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, 2007
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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.

First Trust Strategic High Income Fund II
For the Six Months Ended April 30, 2007

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Table of Contents
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FIRST TRUST STRATEGIC HIGH INCOME FUND II (FHY)
SEMI-ANNUAL REPORT
APRIL 30, 2007

Shareholder Letter ........................................................ 1
Portfolio Commentary ...................................................... 2
Portfolio Components ...................................................... 4
Portfolio of Investments .................................................. 5
Statement of Assets and Liabilities ....................................... 11
Statement of Operations ................................................... 12
Statements of Changes in Net Assets ....................................... 13
Statement of Cash Flows ................................................... 14
Financial Highlights ...................................................... 15
Notes to Financial Statements ............................................. 16
Additional Information .................................................... 21
Dividend Reinvestment Plan
Proxy Voting Policies and Procedures
Portfolio Holdings
NYSE Certification Information
By-Law Amendments
Submission of Matters to a Vote of Shareholders
Change in Investment Policies
Privacy Policy

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This 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" or the "Sub-Advisor") 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 actual results, performance or achievements of
First Trust Strategic High Income Fund II (the "Fund") 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 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 may 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, you may obtain an understanding of how the market environment
affected the Fund's performance. The statistical information that follows may
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 and
personnel of Valhalla 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, 2007

Dear Shareholders:

We believe investment opportunities abound, both here and abroad, affording the
potential for exceptional returns for investors. At First Trust Advisors L.P.
("First Trust"), we realize that we must be mindful of the complexities of the
global economy and at the same time address the needs of our customers through
the types of investments we bring to market.

We are single-minded about providing a range of investment products, including
our family of closed-end funds, to help First Trust meet the challenge of
maximizing our customers' financial opportunities. Translating investment ideas
into products which can deliver performance over the long term while continuing
to support our current product line remains a focus for First Trust as we head
into the future.

The report you hold will give you detailed information about your investment in
First Trust Strategic High Income Fund II over the past six-month period. I
encourage you to read this report and discuss it with your financial advisor.

First Trust is pleased to be a part of your financial portfolio and we will
continue to offer you current information about your investment, as well as new
opportunities in the financial marketplace, through your financial advisor. We
value our relationship with you and appreciate the opportunity to assist you in
achieving your financial goals.

Sincerely,
/S/ JAMES A. BOWEN
James A. Bowen
President of First Trust Strategic High Income Fund II
June 11, 2007

Page 1

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Portfolio Commentary
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SUB-ADVISOR

Valhalla Capital Partners, LLC ("Valhalla" or the "Sub-Advisor"), the
sub-advisor to First Trust Strategic High Income Fund II, is a boutique asset
management firm focused on managing high-yield portfolios with an emphasis on
structured finance securities. Valhalla was founded in 2005 and is currently
managed by its Managing Partners, Ken L. Mathis, Ramond P. Mecherle, CFA and
Justin L. Ventura. Valhalla is a Kentucky limited liability company located at
2527 Nelson Miller Parkway, Suite 207, Louisville, Kentucky 40223. As of April
30, 2007, Valhalla has approximately $650 million in assets under management.

PORTFOLIO MANAGEMENT TEAM

MR. RAMOND P. MECHERLE, CFA, PORTFOLIO MANAGER

Mr. Ramond P. Mecherle, CFA, is a founding Managing Partner of Valhalla. He has
nine years experience in the Financial Industry. Mr. Mecherle currently serves
as Co-Manager of First Trust Strategic High Income Fund (New York Stock Exchange
("NYSE"): FHI), First Trust Strategic High Income Fund II (NYSE: FHY), and First
Trust Strategic High Income Fund III (NYSE: FHO). Mr. Mecherle was a dual
employee of Hilliard Lyons Asset Management and Valhalla Capital from Valhalla's
inception in 2005 through April 2006. From October 2004 to April 2006, Mr.
Mecherle was employed by Hilliard Lyons Asset Management as Director of Fixed
Income and Co-Manager of FHI. Prior to that, Mr. Mecherle was employed by Morgan
Asset Management for seven years. There, Mr. Mecherle was an Assistant Portfolio
Manager for three high-yield funds including the Regions Morgan Keegan Select
High Income Fund (MKHIX), an open-end fund; RMK High Income (NYSE: "RMH"), a
closed-end fund; RMK Strategic Income Fund (NYSE: "RSF"), a closed-end fund; and
separate accounts. Mr. Mecherle received a B.A. from the University of Virginia
and a M.B.A. from the Johnson Graduate School of Management, Cornell University.

MR. JUSTIN L. VENTURA, PORTFOLIO MANAGER

Mr. Justin L. Ventura is a founding Managing Partner of Valhalla. He has
fourteen years experience in the Financial Industry. Mr. Ventura currently
serves as Co-Manager of First Trust Strategic High Income Fund (NYSE: FHI),
First Trust Strategic High Income Fund II (NYSE: FHY), and First Trust Strategic
High Income Fund III (NYSE: FHO). Mr. Ventura was a dual employee of Hilliard
Lyons Asset Management and Valhalla from Valhalla's inception in 2005 through
April 2006. From June 2005 to April 2006, Mr. Ventura was employed by Hilliard
Lyons Asset Management as Co-Manager of FHI. Prior to that, Mr. Ventura was
employed by State Street Bank for six years as Vice President, Capital Markets
Portfolio/ABS-MBS-CDO Sectors. Mr. Ventura began his career with Fitch IBCA,
Inc. where he worked for five years and was a Director of Structured
Finance/Mortgage and Asset-Backed Securities. Mr. Ventura received a B.A. from
the University of Massachusetts and a J.D. from George Mason School of Law.

FIRST TRUST STRATEGIC HIGH INCOME FUND II

First Trust Strategic High Income Fund II (the "Fund") commenced trading on
March 31, 2006. 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 seeks 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. Valhalla believes this combination of exposure
to both consumer and commercial default risk provides investors with an
investment vehicle more broadly diversified than a corporate-only "high-yield"
strategy.

FUND RECAP

Over the six-month period ending April 30, 2007, the primary news affecting the
Fund was the negative events surrounding sub-prime residential mortgage-backed
securities. While the headlines generally made it appear that all sub-prime
mortgages were in trouble, the primary problems in sub-prime mortgages were
generally limited to those mortgages originated in late 2005 and throughout
2006. The Fund had minimal exposure to these vintages and less than 15% of its
total holdings in the sub-prime mortgage market. However, the entire sub-prime
mortgage market was negatively impacted in sympathy to the problems in those
vintages. In the end, this sell-off should create a number of buying
opportunities in oversold mortgage market segments that the Fund can take
advantage of in the months to come.

Page 2

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Portfolio Commentary (continued)
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FUND PROFILE AT 4/30/07

FHY LEHMAN BA INDEX
Wtd. Avg. Yield-to-Maturity 11.50% 6.63%
Wtd. Avg. Maturity 5.38 yrs 8.41 yrs
Wtd. Avg. Credit Quality B Ba1/Ba2

SUB-ADVISOR Q&A

HOW DID THE FUND PERFORM OVER THE LAST SIX MONTHS?

The Fund's diversification across both structured finance and corporate
high-yield securities and its value strategy, which enabled it to purchase these
securities at excellent values, has contributed to the Fund's performance since
inception. FHY's allocation to high yielding, well-seasoned manufactured housing
and franchise bonds helped boost its total return. The Fund's exposure to
sub-prime residential mortgage-backed securities was the primary detractor from
otherwise solid performance across the Fund's portfolio in 2007. Negative
headlines, an increase in delinquency pressure due to slowdown in housing price
appreciation and the failure of a number of specialty, sub-prime lenders drove
down bids and sparked a panic that hurt these bonds.

FUND PERFORMANCE FOR PERIOD ENDING 4/30/07

FHY FHY LEHMAN BA
DATES NAV RETURN MARKET RETURN INDEX
Six Months 5.33% 6.02% 5.01%
One Year 15.88% 15.23% 10.69%
Inception-to-Date 16.06% 15.23% 10.85%

WILL THESE FACTORS CONTINUE TO HURT THE MARKET?

This downdraft in the sub-prime mortgage market did not affect the Fund's entire
mortgage allocation. Its prime mortgage holdings posted positive performance, as
investors were quick to differentiate among the various segments of the
residential mortgage sector. In addition, a number of other asset classes
remained unaffected by the sub-prime wave. Collateralized debt obligations,
corporate bonds, and commercial mortgage-backed securities all generally
produced positive performance over the fiscal year-to-date period and continued
to provide attractive yields and significant diversification to the Fund.

WHAT IS YOUR OUTLOOK FOR THE MARKET AND THE FUND?

The overall economic outlook remains solid. While the drag from housing could
continue into the second half of the year, the potential impact on consumer
spending is still the biggest cause for concern for 2007. The Federal Reserve
(the "Fed") may allow the consumer to feel some pain relating to housing, but it
is unlikely to allow a prolonged slump to occur in that sector. Even with
inflation risk on the horizon, we believe the Fed may be likely to step in and
lower rates if necessary to prevent a recession. The challenge the Fund now
faces is navigating a fixed-income landscape of tight spreads, while
safeguarding against highly susceptible credit positions should the economy pull
back.

Page 3

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO COMPONENTS*
APRIL 30, 2007 (UNAUDITED)

[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC AS FOLLOWS:

Corporate Bonds 16.3%
Collateralized Debt Obligations 11.2%
Commercial Mortgage-Backed Securities 6.1%
Manufactured Housing 15.4%
Equipment Lease Receivables 1.5%
Residential Mortgage 24.8%
Franchise 14.6%
Equity 10.1%

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

Page 4 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (UNAUDITED)

PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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ASSET-BACKED SECURITIES - 85.1%

$ 1,500,000 ABCLO Ltd.,
Series 2007-1A, Class D, 9.26%, 4/15/21 (a) (b) ........... $ 1,420,500
6,000,000 ACE Securities Corp., Home Equity Loan Trust,
Series 2004-HE4, Class M11, 8.82%, 12/25/34 (a) ........... 5,864,344
3,000,000 ACE Securities Corp., Home Equity Loan Trust,
Series 2007-HE4, Class M8, 7.82%, 5/25/37 (a) ............. 2,490,000
5,000,000 ACLC Business Loan Receivables Trust,
Series 1998-2, Class B, 6.85%, 4/15/20 (b) ................ 4,788,006
2,499,845 ACLC Business Loan Receivables Trust,
Series 1999-2, Class B, 8.75%, 1/15/21 (b) ................ 2,521,457
1,499,907 ACLC Business Loan Receivables Trust,
Series 1999-2, Class D, 9.35%, 1/15/21 (b) ................ 1,516,039
3,510,996 Argent Securities Inc.,
Series 2004-PW1, Class M10, 8.09%, 6/25/34 (a) (b) ....... 2,656,330
2,000,000 Asset Backed Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M8, 7.82%, 2/25/35 (a) (b) ......... 1,809,910
6,392,485 Atherton Franchisee Loan Funding,
Series 1999-A, Class A2, 7.23%, 4/15/12 (b) ............... 6,524,115
2,300,000 BankAmerica Manufactured Housing Contract Trust II,
Series 1997-1, Class B1, 6.94%, 6/10/21 ................... 989,000
5,103,000 Bear Stearns Asset Backed Security Trust,
Series 2007-HE3, Class M9, 7.57%, 4/25/37 (a) ............. 4,127,051
2,404,000 Bear Stearns Second Lien Trust,
Series 2007-1, Class 2B1, 8.32%, 8/25/37 (a) .............. 1,610,680
2,000,000 Bear Stearns Second Lien Trust,
Series 2007-1, Class 2M6, 8.32%, 8/25/37 (a) .............. 1,620,000
728,674 Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A3, 7.18%, 12/15/15 .................. 484,433
5,369,119 Captec Franchise Trust,
Series 1999-1, Class D, 8.64%, 1/25/13 (a) (b) ............ 1,628,976
2,301,000 Citigroup Mortgage Loan Trust, Inc.,
Series 2003-HE3, Class M4, 8.32%, 12/25/33 (a) ........... 1,955,850
5,140,855 Conseco Finance Securitizations Corp.,
Series 1999-6, Class M1, 7.96%, 6/01/30 (b) ............... 455,270
1,700,000 Conseco Finance Securitizations Corp.,
Series 2001-3, Class M1, 7.15%, 5/01/33 ................... 867,000
3,000,000 Conseco Finance Securitizations Corp.,
Series 2002-2, Class M2, 9.16%, 3/01/33 ................... 2,209,065
4,644,129 EMAC Owner Trust, LLC,
Series 1998-1, Class A3, 6.63%, 1/15/25 (b) ............... 4,565,602
3,981,797 EMAC Owner Trust, LLC,
Series 2000-1, Class A1, 6.54%, 1/15/27 (a) (b) ........... 3,148,108
4,736,330 EMAC Owner Trust, LLC,
Series 2000-1, Class A2, 6.54%, 1/15/27 (a) (b) ........... 3,744,661
3,000,000 Encore Credit Receivables Trust,
Series 2005-4, Class M11, 7.82%, 1/25/36 (a) (b) .......... 1,434,162
1,591,804 FMAC Loan Receivables Trust,
Series 1996-B, Class A2, 6.32%, 11/15/18 (a) (b) .......... 1,216,063
1,520,000 FMAC Loan Receivables Trust,
Series 1997-A, Class B, 7.66%, 4/15/19 (b) ................ 1,535,139

See Notes to Financial Statements. Page 5

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2007 (UNAUDITED)

PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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ASSET-BACKED SECURITIES - (CONTINUED)

$ 20,099,365 FMAC Loan Receivables Trust,
Series 1997-C, Class AX, 2.97%, 12/15/19 (a) (b) .......... $ 1,432,080
6,000,000 FMAC Loan Receivables Trust,
Series 1998-CA, Class A3, 6.99%, 6/15/12 (b) .............. 5,376,509
1,744,908 Green Tree Financial Corp.,
Series 1995-6, Class B1, 7.70%, 9/15/26 ................... 1,613,284
2,393,499 Green Tree Financial Corp.,
Series 1996-6, Class B1, 8.00%, 9/15/27 ................... 583,102
2,000,000 Green Tree Financial Corp.,
Series 1997-3, Class M1, 7.53%, 3/15/28 ................... 1,435,022
8,500,000 Green Tree Financial Corp.,
Series 1998-6, Class M1, 6.63%, 6/01/30 ................... 5,270,000
1,000,000 Green Tree Financial Corp.,
Series 1998-8, Class M1, 6.98%, 9/01/30 ................... 652,587
20,631,815 Green Tree Financial Corp.,
Series 1999-4, Class M1, 7.60%, 5/01/31 ................... 2,985,791
26,281,392 Green Tree Financial Corp.,
Series 1999-5, Class M1, 8.05%, 3/01/30 ................... 3,059,667
11,000,000 GreenPoint Manufactured Housing Contract Trust,
Series 1999-5, Class M2, 9.23%, 12/15/29 .................. 6,406,468
4,000,000 Halyard Multi Asset CBO I, Ltd.,
Series 1A, Class B, 6.76%, 3/24/10 (a) (b) ................ 2,920,000
9,804,297 Helios Series I Multi Asset CBO, Ltd.,
Series 1A, Class C, 8.11%, 12/13/36 (a) (b) ............... 3,725,633
4,000,000 Home Equity Mortgage Trust,
Series 2007-2, Class M4, 7.82%, 6/25/37 (a) ............... 2,080,000
3,086,972 IMC Home Equity Loan Trust,
Series 1997-3, Class B, 7.87%, 8/20/28 .................... 1,457,792
4,542,493 IMC Home Equity Loan Trust,
Series 1997-5, Class B, 7.59%, 11/20/28 ................... 3,144,894
2,000,000 Independence III CDO, Ltd.,
Series 3A, Class C1, 7.85%, 10/03/37 (a) (b) .............. 1,350,000
2,100,000 Liberty Square CDO, Ltd.,
Series 2001-1X, Class C, 7.47%, 4/15/13 (a) (b) ........... 1,816,500
1,628,608 Long Beach Mortgage Loan Trust,
Series 2002-2, Class M3, 8.70%, 7/25/32 (a) ............... 1,218,567
1,873,379 Longhorn CDO Ltd.,
Series 1, Class C, 11.61%, 5/10/12 (a) (b) ................ 1,873,379
16,333,000 Madison Avenue Manufactured Housing Contract Trust,
Series 2002-A, Class B2, 8.57%, 3/25/32 (a) ............... 5,382,210
8,506,000 Merit Securities Corp.,
Series 13, Class M2, 8.65%, 12/28/33 (c) .................. 3,232,280
2,500,000 Merrill Lynch Mortgage Investors Trust,
Series 2006-SL1, Class B4, 7.50%, 9/25/36 (b) (c) ......... 2,031,250
2,309,909 Morgan Stanley ABS Capital I Inc.,
Series 2004-NC5, Class B4, 7.80%, 5/25/34 (a) (b) ......... 2,299,209
5,000,000 North Street Referenced Linked Notes,
Series 2000-1A, Class B, 6.41%, 4/28/11 (a) (b) ........... 4,353,125
7,000,000 North Street Referenced Linked Notes,
Series 2000-1A, Class D1, 7.96%, 4/28/11 (a) (b) .......... 4,204,375

Page 6 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2007 (UNAUDITED)

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

ASSET-BACKED SECURITIES - (CONTINUED)

$ 1,861,273 Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class M1, 7.18%, 12/15/26 (d) .............. $ 438,149
2,651,629 Oakwood Mortgage Investors, Inc.,
Series 2001-C, Class A3, 6.61%, 2/15/21 (b) ............... 1,555,836
3,000,000 Oakwood Mortgage Investors, Inc.,
Series 2002-B, Class M1, 7.62%, 6/15/32 (d) ............... 1,011,776
4,000,000 Park Place Securities, Inc.,
Series 2004-WCW1, Class M9, 8.82%, 9/25/34 (a) (b) ........ 2,663,086
5,250,000 Park Place Securities, Inc.,
Series 2005-WCH1, Class M10, 7.82%, 1/25/36 (a) (b) (d) ... 4,415,027
1,500,000 Pebble Creek LCDO Ltd.,
Series 2007-2A, Class E, 8.60%, 6/22/14 (a) (b) ........... 1,335,000
4,388,102 Pegasus Aviation Lease Securitization III,
Series 2001-1A, Class A3, 6.00%, 3/10/14 (a) (b) .......... 3,952,034
4,000,000 Rosedale CLO Ltd.,
Series I-A, Class II, 7/24/21 (b) ......................... 3,940,000
1,304,000 Soundview Home Equity Loan Trust,
Series 2006-OPT1, Class M9, 7.82%, 3/25/36 (a) (b) ........ 991,651
3,000,000 Structured Asset Securities Corp.,
Series 2002-HF2, Class M3, 7.32%, 7/25/32 (a) ............. 2,418,281
1,203,286 Structured Asset Securities Corp.,
Series 2004-S3, Class M9, 6.00%, 11/25/34 (b) (c) ......... 1,106,987
5,032,000 Structured Asset Securities Corp.,
Series 2005-S6, Class B2, 7.82%, 11/25/35 (a) (b) ......... 3,467,239
913,000 UCFC Manufactured Housing Contract,
Series 1996-1, Class M, 7.90%, 1/15/28 .................... 617,126
2,000,000 UCFC Manufactured Housing Contract,
Series 1998-3, Class M1, 6.51%, 1/15/30 ................... 890,000
3,000,000 Wilbraham CBO Ltd.,
Series 1A, Class A2, 6.05%, 7/13/12 (a) (b) ............... 2,430,000
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TOTAL ASSET-BACKED SECURITIES ................................ 162,317,677
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(Cost $157,363,251)

COLLATERALIZED MORTGAGE OBLIGATIONS - 7.3%

3,989,976 Countrywide Alternative Loan Trust,
Series 2005-56, Class B4, 6.57%, 11/25/35 (a) (b) ......... 2,593,485
3,138,996 Countrywide Alternative Loan Trust,
Series 2006-OA2, Class B2, 7.57%, 5/20/46 (a) ............. 1,895,169
1,500,137 Countrywide Home Loans, Inc., Pass-Through Certificates,
Series 2004-23, Class B4, 6.57%, 11/25/34 (a) ............. 1,320,121
2,635,627 HarborView Mortgage Loan Trust,
Series 2004-2, Class B5, 6.32%, 6/19/34 (a) ............... 2,345,708
1,688,699 HarborView Mortgage Loan Trust,
Series 2004-8, Class B5, 6.57%, 11/19/34 (a) .............. 1,502,942
1,392,974 Washington Mutual,
Series 2006-AR4, Class B13, 6.25%, 5/25/46 (a) (b) ........ 919,363
3,485,107 Washington Mutual,
Series 2006-AR4, Class B14, 6.25%, 5/25/46 (a) (b) ........ 714,447

See Notes to Financial Statements. Page 7

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2007 (UNAUDITED)

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

COLLATERALIZED MORTGAGE OBLIGATIONS - (CONTINUED)

$ 4,151,141 Washington Mutual Mortgage Pass-Through Certificates,
Series 2006-AR2, Class B13, 6.10%, 4/25/46 (b) (c) ........ $ 2,656,730
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS .................... 13,947,965
---------------
(Cost $13,283,384)

COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.4%

1,000,000 Banc of America Large Loan, Inc.,
Series 2005-MIB1, Class L, 8.32%, 3/15/22 (a) (b) ......... 991,524
360,002 CS First Boston Mortgage Securities Corp.,
Series 1995-WF1, Class G, 8.57%, 12/21/27 (a) (b) ......... 362,762
18,993,589 FannieMae-ACES,
Series 1998-M7, Class N, 0.80%, 5/25/36 (a) (e) (f) ....... 389,046
955,269 GE Capital Commercial Mortgage Corp.,
Series 2000-1, Class G, 6.13%, 1/15/33 (b) ................ 887,357
103,506,484 Government National Mortgage Association,
Series 2001-44, Class IO, 0.65%, 7/16/41 (a) (f) .......... 2,683,509
42,697,375 Government National Mortgage Association,
Series 2003-59, Class XA, 0.92%, 6/16/34 (a) (f) .......... 3,822,303
7,007,818 LB-UBS Commercial Mortgage Trust,
Series 2001-C7, Class S, 5.87%, 11/15/33 (b) .............. 4,064,534
5,000,000 Morgan Stanley Capital I Inc.,
Series 2003-IQ5, Class O, 5.24%, 4/15/38 (b) .............. 2,843,587
---------------
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES .................. 16,044,622
---------------
(Cost $16,618,244)

CORPORATE BONDS AND NOTES - 22.3%

3,000,000 Americast Technologies,
Company Guarantee, 11.00%, 12/01/14 (b) ................... 3,052,500
2,000,000 Blue Ridge Paper Product,
Company Guarantee, 9.50%, 12/15/08 ........................ 2,010,000
1,500,000 Broadview Networks Holdings, Inc.,
Secured Senior Note, 11.38%, 9/01/12 (b) .................. 1,612,500
1,000,000 Coleman Cable Inc.,
Company Guarantee, 9.88%, 10/01/12 ........................ 1,052,500
2,500,000 Dayton Superior Corp.,
Company Guarantee, 13.00%, 6/15/09 ........................ 2,575,000
1,000,000 Edgen Acquisition Corp.,
Secured Senior Note, 9.88%, 2/01/11 ....................... 1,075,000
2,500,000 Elgin National Industries, Inc.,
Series B, Company Guarantee, 11.00%, 11/01/07 ............. 2,512,500
1,500,000 Eurofresh, Inc.,
Senior Notes, 11.50%, 1/15/13 (b) ......................... 1,500,000
3,000,000 GSI Group Inc.,
Company Guarantee, 12.00%, 5/15/13 ........................ 3,412,500
3,000,000 Interdent Service Corp.,
Company Guarantee, 10.75%, 12/15/11 ....................... 2,812,500

Page 8 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2007 (UNAUDITED)

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

CORPORATE BONDS AND NOTES - (CONTINUED)

$ 3,000,000 Key Plastics LLC,
Secured Senior Note, 11.75%, 3/15/13 (b) .................. $ 3,045,000
1,500,000 Lexington Precision Corp.,
Units, 12.00%, 8/01/09 .................................... 1,200,000
2,500,000 MSX International UK, MXS International Business
Service FR/ MXS International GmBH,
Company Guarantee, 12.50%, 4/01/12 (b) .................... 2,531,250
1,000,000 PCA Finance Corp., LLC,
Secured Senior Note, 14.00%, 6/01/09 (b) (g) .............. 400,000
1,000,000 PNA Intermediate Holding Corp.,
Senior Notes, 12.36%, 2/15/13 (a) (b) ..................... 1,032,500
4,833,000 Rafealla Apparel Group, Inc.,
Secured Senior Note, 11.25%, 6/15/11 ...................... 4,953,825
2,603,000 Sheridan Group, Inc.,
Company Guarantee, 10.25%, 8/15/11 ........................ 2,723,389
2,500,000 The Restaurant Company,
Company Guarantee, 10.00%, 10/01/13 ....................... 2,468,750
2,500,000 Ziff Davis Media, Inc.,
Secured Senior Note, 11.36%, 5/01/12 (a) .................. 2,512,500
---------------
TOTAL CORPORATE BONDS AND NOTES .............................. 42,482,214
---------------
(Cost $42,203,656)

SHARES
--------------

PREFERRED SECURITIES - 13.8%

3,000,000 AMMC CLO V Ltd. (a) (b) ...................................... 2,295,000
5,000,000 Babson CLO Ltd,
Series 2005-1A, Subordinated Note (b) ..................... 4,850,000
2,000,000 Babson CLO Ltd., (a) (b) ..................................... 1,560,000
1,000,000 Flagship CLO,
Series 2005-4I, Subordinated Note (b) ..................... 880,000
350,000 Independence III CDO, Ltd.,
Series 3A, Class PS (a) (b) ............................... 542,500
10,000,000 Kenmore Street Synthetic CDO,
Series 2006-1A, Note (a) (b) .............................. 4,700,000
6,500,000 MM Community Funding III,
Series 3A, Subordinated Notes (b) ......................... 3,770,000
2,000,000 Preferred Term Securities XXV, Ltd. (b) ....................... 1,980,000
4,775,000 Pro Rata Funding Ltd., Inc., (a) (b) .......................... 3,915,500
2,000,000 Soloso CDO Ltd.,
Series 2005-1 (a) (b) ..................................... 1,758,125
---------------
TOTAL PREFERRED SECURITIES ................................... 26,251,125
---------------
(Cost $26,942,125)

See Notes to Financial Statements. Page 9

FIRST TRUST STRATEGIC HIGH INCOME FUND II
PORTFOLIO OF INVESTMENTS - (CONTINUED)
APRIL 30, 2007 (UNAUDITED)

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

TOTAL INVESTMENTS - 136.9% ................................... $ 261,043,603
(Cost $256,410,660) (h)

LOAN OUTSTANDING - (40.4)% ................................... (77,000,000)
NET OTHER ASSETS AND LIABILITIES - 3.5% ...................... 6,651,928
---------------
NET ASSETS - 100.0% .......................................... $ 190,695,531
===============
<FN>
- ---------------------------------------------------
(a) Variable rate security. The interest rate shown reflects the rate
in effect at April 30, 2007.
(b) Securities sold within the terms of a private placement
memorandum, exempt from registration under Rule 144A of the
Securities Act of 1933, as amended, and may be resold in
transactions exempt from registration normally to qualified
institutional buyers. Pursuant to procedures adopted by the Fund's
Board of Trustees, these securities have been determined to be
liquid by the Fund's sub-advisor. At April 30, 2007, these
securities amounted to $151,661,922 or 79.53% of net assets.
(c) Step-up security. A security where the coupon increases or steps
up at a predetermined date. Interest rate shown reflects the rate
in effect at April 30, 2007.
(d) Securities sold within the terms of a private placement
memorandum, exempt from registration under Rule 144A of the
Securities Act of 1933, as amended, and may be resold in
transactions exempt from registration normally to qualified
institutional buyers (See Note 2C - Restricted Securities).
(e) Alternative Credit Enhancement Securities.
(f) Interest only.
(g) This borrower has filed for protection in a federal bankruptcy
court.
(h) Aggregate cost for federal income tax and financial reporting
purposes.
</FN>

Page 10 See Notes to Financial Statements.

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2007 (UNAUDITED)

ASSETS:
Investments, at value
(Cost $256,410,660) ......................................................................... $261,043,603
Cash ........................................................................................... 6,043,383
Prepaid expenses ............................................................................... 85,145
Receivables:
Interest ................................................................................... 3,141,049
Dividends .................................................................................. 49,544
Investment securities sold ................................................................. 511,931
-------------
Total Assets ............................................................................. 270,874,655
-------------
LIABILITIES:
Payables:
Outstanding loan ........................................................................... 77,000,000
Investment securities purchased ............................................................ 2,480,467
Interest and fees due on loan .............................................................. 367,539
Investment advisory fees ................................................................... 196,544
Printing fees .............................................................................. 38,801
Audit and legal fees ....................................................................... 37,085
Administrative fees ........................................................................ 20,758
Custodian fees ............................................................................. 6,824
Transfer agent fees ........................................................................ 3,456
Trustees' fees and expenses ................................................................ 3,170
Accrued expenses and other liabilities ......................................................... 24,480
-------------
Total Liabilities ........................................................................ 80,179,124
-------------
NET ASSETS ..................................................................................... $190,695,531
=============

NET ASSETS CONSIST OF:
Undistributed net investment income ............................................................ $ 5,516,356
Accumulated net realized gain on investments sold .............................................. 534,777
Net unrealized appreciation of investments ..................................................... 4,632,943
Par value ...................................................................................... 94,428
Paid-in capital ................................................................................ 179,917,027
-------------
Net Assets ............................................................................... $190,695,531
=============
NET ASSET VALUE, applicable to Common Shares outstanding (par value $0.01 per Common Share) .... $ 20.19
=============
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) .... 9,442,820
=============

See Notes to Financial Statements. Page 11

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2007 (UNAUDITED)

INVESTMENT INCOME:
Interest ............................................................................. $15,276,448
Dividends ............................................................................ 281,183
-----------
Total investment income ........................................................... 15,557,631
-----------

EXPENSES:
Interest and fees on outstanding loan payable ........................................ 2,185,243
Investment advisory fees ............................................................. 1,179,384
Administration fees .................................................................. 124,670
Audit and legal fees ................................................................. 69,189
Printing fees ........................................................................ 30,659
Trustees' fees and expenses .......................................................... 20,229
Transfer agent fees .................................................................. 17,499
Custodian fees ....................................................................... 15,631
Other ................................................................................ 205,237
-----------
Total expenses .................................................................... 3,847,741
-----------
NET INVESTMENT INCOME ................................................................ 11,709,890
-----------

NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments .............................................. (70,748)
Net change in unrealized appreciation (depreciation) on investments .................. (2,033,283)
-----------
Net realized and unrealized gains (losses) ........................................... (2,104,031)
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ...................... $ 9,605,859
===========

Page 12 See Notes to Financial Statements.

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

SIX MONTHS
ENDED PERIOD
4/30/2007 ENDED
(UNAUDITED) 10/31/2006(A)
------------- -------------

OPERATIONS:
Net investment income ................................................................ $ 11,709,890 $ 11,084,939
Net realized gain (loss) on investments .............................................. (70,748) 605,525
Net change in unrealized appreciation (depreciation) on investments .................. (2,033,283) 6,666,226
------------- -------------
Net increase in net assets resulting from operations ................................. 9,605,859 18,356,690

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................................ (9,434,055) (7,844,418)
------------- -------------
Total distributions to shareholders .................................................. (9,434,055) (7,844,418)

CAPITAL TRANSACTIONS:
Net proceeds from sale of 9,405,236 Common Shares .................................... -- 179,640,008
Proceeds from 20,481 and 17,103 Common Shares reinvested, respectively ............... 412,931 334,726
Offering costs ....................................................................... -- (376,210)
------------- -------------
Net increase from capital transactions ............................................... 412,931 179,598,524
------------- -------------
Net increase in net assets ........................................................... 584,735 190,110,796

NET ASSETS:
Beginning of period .................................................................. 190,110,796 --
------------- -------------
End of period ........................................................................ $190,695,531 $190,110,796
============= =============
Undistributed net investment income at end of period ................................. $ 5,516,356 $ 3,240,521
============= =============
<FN>
- --------------------------------------------------
(a) The Fund commenced operations on March 21, 2006.
</FN>

See Notes to Financial Statements. Page 13

FIRST TRUST STRATEGIC HIGH INCOME FUND II
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED APRIL 30, 2007 (UNAUDITED)

CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations .................................... $ 9,605,859
Adjustments to reconcile net increase in net assets resulting
from operations to net cash used by operating activities:
Changes in assets and liabilities:
Increase in investments, at value* ................................................... (17,260,174)
Decrease in interest receivable ...................................................... 65,698
Increase in prepaid expenses and other assets ........................................ (15,661)
Decrease in receivable for investment securities sold ................................ 1,960,180
Increase in payable for investment securities purchased .............................. 947,238
Increase in interest expense and fees due on outstanding loan ........................ 55,995
Increase in investment advisory fees payable ......................................... 5,857
Decrease in audit and legal fees payable ............................................. (7,366)
Increase in printing fees payable .................................................... 14,482
Increase in administrative fees payable .............................................. 411
Increase in custodian fees payable ................................................... 5,036
Increase in accrued expenses and other liabilities ................................... 19,625
------------
CASH USED BY OPERATING ACTIVITIES ....................................................... $ (4,602,820)

CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares reinvested ...................................................... 412,931
Distributions to shareholders from net investment income ............................. (9,434,055)
Issuance of loan ..................................................................... 15,000,000
------------
CASH PROVIDED BY FINANCING ACTIVITIES ................................................... 5,978,876
------------
Increase in cash ........................................................................ 1,376,056
Cash at beginning of period ............................................................. 4,667,327
------------
Cash at end of period ................................................................... $ 6,043,383
============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid during the period for interest ................................................ $ 2,129,248
<FN>
- --------------------------------------------------
* Includes net change in unrealized appreciation (depreciation) on investments
of ($2,033,283).
</FN>

Page 14 See Notes to Financial Statements.

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

SIX MONTHS
ENDED PERIOD
4/30/2007 ENDED
(UNAUDITED) 10/31/2006(a)
-------------- -------------

Net asset value, beginning of period ....................................... $ 20.18 $ 19.10(b)
-------------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................................................... 1.24 1.18
Net realized and unrealized gain (loss) on investments ..................... (0.23) 0.77
-------------- -------------
Total from investment operations ........................................... 1.01 1.95
-------------- -------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income ...................................................... (1.00) (0.83)
-------------- -------------
Total from distributions ................................................... (1.00) (0.83)
-------------- -------------
Common Shares offering costs charged to paid-in capital .................... -- (0.04)
-------------- -------------
Net asset value, end of period ............................................. $ 20.19 $ 20.18
============== =============
Market value, end of period ................................................ $ 21.07 $ 20.88
============== =============
TOTAL RETURN BASED ON NET ASSET VALUE (C)(D) ............................... 5.33% 10.13%
============== =============
TOTAL RETURN BASED ON MARKET VALUE (D)(E) .................................. 6.03% 8.93%
============== =============
- --------------------------------------------------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ....................................... $ 190,696 $ 190,111
Ratio of net expenses to average net assets excluding interest expense ..... 1.76%(f) 1.40%(f)
Ratio of total expenses to average net assets .............................. 4.08%(f) 2.13%(f)
Ratio of net investment income to average net assets ....................... 12.42%(f) 10.15%(f)
Portfolio turnover rate .................................................... 14%(g) 24%(g)

INDEBTEDNESS:
Loan outstanding (in 000's) ................................................ $ 77,000 $ 62,000
Asset coverage per $1,000 of indebtedness (h) .............................. $ 3,477 $ 4,066
<FN>
- --------------------------------------------------
(a) The Fund commenced operations on March 21, 2006.
(b) Net of sales load of $0.90 per share on initial shares issued.
(c) 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.
(d) Total return is not annualized for periods less than one year.
(e) 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 value.
(f) Annualized.
(g) Not Annualized.
(h) Calculated by subtracting the Fund's total liabilities (not including the
loan outstanding) from the Fund's total assets, and dividing by the
outstanding loan balance.
</FN>

See Notes to Financial Statements. Page 15

- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2007 (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 seeks
to achieve its investment objectives by investing in a diversified portfolio of
non-investment grade and investment grade debt securities, and equity securities
that Valhalla Capital Partners LLC ("Valhalla" or 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.

The Fund follows the provisions of EMERGING ISSUES TASK FORCE NO. 99 20 ("EITF
99 20"), "Recognition of Interest Income and Impairment on Purchased and
Retained Beneficial Interests in Securitized Financial Assets" for certain lower
credit quality securitized assets that have contractual cash flows (for example,
asset-backed securities, collateralized mortgage obligations and commercial
mortgage-backed securities). Under EITF 99 20, if there is a change in the
estimated cash flows for any of these securities, based on an evaluation of
current information, then the estimated yield is adjusted on a prospective basis
over the remaining life of the security. Investment income is recorded net of
foreign taxes withheld where recovery of such taxes is uncertain. Debt
obligations may be placed on non-accrual status and related interest income may
be reduced by ceasing current accruals and writing off interest receivables when
the

Page 16

- --------------------------------------------------------------------------------
Notes to Financial Statements - (Continued)
- --------------------------------------------------------------------------------
FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2007 (UNAUDITED)

collection of all or a portion of interest has become doubtful based on
consistently applied procedures. A debt obligation is removed from non-accrual
status when the issuer resumes interest payments or when collectibility of
interest is reasonably assured.

Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund maintains liquid assets with a
current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments.

C. RESTRICTED SECURITIES:

The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the Securities Act
of 1933, as amended (the "Securities Act"). Prior to registration, restricted
securities may only be resold in transactions exempt from registration under
Rule 144A of the Securities Act, normally to qualified institutional buyers. As
of April 30, 2007, the Fund held restricted securities as shown in the following
table that the Sub-Advisor has deemed illiquid pursuant to procedures adopted by
the Fund's Board of Trustees. 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.

CARRYING CURRENT 4/30/07 % OF
ACQUISITION PRINCIPAL VALUE PER UNIT CARRYING MARKET NET
SECURITY DATE VALUE AT 4/30/07 COST VALUE ASSETS

Oakwood Mortgage Investors, Inc., Series 1999-B,
Class M1, 7.18%, 12/15/26 4/27/06 $ 1,861,273 $11.62 $ 216,187 $ 438,149 0.23%
Oakwood Mortgage Investors, Inc., Series 2002-B,
Class M1, 7.62%, 6/15/32 7/17/06 3,000,000 20.89 626,761 1,011,776 0.53%
Park Place Securities, Inc., Series 2005-WCH1,
Class M10, 7.82%, 1/25/36 4/4/06 5,250,000 94.01 4,935,635 4,415,027 2.32%
------------ ------------ ------------ ------
$ 10,111,273 $ 5,778,583 $ 5,864,952 3.08%
============ ============ ============ ======

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.

The tax character of distributions paid during the fiscal year ended October 31,
2006 was as follows:

Distributions paid from: 2006
Ordinary Income..................................... $7,844,418

As of October 31, 2006, the components of distributable earnings on a tax basis
were as follows:

Undistributed Ordinary Income....................... $4,196,296
Undistributed Long-Term Capital Gains $ --
Net Unrealized Appreciation ........................ $6,315,977

E. INCOME TAXES:

The Fund intends to continue 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.

F. EXPENSES:

The Fund pays all expenses directly related to its operations.

Page 17

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 during the period ended October 31,
2006.

H. ACCOUNTING PRONOUNCEMENTS:

In July 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes."
This pronouncement provides guidance on the recognition, measurement,
classification, and disclosures related to uncertain tax positions, along with
any related interest and penalties. FIN 48 is effective for fiscal years
beginning after December 15, 2006. At this time, management is evaluating the
implications of FIN 48 and its impact on the financial statements has not yet
been determined.

In addition, in September 2006, Statement of Financial Accounting Standards No.
157 Fair Value Measurements ("SFAS 157") was issued and is effective for fiscal
years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Fund's financial statement disclosures.

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 liabilities 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 at an annual
rate 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.

Effective January 1, 2007, the Trustees approved a revised compensation plan.
Under the revised plan, each Trustee who is not an officer or employee of First
Trust Advisors, any sub-advisor or any of their affiliates, ("Independent
Trustees") is paid an annual retainer of $10,000 per investment company for the
first 14 investment companies of the First Trust Fund Complex and an annual
retainer of $7,500 per investment company of each subsequent investment company
added to the First Trust Fund Complex. The annual retainer is allocated equally
among each of the investment companies. No additional meeting fees are paid in
connection with board or committee meetings.

Additionally, Thomas R. Kadlec is paid $10,000 annually to serve as the Lead
Independent Trustee and Niel B. Nielson is paid $5,000 annually to serve as the
chairman of the Audit Committee with such compensation paid by the funds in the
First Trust Fund Complex and divided among those funds. Trustees are also
reimbursed by the investment companies in the First Trust Fund Complex for
travel and out-of-pocket expenses in connection with all meetings. The Trustees
adopted the revised plan because the increase in the number of funds in the
First Trust Fund Complex had the effect of rapidly increasing their compensation
under the previous arrangements. Prior to January 1, 2007, the Funds paid each
Trustee who is not an officer or employee of First Trust Advisors, any
sub-advisor or any of their affiliates an annual retainer of $10,000, which
included compensation for all board and committee 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 six months ended April 30,
2007, aggregated amounts were $57,621,960 and $ 34,901,401, respectively.

Page 18

As of April 30, 2007, the aggregate gross unrealized appreciation for all
securities in which there as an excess of value over tax cost was $12,706,066
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $8,073,123.

5. COMMON SHARES

As of April 30, 2007, 9,442,820 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:

SIX MONTHS ENDED PERIOD ENDED
APRIL 30, 2007 OCTOBER 31, 2006
SHARES AMOUNT SHARES AMOUNT

Proceeds from Common Shares sold ............... -- $ -- 9,405,236 $179,640,008
Issued as reinvestment of dividends under the
Dividend Reinvestment Plan .................. 20,481 412,931 17,103 334,726
Offering costs ................................. -- -- -- (376,210)
---------- -------- --------- ------------
20,481 $412,931 9,422,339 $179,598,524
========== ======== ========= ============

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, 2007, no Preferred Shares had been issued.

7. REVOLVING LOAN AGREEMENT

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 $77,000,000. For the period
ended April 30, 2007, the average amount outstanding was $74,265,193. The high
and low annual interest rates during the period ended April 30, 2007 were 5.35%
and 5.32%, respectively, and the weighted average interest rate was 5.33%.

8. 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.

RESIDENTIAL MORTGAGE-BACKED SECURITIES CONCENTRATION RISK: The Fund will invest
at least 25% of its total assets in residential mortgage-backed securities under
normal market conditions. A fund concentrated in a single industry is likely to
present more risks than a fund that is broadly diversified over several
industries. Mortgage-backed securities may have less potential for capital
appreciation than comparable fixed-income securities, due to the likelihood of
increased prepayments of mortgages as interest rates decline. If the Fund buys
mortgage-backed securities at a premium, mortgage foreclosures and prepayments
of principal by mortgagors (which usually may be made at any time without
penalty) may result in some loss of the Fund's principal investment to the
extent of the premium paid. Alternatively, in a rising interest rate
environment, the value of mortgage-backed securities may be adversely affected
when payments on underlying mortgages do not occur as anticipated, resulting in
the extension of the security's effective maturity and the related increase in
interest rate sensitivity of a longer-term instrument. The value of
mortgage-backed securities may also change due to shifts in the market's
perception of issuers and regulatory or tax changes adversely affecting the
markets as a whole. In addition, mortgage-backed securities are subject to the
credit risk associated with the performance of the underlying mortgage
properties. In certain instances, third-party guarantees or other forms of
credit support can reduce the credit risk.

Page 19

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.

9. SUBSEQUENT EVENTS

On April 20, 2007, the Fund declared a dividend of $0.1667 per share, which
represents a dividend from net investment income to Common Shareholders of
record May 3, 2007, payable May 15, 2007.

On May 21, 2007, 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, 2007, payable June 15, 2007.

Page 20

- --------------------------------------------------------------------------------
Additional Information
- --------------------------------------------------------------------------------
FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2007 (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 is
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 21

- --------------------------------------------------------------------------------
Additional Information - (Continued)
- --------------------------------------------------------------------------------
FIRST TRUST STRATEGIC HIGH INCOME FUND II
APRIL 30, 2007 (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 are 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 (800) SEC-0330.

NYSE CERTIFICATION INFORMATION

In accordance with Section 303A-12 of the New York Stock Exchange ("NYSE")
Listed Company Manual, the Fund's President has certified to the NYSE that, as
of May 10, 2007, he was not aware of any violation by the Fund of NYSE corporate
governance listing standards. In addition, the Fund's reports to the SEC on
Forms N-CSR, N-CSRS and N-Q contain certifications by the Fund's principal
executive officer and principal financial officer that relate to the Fund's
public disclosure in such reports and are required by Rule 30a-2 under the 1940
Act.

BY-LAW AMENDMENTS

On June 12, 2006 and December 10, 2006, the Board of Trustees of the Fund
approved certain changes to the By-Laws of the Fund that may have the effect of
delaying or preventing a change of control of the Fund including the
implementation of a staggered Board of Trustees. These changes were not required
to be, and were not, approved by the Fund's shareholders. To receive a copy of
the revised By-Laws, investors may call the Fund at (800) 988-5891.

SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS

The Joint Annual Meeting of Shareholders of the Common Shares of Macquarie/First
Trust Global Infrastructure/Utilities Dividend & Income Fund, Energy Income and
Growth Fund, First Trust/Fiduciary Asset Management Covered Call Fund, First
Trust/Aberdeen Global Opportunity Income Fund, First Trust/FIDAC Mortgage Income
Fund, First Trust Strategic High Income Fund, First Trust Strategic High Income
Fund II, First Trust Tax-Advantaged Preferred Income Fund and First
Trust/Aberdeen Emerging Opportunity Fund was held on April 16, 2007. The Annual
Meeting for the Fund was adjourned until May 29, 2007. At the Annual Meeting,
Trustee Keith was elected for a one-year term; Trustees Erickson and Kadlec were
elected for two-year terms; and Trustees Bowen and Nielson were elected for
three-year terms. The number of votes cast in favor of James A. Bowen was
6,168,474, the number of votes withheld was 123,066 and the number of
abstentions was 3,143,445. The number of votes cast in favor of Niel B. Nielson
was 6,167,974, the number of votes withheld was 123,566 and the number of
abstentions was 3,143,445. The number of votes cast in favor of Richard E.
Erickson was 6,168,474, the number of votes withheld was 123,066 and the number
of abstentions was 3,143,445. The number of votes cast in favor of Thomas R.
Kadlec was 6,168,474 umber of votes withheld was 123,066 and the number of
abstentions was 3,143,445. The number of votes cast in favor of Robert F. Keith
was 6,168,474, the number of votes withheld was 123,066 and the number of
abstentions was 3,143,445.

Also at the Annual Meeting of Shareholders of the Fund, the Shareholders
approved a change in the Fund's industry concentration policy to provide that
the Fund will invest at least 25% of its total assets in residential
mortgage-backed securities under normal market conditions. The number of votes
cast in favor of the change in industry concentration policy was 4,096,601, the
number of votes cast against was 202,311, the number of abstentions was 261,332,
and the number of broker non-votes was 1,538,537.

As a result of this change in industry concentration policy, please see the
additional concentration of risk disclosure in footnote 8 in the Notes to
Financial Statements.

CHANGE IN INVESTMENT POLICIES

First Trust Strategic High Income Fund II may invest up to 50% of its Managed
Assets in foreign securities, provided, however, that the total of 30% (this
percentage was incorrectly stated as 40% in the Fund's annual report for the
period ended October 31, 2007) of the percentage of Managed Assets invested in
obligations of foreign domiciled structured finance issuers plus the percentage
of Managed Assets invested in other foreign domiciled issuers does not exceed
20% of the Fund's Managed Assets.

The open-end and closed-end funds advised by First Trust Advisors L.P. (each a
"FUND") consider your privacy an important priority in maintaining our
relationship. We are committed to protecting the security and confidentiality of
your personal information.

Page 22

SOURCES OF INFORMATION

We may collect nonpublic personal information about you from the following
sources:

o Information we receive from you or your broker-dealer, investment adviser
or financial representative through interviews, applications, agreements or
other forms;

o Information about your transactions with us, our affiliates or others;

o Information we receive from your inquiries by mail, e-mail or telephone;
and

o Information we collect on our website through the use of "cookies." For
example, we may identify the pages on our website that your browser
requests or visits.

INFORMATION COLLECTED

The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.

DISCLOSURE OF INFORMATION

We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. The permitted uses
include the disclosure of such information to unaffiliated companies for the
following reasons:

o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your personal
information as described above to unaffiliated financial service providers
and other companies that perform administrative or other services on our
behalf, such as transfer agents, custodians and trustees, or that assist us
in the distribution of investor materials such as trustees, banks,
financial representatives and printers.

o We may release information we have about you if you direct us to do so, if
we are compelled by law to do so, or in other legally limited circumstances
(for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services,
we may share your personal information with affiliates of the Fund. Please note,
however, that the California Financial Information Privacy Act contains an "opt
out" mechanism that California consumers may use to prevent us from sharing
nonpublic personal information with affiliates.

CONFIDENTIALITY AND SECURITY

With regard to our internal security procedures, the Fund restricts access to
your nonpublic personal information to those individuals who need to know that
information to provide products or services to you. We maintain physical,
electronic and procedural safeguards to protect your nonpublic personal
information.

POLICY UPDATES AND INQUIRIES

As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time; however, if we do change
it, we will tell you promptly.

For questions about our policy, or for additional copies of this notice, please
contact us at (800) 621-1675.

Page 23

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.

(a) Not applicable.

(b) There has been no change, as of the date of this filing, in any of the
portfolios managers identified in response to paragraph (a)(1) of this Item
in the Registrant's most recently filed annual report on Form N-CSR.

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.

There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.

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 second fiscal
quarter of the period covered by this 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 29, 2007
----------------------------------------------------------------------------

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 29, 2007
----------------------------------------------------------------------------

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 29, 2007
----------------------------------------------------------------------------

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