UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust/Four Corners Senior Floating Rate Income Fund II
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios, L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: February 28, 2009
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and
274.5 of this chapter), to file reports with the Commission, not later than
60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5).
The Commission may use the information provided on Form N-Q in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of
the information collection burden estimate and any suggestions for reducing
the burden to the Secretary, Securities and Exchange Commission, 100 F
Street, NE, Washington, DC 20549. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - 159.2%
AEROSPACE & DEFENSE - 7.1%
$ 497,500 BE Aerospace, Inc., Term
Loan, Tranche B Ba1 BBB- 5.75% 07/28/14 $ 467,028
1,582,109 DAE Aviation Holdings,
Inc., Term Loan B1 B3 B+ 4.23%-4.92% 07/31/14 759,412
1,559,635 DAE Aviation Holdings,
Inc., Term Loan B2 B3 B+ 4.66%-4.92% 07/31/14 748,625
1,464,118 GenCorp, Inc., Synthetic
Letter of Credit Ba3 BB 2.73% 04/30/13 980,959
805,644 GenCorp, Inc., Term Loan Ba3 BB 3.51% 04/30/13 539,782
1,550,628 Hexcel Corporation, Term
Loan B Ba1 BB+ 3.31%-4.31% 03/01/12 1,349,046
821,887 ILC Industries, Inc., Term
Loan, First Lien NR(e) NR(e) 2.48% 02/24/12 678,057
1,975,000 L-1 Identity Solutions
Operating Company, Term Loan Ba3 BB+ 6.75% 08/05/13 1,812,063
3,906,594 Robertson Aviation, LLC,
Term Loan NR(e) NR(e) 3.20%-3.23% 04/19/13 2,343,956
987,469 Safenet, Inc., Term Loan,
First Lien WR B+ 3.40%-3.66% 04/12/14 535,702
2,815,460 Spirit Aerosystems, Inc.,
Term Loan B Ba3 BBB- 2.91% 09/30/13 2,519,837
2,066,667 Vought Aircraft Industries,
Inc., Synthetic Letter of
Credit, Tranche B Ba3 B- 2.94% 12/22/10 1,529,333
2,518,805 Vought Aircraft Industries,
Inc., Term Loan B Ba3 B- 2.98% 12/22/11 2,031,837
1,000,000 Wesco Aircraft Hardware
Corp., Term Loan, First Lien B1 BB- 2.73% 09/29/13 825,000
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17,120,637
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AGRICULTURAL PRODUCTS - 1.7%
504,241 Dole Food Company, Inc.,
Prefunded Letter of Credit Ba3 B+ 3.16% 04/12/13 451,997
891,433 Dole Food Company, Inc.,
Term Loan B Ba3 B+ 2.50%-4.25% 04/12/13 799,071
3,321,222 Dole Food Company, Inc.,
Term Loan C Ba3 B+ 2.56%-4.25% 04/12/13 2,977,107
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4,228,175
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AIRLINES - 0.2%
495,000 Delta Air Lines, Inc. Synthetic
Revolving Credit Facility Ba2 BB- 2.44%-2.45% 04/30/12 376,200
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ALUMINUM - 1.6%
4,424,811 Novelis Corp., Term Loan Ba3 BB 3.46% 07/06/14 2,623,913
2,011,278 Novelis, Inc., Term Loan Ba3 BB 3.46% 07/06/14 1,192,688
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3,816,601
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APPAREL RETAIL - 0.5%
1,216,072 Hanesbrands, Inc., Term
Loan B, First Lien Ba2 BB+ 2.91%-4.00% 09/05/13 1,138,927
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APPLICATION SOFTWARE - 0.7%
2,815,385 Verint Systems, Inc., Term
Loan, First Lien NR B+ 3.71% 05/25/14 1,675,154
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ASSET MANAGEMENT & CUSTODY BANKS - 2.3%
1,387,574 Grosvenor Capital Management
Holdings, LLP, Term Loan NR(e) NR(e) 2.44%-4.21% 12/05/13 770,104
3,883,461 LPL Holdings, Inc., Term Loan D Ba3 B+ 2.23%-3.21% 06/30/14 3,145,603
2,977,500 Nuveen Investments, Inc.,
Term Loan B1 B+ 3.48%-4.47% 11/13/14 1,403,680
451,454 Oxford US Acquisition, LLC,
Term Loan, Tranche B2 Ba3 WR 2.88% 05/12/14 192,620
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5,512,007
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AUTO PARTS & EQUIPMENT - 0.2%
1,003,829 TRW Automotive, Inc., Term
Loan B Ba1 BB 2.00%-4.63% 05/09/14 578,875
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AUTOMOBILE MANUFACTURERS - 1.5%
2,878,486 Ford Motor Company, Term
Loan, First Lien B2 CCC+ 5.00% 12/15/13 919,915
7,866,939 General Motors Corp., Term
Loan, First Lien B3 CCC 4.15% 11/29/13 2,818,048
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3,737,963
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AUTOMOTIVE RETAIL - 0.8%
2,835,656 KAR Holdings, Inc., Term
Loan B Ba3 B+ 2.73%-3.71% 10/18/13 1,907,767
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BROADCASTING - 6.3%
6,400,000 Citadel Broadcasting Corporation,
Term Loan, First Lien Caa2 B+ 2.19%-2.23% 06/12/14 2,432,000
883,271 Cumulus Media, Inc., Term
Loan, First Lien B3 B 2.20% 06/07/14 355,516
5,191,651 Gray Television, Inc., Term
Loan B B3 B 1.95%-2.93% 12/31/14 2,606,209
4,376,250 LBI Media, Inc., Term Loan B Ba2 B+ 1.98% 03/31/12 3,063,375
See Notes to Quarterly Portfolio of Investments
Page 1
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
BROADCASTING - (CONTINUED)
$ 1,500,000 Paxson Communications
Corp., Term Loan, First Lien B2 CCC 4.34% 01/15/12 $ 300,000
3,500,000 Raycom Media, Inc., Term
Loan, Tranche B NR NR 2.00% 06/25/14 2,450,000
2,468,750 Sirius Satellite Radio,
Inc., Term Loan, First Lien Caa1 B- 2.75% 12/20/12 1,851,563
1,155,750 Univision Communications,
Inc., Term Loan, Second Lien Caa2 CCC 2.98% 03/29/09 1,024,765
1,984,576 Young Broadcasting, Inc.,
Term Loan (h) WR D 4.00%-4.75% 11/03/12 741,239
984,810 Young Broadcasting, Inc.,
Incremental Term Loan (h) WR D 4.00%-4.75% 11/03/12 367,827
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15,192,494
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BUILDING PRODUCTS - 0.0%
1,000,000 South Edge, LLC, Term Loan C (i) NR NR 7.50% 10/31/09 133,333
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CABLE AND SATELLITE - 5.5%
5,342,771 Charter Communications
Operating, LLC, Term Loan (j) B1 C 3.18%-3.36% 03/06/14 4,240,824
3,730,677 CSC Holdings, Inc.,
Incremental Term Loan Ba1 BBB- 2.21%-2.69% 03/29/13 3,385,589
495,006 DIRECTV Holdings, LLC, Term
Loan, Tranche C Baa3 BBB- 5.25% 04/13/13 478,123
6,000,000 UPC Distribution Holding
B.V., Term Loan N Ba3 B+ 2.16% 12/31/14 5,085,000
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13,189,536
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CASINOS & GAMING - 10.2%
897,637 Cannery Casino Resorts,
LLC, Delayed Draw Term Loan B1 BB 2.66%-2.73% 05/18/13 825,827
1,085,827 Cannery Casino Resorts,
LLC, Term Loan, First Lien B1 BB 2.72% 05/18/13 998,961
3,156,716 CCM Merger, Inc., Term Loan B B3 B+ 6.75%-8.50% 04/25/12 1,783,544
229,108 Fontainebleau Resorts Las
Vegas, LLC, Delayed Draw Term
Loan, First Lien B3 CCC 2.00% (f) 06/06/14 55,129
2,270,892 Fontainebleau Resorts Las Vegas,
LLC, Term Loan, First Lien B3 CCC 5.44% 06/06/14 546,433
1,989,818 Golden Nugget, Inc.,
Delayed Draw Term Loan B3 B- 2.00% (f) - 2.48% 06/30/14 756,131
3,482,182 Golden Nugget, Inc., Term
Loan, First Lien B3 B- 2.48% 06/14/14 1,323,229
1,470,000 Great Canadian Gaming
Corp., Term Loan, First Lien Ba2 BBB- 2.73% 02/14/14 1,249,500
946,136 Green Valley Ranch Gaming,
LLC, Term Loan, First Lien B3 B 2.45%-4.00% 02/16/14 379,401
174,706 Isle of Capri Casinos,
Inc., Delayed Draw Term Loan A B1 B+ 3.21% 11/30/13 113,668
231,765 Isle of Capri Casinos, Inc.,
Delayed Draw Term Loan B B1 B+ 3.21% 11/30/13 150,792
579,412 Isle of Capri Casinos,
Inc., Term Loan, First Lien B1 B+ 3.21% 11/30/13 376,980
1,275,880 Las Vegas Sands, LLC,
Delayed Draw Term Loan 1 B2 B+ 2.16% 05/23/14 562,982
3,557,284 Las Vegas Sands, LLC, Term
Loan, Tranche B, First Lien B2 B+ 2.16% 05/23/14 1,569,652
2,454,030 Penn National Gaming, Inc.,
Term Loan B Ba2 BB+ 2.23%-2.99% 10/03/12 2,210,467
815,062 Seminole Tribe of Florida,
Delayed Draw Term Loan B1 Baa3 BBB 3.00% 03/05/14 730,838
2,935,182 Seminole Tribe of Florida,
Delayed Draw Term Loan B2 Baa3 BBB 3.00% 03/05/14 2,631,881
2,607,287 Seminole Tribe of Florida,
Delayed Draw Term Loan B3 Baa3 BBB 3.00% 03/05/14 2,337,869
6,000,000 VML US Finance, LLC, Term Loan B2 B 2.73% 05/25/13 3,452,730
2,142,857 WIMAR LANDCO, LLC, Term Loan (h) WR WR 4.50% 07/03/08 750,000
8,526,799 WIMAR OPCO, LLC, Term Loan (h) WR WR 6.50% 01/03/12 1,851,535
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24,657,549
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COMMODITY CHEMICALS - 0.5%
1,436,329 Ineos Group Limited, Term
Loan B2 Caa1 CCC+ 8.20% 12/14/13 560,168
1,436,328 Ineos Group Limited, Term
Loan C2 Caa1 CCC+ 8.70% 12/14/14 560,168
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1,120,336
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COMPUTER HARDWARE - 1.1%
5,521,379 Activant Solutions
Holdings, Inc., Term Loan B1 B+ 3.44% 05/02/13 2,595,048
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DATA PROCESSING & OUTSOURCED SERVICES - 1.7%
6,895,000 Clarke American Corp., Term
Loan B B1 BB- 2.98%-3.96% 06/30/14 4,061,155
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DIVERSIFIED CHEMICALS - 4.3%
1,080,000 Brenntag Holding GmbH & Company
KG, Acquisition Term Loan B1 B+ 2.47%-3.50% 01/17/14 853,200
3,000,000 Brenntag Holding GmbH & Company
KG, Term Loan, Second Lien Caa1 CCC+ 5.50% 06/18/15 1,800,000
See Notes to Quarterly Portfolio of Investments
Page 2
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
DIVERSIFIED CHEMICALS - (CONTINUED)
$ 4,420,000 Brenntag Holding GmbH &
Company KG, Term Loan B2 B1 B+ 2.47%-3.50% 01/17/14 $ 3,491,800
4,222,102 Huntsman International,
LLC, Term Loan Ba1 BB+ 2.23% 04/19/14 2,913,250
268,821 LyondellBasell Industries
AF S.C.A., DIP Term Loan
(g) (h) Caa2 C 1.50% (f)-13.00% 12/15/09 262,725
16,552 LyondellBasell Industries
AF S.C.A., Dutch Revolving
Credit Facility (h) Caa2 C 5.75% 12/20/13 3,104
39,432 LyondellBasell Industries
AF S.C.A., Dutch Term Loan
A (h) Caa2 C 4.96% 12/20/13 6,901
47,520 LyondellBasell Industries
AF S.C.A., German Term Loan
B1 (h) Caa2 C 5.16% 12/20/14 8,672
47,520 LyondellBasell Industries
AF S.C.A., German Term Loan
B2 (h) Caa2 C 5.16% 12/20/14 8,672
47,520 LyondellBasell Industries
AF S.C.A., German Term Loan
B3 (h) Caa2 C 5.16% 12/20/14 8,672
206,201 LyondellBasell Industries
AF S.C.A., Term Loan B1 (h) Caa2 C 7.00% 12/20/14 80,762
206,201 LyondellBasell Industries
AF S.C.A., Term Loan B2 (h) Caa2 C 7.00% 12/20/14 59,798
206,201 LyondellBasell Industries
AF S.C.A., Term Loan B3 (h) Caa2 C 7.00% 12/20/14 76,295
62,071 LyondellBasell Industries
AF S.C.A., U.S. Primary
Revolving Credit Facility (h) Caa2 C 5.75% 12/20/13 18,311
118,262 LyondellBasell Industries
AF S.C.A., U.S. Term Loan A (h) Caa2 C 5.75% 12/20/13 53,809
989,691 Rockwood Specialties Group,
Inc., Term Loan E Ba2 BB+ 1.98% 07/30/12 869,278
----------------
10,515,249
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DIVERSIFIED METALS & MINING - 1.0%
2,797,500 Alpha Natural Resources,
LLC, Term Loan B Ba3 BB+ 3.00% 10/26/12 2,538,731
----------------
DIVERSIFIED SUPPORT SERVICES - 1.0%
3,194,154 RSC Equipment Rental, Term
Loan, First Lien Ba2 BB 2.23% 11/30/12 2,507,411
----------------
EDUCATION SERVICES - 1.0%
1,911,818 Education Management, LLC,
Term Loan C B2 B+ 3.25% 06/01/13 1,624,449
1,051,666 PRO-QUEST-CSA, LLC, Term
Loan, First Lien Ba3 BB- 2.98% 02/09/14 870,254
----------------
2,494,703
----------------
ELECTRIC UTILITIES - 8.9%
963,629 Astoria Generating Company
Acquisitions, LLC, Term Loan B B1 BB- 2.20%-2.23% 02/23/12 867,266
3,389,170 Calpine Corporation, First
Priority Term Loan B2 B+ 4.34% 03/29/14 2,458,358
2,305,928 Covanta Energy Corporation,
Synthetic Letter of Credit Ba2 BB 2.93% 02/09/14 2,072,453
4,601,950 Covanta Energy Corporation,
Term Loan B Ba2 BB 2.00%-3.75% 02/09/14 4,136,002
2,579,896 Mirant North America, LLC,
Term Loan Ba2 BB 2.23% 01/03/13 2,352,006
7,602,051 NRG Energy, Inc., Synthetic
Letter of Credit Ba1 BB 2.96% 02/01/13 6,980,584
1,942,076 Riverside Energy Center,
LLC, Term Loan Ba3 BB- 5.42% 06/24/11 1,767,289
169,917 Rocky Mountain Energy
Center, LLC, Synthetic
Letter of Credit Ba3 BB- 5.42% 06/24/11 154,624
889,529 Rocky Mountain Energy
Center, LLC, Term Loan Ba3 BB- 5.42% 06/24/11 809,471
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21,598,053
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ELECTRICAL COMPONENTS & EQUIPMENT - 0.6%
1,571,246 Itron, Inc., Term Loan B Ba3 B+ 2.23% 04/18/14 1,382,697
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ENVIRONMENTAL & FACILITIES SERVICES - 1.8%
220,126 EnergySolutions, LLC,
Synthetic Letter of Credit Ba2 NR(e) 2.73% 06/07/13 191,509
1,589,419 EnergySolutions, LLC, Term
Loan (Duratek) Ba2 NR(e) 4.15% 06/07/13 1,382,795
3,312,842 EnergySolutions, LLC, Term
Loan (EnergySolutions) Ba2 NR(e) 4.15% 06/07/13 2,882,173
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4,456,477
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FOOD DISTRIBUTORS - 2.7%
847,826 B&G Foods, Inc., Term Loan C Ba2 BB- 4.20% 02/23/13 763,043
849,167 Birds Eye Foods, Inc., Term
Loan, First Lien NR(e) NR(e) 3.21% 03/22/13 774,865
3,954,874 Dean Foods Company, Term Loan B B1 BB 1.98%-2.96% 04/02/14 3,535,657
1,500,000 New Uno Acquisition Corporation,
Term Loan,Tranche B NR(e) NR(e) 6.50% 10/06/14 1,480,001
----------------
6,553,566
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See Notes to Quarterly Portfolio of Investments
Page 3
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
FOOD RETAIL - 2.0%
$ 5,316,608 SUPERVALU, Inc., Term Loan B Ba3 BB+ 1.70% 06/02/12 $ 4,702,242
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FOREST PRODUCTS - 3.2%
5,883,967 Georgia-Pacific Corporation,
Term Loan B1 Ba2 BB+ 2.96%-4.19% 12/20/12 5,078,598
3,007,982 Georgia-Pacific Corporation,
Term Loan B2 Ba2 BB+ 2.96%-4.19% 12/20/12 2,596,264
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7,674,862
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GAS UTILITIES - 0.4%
1,000,000 Atlas Pipeline Partners,
L.P., Term Loan Ba2 BB- 3.23% 07/27/14 861,250
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HEALTH CARE FACILITIES - 4.6%
975,521 HCA, Inc., Term Loan A Ba3 BB 2.96% 11/17/12 848,947
3,577,572 Health Management Associates,
Inc., Term Loan B B1 BB- 3.21% 02/28/14 2,853,113
511,777 Lifepoint Hospitals, Inc.,
Term Loan B Ba1 BB 2.89% 04/15/12 468,276
4,797,255 Select Medical Corporation,
Term Loan B Ba2 B+ 2.47%-4.25% 02/24/12 3,837,804
271,667 Sun Healthcare Group, Inc.,
Synthetic Letter of Credit Ba2 B+ 3.46% 04/19/14 218,692
2,488,021 Sun Healthcare Group, Inc.,
Term Loan, First Lien Ba2 B+ 2.45%-3.63% 04/19/14 2,002,857
155,646 United Surgical Partners
International, Inc., Delayed
Draw Term Loan Ba3 B 2.47% 04/19/14 126,851
824,032 United Surgical Partners
International, Inc., Term
Loan B Ba3 B 2.47%-3.16% 04/19/14 671,586
----------------
11,028,126
----------------
HEALTH CARE SERVICES - 10.3%
290,150 CHS/Community Health Systems,
Inc., Delayed Draw Term Loan Ba3 BB 2.73% 07/25/14 245,671
5,668,119 CHS/Community Health Systems,
Inc., Term Loan Ba3 BB 2.73%-3.51% 07/25/14 4,799,225
5,611,967 DaVita, Inc., Term Loan B-1 Ba1 BB+ 1.91%-2.96% 10/05/12 5,159,505
7,095,292 Fresenius Medical Care AG,
Term Loan B Baa3 BBB- 2.54%-2.95% 03/31/13 6,426,305
1,960,000 Healthways, Inc., Term Loan B Ba2 BB 2.96% 12/01/13 1,705,200
1,458,750 Quintiles Transnational Corp.,
Term Loan B, First Lien B1 BB 3.46% 03/31/13 1,285,523
5,858,129 US Oncology Holdings, Inc.,
Term Loan B Ba2 BB- 4.56%-6.18% 08/20/11 5,360,187
----------------
24,981,616
----------------
HOMEBUILDING - 0.3%
979,849 Mattamy Funding Partnership,
Term Loan NR(e) NR(e) 3.56% 04/11/13 685,894
----------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 2.4%
4,424,265 Dynegy Holdings, Inc., Synthetic
Letter of Credit Ba1 BB- 1.98% 04/02/13 3,659,500
3,441,288 Texas Competitive Electric Holdings
Company, LLC, Initial
Term Loan B-3 Ba3 B+ 3.95%-4.45% 10/10/14 2,146,503
----------------
5,806,003
----------------
INDUSTRIAL CONGLOMERATES - 0.2%
557,937 Mueller Water Products,
Inc., Term Loan B B1 BB+ 2.23%-3.21% 05/24/14 453,045
----------------
INDUSTRIAL MACHINERY - 0.4%
1,477,500 Edwards (Cayman Islands II)
Ltd., Term Loan, First Lien B1 BB- 2.48% 05/31/14 886,500
----------------
INSURANCE BROKERS - 0.3%
793,107 HealthCare Partners, LLC,
Term Loan Ba2 BBB- 2.23% 10/31/13 680,089
----------------
INTEGRATED TELECOMMUNICATION SERVICES - 1.5%
944,443 Intelsat Corp., Term Loan B-2-A B1 BB- 3.93% 07/03/13 806,712
944,156 Intelsat Corp., Term Loan B-2-B B1 BB- 3.93% 07/03/13 806,467
944,156 Intelsat Corp., Term Loan B-2-C B1 BB- 3.93% 07/03/13 806,467
116,756 Telesat Canada, U.S. Delayed Draw
Term Loan II B1 BB- 4.46% 10/31/14 99,170
1,359,413 Telesat Canada, U.S. Term Loan I B1 BB- 3.91%-5.20% 10/31/14 1,154,652
----------------
3,673,468
----------------
See Notes to Quarterly Portfolio of Investments
Page 4
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
INTERNET RETAIL - 0.5%
$ 2,429,519 Sabre Holdings Corp., Term Loan B1 B+ 2.45%-3.17% 09/30/14 $ 1,154,629
----------------
INTERNET SOFTWARE & SERVICES - 1.6%
4,705,136 SunGard Data Systems, Inc.,
Term Loan B Ba3 BB 2.20%-2.99% 02/28/14 3,936,632
----------------
INVESTMENT BANKING & BROKERAGE - 1.4%
3,534,394 Ameritrade Holding
Corporation, Term Loan B Baa3 BBB+ 1.96% 12/31/12 3,305,542
----------------
IT CONSULTING & OTHER SERVICES - 3.4%
2,052,951 Alion Science and Technology Corp.,
Term Loan B1 B+ 9.50% 02/06/13 1,231,771
543,364 Apptis (DE), Inc., Term Loan B1 B+ 3.73%-5.50% 12/20/12 353,187
1,459,072 CACI International, Inc.,
Term Loan B Ba1 NR 1.95%-3.38% 05/03/11 1,362,409
921,626 iPayment, Inc., Term Loan B1 B 2.41%-3.47% 05/10/13 493,070
1,044,950 Open Solutions, Inc., Term
Loan, First Lien B1 BB- 3.26% 01/23/14 564,273
5,880,262 West Corporation, Term Loan B-2 B1 BB- 2.82%-2.85% 10/24/13 4,305,458
----------------
8,310,168
----------------
LEISURE FACILITIES - 2.2%
3,390,058 Cedar Fair, L.P., Term Loan Ba3 BB- 2.48% 08/30/12 2,787,265
795,038 London Area and Waterfront
Finance, LLC, Term Loan A NR(e) NR(e) 4.69% 03/08/12 556,526
2,113,822 Six Flags, Inc., Term Loan B B2 B 2.73%-3.68% 04/30/15 1,514,404
982,500 Town Sports International,
LLC, Term Loan B Ba2 BB- 2.25% 02/27/14 491,250
----------------
5,349,445
----------------
LEISURE PRODUCTS - 0.4%
1,886,716 LodgeNet Entertainment
Corp., Term Loan B3 B- 3.46% 04/04/14 1,043,983
----------------
LIFE & HEALTH INSURANCE - 0.9%
829,035 Conseco, Inc., Term Loan B2 CCC 2.45% 10/10/13 464,259
742,118 Multiplan Merger
Corporation, Term Loan B1 B+ 3.00% 04/12/13 608,536
424,877 Multiplan Merger
Corporation, Term Loan C B1 B+ 3.00% 04/12/13 348,399
1,243,687 Viant Holdings, Inc., Term Loan Ba3 B+ 3.71% 06/25/14 684,028
----------------
2,105,222
----------------
MANAGED HEALTH CARE - 2.9%
1,188,075 IASIS Healthcare Corporation,
Delayed Draw Term Loan Ba2 B+ 2.41% 03/15/14 1,035,110
318,412 IASIS Healthcare
Corporation, Synthetic
Letter of Credit Ba2 B+ 2.40% 03/15/14 277,416
3,433,416 IASIS Healthcare Corporation,
Term Loan Ba2 B+ 2.41% 03/15/14 2,991,364
2,913,965 Vanguard Health Systems,
Inc., Term Loan B Ba3 B+ 2.73%-3.71% 09/23/11 2,675,384
----------------
6,979,274
----------------
METAL & GLASS CONTAINERS - 2.6%
7,181,250 Owens-Illinois Group, Inc.,
Term Loan B Baa3 BBB- 1.96% 06/14/13 6,337,453
----------------
MORTGAGE REITS - 1.0%
3,080,000 LNR Property Corporation,
Initial Term Loan, Tranche B B2 BB 3.92% 07/12/11 1,617,000
1,870,000 LNR Property Corporation,
Term Loan, Tranche A-1 B2 BB 3.92% 07/12/09 810,333
----------------
2,427,333
----------------
MOVIES & ENTERTAINMENT - 7.5%
4,753,000 AMC Entertainment, Inc.,
Term Loan Ba1 BB- 1.98% 01/26/13 4,182,640
55,118 Deluxe Entertainment Services
Group, Inc., Credit
Linked Term Loan A Ba3 B- 3.71% 05/11/13 33,071
1,002,892 Deluxe Entertainment Services
Group, Inc., Term
Loan, Tranche B Ba3 B- 3.42%-3.71% 05/11/13 601,735
98,191 Deluxe Entertainment Services
Group, Inc., Term
Loan, Tranche C Ba3 B- 3.71% 05/11/13 58,914
3,927,532 Discovery Communications
Holding, LLC, Term Loan B NR(e) NR(e) 3.46% 05/14/14 3,560,029
2,000,000 National CineMedia, LLC,
Term Loan B B1 B+ 3.75% 02/13/15 1,635,000
1,987,284 Regal Cinemas Corporation,
Term Loan B Ba2 BB- 5.21% 10/27/13 1,826,495
See Notes to Quarterly Portfolio of Investments
Page 5
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
MOVIES & ENTERTAINMENT - (CONTINUED)
$ 1,496,250 TWCC Holding Corp., Term Loan B Ba2 BB 7.25% 09/14/15 $ 1,427,423
5,500,031 WMG Acquisition Corp., Term Loan Ba3 BB 2.45%-3.26% 03/01/11 4,721,777
----------------
18,047,084
----------------
MULTI-UTILITIES - 1.4%
2,510,638 KGEN, LLC, Synthetic Letter
of Credit B1 BB 3.25% 02/08/14 1,757,446
2,467,374 KGEN, LLC, Term Loan B B1 BB 3.25% 02/08/14 1,727,162
----------------
3,484,608
----------------
OFFICE REITS - 0.1%
1,000,000 Tishman Speyer Real Estate D.C. Area
Portfolio, L.P., Term Loan WR B+ 2.22% 12/27/12 350,000
----------------
OFFICE SERVICES & SUPPLIES - 2.0%
2,820,794 Emdeon Business Services,
LLC, Term Loan, First Lien B1 BB- 3.46% 11/16/13 2,425,883
1,193,791 Pike Electric, Inc., Term
Loan B NR(e) NR(e) 2.00% 07/01/12 1,086,349
1,349,428 Pike Electric, Inc., Term
Loan C NR(e) NR(e) 2.00% 12/10/12 1,227,980
----------------
4,740,212
----------------
OIL & GAS EQUIPMENT & SERVICES - 2.0%
1,979,899 Hercules Offshore, Inc.,
Term Loan Ba3 BB 3.21% 07/11/13 1,388,405
1,354,839 Targa Resources, Inc.,
Synthetic Letter of Credit Ba3 B+ 3.46% 10/31/12 970,065
2,358,210 Targa Resources, Inc., Term Loan Ba3 B+ 3.46%-5.98% 10/31/12 1,688,478
937,853 Volnay Acquisition Co. I,
Term Loan Ba1 BB+ 2.91%-5.43% 01/12/14 808,898
----------------
4,855,846
----------------
OIL & GAS EXPLORATION & PRODUCTION - 0.8%
2,216,136 ATP Oil & Gas Corporation,
Term Loan, Tranche B1 NR NR 8.50% 07/15/14 1,211,489
693,029 ATP Oil & Gas Corporation,
Term Loan, Tranche B2 NR NR 8.50% 01/15/11 378,856
992,087 SemCrude, L.P., Term Loan (h) (i) WR NR 5.75% 03/16/11 401,795
----------------
1,992,140
----------------
OIL & GAS REFINING & MARKETING - 1.8%
108,101 Alon USA, Inc., Term Loan
(Edgington Facility) B1 BB 2.73%-3.51% 06/22/13 41,619
864,810 Alon USA, Inc., Term Loan
(Paramount Facility) B1 BB 2.73%-3.51% 06/22/13 332,952
114,943 Calumet Lubricants Co., L.P.,
Synthetic Letter of Credit B1 B 5.28% 01/03/15 56,897
862,265 Calumet Lubricants Co.,
L.P., Term Loan B1 B 4.46%-5.24% 01/03/15 426,821
5,487,857 Western Refining Company,
L.P., Term Loan B3 BB- 8.25% 05/30/14 3,407,959
----------------
4,266,248
----------------
OIL & GAS STORAGE & TRANSPORTATION - 2.6%
3,000,000 Energy Transfer Equity,
L.P., Term Loan B Ba2 NR 2.99% 11/01/12 2,610,000
3,960,000 Enterprise GP Holdings,
L.P., Term Loan B Ba2 BB- 2.70%-3.65% 11/08/14 3,603,600
----------------
6,213,600
----------------
OTHER DIVERSIFIED FINANCIAL SERVICES - 2.4%
6,356,326 Royalty Pharma Finance
Trust, Term Loan Baa2 BBB- 3.71% 04/16/13 5,847,820
----------------
PACKAGED FOODS & MEATS - 0.8%
514,361 Michael Foods, Inc., Term
Loan B1 Ba3 BB- 3.00%-3.33% 11/21/10 483,500
1,476,203 Weight Watchers International,
Inc., Term Loan B Ba1 BB+ 2.00%-2.94% 01/26/14 1,339,654
----------------
1,823,154
----------------
PAPER PACKAGING - 4.2%
1,977,436 Graham Packaging Holdings
Co., Term Loan B, First Lien B1 B+ 2.69%-6.31% 10/07/11 1,654,456
3,792,509 Graphic Packaging International,
Inc., Term Loan B Ba3 BB- 2.45%-3.44% 05/16/14 3,154,105
1,935,000 Pregis Corporation, Term
Loan B-1 Ba3 BB- 2.73% 10/12/12 1,451,250
852,751 Smurfit-Stone Container
Enterprises, Inc., Canadian
Revolving Credit Facility (h) WR D 2.95%-4.25% 11/01/09 575,607
516,062 Smurfit-Stone Container
Enterprises, Inc., Synthetic
Letter of Credit (h) WR D 3.51% 11/01/10 341,891
587,292 Smurfit-Stone Container
Enterprises, Inc., Term
Loan B (h) WR D 2.44%-4.25% 11/01/11 389,081
1,106,950 Smurfit-Stone Container Enterprises,
Inc., Term Loan C (h) WR D 2.44%-2.50% 11/01/11 736,122
See Notes to Quarterly Portfolio of Investments
Page 6
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
PAPER PACKAGING - (CONTINUED)
$ 334,679 Smurfit-Stone Container
Enterprises, Inc., Term
Loan C1 (h) WR D 2.44% 11/01/11 $ 222,562
2,571,515 Smurfit-Stone Container
Enterprises, Inc., U.S.
Revolving Credit Facility (h) WR D 2.50%-4.25% 11/01/09 1,735,773
----------------
10,260,847
----------------
PAPER PRODUCTS - 1.1%
985,000 Appleton Papers, Inc., Term
Loan B, First Lien Ba3 BB- 2.99%-3.22% 06/05/13 719,050
2,295,000 Domtar Corporation, Term Loan B Baa3 BBB- 1.82% 03/07/14 1,922,063
----------------
2,641,113
----------------
PHARMACEUTICALS - 2.6%
4,929,950 Cardinal Health 409, Inc.,
Dollar Term Loan Ba3 BB- 3.71% 04/10/14 2,908,670
3,825,000 Graceway Pharmaceuticals,
LLC, Term Loan, First Lien Ba3 BB 4.21% 05/03/12 2,495,813
406,703 Stiefel Laboratories, Inc.,
Delayed Draw Term Loan B1 BB- 3.41% 12/28/13 335,530
531,727 Stiefel Laboratories, Inc.,
Initial Term Loan B1 BB- 3.41% 12/28/13 438,675
----------------
6,178,688
----------------
PUBLISHING - 5.7%
155,647 Cenveo Corporation, Delayed
Draw Term Loan Ba2 BB+ 3.28% 06/21/13 99,614
4,163,143 Cenveo Corporation, Term Loan C Ba2 BB+ 3.28% 06/21/13 2,664,412
1,494,565 GateHouse Media, Inc.,
Delayed Draw Term Loan B Caa1 CCC+ 2.45%-2.48% 08/28/14 361,809
4,005,435 GateHouse Media, Inc.,
Initial Term Loan Caa1 CCC+ 2.48% 08/28/14 969,648
9,800,000 Idearc, Inc., Term Loan B (j) B3 CCC 2.48%-3.46% 11/17/14 3,417,750
2,872,769 Media News Group, Inc.,
Term Loan B Caa2 CCC+ 3.41% 12/30/10 383,035
1,442,050 Media News Group, Inc.,
Term Loan C Caa2 CCC+ 4.66% 08/02/13 216,308
982,500 The Reader's Digest Association,
Inc., Term Loan B Caa2 CCC 2.45%-4.21% 03/02/14 265,275
722,042 RH Donnelley, Inc., Term
Loan D-1 B1 B- 6.75% 06/30/11 397,123
4,218,080 RH Donnelley, Inc., Term
Loan D-2 B1 B- 6.75% 06/30/11 2,331,995
6,912,500 Tribune Company, Term Loan
B (h) (i) WR D 5.25% 05/19/14 1,801,570
731,429 Tribune Company, Term Loan
X (h) (i) WR D 5.00% 05/18/09 189,388
1,000,000 Yell Group, PLC, Term Loan B1 Ba3 BB- 3.48% 10/27/12 621,250
----------------
13,719,177
----------------
REAL ESTATE DEVELOPMENT - 0.0%
157,664 Shea Capital I, LLC, Term Loan B NR(e) NR(e) 3.72%-4.50% 10/27/11 74,102
----------------
RESIDENTIAL REITS - 0.0%
87,500 Apartment Investment
Management Co., Term Loan Ba1 BB+ 1.95% 03/22/11 69,125
----------------
RETAIL REITS - 1.9%
6,046,709 Capital Automotive, L.P.,
Term Loan Ba1 BB 2.17% 12/16/10 2,821,800
1,394,737 General Growth Properties,
Inc., Term Loan A-1 (j) Ca C 1.70% 02/24/10 342,706
1,975,000 The Macerich Partnership,
L.P., Term Loan NR(e) NR(e) 2.00% 04/26/10 1,382,500
----------------
4,547,006
----------------
SEMICONDUCTORS - 1.4%
8,251,679 Freescale Semiconductors,
Inc., Term Loan, First Lien B1 B- 3.93% 12/01/13 3,565,905
----------------
SPECIALIZED CONSUMER SERVICES - 4.1%
975,000 Acosta, Inc., Term Loan NR(e) NR(e) 2.73% 07/28/13 794,625
970,155 Advantage Sales &
Marketing, Inc., Term Loan NR(e) NR(e) 2.45%-3.47% 03/29/13 761,572
2,303,017 Affinion Group, Inc., Term
Loan B Ba2 BB 3.75%-3.96% 10/17/12 1,857,768
256,221 ARAMARK Corporation, Prefunded
Synthetic Letter of Credit Ba3 BB 3.90% 01/26/14 221,347
4,034,490 ARAMARK Corporation, Term Loan Ba3 BB 3.33% 01/26/14 3,485,351
1,000,000 Asurion Corp., Term Loan,
First Lien NR(e) NR(e) 3.45%-4.24% 07/03/14 744,375
966,917 N.E.W. Holdings I, LLC,
Term Loan, First Lien NR(e) NR(e) 2.95%-4.69% 05/22/14 589,820
1,964,693 Nielsen Finance, LLC,
Dollar Term Loan Ba3 B+ 2.45% 08/09/13 1,541,465
----------------
9,996,323
----------------
SPECIALIZED FINANCE - 0.6%
3,000,000 J.G. Wentworth, LLC, Term
Loan, First Lien Ca CCC+ 3.71% 04/04/14 270,000
See Notes to Quarterly Portfolio of Investments
Page 7
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (d) - (CONTINUED)
SPECIALIZED FINANCE - (CONTINUED)
$ 5,179,166 Peach Holdings, Inc., Term Loan B2 B 4.73%-5.71% 11/21/13 $ 1,113,521
----------------
1,383,521
----------------
SPECIALTY CHEMICALS - 2.2%
2,000,000 Celanese Holdings, LLC,
Synthetic Letter of Credit Ba2 BB+ 1.91% 04/02/14 1,627,222
4,428,674 Celanese Holdings, LLC,
Term Loan, First Lien Ba2 BB+ 2.94% 04/02/14 3,603,218
----------------
5,230,440
----------------
SPECIALTY STORES - 2.3%
1,191,313 Dollarama Group, L.P.,
Replacement Term Loan B Ba1 BB- 2.92% 11/18/11 1,036,442
4,035,589 Harbor Freight Tools USA,
Inc., Term Loan C NR(e) NR(e) 9.75% 02/12/13 2,522,243
3,231,442 The Yankee Candle Company,
Inc., Term Loan Ba3 BB- 2.42%-3.47% 02/06/14 1,960,409
----------------
5,519,094
----------------
SYSTEMS SOFTWARE - 2.6%
4,403,620 Dealer Computer Services,
Inc., Term Loan, First Lien Ba2 BB 2.48% 10/26/12 2,862,353
3,884,107 Intergraph Corporation,
Term Loan, First Lien Ba3 BB- 3.26% 05/29/14 3,320,912
----------------
6,183,265
----------------
TECHNOLOGY DISTRIBUTORS - 1.3%
1,976,333 H3C Holdings, Ltd., Term Loan B Ba2 BB 6.70% 09/28/12 1,629,921
3,487,558 Sensata Technologies Finance
Company, LLC, Term Loan,
First Lien B3 B 2.66%-2.93% 04/27/13 1,556,323
----------------
3,186,244
----------------
TRUCKING - 1.6%
247,340 The Hertz Corporation, Prefunded
Synthetic Letter of Credit Ba1 BB+ 3.28% 12/21/12 162,626
2,083,626 The Hertz Corporation, Term Loan Ba1 BB+ 2.20%-2.65% 12/21/12 1,369,984
3,488,106 OshKosh Corporation, Term Loan B B2 B+ 2.20%-3.95% 12/06/13 2,441,674
----------------
3,974,284
----------------
WIRELESS TELECOMMUNICATION SERVICES - 0.5%
1,225,883 Clearwire Corporation, Delayed
Draw Term Loan, First Lien B3 B+ 7.77%-9.26% 07/03/12 711,012
749,118 Clearwire Corporation, Term
Loan, First Lien B3 B+ 8.75% 07/03/12 434,488
----------------
1,145,500
----------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS (d) 384,766,766
----------------
(Cost $556,730,581)
SENIOR FLOATING-RATE NOTES - 0.0%
ELECTRICAL COMPONENTS & EQUIPMENT - 0.0%
650,000 NXP B.V. Caa1 CCC 3.84% 10/15/13 106,438
----------------
LEISURE FACILITIES - 0.0%
1,225,000 HRP Myrtle Beach (h) (i)(k) (m) WR NR 7.37% 04/01/12 0
----------------
TOTAL SENIOR FLOATING-RATE NOTES 106,438
----------------
(Cost $1,876,481)
NOTES - 0.0%
HOMEBUILDING - 0.0%
727,273 TOUSA, Inc.(Payment-In-Kind
Election Note) (h) (k) (l) (m) NR NR 14.75% 07/01/15 0
----------------
TOTAL NOTES 0
----------------
(Cost $436,364)
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind
Preferred Stock) (h)(i)(k)(m) 0
----------------
TOTAL PREFERRED STOCKS 0
----------------
(Cost $2,563,636)
See Notes to Quarterly Portfolio of Investments
Page 8
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL RATINGS (b) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (c) VALUE
------------------ ----------------------------- ----------- --------- ------------------- -------------- ----------------
COMMON STOCKS AND RIGHTS - 0.0%
OTHER DIVERSIFIED FINANCIAL SERVICES - 0.0%
690 Atkins Nutritionals Holdings - Common Stock (m) 0
690 Atkins Nutritionals Holdings - Rights (m) 0
----------------
TOTAL COMMON STOCKS AND RIGHTS 0
----------------
(Cost $36,260)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.5%
ASSET MANAGEMENT & CUSTODY BANKS - 2.5%
$ 6,095,667 JPMorgan Federal Money Market Fund - 0.18% (n) $ 6,095,667
----------------
TOTAL SHORT-TERM INVESTMENTS 6,095,667
----------------
(Cost $6,095,667)
TOTAL INVESTMENTS - 161.7% 390,968,871
(Cost $567,738,989) (o)
NET OTHER ASSETS AND LIABILITIES - (0.7)% (1,602,154)
LOAN OUTSTANDING - (27.9)% (67,550,000)
AUCTION MARKET PREFERRED SHARES, AT LIQUIDATION VALUE
(INCLUDING ACCRUED DISTRIBUTIONS) - (33.1)% (80,041,116)
----------------
NET ASSETS (APPLICABLE TO COMMON SHAREHOLDERS) - 100.0% $ 241,775,601
================
See Notes to Quarterly Portfolio of Investments
Page 9
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (CONTINUED)
FEBRUARY 28, 2009 (UNAUDITED)
______________________________________________
(a) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common Shareholders.
(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 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.
(d) Senior Loans in which the Fund invests generally pay interest
at rates which are periodically predetermined by reference to
a base lending rate plus a premium. These base lending rates
are generally (i) the lending rate offered by one or more
major European banks, such as the London Interbank Offered
Rate ("LIBOR"), (ii) the prime rate offered by one or more
United States banks or (iii) the certificate of deposit rate.
(e) This Senior Loan Interest was privately rated upon
issuance. The rating agency does not provide ongoing
surveillance on the rating.
(f) Represents commitment fee rate on unfunded loan
commitments.
(g) This DIP facility is partially drawn per
Debtor-In-Possession Credit Agreement dated March 3, 2009.
(h) This borrower has filed for protection in federal
bankruptcy court.
(i) Non-income producing security.
(j) This borrower has filed for protection in federal
bankruptcy court subsequent to the date of this report.
(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 1F in the
Notes to Quarterly Portfolio of Investments).
(l) This security is a Senior Subordinated
Payment-in-Kind Election Note whereby 1.00% of
interest per annum will be paid in cash and
13.75% of interest per annum shall be
paid by the issuer, at its option (i) entirely
in cash, (ii) entirely in Payment-in-Kind
interest or (iii) in a combination of (i) and
(ii). Interest is to be paid semi-annually;
however, the issuer is in default and income
is not being accrued.
(m) This security is fair valued in accordance
with valuation procedures adopted by the
Fund's Board of Trustees.
(n) Represents the daily interest rate in effect
at February 28, 2009.
(o) Aggregate cost for financial reporting purposes, which
approximates the aggregate cost for federal income
tax purposes. As of February 28, 2009, the aggregate
gross unrealized appreciation for all securities in
which there was an excess of value over tax cost was
$2,229 and the aggregate gross unrealized
depreciation for all securities in which there was an
excess of tax cost over value was $176,772,347.
NR Not rated.
WR Withdrawn rating.
---------------------------------------------------
SECURITY VALUATION INPUTS
A summary of the inputs used to value the Fund's total
investments as of February 28, 2009 is as follows (See Note 1A in
the Notes to Quarterly Portfolio of Investments):
INVESTMENTS
--------------------------------------------------------------------------------
Level 1 - Quoted Prices $ 6,095,667
Level 2 - Other Significant Observable Inputs 384,873,204
Level 3 - Significant Unobservable Inputs -
-------------------
Total $ 390,968,871
===================
See Notes to Quarterly Portfolio of Investments
Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2009 (UNAUDITED)
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust/Four
Corners Senior Floating Rate Income Fund II (the "Fund") is determined
daily as of the close of regular trading on the New York Stock Exchange
("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open
for trading. Domestic debt securities and foreign securities are priced
using data reflecting the earlier closing of the principal markets for
those securities. The NAV per Common Share is calculated by dividing the
value of all assets of the Fund (including accrued interest), less all
liabilities (including accrued expenses, dividends declared but unpaid
and any borrowings of the Fund) and the liquidation value of any
outstanding Preferred Shares, 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 valuation procedures adopted by the Fund's Board of
Trustees. A majority of the Fund's assets are valued using market
information supplied by third parties. In the event that market
quotations are not readily available, the pricing service does not
provide a valuation for a particular asset, or the valuations are deemed
unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the
Fund's securities and other investments. Additionally, if events occur
after the close of the principal market for particular securities (e.g.,
domestic debt and foreign securities), but before the Fund values its
assets, that could materially affect NAV, First Trust may use a fair
value method to value the Fund's securities and other 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 ("1940
Act").
The Senior Floating-Rate Loans ("Senior Loans") in which the Fund invests
are not listed on any securities exchange or board of trade. Senior Loans
are typically bought and sold by institutional investors in individually
negotiated private transactions that function in many respects like an
over-the-counter secondary market, although typically no formal
market-makers exist. This market, while having grown substantially 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 a third party pricing service. If the pricing service cannot or does
not provide a valuation for a particular Senior Loan or such valuation is
deemed unreliable, First Trust may value such Senior Loan at a fair value
according to valuation procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the 1940 Act.
Portfolio 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 when purchased are valued at amortized cost.
In September 2006, the Financial Accounting Standards Board ("FASB")
issued Statement of Financial Accounting Standards No. 157, Fair Value
Measurements ("FAS 157"), effective for fiscal years beginning after
November 15, 2007. This standard clarifies the definition of fair value
for financial reporting, establishes a framework for measuring fair value
and requires additional disclosures about the use of fair value
measurements. FAS 157 became effective for the Fund as of June 1, 2008,
the beginning of its current fiscal year. The three levels of the fair
value hierarchy under FAS 157 are as follows:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs (including
quoted prices for similar securities, interest rates,
prepayment speeds, credit risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Page 11
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2009 (UNAUDITED)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
A summary of the inputs used to value the Fund's investments as of
February 28, 2009 is included with the Fund's Portfolio of Investments.
B. CREDIT DEFAULT SWAPS:
The Fund may enter into credit default swap contracts for hedging
purposes or to gain exposure to a credit in which the Fund may otherwise
invest. A credit default swap contract is an agreement between two
parties to exchange the credit risk of an issuer. The Fund may be either
the buyer or seller in a credit default swap transaction. The "buyer" in
a credit default swap contract is obligated to pay the "seller" a
periodic stream of payments over the term of the contract provided that
no event of default on the underlying reference obligation has occurred.
If an event of default occurs, the seller must pay the buyer the full
notional value, or "par value," of the reference obligation. In exchange,
the seller receives the par value of securities of the reference obligor.
In the case of cash settlement, the seller will pay the difference
between par and the market value of the securities of the reference
obligor. An event of default may be a grace period extension, obligation
acceleration, repudiation/moratorium, or restructuring.
Buying a credit default swap contract involves the risk that the contract
may expire worthless and the credit risk that the seller may fail to
satisfy its payment obligations to the Fund in the event of default.
Selling a credit default swap contract involves greater risks than if the
Fund had invested in the reference obligation directly. The Fund will
segregate cash or liquid assets in an amount equal to the aggregate
market value of the credit default swap contracts of which it is a
seller. Additionally, the Fund maintains cash or liquid assets for the
full notional amount of the credit default swap contracts of which it is
a seller. The Fund may only enter into such transactions with
counterparties rated A- or higher.
Credit default swap contracts are marked to market daily based upon
quotations from brokers or market makers and the change in value, if any,
is recorded as unrealized appreciation (depreciation). For a credit
default swap contract sold by the Fund, payment of the agreed-upon amount
made by the Fund in the event of default of the referenced debt
obligation is recorded as the cost of the referenced debt obligation
purchased/received. As of February 28, 2009, the Fund had no credit
default swaps.
C. 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. As of
February 28, 2009, the Fund had no open repurchase agreements.
D. 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 maintains
liquid assets with a current value at least equal to the amount of its
when-issued or delayed-delivery purchase commitments. At February 28,
2009, the Fund had no when-issued or delayed-delivery purchase
commitments.
E. 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 $558,168 as of February 28, 2009. The Fund is obligated to
fund these loan commitments at the borrower's discretion.
Page 12
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
FEBRUARY 28, 2009 (UNAUDITED)
F. RESTRICTED SECURITIES:
The Fund invests in restricted securities, which are securities that
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.
The Fund held restricted securities at February 28, 2009 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
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.
% OF
NET ASSETS
APPLICABLE
ACQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUE/SHARES PER SHARE CARRYING COST VALUE SHAREHOLDERS
------------------------------------------------------------------------------------------------------------
HRP Myrtle Beach 3/23/06 $1,225,000 $ 0.00 $ 1,225,000 $ 0.00 0.00%
TOUSA, Inc.-Notes 7/31/07(1) $ 727,273 0.00 436,364 0.00 0.00
TOUSA, Inc.-Preferred Stocks 7/31/07(1) 4,273 0.00 2,563,636 0.00 0.00
----------------------------------------
$ 4,225,000 $ 0.00 0.00%
========================================
(1) Security was acquired through a restructuring that was effective on
July 31, 2007.
Page 13
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
---------------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date April 27, 2009
-----------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date April 27, 2009
----------------------------
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)
Date April 27, 2009
----------------------------
* Print the name and title of each signing officer under his or her
signature.