First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 141.0% | ||||||||
Alternative Carriers – 0.5% | ||||||||
$1,806,996 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 03/01/27 | $1,764,080 | ||||
Application Software – 10.5% | ||||||||
4,935,663 | CCC Information Services, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.36% | 04/26/24 | 4,888,379 | ||||
308,927 | Hyland Software, Inc., 2nd Lien TL, 1 Mo. LIBOR + 7.00%, 0.75% Floor | 8.60% | 07/10/25 | 310,215 | ||||
4,574,642 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 5.10% | 07/01/24 | 4,546,051 | ||||
4,712,286 | Infor (US), Inc. (fka Lawson Software, Inc.), Term Loan B-6, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 4.69% | 02/02/22 | 4,675,766 | ||||
959,008 | Internet Brands, Inc. (MH Sub I, LLC), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 5.35% | 09/13/24 | 933,038 | ||||
1,043,836 | Micro Focus International (MA Financeco, LLC), Miami Escrow TL B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 06/21/24 | 989,034 | ||||
7,049,118 | Micro Focus International (MA Financeco, LLC), Seattle Spinco TLB, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 06/21/24 | 6,679,039 | ||||
2,718,775 | Mitchell International, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 11/30/24 | 2,661,001 | ||||
1,951,050 | NCR Corp., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.11% | 08/28/26 | 1,940,085 | ||||
750,514 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), 2019 Incremental Term Loan B, 6 Mo. LIBOR + 4.25%, 0.00% Floor | 6.13% | 04/26/24 | 743,947 | ||||
2,522,931 | Qlik Technologies (Project Alpha Intermediate Holding, Inc.), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor | 5.38% | 04/26/24 | 2,485,087 | ||||
5,265,350 | RP Crown Parent, LLC (JDA Software Group), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.35% | 10/12/23 | 5,212,697 | ||||
434,884 | SolarWinds Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 02/05/24 | 427,274 | ||||
220,629 | TIBCO Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 5.16% | 07/03/26 | 217,871 | ||||
99,575 | Ultimate Software Group, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 5.35% | 05/03/26 | 99,133 | ||||
429,611 | Veeam Software Holdings Limited (VS Buyer, LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.86% | 02/28/27 | 424,241 | ||||
37,232,858 | ||||||||
Asset Management & Custody Banks – 0.3% | ||||||||
834,095 | Harbourvest Partners L.P., Term Loan B, 2 Mo. LIBOR + 2.25%, 0.00% Floor | 3.93% | 03/01/25 | 829,407 | ||||
373,011 | Victory Capital Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.16% | 07/01/26 | 367,882 | ||||
1,197,289 | ||||||||
Auto Parts & Equipment – 2.2% | ||||||||
2,274,638 | American Axle & Manufacturing Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 3.88% | 04/06/24 | 2,212,086 | ||||
4,490,352 | Gates Global LLC, Initial B-2 Dollar Term Loans, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.35% | 03/31/24 | 4,399,602 | ||||
950,395 | Lumileds (Bright Bidco B.V.), Term Loan B, 1 Mo. LIBOR + 3.50%, 1.00% Floor | 5.10% | 06/30/24 | 446,210 | ||||
1,953,591 | Lumileds (Bright Bidco B.V.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.44% | 06/30/24 | 917,211 | ||||
7,975,109 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Automotive Retail – 0.1% | ||||||||
$187,990 | KAR Auction Services, Inc. (Adesa), Term Loan B-6, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.94% | 09/19/26 | $186,110 | ||||
Broadcasting – 7.6% | ||||||||
1,242,883 | Cumulus Media Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 5.35% | 03/31/26 | 1,214,918 | ||||
520,207 | Diamond Sports Group, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.88% | 08/23/26 | 473,388 | ||||
2,570,571 | E.W. Scripps Company, Term Loan B-2, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 05/01/26 | 2,554,505 | ||||
274,591 | Entercom Media Corp. (CBS Radio), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 11/17/24 | 270,815 | ||||
4,664,222 | Gray Television, Inc., Term C Loan, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.16% | 01/02/26 | 4,629,240 | ||||
8,755,943 | iHeartCommunications, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.66% | 04/29/26 | 8,580,825 | ||||
6,939,130 | Nexstar Broadcasting, Inc., Incremental Term Loan B-4, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.41% | 09/19/26 | 6,869,739 | ||||
471,931 | Nexstar Broadcasting, Inc., Mission Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.91% | 01/17/24 | 468,570 | ||||
2,109,178 | Nexstar Broadcasting, Inc., Nexstar Term Loan B-3, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 01/17/24 | 2,094,161 | ||||
27,156,161 | ||||||||
Building Products – 1.8% | ||||||||
186,488 | Beacon Roofing Supply, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 01/02/25 | 182,293 | ||||
85,333 | JELD-WEN, Inc., Term Loan B-4, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 3.94% | 12/14/24 | 84,799 | ||||
6,350,477 | Quikrete Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 01/31/27 | 6,220,292 | ||||
6,487,384 | ||||||||
Cable & Satellite – 2.8% | ||||||||
2,607,276 | Cablevision (aka CSC Holdings, LLC), March 2017 Term Loan B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.91% | 07/17/25 | 2,573,564 | ||||
1,506,097 | Cablevision (aka CSC Holdings, LLC), Sept. 2019 Term Loan B-5, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.16% | 04/15/27 | 1,487,271 | ||||
739,673 | Radiate HoldCo, LLC (RCN), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.65% | 02/01/24 | 723,497 | ||||
5,329,500 | Virgin Media Investment Holdings Limited, Term Loan N, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.16% | 01/31/28 | 5,231,810 | ||||
10,016,142 | ||||||||
Casinos & Gaming – 11.1% | ||||||||
7,894,504 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.77% | 12/22/24 | 7,605,012 | ||||
7,478,537 | CityCenter Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 3.85% | 04/18/24 | 7,378,848 | ||||
3,040,546 | Golden Nugget, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.75% Floor | 4.10%-4.14% | 10/04/23 | 2,976,573 | ||||
1,159,976 | GVC Holdings PLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 1.00% Floor | 3.91% | 03/16/24 | 1,130,977 | ||||
570,128 | Penn National Gaming, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 10/15/25 | 561,576 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Casinos & Gaming (Continued) | ||||||||
$679,564 | Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 08/14/24 | $657,907 | ||||
2,759,621 | Scientific Games International, Inc., Term Loan B5, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 4.37% | 08/14/24 | 2,671,672 | ||||
11,183,417 | Stars Group Holdings B.V. (Amaya), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 5.44% | 07/10/25 | 11,144,946 | ||||
4,662,462 | Station Casinos, Inc. (Red Rocks), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.25% Floor | 3.86% | 01/31/27 | 4,549,770 | ||||
737,693 | Twin River Worldwide Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 05/10/26 | 722,629 | ||||
39,399,910 | ||||||||
Coal & Consumable Fuels – 0.3% | ||||||||
1,018,133 | Arch Coal, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.35% | 03/07/24 | 895,956 | ||||
304,434 | Peabody Energy Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 03/31/25 | 203,971 | ||||
1,099,927 | ||||||||
Communications Equipment – 0.5% | ||||||||
1,637,245 | Commscope, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 04/06/26 | 1,608,593 | ||||
Construction & Engineering – 0.1% | ||||||||
174,141 | Pike Corp., 2019 New Term Loans, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.86% | 07/24/26 | 172,368 | ||||
Diversified Support Services – 0.4% | ||||||||
1,366,440 | Brightview Landscapes, LLC (FKA - Brickman), Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.13%-4.19% | 08/15/25 | 1,349,360 | ||||
Electric Utilities – 0.3% | ||||||||
927,500 | Vistra Operations Company LLC (TEX/TXU), Term Loan B3, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35%-3.41% | 12/31/25 | 915,906 | ||||
Environmental & Facilities Services – 1.7% | ||||||||
1,400,141 | GFL Environmental, Inc., 2018 Incremental Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.60% | 05/31/25 | 1,371,634 | ||||
670,177 | GFL Environmental, Inc., 2018 Incremental Term Loan B, Prime Rate + 2.00%, 1.00% Floor | 6.75% | 05/31/25 | 656,532 | ||||
3,952,002 | Packers Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.91% | 12/04/24 | 3,859,802 | ||||
5,887,968 | ||||||||
Food Distributors – 0.4% | ||||||||
1,464,688 | US Foods, Inc., Incremental B-2019 Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.60% | 08/31/26 | 1,445,164 | ||||
Health Care Facilities – 1.4% | ||||||||
1,008,214 | Acadia Healthcare Company, Inc., Term Loan B3, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 02/11/22 | 1,003,174 | ||||
1,154,556 | Acadia Healthcare Company, Inc., Term Loan B4, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 02/16/23 | 1,148,783 | ||||
1,558,119 | Gentiva Health Services, Inc. (Kindred at Home), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.88% | 07/02/25 | 1,542,537 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Health Care Facilities (Continued) | ||||||||
$1,426,800 | Select Medical Corporation, Term Loan B, 6 Mo. LIBOR + 2.50%, 0.00% Floor | 4.58% | 03/06/25 | $1,412,532 | ||||
5,107,026 | ||||||||
Health Care Services – 14.6% | ||||||||
4,084,611 | 21st Century Oncology Holdings, Inc., Tranche B Term Loan, 2 Mo. LIBOR + 6.13%, 1.00% Floor | 7.92% | 01/16/23 | 4,048,871 | ||||
922,433 | Air Medical Group Holdings, Inc. (Global Medical Response), 2018 New Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.93% | 03/14/25 | 874,005 | ||||
3,034,012 | Air Medical Group Holdings, Inc. (Global Medical Response), Term Loan B, 2 Mo. LIBOR + 3.25%, 1.00% Floor | 4.93% | 04/28/22 | 2,859,556 | ||||
2,814,719 | Air Methods Corp. (a/k/a ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.44% | 04/21/24 | 2,316,289 | ||||
3,421,474 | athenahealth, Inc. (VVC Holding Corp.), Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 6.16% | 02/15/26 | 3,378,705 | ||||
9,721,591 | CHG Healthcare Services, Inc., Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.60% | 06/07/23 | 9,642,651 | ||||
5,702,483 | DaVita, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 08/12/26 | 5,632,229 | ||||
3,612,319 | DuPage Medical Group (Midwest Physician Admin. Services, LLC), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 4.35% | 08/15/24 | 3,549,104 | ||||
5,565,701 | Envision Healthcare Corporation, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 5.35% | 10/10/25 | 4,463,692 | ||||
800,408 | Exam Works (Gold Merger Co, Inc.), Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.85% | 07/27/23 | 801,409 | ||||
5,589,538 | Surgery Centers Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.86% | 08/31/24 | 5,393,904 | ||||
3,078,591 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.35% | 02/06/24 | 2,321,781 | ||||
1,679,380 | U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%, 0.00% Floor | 6.63% | 06/28/26 | 1,660,487 | ||||
4,792,658 | Verscend Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 6.10% | 08/27/25 | 4,768,695 | ||||
186,658 | Vizient, Inc., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 2.00% | 05/06/26 | 186,833 | ||||
51,898,211 | ||||||||
Health Care Technology – 1.4% | ||||||||
4,192,642 | Change Healthcare Holdings, Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.10% | 03/01/24 | 4,103,549 | ||||
726,420 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 5.10% | 07/25/26 | 724,298 | ||||
4,827,847 | ||||||||
Household Appliances – 0.4% | ||||||||
1,450,830 | Traeger Grills (TGP Holdings III LLC), Term Loan B, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 6.03% | 09/25/24 | 1,338,390 | ||||
Human Resource & Employment Services – 1.2% | ||||||||
4,205,651 | Alight, Inc. (fka Tempo Acq.), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 05/01/24 | 4,145,216 | ||||
Hypermarkets & Super Centers – 1.8% | ||||||||
6,606,902 | BJ’s Wholesale Club, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.90% | 02/03/24 | 6,543,938 | ||||
Independent Power Producers & Energy Traders – 0.8% | ||||||||
2,899,637 | Calpine Corporation, Term Loan B5, 3 Mo. LIBOR + 2.25%, 0.00% Floor | 4.20% | 01/15/24 | 2,847,676 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Industrial Conglomerates – 0.1% | ||||||||
$529,208 | Gardner Denver, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 02/28/27 | $520,608 | ||||
Industrial Machinery – 0.2% | ||||||||
844,406 | Douglas Dynamics LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.61% | 12/31/21 | 839,660 | ||||
Insurance Brokers – 14.3% | ||||||||
4,638,138 | Alliant Holdings I, LLC, 2019 New Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.91% | 05/10/25 | 4,564,717 | ||||
6,637,499 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.60% | 05/09/25 | 6,493,664 | ||||
12,620,145 | Amwins Group, Inc., Term Loan B (First Lien), 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.42% | 01/25/24 | 12,557,044 | ||||
4,303,753 | AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 5.10% | 02/15/27 | 4,217,678 | ||||
2,858,085 | BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.87% | 01/31/27 | 2,826,817 | ||||
40,409 | HUB International Limited, Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor | 4.52% | 04/25/25 | 39,222 | ||||
15,880,626 | HUB International Limited, Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 4.55% | 04/25/25 | 15,414,213 | ||||
4,799,715 | USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 4.94% | 05/15/24 | 4,679,722 | ||||
50,793,077 | ||||||||
Integrated Telecommunication Services – 5.0% | ||||||||
8,689,035 | CenturyLink, Inc. (Qwest), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 03/15/27 | 8,421,152 | ||||
3,477,156 | Numericable (Altice France SA or SFR), Term Loan B-11, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 07/31/25 | 3,342,416 | ||||
6,057,558 | Zayo Group Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.01% | 02/28/27 | 5,908,300 | ||||
17,671,868 | ||||||||
Interactive Home Entertainment – 0.3% | ||||||||
1,191,665 | Playtika Holding Corp., Term Loan B, 1 Mo. LIBOR + 6.00%, 1.00% Floor | 7.60% | 11/30/24 | 1,191,665 | ||||
Investment Banking & Brokerage – 1.0% | ||||||||
3,712,556 | Citadel Securities LP, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 02/27/26 | 3,675,431 | ||||
Leisure Facilities – 1.0% | ||||||||
3,847,277 | ClubCorp Holdings, Inc., Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor | 4.69% | 09/18/24 | 3,566,733 | ||||
Life Sciences Tools & Services – 0.8% | ||||||||
1,259,446 | Grifols Worldwide Operations Limited, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.58% | 11/15/27 | 1,247,720 | ||||
1,543,621 | Ortho-Clinical Diagnostics, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.91% | 05/31/25 | 1,466,441 | ||||
2,714,161 | ||||||||
Managed Health Care – 6.3% | ||||||||
18,879,437 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 4.69% | 06/07/23 | 17,951,135 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Managed Health Care (Continued) | ||||||||
$4,671,089 | Versant Health (Wink Holdco, Inc.), Initial Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.60% | 12/02/24 | $4,577,667 | ||||
22,528,802 | ||||||||
Metal & Glass Containers – 1.5% | ||||||||
5,503,179 | Berry Global, Inc., Term Loan Y, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.67% | 07/01/26 | 5,404,562 | ||||
Movies & Entertainment – 3.1% | ||||||||
2,709,029 | AMC Entertainment, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.61% | 04/22/26 | 2,615,919 | ||||
7,517,479 | Cineworld Group PLC (Crown), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 02/05/25 | 6,937,581 | ||||
1,690,682 | PUG LLC (Stubhub), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 5.17% | 01/31/27 | 1,580,788 | ||||
11,134,288 | ||||||||
Other Diversified Financial Services – 9.2% | ||||||||
12,204,502 | AlixPartners, LLP, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 04/04/24 | 11,899,389 | ||||
6,467,398 | Duff & Phelps Corporation (Deerfield Dakota), Initial Term Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.85% | 02/13/25 | 6,437,066 | ||||
11,404,989 | Refinitiv US Holdings, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 10/01/25 | 11,371,687 | ||||
3,088,660 | Wex, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 05/17/26 | 3,047,488 | ||||
32,755,630 | ||||||||
Packaged Foods & Meats – 2.6% | ||||||||
281,944 | B&G Foods, Inc., Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor | 4.10% | 09/30/26 | 278,772 | ||||
415,882 | BellRing Brands, LLC, Term Loan B, 1 Mo. LIBOR + 5.00%, 1.00% Floor | 6.60% | 10/21/24 | 417,961 | ||||
1,057,502 | Froneri International Limited, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 01/31/27 | 1,038,996 | ||||
1,994,006 | Hostess Brands, LLC (HB Holdings), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 3.85% | 08/03/25 | 1,957,875 | ||||
18,556 | Hostess Brands, LLC (HB Holdings), Term Loan B, 2 Mo. LIBOR + 2.25%, 0.75% Floor | 4.01% | 08/03/25 | 18,220 | ||||
5,391,386 | Hostess Brands, LLC (HB Holdings), Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor | 4.01%-4.03% | 08/03/25 | 5,293,694 | ||||
355,741 | Simply Good Foods (Atkins Nutritionals, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 5.40% | 07/07/24 | 354,852 | ||||
9,360,370 | ||||||||
Paper Packaging – 4.2% | ||||||||
2,280,468 | Reynolds Consumer Products LLC, Term Loan B, 3 Mo. LIBOR + 1.75%, 0.00% Floor | 3.50% | 01/31/27 | 2,251,962 | ||||
12,963,315 | Reynolds Group Holdings, Inc., U.S. Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 02/05/23 | 12,820,200 | ||||
15,072,162 | ||||||||
Pharmaceuticals – 13.6% | ||||||||
3,653,805 | Akorn, Inc., Loan, 1 Mo. LIBOR + 10.00%, 1.00% Floor | 11.69% | 04/16/21 | 3,519,820 | ||||
18,489,162 | Bausch Health Companies Inc. (Valeant), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.66% | 06/01/25 | 18,359,738 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$2,082,967 | Elanco Animal Health, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 03/31/27 | $2,058,659 | ||||
9,648,742 | Endo LLC, Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 5.94% | 04/29/24 | 9,200,462 | ||||
4,836,887 | GoodRX, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 10/15/25 | 4,794,564 | ||||
3,406,714 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 2.75%, 0.75% Floor | 4.69% | 09/24/24 | 3,026,286 | ||||
651,395 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 4.70% | 02/24/25 | 570,902 | ||||
3,771,811 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 4.35% | 09/27/24 | 3,652,357 | ||||
3,231,294 | Pharmaceutical Product Development, Inc. (PPDI), Term Loan B, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 4.10% | 08/18/22 | 3,202,019 | ||||
48,384,807 | ||||||||
Railroads – 0.1% | ||||||||
372,659 | Genesee & Wyoming, Inc., Term Loan B, 3 Mo. LIBOR + 2.00%, 0.00% Floor | 3.91% | 11/05/26 | 370,173 | ||||
Real Estate Services – 0.4% | ||||||||
1,654,008 | Realogy Corporation, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor | 3.90% | 02/08/25 | 1,583,713 | ||||
Research & Consulting Services – 0.1% | ||||||||
451,629 | Clarivate Analytics PLC (Camelot), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 10/31/26 | 448,667 | ||||
Restaurants – 2.9% | ||||||||
5,712,054 | 1011778 B.C. Unlimited Liability Company (Restaurant Brands) (aka Burger King/Tim Horton’s), Term Loan B-4, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 11/14/26 | 5,612,093 | ||||
622,485 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 4.38% | 02/05/25 | 605,367 | ||||
3,990,000 | Portillo’s Holdings, LLC, Term Loan B-3, 3 Mo. LIBOR + 5.50%, 1.00% Floor | 7.44% | 08/30/24 | 3,930,150 | ||||
10,147,610 | ||||||||
Security & Alarm Services – 0.2% | ||||||||
549,406 | Garda World Security Corporation, Term Loan B, 3 Mo. LIBOR + 4.75%, 0.00% Floor | 6.39% | 10/30/26 | 546,143 | ||||
Semiconductors – 0.3% | ||||||||
647,768 | ON Semiconductor Corp., Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.60% | 09/19/26 | 639,270 | ||||
461,788 | Western Digital Corporation, U.S. Term B-4 Loan, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 04/29/23 | 454,861 | ||||
1,094,131 | ||||||||
Specialized Consumer Services – 3.0% | ||||||||
366,121 | Aramark Services, Inc., Term Loan B-4, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 12/31/26 | 363,606 | ||||
724,000 | Asurion, LLC, Second Lien Replacement B-2 Term Loan, 1 Mo. LIBOR + 6.50%, 0.00% Floor | 8.10% | 08/04/25 | 724,905 | ||||
1,124,858 | Asurion, LLC, Term Loan B4, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.60% | 08/04/22 | 1,113,137 | ||||
3,613,032 | Asurion, LLC, Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.60% | 11/03/23 | 3,573,902 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued) | ||||||||
Specialized Consumer Services (Continued) | ||||||||
$4,937,343 | Asurion, LLC, Term Loan B7, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 4.60% | 11/03/24 | $4,883,872 | ||||
10,659,422 | ||||||||
Specialty Chemicals – 0.9% | ||||||||
3,371,416 | H.B. Fuller Company, Term Loan B, 1 Mo. LIBOR + 2.00%, 0.00% Floor | 3.65% | 10/20/24 | 3,320,844 | ||||
Systems Software – 7.4% | ||||||||
5,173,745 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 5.19% | 09/13/24 | 5,107,780 | ||||
1,511,161 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 7.00%, 1.00% Floor | 8.94% | 09/13/25 | 1,535,445 | ||||
1,009,773 | Dynatrace LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 3.85% | 08/23/25 | 1,000,312 | ||||
4,059,669 | McAfee, LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 5.35% | 09/30/24 | 4,012,740 | ||||
1,354,082 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 5.28% | 06/13/24 | 1,288,639 | ||||
3,263,214 | Riverbed Technology, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.86% | 04/24/22 | 2,953,209 | ||||
3,156,406 | Sophos Group PLC (Surf), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 4.81% | 02/28/27 | 3,105,115 | ||||
1,320,677 | SS&C European Holdings, S.a.r.l, Term Loan B-3, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 04/16/25 | 1,301,963 | ||||
915,691 | SS&C European Holdings, S.a.r.l, Term Loan B-4, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 04/16/25 | 902,715 | ||||
1,739,766 | SS&C European Holdings, S.a.r.l, Term Loan B-5, 1 Mo. LIBOR + 1.75%, 0.00% Floor | 3.35% | 04/16/25 | 1,716,714 | ||||
1,319,114 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 03/15/26 | 1,292,731 | ||||
2,034,383 | Vertafore, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 4.85% | 06/15/25 | 1,983,849 | ||||
26,201,212 | ||||||||
Wireless Telecommunication Services – 0.3% | ||||||||
5,872 | Frontier Communications Corp., Term Loan B-1, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 5.36% | 06/15/24 | 5,881 | ||||
991,571 | Frontier Communications Corp., Term Loan B-1, 6 Mo. LIBOR + 3.75%, 0.75% Floor | 5.35% | 06/15/24 | 993,227 | ||||
999,108 | ||||||||
Total Senior Floating-Rate Loan Interests | 501,587,480 | |||||||
(Cost $514,542,672) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) – 2.2% | ||||||||
Auto Parts & Equipment – 0.2% | ||||||||
850,000 | American Axle & Manufacturing, Inc. | 6.63% | 10/15/22 | 856,110 | ||||
Cable & Satellite – 0.2% | ||||||||
150,000 | CCO Holdings, LLC / CCO Holdings Capital Corp. | 5.75% | 01/15/24 | 153,332 | ||||
557,000 | CSC Holdings, LLC (d) | 5.50% | 05/15/26 | 577,987 | ||||
731,319 |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (c) (Continued) | ||||||||
Food Retail – 0.6% | ||||||||
$2,120,000 | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (d) | 3.50% | 02/15/23 | $2,127,950 | ||||
Health Care Facilities – 0.7% | ||||||||
2,136,000 | Tenet Healthcare Corp. | 8.13% | 04/01/22 | 2,318,051 | ||||
Health Care Services – 0.1% | ||||||||
438,000 | DaVita, Inc. | 5.13% | 07/15/24 | 444,388 | ||||
Insurance Brokers – 0.2% | ||||||||
560,000 | AmWINS Group, Inc. (d) | 7.75% | 07/01/26 | 582,947 | ||||
Real Estate Services – 0.2% | ||||||||
668,000 | Realogy Group LLC / Realogy Co-Issuer Corp. (d) | 5.25% | 12/01/21 | 672,843 | ||||
Total Corporate Bonds and Notes | 7,733,608 | |||||||
(Cost $7,554,367) |
Shares | Description | Value | ||
COMMON STOCKS (c) – 0.7% | ||||
Broadcasting – 0.1% | ||||
25,815 | Cumulus Media, Class A (e) | 311,071 | ||
Electric Utilities – 0.6% | ||||
106,607 | Vistra Energy Corp. | 2,050,053 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
119,734 | Ascent Resources - Marcellus, LLC Class A Common Shares (e) (f) | 104,767 | ||
3,699 | Fieldwood Energy Equity (e) (g) | 67,623 | ||
172,390 | ||||
Total Common Stocks | 2,533,514 | |||
(Cost $3,357,339) | ||||
RIGHTS (c) – 0.0% | ||||
Automobile Manufacturers – 0.0% | ||||
782 | General Motors Corporation (e) | 6,561 | ||
Electric Utilities – 0.0% | ||||
106,607 | Vistra Energy Corp. (e) | 121,159 | ||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust (e) (h) (i) (j) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust (e) (h) (i) (j) | 0 | ||
0 | ||||
Total Rights | 127,720 | |||
(Cost $174,207) | ||||
WARRANTS (c) – 0.0% | ||||
Oil & Gas Exploration & Production – 0.0% | ||||
31,000 | Ascent Resources - Marcellus, LLC First Lien Warrants (e) (i) | 930 | ||
(Cost $3,100) |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Shares | Description | Value | ||
MONEY MARKET FUNDS (c) – 2.3% | ||||
8,000,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.44% (k) | $8,000,000 | ||
(Cost $8,000,000) | ||||
Total Investments – 146.2% | 519,983,252 | |||
(Cost $533,631,685) (l) | ||||
Outstanding Loans – (40.2)% | (143,000,000) | |||
Net Other Assets and Liabilities – (6.0)% | (21,246,884) | |||
Net Assets – 100.0% | $355,736,368 |
(a) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates. |
(b) | 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. |
(c) | All of these securities are available to serve as collateral for the outstanding loans. |
(d) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At February 29, 2020, securities noted as such amounted to $3,961,727 or 1.1% of net assets. |
(e) | Non-income producing security. |
(f) | Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At February 29, 2020, securities noted as such amounted to $104,767 or 0.0% of net assets. |
(g) | Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At February 29, 2020, securities noted as such amounted to $67,623 or 0.0% of net assets. |
(h) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At February 29, 2020, securities noted as such are valued at $0 or 0.0% of net assets. |
(i) | Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(j) | This security’s value was determined using significant unobservable inputs (see Valuation Inputs section). |
(k) | Rate shown reflects yield as of February 29, 2020. |
(l) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of February 29, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $840,219 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $14,488,652. The net unrealized depreciation was $13,648,433. |
LIBOR | London Interbank Offered Rate |
First Trust Senior Floating Rate Income Fund II (FCT)
Portfolio of Investments (Continued)
February 29, 2020 (Unaudited)
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of February 29, 2020 is as follows:
Total Value at 2/29/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 501,587,480 | $ — | $ 501,587,480 | $ — |
Corporate Bonds and Notes* | 7,733,608 | — | 7,733,608 | — |
Common Stocks: | ||||
Oil & Gas Exploration & Production | 172,390 | — | 172,390 | — |
Other industry categories* | 2,361,124 | 2,361,124 | — | — |
Rights: | ||||
Automobile Manufacturers | 6,561 | 6,561 | — | — |
Electric Utilities | 121,159 | — | 121,159 | — |
Life Sciences Tools & Services | —** | — | — | —** |
Warrants* | 930 | — | 930 | — |
Money Market Funds | 8,000,000 | 8,000,000 | — | — |
Total Investments | $ 519,983,252 | $ 10,367,685 | $ 509,615,567 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
As of February 29, 2020, the Fund transferred common stocks and warrants valued at $105,697 from Level 3 to Level 2 of the fair value hierarchy. The common stocks and warrants that transferred from Level 3 to Level 2 did so as a result of being priced by an independent third-party pricing service.
Level 3 Investments that are fair valued by the Advisor’s Pricing Committee are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.