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/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
(Exact name of registrant as specified in charter)
1001 WARRENVILLE ROAD
SUITE 300
LISLE, IL 60532
(Address of principal executive offices) (Zip code)
W. SCOTT JARDINE
FIRST TRUST PORTFOLIOS L.P.
1001 WARRENVILLE ROAD
SUITE 300
LISLE, IL 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-241-4141
Date of fiscal year end: MAY 31
Date of reporting period: FEBRUARY 28, 2006
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - 149.1%
AEROSPACE & DEFENSE - 4.0%
AEROSPACE & DEFENSE - 4.0%
$ 3,288,889 Hexcel Corp. .................... B2 B+ 6.31%-6.50% 3/01/12 $ 3,319,038
3,010,274 Hunter Defense Holdings, Inc. ... NR(a) NR(a) 7.63%-9.50% 3/10/11 3,025,325
1,952,689 K&F Industries, Inc. ............ B2 B+ 6.86%-6.87% 11/18/12 1,975,268
995,000 Mid-Western Aircraft
Systems, Inc. ................ B1 BB- 6.85% 12/31/11 1,008,059
2,732,484 MRO Acquisition Corp. ........... B1 B+ 7.48% 8/27/10 2,770,056
4,082,621 Standard Aero Holdings, Inc. .... B2 B+ 6.83%-6.96% 8/24/12 4,052,001
3,100,000 Vought Aircraft Industries, Inc. Ba3 B+ 6.89% 12/22/10 3,124,025
--------------
TOTAL AEROSPACE & DEFENSE 19,273,772
--------------
AIR FREIGHT & LOGISTICS - 1.4%
AIR FREIGHT & LOGISTICS - 1.4%
6,562,500 United Air Lines, Inc. .......... B1 B+ 8.63% 2/01/12 6,672,422
--------------
TOTAL AIR FREIGHT & LOGISTICS 6,672,422
--------------
AUTO COMPONENTS - 3.7%
AUTO PARTS & EQUIPMENT - 3.7%
5,000,000 Axletech International
Holdings, Inc. (c) ........... Caa1 B- 10.95% 4/21/13 5,025,000
6,000,000 Environmental Systems
Products Holdings Inc. (c) ... Caa1 NR(a) 14.53%-14.81% 12/12/10 6,090,000
6,435,000 TRW Automotive Inc. ............. Ba2 BB+ 6.25% 6/30/12 6,436,789
--------------
TOTAL AUTO COMPONENTS 17,551,789
--------------
BEVERAGES - 0.2%
SOFT DRINKS - 0.2%
990,000 Culligan Corp. .................. B1 B+ 7.07% 9/30/11 1,001,962
--------------
TOTAL BEVERAGES 1,001,962
--------------
BUILDING PRODUCTS - 2.8%
BUILDING PRODUCTS - 2.8%
4,749,921 Custom Building Products ........ NR(a) NR(a) 6.78%-6.86% 10/20/11 4,779,608
2,271,275 Headwaters Inc. ................. B1 B+ 6.86% 4/30/11 2,284,523
960,000 NCI Building Systems, Inc. ...... Ba2 BB 5.95%-6.32% 6/18/10 964,200
4,240,266 PGT Industries, Inc. ............ NR(a) NR(a) 7.75% 2/14/12 4,293,269
1,000,000 South Edge, LLC ................. NR(a) NR(a) 6.57% 10/31/09 1,005,000
--------------
TOTAL BUILDING PRODUCTS 13,326,600
--------------
CAPITAL MARKETS - 1.8%
ASSET MANAGEMENT & CUSTODY BANKS - 1.4%
6,500,000 LPL Holdings, Inc. .............. B2 B 7.77%-8.13% 6/28/13 6,521,665
--------------
INVESTMENT BANKING & BROKERAGE - 0.4%
2,000,000 Ameritrade Holding Corp. ........ Ba1 BB 6.08% 12/31/12 2,011,250
--------------
TOTAL CAPITAL MARKETS 8,532,915
--------------
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ----------- -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
CHEMICALS - 5.4%
COMMODITY CHEMICALS - 1.3%
$ 2,500,000 Basell USA, Inc. ................ Ba3 B+ 7.31% 8/01/13 $ 2,538,282
2,500,000 Basell USA, Inc. ................ Ba3 B+ 7.67% 8/01/14 2,538,283
500,000 INEOS Group Ltd. ................ Ba3 B+ 6.83% 12/16/13 506,563
500,000 INEOS Group Ltd. ................ Ba3 B+ 7.33% 12/16/15 506,563
--------------
6,089,691
--------------
DIVERSIFIED CHEMICALS - 4.1%
5,000,000 BCP Crystal US Holdings Corp. ... B1 BB- 6.62% 1/26/09 5,050,000
5,625,455 Brenntag Holding GmbH
& Company KG ................. B2 B+ 7.07% 1/18/14 5,705,617
1,374,545 Brenntag Holding GmbH
& Company KG ................. B2 B+ 7.07% 2/01/14 1,384,854
4,000,000 Brenntag Holding GmbH
& Company KG(c) .............. B3 B+ 10.92% 7/23/15 4,112,500
3,419,105 Huntsman International, LLC ..... Ba3 BB- 6.32% 8/16/12 3,437,271
--------------
19,690,242
--------------
TOTAL CHEMICALS 25,779,933
--------------
COMMERCIAL SERVICES & SUPPLIES - 10.6%
DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 5.2%
1,000,000 Acosta, Inc. .................... NR(a) NR(a) 6.82%-6.83% 12/06/12 1,012,500
2,953,488 Affinion Group, Inc. ............ B1 B+ 7.32%-7.50% 10/17/12 2,943,644
1,987,425 Ashtead Group PLC ............... Ba3 BB 6.50% 11/12/09 2,006,057
2,000,000 Clarke American Corp. ........... B1 B+ 7.75%-7.92% 12/15/11 2,023,750
6,500,000 IAP Worldwide Services, Inc. .... B2 B+ 7.63% 12/30/12 6,560,938
4,000,000 IAP Worldwide Services, Inc. (c) B3 B- 12.63% 6/30/13 4,095,000
2,631,138 N.E.W. Customer
Service Companies, Inc. ...... NR(a) NR(a) 7.31%-7.75% 7/01/11 2,657,449
2,956,250 United Rentals, Inc. ............ B2 BB- 6.11%-6.86% 2/14/11 2,987,660
952,944 Western Inventory Service, Ltd. . NR NR 7.39%-9.25% 3/31/11 958,900
--------------
25,245,898
--------------
ENVIRONMENTAL & FACILITIES SERVICES - 1.7%
2,412,385 Duratek, Inc. ................... B1 BB- 7.81%-7.94% 12/16/09 2,412,385
5,821,464 Envirocare of Utah, LLC ......... NR(a) NR(a) 7.38% 4/13/10 5,869,974
--------------
8,282,359
--------------
OFFICE SERVICES & SUPPLIES - 3.7%
3,223,743 Infrasource Inc. ................ Ba3 BB- 7.53% 9/30/10 3,239,862
4,877,087 Monitronics International, Inc. . B1 B+ 8.24%-8.32% 8/26/09 4,889,279
3,824,673 Pike Electric, Inc. ............. NR(a) NR(a) 6.13% 7/01/12 3,862,920
4,900,000 Quanta Services Inc. ............ Ba3 BB- 7.50% 6/19/08 4,955,125
684,852 TRM Corp. ....................... B2 B+ 8.57%-8.61% 11/19/10 680,572
--------------
17,627,758
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 51,156,015
--------------
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
COMMUNICATIONS EQUIPMENT - 0.2%
COMMUNICATIONS EQUIPMENT - 0.2%
$ 1,000,000 Sorenson Communications, Inc. ... NR(a) NR(a) 7.49% 11/15/12 $ 1,013,750
--------------
TOTAL COMMUNICATIONS EQUIPMENT 1,013,750
--------------
CONTAINERS & PACKAGING - 4.6%
METAL & GLASS CONTAINERS - 1.8%
734,667 BWAY Corp. ...................... B1 B+ 6.81% 6/30/11 742,703
997,500 Captive Plastics, Inc. .......... NR(a) B- 7.50% 8/16/11 1,004,981
4,776,720 Owens-Illinois Group, Inc. ...... B1 BB- 6.36% 4/01/07 4,788,662
2,082,188 Owens-Illinois Group, Inc. ...... B1 BB- 6.35%-6.39% 4/01/08 2,089,681
--------------
8,626,027
--------------
PAPER PACKAGING - 2.8%
1,364,448 Boise Cascade, LLC .............. Ba3 BB 6.28%-6.38% 10/28/11 1,381,038
3,960,000 Graham Packaging Holdings
Company ...................... B2 B 6.75%-6.94% 10/07/11 4,009,500
6,000,000 Graham Packaging Holdings
Company (c) .................. B3 CCC+ 8.81% 4/07/12 6,124,998
1,995,000 Pregis Corp. .................... B1 B+ 6.82% 10/12/12 2,004,975
--------------
13,520,511
--------------
TOTAL CONTAINERS & PACKAGING 22,146,538
--------------
DIVERSIFIED CONSUMER SERVICES - 0.3%
SPECIALIZED CONSUMER SERVICES - 0.3%
1,646,110 Coinstar, Inc. .................. Ba3 BB- 6.55% 7/01/11 1,656,398
--------------
TOTAL DIVERSIFIED CONSUMER SERVICES 1,656,398
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.7%
INTEGRATED TELECOMMUNICATION SERVICES - 1.7%
6,000,000 NTL Investment Holdings Ltd. .... B1 BB- 7.57% 5/10/12 6,015,000
1,985,000 Telcordia Technologies, Inc. .... B1 B+ 7.22%-7.31% 9/15/12 1,960,809
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 7,975,809
--------------
ELECTRIC UTILITIES - 8.4%
ELECTRIC UTILITIES - 8.4%
6,027,909 Allegheny Energy Supply Inc. .... Ba2 BBB- 5.51%-6.16% 3/08/11 6,062,353
1,000,000 Astoria Generating Company
Acquisitions, LLC (c) ........ B3 B 8.32% 8/23/13 1,021,875
329,787 Calpine Corp.,
(Debtor in Possession) (g) ... NR(a) NR(a) 6.81% 12/20/07 334,734
829,787 Calpine Corp.,
(Debtor in Possession) (c)(g) NR(a) NR(a) 8.66% 12/20/07 851,569
840,426 Calpine Corp., (Revolving Credit)
(Debtor in Possession) (g) ... NR(a) NR(a) 0.75% 12/20/07 829,920
493,203 Cogentrix Delaware
Holdings, Inc. ............... Ba2 BB+ 6.28% 4/14/12 497,416
7,405,691 Covanta Energy Corp. ............ B1 B+ 7.52%-7.58% 6/24/12 7,516,776
997,500 LSP Kendall Energy, LLC ......... B1 B 6.53% 10/07/13 995,837
6,464,151 Midwest Generation, LLC ......... Ba3 BB- 6.28%-6.50% 4/27/11 6,528,793
1,000,000 Mirant North America, LLC ....... Ba3 BB- 6.32% 1/03/13 1,007,500
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
ELECTRIC UTILITIES - (CONTINUED)
ELECTRIC UTILITIES - (CONTINUED)
$ 9,000,000 NRG Energy, Inc. ................ Ba2 BB- 6.57%-6.62% 2/01/13 $ 9,095,296
2,137,267 Riverside Energy Center, LLC .... B1 B 8.92% 6/24/11 2,158,639
1,648,661 Rocky Mountain Energy
Center, LLC .................. B1 B 8.92% 6/24/11 1,665,148
2,000,000 Wolf Hollow I, L.P. (c) ......... B2 B 9.00% 12/22/12 2,025,000
--------------
TOTAL ELECTRIC UTILITIES 40,590,856
--------------
ELECTRICAL EQUIPMENT - 1.1%
ELECTRICAL COMPONENTS & EQUIPMENT - 1.1%
2,304,246 Penn Engineering
& Manufacturing Corp. ........ B2 B 7.03%-7.11% 5/25/11 2,327,288
3,000,000 Penn Engineering
& Manufacturing Corp. (c) .... B3 CCC+ 10.53% 5/25/12 3,030,000
--------------
TOTAL ELECTRICAL EQUIPMENT 5,357,288
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.6%
ELECTRONIC EQUIPMENT MANUFACTURERS - 0.4%
1,916,747 VeriFone, Inc. .................. B1 BB- 6.42% 6/30/11 1,935,914
--------------
ELECTRONIC MANUFACTURING SERVICES - 0.2%
924,046 Cinram International Inc. ....... Ba3 BB 6.66% 9/30/09 932,901
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,868,815
--------------
ENERGY EQUIPMENT & SERVICES - 2.1%
OIL & GAS EQUIPMENT & SERVICES - 2.1%
3,000,000 Key Energy Services, Inc. ....... B1 B- 7.52%-7.78% 6/30/12 3,041,250
6,985,887 Targa Resources, Inc. ........... Ba3 B+ 6.78%-7.23% 10/31/12 7,071,758
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 10,113,008
--------------
FOOD & STAPLES RETAILING - 1.8%
DRUG RETAIL - 0.8%
3,839,764 The Jean Coutu Group (PJC) Inc. B1 BB- 6.94% 7/30/11 3,884,562
--------------
FOOD DISTRIBUTORS - 1.0%
1,965,000 Golden State Foods Corp. ........ NR(a) NR(a) 6.42% 2/25/11 1,982,194
3,000,000 Nash Finch Company .............. B1 B+ 6.88% 11/12/10 3,018,750
--------------
5,000,944
--------------
TOTAL FOOD & STAPLES RETAILING 8,885,506
--------------
FOOD PRODUCTS - 6.1%
AGRICULTURAL PRODUCTS - 2.1%
1,990,000 Chiquita Brands, L.L.C. ......... B1 BB- 6.61% 6/28/12 1,998,292
7,000,000 Dole Food Company, Inc. (c) ..... B3 B 9.44% 7/22/10 7,140,000
1,000,000 Wm. Bolthouse Farms, Inc. ....... B2 B+ 7.13% 12/16/12 1,014,583
--------------
10,152,875
--------------
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
FOOD PRODUCTS (CONTINUED)
PACKAGED FOODS & MEATS - 4.0%
$ 7,888,348 Keystone Foods Holdings LLC ..... NR(a) NR(a) 6.31%-6.38% 6/16/11 $ 7,973,802
8,894,925 OSI Group LLC ................... NR(a) NR(a) 6.53% 9/02/11 8,994,993
2,000,000 THL Foods Products Company ...... B1 B+ 6.50%-6.67% 11/21/10 2,023,334
--------------
18,992,129
--------------
TOTAL FOOD PRODUCTS 29,145,004
--------------
HEALTH CARE PROVIDERS & SERVICES - 8.3%
HEALTH CARE FACILITIES - 0.8%
911,291 Lifepoint Hospitals, Inc. ....... Ba3 BB 6.19% 4/15/12 915,975
2,960,088 Select Medical Corp. ............ B1 BB- 6.32%-8.25% 2/24/12 2,913,632
--------------
3,829,607
--------------
HEALTH CARE SERVICES - 5.9%
5,905,151 CHS/Community
Health Systems, Inc. ......... Ba3 BB- 6.36%-6.56% 8/19/11 5,976,503
4,791,912 DaVita Inc. ..................... B1 BB- 6.54%-7.05% 10/05/12 4,858,797
320,513 Matria Healthcare, Inc. ......... B1 BB- 7.02% 1/19/07 320,913
679,487 Matria Healthcare, Inc. ......... B1 BB- 6.82%-7.02% 1/19/12 686,282
1,908,046 Per-Se Technologies, Inc. ....... B1 B+ 6.79% 1/06/13 1,934,282
3,000,000 Team Finance, LLC ............... B2 B+ 7.07%-7.27% 11/23/12 3,022,500
6,444,775 US Oncology Holdings, Inc. ...... B1 B+ 6.91%-7.02% 8/20/11 6,509,223
5,080,100 VWR International, Inc. ......... B2 B+ 7.12% 4/07/11 5,146,776
--------------
28,455,276
--------------
MANAGED HEALTH CARE - 1.6%
4,427,563 IASIS Healthcare Corp. .......... B1 B+ 6.78%-6.79% 6/22/11 4,484,754
1,215,000 Medcath Holdings Corp. .......... B2 B+ 7.10%-8.75% 6/30/11 1,219,556
1,980,038 Vanguard Health Systems, Inc. ... B2 B 6.77%-6.95% 9/23/11 2,003,550
--------------
7,707,860
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 39,992,743
--------------
HOTELS, RESTAURANTS & LEISURE - 7.0%
CASINOS & GAMING - 4.4%
5,910,000 Boyd Gaming Corp. ............... Ba2 BB 5.70%-6.03% 6/30/11 5,970,329
2,987,497 CCM Merger, Inc. ................ B1 B+ 6.45%-6.80% 10/21/12 3,008,409
3,243,495 Global Cash Access, Inc. ........ Ba3 B+ 6.86% 3/10/10 3,282,011
6,000,000 MGM Mirage ...................... Ba2 BB 6.28% 11/22/09 6,014,250
1,995,000 Penn National Gaming, Inc. ...... Ba3 BB- 6.26%-6.46% 10/03/12 2,019,938
1,000,000 Pinnacle Entertainment, Inc. .... B1 BB- 6.57% 12/14/11 1,009,063
--------------
21,304,000
--------------
HOTELS, RESORTS & CRUISE LINES - 1.0%
4,769,624 OpBiz, LLC ...................... B3 B- 5.78% 8/31/10 4,659,923
--------------
LEISURE FACILITIES - 1.4%
6,841,406 American Skiing Company ......... NR NR 9.06%-9.18% 11/24/10 6,867,061
--------------
RESTAURANTS - 0.2%
1,000,000 Dunkin' Brands, Inc. ............ B2 B+ 7.06% 2/15/13 1,003,333
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 33,834,317
--------------
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
HOUSEHOLD DURABLES - 2.7%
HOMEBUILDING - 2.2%
$ 2,038,576 Kyle Acquisition Group, LLC ..... NR(a) NR(a) 6.63% 7/20/08 $ 2,048,769
2,775,964 Kyle Acquisition Group, LLC ..... NR(a) NR(a) 6.63% 7/20/10 2,789,844
1,000,000 Technical Olympic USA, Inc. ..... NR(a) NR 7.75% 8/01/08 1,007,500
5,000,000 Technical Olympic USA, Inc.,
(Mezzanine Debt) (c) ......... NR(a) NR 10.25% 8/01/09 5,000,000
--------------
10,846,113
--------------
HOUSEWARES & SPECIALTIES - 0.5%
2,288,212 Jostens IH Corp. ................ B1 B+ 6.78% 10/04/11 2,317,291
--------------
TOTAL HOUSEHOLD DURABLES 13,163,404
--------------
INDUSTRIAL CONGLOMERATES - 1.4%
INDUSTRIAL CONGLOMERATES - 1.4%
2,668,929 Goodman Global Holdings, Inc. ... B2 B+ 6.94% 12/23/11 2,685,610
997,500 Mueller Group, Inc. ............. B2 B+ 6.47%-7.06% 10/03/12 1,008,722
925,043 Rexnord Corp. ................... B1 B+ 6.78%-6.93% 12/31/11 933,907
1,907,617 Roller Bearing Corp. ............ NR(a) NR(a) 7.32% 7/01/11 1,919,539
--------------
TOTAL INDUSTRIAL CONGLOMERATES 6,547,778
--------------
INSURANCE - 0.9%
LIFE & HEALTH INSURANCE - 0.9%
4,354,956 Conseco, Inc. ................... B2 BB- 6.57% 6/22/10 4,389,434
--------------
TOTAL INSURANCE 4,389,434
--------------
INTERNET SOFTWARE & SERVICES - 1.9%
INTERNET SOFTWARE & SERVICES - 1.9%
8,962,481 SunGard Data Systems Inc. ....... B1 B+ 7.22% 2/11/13 9,087,320
--------------
TOTAL INTERNET SOFTWARE & SERVICES 9,087,320
--------------
IT SERVICES - 4.9%
DATA PROCESSING & OUTSOURCED SERVICES - 0.6%
992,500 Fidelity National Information
Solutions, Inc. .............. Ba3 BB 6.07% 3/09/11 994,899
1,902,703 Fidelity National Information
Solutions, Inc. .............. Ba3 BB 6.32% 3/09/13 1,915,338
--------------
2,910,237
--------------
IT CONSULTING & OTHER SERVICES - 4.3%
3,120,522 Alion Science and
Technology Corp. ............. B1 B+ 6.45% 8/02/09 3,104,919
916,230 Apptis (DE), Inc. ............... B2 B+ 7.86% 1/05/10 920,812
992,424 CACI International Inc. ......... Ba2 BB 5.43%-6.14% 5/03/11 1,001,522
8,932,500 DynCorp International LLC ....... B2 B+ 6.81%-7.44% 2/11/11 9,010,659
1,777,778 Vertafore, Inc. ................. NR(a) NR(a) 7.11%-7.31% 1/31/12 1,795,556
1,488,750 Wyle Laboratories, Inc. ......... NR(a) B+ 7.33%-7.44% 1/28/11 1,510,151
3,125,000 Wyle Laboratories, Inc. (c) ..... NR(a) B- 11.19% 7/28/11 3,177,734
--------------
20,521,353
--------------
TOTAL IT SERVICES 23,431,590
--------------
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ----------- -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
MACHINERY - 0.7%
INDUSTRIAL MACHINERY - 0.7%
$ 2,382,023 Invensys International
Holdings Ltd. ................ Ba3 B+ 7.79% 9/05/09 $ 2,411,799
1,000,000 Invensys International
Holdings Ltd. (c) ............ B1 B+ 9.43% 12/05/09 1,020,000
--------------
TOTAL MACHINERY 3,431,799
--------------
MEDIA - 25.4%
ADVERTISING - 0.4%
2,050,536 Adams Outdoor Advertising, LP ... B1 B+ 6.62% 10/18/12 2,077,022
--------------
BROADCASTING & CABLE TV - 13.9%
3,940,000 Bragg Communications, Inc. ...... NR(a) NR 6.81% 8/31/11 3,979,400
17,380,000 Century Cable Holdings, LLC ..... NR NR 9.50% 6/30/09 17,036,015
12,983,858 Charter Communications
Operating, LLC ............... B2 B 7.67% 4/27/10 13,050,686
1,333,333 DIRECTV Holdings LLC ............ Ba1 BB 6.04%-6.07% 4/13/13 1,347,708
396,013 MMC Georgia LLC,
(Revolving Credit) ........... Ba3 BB- 0.50%-8.00% 3/31/10 385,618
2,967,525 NEP Supershooters, L.P. ......... B1 B 8.03% 2/03/11 2,997,200
1,000,000 NextMedia Operating, Inc. (c) ... B3 CCC+ 9.07% 11/15/13 1,015,833
5,978,796 PanAmSat Corp. .................. B1 BB+ 6.49% 8/20/11 6,047,456
1,000,000 Paxson Communications Corp. ..... B2 CCC+ 7.78% 1/15/12 1,000,625
2,481,250 Rainbow Media Holdings LLC ...... Ba3 BB+ 7.38%-7.56% 3/31/12 2,509,164
6,500,000 Raycom Media, Inc. .............. NR NR 6.19% 1/18/13 6,540,625
2,000,000 San Juan Cable, LLC (c) ......... B2 B- 10.34% 10/14/13 2,006,250
4,000,000 UPC Distribution Holding B.V. ... B1 B 8.03% 12/31/11 4,047,500
5,000,000 UPC Distribution Holding B.V. ... B1 B 7.28% 9/30/12 5,055,355
--------------
67,019,435
--------------
MOVIES & ENTERTAINMENT - 5.6%
4,900,000 AMC Entertainment, Inc. ......... Ba3 B+ 6.71% 1/26/13 4,949,000
1,000,000 Deluxe Entertainment
Services Group, Inc. ......... B1 B 8.33% 1/28/11 1,009,166
7,000,000 Metro-Goldwyn-Mayer
Holdings II, Inc. ............ NR(a) NR(a) 6.78% 4/08/12 7,078,750
3,810,611 Regal Cinemas Corp. ............. Ba3 BB- 6.53% 11/10/10 3,851,098
9,854,870 WMG Acquisition Corp. ........... Ba2 B+ 6.37%-6.81% 3/01/11 9,958,041
--------------
26,846,055
--------------
PUBLISHING - 5.5%
5,176,471 CBD Media, LLC .................. B1 B 6.99% 12/31/09 5,244,412
883,087 Dex Media West, Inc. ............ Ba2 BB 0.50%-6.25% 3/09/10 887,344
1,980,000 Media News Group, Inc. .......... Ba3 BB 5.85% 12/30/10 1,980,000
5,000,000 Newspaper Holdings, Inc. ........ NR NR 6.19% 8/24/12 5,018,750
1,943,783 Nexstar Broadcasting, Inc. ...... Ba3 B+ 6.28% 10/01/12 1,951,072
1,500,000 PBI Media, Inc. (c) ............. B3 CCC+ 10.67% 9/30/13 1,476,251
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
MEDIA - (CONTINUED)
PUBLISHING - (CONTINUED)
$ 1,000,000 PRIMEDIA Inc. ................... B2 B 6.82% 9/30/13 $ 986,875
6,802,877 RH Donnelley Inc. ............... Ba3 BB 6.00%-6.31% 6/30/11 6,850,010
1,921,832 WCP Exposition Services, LLC .... NR NR 7.72% 8/29/11 1,933,844
--------------
26,328,558
--------------
TOTAL MEDIA 122,271,070
--------------
METALS & MINING - 2.4%
ALUMINUM - 1.2%
5,753,846 Novelis Corp. ................... Ba2 BB- 6.44% 1/07/12 5,817,679
--------------
DIVERSIFIED METALS & MINING - 0.6%
3,000,000 Alpha Natural Resources, LLC .... B2 BB- 6.32% 10/26/12 3,017,499
--------------
PRECIOUS METALS & MINERALS - 0.6%
2,887,500 Carmeuse Lime, Inc. ............. NR NR 6.38%-6.44% 5/02/11 2,894,719
--------------
TOTAL METALS & MINING 11,729,897
--------------
MULTI-UTILITIES - 3.0%
MULTI-UTILITIES - 3.0%
992,500 KGEN, LLC ....................... B2 B 7.15% 8/05/11 987,538
10,535,365 KGEN, LLC (c) ................... B3 B- 13.53% 8/05/11 10,535,365
3,000,000 Thermal North America, Inc. ..... Ba3 BB- 6.32% 10/12/13 3,016,875
--------------
TOTAL MULTI-UTILITIES 14,539,778
--------------
OIL, GAS & CONSUMABLE FUELS - 10.0%
OIL & GAS EXPLORATION & PRODUCTION - 3.0%
5,955,000 ATP Oil & Gas Corp. ............. NR NR 9.49%-10.18% 4/14/10 6,111,319
1,911,111 Mainline, L.P. .................. Ba3 BB- 6.88% 12/17/11 1,920,666
4,490,659 Plains Resources Inc. ........... Ba2 BB 6.75% 8/12/11 4,518,725
1,903,313 SemCrude, L.P. .................. Ba3 B 6.74%-6.78% 3/16/11 1,925,435
--------------
14,476,145
--------------
OIL & GAS REFINING & MARKETING - 1.6%
444,444 Calumet Lubricants Company ...... B2 B+ 7.83%-7.99% 12/09/12 449,444
2,000,000 Coffeyville Resources, LLC (c) .. B3 B 11.31% 7/08/13 2,058,750
5,000,000 Hawkeye Renewables, LLC ......... B2 B 7.84% 1/31/12 4,962,500
--------------
7,470,694
--------------
OIL & GAS STORAGE & TRANSPORTATION - 5.4%
4,987,500 Cheniere LNG Holdings, LLC ...... NR BB 6.95% 8/31/12 5,034,258
7,000,000 Eagle Rock Gas Gathering
& Processing, Ltd. ........... NR NR 7.03% 10/01/12 7,061,250
10,982,775 El Paso Corp. ................... B3 B 6.35% 11/23/09 11,083,454
990,000 EPCO Holdings, Inc. ............. Ba3 B+ 6.35%-6.61% 8/18/10 1,001,602
1,992,500 Regency Gas Service, LLC ........ B1 B+ 6.78% 5/30/10 2,014,916
--------------
26,195,480
--------------
TOTAL OIL, GAS & CONSUMABLE FUELS 48,142,319
--------------
Page 8 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
PAPER & FOREST PRODUCTS - 3.6%
FOREST PRODUCTS - 3.2%
$ 11,250,000 Georgia-Pacific Corp. ........... Ba2 BB- 6.56% 12/20/12 $ 11,333,441
3,750,000 Georgia-Pacific Corp. (c) ....... Ba3 B+ 7.56% 12/20/14 3,822,870
--------------
15,156,311
--------------
PAPER PRODUCTS - 0.4%
1,940,202 Solo Cup Company ................ B1 B+ 7.03% 2/27/11 1,956,776
--------------
TOTAL PAPER & FOREST PRODUCTS 17,113,087
--------------
PHARMACEUTICALS - 0.7%
PHARMACEUTICALS - 0.7%
3,535,568 Warner Chilcott Corp. ........... B2 B 7.28%-7.44% 1/18/12 3,556,562
--------------
TOTAL PHARMACEUTICALS 3,556,562
--------------
REAL ESTATE - 11.3%
REAL ESTATE INVESTMENT TRUSTS - 2.1%
6,500,000 Capital Automotive L.P. ......... Ba1 BB+ 6.34% 12/16/10 6,529,790
777,368 Lion Gables Realty, L.P. ........ Ba2 BB+ 6.32% 9/30/06 781,116
811,111 Maguire Properties, Inc. ........ Ba2 BB 6.32% 3/15/10 814,558
2,000,000 The Macerich Partnership, L.P. .. NR NR(a) 6.13% 4/26/10 2,008,334
--------------
10,133,798
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 9.2%
1,860,549 CB Richard Ellis Services, Inc. . Ba3 B+ 6.01%-6.93% 3/31/10 1,874,503
9,000,000 General Growth Properties, Inc. . Ba2 BB+ 5.83% 2/03/10 9,004,923
1,000,000 Kuilima Resort Company (c) ...... NR(a) NR(a) 11.11% 9/30/11 1,005,000
6,338,057 LNR Property Corp. .............. B2 B+ 7.57% 2/03/08 6,389,553
10,886,400 LNR Property Corp.,
(Mezzanine Debt) (d)(e) ...... NR NR 9.07% 2/03/08 10,968,048
4,972,506 Palmdale Hills Property, LLC .... B1 B+ 7.61% 5/19/10 4,947,644
4,992,500 Pivotal Promontory, LLC ......... NR(a) NR(a) 7.36% 8/31/10 4,961,297
1,500,000 Shea Capital I, LLC ............. NR(a) NR(a) 6.69% 10/27/11 1,500,000
788,784 The Newkirk Master
Limited Partnership .......... NR(a) BB+ 6.38% 8/11/08 794,371
1,950,000 The Rhodes Companies, LLC ....... Ba3 BB- 7.75% 11/21/10 1,954,875
968,000 Yellowstone Development, LLC .... NR(a) NR(a) 6.98% 9/30/10 970,420
--------------
44,370,634
--------------
TOTAL REAL ESTATE 54,504,432
--------------
ROAD & RAIL - 0.9%
TRUCKING - 0.9%
4,348,889 The Hertz Corp. ................. Ba2 BB 6.75%-6.96% 12/21/12 4,414,801
--------------
TOTAL ROAD & RAIL 4,414,801
--------------
SPECIALTY RETAIL - 3.3%
APPAREL RETAIL - 1.4%
5,848,101 The Neiman Marcus Group, Inc. ... B1 B+ 6.95% 4/06/13 5,927,466
860,064 The William Carter Company ...... B1 BB 6.42%-6.54% 7/14/12 868,305
--------------
6,795,771
--------------
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE TERM LOAN INTERESTS** - CONTINUED
SPECIALTY RETAIL - (CONTINUED)
SPECIALTY STORES - 1.9%
$ 1,980,000 Dollarama Group L.P. ............ NR(a) NR(a) 6.92% 11/18/11 $ 1,997,325
3,972,444 Harbor Freight Tools USA, Inc. .. NR(a) NR(a) 6.82% 7/15/10 4,011,176
3,000,000 TravelCenters of America, Inc. .. B1 BB 6.16%-6.44% 12/01/11 3,028,500
9,037,001
--------------
TOTAL SPECIALTY RETAIL 15,832,772
--------------
TOBACCO - 0.2%
TOBACCO - 0.2%
989,167 Commonwealth Brands, Inc. ....... NR(a) NR(a) 7.00% 12/22/12 1,000,542
--------------
TOTAL TOBACCO 1,000,542
--------------
TRANSPORTATION INFRASTRUCTURE - 1.4%
MARINE PORTS & SERVICES - 1.4%
4,895,227 Horizon Lines Holding LLC ....... B2 B 6.78% 7/07/11 4,952,339
1,643,541 Sirva Worldwide, Inc. ........... B2 B+ 8.55%-8.57% 12/08/10 1,580,540
--------------
TOTAL TRANSPORTATION INFRASTRUCTURE 6,532,879
--------------
WIRELESS TELECOMMUNICATION SERVICES - 2.3%
WIRELESS TELECOMMUNICATION SERVICES - 2.3%
4,000,000 AAT Communications Corp. ........ B1 BB+ 6.56% 7/27/12 4,010,000
3,000,000 MetroPCS Wireless, Inc. ......... NR NR 9.25% 5/31/11 3,082,500
4,000,000 Nextel Partners, Inc. ........... Ba3 B+ 5.91% 5/31/12 4,000,000
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 11,092,500
--------------
Total Senior Floating Rate Term Loan Interests** ................................ 717,657,404
--------------
(Cost $713,996,730)
SENIOR FLOATING RATE NOTES - 3.1%
HEALTH CARE PROVIDERS & SERVICES - 0.2%
HEALTH CARE FACILITIES - 0.2%
1,250,000 Select Medical Holdings
Corp.(d)(f) .................. B1 NR 9.93% 9/15/15 1,065,625
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,065,625
--------------
HOUSEHOLD DURABLES - 0.6%
HOMEBUILDING - 0.6%
3,000,000 Builders Firstsource, Inc. (c)(f) B3 B- 9.00% 2/15/12 3,090,000
--------------
TOTAL HOUSEHOLD DURABLES 3,090,000
--------------
MEDIA - 1.7%
BROADCASTING & CABLE TV - 1.7%
3,000,000 Intelsat, Ltd. (d)(f) ........... B2 B+ 9.61% 1/15/12 3,056,250
5,000,000 Paxson Communications Corp. (f) B2 CCC+ 7.78% 1/15/12 4,975,000
--------------
TOTAL MEDIA 8,031,250
--------------
Page 10 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
BANK LOAN
PRINCIPAL RATINGS+ STATED MARKET
VALUE DESCRIPTION o MOODY'S S&P COUPON MATURITY* VALUE
------------- --------------------------------- ------------------ ------------ -------------- --------------
SENIOR FLOATING RATE NOTES - CONTINUED
PHARMACEUTICALS - 0.6%
PHARMACEUTICALS - 0.6%
$ 3,000,000 Elan Finance PLC (d)(f) ......... B3 B 8.34% 11/15/11 $ 2,951,250
--------------
TOTAL PHARMACEUTICALS 2,951,250
--------------
TOTAL SENIOR FLOATING RATE NOTES ................................................. 15,138,125
--------------
(Cost $14,969,956)
SHARES
-------------
COMMON STOCKS - 3.3%
CLOSED-END FUNDS - 3.3%
OTHER DIVERSIFIED FINANCIAL SERVICES - 3.3%
903,900 ING Prime Rate Trust, ............................................................ 6,345,378
1,158,600 Van Kampen Senior Income Trust, .................................................. 9,465,762
--------------
TOTAL CLOSED-END FUNDS 15,811,140
--------------
TOTAL COMMON STOCKS .............................................................. 15,811,140
--------------
(Cost $15,245,029)
PRINCIPAL
VALUE
-------------
REPURCHASE AGREEMENT - 2.0%
(Cost $9,600,000)
9,600,000 Agreement with Wachovia Capital Markets, LLC, 4.44% dated 2/28/06,
to be repurchased at $9,601,184 on 3/01/06, collateralized by $9,600,000
Federal Home Loan Bank, 4.625% due 1/18/08 (Value $9,842,385) ................. 9,600,000
--------------
TOTAL INVESTMENTS - 157.5% ....................................................... 758,206,669
(Cost $753,811,715) (b)
NET OTHER ASSETS AND LIABILITIES - (0.8)% ........................................ (3,806,125)
--------------
LOAN OUTSTANDING - (35.9)% ....................................................... (173,000,000)
--------------
PREFERRED SHARES, AT LIQUIDATION VALUE - (20.8)% ................................. (100,000,000)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% ............................ $ 481,400,544
==============
_________________________________________________
O All percentages shown in the Portfolio of Investments are based on net
assets applicable to Common Shares.
(a) This Senior Loan Interest was privately rated upon issuance. The rating
agency does not provide ongoing surveillance on the rating.
(b) Aggregate cost for federal income tax and financial reporting purposes.
(c) This issue is secured by a second lien on the issuer's assets.
(d) This issue is unsecured.
(e) This issue's security interest is subordinated to other debt holders.
(f) Securities are restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended (Note
1E).
(g) This borrower has filed for protection in a federal bankruptcy court.
+ Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard
& Poor's Ratings Group are considered to be below investment grade.
NR Not rated.
See Notes to Quarterly Portfolio of Investments Page 11
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II PORTFOLIO OF
INVESTMENTS - (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
* Senior Loans generally are subject to mandatory and/or optional
prepayment. Prepayments of Senior Loans may occur because of the mandatory
prepayment conditions and because there may be significant economic
incentives for a borrower to optionally prepay. As a result, the actual
remaining maturity of Senior Loans may be substantially less than the
stated maturities shown. Senior Loans generally have maturities that range
from five to eight years; however, the Fund estimates that refinancing and
prepayments result in an average maturity of the Senior Loans held in its
portfolio to be approximately 18-30 months.
** 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 major United States banks or (iii) the certificate of deposit rate.
Page 12 See Notes to Quarterly Portfolio of Investments
--------------------------------------------------------------------------------
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2006
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of the First Trust/Four Corners
Senior Floating Rate Income Fund II (the "Fund") is computed based upon the
value of the Fund's portfolio and other assets less any accrued liabilities. The
NAV is determined as of the close of regular trading on the NYSE, normally 4:00
p.m. Eastern time, on each day the NYSE is open for trading. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The Fund calculates NAV
per Common Share by subtracting the Fund's liabilities (including accrued
expenses, dividends payable and any borrowings of the Fund) and the liquidation
value of any outstanding Preferred Shares from the Fund's Managed Assets (the
value of securities and other investments the Fund holds plus cash or other
assets, including interest accrued but not yet received), and dividing the
result by the total number of Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value according
to procedures adopted by the Fund's Board of Trustees. A majority of the Fund's
assets are valued using market information supplied by third parties. In the
event that market quotations are not readily available, the pricing service does
not provide a valuation for a particular asset, or the valuations are deemed
unreliable, or if events occurring after the close of the principal markets for
particular securities (e.g., domestic debt and foreign securities), but before
the Fund values its assets, would materially affect NAV, First Trust Advisors
L.P. ("First Trust") may use a fair value method to value the Fund's securities
and investments. The use of fair value pricing by the Fund is governed by
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with the provisions of the Investment Company Act of 1940, as amended (the "1940
Act").
The Senior 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 in the past several years, 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 an independent third party pricing service. If the
pricing service cannot or does not provide a valuation for a particular Senior
Loan or such valuation is deemed unreliable, First Trust may value such Senior
Loan at a fair value according to procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the 1940 Act.
Portfolio securities listed on any exchange other than the NASDAQ National
Market ("NASDAQ") are valued at the last sale price on the business day as of
which such value is being determined. If there has been no sale on such day, the
securities are valued at the mean of the most recent bid and asked prices on
such day. Securities traded on the NASDAQ are valued at the NASDAQ Official
Closing Price as determined by NASDAQ. Portfolio securities traded on more than
one securities exchange are valued at the last sale price on the business day as
of which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio securities
traded in the over-the-counter market, but excluding securities traded on the
NASDAQ, are valued at the closing bid prices. Short-term investments that mature
in less than 60 days are valued at amortized cost.
B. REPURCHASE AGREEMENTS:
The Fund engages in repurchase agreement transactions. Under the terms of a
typical repurchase agreement, the Fund takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase, and the Fund to
resell, the obligation at an agreed-upon price and time, thereby determining the
yield during the Fund's holding period. This arrangement results in a fixed rate
of return that is not subject to market fluctuations during the Fund's holding
period. The value of the collateral is at all times at least equal to the total
amount of the repurchase obligation, including interest. In the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred. There is potential loss to the Fund in the event the Fund is
delayed or prevented from exercising its rights to dispose of the collateral
securities, including the risk of a possible decline in the value of the
underlying securities during the period while the Fund seeks to assert its
rights. The Fund reviews the value of the collateral and the creditworthiness of
those banks and dealers with which the Fund enters into repurchase agreements to
evaluate potential risks.
Page 13
--------------------------------------------------------------------------------
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2006
C. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund instructs the custodian to
segregate assets of the Fund with a current value at least equal to the amount
of its when-issued purchase commitments.
D. UNFUNDED LOAN COMMITMENTS:
The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund had unfunded loan commitments of approximately $10,970,214
as of February 28, 2006. The Fund is obligated to fund these loan commitments at
the borrower's discretion. Net unrealized depreciation of $9,121 from these
commitments is included in Net Other Assets and Liabilities.
E. RESTRICTED SECURITIES
The Fund may invest a portion of its assets in restricted securities. Restricted
securities are securities that cannot be offered for public sale without first
being registered under the Securities Act of 1933, as amended. The Fund
currently holds the restricted securities shown in the following table. These
securities are valued using market quotations according to the valuation
procedures as stated in the Portfolio Valuation section (Note 1A) and are not
expressed as a discount to the carrying value of a comparable unrestricted
security. There are no unrestricted securities with the same maturity dates and
yields for these issuers.
CARRYING COST
ACQUISITION PRINCIPAL CARRYING AT ACQUISITION MARKET % OF
SECURITY DATE VALUE VALUE DATE VALUE NET ASSETS
------------------ ----------- -------------- -------- -------------- ------------- -----------
Builders Firstsource, Inc. 2/8/05 $ 3,000,000 103.00 100.00 $ 3,090,000 0.64%
Elan Finance PLC 3/2/05 1,500,000 98.38 86.50 1,475,625 0.31%
Elan Finance PLC 3/31/05 1,000,000 98.38 75.75 983,750 0.20%
Elan Finance PLC 8/9/05 500,000 98.38 90.50 491,875 0.10%
Intelsat, Ltd. 2/14/05 3,000,000 101.88 103.50 3,056,250 0.64%
Paxson Communications Corp. 12/19/05 5,000,000 99.50 100.00 4,975,000 1.03%
Select Medical Holdings Corp. 9/16/05 250,000 85.25 100.00 213,125 0.04%
Select Medical Holdings Corp. 9/19/05 1,000,000 85.25 100.25 852,500 0.18%
-------------- ------------- -----------
$ 15,250,000 $ 15,138,125 3.14%
============== ============= ===========
2. UNREALIZED APPRECIATION/(DEPRECIATION)
As of February 28, 2006, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $5,652,002
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $1,257,048.
Page 14
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/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
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By (Signature and Title)* /S/ JAMES A. BOWEN
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James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date APRIL 27, 2006
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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
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James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date APRIL 27, 2006
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By (Signature and Title)* /S/ MARK R. BRADLEY
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Mark R. Bradley, Treasurer, Controller,
Chief Financial Officer and Chief Accounting Officer
(principal financial officer)
Date APRIL 27, 2006
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* Print the name and title of each signing officer under his or her signature.