.75% 02/28/20 4,890,176
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30,339,293
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BUILDING PRODUCTS - 0.3%
1,330,000 Unifrax, LLC, Term Loan B .............. B1 B+ 4.25% 11/30/18 1,338,791
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CABLE & SATELLITE - 1.7%
2,916,667 Kabel Deutschland, Term Loan
F1 ................................. Ba2 BB 3.50% 02/01/19 2,921,363
3,675,000 Virgin Media, Term Loan B .............. Ba3 BB- 3.50% 02/06/20 3,653,060
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6,574,423
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See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
CASINOS & GAMING - 3.1%
$ 2,839,118 Caesars Entertainment
Operating Company, Inc.,
Term Loan B3 ....................... B2 B 3.20%-3.31% 01/28/15 $ 2,830,260
2,000,000 Caesars Entertainment
Operating Company, Inc.,
Term Loan B6 ....................... B2 B 5.45% 01/28/18 1,836,080
1,323,333 Pinnacle Entertainment, Inc.,
Term Loan B ........................ Ba1 BB+ 4.00% 03/19/19 1,333,258
533,333 ROC Finance, LLC, Delayed
Draw Term Loan (g).................. B1 BB- 2.25%(f) 08/19/17 552,000
3,466,667 ROC Finance, LLC, Term Loan ............ B1 BB- 8.50% 08/19/17 3,588,000
1,995,000 Station Casinos, LLC, Term
Loan B ............................. B2 B+ 5.50% 09/18/19 2,006,631
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12,146,229
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COAL & CONSUMABLE FUELS - 0.7%
2,750,592 Arch Coal, Inc., Term Loan ............. Ba3 BB 5.75% 05/16/18 2,798,039
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COMMERCIAL PRINTING - 1.0%
2,437,399 Cenveo Corp., Term Loan ................ Ba3 BB- 7.00% 12/21/16 2,444,516
1,333,333 SGS International, Inc., Term
Loan B ............................. B1 B 5.00% 10/17/19 1,350,000
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3,794,516
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COMMODITY CHEMICALS - 0.6%
2,405,495 Tronox, Inc., Term Loan ................ Ba2 BBB- 4.25% 02/08/18 2,404,003
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COMMUNICATIONS EQUIPMENT - 2.1%
665,000 Alcatel-Lucent, Inc., Term
Loan B ............................. B1 BB- 6.25% 07/29/16 671,949
1,365,000 Alcatel-Lucent, Inc., Term
Loan C ............................. B1 BB- 7.25% 01/29/19 1,380,015
3,010,000 ARRIS Group, Inc., Term Loan
B .................................. Ba3 BB- 3.50% 02/07/20 3,003,408
3,068,746 Commscope, Inc., Term Loan B ........... Ba3 BB 4.25% 01/14/18 3,078,352
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8,133,724
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CONSTRUCTION & ENGINEERING - 1.6%
3,955,050 Terex Corp., Term Loan ................. Ba2 BB 4.50% 04/28/17 3,993,374
2,094,750 WireCo Worldgroup, Inc., Term
Loan B ............................. Ba2 BB- 6.00% 02/15/17 2,115,698
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6,109,072
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CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS - 0.4%
1,496,250 Navistar International Corp.,
Term Loan B ........................ Ba3 B+ 7.00% 08/16/17 1,512,709
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Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
CONSUMER FINANCE - 1.9%
$ 2,950,000 Altisource Solutions
S.a.r.l., Term Loan B .............. B1 BB- 5.75% 11/20/19 $ 2,983,188
933,333 Ocwen Financial Corp., Term
Loan B ............................. B1 B 5.00% 01/28/18 944,608
3,405,446 Walter Investment Management
Corp., Term Loan B ................. B2 B+ 5.75% 11/28/17 3,452,271
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7,380,067
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DATA PROCESSING & OUTSOURCED SERVICES - 1.0%
3,856,942 Harland Clarke Holdings
Corp., Term Loan B2 ................ B1 B+ 5.45% 06/30/17 3,777,411
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DISTRIBUTORS - 0.5%
2,034,338 Wesco Distribution, Term Loan
B .................................. Ba3 B+ 4.50% 12/04/19 2,052,992
-------------
DIVERSIFIED CHEMICALS - 1.6%
3,899,107 Ineos Group Ltd., Term Loan ............ B1 B+ 6.50% 05/04/18 3,978,922
2,393,893 Univar, Inc., Term Loan B .............. B2 B+ 5.00% 06/30/17 2,382,665
-------------
6,361,587
-------------
DIVERSIFIED REAL ESTATE ACTIVITIES - 1.2%
3,988,222 iStar Financial, Inc., Term
Loan ............................... B1 BB- 4.50% 10/15/17 3,990,734
539,259 iStar Financial, Inc., Term
Loan A1 ............................ Ba3 BB- 5.25% 03/19/16 543,752
-------------
4,534,486
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DIVERSIFIED SUPPORT SERVICES - 0.5%
1,990,000 SMG, Term Loan ......................... NR (e) NR (e) 5.50% 06/07/18 1,999,950
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EDUCATION SERVICES - 0.2%
622,222 Bright Horizons Family
Solutions, LLC, Term Loan
B .................................. B1 B+ 4.00% 01/20/20 625,333
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ELECTRIC UTILITIES - 1.3%
1,958,305 Equipower Resources Holdings,
LLC, Term Loan B ................... Ba3 BB 5.50% 12/20/18 1,986,054
4,241,410 Texas Competitive Electric
Holdings Company, LLC,
Term Loan .......................... Caa3 CCC 3.70%-3.79% 10/10/14 3,045,333
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5,031,387
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See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
ENVIRONMENTAL & FACILITIES SERVICES - 2.9%
$ 2,571,429 Advanced Disposal Services,
Inc., Term Loan B .................. B1 B+ 4.25% 10/09/19 $ 2,573,846
5,646,429 EnergySolutions, LLC, Term
Loan ............................... B2 BB- 6.25% 08/15/16 5,679,968
1,952,668 Waste Industries USA, Inc.,
Term Loan B ........................ B1 B+ 4.00% 03/17/17 1,961,611
1,157,917 WCA Waste Corp., Term Loan B ........... B1 B+ 5.50% 03/23/18 1,166,601
-------------
11,382,026
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HEALTH CARE EQUIPMENT - 4.7%
1,975,000 Alere, Inc., Term Loan B ............... Ba3 B+ 4.75% 06/30/17 1,995,461
1,980,000 Alere, Inc., Term Loan B1 .............. Ba3 B+ 4.75% 06/30/17 2,000,513
496,250 Alere, Inc., Term Loan B2 .............. Ba3 B+ 4.75% 06/30/17 501,391
1,765,575 Biomet, Inc., Term Loan B .............. B1 BB- 3.95%-4.06% 07/25/17 1,777,934
2,889,545 Carestream Health, Inc., Term
Loan B ............................. B1 BB- 5.00% 02/25/17 2,894,515
1,775,140 DJO Finance, LLC, Term Loan
B2 ................................. Ba3 B+ 5.20% 11/01/16 1,786,678
3,161,594 DJO Finance, LLC, Term Loan
B3 ................................. Ba3 B+ 6.25% 09/15/17 3,187,298
710,714 Hologic, Inc., Term Loan B ............. Ba2 BBB- 4.50% 07/19/19 718,511
3,470,214 Kinetic Concepts, Inc., Term
Loan C1 ............................ Ba2 BB- 5.50% 05/04/18 3,513,036
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18,375,337
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HEALTH CARE FACILITIES - 4.5%
3,150,000 Health Management Associates,
Inc., Term Loan B .................. Ba3 BB- 4.50% 11/16/18 3,183,075
1,741,250 Select Medical Corp., Term
Loan B ............................. B1 B+ 5.50%-6.00% 06/01/18 1,747,762
1,970,000 Surgical Care Affiliates,
Inc., Term Loan B .................. Ba3 B 5.50% 06/29/18 1,970,000
2,932,650 United Surgical Partners
International, Inc., Term
Loan ............................... B1 B 4.75% 04/30/19 2,925,318
5,837,047 Vanguard Health Systems,
Inc., Term Loan B .................. Ba2 BB- 5.00% 01/29/16 5,858,936
203,720 Vantage Oncology Holdings,
LLC, Delayed Draw Term
Loan ............................... B2 B 7.75% 01/31/17 202,701
1,676,862 Vantage Oncology Holdings,
LLC, Term Loan ..................... B2 B 7.75% 01/31/17 1,668,478
-------------
17,556,270
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HEALTH CARE SERVICES - 5.1%
1,400,000 Air Medical Group Holdings,
Inc., Term Loan B .................. B2 B 6.50% 05/31/18 1,426,250
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HEALTH CARE SERVICES - (CONTINUED)
$ 937,625 CHG Healthcare Services, Term
Loan B ............................. B1 B 5.00% 11/13/19 $ 948,464
2,850,000 Davita, Inc., Term Loan B2 ............. Ba2 BB- 4.00% 08/21/19 2,870,463
4,263,842 Emergency Medical Services
Corp., Term Loan B ................. B1 B+ 4.00% 05/25/18 4,269,172
850,000 Healogics, Inc., Term Loan B ........... B1 B 5.25% 02/05/19 858,500
1,950,000 Heartland Dental Care, Term
Loan B ............................. Ba3 B+ 6.25% 12/20/18 1,971,938
2,957,469 Rural Metro Corp., Term Loan,
First Lien ......................... B1 B+ 5.75% 06/30/18 2,967,938
3,495,000 Sheridan Healthcare, Inc.,
Term Loan B ........................ B1 B+ 4.50% 06/29/18 3,506,219
995,000 U.S. Renal Care, Inc.,
Initial Term Loan .................. B1 B+ 6.25% 07/02/19 1,008,681
-------------
19,827,625
-------------
HEALTH CARE SUPPLIES - 2.4%
3,553,571 Bausch & Lomb, Inc., Term
Loan B ............................. B1 B+ 5.25% 05/17/19 3,579,797
2,000,000 BSN Medical Acquisition
Holding GmBH, Term Loan B .......... Ba3 B+ 5.00% 07/16/19 2,008,000
1,797,938 ConvaTec, Inc., Term Loan B Ba3 B+ 5.00% 12/22/16 1,816,673
1,950,000 Sage Products, Inc., Term
Loan B ............................. B1 B 4.25% 12/13/19 1,950,000
-------------
9,354,470
-------------
HEALTH CARE TECHNOLOGY - 3.1%
3,721,875 Emdeon Business Services,
LLC, Term Loan B ................... Ba3 BB- 5.00% 11/02/18 3,766,091
1,000,000 MedAssets, Inc., Term Loan B ........... Ba3 BB- 4.00% 12/11/19 1,005,830
2,462,500 Trizetto Group, Inc., Term
Loan B ............................. B1 BB- 4.75% 05/02/18 2,458,387
2,000,000 Trizetto Group, Inc., Term
Loan, Second Lien .................. Caa1 CCC+ 8.50% 03/26/19 2,002,500
2,992,481 Wolverine Healthcare
Analytics, Inc., Term
Loan B ............................. Ba3 B+ 5.75% 06/01/19 3,020,551
-------------
12,253,359
-------------
HOMEFURNISHING RETAIL - 1.7%
2,400,000 Serta Simmons Holdings, LLC,
Term Loan B ........................ B1 B+ 5.00% 10/01/19 2,425,920
4,000,000 Tempur-Pedic International,
Inc., Term Loan B .................. Ba3 BB 5.00% 11/20/19 4,050,000
-------------
6,475,920
-------------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
HOUSEHOLD APPLIANCES - 0.2%
$ 900,000 Alliance Laundry Systems,
LLC, Term Loan B ................... B2 B 4.50% 12/07/19 $ 903,654
-------------
HUMAN RESOURCE & EMPLOYMENT SERVICES - 0.4%
1,396,500 Genpact International, Inc.,
Term Loan B ........................ Ba2 BB+ 4.25% 08/17/19 1,410,465
-------------
HYPERMARKETS & SUPER CENTERS - 0.9%
3,562,500 BJ's Wholesale Club, Inc.,
Term Loan, First Lien .............. B3 B 4.25% 09/20/19 3,564,744
-------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 6.1%
3,078,536 AES Corp., Term Loan B ................. Ba1 BB+ 3.75% 06/01/18 3,090,080
3,930,000 Calpine Corp., Term Loan B1 ............ B1 BB- 4.00% 04/01/18 3,952,794
1,970,000 Calpine Corp., Term Loan B2 ............ B1 BB- 4.00% 04/01/18 1,981,426
1,396,500 Calpine Corp., Term Loan B3 ............ B1 BB- 4.00% 09/28/19 1,405,521
2,608,109 Freif North American Power I,
LLC, Term Loan B ................... Ba3 BB- 6.00% 03/29/19 2,614,629
417,854 Freif North American Power I,
LLC, Term Loan C ................... Ba3 BB- 6.00% 03/29/19 418,898
4,895,793 GWF Energy Holdings, LLC,
Term Loan B ........................ Ba2 BB 6.00% 11/27/18 4,856,039
2,955,000 NRG Energy, Inc., Term Loan B .......... Baa3 BB+ 3.25% 07/01/18 2,970,071
2,538,462 Star West Generation, LLC,
Term Loan B ........................ Ba3 B+ 6.00% 05/17/18 2,541,635
-------------
23,831,093
-------------
INDUSTRIAL CONGLOMERATES - 1.1%
843,750 Colfax Corp., Term Loan B .............. Ba2 BB+ 3.25% 01/11/19 844,332
1,324,300 Hamilton Sundstrand Corp.,
Term Loan B ........................ B1 B+ 4.00% 12/13/19 1,324,300
2,056,061 Tomkins Air Distribution,
Term Loan B ........................ B1 B 5.00% 11/09/18 2,079,192
-------------
4,247,824
-------------
INDUSTRIAL MACHINERY - 1.2%
1,950,000 Dematic Holdings, Term Loan B .......... B1 B 5.25% 12/18/19 1,962,792
2,786,206 Husky International, Ltd.,
Term Loan B ........................ Ba3 B 5.75% 06/29/18 2,814,765
-------------
4,777,557
-------------
INSURANCE BROKERS - 2.8%
2,985,000 Amwins Group, LLC, Term Loan
B .................................. B1 B+ 5.00% 06/06/19 2,993,865
2,950,000 Confie Seguros Holding Co.,
Term Loan B ........................ B2 B- 6.50% 11/08/18 2,954,927
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
INSURANCE BROKERS - (CONTINUED)
$ 4,950,000 USI Corp., Term Loan B .......... B1 B- 5.25% 12/14/19 $ 4,980,937
-------------
10,929,729
-------------
INTEGRATED TELECOMMUNICATION SERVICES - 2.0%
3,595,868 Avaya, Inc., Term Loan B3 .............. B1 B 4.79% 10/26/17 3,345,164
1,995,000 Hawaiian Telcom
Communications, Inc.,
Term Loan, First Lien .............. B1 B 7.00% 02/28/17 2,032,406
2,450,000 Windstream Corp., Term Loan
B4 ................................. Baa3 BB+ 3.50% 01/08/20 2,464,284
-------------
7,841,854
-------------
INTERNET RETAIL - 0.6%
2,354,100 Web.Com, Inc., Term Loan B B1 B 5.50% 10/27/17 2,375,428
-------------
IT CONSULTING & OTHER SERVICES - 1.2%
1,533,386 Presidio, Inc., Term Loan B ............ Ba3 B+ 5.75% 03/31/17 1,525,719
1,912,500 Sirius Computer Solutions,
Inc., Term Loan B .................. Ba3 BB- 7.00% 11/30/18 1,936,406
1,393,000 West Corp., Term Loan B8 ............... Ba3 B+ 4.25% 06/30/18 1,397,068
-------------
4,859,193
-------------
LEISURE FACILITIES - 0.3%
1,333,095 Six Flags, Inc., Term Loan B ........... Ba2 BB+ 4.00%-5.25% 12/20/18 1,348,572
-------------
LEISURE PRODUCTS - 0.8%
2,934,641 Live Nation Entertainment,
Inc., Term Loan B .................. Ba2 BB- 4.50% 11/07/16 2,950,781
-------------
LIFE & HEALTH INSURANCE - 0.4%
1,642,233 CNO Financial Group, Inc.,
Term Loan B2 ....................... Ba3 B+ 5.00% 09/20/18 1,657,637
-------------
LIFE SCIENCES TOOLS & SERVICES - 1.9%
1,587,278 inVentiv Health, Inc., Term
Loan ............................... B2 B 7.50% 08/04/16 1,561,485
533,246 inVentiv Health, Inc., Term
Loan B3 ............................ B2 B 7.75% 05/15/18 524,356
2,333,333 Pharmaceutical Products
Development, Inc., Term
Loan B ............................. Ba3 B+ 4.25% 12/05/18 2,346,470
654,517 Quintiles Transnational
Corp., Term Loan B1 ................ B1 BB- 4.50% 06/08/18 659,701
2,162,750 Quintiles Transnational
Corp., Term Loan B2 ................ B1 BB- 4.50% 06/08/18 2,179,641
-------------
7,271,653
-------------
MANAGED HEALTH CARE - 0.8%
2,976,830 MultiPlan, Inc., Term Loan B ........... Ba3 B 4.00% 08/26/17 2,986,148
-------------
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
METAL & GLASS CONTAINERS - 0.6%
$ 2,400,000 Berry Plastics Corp., Term
Loan D ............................. B1 B+ 3.50% 02/04/20 $ 2,383,920
-------------
MOVIES & ENTERTAINMENT - 2.6%
2,977,538 Alpha Topco, Ltd., Term Loan
B2 ................................. B1 B+ 6.00% 04/29/19 3,014,757
2,376,000 AMC Entertainment, Inc., Term
Loan B3 ............................ Ba2 BB- 4.75% 02/07/18 2,392,632
4,500,000 Village Roadshow Films Ltd.,
Term Loan B ........................ A2 NR 4.75% 11/21/17 4,545,000
-------------
9,952,389
-------------
OIL & GAS EXPLORATION & PRODUCTION - 0.5%
1,785,714 Plains Exploration, Term Loan
B .................................. Ba1 BB 4.00% 10/15/19 1,788,696
-------------
OIL & GAS REFINING & MARKETING - 0.1%
467,632 Citgo Petroleum Corp., Term
Loan B ............................. Ba2 BB+ 8.00% 06/24/15 470,906
-------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 5.7%
3,000,000 First American Payment
Systems, L.P., Term Loan
B .................................. B1 B 5.75% 10/11/18 3,016,890
4,683,538 First Data Corp., Extended
Term Loan .......................... B1 B+ 5.20% 03/24/17 4,688,315
2,000,000 First Data Corp., Term Loan ............ B1 B+ 5.20% 09/24/18 1,999,100
569,048 Global Cash Access, Inc.,
Term Loan .......................... B1 BB+ 7.00% 03/01/16 573,315
2,820,000 iPayment, Inc., Term Loan B ............ Ba2 B+ 5.75% 05/08/17 2,835,877
871,795 Moneygram International, Term
Loan B ............................. Ba2 BB- 4.25% 11/18/17 873,538
1,975,000 Moneygram International, Term
Loan B1 ............................ Ba2 BB- 4.25% 11/18/17 1,978,950
3,567,794 RPI Finance Trust, Term Loan
B .................................. Baa2 BBB- 4.00% 11/09/18 3,603,472
2,450,000 Transfirst Holdings, Inc.,
Term Loan B ........................ B1 B 6.25% 12/20/17 2,479,106
-------------
22,048,563
-------------
PACKAGED FOODS & MEATS - 3.6%
4,004,669 Blue Buffalo Company, Ltd.,
Term Loan B ........................ B1 B+ 4.75% 08/07/19 4,014,681
2,985,000 Ferrara Candy Co., Term Loan
B .................................. B2 B 7.50%-8.50% 06/08/18 3,028,521
1,977,444 JBS USA, LLC, Term Loan B .............. Ba3 BB 3.75% 05/25/18 1,977,444
2,132,143 Pinnacle Foods Finance, LLC,
Term Loan F ........................ Ba3 B+ 4.75% 10/17/18 2,151,247
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
PACKAGED FOODS & MEATS - (CONTINUED)
$ 2,667,500 Smart Balance, Inc., Term
Loan B ............................. B1 B+ 7.00% 06/28/18 $ 2,687,506
-------------
13,859,399
-------------
PAPER PACKAGING - 1.5%
5,908,269 Reynolds Consumer Products
Holdings, Inc., Term Loan .......... B1 B+ 4.75% 09/28/18 5,973,497
-------------
PHARMACEUTICALS - 5.2%
3,582,617 Catalent Pharma Solutions,
Inc., Term Loan 2 .................. Ba3 BB- 4.25% 09/15/17 3,602,321
3,652,251 IMS Healthcare, Term Loan B ............ Ba3 BB- 3.75% 08/26/17 3,661,382
2,925,000 Jazz Pharmaceuticals, Inc.,
Term Loan B ........................ Ba3 BBB- 5.25% 03/11/18 2,957,906
3,420,000 Par Pharmaceutical, Inc.,
Term Loan B ........................ B1 B+ 4.25% 09/30/19 3,415,725
1,220,601 Valeant Pharmaceuticals
International, Inc., Term
Loan B ............................. Ba1 BBB- 3.50% 02/13/19 1,225,691
600,000 Valeant Pharmaceuticals
International, Inc., Term
Loan B ............................. Ba1 BBB- 3.50% 12/11/19 602,250
1,339,470 Warner Chilcott, PLC, Term
Loan B1 ............................ Ba3 BBB- 4.25% 03/15/18 1,351,431
508,692 Warner Chilcott, PLC, Term
Loan B1 ............................ Ba3 BBB- 4.25% 03/15/18 513,234
414,111 Warner Chilcott, PLC, Term
Loan B2 ............................ Ba3 BBB- 4.25% 03/15/18 417,809
920,886 Warner Chilcott, PLC, Term
Loan B3 ............................ Ba3 BBB- 4.25% 03/15/18 929,109
1,462,500 Warner Chilcott, PLC, Term
Loan B4 ............................ Ba3 BBB- 3.25% 08/15/17 1,460,058
292,500 Warner Chilcott, PLC, Term
Loan B5 ............................ Ba3 BBB- 3.25% 08/15/17 292,012
-------------
20,428,928
-------------
PROPERTY & CASUALTY INSURANCE - 0.7%
250,000 Cunningham Lindsey Group
Ltd., Term Loan, Second
Lien ............................... B3 B- 9.25% 04/18/20 255,470
2,400,000 Cunningham Lindsey Group
Ltd., Term Loan, First
Lien ............................... Ba3 B 5.00% 10/18/19 2,430,000
-------------
2,685,470
-------------
PUBLISHING - 0.7%
2,428,571 Tribune Co., Term Loan B ............... Ba3 BB+ 4.00% 12/17/19 2,438,188
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
PUBLISHING - (CONTINUED)
$ 757,652 Yell Group, PLC, Term Loan
(h)................................. Ca CC 4.46% 07/31/14 $ 133,218
-------------
2,571,406
-------------
REAL ESTATE OPERATING COMPANIES - 1.0%
3,927,406 ClubCorp Club Operations,
Inc., Term Loan .................... Ba2 BB 5.00% 11/30/16 3,991,226
-------------
RESEARCH & CONSULTING SERVICES - 4.8%
4,009,523 Acosta, Inc., Term Loan ................ NR (e) B+ 5.00% 03/02/18 4,041,599
3,890,152 Advantage Sales & Marketing,
Inc., Term Loan, First
Lien ............................... Ba3 B+ 4.25% 12/18/17 3,904,740
850,000 Advantage Sales & Marketing,
Inc., Term Loan, Second
Lien ............................... Caa1 B- 8.25% 06/12/18 856,375
3,389,770 Affinion Group, Inc., Term
Loan B ............................. Ba3 B 6.50% 07/16/15 3,137,233
300,000 Crossmark Holdings, Inc.,
Term Loan B ........................ B1 B 4.50% 02/01/20 300,126
1,717,857 Property Data, Inc., Term
Loan ............................... B1 B 7.00% 01/04/17 1,713,562
2,900,000 SurveyMonkey.com, LLC, Term
Loan B ............................. B2 B 5.50% 02/07/19 2,909,077
1,970,000 Symphony IRI Group, Inc.,
Term Loan B2 ....................... B1 B+ 5.00% 12/01/17 1,974,098
-------------
18,836,810
-------------
RESTAURANTS - 1.9%
3,556,548 Focus Brands, Inc., Term
Loan, First Lien ................... B1 B 6.25%-7.25% 02/21/18 3,590,620
1,450,000 Focus Brands, Inc., Term
Loan, Second Lien .................. Caa1 CCC+ 10.25% 08/21/18 1,486,250
2,244,375 Wendy's International, Inc.,
Term Loan B ........................ B1 BB- 4.75% 05/15/19 2,263,160
-------------
7,340,030
-------------
RETAIL REITS - 0.9%
3,406,369 Capital Automotive L.P., Term
Loan B ............................. Ba3 B+ 5.25% 03/11/17 3,421,970
-------------
SECURITY & ALARM SERVICES - 0.3%
1,197,000 Garda World Security, Term
Loan B ............................. Ba1 BB 4.50% 10/31/19 1,208,228
-------------
SEMICONDUCTORS - 1.6%
5,400,000 Freescale Semiconductor,
Inc., Term Loan B .................. B1 B 4.45% 01/30/20 5,378,400
900,000 NXP B.V., Term Loan C .................. B1 B+ 4.75% 12/06/19 913,779
-------------
6,292,179
-------------
Page 12 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
SPECIALIZED CONSUMER SERVICES - 2.5%
$ 1,210,938 Asurion Corp., Term Loan B1 ............ NR (e) B+ 4.75% 07/23/17 $ 1,216,992
6,473,083 Asurion Corp., Term Loan B1 ............ NR (e) B+ 4.50% 05/24/19 6,491,985
1,985,230 Expert Global Solutions,
Inc., Term Loan B .................. Ba3 B 8.00% 04/03/18 1,996,149
-------------
9,705,126
-------------
SPECIALIZED FINANCE - 2.6%
2,000,000 AlixPartners, LLP, Term Loan
B1 ................................. Ba3 B+ 3.25% 06/01/17 2,009,500
1,990,000 AlixPartners, LLP, Term Loan
B2 ................................. Ba3 B+ 4.50% 06/01/19 1,997,045
2,900,316 Fly Leasing, Ltd., Term Loan
B .................................. B1 BBB- 5.75% 08/06/18 2,934,163
3,000,000 Flying Fortress, Inc., Term
Loan B ............................. Ba2 BBB- 5.00% 06/30/17 3,019,680
-------------
9,960,388
-------------
SPECIALTY CHEMICALS - 4.9%
2,382,000 Ascend Performance Materials,
LLC, Term Loan B ................... NR (e) NR (e) 6.75% 04/10/18 2,405,820
4,118,509 AZ Chemicals, Inc., Term Loan
B .................................. Ba3 BB- 7.25% 12/22/17 4,158,417
1,295,000 DuPont Performance Coatings,
Term Loan B ........................ B1 B+ 4.75% 01/17/20 1,310,721
2,985,002 Emerald Performance
Materials, LLC, Term Loan
B .................................. B1 B 6.75% 05/18/18 2,985,002
870,000 Houghton International, Inc.,
Term Loan B ........................ B1 B 5.25% 12/13/19 878,700
2,540,678 Nusil Technology, LLC, Term
Loan, First Lien ................... NR (e) NR (e) 5.00% 04/07/17 2,554,169
1,975,000 OM Group, Inc., Term Loan B ............ Ba2 BB- 5.50% 08/02/17 1,984,381
1,466,250 Omnova Solutions, Inc., Term
Loan B ............................. Ba2 B+ 5.50% 05/31/17 1,480,913
1,157,917 Taminco Global Chemical
Corp., Term Loan B2 ................ B1 BB- 4.25% 02/15/19 1,165,339
-------------
18,923,462
-------------
SPECIALTY STORES - 0.4%
1,425,000 Rite Aid Corp., Term Loan B ............ B1 B+ 4.00% 02/07/20 1,427,750
-------------
STEEL - 0.9%
3,491,250 Fortescue (FMG), Term Loan B ........... Ba1 BB+ 5.25% 10/02/17 3,533,075
-------------
See Notes to Quarterly Portfolio of Investments Page 13
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
SENIOR FLOATING-RATE LOAN INTERESTS - (CONTINUED)
SYSTEMS SOFTWARE - 3.5%
$ 1,333,333 Deltek, Inc., Term Loan B .............. B1 B+ 5.00% 10/10/18 $ 1,342,613
1,388,850 Riverbed Technology, Inc.,
Term Loan B ........................ Ba3 BBB- 4.00% 12/13/19 1,404,475
2,433,213 SS&C Technologies Holdings,
Inc., Term Loan B1 ................. Ba3 BB- 5.00% 05/24/19 2,454,455
251,712 SS&C Technologies Holdings,
Inc., Term Loan B2 ................. Ba3 BB- 5.00% 05/24/19 253,909
2,071,429 Sungard Data Systems, Inc.,
Term Loan D ........................ Ba3 BB 4.50% 12/14/19 2,086,964
4,412,503 Vertafore, Inc., Term Loan,
First Lien ......................... B1 B+ 5.25% 07/29/16 4,462,144
1,800,000 Wall Street Systems, Inc.,
Term Loan B ........................ B2 B 5.75% 10/31/19 1,796,634
-------------
13,801,194
-------------
TIRES & RUBBER - 0.5%
2,142,857 Goodyear Tire & Rubber Co.,
Term Loan, Second Lien ............. Ba1 BB 4.75% 04/30/19 2,150,893
-------------
TRUCKING - 1.6%
2,285,714 Hertz Corp., Term Loan B ............... Ba1 BB 3.75% 03/11/18 2,297,966
2,862,565 SIRVA, Inc., Term Loan B ............... NR (e) NR (e) 10.75% 03/31/16 2,876,878
1,187,444 Swift Transportation Co.,
Inc., Term Loan B2 ................. Ba2 BB 5.00% 12/21/17 1,195,079
-------------
6,369,923
-------------
WIRELESS TELECOMMUNICATION SERVICES - 2.1%
3,298,346 Crown Castle Operating Co.,
Term Loan B ........................ Ba3 B+ 4.00% 01/31/19 3,316,223
1,995,000 Syniverse Holdings, Inc.,
Delayed Draw Term Loan
(g)................................. B1 BB- 1.00%(f) 04/23/19 1,992,506
2,985,000 Syniverse Holdings, Inc.,
Term Loan B ........................ B1 BB- 5.00% 04/23/19 3,003,656
-------------
8,312,385
-------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS ............................................... 573,438,439
(Cost $569,740,052) -------------
CORPORATE BONDS AND NOTES - 0.4%
AUTO PARTS & EQUIPMENT - 0.1%
250,000 American Axle &
Manufacturing, Inc. ................ B2 B 6.25% 03/15/21 253,437
-------------
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc. (Payment-In-Kind
Election Note) (i) (j)
(k) (l)............................. NR NR 14.75% 07/01/15 0
-------------
Page 14 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE (c) MATURITY (d) VALUE
--------------- ---------------------------------------- ----------------- ----------- ------------- -------------
CORPORATE BONDS AND NOTES - (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES - 0.1%
$ 400,000 Inventiv Health, Inc. (m)............... B2 B 9.00% 01/15/18 $ 418,000
-------------
SPECIALTY CHEMICALS - 0.2%
850,000 Hexion US Finance Corp. (m)............. B1 B- 6.63% 04/15/20 841,500
-------------
TOTAL CORPORATE BONDS AND NOTES ......................................................... 1,512,937
(Cost $1,942,739) -------------
SHARES DESCRIPTION VALUE
--------------- ----------------------------------------------------------------------------------------- -------------
WARRANTS - 0.0%
BROADCASTING - 0.0%
1,449 Cumulus Media, Inc. (i) (k) (n).......................................................... 3,044
-------------
TOTAL WARRANTS .......................................................................... 3,044
(Cost $0) -------------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred
Stock) (i) (j) (k) (n)................................................................... 0
-------------
TOTAL PREFERRED STOCKS .................................................................. 0
(Cost $2,563,636) -------------
TOTAL INVESTMENTS - 147.4% .............................................................. 574,954,420
(Cost $574,246,427) (o)
OUTSTANDING LOAN - (43.3%) .............................................................. (169,000,000)
NET OTHER ASSETS AND LIABILITIES - (4.1%) ............................................... (15,935,311)
-------------
NET ASSETS - 100.0% ..................................................................... $ 390,019,109
=============
(a) All or a portion of the securities are available to serve as collateral on
the outstanding loan.
(b) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard
& Poor's Ratings Group are considered to be below investment grade.
(c) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests pay interest at rates which are periodically predetermined by
reference to a base lending rate plus a premium. These base lending rates
are generally (i) the lending rate offered by one or more major European
banks, such as the London Inter-Bank Offered Rate ("LIBOR"), (ii) the
prime rate offered by one or more United States banks or (iii) the
certificate of deposit rate. Certain Senior Loans are subject to a LIBOR
floor that establishes a minimum LIBOR rate. The interest rate shown
reflects the rate in effect at February 28, 2013.
(d) 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.
(e) This Senior Loan was privately rated upon issuance. The rating agency does
not provide ongoing surveillance on the rating.
(f) Represents commitment fee rate on unfunded loan commitment.
See Notes to Quarterly Portfolio of Investments Page 15
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
(g) Delayed Draw Loan (see Note C - Unfunded Loan Commitments in the Notes to
Quarterly Portfolio of Investments).
(h) This issuer is in default and interest is not being accrued by the Fund
nor paid by the issuer.
(i) This security is fair valued in accordance with procedures adopted by the
Fund's Board of Trustees, and in accordance with the provisions of the
Investment Company Act of 1940, as amended.
(j) This borrower has filed for protection in federal bankruptcy court.
(k) 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).
(l) This Note is a Senior Subordinated Payment-in-Kind Election Note whereby
1.00% of interest per annum is to be paid in cash and 13.75% of interest
per annum shall be paid by the issuer, at its option (i) entirely in cash,
(ii) entirely in Payment-in-Kind interest or (iii) a combination thereof.
Interest is to be paid semi-annually, however, the issuer is in default
and income is not being accrued.
(m) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the Securities
Act of 1933, as amended, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to
procedures adopted by the Fund's Board of Trustees, this security has been
determined to be liquid by First Trust Advisors, the Fund's advisor.
Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on
security specific factors and assumptions, which require subjective
judgment. At February 28, 2013, securities noted as such amounted to
$1,259,500 or 0.32% of net assets.
(n) Non-income producing security.
(o) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of February 28, 2013,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $6,595,048 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $5,887,055.
NR Not Rated
Page 16 See Notes to Quarterly Portfolio of Investments
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
FEBRUARY 28, 2013 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28,
2013 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2013 PRICES INPUTS INPUTS
------------ ----------- ------------ ------------
Senior Floating-Rate Loan Interests:
Aerospace & Defense $ 14,208,467 $ -- $ 12,228,467 $ 1,980,000
Aluminum 2,029,800 -- -- 2,029,800
Asset Management & Custody Banks 16,594,638 -- 13,837,763 2,756,875
Broadcasting 30,339,293 -- 28,376,680 1,962,613
Health Care Facilities 17,556,270 -- 12,759,773 4,796,497
Independent Power Producers & Energy Traders 23,831,093 -- 20,797,566 3,033,527
Movies & Entertainment 9,952,389 -- 5,407,389 4,545,000
Specialty Chemicals 18,923,461 -- 15,938,460 2,985,001
Systems Software 13,801,194 -- 12,396,719 1,404,475
Trucking 6,369,923 -- 3,493,045 2,876,878
Other Industry Categories* 419,831,911 -- 419,831,911 --
------------ ----------- ------------ ------------
Total Senior Floating-Rate Loan Interests 573,438,439 -- 545,067,773 28,370,666
Corporate Bonds and Notes* 1,512,937 -- 1,512,937 -- **
Warrants* 3,044 -- 3,044 --
Preferred Stocks* -- ** -- -- -- **
------------ ----------- ------------ ------------
TOTAL INVESTMENTS $574,954,420 $ -- $546,583,754 $ 28,370,666
============ =========== ============ ============
There were no transfers between Level 1 and Level 2.
All transfers in and out of Level 3 during the period are assumed to be
transferred on the last day of the period at their current value. As of February
28, 2013, the Fund transferred Senior Floating-Rate Loan Interests valued at
$779,690 from Level 3 to Level 2 and $18,450,461 from Level 2 to Level 3 of the
fair value hierarchy. The Senior Floating-Rate Loan Interests that transferred
between Level 3 and Level 2 did so primarily as a result of additional
information obtained from an independent third party pricing vendor relating to
the market activity of individual Senior Floating-Rate Loan Interests. Level 3
Senior Floating-Rate Loan Interests are valued based on third party pricing
service prices obtained from dealer runs and indicative sheets from brokers.
The following table presents the Fund's investments measured at fair value on a
recurring basis using significant unobservable inputs (Level 3) for the period
presented:
BEGINNING BALANCE AT MAY 31, 2012
Senior Floating-Rate Loan Interests $ 16,377,616
Senior Floating-Rate Loan Interests $16,377,616
Corporate Bonds and Notes -- **
Common Stocks --
Warrants --
Preferred Stocks -- **
Net Realized Gain (Loss) 33,724
Net Change in Unrealized Appreciation/Depreciation 204,933
Purchases
Senior Floating-Rate Loan Interests 1,980,000
Sales
Senior Floating-Rate Loan Interests (7,896,378)
Transfers In
Senior Floating-Rate Loan Interests 18,450,461
Transfers Out
Senior Floating-Rate Loan Interests (779,690)
-------------
ENDING BALANCE AT FEBRUARY 28, 2013
Senior Floating-Rate Loan Interests 28,370,666
Corporate Bonds and Notes -- **
Warrants --
Preferred Stocks -- **
-------------
Total Level 3 holdings $ 28,370,666
=============
* See the Portfolio of Investments for the industry breakout. Industry
categories are only shown separately if they include holdings in two or
more levels or have holdings in only Level 3.
** Market value is less than $1.
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, 2013 (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
Floating-Rate Loan Interests ("Senior Loans")(1) in which the Fund invests are
not listed on any securities exchange or board of trade. Senior Loans are
typically bought and sold by institutional investors in individually negotiated
private transactions that function in many respects like an over-the-counter
secondary market, although typically no formal market-makers exist. This market,
while having grown substantially since its inception, generally has fewer trades
and less liquidity than the secondary market for other types of securities. Some
Senior Loans have few or no trades, or trade infrequently, and information
regarding a specific Senior Loan may not be widely available or may be
incomplete. Accordingly, determinations of the fair market value of Senior Loans
may be based on infrequent and dated information. Because there is less
reliable, objective data available, elements of judgment may play a greater role
in valuation of Senior Loans than for other types of securities. Typically,
Senior Loans are valued using information provided by a third party pricing
service. The third party pricing service primarily uses over-the-counter pricing
from dealer runs and broker quotes from indicative sheets to value the Senior
Loans.
Common stocks and other securities listed on any national or foreign exchange
(excluding the NASDAQ(R) Stock Market, LLC ("NASDAQ") and the London Stock
Exchange Alternative Investment Market ("AIM")) are valued at the last sale
price on the exchange on which they are principally traded, or for NASDAQ and
AIM securities, the official closing price. Securities traded on more than one
securities exchange are valued at the last sale price or official closing price,
as applicable, at the close of the securities exchange representing the
principal market for such securities.
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.
Bonds, notes and other debt securities are valued on the basis of valuations
provided by dealers who make markets in such securities or by an independent
pricing service approved by the Trust's Board of Trustees, which may use the
following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Securities traded in the over-the-counter market are valued at their closing bid
prices.
Short-term investments that mature in less than sixty days when purchased are
valued at amortized cost.
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 securities 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. 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 borrower/issuer;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of a security;
4) the financial statements of the borrower/issuer;
5) the credit quality and cash flow of the borrower/issuer, based on
the Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
1 The terms "security" and "securities" used throughout the Notes to
Quarterly Portfolio of Investments include Senior Loans.
Page 18
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2013 (UNAUDITED)
7) the price and extent of public trading in similar securities (or
equity securities) of the borrower/issuer, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the borrower/issuer, including any ability
to obtain money or resources from a parent or affiliate and an
assessment of the borrower/issuer's management;
11) the prospects for the borrower's/issuer's industry, and multiples
(of earnings and/or cash flows) being paid for similar businesses in
that industry;
12) borrower's/issuer's competitive position within the industry;
13) borrower's/issuer's ability to access additional liquidity through
public and/or private markets; and
14) other relevant factors.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of February 28, 2013, is
included with the Fund's Portfolio of Investments.
B. SECURITY TRANSACTIONS:
Security transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Due
to the nature of the Senior Loan market, the actual settlement date may not be
certain at the time of the purchase or sale for some of the Senior Loans.
Interest income on such Senior Loans is not accrued until settlement date. The
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed delivery or forward purchase commitments. The Fund
did not have any when-issued, delayed-delivery or forward purchase commitments
as of February 28, 2013.
C. UNFUNDED LOAN COMMITMENTS:
The Fund may enter into certain loan commitments, all or a portion of which may
be unfunded. The Fund is obligated to fund these loan commitments at the
borrower's discretion. The Fund had unfunded delayed draw loan commitments of
$2,544,506 as of February 28, 2013.
Page 19
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2013 (UNAUDITED)
D. RESTRICTED SECURITIES:
The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the Securities Act
of 1933, as amended (the "1933 Act"). Prior to registration, restricted
securities may only be resold in transactions exempt from registration under
Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of
February 28, 2013, 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 $ 2.10 $ -- $ 3,044 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 $ 3,044 0.00% *
============== =========== ============
* Amount is less than 0.01%.
(1) Security was acquired through a restructuring that was effective on July 31,
2007.
Page 20
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required by
this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Senior Floating Rate Income Fund II
-----------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date April 12, 2013
------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date April 12, 2013
------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date April 12, 2013
------------------
* Print the name and title of each signing officer under his or her signature.