UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-21842
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FIRST TRUST STRATEGIC HIGH INCOME FUND II
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(Exact name of registrant as specified in charter)

1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)

registrant's telephone number, including area code: (630) 241-4141
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Date of fiscal year end: OCTOBER 31
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Date of reporting period: APRIL 30, 2006
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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 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. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

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FIRST TRUST STRATEGIC HIGH INCOME FUND II
SEMI-ANNUAL REPORT
FOR THE PERIOD MARCH 21, 2006 TO APRIL 30, 2006
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TABLE OF CONTENTS
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FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006

Shareholder Letter ........................................................ 1
Portfolio Commentary ...................................................... 2
Portfolio Components ...................................................... 3
Portfolio of Investments .................................................. 4
Statement of Assets and Liabilities ....................................... 7
Statement of Operations ................................................... 8
Statement of Changes in Net Assets ........................................ 9
Financial Highlights ...................................................... 10
Notes to Financial Statements ............................................. 11
Additional Information .................................................... 15
Dividend Reinvestment Plan
Proxy Voting Policies and Procedures
Portfolio Holdings
By-Law Amendment
Board Approval of Advisory and Sub-Advisory Agreements

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This Semi-Annual Report contains certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933. Forward-looking statements
include statements regarding the goals, beliefs, plans or current expectations
of First Trust Advisors L.P. (the "Advisor") and/or Valhalla Capital Partners,
LLC ("Valhalla") and their respective representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the First Trust Strategic High Income Fund II's
(the "Fund") actual results, performance or achievements to be materially
different from any future results, performance or achievements expressed or
implied by the forward-looking statements. When evaluating the information
included in this Semi-Annual Report, you are cautioned not to place undue
reliance on these forward-looking statements, which reflect the judgment of the
Advisor and/or Valhalla and their respective representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.

HOW TO READ THIS REPORT

This report contains information that can help you evaluate your investment. It
includes details about the Fund and presents data and analysis that provide
insight into the Fund's performance and investment approach.

By reading the letter from the Fund's President, James A. Bowen, together with
the portfolio commentary by the portfolio management team at the Fund's
sub-advisor, Valhalla, you will obtain an understanding of how the market
environment affected the Fund's performance. The statistical information that
follows can help you understand the Fund's performance compared to that of
relevant market benchmarks.

It is important to keep in mind that the opinions expressed by Mr. Bowen,
personnel of the Advisor and Valhalla personnel are just that: informed
opinions. They should not be considered to be promises or advice. The opinions,
like the statistics, cover the period through the date on the cover of this
report. Of course, the risks of investing in the Fund are spelled out in the
prospectus.

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SHAREHOLDER LETTER
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FIRST TRUST STRATEGIC HIGH INCOME FUND II (FHY)
SEMI-ANNUAL REPORT
APRIL 30, 2006

Dear Shareholders:

We are pleased to present the first semi-annual report of First Trust Strategic
High Income Fund II (the "Fund") (NYSE Symbol: FHY). Although it is a short
reporting period, the Fund is off to a good start. We launched and closed the
common equity offering in March 2006. Since that time, the Fund has achieved a
slightly positive total return based on net asset value ("NAV"). During this
reporting period the Fund's market price remained above its initial offer price
of $20.00. We are happy to report that the market price is currently trading at
a premium to NAV.

As you know, the Fund's primary investment objective is to seek to provide a
high level of current income. As a secondary objective, the Fund seeks capital
growth. The Fund intends to achieve its investment objectives by investing in a
diversified portfolio of below-investment grade and investment grade debt
securities, and equity securities that the sub-advisor believes offer attractive
yield and/or capital appreciation potential.

The Fund's advisor is First Trust Advisors L.P. ("First Trust") and is
sub-advised by Valhalla Capital Partners, LLC ("Valhalla"). Valhalla is a
boutique asset management firm focused on managing high-yield portfolios with an
emphasis on structured finance securities. The three managing partners have 47
years combined industry experience and the investment team has an average of
over 10 years experience working with high-yield and structured finance
securities. Valhalla currently manages approximately $350 million in assets.

I encourage you to read the portfolio commentary found on the following pages.
It includes a review of the Fund's performance and the portfolio managers'
outlook for the markets.

We thank you for your confidence in First Trust and Valhalla and will work
diligently to keep earning it.

Sincerely,

/s/ James A. Bowen

James A. Bowen
President of First Trust Strategic High Income Fund II
June 15, 2006

Page 1

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PORTFOLIO COMMENTARY
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OVERVIEW

The First Trust Strategic High Income Fund II ("FHY" or the "Fund") began
trading on the New York Stock Exchange on March 28, 2006. The initial offering
price was $20.00, and the net asset value ("NAV") at inception was $19.10.
During the offering period and the first month of operation, the sub-investment
grade market remained relatively stable and interest rates continued to climb.
This provided the Fund an opportunity to deploy assets efficiently, and by April
30, 2006, the Fund was more than 80% invested.

PERFORMANCE REVIEW

The Fund's NAV-based total return from inception, March 21, 2006, to April 30,
2006 was 0.16%. The performance was based solely on the NAV of the Fund, as no
dividends had yet been declared or paid. The Fund's benchmark, The Lehman
Brothers Ba U.S. High Yield Index, produced a 0.42% total return over the same
period, much of which came from income. The Fund's market price performance over
the same period was 0.00% as the market price remained at its initial offering
price of $20.00 per share.

OUTLOOK

Favorable economic trends may keep yields depressed and prices high, making
diversification critical to future performance. The strong bid for riskier
assets will remain intact only if investors maintain their confidence in the
economy. If the market's chief concern shifts from rising interest rates to
deteriorating credit metrics, lower-rated assets will likely come under
pressure. With the preponderance of its portfolio being invested in seasoned
structured finance securities, the Fund is well-positioned for such an
environment.

Page 2

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO COMPONENTS+
APRIL 30, 2006 (UNAUDITED)

[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]

Equity 9.4%
Franchise 13.7%
Residential Mortgage 21.6%
Equipment Lease Receivables 3.1%
Corporate Bonds 23.3%
Collateralized Debt Obligations 9.0%
Commercial Mortgage-Backed Securities 4.0%
Manufactured Housing 15.9%

+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net assets.

See Notes to Financial Statements. Page 3

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS
APRIL 30, 2006 (UNAUDITED)

PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
- ------------ ------------------------------------------------------------------------- -----------

ASSET BACKED SECURITIES - 44.6%
$ 1,499,907 ACLC Business Loan Receivables Trust, Series 1999-2,
Class D, 9.35%, 1/15/21** ............................................ $ 1,439,878
4,375,000 Argent Securities Inc., Series 2004-PW1, Class M10,
8.21%, 6/25/34**+ .................................................... 3,970,257
2,301,000 Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3,
Class M4, 7.96%, 12/25/33+ ........................................... 2,163,727
7,269,948 Conseco Finance Securitizations Corp., Series 1999-6,
Class M1, 7.96%, 6/01/30** ........................................... 679,286
1,700,000 Conseco Finance Securitizations Corp., Series 2001-3,
Class M1, 7.15%, 5/01/33 ............................................. 476,000
3,000,000 Conseco Finance Securitizations Corp., Series 2002-2,
Class M2, 9.16%, 3/01/33 ............................................. 1,860,000
5,000,000 EMAC Owner Trust, LLC, Series 1998-1,
Class A3, 6.63%, 1/15/25** ........................................... 3,807,385
4,431,320 EMAC Owner Trust, LLC, Series 2000-1,
Class A1, 6.40%, 1/15/27**+ .......................................... 2,927,440
5,271,036 EMAC Owner Trust, LLC, Series 2000-1,
Class A2, 6.40%, 1/15/27**+ .......................................... 3,534,889
3,035,744 FMAC Loan Receivables Trust, Series 1996-B,
Class A2, 5.90%, 11/15/18**+ ......................................... 2,396,901
6,000,000 FMAC Loan Receivables Trust, Series 1998-CA,
Class A3, 6.99%, 6/15/12** ........................................... 5,144,763
1,744,908 Green Tree Financial Corp., Series 1995-6,
Class B1, 7.70%, 9/15/26 ............................................. 1,504,983
2,831,653 Green Tree Financial Corp., Series 1996-6,
Class B1, 8.00%, 9/15/27 ............................................. 722,072
2,000,000 Green Tree Financial Corp., Series 1997-3,
Class M1, 7.53%, 3/15/28 ............................................. 1,331,250
8,500,000 Green Tree Financial Corp., Series 1998-6
Class M1, 6.63%, 6/01/30 ............................................. 4,085,312
27,240,195 Green Tree Financial Corp., Series 1999-4,
Class M1, 7.60%, 5/01/31 ............................................. 3,830,652
5,000,000 GreenPoint Manufactured Housing Contract Trust, Series 1999-5,
Class M2, 9.23%, 12/15/29 ............................................ 2,126,590
4,000,000 Halyard CBO I, Ltd., Series 1A, Class B, 6.52%, 3/24/10**+ ............. 2,722,584
3,505,836 Long Beach Mortgage Loan Trust, Series 2002-2,
Class M3, 7.21%, 7/25/32+ ............................................ 3,152,745
1,873,379 Longhorn CDO Ltd., Series 1, Class C, 10.97%, 5/10/12**+ ................ 1,760,977
8,506,000 Merit Securities Corp., Series 13, Class M2, 8.65%, 12/28/33+ ........... 3,657,580
5,000,000 North Street Referenced Linked Notes, Series 2000-1,
Class B, 6.18%, 7/30/10**+ ........................................... 4,053,125
2,100,000 Oakwood Mortgage Investors, Inc., Series 1999-B,
Class M1, 7.18%, 12/15/26 ........................................... 309,750
2,852,512 Oakwood Mortgage Investors, Inc., Series 2001-C,
Class A3, 6.61%, 2/15/21** .......................................... 1,797,082
5,250,000 Park Place Securities, Inc., Series 2005-WCH1,
Class M10, 7.46%, 1/25/36**+ ........................................ 4,744,903
4,981,408 Pegasus Aviation Lease Securitization III, Series 2001-1A,
Class A3, 5.53%, 3/10/14**+ .......................................... 4,312,032

Page 4 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2006 (UNAUDITED)

PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
- --------------- ----------------------------------------------------------------- ----------------

ASSET BACKED SECURITIES - CONTINUED
$ 3,425,000 Structured Asset Securities Corp., Series 2004-S3,
Class M9, 6.00%, 11/25/34**+. ................................ $ 3,213,191
5,032,000 Structured Asset Securities Corp., Series 2005-S6,
Class B2, 7.46%, 11/25/35**+ ................................. 4,319,394
2,000,000 Sutter CBO Ltd., Series 2000-2A, Class B2, 11.36%, 1/30/13** .... 1,755,674
3,000,000 Wilbraham CBO Ltd., Series 1A, Class A2, 5.39%, 7/13/12**+ 2,370,000
----------------
TOTAL ASSET BACKED SECURITIES ................................... 80,170,422
(Cost $80,559,922) ----------------

COLLATERALIZED MORTGAGE OBLIGATIONS - 4.9%
12,819,306 CWALT, Inc., Pass-Through Certificates, Series 2005-56,
Class B5, 6.21%, 11/25/35**+ ................................. 2,548,824
3,992,325 CWALT, Inc., Pass-Through Certificates, Series 2005-56,
Class B4, 6.21%, 11/25/35**+ ................................. 2,356,063
1,398,000 Washington Mutual, Series 2006-AR4,
Class B13, 6.16%, 5/25/46**+ ................................. 845,617
3,497,682 Washington Mutual, Series 2006-AR4,
Class B14, 6.16%, 5/25/46**+ ................................. 690,670
4,164,500 WMALT Mortgage Pass-Through Certificates, Series 2006-AR2,
Class B13, 6.71%, 4/25/46+ ................................... 2,408,734
----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS ....................... 8,849,908
(Cost $8,768,488) ----------------

COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.2%
44,217,398 Government National Mortgage Association, Series 2003-59,
Class XA, IO, 0.61%, 6/16/34+ ................................ 3,937,312
3,073,148 LB-UBS Commercial Mortgage Trust, Series 2001-C7,
Class S, 5.87%, 11/15/33** ................................... 1,766,725
----------------
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES ..................... 5,704,037
(Cost $5,404,694) ----------------

CORPORATE BONDS AND NOTES - 18.2%
3,000,000 Alliance One International, Inc., Company Guarantee,
11.00%, 5/15/12 .............................................. 2,865,000
2,000,000 Banctec Inc., Senior Note, 7.50%, 6/01/08 ....................... 1,452,500
2,000,000 Doe Run Resources Corp., Series AI, Company Guarantee,
11.75%, 11/01/08** ........................................... 1,730,000
2,000,000 Elgin National Industries, Inc., Series B, Company Guarantee,
11.00%, 11/01/07 ............................................. 1,970,000
3,000,000 GSI Group Inc., Company Guarantee, 12.00%, 5/15/13 .............. 3,097,500
2,000,000 Interactive Health, LLC, Senior Note, 7.25%, 4/01/11** .......... 1,610,000
2,000,000 Interdent Service Corp., Company Guarantee, 10.75%, 12/15/11 .... 1,770,000
1,500,000 Metallurg Holdings, Inc., Secured Senior Note, 1
0.50%, 10/01/10** ............................................ 1,432,500
2,000,000 Milacron Escrow Corp., Secured Senior Note, 11.50%, 5/15/11 ..... 1,915,000
2,500,000 Motors and Gears Holdings Inc., Series D, Senior Note,
10.75%, 11/15/06 ............................................. 2,503,125

See Notes to Financial Statements. Page 5

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2006 (UNAUDITED)

PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
- ---------------- ----------------------------------------------------------------- --------------

CORPORATE BONDS AND NOTES - CONTINUED
$ 2,500,000 Mrs Fields Famous Brands, LLC, Secured Senior Note,
11.50%, 3/15/11 .............................................. $ 2,284,375
1,000,000 PCA Finance Corp., LLC, Secured Senior Note,
14.00%, 6/01/09** ............................................ 1,018,700
2,000,000 Pipe Acquisition Finance, Secured Senior Note,
10.91%, 12/15/10**+ .......................................... 1,990,000
2,000,000 Spansion LLC, Senior Note, 11.25%, 1/15/16** .................... 2,070,000
2,000,000 TriMas Corp., Company Guarantee, 9.88%, 6/15/12 ................. 1,885,000
2,000,000 Uno Restaurant Holdings Corp., Senior Note, 10.00%, 2/15/11** ... 1,610,000
2,000,000 Wolverine Tube, Inc., Senior Note, 7.38%, 8/01/08** ............. 1,610,000
--------------
TOTAL CORPORATE BONDS AND NOTES ................................. 32,813,700
(Cost $32,922,334) --------------

SHARES
- ----------------
PREFERRED SECURITIES - 7.4%
2,000,000 Babson CLO Ltd.** ............................................... 1,720,000
1,000,000 Flagship CLO, Series 2005-4I, Subordinated** .................... 930,000
350,000 Independence III CDO, Ltd., Series 3A, Class PS** ............... 525,000
6,500,000 MM Community Funding III, Series 3A,
Subordinated Note** .......................................... 4,216,875
4,775,000 Pro Rata Funding Ltd. Inc.** .................................... 3,867,750
2,000,000 Soloso CDO Ltd., Series 2005-1** ................................ 1,990,000
--------------
TOTAL PREFERRED SECURITIES ...................................... 13,249,625
(Cost $13,308,810) --------------

TOTAL INVESTMENTS - 78.3% ....................................... 140,787,692
(Cost $140,964,248)*

NET OTHER ASSETS AND LIABILITIES - 21.7% ........................ 39,112,628
--------------
NET ASSETS - 100.0% ............................................. $ 179,900,320
==============

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* Aggregate cost for federal income tax and financial reporting purposes.

** Securities are 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. At April 30, 2006, these securities amounted to
$89,478,485, or 49.74% of net assets (Note 2C).

+ Variable rate security. The interest rate shown reflects the rate in
effect at April 30, 2006.

IO Interest only

Page 6 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2006 (UNAUDITED)

ASSETS:
Investments, at value
(Cost $140,964,248) ............................................................................ $ 140,787,692
Cash ............................................................................................. 54,772,029
Receivables:
Interest ....................................................................................... 2,120,660
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Total Assets ................................................................................... 197,680,381
-------------
LIABILITIES:
Payables:
Investment securities purchased ............................................................. 17,217,176
Offering costs .............................................................................. 376,209
Investment advisory fees .................................................................... 132,722
Printing fees ............................................................................... 17,671
Administrative fees ......................................................................... 14,747
Audit and legal fees ........................................................................ 12,599
Trustees' fees and expenses ................................................................. 3,333
Accrued expenses ................................................................................. 5,604
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Total Liabilities ........................................................................... 17,780,061
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NET ASSETS ....................................................................................... $ 179,900,320
=============
NET ASSETS CONSIST OF:
Undistributed net investment income .............................................................. $ 813,078
Net unrealized depreciation of investments ....................................................... (176,556)
Par value ........................................................................................ 94,052
Paid-in capital .................................................................................. 179,169,746
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Total Net Assets ............................................................................... $ 179,900,320
=============
NET ASSET VALUE, per Common Share
(par value $0.01 per Common Share) ............................................................. $ 19.13
=============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) ..... 9,405,236
=============

See Notes to Financial Statements. Page 7

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF OPERATIONS*
FOR THE PERIOD ENDED APRIL 30, 2006 (UNAUDITED)

INVESTMENT INCOME:
Interest .................................................................................... $ 1,017,051
-----------
Total investment income ................................................................... 1,017,051
-----------
EXPENSES:
Investment advisory fees .................................................................... 145,982
Printing fees ............................................................................... 17,671
Administration fees ......................................................................... 16,220
Audit and legal fees ........................................................................ 12,600
Transfer agent fees ......................................................................... 5,292
Trustees' fees and expenses ................................................................. 3,333
Custodian fees .............................................................................. 706
Other ....................................................................................... 2,169
-----------
Total expenses ............................................................................ 203,973
-----------
NET INVESTMENT INCOME ....................................................................... 813,078
-----------
NET UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net change in unrealized appreciation/(depreciation) of investments during the period ....... (176,556)
-----------
Net unrealized loss on investments .......................................................... (176,556)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................................ $ 636,522
===========

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* The Fund commenced operations on March 21, 2006.

Page 8 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF CHANGES IN NET ASSETS

PERIOD
ENDED
4/30/2006*
(UNAUDITED)
-------------

OPERATIONS:
Net investment income ..................................................................... $ 813,078
Net change in unrealized appreciation/(depreciation) of investments during the period ..... (176,556)
-------------
Net increase in net assets resulting from operations ...................................... 636,522

CAPITAL TRANSACTIONS:
Net proceeds from sale of 9,405,236 Common Shares ......................................... 179,640,008
Offering costs ............................................................................ (376,210)
-------------
Total capital transactions ................................................................ 179,263,798
-------------
Net increase in net assets ................................................................ 179,900,320

NET ASSETS:
Beginning of period ....................................................................... --
-------------
End of period ............................................................................. $ 179,900,320
=============
Undistributed net investment income at end of period ...................................... $ 813,078
=============

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* The Fund commenced operations on March 21, 2006.

See Notes to Financial Statements. Page 9

FIRST TRUST STRATEGIC HIGH INCOME FUND II
FINANCIAL HIGHLIGHTS
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD

PERIOD
ENDED
4/30/2006*
(UNAUDITED)
-----------
Net asset value, beginning of period ........................ $ 19.10
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................................... 0.09
Net unrealized loss on investments .......................... (0.02)
-----------
Total from investment operations ............................ 0.07
-----------
Common Shares offering costs charged to paid-in capital ..... (0.04)
-----------
Net asset value, end of period .............................. $ 19.13
===========
Market value, end of period ................................. $ 20.00
===========

TOTAL RETURN BASED ON NET ASSET VALUE (a)+ .................. 0.16%
===========
TOTAL RETURN BASED ON MARKET VALUE (b)+ ..................... 0.00%
===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........................ $ 179,900
Ratio of total expenses to average net assets ............... 1.26%**
Ratio of net investment income to average net assets ........ 5.01%**
Portfolio turnover rate ..................................... 4.91%

- ----------
* The Fund commenced operations on March 21, 2006.

** Annualized.

(a) Total return based on net asset value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, if any,
at prices obtained by the Dividend Reinvestment Plan and changes in net
asset value per share and does not reflect sales load.

(b) Total return based on market value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, if any,
at prices obtained by the Dividend Reinvestment Plan and changes in Common
Share market price per share, all based on Common Share market price per
share.

+ Total return is not annualized for periods less than one year.

Page 10 See Notes to Financial Statements.

- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION
- --------------------------------------------------------------------------------

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

1. FUND DESCRIPTION

First Trust Strategic High Income Fund II (the "Fund") is a diversified
closed-end management investment company organized as a Massachusetts business
trust on January 18, 2006 and is registered with the Securities and Exchange
Commission ("SEC") under the Investment Company Act of 1940, as amended (the
"1940 Act"). The Fund trades under the ticker symbol FHY on the New York Stock
Exchange ("NYSE").

The Fund's primary investment objective is to seek a high level of current
income. The Fund seeks capital growth as a secondary objective. The Fund intends
to achieve its investment objective by investing in a diversified portfolio of
non-investment grade and investment grade debt securities that the sub-advisor
believes offers an attractive yield and/or capital appreciation potential. There
can be no assurance that the Fund will achieve its investment objectives. The
Fund may not be appropriate for all investors.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of the Fund is computed based
upon the value of the Fund's portfolio securities 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)
from the Fund's Total Assets (the value of the 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 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
within 60 days are valued at amortized cost.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on the accrual basis, including amortization of premiums and accretion of
discounts.

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.

C. RESTRICTED SECURITIES:

The Fund may invest in restricted securities, which are defined as securities
that may not be offered for public sale without first being registered under the
Securities Act of 1933, as amended. Prior to registration, restricted securities
may only be resold in transactions

Page 11

- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
- --------------------------------------------------------------------------------

FIRST TRUST STRATEGIC HIGH INCOME FUND II

APRIL 30, 2006 (UNAUDITED)

exempt from registration. As of April 30, 2006, the Fund held restricted
securities as shown in the following table. The Fund does not have the right to
demand that such securities be registered. These securities are valued according
to the valuation procedures as stated in the Portfolio Valuation footnote (Note
2A) and are not expressed as a discount to the carrying value of a comparable
unrestricted security.

ACQUISITION CARRYING VALUE
SECURITY DATE PER UNIT COST
- -------- ---- -------- ----

ACLC Business Loan Receivables Trust, Series 1999-2, Class D 4/25/06 96.00 1,428,743
Argent Securities Inc., Series 2004-PW1, Class M10 4/4/06 90.75 3,972,204
Babson CLO Ltd. 3/31/06 0.86 1,735,528
Conseco Finance Securitizations Corp., Series 1999-6, Class M1 4/27/06 9.34 679,286
CWALT, Inc., Pass-Through Certificates, Series 2005-56, Class B4 4/11/06 59.01 2,336,804
CWALT, Inc., Pass-Through Certificates, Series 2005-56, Class B5 4/11/06 19.88 2,500,514
Doe Run Resources Corp., Company Guarantee (in default) 3/31/06 86.50 1,780,403
EMAC Owner Trust, LLC, Series 1998-1, Class A3 4/11/06 76.15 3,806,728
EMAC Owner Trust, LLC, Series 2000-1, Class A1 4/11/06 66.06 2,946,194
EMAC Owner Trust, LLC, Series 2000-1, Class A2 4/25/06 67.06 3,531,451
Flagship CLO, Series 2005-4I, Subordinated 4/17/06 0.93 934,056
FMAC Loan Receivables Trust, Series 1996-B, Class A2 4/25/06 78.96 2,383,869
FMAC Loan Receivables Trust, Series 1998-CA, Class A3 4/11/06 85.75 5,163,556
Halyard CBO I, Ltd., Series 1A, Class B 4/11/06 68.06 2,722,552
Independence III CDO, Ltd., Series 3A, Class PS 4/11/06 1.50 528,063
Interactive Health, LLC, Senior Note 4/3/06 80.50 1,698,225
LB-UBS Commercial Mortgage Trust, Series 2001-C7, Class S 4/25/06 57.49 1,751,870
Longhorn CDO Ltd., Series 1, Class C 4/4/06 94.00 1,808,877
Metallurg Holdings, Inc., Senior Secured Note 3/31/06 95.50 1,466,682
MM Community Funding III, Series 3A, Subordinated Note 4/12/06 0.65 4,216,875
North Street Referenced Linked Notes, Series 2000-1, Class B 4/21/06 81.06 4,103,245
Oakwood Mortgage Investors Inc., Series 2001-C, Class A3 4/27/06 63.00 1,797,082
Park Place Securities, Inc., Series 2005-WCH1, Class M10 4/4/06 90.38 4,718,725
PCA Finance Corp., LLC, Secured Note 4/6/06 101.87 1,020,000
Pegasus Aviation Lease Securitization III, Series 2001-1A, Class A3 4/11/06 86.56 4,319,322
Pipe Acquisition Finance, Secured Note 3/31/06 99.50 2,005,184
Pro Rata Funding Ltd. Inc. 4/11/06 0.81 3,890,161
Soloso CDO Ltd., Series 2005-1 4/24/06 1.00 1,998,037
Spansion LLC, Senior Note 3/31/06 103.50 1,955,376
Structured Asset Securities Corp., Series 2004-S3, Class M9 4/21/06 93.82 3,212,989
Structured Asset Securities Corp., Series 2005-S6, Class B2 4/21/06 85.84 4,379,498
Sutter CBO Ltd., Series 2000-2A, Class B2 4/4/06 87.78 1,761,756
Uno Restaurant Holdings Corp., Senior Note 3/31/06 80.50 1,676,037
Washington Mutual, Series 2006-AR4, Class B13 4/11/06 60.49 846,314
Washington Mutual, Series 2006-AR4, Class B14 4/11/06 19.75 689,481
Wilbraham CBO Ltd., Series 1A, Class A2 4/11/06 79.00 2,344,047
Wolverine Tube, Inc., Senior Note 3/31/06 80.50 1,600,563

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

The Fund will distribute to holders of its Common Shares monthly dividends of
all or a portion of its net income after the payment of interest and dividends
in connection with leverage. Distributions will automatically be reinvested into
additional Common Shares pursuant to the Fund's Dividend Reinvestment Plan
unless cash distributions are elected by the shareholder.

Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Fund, timing differences and differing characterization of distributions
made by the Fund.

E. INCOME TAXES:

The Fund intends to qualify as a regulated investment company by complying with
the requirements under Subchapter M of the Internal Revenue Code of 1986, as
amended, and by distributing substantially all of its net investment income and
net realized gains to shareholders. Accordingly, no provision has been made for
federal or state income taxes.

Page 12

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

F. EXPENSES:

The Fund pays all expenses directly related to its operations.

G. ORGANIZATION AND OFFERING COSTS:

Organization costs consist of costs incurred to establish the Fund and enable it
to legally do business. These costs include filing fees, listing fees, legal
services pertaining to the organization of the business and audit fees relating
to the initial registration and auditing the initial statement of assets and
liabilities, among other fees. Offering costs consist of legal fees pertaining
to the Fund's Common Shares offered for sale, registration fees, underwriting
fees, and printing of the initial prospectus, among other fees. First Trust and
Valhalla have paid all organization expenses and all offering costs of the Fund
(other than sales load) that exceeded $0.04 per Common Share. The Fund's share
of Common Share offering costs, $376,210, was recorded as a reduction of the
proceeds from the sale of Common Shares.

3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to the Fund pursuant to an Investment Management
Agreement. First Trust is responsible for the ongoing monitoring of the Fund's
investment portfolio, managing the Fund's business affairs and certain
administrative services necessary for the management of the Fund. For these
investment management services, First Trust is entitled to a monthly fee
calculated at an annual rate of 0.90% of the Fund's Managed Assets (the value of
the securities and other investments the Fund holds plus cash or other assets,
including interest accrued but not yet received minus accrued liablities other
than the principal amount of borrowings).

Valhalla, a boutique asset management firm focused on managing high-yield
portfolios with an emphasis on structured finance securities, serves as the
Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's
supervision.The Sub-Advisor receives a portfolio management fee of 0.40% of
Managed Assets that is paid monthly by First Trust from its investment advisory
fee.

PFPC Inc. ("PFPC"), an indirect, majority-owned subsidiary of The PNC Financial
Services Group, Inc., serves as the Fund's Administrator and Transfer Agent in
accordance with certain fee arrangements. PFPC Trust Company, an indirect,
majority-owned subsidiary of The PNC Financial Services Group, Inc., serves as
the Fund's Custodian in accordance with certain fee arrangements.

The Fund pays each Trustee who is not an officer or employee of First Trust or
any of its affiliates an annual retainer of $10,000, which includes compensation
for all board meetings and committee meetings. Trustees are also reimbursed for
travel and out-of-pocket expenses in connection with all meetings.

4. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of investment securities, excluding
U.S. government and short-term investments, for the period ended April 30, 2006,
aggregated amounts were $140,794,002 and $3,480,842, respectively.

Cost of purchases and proceeds from sales of U.S. government securities,
excluding short-term investments, for the period ended April 30, 2006,
aggregated amounts were $3,647,935 and $0, respectively.

As of April 30, 2006, the aggregate gross unrealized appreciation for all
securities in which there as an excess of value over tax cost was $810,637 and
the aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $987,193.

5. COMMON SHARES

As of April 30, 2006, 9,405,236 of $0.01 par value Common Shares were issued. An
unlimited number of Common Shares has been authorized under the Fund's Dividend
Reinvestment Plan.

COMMON SHARE TRANSACTIONS WERE AS FOLLOWS:

PERIOD ENDED
APRIL 30, 2006
--------------
SHARES AMOUNT
------ ------
Proceeds from Common Shares sold ......... 9,405,236 $ 179,640,008
Offering costs ........................... -- (376,210)
------------ -------------
9,405,236 $ 179,263,798
============ =============

Page 13

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

6. PREFERRED SHARES OF BENEFICIAL INTEREST

The Fund's Declaration of Trust authorizes the issuance of an unlimited number
of preferred shares of beneficial interest, par value $0.01 per share (the
"Preferred Shares"), in one or more classes or series, with rights as determined
by the Board of Trustees without the approval of Common Shareholders. As of
April 30, 2006, no Preferred Shares had been issued.

7. CONCENTRATION OF RISK

An investment in the Fund's Common Shares is subject to investment risk,
including the possible loss of the entire principal invested. An investment in
Common Shares represents an indirect investment in the securities owned by the
Fund. The value of these securities, like other market investments, may move up
or down, sometimes rapidly and unpredictably. Common Shares at any point in time
may be worth less than the original investment, even after taking into account
the reinvestment of Fund dividends and distributions. Security prices can
fluctuate for several reasons including the general condition of the bond
market, or when political or economic events affecting the issuers occur.

Non-Investment Grade Securities Risk: The Fund may invest up to 100% of its
Managed Assets in non-investment grade securities. Below-investment grade
securities are rated below "Baa" by Moody's Investors Service, Inc., below "BBB"
by Standard & Poor's Ratings Group, comparably rated by another nationally
recognized statistical rating organization or, if unrated, determined to be of
comparable credit quality by the Sub-Advisor. Below-investment grade debt
instruments are commonly referred to as "high-yield" or "junk" bonds and are
considered speculative with respect to the issuer's capacity to pay interest and
repay principal and are susceptible to default or decline in market value due to
adverse economic and business developments. The market values for high-yield
securities tend to be volatile, and these securities are less liquid than
investment grade debt securities.

8. SUBSEQUENT EVENTS

On May 22, 2006, the Fund declared a dividend of $0.1667 per share, which
represents a dividend from net investment income to Common Shareholders of
record June 5, 2006, payable June 15, 2006.

On May 31, 2006, the Fund entered into a Revolving Credit and Security Agreement
between the Fund, Liberty Street Funding Corp., as conduit lender and The Bank
of Nova Scotia, as secondary lender, which provides for a revolving credit
facility to be used as leverage for the Fund. The credit facility provides for a
secured line of credit for the Fund, where Fund assets are pledged against
advances made to the Fund. Under the requirements of the 1940 Act, the Fund,
immediately after any such borrowings, must have an "asset coverage" of at least
300% (33 1/3% of the Fund's total assets after borrowings). The total commitment
under the Revolving Credit and Security Agreement is $62,000,000. There were no
borrowings outstanding as of April 30, 2006, and there have been no borrowings
through June 19, 2006.

Effective June 12, 2006, the Board of Trustees of the Fund unanimously appointed
Robert F. Keith to the Board of Trustees and as a member to the Fund's Audit
Committee, Valuation Committee and Nominating and Governance Committee.

Page 14

- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION
- --------------------------------------------------------------------------------

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

DIVIDEND REINVESTMENT PLAN

If your Common Shares are registered directly with the Fund or if you hold your
Common Shares with a brokerage firm that participates in the Fund's Dividend
Reinvestment Plan (the "Plan"), unless you elect, by written notice to the Fund,
to receive cash distributions, all dividends, including any capital gain
distributions, on your Common Shares will be automatically reinvested by PFPC
Inc. (the "Plan Agent"), in additional Common Shares under the Plan. If you
elect to receive cash distributions, you will receive all distributions in cash
paid by check mailed directly to you by PFPC Inc., as dividend paying agent.

If you decide to participate in the Plan, the number of Common Shares you will
receive will be determined as follows:

(1) If Common Shares are trading at or above net asset value ("NAV") at
the time of valuation, the Fund will issue new shares at a price
equal to the greater of (i) NAV per Common Share on that date or
(ii) 95% of the market price on that date.

(2) If Common Shares are trading below NAV at the time of valuation, the
Plan Agent will receive the dividend or distribution in cash and
will purchase Common Shares in the open market, on the NYSE or
elsewhere, for the participants' accounts. It is possible that the
market price for the Common Shares may increase before the Plan
Agent has completed its purchases. Therefore, the average purchase
price per share paid by the Plan Agent may exceed the market price
at the time of valuation, resulting in the purchase of fewer shares
than if the dividend or distribution had been paid in Common Shares
issued by the Fund. The Plan Agent will use all dividends and
distributions received in cash to purchase Common Shares in the open
market within 30 days of the valuation date except where temporary
curtailment or suspension of purchases is necessary to comply with
federal securities laws. Interest will not be paid on any uninvested
cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving
written notice to the Plan Agent, or by telephone at (800) 334-1710, in
accordance with such reasonable requirements as the Plan Agent and Fund may
agree upon. If you withdraw or the Plan is terminated, you will receive a
certificate for each whole share in your account under the Plan and you will
receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage
commissions.

The Plan Agent maintains all Common Shareholders' accounts in the Plan and gives
written confirmation of all transactions in the accounts, including information
you may need for tax records. Common Shares in your account will be held by the
Plan Agent in non-certificated form. The Plan Agent will forward to each
participant any proxy solicitation material and will vote any shares so held
only in accordance with proxies returned to the Fund. Any proxy you receive will
include all Common Shares you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions
in Common Shares. However, all participants will pay a pro rata share of
brokerage commissions incurred by the Plan Agent when it makes open market
purchases.

Automatically reinvesting dividends and distributions does not mean that you do
not have to pay income taxes due upon receiving dividends and distributions.
Capital gains and income are realized, although cash is not received by you.
Consult your financial advisor for more information.

If you hold your Common Shares with a brokerage firm that does not participate
in the Plan, you will not be able to participate in the Plan and any dividend
reinvestment may be effected on different terms than those described above.

The Fund reserves the right to amend or terminate the Plan if in the judgment of
the Board of Trustees the change is warranted. There is no direct service charge
to participants in the Plan; however, the Fund reserves the right to amend the
Plan to include a service charge payable by the participants. Additional
information about the Plan may be obtained by writing PFPC Inc., 301 Bellevue
Parkway, Wilmington, Delaware 19809.

- --------------------------------------------------------------------------------

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Fund uses to determine how
to vote proxies and information on how the Fund voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 will
be available (1) without charge, upon request, by calling (800) 988-5891; (2) on
the Fund's website located at http://www.ftportfolios.com; and (3) on the
Securities and Exchange Commission's website at http://www.sec.gov.

Page 15

- --------------------------------------------------------------------------------
ADDITIONAL INFORMATION - (CONTINUED)
- --------------------------------------------------------------------------------

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q will be available (1) by calling (800)
988-5891; (2) on the Fund's website located at http://www.ftportfolios.com; (3)
on the SEC's website at http://www.sec.gov; and (4) for review and copying at
the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding
the operation of the PRR may be obtained by calling 1-800-SEC-0330.

BY-LAW AMENDMENT

On June 12, 2006, the Board of Trustees of the Fund approved certain changes to
the By-Laws of the Fund that may have the effect of developing or preventing a
change of control of the Fund. To receive a copy of the revised By-Laws,
investors may call the Fund at (800) 988-5891.

BOARD APPROVAL OF ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees approved the Investment Management Agreement (the
"Agreement") between First Trust Stategic High Income Fund II (the "Fund") and
First Trust Advisors L.P. ("First Trust" or the "Advisor") and the Investment
Sub-Advisory Agreement (the "Sub-Advisory Agreement") among the Fund, the
Advisor, and Valhalla Capital Partners, L.L.C. (the "Sub-Advisor"), at a meeting
held on January 23, 2006. The Board received and reviewed data from the Advisor
and Sub-Advisor which was provided in response to a request from counsel to the
Independent Trustees made in advance of the meeting. The Independent Trustees
discussed these responses in a conference call prior to the meeting. At the
meeting, the Trustees discussed the materials with the representatives of the
Advisor, the Sub-Advisor, Fund counsel and independent counsel. The Independent
Trustees met with independent counsel to review their duties and
responsibilities in connection with their consideration of the Agreement and the
Sub-Advisory Agreement. The Board concluded that the terms of the Agreement and
Sub-Advisory Agreement are fair and reasonable and that the Agreement and
Sub-Advisory Agreement are in the best interest of the Fund.

The Trustees considered the nature, extent and quality of services to be
provided under the Agreement, noting that the Advisor's employees provided
management services to other closed-end funds in the First Trust complex,
particularly the First Trust Strategic High Income Fund ("FHI"), which has the
same investment objectives and substantially the same strategies (apart from the
anticipated greater use of leverage by the Fund), with diligence and care. They
noted the compliance program that had been developed by the Advisor and the
skills of its employees who would be working on the Fund. The Trustees concluded
they were comfortable that the Advisor had the capabilities and resources to
oversee the operations of the Fund, including overseeing the Sub-Advisor, which
was particularly important in light of the start-up nature of the Sub-Advisor.

The Trustees reviewed information compiled by an independent source on
management and advisory fees charged to similar closed-end funds, and they
discussed with representatives of the Advisor certain differences between those
funds and the Fund. The Trustees noted that the management fee to be paid to the
Advisor by the Fund was at the same rate as the management fee paid to the
Advisor by FHI. Since the Fund is newly organized, the Board did not consider
investment performance of the Fund. The Trustees concluded that the fees to be
paid under the Agreement were reasonable.

The Trustees considered the nature, extent and quality of services to be
provided by the Sub-Advisor, and noted the background and experience of the
portfolio managers. The Trustees noted that the Sub-Advisor's portfolio managers
currently served as such to FHI as dual employees of the Sub-Advisor and
Hilliard Lyons Asset Management. At the meeting the Trustees received a
presentation from the three managing members of the Sub-Advisor, who described
the Sub-Advisor's experience and investment style. These representatives of the
Sub-Advisor described the recent formation of the Sub-Advisor as well as the
infrastructure to be built and the compliance program that had been developed.
These factors were important to the Independent Trustees in their
determinations. The Trustees also considered the background of the other
employees and advisors of the Sub-Advisor, including the resumes of its current
and prospective Chief Compliance Officers. The Independent Trustees noted that
the Advisor or an affiliate would have a minority ownership interest in the
Sub-Advisor and they concluded that the investment would enable more informed
oversight of the Sub-Advisor. The Trustees also considered that the Sub-Advisor
would not use any portion of Fund commissions to pay for research. The Trustees
concluded that the Sub-Advisor had the capability to provide the necessary
investment advisory services to the Fund.

Page 16

FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2006 (UNAUDITED)

The Trustees considered the fees to be paid under the Sub-Advisory Agreement and
noted that the fees would be paid by the Advisor from its advisory fee. The
Sub-Advisor provided information on fees charged to clients for which it
provides discretionary, investment supervisory services, and the Trustees noted
that those fees generally were the same as or higher than the fees to be paid
under the Sub-Advisory Agreement. The Trustees also noted that the fees to be
paid under the Sub-Advisory Agreement were at the same rate as the fees payable
under the sub-advisory agreement for FHI. The Trustees reviewed an estimated
budget prepared by the Sub-Advisor based on the fees projected to be received
from the Advisor for its investment advisory services to the Fund. The Trustees
concluded that the fees to be paid under the Sub-Advisory Agreement were
reasonable.

The Trustees considered the Advisor's representation that the Fund's overall fee
structure is not structured to pass on the benefits of economies of scale on to
the shareholders as assets grow, but noted that assets are not expected to grow
significantly after the initial issuance of shares since additional shares are
expected to be issued only through the Fund's dividend reinvestment plan. The
Trustees noted that the Advisor intended to continue to make investments in
infrastructure and personnel. The Board considered the estimated level of profit
to the Advisor under the Agreement and noted that a portion of the fee payable
by the Fund to the Advisor would then be payable to the Sub-Advisor. They took
this and other costs to be borne by the Advisor in connection with its services
to be performed under the Agreement into consideration in analyzing the
estimated profitability. The Trustees noted that the Advisor was unable to
estimate the profitability of the Agreement to the Advisor, but they concluded
that the anticipated profitability was not unreasonable. The Board did not
consider an estimated level of profit to the Sub-Advisor under the Sub-Advisory
Agreement, although the Trustees did consider the budget prepared by the
Sub-Advisor. The Board considered that the sub-advisory fee rate was negotiated
at arm's length between the Advisor and Sub-Advisor, and that the Sub-Advisor
would be paid by the Advisor. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor their exposure to investors and
brokers who, in the absence of the Fund, may have no dealings with the Advisor.

After discussion, the Board of Trustees, including the Independent Trustees,
concluded that the Advisor and Sub-Advisor had the capabilities, resources and
personnel necessary to manage the Fund. Based upon such information as they
considered necessary to the exercise of their reasonable business judgment, the
Trustees concluded unanimously that it was in the best interest of the Fund to
approve the Agreement and the Sub-Advisory Agreement.

Page 17

This Page Left Blank Intentionally.

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

A copy of the Nominating and Governance Committee Charter is available on the
Registrant's website at www.ftportfolios.com.

ITEM 11. 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
half-year (the registrant's second fiscal half-year in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting.

ITEM 12. EXHIBITS.

(a)(1) Not applicable.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 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 STRATEGIC HIGH 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 JUNE 27, 2006
----------------------------------------------------------------------------

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.

Date JUNE 27, 2006
----------------------------------------------------------------------------

By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)

Date JUNE 27, 2006
----------------------------------------------------------------------------

* Print the name and title of each signing officer under his or her signature.