UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust/Four Corners Senior Floating Rate Income Fund II
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(Exact name of registrant as specified in charter)
120 East Liberty Drive
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios, L.P.
120 East Liberty Drive
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2008
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and
274.5 of this chapter), to file reports with the Commission, not later than
60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5).
The Commission may use the information provided on Form N-Q in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of
the information collection burden estimate and any suggestions for reducing
the burden to the Secretary, Securities and Exchange Commission, 100 F
Street, NE, Washington, DC 20549. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - 165.6%
AEROSPACE & DEFENSE - 6.0%
$ 500,000 BE Aerospace, Inc. Ba1 BBB- 5.75%-5.91% 07/28/14 $ 499,375
3,149,641 DAE Aviation Holdings, Inc. B1 BB- 6.41%-6.55% 07/31/14 2,937,040
2,273,863 GenCorp, Inc. Ba2 BB 4.72%-5.06% 04/30/13 2,182,908
1,554,665 Hexcel Corporation Ba1 BB+ 4.81%-4.94% 03/01/12 1,523,572
821,887 ILC Industries, Inc. NR(e) NR(e) 4.80% 02/24/12 786,957
2,000,000 L-1 Identity Solutions Operating
Company Ba3 BB+ 7.50% 08/05/13 1,995,000
2,829,862 Spirit Aerosystems, Inc. Ba3 BBB- 4.54% 09/30/13 2,750,272
4,321,413 Robertson Aviation, LLC NR(e) NR(e) 5.22%-6.75% 04/19/13 4,062,128
992,481 Safenet, Inc. B1 B+ 5.79% 04/12/14 853,534
1,492,736 Vought Aircraft Industries, Inc. Ba3 B- 4.97% 12/22/11 1,410,635
3,100,000 Vought Aircraft Industries, Inc. Ba3 B- 4.96% 12/22/10 2,929,500
2,000,000 Wesco Aircraft Hardware Corp. B1 BB- 5.06% 09/29/13 1,917,500
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23,848,421
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AGRICULTURAL PRODUCTS - 2.2%
9,455,542 Dole Food Company, Inc. Ba3 B+ 4.50%-6.00% 04/12/13 8,678,420
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AIRLINES - 0.1%
495,000 Delta Air Lines, Inc. Ba2 BB- 4.47%-4.61% 04/30/12 413,325
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ALUMINUM - 1.1%
3,068,791 Novelis Corp. Ba2 BB 4.81% 07/06/14 2,888,500
1,394,905 Novelis, Inc. Ba2 BB 4.81% 07/06/14 1,312,955
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4,201,455
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APPAREL RETAIL - 0.5%
1,394,643 Hanesbrands, Inc. Ba2 BB+ 4.55% 09/05/13 1,352,416
891,139 The Neiman Marcus Group, Inc. Ba3 BB+ 4.42% 04/06/13 826,734
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2,179,150
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APPLICATION SOFTWARE - 0.6%
2,815,385 Verint Systems, Inc. NR B+ 5.71% 05/25/14 2,554,961
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ASSET MANAGEMENT & CUSTODY BANKS - 2.0%
458,319 Gartmore Investment Management Ba3 BB+ 4.55% 05/12/14 405,230
1,409,976 Grosvenor Capital Management
Holdings, LLP NR(e) NR(e) 4.50%-4.68% 12/05/13 1,332,427
3,903,223 LPL Holdings, Inc. B1 B 4.47%-4.80% 06/30/14 3,669,030
2,992,500 Nuveen Investments, Inc. Ba3 BB- 5.47% 11/13/14 2,763,574
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8,170,261
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AUTO PARTS & EQUIPMENT - 0.2%
1,008,925 TRW Automotive, Inc. Baa3 BBB 4.19%-4.31% 05/09/14 963,523
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AUTOMOBILE MANUFACTURERS - 2.4%
2,893,172 Ford Motor Company Ba3 B- 5.47% 12/15/13 2,241,175
9,912,166 General Motors Corp. B1 B+ 5.16% 11/29/13 7,317,964
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9,559,139
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AUTOMOTIVE RETAIL - 0.9%
3,938,581 KAR Holdings, Inc. Ba3 B+ 5.06% 10/18/13 3,503,695
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BROADCASTING - 9.3%
6,400,000 Citadel Broadcasting Corporation B1 BB- 4.10%-4.44% 06/12/14 5,136,000
921,990 Cumulus Media, Inc. B1 B 4.22% 06/07/14 766,789
5,400,246 Gray Television, Inc. B2 B 3.97%-4.29% 12/31/14 4,482,204
4,398,750 LBI Media, Inc. Ba2 B+ 3.97% 03/31/12 3,738,938
1,500,000 Paxson Communications Corp. B1 CCC+ 6.04% 01/15/12 1,215,000
3,500,000 Raycom Media, Inc. NR NR 4.00% 06/25/14 3,150,000
2,481,250 Sirius Satellite Radio, Inc. B1 B 4.94%-5.44% 12/20/12 2,233,125
1,155,750 Univision Communications, Inc. (f) Caa1 CCC 4.97% 03/29/09 1,094,110
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
BROADCASTING - (CONTINUED)
$ 16,000,000 Univision Communications, Inc. B1 B 4.72%-5.05% 09/29/14 $12,835,552
2,984,732 Young Broadcasting, Inc. B1 B 5.31% 11/03/12 2,447,480
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37,099,198
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BUILDING PRODUCTS - 0.1%
1,000,000 South Edge, LLC (j) (k) NR(e) NR(e) 7.75% 10/31/09 595,000
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CABLE AND SATELLITE - 8.3%
16,417,500 Charter Communications
Operating, LLC B1 B+ 4.67%-4.80% 03/06/14 14,340,227
8,762,678 CSC Holdings, Inc. Ba1 BBB- 4.21% 03/29/13 8,333,307
1,997,436 DIRECTV Holdings, LLC Baa3 BBB- 3.97%-5.25% 04/13/13 1,977,587
9,000,000 UPC Distribution Holding B.V. Ba3 B+ 4.21% 12/31/14 8,428,500
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33,079,621
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CASINOS & GAMING - 12.6%
1,988,976 Cannery Casino Resorts, LLC B2 BB 4.93%-5.06% 05/18/13 1,882,069
3,379,552 CCM Merger, Inc. B1 BB- 4.68%-4.81% 04/25/12 3,033,148
2,270,892 Fontainebleau Resorts Las Vegas, LLC B1 B+ 5.92% 06/06/14 1,748,587
229,108 Fontainebleau Resorts Las Vegas, LLC (g) B1 B+ 2.00% (h) 06/06/14 176,413
1,573,091 Golden Nugget, Inc. B1 BB- 4.48% 06/14/14 1,321,396
898,909 Golden Nugget, Inc. (g) B1 BB- 2.00% (h)-4.47% 06/30/14 755,084
1,477,500 Great Canadian Gaming Corp. Ba2 BBB- 4.30% 02/14/14 1,422,094
951,136 Green Valley Ranch Gaming, LLC B2 BB- 4.47%-4.80% 02/16/14 728,570
985,000 Greenwood Racing, Inc. B2 BB- 4.72% 11/28/11 925,900
990,882 Isle of Capri Casinos, Inc. Ba3 BB 4.55% 11/30/13 843,489
13,888,000 Las Vegas Sands, LLC Ba3 BB 4.56% 05/23/14 11,817,424
5,474,444 Penn National Gaming, Inc. Ba2 BB+ 4.21%-4.55% 10/03/12 5,238,846
6,575,749 Seminole Tribe of Florida Baa3 BBB 4.19%-4.31% 03/05/14 6,340,120
6,000,000 VML US Finance, LLC B1 BB- 5.06% 05/25/13 5,809,998
2,142,857 WIMAR LANDCO, LLC (i) WR WR 6.25% 07/03/08 1,678,571
8,526,799 WIMAR OPCO, LLC (i) WR WR 8.25% 01/03/12 6,901,378
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50,623,087
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COMMODITY CHEMICALS - 0.4%
989,899 Ineos Group Limited Ba3 BB- 4.88% 12/14/13 836,464
989,899 Ineos Group Limited Ba3 BB- 5.38% 12/14/14 836,464
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1,672,928
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COMPUTER HARDWARE - 1.2%
5,762,698 Activant Solutions Holdings, Inc. B1 B+ 4.69%-4.81% 05/02/13 4,984,734
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DATA PROCESSING & OUTSOURCED
SERVICES - 1.4%
6,930,000 Clarke American Corp. B1 BB- 5.29%-5.30% 06/30/14 5,696,460
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DISTILLERS & VINTNERS - 0.6%
2,500,000 Constellation Brands, Inc. Ba3 BB- 4.00%-4.19% 06/05/13 2,407,033
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DIVERSIFIED CHEMICALS - 4.2%
3,000,000 Brenntag Holding GmbH &
Company KG (f) Caa1 CCC+ 7.07% 06/18/15 2,430,000
7,000,000 Brenntag Holding GmbH &
Company KG B1 B+ 5.07% 01/17/14 6,440,000
7,222,102 Huntsman International, LLC Ba1 BB+ 4.22% 04/19/14 6,802,815
994,845 Rockwood Specialties Group, Inc. Ba2 BB+ 4.30% 07/30/12 953,275
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16,626,090
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DIVERSIFIED METALS & MINING - 0.7%
2,797,500 Alpha Natural Resources, LLC Ba3 BB 4.55% 10/26/12 2,755,538
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See Notes to Quarterly Portfolio of Investments Page 2
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
DIVERSIFIED SUPPORT SERVICES - 0.8%
$ 3,210,492 RSC Equipment Rental Ba2 BB 4.55%-4.56% 11/30/12 $ 3,001,810
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EDUCATION SERVICES - 1.4%
1,921,818 Education Management, LLC B2 B+ 4.56% 06/01/13 1,752,287
4,051,667 PRO-QUEST-CSA, LLC Ba3 BB- 4.97%-5.30% 02/09/14 3,849,083
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5,601,370
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ELECTRIC UTILITIES - 7.7%
995,879 Astoria Generating Company
Acquisitions, LLC B1 BB- 4.23% 02/23/12 956,541
6,932,613 Calpine Corporation B2 B+ 5.69% 03/29/14 6,438,664
7,932,990 Covanta Energy Corporation Ba2 BB 4.18%-4.31% 02/09/14 7,536,340
2,596,380 Mirant North America, LLC Ba2 BB 4.22% 01/03/13 2,491,901
10,602,051 NRG Energy, Inc. Ba1 BB 4.30% 02/01/13 10,042,496
1,986,347 Riverside Energy Center, LLC Ba3 BB- 7.05% 06/24/11 1,986,347
1,163,786 Rocky Mountain Energy
Center, LLC Ba3 BB- 7.05% 06/24/11 1,163,786
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30,616,075
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ELECTRICAL COMPONENTS & EQUIPMENT - 0.4%
1,583,898 Itron, Inc. Ba3 B+ 4.22% 04/18/14 1,536,381
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ENVIRONMENTAL & FACILITIES SERVICES - 1.3%
5,300,341 EnergySolutions, LLC Ba2 NR(e) 4.73%-5.47% 06/07/13 5,154,582
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FOOD DISTRIBUTORS - 2.0%
847,826 B&G Foods, Inc. Ba2 BB- 4.81% 02/23/13 816,033
854,167 Birds Eye Foods, Inc. NR(e) NR(e) 4.56% 03/22/13 811,458
3,975,000 Dean Foods Company B1 BB 3.97%-4.31% 04/02/14 3,717,619
2,500,000 New Uno Acquisition Corporation NR NR(e) 7.75% 07/25/14 2,509,823
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7,854,933
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FOOD RETAIL - 2.2%
9,354,259 SUPERVALU, Inc. Ba3 BB+ 3.72% 06/02/12 8,777,410
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FOREST PRODUCTS - 3.9%
16,625,159 Georgia-Pacific Corporation Ba2 BB+ 4.22%-4.55% 12/20/12 15,697,409
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GAS UTILITIES - 0.2%
1,000,000 Atlas Pipeline Partners, L.P. Ba2 BB- 4.97% 07/27/14 970,000
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HEALTH CARE EQUIPMENT - 1.0%
3,965,025 Biomet, Inc. B1 BB- 5.80% 03/25/15 3,883,246
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HEALTH CARE FACILITIES - 5.0%
5,927,343 HCA, Inc. Ba3 BB 5.05% 11/17/13 5,550,708
5,601,955 Health Management Associates,
Inc. B1 BB- 4.55% 02/28/14 5,128,903
511,777 Lifepoint Hospitals, Inc. Ba2 BB 4.44% 04/15/12 494,120
5,814,302 Select Medical Corporation Ba2 BB- 4.47%-6.00% 02/24/12 5,389,131
2,806,263 Sun Healthcare Group, Inc. Ba2 B+ 4.80%-5.04% 04/19/14 2,602,809
828,226 USP Domestic Holdings, Inc. Ba3 B 4.48%-4.80% 04/19/14 751,615
161,290 USP Domestic Holdings, Inc. (g) Ba3 B 1.75% (h)-4.94% 04/19/14 146,371
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20,063,657
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HEALTH CARE SERVICES - 9.8%
12,244,822 CHS/Community Health Systems, Inc. Ba3 BB 4.72%-5.06% 07/25/14 11,572,753
626,450 CHS/Community Health Systems, Inc. (g) Ba3 BB 1.00% (h) 07/25/14 592,067
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
HEALTH CARE SERVICES - (CONTINUED)
$ 10,611,970 DaVita, Inc. Ba1 BB+ 3.97%-4.32% 10/05/12 $10,204,077
8,134,335 Fresenius Medical Care AG Baa3 BBB- 4.17%-4.19% 03/31/13 7,876,322
1,970,000 Healthways, Inc. Ba2 BB+ 4.30% 12/01/13 1,901,050
1,466,250 Quintiles Transnational Corp. B1 BB 4.81% 03/31/13 1,392,938
5,858,128 US Oncology Holdings, Inc. Ba2 BB- 5.55% 08/20/11 5,638,448
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39,177,655
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HOMEBUILDING - 0.2%
984,887 Mattamy Funding Partnership NR(e) NR(e) 5.06% 04/11/13 819,918
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INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS - 2.8%
6,499,810 Dynegy Holdings, Inc. Ba1 BB- 3.96% 04/02/13 6,005,551
5,458,750 Texas Competitive Electric Holdings
Company, LLC Ba3 B+ 5.96%-6.30% 10/10/14 5,077,602
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11,083,153
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INDUSTRIAL CONGLOMERATES - 0.1%
560,770 Mueller Water Products, Inc. Ba3 BB+ 4.22%-4.55% 05/24/14 524,320
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INDUSTRIAL MACHINERY - 0.3%
1,485,000 Edwards (Cayman Islands II) Ltd. B1 BB- 4.81% 05/31/14 1,288,238
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INSURANCE BROKERS - 0.4%
802,036 HealthCare Partners, LLC Ba3 BB+ 4.22% 10/31/13 760,931
808,824 HUB International Holdings, Inc. B2 B+ 5.30% 06/13/14 731,985
181,794 HUB International Holdings, Inc. (g) B2 B+ 1.88% (h)-5.30% 06/13/14 164,524
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1,657,440
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INTEGRATED TELECOMMUNICATION SERVICES - 2.2%
6,877,500 Intelsat Corp. B1 BB- 5.29% 07/03/13 6,540,991
2,289,506 Telesat Canada B1 BB- 5.67%-5.81% 10/31/14 2,194,349
196,478 Telesat Canada (g) B1 BB- 1.50% (h)-5.81% 10/31/14 188,311
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8,923,651
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INTERNET RETAIL - 0.5%
2,429,519 Sabre Holdings Corp. B1 B+ 4.47%-4.80% 09/30/14 1,850,147
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INTERNET SOFTWARE & SERVICES - 2.0%
8,739,320 SunGard Data Systems, Inc. Ba3 BB 4.55% 02/28/14 8,201,852
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INVESTMENT BANKING & BROKERAGE - 1.1%
4,534,394 Ameritrade Holding Corporation Ba1 BB 3.97% 12/31/12 4,404,973
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IT CONSULTING & OTHER SERVICES - 2.5%
2,097,956 Alion Science and Technology
Corp. B1 B+ 5.17%-5.49% 02/06/13 1,657,385
602,487 Apptis (DE), Inc. B1 B+ 5.72%-6.06% 12/20/12 518,139
992,228 CACI International, Inc. Ba1 NR 3.97%-4.32% 05/03/11 972,382
965,461 iPayment, Inc. B1 B 4.46%-4.80% 05/10/13 827,883
1,050,267 Open Solutions, Inc. Ba3 BB- 5.15% 01/23/14 735,187
5,910,188 West Corporation B1 BB- 4.84%-5.17% 10/24/13 5,185,268
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9,896,244
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LEISURE FACILITIES - 2.3%
4,410,000 Cedar Fair, L.P. Ba3 BB 4.47% 08/30/12 4,165,611
975,554 London Area and Waterfront
Finance, LLC NR(e) NR(e) 5.29% 03/08/12 912,143
3,628,350 Six Flags, Inc. B1 B 4.73%-5.05% 04/30/15 3,105,479
987,500 Town Sports International, LLC Ba2 BB 4.25% 02/27/14 839,375
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9,022,608
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See Notes to Quarterly Portfolio of Investments Page 4
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
LEISURE PRODUCTS - 0.4%
$ 1,968,922 LodgeNet Entertainment Corp. B1 B 4.81% 04/04/14 $ 1,742,496
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LIFE & HEALTH INSURANCE - 0.9%
1,607,468 Conseco, Inc. B1 B+ 4.47% 10/10/13 1,342,236
1,237,554 Multiplan Merger Corporation B1 B+ 5.00% 04/12/13 1,169,488
1,250,000 Viant Holdings, Inc. Ba3 B+ 5.05% 06/25/14 1,100,000
-----------
3,611,724
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MANAGED HEALTH CARE - 1.9%
4,963,346 IASIS Healthcare Corporation Ba2 B+ 4.39%-4.47% 03/15/14 4,657,272
2,928,590 Vanguard Health Systems, Inc. Ba3 B+ 5.05% 09/23/11 2,818,768
-----------
7,476,040
-----------
METAL & GLASS CONTAINERS - 1.7%
7,181,250 Owens-Illinois Group, Inc. Baa3 BBB- 3.96% 06/14/13 6,969,403
-----------
MORTGAGE REITs - 1.0%
1,870,000 LNR Property Corporation B2 BB 6.04% 07/12/09 1,486,650
3,080,000 LNR Property Corporation B2 BB 6.04% 07/12/11 2,376,734
-----------
3,863,384
-----------
MOVIES & ENTERTAINMENT - 6.6%
4,777,500 AMC Entertainment, Inc. Ba1 BB- 4.22% 01/26/13 4,501,303
1,256,299 Deluxe Entertainment Services
Group, Inc. B1 B 4.72%-5.06% 05/11/13 1,105,544
4,950,000 Discovery Communications
Holding, LLC NR(e) NR(e) 4.80% 05/14/14 4,825,013
2,000,000 National CineMedia, LLC B1 B+ 4.54% 02/13/15 1,798,928
972,559 NEP II, Inc. NR(e) NR(e) 5.05% 02/16/14 875,303
3,000,000 Regal Cinemas Corporation Ba2 BB- 4.30% 10/27/13 2,830,833
1,500,000 TWCC Holding Corp. Ba2 BB 7.25% 09/14/15 1,451,250
9,533,904 WMG Acquisition Corp. Ba3 BB 4.47%-4.81% 03/01/11 8,942,011
-----------
26,330,185
-----------
MULTI-UTILITIES - 1.2%
4,990,600 KGEN, LLC Ba3 BB 4.56% 02/08/14 4,653,735
-----------
OFFICE REITs - 0.2%
1,000,000 Tishman Speyer Real Estate D.C.
Area Portfolio, L.P. Ba2 BB- 4.22% 12/27/12 820,000
-----------
OFFICE SERVICES & SUPPLIES - 1.3%
2,835,795 Emdeon Business Services, LLC B1 BB- 4.81% 11/16/13 2,665,647
1,193,791 Pike Electric, Inc. NR(e) NR(e) 4.00% 07/01/12 1,164,692
1,349,428 Pike Electric, Inc. NR(e) NR(e) 4.00% 12/10/12 1,316,536
-----------
5,146,875
-----------
OIL & GAS EQUIPMENT & SERVICES - 1.6%
1,989,950 Hercules Offshore, Inc. Ba3 BB 4.55% 07/11/13 1,917,814
3,741,274 Targa Resources, Inc. Ba3 B+ 4.47%-4.80% 10/31/12 3,587,882
1,000,000 Volnay Acquisition Co. I Ba1 BB+ 4.80%-4.81% 01/12/14 972,500
-----------
6,478,196
-----------
OIL & GAS EXPLORATION & PRODUCTION - 1.0%
2,227,273 ATP Oil & Gas Corporation NR NR 8.50% 07/15/14 2,143,750
1,272,727 ATP Oil & Gas Corporation NR NR 8.50% 01/15/11 1,225,000
992,087 SemCrude, L.P. (j) (k) Caa3 NR 5.50% 03/16/11 815,992
-----------
4,184,742
-----------
OIL & GAS REFINING & MARKETING - 1.6%
972,911 Alon USA, Inc. B1 BB 4.72%-5.06% 06/22/13 817,245
981,632 Calumet Lubricants Co., L.P B1 B 6.64%-6.80% 01/03/15 863,837
5,515,714 Western Refining Company, L.P. B3 BB- 7.75% 05/30/14 4,755,004
-----------
6,436,086
-----------
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
OIL & GAS STORAGE & TRANSPORTATION - 1.7%
$ 3,000,000 Energy Transfer Equity, L.P. Ba2 NR 4.55% 02/08/12 $ 2,905,626
4,000,000 Enterprise GP Holdings, L.P. Ba2 BB- 4.71%-5.04% 11/08/14 3,907,500
-----------
6,813,126
-----------
OTHER DIVERSIFIED FINANCIAL SERVICES - 2.8%
2,977,500 First Data Corporation Ba3 BB- 5.22%-5.55% 09/24/14 2,728,548
8,393,750 Royalty Pharma Finance Trust Baa2 BBB- 5.05% 04/16/13 8,341,289
-----------
11,069,837
-----------
PACKAGED FOODS & MEATS - 2.2%
514,361 Michael Foods, Inc. Ba3 BB- 4.85%-5.19% 11/21/10 504,074
7,046,726 OSI Group, LLC NR(e) NR(e) 4.80% 09/02/11 6,941,025
1,483,734 Weight Watchers International, Inc. Ba1 BB+ 4.31% 01/26/14 1,435,513
-----------
8,880,612
-----------
PAPER PACKAGING - 3.0%
1,987,500 Graham Packaging Holdings Co. B1 B+ 4.94%-5.06% 10/07/11 1,888,435
5,848,627 Graphic Packaging International, Inc. Ba3 BB- 4.79%-4.80% 05/16/14 5,511,419
1,945,000 Pregis Corporation Ba3 BB- 5.05% 10/12/12 1,789,400
2,386,461 Smurfit-Stone Container Enterprises, Inc. Ba2 BB 4.50%-4.69% 11/01/11 2,306,581
613,539 Smurfit-Stone Container Enterprises, Inc. Ba2 BB 4.91% 11/01/10 593,002
-----------
12,088,837
-----------
PAPER PRODUCTS - 0.8%
990,000 Appleton Papers, Inc. Ba2 BB+ 4.42%-4.55% 06/05/14 892,650
2,310,000 Domtar Corporation Baa3 BBB- 3.84% 03/07/14 2,211,825
-----------
3,104,475
-----------
PHARMACEUTICALS - 1.7%
4,954,975 Cardinal Health 409, Inc. Ba3 BB- 5.05% 04/10/14 4,323,215
1,829,820 Graceway Pharmaceuticals, LLC Ba3 BB 5.55% 05/03/12 1,569,071
943,218 Stiefel Laboratories, Inc. B1 BB- 5.04% 12/28/13 888,983
-----------
6,781,269
-----------
PUBLISHING - 7.8%
5,497,889 Cenveo Corporation Ba2 BB+ 4.55% 06/21/13 5,130,218
5,500,000 GateHouse Media, Inc. Caa1 B 4.80%-4.81% 08/28/14 2,956,250
9,850,000 Idearc, Inc. Ba3 BB 4.47%-4.80% 11/17/14 6,895,000
1,449,446 Media News Group, Inc. B1 CCC+ 6.42% 08/02/13 1,159,556
2,887,654 Media News Group, Inc. B1 CCC+ 5.17% 12/30/10 2,209,056
987,500 Reader's Digest Association
(The), Inc. B1 B 4.46%-4.68% 03/02/14 797,406
5,071,906 RH Donnelley, Inc. Ba1 BB 6.43%-6.75% 06/30/11 4,779,094
6,930,000 Tribune Company Caa1 B 5.79% 05/19/14 4,757,445
846,429 Tribune Company Caa1 B 5.54% 05/18/09 810,455
909,167 Wenner Media, LLC NR(e) NR(e) 4.55% 10/02/13 845,525
1,000,000 Yell Group, PLC Ba3 BB- 4.47% 10/27/12 868,750
-----------
31,208,755
-----------
RAILROADS - 0.4%
1,500,000 Railamerica Transportation Corp. NR NR 6.79% 08/14/09 1,492,500
-----------
REAL ESTATE DEVELOPMENT - 0.1%
726,757 Shea Capital I, LLC NR(e) NR(e) 5.00% 10/27/11 508,730
-----------
RESIDENTIAL REITs - 0.0%
100,000 Apartment Investment Mgmt. Co. Ba1 BB+ 3.96% 03/22/11 94,250
-----------
RETAIL REITs - 2.2%
6,046,709 Capital Automotive, L.P. Ba1 BB+ 4.22% 12/16/10 5,697,814
1,394,737 General Growth Properties, Inc. Ba2 BB- 3.62% 02/24/10 1,222,138
1,991,667 The Macerich Partnership, L.P. NR(e) NR(e) 4.00% 04/26/10 1,882,125
-----------
8,802,077
-----------
See Notes to Quarterly Portfolio of Investments Page 6
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
SENIOR FLOATING-RATE TERM LOAN INTERESTS (D) - (CONTINUED)
SEMICONDUCTORS - 1.9%
$ 8,372,500 Freescale Semiconductors, Inc. Ba1 BB 4.21% 12/01/13 $ 7,469,844
-----------
SPECIALIZED CONSUMER SERVICES - 3.6%
980,000 Acosta, Inc. NR(e) NR(e) 4.72% 07/28/13 910,175
973,232 Advantage Sales & Marketing, Inc. NR(e) NR(e) 4.47%-4.81% 03/29/13 899,429
2,303,018 Affinion Group, Inc. Ba2 BB 4.97%-5.31% 10/17/12 2,215,694
2,000,000 Asurion Corp. NR(e) NR(e) 5.46%-5.80% 07/03/14 1,875,000
981,955 N.E.W. Holdings I, LLC NR(e) NR(e) 5.20%-5.31% 05/22/14 880,487
2,977,286 Nielsen Finance, LLC Ba3 B+ 4.80% 08/09/13 2,749,804
5,290,711 RMK Acquisition Corporation Ba3 BB 4.32%-4.68% 01/26/14 5,010,965
-----------
14,541,554
-----------
SPECIALIZED FINANCE - 1.7%
3,000,000 J.G. Wentworth, LLC B2 B+ 5.05% 04/04/14 2,310,000
5,270,833 Peach Holdings, Inc. B2 B 6.72%-7.06% 11/21/13 4,417,617
-----------
6,727,617
-----------
SPECIALTY CHEMICALS - 1.5%
6,451,212 Celanese Holdings, LLC Ba2 BB+ 3.96%-4.28% 04/02/14 6,076,810
-----------
SPECIALTY STORES - 2.3%
1,197,438 Dollarama Group, L.P. Ba1 BB- 4.80% 11/18/11 1,110,623
4,336,665 Harbor Freight Tools USA, Inc. NR(e) NR(e) 4.72% 02/12/13 3,881,315
1,974,874 Michaels Stores, Inc. B2 B 4.75% 10/31/13 1,522,506
3,231,442 The Yankee Candle Company, Inc. Ba3 BB- 4.48%-4.81% 02/06/14 2,819,433
-----------
9,333,877
-----------
SYSTEMS SOFTWARE - 1.9%
4,429,841 Dealer Computer Services, Inc. Ba2 BB 4.80% 10/26/12 4,097,603
3,884,107 Intergraph Corporation Ba3 BB- 4.81% 05/29/14 3,689,902
-----------
7,787,505
-----------
TECHNOLOGY DISTRIBUTORS - 1.6%
2,662,333 H3C Holdings, Ltd. Ba2 BB 5.63% 09/28/12 2,262,983
4,508,000 Sensata Technologies Finance
Company, LLC B1 BB 4.41%-4.54% 04/27/13 3,958,588
-----------
6,221,571
-----------
TRUCKING - 1.8%
4,349,915 The Hertz Corporation Ba1 BB+ 3.97%-4.30% 12/21/12 3,966,578
3,694,589 OshKosh Corporation Ba3 BBB- 4.22%-4.43% 12/06/13 3,360,535
-----------
7,327,113
-----------
WIRELESS TELECOMMUNICATION SERVICES - 2.3%
1,985,000 Clearwire Corporation NR NR 8.47%-9.12% 07/03/12 1,826,200
4,951,255 Crown Castle Operating Company Ba3 BB 4.30% 03/06/14 4,630,454
2,772,000 Windstream Corporation Baa3 BBB 4.29% 07/17/13 2,672,383
-----------
9,129,037
-----------
TOTAL SENIOR FLOATING-RATE TERM LOAN INTERESTS (d) 662,791,373
(Cost $726,225,175) -----------
SENIOR FLOATING-RATE NOTES - 0.3%
ELECTRICAL COMPONENTS & EQUIPMENT - 0.1%
650,000 NXP B.V. B3 BB- 5.54% 10/15/13 505,375
-----------
LEISURE FACILITIES - 0.2%
1,225,000 HRP Myrtle Beach (j) (l) (m) (o) B2 B+ 7.38% 04/01/12 857,500
-----------
TOTAL SENIOR FLOATING-RATE NOTES 1,362,875
(Cost $1,876,640) -----------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
PRINCIPAL RATINGS (B) STATED
VALUE DESCRIPTION MOODY'S S&P RATE MATURITY (C) VALUE
------------ ---------------------------------- ------- ------- ----------- ------------ -----------
NOTES - 0.0%
HOMEBUILDING - 0.0%
$ 727,273 TOUSA, Inc. PIK (i) (m) (n) (o) NR NR 1.00% 07/01/15 $ 29,091
-----------
TOTAL NOTES 29,091
(Cost $436,364) -----------
SHARES DESCRIPTION VALUE
------------ -------------------------------------------------------------------------------------- -----------
PREFERRED STOCKS - 0.0%
HOMEBUILDING - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred Stock) (i) (m) (o) 0
------------
TOTAL PREFERRED STOCKS 0
(Cost $2,563,636) ------------
COMMON STOCKS AND RIGHTS - 0.0%
OTHER DIVERSIFIED FINANCIAL SERVICES - 0.0%
690 Atkins Nutritionals Holdings - Common Stock (o) 0
690 Atkins Nutritionals Holdings - Rights (o) 0
------------
TOTAL COMMON STOCKS AND RIGHTS 0
(Cost $36,260) ------------
CLOSED-END FUNDS - 0.1%
ASSET MANAGEMENT & CUSTODY BANKS - 0.1%
81,700 ING Prime Rate Trust 441,997
------------
TOTAL CLOSED-END FUNDS 441,997
(Cost $508,540) ------------
SHORT-TERM INVESTMENTS - 5.1%
ASSET MANAGEMENT & CUSTODY BANKS - 2.8%
11,313,792 JPMorgan Federal Money Market Fund - 1.89% 11,313,792
------------
REPURCHASE AGREEMENT - 2.3%
9,000,000 Agreement with Deutsche Bank Securities, Inc., 2.00%, dated 8/29/08 to be repurchased
at $9,002,000 on 9/2/08, collateralized by $9,220,000, Federal Home Loan Mortgage
Corp. Discount Note, due 10/28/08 (Value $9,180,000) 9,000,000
------------
TOTAL SHORT-TERM INVESTMENTS 20,313,792
(Cost $20,313,792) ------------
TOTAL INVESTMENTS - 171.1% 684,939,128
(Cost $751,960,407) (p)
NET OTHER ASSETS AND LIABILITIES - (4.4)% (17,656,538)
LOAN OUTSTANDING - (46.7)% (187,000,000)
Auction Market Preferred Shares, at Liquidation Value
(including accrued distributions) - (20.0)% (80,049,266)
------------
NET ASSETS (APPLICABLE TO COMMON SHAREHOLDERS) - 100.0% $400,233,324
============
See Notes to Quarterly Portfolio of Investments Page 8
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
---------------------------
(a) All percentages shown in the Portfolio of Investments are based on net
assets applicable to Common Shareholders.
(b) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard &
Poor's Ratings Group are considered to be below investment grade.
(c) Senior Loans generally are subject to mandatory and/or optional prepayment.
As a result, the actual remaining maturity of Senior Loans may be
substantially less than the stated maturities shown.
(d) Senior Loans in which the Fund invests generally pay interest at rates
which are periodically predetermined by reference to a base lending rate
plus a premium. These base lending rates are generally (i) the lending rate
offered by one or more major European banks, such as the London Interbank
Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more United
States banks or (iii) the certificate of deposit rate.
(e) This Senior Loan Interest was privately rated upon issuance. The rating
agency does not provide ongoing surveillance on the rating.
(f) This issue is secured by a second lien on the issuer's assets.
(g) Delayed Draw Loan (See Note 1E in the Notes to Quarterly Portfolio of
Investments).
(h) Represents commitment fee rate on delayed draw loans.
(i) This borrower has filed for protection in federal bankruptcy court.
(j) Non-income producing security.
(k) The issuer is in default. Income is not being accrued.
(l) This borrower has filed for protection in federal bankruptcy court
subsequent to the date of this report.
(m) This security is restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended. Prior
to registration, restricted securities may only be resold in transactions
exempt from registration (See Note 1F in the Notes to Quarterly Portfolio
of Investments).
(n) This security is a Senior Subordinated Payment-in-Kind Election Note
whereby 1.00% of interest per annum will be paid in cash and 13.75% of
interest per annum shall be paid by the issuer, at its option (i) entirely
in cash, (ii) entirely in Payment-in-Kind interest or (iii) in a
combination of (i) and (ii). Interest is paid semi-annually, however, the
issuer is in default and income is not being accrued.
(o) This security is fair valued in accordance with valuation procedures
adopted by the Fund's Board of Trustees.
(p) Aggregate cost for federal income tax and financial reporting purposes. As
of August 31, 2008, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $428,662
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $67,449,941.
NR Not rated.
WR Withdrawn rating.
CREDIT DEFAULT SWAP CONTRACTS OUTSTANDING
The Fund maintains $6,250,000 in cash or liquid assets for the following credit
default swap contracts outstanding as of August 31, 2008 (See Note 1B in the
Notes to Quarterly Portfolio of Investments):
UNREALIZED
REFERENCE BUY/SELL NOTIONAL (PAY)/RECEIVE EXPIRATION APPRECIATION/
ENTITY PROTECTION COUNTER-PARTY AMOUNT FIXED RATE DATE (DEPRECIATION)
B&G Foods, Inc. Sell Lehman Brothers Special $ 2,250,000 1.27% 06/20/12 $ (76,808)
Financing, Inc. *
Dresser, Inc. Sell Lehman Brothers Special 4,000,000 1.65% 06/20/12 (176,198)
Financing, Inc. * ----------- ----------
$ 6,250,000 $ (253,006)
=========== ==========
* This counter-party has filed for protection in federal bankruptcy court
subsequent to the date of this report. Subsequent to the date of this report and
prior to the date the counter-party filed for bankruptcy protection, the Fund
exercised its contractual right and terminated both of these credit default swap
contracts prior to their expiration dates.
___________________________
SECURITY VALUATION INPUTS
A summary of the inputs used to value the Fund's net assets as of August 31,
2008 is as follows (See Note 1A in the Notes to Quarterly Portfolio of
Investments):
INVESTMENTS
IN SECURITIES
------------------------------------------------------------------------------
Level 1 - Quoted Prices $ ---
Level 2 - Other Significant Observable Inputs 684,052,537
Level 3 - Significant Unobservable Inputs 886,591
-------------
Total $ 684,939,128
=============
See Notes to Quarterly Portfolio of Investments Page 9
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
AUGUST 31, 2008 (UNAUDITED)
The following table presents the Fund's assets measured at fair value on a
recurring basis using significant unobservable inputs (Level 3) at May 31, 2008
and at August 31, 2008.
ASSETS AT FAIR VALUE USING SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
-----------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
---------------------
Balance as of May 31, 2008 $ 64,000
Transfers in (out) of Level 3 857,500
Net unrealized gains (losses) (34,909)
-----------
Balance as of August 31, 2008 $ 886,591
===========
See Notes to Quarterly Portfolio of Investments Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2008 (UNAUDITED)
1. VALUATION AND INVESTMENT PRACTICES
A. Portfolio Valuation:
The net asset value ("NAV") of the Common Shares of First Trust/Four
Corners Senior Floating Rate Income Fund II (the "Fund") is determined
daily as of the close of regular trading on the New York Stock Exchange
("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open
for trading. Domestic debt securities and foreign securities are priced
using data reflecting the earlier closing of the principal markets for
those securities. The NAV per Common Share is calculated by dividing
the value of all assets of the Fund (including accrued interest and
dividends), less all liabilities (including accrued expenses, dividends
declared but unpaid and any borrowings of the Fund) and the liquidation
value of any outstanding Preferred Shares, by the total number of
Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the
absence of market value with respect to any portfolio securities, at
fair value in accordance with valuation procedures adopted by the
Fund's Board of Trustees. A majority of the Fund's assets are valued
using market information supplied by third parties. In the event that
market quotations are not readily available, the pricing service does
not provide a valuation for a particular asset, or the valuations are
deemed unreliable, First Trust Advisors L.P. ("First Trust") may use a
fair value method to value the Fund's securities and other investments.
Additionally, if events occur after the close of the principal markets
for particular securities (e.g., domestic debt and foreign securities),
but before the Fund values its assets, that could materially affect
NAV, First Trust may use a fair value method to value the Fund's
securities and other investments. The use of fair value pricing by the
Fund is governed by valuation procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the Investment
Company Act of 1940, as amended ("1940 Act").
The Senior Floating-Rate Term Loans ("Senior Loans") in which the Fund
invests are not listed on any securities exchange or board of trade.
Senior Loans are typically bought and sold by institutional investors
in individually negotiated private transactions that function in many
respects like an over-the-counter secondary market, although typically
no formal market-makers exist. This market, while having grown
substantially in the past several years, generally has fewer trades and
less liquidity than the secondary market for other types of securities.
Some Senior Loans have few or no trades, or trade infrequently, and
information regarding a specific Senior Loan may not be widely
available or may be incomplete. Accordingly, determinations of the
market value of Senior Loans may be based on infrequent and dated
information. Because there is less reliable, objective data available,
elements of judgment may play a greater role in valuation of Senior
Loans than for other types of securities. Typically, Senior Loans are
valued using information provided by an independent third party pricing
service. If the pricing service cannot or does not provide a valuation
for a particular Senior Loan or such valuation is deemed unreliable,
First Trust may value such Senior Loan at a fair value according to
valuation procedures adopted by the Fund's Board of Trustees, and in
accordance with the provisions of the 1940 Act.
Portfolio securities listed on any exchange other than the NASDAQ
National Market ("NASDAQ") are valued at the last sale price on the
business day as of which such value is being determined. If there has
been no sale on such day, the securities are valued at the mean of the
most recent bid and asked prices on such day. Securities traded on the
NASDAQ are valued at the NASDAQ Official Closing Price as determined by
NASDAQ. Portfolio securities traded on more than one securities
exchange are valued at the last sale price on the business day as of
which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio
securities traded in the over-the-counter market, but excluding
securities traded on the NASDAQ, are valued at the closing bid prices.
Short-term investments that mature in less than 60 days when purchased
are valued at amortized cost.
In September 2006, the Financial Accounting Standards Board issued
Statement of Financial Accounting Standards No. 157, Fair Value
Measurements ("FAS 157"), effective for fiscal years beginning after
November 15, 2007. This standard clarifies the definition of fair value
for financial reporting, establishes a framework for measuring fair
value and requires additional disclosures about the use of fair value
measurements. FAS 157 became effective for the Fund as of June 1,
2008, the beginning of its current fiscal year. The three levels of the
fair value hierarchy under FAS 157 are described below:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
Page 11
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2008 (UNAUDITED)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in
those securities. A summary of the inputs used to value the Fund's net
assets as of August 31, 2008 is included with the Fund's Portfolio of
Investments.
B. Credit Default Swaps:
The Fund may enter into credit default swap contracts for hedging
purposes or to gain exposure to a credit in which the Fund may
otherwise invest. A credit default swap contract is an agreement
between two parties to exchange the credit risk of an issuer. The Fund
may be either the buyer or seller in a credit default swap transaction.
The "buyer" in a credit default swap contract is obligated to pay the
"seller" a periodic stream of payments over the term of the contract
provided that no event of default on the underlying reference
obligation has occurred. If an event of default occurs, the seller must
pay the buyer the full notional value, or "par value," of the reference
obligation. In exchange, the seller receives the par value of
securities of the reference obligor. In the case of cash settlement,
the seller will pay the difference between par and the market value of
the securities of the reference obligor. An event of default may be a
grace period extension, obligation acceleration,
repudiation/moratorium, or restructuring.
Buying a credit default swap contract involves the risk that the
contract may expire worthless and the credit risk that the seller may
fail to satisfy its payment obligations to the Fund in the event of
default. Selling a credit default swap contract involves greater risks
than if the Fund had invested in the reference obligation directly. The
Fund will segregate cash or liquid assets in an amount equal to the
aggregate market value of the credit default swap contracts of which it
is a seller. Additionally, the Fund maintains cash or liquid assets
for the full notional amount of the credit default swap contracts of
which it is a seller. The Fund may only enter into such transactions
with counterparties rated A- or higher.
Credit default swap contracts are marked-to-market daily based upon
quotations from brokers or market makers and the change in value, if
any, is recorded as unrealized appreciation (depreciation). For a
credit default swap contract sold by the Fund, payment of the
agreed-upon amount made by the Fund in the event of default of the
referenced debt obligation is recorded as the cost of the referenced
debt obligation purchased/received.
C. Repurchase Agreements:
The Fund engages in repurchase agreement transactions. Under the terms
of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to
repurchase, and the Fund to resell, the obligation at an agreed-upon
price and time, thereby determining the yield during the Fund's holding
period. This arrangement results in a fixed rate of return that is not
subject to market fluctuations during the Fund's holding period. The
value of the collateral is at all times at least equal to the total
amount of the repurchase obligation, including interest. In the event
of counterparty default, the Fund has the right to use the collateral
to offset losses incurred. There is potential loss to the Fund in the
event the Fund is delayed or prevented from exercising its rights to
dispose of the collateral securities, including the risk of a possible
decline in the value of the underlying securities during the period
while the Fund seeks to assert its rights. The Fund reviews the value
of the collateral and the creditworthiness of those banks and dealers
with which the Fund enters into repurchase agreements to evaluate
potential risks.
D. Securities Transactions:
Securities transactions are recorded as of the trade date. Realized
gains and losses from securities transactions are recorded on the
identified cost basis.
Securities purchased or sold on a when-issued or delayed-delivery basis
may be settled a month or more after the trade date; interest income on
such securities is not accrued until settlement date. The Fund
maintains liquid assets with a current value at least equal to the
amount of its when-issued or delayed-delivery purchase commitments. At
August 31, 2008, the Fund had no when-issued or delayed-delivery
purchase commitments.
Page 12
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2008 (UNAUDITED)
E. Unfunded Loan Commitments:
The Fund may enter into certain credit agreements, all or a portion of
which may be unfunded. The Fund had unfunded delayed draw loan
commitments of approximately $1,720,796 as of August 31, 2008. The Fund
is obligated to fund these loan commitments at the borrower's
discretion.
F. Restricted Securities:
The Fund invests in restricted securities, which are securities that
cannot be offered for public sale without first being registered under
the Securities Act of 1933, as amended. Prior to registration,
restricted securities may only be resold in transactions exempt from
registration. The Fund held restricted securities at August 31, 2008
as shown in the following table. The Fund does not have the right to
demand that such securities be registered. These securities are valued
using market quotations according to the valuation procedures as stated
in the Portfolio Valuation footnote (Note 1A) and are not expressed as
a discount to the carrying value of a comparable unrestricted
security. There are no unrestricted securities with the same maturity
dates and yields for these issuers.
% OF
NET ASSETS
APPLICABLE
AQUISITION PRINCIPAL VALUE CURRENT TO COMMON
SECURITY DATE VALUES/SHARES PER SHARE CARRYING COST VALUE SHAREHOLDERS
---------------------------- ---------- ------------- --------- ------------- --------- ------------
HRP Myrtle Beach 3/23/06 $1,225,000 $ 70.00 $ 1,225,000 $ 857,500 0.21%
TOUSA, Inc.-Notes 7/31/07(1) $ 727,273 4.00 436,364 29,091 0.01
TOUSA, Inc.-Preferred Stocks 7/31/07(1) 4,273 0.00 2,563,636 0 0.00
----------- --------- -----
$ 4,225,000 $ 886,591 0.22%
=========== ========= =====
(1) Security was acquired through a restructuring that was effective
on July 31, 2007.
Page 13
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust/Four Corners Senior Floating Rate Income Fund II
---------------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 20, 2008
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 20, 2008
-----------------------------
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)
Date October 20, 2008
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* Print the name and title of each signing officer under his or her
signature.