First Trust Senior Floating Rate Income Fund II
(Exact name of registrant as specified in charter)

120 East Liberty Drive
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive
Wheaton, IL 60187
(Name and address of agent for service)

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. § 3507.

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Semi-Annual Report

November 30, 2022

Shareholder Letter	1
At a Glance	2
Portfolio Commentary	4
Portfolio of Investments	7
Statement of Assets and Liabilities	17
Statement of Operations	18
Statements of Changes in Net Assets	19
Statement of Cash Flows	20
Financial Highlights	21
Notes to Financial Statements	22
Additional Information	29

Caution Regarding Forward-Looking Statements

This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its 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 Senior Floating Rate 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 its 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.

Performance and Risk Disclosure

There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Principal Risks” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund.

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at www.ftportfolios.com.

How to Read This Report

This report contains information that may help you evaluate your investment in the Fund. 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 portfolio commentary by the portfolio management team of the Fund, 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 a relevant market benchmark.

It is important to keep in mind that the opinions expressed by personnel of the Advisor 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. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

Table of Contents

Shareholder Letter

First Trust Senior Floating Rate Income Fund II (FCT)

Semi-Annual Letter from the Chairman and CEO

November 30, 2022

Dear Shareholders,

First Trust is pleased to provide you with the semi-annual report for the First Trust Senior Floating Rate Income Fund II (the “Fund”), which contains detailed information about the Fund for the six months ended November 30, 2022.

The risk of the U.S. economy experiencing a notable recession in 2023 is rising. The Federal Reserve (the “Fed”) has remained steadfast in its battle with stubbornly high inflation, most recently raising the Federal Funds target rate (upper bound) from 4.0% to 4.5% on December 13, 2022. The trailing 12-month rate on the Consumer Price Index (“CPI”) peaked at 9.1% on June 30, 2022, before falling to 7.1% (its lowest level of the year) on November 30, 2022, according to data from the U.S. Bureau of Labor Statistics. For comparative purposes, the CPI rate has averaged 2.5% over the past 30 years. Some pundits are making the case that the recent drop in the CPI should be enough evidence to sway the Fed from initiating any additional rate hikes. The Fed, however, has reiterated its intent to stay the course until the tightening of monetary policy has grown restrictive enough to normalize inflation. Ultimately, the Fed would like to bring the rate of inflation back to its 2.0% target. How high they will have to take the Federal Funds target rate in order to achieve that goal remains to be seen, but we should know more in the first quarter of 2023.

Suffice it to say, many Americans are struggling to cope with the high rate of inflation and they are not just low wage workers. A recent report by PYMNTS, a research, data aggregation and news website, revealed that roughly 45% of workers earning over $100,000 per year and 28% of those earning over $200,000 per year are living paycheck to paycheck. The personal savings rate in the U.S. has been plummeting, registering quarter-over-quarter declines in each of the last five quarters, according to the U.S. Bureau of Economic Analysis. Everything costs more. Preliminary data shows the savings rate fell from 9.1% in the third quarter of 2021, to just 2.8% in the third quarter of 2022. Rising interest rates are another source of pressure. Housing affordability has fallen to a decade low as mortgage rates have surged along with the Federal Funds rate, according to the National Association of Homebuilders. Home prices, as represented by the S&P CoreLogic Case-Shiller U.S. National Home Price Index, have been slowly declining since June 2022, but need to come down further to offset the spike in mortgage rates, in my opinion. With the housing market softening, job creation, which remains strong, may be one of the few bright spots in the U.S. economy.

We’ve talked about how higher inflation and interest rates are causing difficulty for many Americans. I’d like to pause here and note that while times are tough, not everything is negative. Take the bond market for example. Yields have not been this attractive for many years. The yield on the 10-Year Treasury Note (“T-Note”) has risen 208 basis points year-to-date, climbing from 1.51% on December 31, 2021, to 3.59% on December 19, 2022. For comparative purposes, the yield on the 10-Year T-Note averaged 4.03% for the 30-year period ended December 31, 2021. As yields normalize and bond prices fall, investors seeking current income should keep a watchful eye for an attractive entry point, in my opinion. Furthermore, while the equity markets have moved in and out of bear market territory (a bear market is defined as a price decline of 20% or more from a security or index’s recent high) in 2022, equity strategists are predicting a relatively flat market next year, based on estimates from a December 2022 Bloomberg survey for S&P 500^® Index forecasts. For some investors, if growth is going to be tough to come by, perhaps stock dividends may be an avenue worth pursuing. In closing, I believe that the markets could be in for a bumpy ride in the first half of 2023, but I am more optimistic about the prospects for the latter half. Stay tuned!

Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months.

Sincerely,

James A. Bowen

Chairman of the Board of Trustees

Chief Executive Officer of First Trust Advisors L.P.

Page 1

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

“AT A GLANCE”

As of November 30, 2022 (Unaudited)

Fund Statistics
Symbol on New York Stock Exchange	FCT
Common Share Price	$10.18
Common Share Net Asset Value (“NAV”)	$11.03
Premium (Discount) to NAV	(7.71)%
Net Assets Applicable to Common Shares	$286,709,541
Current Monthly Distribution per Common Share⁽¹⁾	$0.0695
Current Annualized Distribution per Common Share	$0.8340
Current Distribution Rate on Common Share Price⁽²⁾	8.19%
Current Distribution Rate on NAV⁽²⁾	7.56%

Common Share Price & NAV (weekly closing price)

Performance
			Average Annual Total Returns
	6 Months Ended 11/30/22	1 Year Ended 11/30/22	5 Years Ended 11/30/22	10 Years Ended 11/30/22	Inception (5/25/04) to 11/30/22
Fund Performance⁽³⁾
NAV	1.78%	-2.61%	3.13%	4.24%	4.01%
Market Value	-2.61%	-8.47%	3.25%	3.19%	3.30%
Index Performance
Morningstar^® LSTA^® US Leveraged Loan Index⁽⁴⁾	1.44%	-0.41%	3.30%	3.70%	4.39%

Credit Quality (S&P Ratings) ⁽⁵⁾	% of Senior Loans and other Debt Securities⁽⁶⁾
BBB-	5.0%
BB+	7.3
BB	3.8
BB-	11.0
B+	16.2
B	38.1
B-	15.3
CCC+	2.0
CCC	0.6
Not Rated	0.7
Total	100.0%

Top 10 Issuers	% of Total Long-Term Investments⁽⁶⁾
HUB International Limited	4.2%
Alliant Holdings I, LLC	4.2
Internet Brands, Inc. (Web MD/MH Sub I, LLC)	4.0
Verscend Technologies, Inc. (Cotiviti)	3.6
Charter Communications Operating, LLC	3.0
IRB Holding Corp. (Arby’s/Inspire Brands)	2.7
AssuredPartners, Inc.	2.6
Applied Systems, Inc.	2.5
Nexstar Broadcasting, Inc.	2.4
SS&C Technologies, Inc.	2.2
Total	31.4%

⁽¹⁾	Most recent distribution paid or declared through November 30, 2022. Subject to change in the future.

⁽²⁾	Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of November 30, 2022. Subject to change in the future.

⁽³⁾

Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. From inception to October 12, 2010, Four Corners Capital Management, LLC served as the Fund’s sub-advisor. Effective October 12, 2010, the Leveraged Finance Team of First Trust Advisors L.Pon to October 12, 2010, Four Corners Capital Management, LLC served as the Fund’s sub-advisor. Effective October 12, 201. assumed the day-to-day responsibility for management of the Fund’s portfolio. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.

⁽⁴⁾	Formerly, S&P/LSTA Leveraged Loan Index.

⁽⁵⁾

The ratings are by S&P Global Ratings except where otherwise indicated. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). Investment grade is defined as those issuers that have a long-term credit rating of BBB- or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.

⁽⁶⁾	Percentages are based on long-term positions. Money market funds are excluded.

Page 2

Table of Contents

Portfolio Commentary

First Trust Senior Floating Rate Income Fund II (FCT)

Semi-Annual Report

November 30, 2022 (Unaudited)

Advisor

The First Trust Advisors L.P. (“First Trust”) Leveraged Finance Team is comprised of 17 experienced investment professionals specializing in below investment grade securities. The team is comprised of portfolio management, research, trading and operations personnel. As of November 30, 2022, the First Trust Leveraged Finance Team managed or supervised approximately $5.8 billion in senior secured bank loans and high-yield bonds. These assets are managed across various strategies, including two closed-end funds, an open-end fund, and four exchange-traded funds on behalf of retail and institutional clients.

Portfolio Management Team

William Housey, CFA - Managing Director of Fixed Income, Senior Portfolio Manager

Jeffrey Scott, CFA - Senior Vice President, Portfolio Manager

Commentary

First Trust Senior Floating Rate Income Fund II

The primary investment objective of First Trust Senior Floating Rate Income Fund II (“FCT” or the “Fund”) is to seek a high level of current income. As a secondary objective, the Fund attempts to preserve capital. The Fund pursues its investment objectives by investing primarily in a portfolio of senior secured floating-rate corporate loans (“Senior Loans”). Under normal market conditions, the Fund invests at least 80% of its Managed Assets in a diversified portfolio of Senior Loans. It is anticipated that at least 80% of the Fund’s Managed Assets are invested in lower grade debt instruments, although from time to time all of the Fund’s Managed Assets may be invested in such lower grade debt instruments. “Managed Assets” means the total asset value of the Fund minus the sum of its liabilities, other than the principal amount of borrowings. There can be no assurance that the Fund will achieve its investment objectives. Investing in Senior Loans involves credit risk and, during periods of generally declining credit quality, it may be particularly difficult for the Fund to achieve its secondary investment objective. The Fund may not be appropriate for all investors.

Market Recap

During the six-month period ended November 30, 2022, inflation remained stubbornly elevated with the October 2022 Consumer Price Index printing 7.7% on a year-over-year basis; meanwhile, the Federal Reserve (the “Fed”) continues to reiterate its commitment to a 2.0% inflation target. The Fed increased the Federal Funds target rate by 375 basis points (“bps”) since it began raising interest rates in March 2022, moving the upper bound from 0.25% to 4.00% over the course of six meetings. In each of the last four meetings through November 30, 2022, the Fed increased the Federal Funds rate by a full 75 bps. Due to the persistence of the inflation data and how far it is from the Fed’s target inflation rate, we do not believe the Fed can “pivot” to a more accommodative posture until either (1) inflation has been tamed, or (2) a recession is near or already underway, absent any major financial market calamity. Further, Fed Chairman Jerome Powell continues to make the Fed’s position abundantly clear, repeatedly noting that history cautions against rashly loosening interest rate policy despite the potential pain to households and businesses. The 10-Year U.S. Treasury yield increased by 77 bps from 2.84% at the beginning of the period to 3.61% at the end of the period. U.S. Equities traded sideways as investors attempted to reconcile modestly improving inflation expectations with lackluster growth forecasts. After losing as much as 12.90% from the start of the period, the S&P 500^® Index returned -0.40% during the six-month period ended November 30, 2022.

Senior Loan Market

Senior loan spreads over the 3-month London Interbank Offered Rate (“LIBOR”) increased by 78 bps to L+629 bps during the six-month period ended November 30, 2022. The current spread is 113 bps above the senior loan market’s long-term average spread of L+516 bps (December 1997 – November 2022). Retail senior loan funds experienced their seventh consecutive monthly outflow in November 2022. Loan fund outflows totaled $26.8 billion throughout the six-month period ended November 30, 2022. Despite higher rates and returns that have been far more resilient than most traditional fixed-income asset classes, demand waned for senior loans as market volatility increased.

BB rated senior loans were up 3.71% and outperformed both B rated (1.20%) and CCC rated senior loans (-6.32%) during the six-month period ended November 30, 2022. The average price of the senior loan asset class decreased from $94.64 at the beginning of the period to $92.78 at the end of the period.

Default rates, as measured by the Morningstar^® LSTA^® US Leveraged Loan Index (the “Index”), increased modestly throughout the period. During the last twelve-month period (“LTM”), the default rate of the senior loan market rose from 0.21% at the beginning of the period to 0.73% at the end of the period, remaining well below the long-term average of 2.75% (December 1997 – November 2022).

Page 4

For the six-month period ended November 30, 2022, the Fund returned⁽¹⁾ 1.78%, based on net asset value (“NAV”) and -2.61%, based on market price. The Index returned 1.44% over the same period. At the start of the period, the Fund’s market price represented a 3.54% discount to NAV; by the end of the period, the Fund’s discount to NAV widened by 417 bps to 7.71%.

The Fund’s use of leverage drove performance in the six-month period ended November 30, 2022, as asset prices generated positive returns. The Fund strategically decreased leverage from 28.31% of adjusted net assets (net assets plus borrowings) at the beginning of the period to 15.85% at the end of the period by selling into market strength. The Fund also benefited from strong security selection in the Software industry. Within the Software industry, the Fund’s overweight positions in a digital advertising company, an insurance software provider, and an enterprise software provider drove performance as the companies outperformed the Index’s industry returns. The Fund’s overweight allocation to the Insurance industry further drove performance, as the Fund maintained a 12.51% average weight to the Insurance industry, compared to the Index’s average weight of 2.76%, and the industry outperformed. The Fund’s security selection within the Diversified Telecommunication Services and Media industries partially offset these tailwinds. Within the Diversified Telecommunication Services industry, the Fund’s overweight position in a bandwidth infrastructure services provider proved the primary detractor from performance. Within the Media industry, the Fund’s high-yield bond allocation proved the primary detractor from performance as high-yield bonds (-3.03%) modestly underperformed senior loans in the period (1.44%). As of November 30, 2022 the Fund had a 7.84% allocation to high-yield bonds.

Table of Contents

Portfolio Commentary (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

Semi-Annual Report

November 30, 2022 (Unaudited)

The Fund held 161 individual positions diversified across 32 industries at the end of the reporting period, compared to 193 individual positions across 31 industries at the beginning of the period. The Software industry (22.07%), the Insurance industry (12.47%), and the Media industry (10.71%) represented the Fund’s top three industry exposures at the end of the period. The Fund increased its allocation to high-yield bonds by 592 bps from 1.92% at the beginning of the period to 7.88% at the end of the period. The Fund’s duration remained low throughout the period, modestly increasing from 0.42 years to 0.59 years.

The Fund has a practice of seeking to maintain a relatively stable monthly distribution, which may be changed at any time. The practice has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. However, the Advisor believes the practice helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV. The monthly distribution rate began the period at $0.0720 per share and ended the period at $0.0695 per share. At the $0.0695 per share monthly distribution rate, the annualized distribution rate at November 30, 2022 was 7.56% based on NAV and 8.19% based on market price. The Fund’s distributions for the six-month period ended November 30, 2022 will consist of net investment income earned by the Fund and return of capital. The final determination of the source and tax status of all 2022 distributions will be made after the end of 2022 and will be provided on Form 1099-DIV. The foregoing is not to be construed as tax advice. Please consult your tax advisor for further information regarding tax matters.

The Fund experienced one default in the LTM period ended November 30, 2022, compared to 8 defaults within the Index over the same period. The Fund has experienced 13 defaults since the Leveraged Finance Investment Team began managing the Fund in October 2010; this compares to 173 within the Index over the same period. The Fund’s LTM default rate of 1.17% was modestly above the Index’s LTM default rate of 0.73% at the end of the period.

Market and Fund Outlook

Our market framework centers on our view that the Fed will stay the course, ultimately holding interest rates at such a restrictive level that it tilts the economy into recession, most likely in the second half of 2023, in our opinion. We therefore expect market volatility to continue as investors attempt to gauge the ultimate Federal Funds target rate as well as the likelihood, and timing of, a recession. Consequently, we favor increasing credit quality while defensively positioning in sectors with limited cyclicality. Further, improved valuations have created attractive opportunities in the corporate credit landscape. As we assess such market opportunities, we continue to employ our bottom-up credit underwriting process and rigorous approach to risk management.

Page 6

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) – 109.3%
	Aerospace & Defense – 1.4%
$4,082,724	Transdigm, Inc., Tranche G Refinancing TL, 3 Mo. LIBOR + 2.25%, 0.00% Floor	5.92%	08/22/24	$4,062,678
	Application Software – 20.5%
7,114,966	Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 0.50% Floor	6.67%	09/19/24	7,086,648
1,462,693	Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 5.50%, 0.75% Floor	9.17%	09/19/25	1,448,066
1,527,408	ConnectWise, LLC, Term Loan B, 3 Mo. LIBOR + 3.50%, 0.50% Floor	7.17%	09/30/28	1,464,020
5,118,134	Epicor Software Corp., First Lien Term Loan C, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.32%	07/30/27	4,936,850
82,458	Flexera Software, LLC, 2020 Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor	7.83%	01/26/28	79,297
4,385,854	Gainwell Acquisition Corp. (fka Milano), Term Loan B, 3 Mo. LIBOR + 4.00%, 0.75% Floor	7.67%	10/01/27	4,271,822
3,343,529	Greeneden U.S. Holdings II, LLC (Genesys Telecommunications Laboratories, Inc.), Initial Dollar Term Loan, 1 Mo. LIBOR + 4.00%, 0.75% Floor	8.07%	12/01/27	3,241,150
611,678	Hyland Software, Inc., 2nd Lien Term Loan, 1 Mo. LIBOR + 6.25%, 0.75% Floor	10.32%	07/10/25	576,892
2,005,649	Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor	7.57%	07/01/24	1,974,320
4,496,967	Internet Brands, Inc. (Web MD/MH Sub I., LLC), 2020 June New Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor	7.82%	09/15/24	4,370,513
1,265,863	Internet Brands, Inc. (Web MD/MH Sub I., LLC), 2nd Lien Term Loan, 3 Mo. SOFR + 6.25%, 0.00% Floor	10.65%	02/23/29	1,134,530
8,465,748	Internet Brands, Inc. (Web MD/MH Sub I., LLC), Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor	7.82%	09/13/24	8,229,385
279,886	ION Trading Technologies Limited, Term Loan B, 3 Mo. LIBOR + 4.75%, 0.00% Floor	8.42%	04/01/28	267,291
4,805,130	LogMeIn, Inc. (GoTo Group, Inc.), Term Loan B, 1 Mo. LIBOR + 4.75%, 0.00% Floor	8.77%	08/31/27	3,073,265
2,177,572	McAfee Corp. (Condor Merger Sub, Inc.), Term Loan B, 1 Mo. SOFR + 3.75%, 0.50% Floor	7.64%	02/28/29	2,064,621
361,174	N-Able, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor	7.73%	07/19/28	349,887
2,092,956	Open Text Corporation (GXS), New Term Loan, 1 Mo. SOFR + 3.50%, 0.50% Floor	7.39%	12/31/29	2,031,046
2,209,510	Open Text Corporation (GXS), Term Loan, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.82%	05/30/25	2,163,663
912,941	RealPage, Inc., Second Lien Term Loan, 1 Mo. LIBOR + 6.50%, 0.75% Floor	10.57%	04/22/29	873,575
5,731,488	RealPage, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50% Floor	7.07%	04/24/28	5,477,182
3,073,447	SolarWinds Holdings, Inc., Initial Term Loan. 1 Mo. SOFR+ 4.00%, 0.00% Floor	7.95%	02/17/27	3,017,757
488,794	Solera Holdings, Inc. (Polaris Newco), Term Loan B, 3 Mo. LIBOR + 4.00%, 0.50% Floor	7.67%	06/04/28	445,565
232,552	Ultimate Kronos Group (UKG, Inc.), 2021 Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor	7.00%	05/03/26	224,315
				58,801,660
	Asset Management & Custody Banks – 2.3%
3,789,412	Edelman Financial Engines Center, LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor	7.57%	04/07/28	3,611,120

See Notes to Financial Statements

Page 7

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Asset Management & Custody Banks (Continued)
$3,248,900	Edelman Financial Engines Center, LLC, Term Loan Second Lien, 1 Mo. LIBOR + 6.75%, 0.00% Floor	10.82%	07/20/26	$2,921,996
				6,533,116
	Auto Parts & Equipment – 0.3%
547,253	Clarios Global LP (Power Solutions), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	04/30/26	537,791
519,374	Truck Hero, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor	7.82%	01/31/28	437,832
				975,623
	Broadcasting – 4.5%
329,625	E.W. Scripps Company, Tranche B-3 Term Loan, 1 Mo. LIBOR + 2.75%, 0.75% Floor	6.82%	01/07/28	319,855
1,519,988	Gray Television, Inc., Term Loan B2, 1 Mo. LIBOR + 2.50%, 0.00% Floor	6.27%	02/07/24	1,516,188
1,719,808	Gray Television, Inc., Term Loan C, 1 Mo. LIBOR + 2.50%, 0.00% Floor	6.27%	01/02/26	1,669,074
3,101,009	iHeartCommunications, Inc., Second Amendment Incremental Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor	7.32%	05/01/26	2,900,405
1,199,070	iHeartCommunications, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	7.07%	05/01/26	1,121,777
5,298,604	Nexstar Broadcasting, Inc., Incremental Term Loan B-4, 1 Mo. LIBOR + 2.50%, 0.00% Floor	6.57%	09/19/26	5,251,128
21,121	Univision Communications, Inc., 2017 Replacement Repriced First Lien Term Loan C-5, 1 Mo. LIBOR + 2.75%, 1.00% Floor	6.82%	03/15/24	21,068
11,616	Univision Communications, Inc., 2021 Replacement New First Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.32%	03/15/26	11,399
				12,810,894
	Building Products – 0.1%
264,822	Hunter Douglas, Inc. (Solis), Term Loan B, 3 Mo. SOFR + 3.50%, 0.50% Floor	7.86%	02/28/29	230,538
	Cable & Satellite – 2.8%
4,647,746	Cablevision (aka CSC Holdings, LLC), March 2017 Term Loan B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor	6.12%	07/17/25	4,443,246
3,537,674	Charter Communications Operating, LLC, Term Loan B1, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.83%	04/30/25	3,478,524
				7,921,770
	Casinos & Gaming – 1.5%
4,433,940	Golden Nugget, Inc. (Fertitta Entertainment, LLC), Initial Term Loan B, 1 Mo. SOFR + 4.00%, 0.50% Floor	8.09%	01/27/29	4,222,308
217,409	Scientific Games Holdings LP (Scientific Games Lottery), Initial Dollar Term Loan, 3 Mo. SOFR + 3.50%, 0.50% Floor	7.10%	04/04/29	207,354
				4,429,662
	Coal & Consumable Fuels – 0.0%
36,248	Arch Coal, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor	6.82%	03/07/24	35,863
	Communications Equipment – 0.3%
855,069	Commscope, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	04/06/26	820,601

Page 8

See Notes to Financial Statements

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Data Processing & Outsourced Services – 0.1%
$200,204	Paysafe Holdings (US) Corp., Facility B1 Loan, 1 Mo. LIBOR + 2.75%, 0.50% Floor	6.82%	06/24/28	$185,189
	Education Services – 0.5%
1,471,918	Ascensus Holdings, Inc. (Mercury), First Lien Term Loan, 3 Mo. LIBOR + 3.50%, 0.50% Floor	7.19%	08/02/28	1,409,361
	Electric Utilities – 2.5%
7,175,555	PG&E Corp., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50% Floor	7.13%	06/23/25	7,057,445
	Electronic Equipment & Instruments – 0.7%
1,368,043	Chamberlain Group, Inc. (Chariot), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	11/03/28	1,278,696
870,089	Verifone Systems, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 0.00% Floor	8.36%	08/20/25	784,307
				2,063,003
	Environmental & Facilities Services – 2.6%
5,725,622	GFL Environmental, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor	7.41%	05/31/25	5,711,308
2,089,291	Packers Holdings, LLC (PSSI), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.13%	03/15/28	1,817,683
				7,528,991
	Food Distributors – 0.3%
778,611	US Foods, Inc., Incremental B-2019 Term Loan, 1 Mo. LIBOR + 2.00%, 0.00% Floor	6.07%	08/31/26	767,041
	Health Care Equipment – 0.0%
86,399	Embecta Corp., Initial Term Loan, 3 Mo. SOFR + 3.00%, 0.50% Floor	6.55%	03/31/29	82,997
	Health Care Facilities – 0.8%
495,273	Ardent Health Services Inc (AHP Health Partners, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	08/24/28	481,445
2,000,000	Select Medical Corporation, Term Loan B, 1 Mo. LIBOR + 2.50%, 0.00% Floor	6.58%	03/06/25	1,960,620
				2,442,065
	Health Care Services – 5.6%
2,988,859	ADMI Corp. (Aspen Dental), 2020 Incremental Term Loan B2, 1 Mo. LIBOR + 3.38%, 0.50% Floor	7.45%	12/23/27	2,746,014
2,512,004	ADMI Corp. (Aspen Dental), 2021 Incremental Term Loan B3, 1 Mo. LIBOR + 3.75%, 0.50% Floor	7.82%	12/23/27	2,292,204
771,968	Aveanna Healthcare, LLC, 2021 Term Loan B, 1 Mo. LIBOR + 3.75%, 0.50% Floor	7.77%	07/15/28	592,485
315,285	Brightspring Health (Phoenix Guarantor, Inc.), Incremental Term Loan B-3, 1 Mo. LIBOR + 3.50%, 0.00% Floor	7.57%	03/05/26	299,668
3,289,639	CHG Healthcare Services, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor	7.32%	09/30/28	3,220,919
2,690,425	DaVita, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.82%	08/12/26	2,599,623
2,622,039	ExamWorks Group, Inc. (Electron Bidco), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50% Floor	7.07%	10/29/28	2,541,516
1,990,294	Global Medical Response, Inc. (fka Air Medical), 2021 Refinancing Term Loan, 1 Mo. LIBOR + 4.25%, 1.00% Floor	8.09%	10/02/25	1,573,328
190,480	SCP Health (Onex TSG Intermediate Corp.), Term Loan B, 3 Mo. LIBOR + 4.75%, 0.75% Floor	9.16%	02/28/28	169,051

See Notes to Financial Statements

Page 9

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Health Care Services (Continued)
$62,686	Sevita (National Mentor Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor	7.83%	03/01/28	$44,281
77,454	Sevita (National Mentor Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor	7.43%	03/01/28	54,713
4,102	Sevita (National Mentor Holdings, Inc.), Term Loan C, 3 Mo. LIBOR + 3.75%, 0.75% Floor	7.43%	03/01/28	2,898
				16,136,700
	Health Care Supplies – 1.7%
5,300,957	Medline Borrower, LP (Mozart), Initial Dollar Term Loan, 1 Mo. LIBOR + 3.25%, 0.50% Floor	7.32%	10/21/28	5,028,540
	Health Care Technology – 12.0%
4,675,565	athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan B, 1 Mo. SOFR + 3.50%, 0.50% Floor	7.41%	02/15/29	4,259,440
3,892,779	Ciox Health (Healthport/CT Technologies Intermediate Holdings, Inc.), New Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor	8.32%	12/16/25	3,587,429
1,808,384	Ensemble RCM, LLC (Ensemble Health), Term Loan B, 3 Mo. SOFR + 3.85%, 0.00% Floor	7.94%	08/01/26	1,752,631
2,266,541	Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.32%	03/10/28	2,150,789
1,209,782	Navicure, Inc. (Waystar Technologies, Inc.), Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor	8.07%	10/23/26	1,185,587
1,834,006	Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor	7.57%	07/25/26	1,694,163
12,343,896	Verscend Technologies, Inc. (Cotiviti), New Term Loan B-1, 1 Mo. LIBOR + 4.00%, 0.00% Floor	8.07%	08/27/25	12,240,330
7,647,683	Zelis Payments Buyer, Inc., New Term Loan B-1, 1 Mo. LIBOR + 3.50%, 0.00% Floor	7.57%	09/30/26	7,545,281
				34,415,650
	Hotels, Resorts & Cruise Lines – 2.4%
460,665	Alterra Mountain Company, Term Loan B-2, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	08/17/28	453,755
5,926,463	Four Seasons Holdings, Inc., Term Loan, 1 Mo. SOFR + 3.25%, 0.50% Floor	7.44%	11/30/29	5,915,381
443,489	Wyndham Hotels & Resorts, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.82%	05/30/25	441,192
				6,810,328
	Household Appliances – 0.2%
677,143	Traeger Grills (TGP Holdings III, LLC), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.32%	06/24/28	541,972
	Industrial Machinery – 0.4%
255,328	Filtration Group Corporation, 2021 Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	10/21/28	248,498
213,229	Filtration Group Corporation, Initial Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor	7.07%	03/29/25	210,218
618,674	TK Elevator Newco GMBH (Vertical U.S. Newco, Inc.), New Term Loan B1 (USD), 6 Mo. LIBOR + 3.50%, 0.50% Floor	6.87%	07/31/27	592,380
				1,051,096
	Insurance Brokers – 14.7%
4,509,949	Alliant Holdings I, LLC, 2019 New Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	05/10/25	4,414,112

Page 10

See Notes to Financial Statements

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Insurance Brokers (Continued)
$7,543,348	Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	05/09/25	$7,391,274
2,547,300	Alliant Holdings I, LLC, TLB-4 New Term Loan, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.44%	11/06/27	2,469,302
475,455	AssuredPartners, Inc., 2021 Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	02/13/27	456,080
108,172	AssuredPartners, Inc., 2022 Incremental Term Loan B4, 1 Mo. SOFR + 4.25%, 0.50% Floor	8.58%	02/13/27	106,077
1,818,498	AssuredPartners, Inc., Incremental Term Loan 2022, 1 Mo. SOFR + 3.50%, 0.50% Floor	7.59%	02/13/27	1,744,631
6,445,470	AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor	7.57%	02/12/27	6,189,005
2,786,633	BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor	6.75%	01/27/27	2,681,800
35,901	HUB International Limited, Initial Term Loan B, 2 Mo. LIBOR + 2.75%, 0.00% Floor	6.98%	04/25/25	35,193
13,714,085	HUB International Limited, Initial Term Loan B, 3 Mo. LIBOR + 2.75%, 0.00% Floor	7.33%	04/25/25	13,443,781
2,451	HUB International Limited, New Term Loan B-3, 2 Mo. LIBOR + 2.75%, 0.75% Floor	7.23%	04/25/25	2,408
960,599	HUB International Limited, New Term Loan B-3, 3 Mo. LIBOR + 2.75%, 0.75% Floor	7.53%	04/25/25	944,068
453,751	Ryan Specialty Group, LLC, Term Loan B, 1 Mo. SOFR + 3.00%, 0.75% Floor	7.19%	09/01/27	450,234
1,729,760	USI, Inc. (fka Compass Investors, Inc.), 2022 New Term Loan, 1 Mo. SOFR + 3.75%, 0.50% Floor	7.68%	11/30/29	1,699,801
				42,027,766
	Integrated Telecommunication Services – 2.3%
3,378,830	Numericable (Altice France SA or SFR), Term Loan B-11, 3 Mo. LIBOR + 2.75%, 0.00% Floor	7.16%	07/31/25	3,235,230
751,031	Zayo Group Holdings, Inc., Incremental Term Loan B-2, 1 Mo. SOFR + 4.25%, 0.50% Floor	8.34%	03/09/27	583,506
3,740,009	Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1 Mo. LIBOR + 3.00%, 0.00% Floor	7.07%	03/09/27	2,810,542
				6,629,278
	Managed Health Care – 0.7%
2,293,123	Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.50% Floor	8.98%	08/31/28	1,963,487
	Metal & Glass Containers – 0.2%
497,673	Berry Global, Inc., Term Loan Z, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.63%	07/01/26	491,203
	Office Services & Supplies – 0.2%
608,895	Dun & Bradstreet Corp., Refinancing Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.29%	02/08/26	600,066
	Packaged Foods & Meats – 2.2%
16,760	Hostess Brands, LLC (HB Holdings), Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75% Floor	6.32%	08/03/25	16,643
6,485,964	Hostess Brands, LLC (HB Holdings), Term Loan B, 3 Mo. LIBOR + 2.25%, 0.75% Floor	6.66%	08/03/25	6,440,692
				6,457,335

See Notes to Financial Statements

Page 11

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Paper Packaging – 3.3%
$4,669,550	Graham Packaging Company, LP, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor	7.07%	08/04/27	$4,558,648
1,598,439	Pactiv, LLC / Evergreen Packaging, LLC (fka Reynolds Group Holdings), Term Loan B-2, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	02/05/26	1,573,600
3,348,833	Pactiv, LLC / Evergreen Packaging, LLC (fka Reynolds Group Holdings), Tranche B-3 U.S. Term Loan, 1 Mo. LIBOR + 3.25%, 0.50% Floor	7.32%	09/20/28	3,295,988
				9,428,236
	Pharmaceuticals – 2.0%
972,491	Jazz Pharmaceuticals, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	05/05/28	963,981
5,061	Mallinckrodt International Finance S.A., Amendment No. 2 Incremental Term Loan, 3 Mo. LIBOR + 5.25%, 0.75% Floor	8.73%	09/30/27	3,964
1,088,938	Nestle Skin Health (Sunshine Lux VII SARL/Galderma), 2021 Term Loan B-3, 3 Mo. LIBOR + 3.75%, 0.75% Floor	7.42%	10/02/26	1,032,793
3,811,548	Parexel International Corp. (Phoenix Newco), First Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.50% Floor	7.32%	11/15/28	3,660,534
				5,661,272
	Research & Consulting Services – 1.9%
4,173,518	Clarivate Analytics PLC (Camelot), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor	7.07%	10/31/26	4,101,775
975,807	Corelogic, Inc., 2021 Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.63%	06/02/28	802,602
386,835	J.D. Power (Project Boost Purchaser, LLC), Non-Fungible 1st Lien Term Loan, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	05/26/26	372,329
334,037	Veritext Corporation (VT TopCo, Inc.), Term Loan B-4, 1 Mo. LIBOR + 3.75%, 0.75% Floor	7.82%	08/10/25	324,433
				5,601,139
	Restaurants – 6.4%
4,112,297	1011778 B.C. Unlimited Liability Company (Restaurant Brands) (aka Burger King/Tim Horton’s), Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.82%	11/14/26	4,030,051
1,218,819	1011778 B.C. Unlimited Liability Company (Restaurant Brands) (aka Burger King/Tim Horton’s), Term Loan B, 3 Mo. LIBOR + 1.75%, 0.00% Floor	6.16%	11/14/26	1,194,443
7,553,655	IRB Holding Corp. (Arby’s/Inspire Brands), New Term Loan B 2022, 1 Mo. LIBOR + 2.75%, 1.00% Floor	6.82%	02/05/25	7,410,664
1,965,000	IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B-3, 1 Mo. SOFR + 3.10%, 0.75% Floor	6.89%	12/15/27	1,888,365
3,880,000	Portillo’s Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 5.50%, 1.00% Floor	9.57%	08/30/24	3,847,680
				18,371,203
	Security & Alarm Services – 0.2%
549,406	Garda World Security Corporation, Second Lien Term Loan B-3, 3 Mo. LIBOR + 4.25%, 0.00% Floor	8.93%	10/30/26	526,469
	Specialized Consumer Services – 0.7%
926,400	Asurion, LLC, Inc. Amendment No. 6 Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor	7.32%	12/23/26	809,053

Page 12

See Notes to Financial Statements

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Rate (a)	Stated Maturity (b)	Value
SENIOR FLOATING-RATE LOAN INTERESTS (c) (Continued)
	Specialized Consumer Services (Continued)
$1,698,479	Asurion, LLC, New B-8 Term Loan, 1 Mo. LIBOR + 5.25%, 0.00% Floor	9.32%	01/31/28	$1,306,130
				2,115,183
	Specialized Finance – 0.9%
850,305	Radiate Holdco, LLC (Astound), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor	7.32%	09/25/26	743,881
731,007	WCG Purchaser Corp. (WIRB- Copernicus Group), Initial Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor	8.07%	01/08/27	685,319
1,211,918	WCG Purchaser Corp. (WIRB- Copernicus Group), Initial Term Loan B, 3 Mo. LIBOR + 4.00%, 0.00% Floor	7.67%	01/08/27	1,136,173
				2,565,373
	Specialty Stores – 1.3%
2,770,775	Petco Health and Wellness Company, Inc., 2021 Replacement Dollar Term Loan, 3 Mo. LIBOR + 3.25%, 0.75% Floor	6.92%	03/03/28	2,681,889
1,074,628	Petsmart, Inc., Initial Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor	7.82%	02/12/28	1,031,256
				3,713,145
	Systems Software – 5.5%
2,689,180	BMC Software Finance, Inc. (Boxer Parent), Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor	7.82%	10/02/25	2,575,912
883,272	Idera, Inc., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor	7.50%	02/15/28	835,063
1,781,852	Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor	6.87%	06/13/24	1,608,531
885,870	Proofpoint, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50% Floor	7.98%	08/31/28	851,268
1,962,470	Sophos Group PLC (Surf), Term Loan B-5, 3 Mo. LIBOR + 3.50%, 0.00% Floor	6.67%	03/05/27	1,879,889
6,804,180	SS&C Technologies Holdings, Inc., Facility B1 USD, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.82%	04/16/25	6,671,907
1,282,564	SUSE (Marcel Lux IV SARL), 2021 Refinancing Term Loan, Daily SOFR + 3.25%, 0.00% Floor	7.16%	03/15/26	1,260,119
				15,682,689
	Trading Companies & Distributors – 0.8%
2,326,073	SRS Distribution, Inc., 2022 Refinancing Term Loan, 1 Mo. LIBOR + 3.50%, 0.50% Floor	7.57%	06/04/28	2,230,122
113,313	SRS Distribution, Inc., Term Loan B, 1 Mo. SOFR + 3.60%, 0.50% Floor	7.69%	06/04/28	108,249
				2,338,371
	Wireless Telecommunication Services – 2.5%
7,272,834	SBA Senior Finance II, LLC, Term Loan B, 1 Mo. LIBOR + 1.75%, 0.00% Floor	5.83%	04/11/25	7,221,924
	Total Senior Floating-Rate Loan Interests			313,536,922
	(Cost $324,453,078)
Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (c) – 8.8%
	Application Software – 0.1%
560,000	GoTo Group, Inc. (d)	5.50%	09/01/27	328,678

See Notes to Financial Statements

Page 13

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Principal Value	Description	Stated Coupon	Stated Maturity	Value
CORPORATE BONDS AND NOTES (c) (Continued)
	Broadcasting – 2.7%
$1,000,000	Gray Television, Inc. (d)	5.88%	07/15/26	$922,500
2,000,000	Gray Television, Inc. (d)	7.00%	05/15/27	1,841,250
52,000	iHeartCommunications, Inc. (d)	5.25%	08/15/27	46,386
3,043,000	Nexstar Media, Inc. (d)	5.63%	07/15/27	2,873,307
2,395,000	Sirius XM Radio, Inc. (d)	3.13%	09/01/26	2,165,176
				7,848,619
	Cable & Satellite – 2.9%
7,000,000	CCO Holdings, LLC / CCO Holdings Capital Corp. (d)	5.13%	05/01/27	6,633,305
2,000,000	CSC Holdings, LLC (d)	7.50%	04/01/28	1,561,710
				8,195,015
	Casinos & Gaming – 0.4%
572,000	Fertitta Entertainment, LLC / Fertitta Entertainment Finance Co., Inc. (d)	4.63%	01/15/29	505,680
572,000	VICI Properties, L.P. / VICI Note Co., Inc. (d)	4.25%	12/01/26	532,801
				1,038,481
	Health Care Facilities – 1.7%
2,500,000	Tenet Healthcare Corp. (d)	6.25%	02/01/27	2,398,600
2,500,000	Tenet Healthcare Corp. (d)	5.13%	11/01/27	2,356,963
				4,755,563
	Health Care Services – 0.2%
376,000	DaVita, Inc. (d)	4.63%	06/01/30	304,930
226,000	DaVita, Inc. (d)	3.75%	02/15/31	166,453
324,000	Global Medical Response, Inc. (d)	6.50%	10/01/25	244,392
				715,775
	Insurance Brokers – 0.3%
359,000	AmWINS Group, Inc. (d)	4.88%	06/30/29	310,638
500,000	AssuredPartners, Inc. (d)	7.00%	08/15/25	480,538
				791,176
	Integrated Telecommunication Services – 0.2%
769,000	Zayo Group Holdings, Inc. (d)	4.00%	03/01/27	552,057
	Systems Software – 0.3%
1,007,000	SS&C Technologies, Inc. (d)	5.50%	09/30/27	964,008
	Total Corporate Bonds and Notes			25,189,372
	(Cost $26,351,987)
FOREIGN CORPORATE BONDS AND NOTES (c) – 0.6%
	Application Software – 0.0%
22,000	Open Text Corp. (d)	3.88%	02/15/28	18,585
	Environmental & Facilities Services – 0.6%
1,554,000	GFL Environmental, Inc. (d)	3.75%	08/01/25	1,456,829
305,000	GFL Environmental, Inc. (d)	4.00%	08/01/28	262,109
				1,718,938
	Total Foreign Corporate Bonds and Notes			1,737,523
	(Cost $1,766,566)

Page 14

See Notes to Financial Statements

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Portfolio of Investments (Continued)

November 30, 2022 (Unaudited)

Shares	Description	Value
COMMON STOCKS (c) – 0.3%
	Pharmaceuticals – 0.3%
150,392	Akorn, Inc. (e) (f)	$977,548
	(Cost $1,724,086)
RIGHTS (c) – 0.1%
	Electric Utilities – 0.1%
106,607	Vistra Energy Corp., no expiration date (f) (g)	131,500
	Life Sciences Tools & Services – 0.0%
1	New Millennium Holdco, Inc., Corporate Claim Trust, no expiration date (f) (g) (h) (i)	0
1	New Millennium Holdco, Inc., Lender Claim Trust, no expiration date (f) (g) (h) (i)	0
		0
	Total Rights	131,500
	(Cost $174,207)
WARRANTS (c) – 0.0%
	Movies & Entertainment – 0.0%
315,514	Cineworld Group PLC, expiring 11/23/25 (f) (g) (j)	19,013
	(Cost $0)
	Total Investments – 119.1%	341,591,878
	(Cost $354,469,924)
	Outstanding Loans – (18.8)%	(54,000,000)
	Net Other Assets and Liabilities – (0.3)%	(882,337)
	Net Assets – 100.0%	$286,709,541

(a)	Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the LIBOR, (ii) the SOFR obtained from the U.S. Department of the Treasury’s Office of Financial Research, (iii) the prime rate offered by one or more United States banks or (iv) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR or SOFR floor that establishes a minimum LIBOR or SOFR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR or SOFR period, spread and floor, but different LIBOR or SOFR reset dates.
(b)	Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown.
(c)	All of these securities are available to serve as collateral for the outstanding loans.
(d)	This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At November 30, 2022, securities noted as such amounted to $26,926,895 or 9.4% of net assets.
(e)	Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers (see Note 2D - Restricted Securities in the Notes to Financial Statements).
(f)	Non-income producing security.
(g)	Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be illiquid by the Advisor.
(h)	This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Fund’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At November 30, 2022, securities noted as such are valued at $0 or 0.0% of net assets.
(i)	This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements).
(j)	This issuer has filed for protection in bankruptcy court.

LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate

See Notes to Financial Statements

Page 15

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Statement of Cash Flows

For the Six Months Ended November 30, 2022 (Unaudited)

Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$4,023,705
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Purchases of investments	(179,730,082)
Sales, maturities and paydown of investments	251,833,263
Net amortization/accretion of premiums/discounts on investments	(845,360)
Net realized gain/loss on investments	16,937,923
Net change in unrealized appreciation/depreciation on investments and unfunded loan commitments	(11,314,115)
Changes in assets and liabilities:
Increase in interest receivable	(97,888)
Decrease in prepaid expenses	16,916
Decrease in interest and fees payable on loans	(1,662)
Decrease in investment advisory fees payable	(49,077)
Decrease in audit and tax fees payable	(30,513)
Increase in legal fees payable	8,735
Decrease in shareholder reporting fees payable	(17,658)
Decrease in administrative fees payable	(1,488)
Increase in custodian fees payable	4,534
Decrease in transfer agent fees payable	(8,307)
Decrease in trustees’ fees and expenses payable	(152)
Decrease in financial reporting fees payable	(10)
Increase in other liabilities payable	292
Cash provided by operating activities		$80,729,056
Cash flows from financing activities:
Distributions to Common Shareholders from investment operations	(11,029,948)
Repayment of borrowings	(104,000,000)
Proceeds from borrowings	42,000,000
Cash used in financing activities		(73,029,948)
Increase in cash		7,699,108
Cash at beginning of period		918,369
Cash at end of period		$8,617,477
Supplemental disclosure of cash flow information:
Cash paid during the period for interest and fees		$1,291,440

Page 20

See Notes to Financial Statements

Table of Contents

First Trust Senior Floating Rate Income Fund II (FCT)

Financial Highlights

For a Common Share outstanding throughout each period

	Six Months Ended 11/30/2022 (Unaudited)	Year Ended May 31,
	Six Months Ended 11/30/2022 (Unaudited)	2022	2021	2020	2019	2018
Net asset value, beginning of period	$ 11.30	$ 12.70	$ 12.46	$ 13.70	$ 14.05	$ 14.28
Income from investment operations:
Net investment income (loss)	0.37	0.56	0.55	0.67	0.74	0.70
Net realized and unrealized gain (loss)	(0.22)	(0.99)	0.90	(0.97)	(0.36)	(0.17)
Total from investment operations	0.15	(0.43)	1.45	(0.30)	0.38	0.53
Distributions paid to shareholders from:
Net investment income	(0.42)	(0.57)	(0.56)	(0.69)	(0.73)	(0.70)
Return of capital	—	(0.40)	(0.69)	(0.25)	—	(0.06)
Total distributions paid to Common Shareholders	(0.42)	(0.97)	(1.25)	(0.94)	(0.73)	(0.76)
Common Share repurchases	—	—	0.04	—	—	—
Net asset value, end of period	$11.03	$11.30	$12.70	$12.46	$13.70	$14.05
Market value, end of period	$10.18	$10.90	$12.60	$11.12	$11.98	$12.99
Total return based on net asset value (a)	1.78%	(3.64)%	13.51%	(1.38)%	3.44%	4.24%
Total return based on market value (a)	(2.61)%	(6.31)%	26.18%	0.65%	(2.17)%	1.05%
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000’s)	$ 286,710	$ 293,716	$ 329,619	$ 332,267	$ 365,804	$ 375,015
Ratio of total expenses to average net assets	2.08% (b)	1.67%	1.70%	2.35%	2.53%	2.17%
Ratio of total expenses to average net assets excluding interest expense	1.18% (b)	1.24%	1.30%	1.26%	1.24%	1.26%
Ratio of net investment income (loss) to average net assets	6.71% (b)	4.64%	4.37%	4.98%	5.34%	4.94%
Portfolio turnover rate	39%	45%	78%	64%	58%	101%
Indebtedness:
Total loans outstanding (in 000’s)	$ 54,000	$ 116,000	$ 136,000	$ 119,000	$ 163,000	$ 155,000
Asset coverage per $1,000 of indebtedness (c)	$ 6,309	$ 3,532	$ 3,424	$ 3,792	$ 3,244	$ 3,419

(a)	Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and changes in net asset value per share for net asset value returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results.
(b)	Annualized.
(c)	Calculated by subtracting the Fund’s total liabilities (not including the loans outstanding) from the Fund’s total assets, and dividing by the outstanding loans balance in 000’s.

See Notes to Financial Statements

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Table of Contents

Notes to Financial Statements

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

1. Organization

First Trust Senior Floating Rate Income Fund II (the “Fund”) is a diversified, closed-end management investment company organized as a Massachusetts business trust on March 25, 2004, 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 “FCT” on the New York Stock Exchange (“NYSE”).

The primary investment objective of the Fund is to seek a high level of current income. As a secondary objective, the Fund attempts to preserve capital. The Fund pursues its investment objectives by investing primarily in a portfolio of senior secured floating-rate corporate loans (“Senior Loans”)⁽¹⁾. Under normal market conditions, the Fund invests at least 80% of its Managed Assets in a diversified portfolio of Senior Loans. It is anticipated that at least 80% of the Fund’s Managed Assets are invested in lower grade debt instruments, although from time to time all of the Fund’s Managed Assets may be invested in such lower grade debt instruments. “Managed Assets” means the total asset value of the Fund minus the sum of its liabilities, other than the principal amount of borrowings. There can be no assurance that the Fund will achieve its investment objectives. Investing in Senior Loans involves credit risk and, during periods of generally declining credit quality, it may be particularly difficult for the Fund to achieve its secondary investment objective. The Fund may not be appropriate for all investors.

2. Significant Accounting Policies

The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) 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 determined daily 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. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The Fund’s 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), 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. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Fund’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:

Senior Loans 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 since its inception, 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 fair valued using information provided by a third-party pricing service. The third-party pricing service primarily uses over-the-counter pricing from dealer runs and broker quotes from indicative sheets to value the Senior Loans. If the third-party pricing service cannot or does not provide a valuation for a particular Senior Loan or such valuation is deemed unreliable, the Advisor’s Pricing Committee may value such Senior Loan at a fair value according to procedures approved by the Fund’s Board of Trustees, and in accordance with the provisions of

⁽¹⁾	The terms “security” and “securities” used throughout the Notes to Financial Statements include Senior Loans.

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Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

the 1940 Act and rules thereunder. Fair valuation of a Senior Loan is based on the consideration of all available information, including, but not limited to the following:

1)	the most recent price provided by a pricing service;
2)	the fundamental business data relating to the borrower;
3)	an evaluation of the forces which influence the market in which these securities are purchased and sold;
4)	the type, size and cost of the security;
5)	the financial statements of the borrower, or the financial condition of the country of issue;
6)	the credit quality and cash flow of the borrower, or country of issue, based on the Pricing Committee’s, sub-advisor’s or portfolio manager’s analysis, as applicable, or external analysis;
7)	the information as to any transactions in or offers for the security;
8)	the price and extent of public trading in similar securities (or equity securities) of the borrower, or comparable companies;
9)	the coupon payments;
10)	the quality, value and salability of collateral, if any, securing the security;
11)	the business prospects of the borrower, including any ability to obtain money or resources from a parent or affiliate and an assessment of the borrower’s management;
12)	the prospects for the borrower’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry;
13)	the borrower’s competitive position within the industry;
14)	the borrower’s ability to access additional liquidity through public and/or private markets; and
15)	other relevant factors.

Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.

Shares of open-end funds are valued based on NAV per share.

Securities traded in an over-the-counter market are valued at the mean of their most recent bid and asked price, if available, and otherwise at their last trade price.

Corporate bonds, corporate notes and other debt securities are fair valued on the basis of valuations provided by a third-party pricing service approved by the Advisor’s Pricing Committee, which may use the following valuation inputs when available:

1)	benchmark yields;
2)	reported trades;
3)	broker/dealer quotes;
4)	issuer spreads;
5)	benchmark securities;
6)	bids and offers; and
7)	reference data including market research publications.

Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the “1933 Act”)) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:

Page 23

Table of Contents

Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

1)	the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
2)	the type of security;
3)	the size of the holding;
4)	the initial cost of the security;
5)	transactions in comparable securities;
6)	price quotes from dealers and/or third-party pricing services;
7)	relationships among various securities;
8)	information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
9)	an analysis of the issuer’s financial statements;
10)	the existence of merger proposals or tender offers that might affect the value of the security; and
11)	other relevant factors.

The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:

•	Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•	Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:

o	Quoted prices for similar investments in active markets.
o	Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o	Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o	Inputs that are derived principally from or corroborated by observable market data by correlation or other means.

•	Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.

The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of November 30, 2022, is included with the Fund’s Portfolio of Investments.

In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing requirements to determine fair value in good faith for purposes of the 1940 Act. The rule permits fund boards to designate a fund’s investment advisor to perform fair value determinations, subject to board oversight and certain other conditions. The rule also defines when market quotations are “readily available” for purposes of the 1940 Act and requires a fund to fair value a portfolio investment when a market quotation is not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping requirements associated with fair value determinations. The compliance date for Rule 2a-5 and Rule 31a-4 was September 8, 2022.

Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the Fund’s Board of Trustees designated the Advisor as its valuation designee to perform fair value determinations and approved new Advisor Valuation Procedures for the Fund.

B. Security Transactions and Investment Income

Security transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Market premiums and discounts are amortized to the earliest call date of each respective borrowing.

The United Kingdom’s Financial Conduct Authority (the “FCA”), which regulates the London Interbank Offered Rates (“LIBOR”), announced on March 5, 2021 that it intended to phase-out all LIBOR reference rates, beginning December 31, 2021. Since that announcement, the FCA has ceased publication of all non-USD LIBOR reference rates and the 1-week and 2-month USD LIBOR reference rates as of December 31, 2021. The remaining USD LIBOR settings will cease to be published or no longer be representative immediately after June 30, 2023. The International Swaps and Derivatives Association, Inc. (“ISDA”) confirmed that the FCA’s

Page 24

Table of Contents

Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

March 5, 2021 announcement of its intention to cease providing LIBOR reference rates, constituted an index cessation event under the Interbank Offered Rates (“IBOR”) Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to be used in ISDA fallbacks was fixed as of the date of the announcement.

In the United States, the Alternative Reference Rates Committee (the “ARRC”), a group of market participants convened by the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York in cooperation with other federal and state government agencies, has since 2014 undertaken efforts to identify U.S. dollar reference interest rates as alternatives to LIBOR and to facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC identified the Secured Overnight Financing Rate (“SOFR”), a broad measure of the cost of cash overnight borrowing collateralized by U.S. Treasury securities, as the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New York began daily publishing of SOFR in April 2018. There is no assurance that any alternative reference rate, including SOFR, will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity.

At this time, it is not possible to predict the full impact of the elimination of LIBOR and the establishment of an alternative reference rate on the Fund or its investments.

Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. Due to the nature of the Senior Loan market, the actual settlement date may not be certain at the time of the purchase or sale for some of the Senior Loans. Interest income on such Senior Loans 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, delayed-delivery or forward purchase commitments until payment is made. At November 30, 2022, the Fund had no when-issued, delayed-delivery or forward purchase commitments (other than the unfunded commitments discussed below).

C. Unfunded Loan Commitments

The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrower’s discretion. Unfunded loan commitments are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statement of Assets and Liabilities and Statement of Operations. In connection with these commitments, the Fund earns a commitment fee typically set as a percentage of the commitment amount. The commitment fees are included in “Other” under Investment Income on the Statement of Operations. As of November 30, 2022, the Fund had the following unfunded loan commitments:

Borrower	Principal Value	Commitment Amount	Value	Unrealized Appreciation (Depreciation)
athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan	$ 794,455	$ 791,140	$ 723,748	$ (67,392)
Aveanna Healthcare LLC, Term Loan	181,205	180,135	139,075	(41,060)
Traeger Grills (TGP Holdings III LLC), Term Loan	89,286	88,929	71,463	(17,466)
Veritext Corporation (VT TopCo, Inc.), Term Loan	22,309	22,309	21,668	(641)
		$1,082,513	$955,954	$(126,559)

D. 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 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of November 30, 2022, the Fund held restricted securities as shown in the following table that the Advisor has deemed illiquid pursuant to procedures adopted by the Fund’s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. 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 note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security.

Security	Acquisition Date	Shares	Current Price	Carrying Cost	Value	% of Net Assets
Akorn, Inc.	10/15/2020	150,392	$6.50	$1,724,086	$977,548	0.34%

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Table of Contents

Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

E. 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, if any. Distributions of any net long-term capital gains earned by the Fund are distributed at least annually. 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 net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some point in the future.

The tax character of distributions paid by the Fund during the fiscal year ended May 31, 2022, was as follows:

Distributions paid from:
Ordinary income	$14,904,773
Return of capital	10,282,054

As of May 31, 2022, the components of distributable earnings and net assets on a tax basis were as follows:

Undistributed ordinary income	$—
Undistributed capital gains	—
Total undistributed earnings	—
Accumulated capital and other losses	(37,881,083)
Net unrealized appreciation (depreciation)	(24,183,450)
Total accumulated earnings (losses)	(62,064,533)
Other	—
Paid-in capital	355,780,317
Total net assets	$293,715,784

F. 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, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.

The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At May 31, 2022, the Fund had $37,317,650 of non-expiring capital loss carryforwards available for federal income tax purposes.

Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended May 31, 2022, the Fund incurred $563,433 of late year capital losses.

The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2019, 2020, 2021, and 2022 remain open to

Page 26

Table of Contents

Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

federal and state audit. As of November 30, 2022, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions.

Tax Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)		Net Unrealized Appreciation (Depreciation)
$354,469,924		$600,911		$(13,478,957)		$(12,878,046)

G. Expenses

The Fund will pay all expenses directly related to its operations.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements

First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing 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 0.75% of the Fund’s Managed Assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250.

The Bank of New York Mellon (“BNYM”) serves as the Fund’s administrator, fund accountant, and custodian in accordance with certain fee arrangements. As administrator and fund accountant, BNYM is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund’s books of account, records of the Fund’s securities transactions, and certain other books and records. As custodian, BNYM is responsible for custody of the Fund’s assets. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.

Computershare, Inc. (“Computershare”) serves as the Fund’s transfer agent in accordance with certain fee arrangements. As transfer agent, Computershare is responsible for maintaining shareholder records for the Fund.

Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.

Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Fund for acting in such capacities.

4. Purchases and Sales of Securities

The cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended November 30, 2022, were $141,862,767 and $204,233,069, respectively.

5. Borrowings

The Fund has a credit agreement (the “Credit Agreement”) with The Bank of Nova Scotia (“Scotia”) that provides a secured line of credit for the Fund. The maximum commitment amount is $138,000,000. Prior to October 13, 2022, the maximum commitment amount was $148,000,000. At the option of the Fund, the borrowing rate is either: (i) the applicable LIBOR rate plus 80 basis points or (ii) the greater of (a) the prime rate as in effect from time to time, (b) the federal funds effective rate plus 2% and (c) the overnight eurodollar rate plus 2%. Under the Credit Agreement, the Fund pays a commitment fee of 0.25% when the loan balance is less than 75% of the maximum commitment or 0.15% in all other events. The average amount outstanding under the Credit Agreement for the six months ended November 30, 2022 was $82,540,984 with the average weighted average interest rate of 3.23%. As of November 30, 2022, the Fund had two LIBOR loans outstanding under the Credit Agreement totaling $54,000,000, which approximates fair value. In addition to the LIBOR loans, the Fund had Prime Rate loans during the period with interest rates ranging from 4.00% to 6.25%.The borrowings are categorized as Level 2 within the fair value hierarchy. The high and low annual interest rates during the six months ended November 30, 2022 were 6.25% and 1.66%, respectively. The weighted average interest rate at November 30, 2022 was 4.71%. The interest and fees are included in “Interest and fees on loans” on the Statement of Operations.

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Notes to Financial Statements (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

6. Indemnification

The Fund has a variety of indemnification obligations under contracts with its service providers. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

7. Subsequent Events

Management has evaluated the impact of all subsequent events to the Fund through the date the financial statements were issued and has determined that there were the following subsequent events:

Effective December 16, 2022, the Fund amended its Credit Agreement with Scotia (“Amended Credit Agreement”). The Amended Credit Agreement maintains the maximum commitment amount of $138,000,000. The Amended Credit Agreement replaces LIBOR as the applicable rate with Term SOFR plus a credit spread adjustment of (a) 10 bps for a loan with a one month interest period, (b) 25 bps for a loan with a three month interest period, and (c) 40 bps for a loan with a six month interest period. The spread on borrowed assets bearing interest at Term SOFR changed to the reference rate + 95 bps (plus the applicable credit spread adjustment). Under the Amended Credit Agreement the committee fee will remain at 0.15% when usage is greater than or equal to 75% or 25 bps if less than 75% of the total facility size is utilized.

On January 3, 2023, the fair value methodology used to value the senior loan investments held by the Fund was changed. Prior to that date, the senior loans were valued using the bid side price provided by a pricing service. After such date, the senior loans were valued using the midpoint between the bid and ask price provided by a pricing service. The change in the Fund’s fair value methodology on January 3, 2023, resulted in a one-time increase in the Fund’s net asset value of approximately $0.046 per share on that date, which represented a positive impact on the Fund’s performance of 0.42%.

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Additional Information

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (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 Computershare Trust Company N.A. (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 the Plan Agent, as the 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 (866) 340-1104, in accordance with such reasonable requirements as the Plan Agent and the 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 Computershare, Inc., P.O. Box 505000, Louisville, KY 40233-5000.

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 investments 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 at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

Portfolio Holdings

The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the

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Additional Information (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

SEC’s website at www.sec.gov. The Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.

Submission of Matters to a Vote of Shareholders

The Fund held its Annual Meeting of Shareholders (the “Annual Meeting”) on September 19, 2022. At the Annual Meeting, James A. Bowen and Robert F. Keith were elected by the Common Shareholders of the First Trust Senior Floating Rate Income Fund II as Class III Trustees for a three-year term expiring at the Fund’s annual meeting of shareholders in 2025. The number of votes cast in favor of Mr. Bowen was 21,119,272 and the number of votes withheld was 304,645. The number of votes cast in favor of Mr. Keith was 21,119,272 and the number of votes withheld was 304,645. Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe and Niel B. Nielson are the other current and continuing Trustees.

Principal Risks

The Fund is a closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objectives. The following discussion summarizes the principal risks associated with investing in the Fund, which includes the risk that you could lose some or all of your investment in the Fund. The Fund is subject to the informational requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940 and, in accordance therewith, files reports, proxy statements and other information that is available for review. The order of the below risk factors does not indicate the significance of any particular risk factor.

Credit Agency Risk. Credit ratings are determined by credit rating agencies and are only the opinions of such entities. Ratings assigned by a rating agency are not absolute standards of credit quality and do not evaluate market risk or the liquidity of securities. Any shortcomings or inefficiencies in credit rating agencies’ processes for determining credit ratings may adversely affect the credit ratings of securities held by the Fund or such credit rating agency’s ability to evaluate creditworthiness and, as a result, may adversely affect those securities’ perceived or actual credit risk.

Credit and Below-Investment Grade Securities Risk. Credit risk is the risk that the issuer or other obligated party of a debt security in the Fund’s portfolio will fail to pay, or it is perceived that it will fail to pay, dividends or interest and/or repay principal, when due. Below-investment grade instruments, including instruments that are not rated but judged to be of comparable quality, are commonly referred to as high-yield securities or “junk” bonds and are considered speculative with respect to the issuer’s capacity to pay dividends or interest and repay principal and are more susceptible to default or decline in market value than investment grade securities due to adverse economic and business developments. High-yield securities are often unsecured and subordinated to other creditors of the issuer. The market values for high-yield securities tend to be very volatile, and these securities are generally less liquid than investment grade securities. For these reasons, an investment in the Fund is subject to the following specific risks: (i) increased price sensitivity to changing interest rates and to a deteriorating economic environment; (ii) greater risk of loss due to default or declining credit quality; (iii) adverse company specific events more likely to render the issuer unable to make dividend, interest and/or principal payments; (iv) negative perception of the high-yield market which may depress the price and liquidity of high-yield securities; (v) volatility; and (vi) liquidity.

Cyber Security Risk. The Fund is susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. Cyber security breaches may involve unauthorized access to the Fund’s digital information systems through “hacking” or malicious software coding, but may also result from outside attacks such as denial-of-service attacks through efforts to make network services unavailable to intended users. In addition, cyber security breaches of the Fund’s third-party service providers, such as its administrator, transfer agent or custodian, or issuers in which the Fund invests, can also subject the Fund to many of the same risks associated with direct cyber security breaches. The Fund has established risk management systems designed to reduce the risks associated with cyber security. However, there is no guarantee that such efforts will succeed, especially because the Fund does not directly control the cyber security systems of issuers or third party service providers. Substantial costs may be incurred by the Fund in order to resolve or prevent cyber incidents in the future.

Health Care Companies Risk. Through the Fund’s investments in senior loans, the Fund may be significantly exposed to companies in the health care sector. Health care companies are involved in medical services or health care, including biotechnology research and production, drugs and pharmaceuticals and health care facilities and services. These companies are subject to extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation. Research and

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November 30, 2022 (Unaudited)

obligations in full; can be very difficult to properly value, making them susceptible to a high degree of price volatility and rendering them less liquid than performing debt obligations; and, for issuers involved in a bankruptcy proceeding, can be subject to a high degree of uncertainty with regard to both the timing and the amount of the ultimate settlement.

Second Lien Loan Risk. A second lien loan may have a claim on the same collateral pool as the first lien or it may be secured by a separate set of assets. Second lien loans are typically secured by a second priority security interest or lien on specified collateral securing the borrower’s obligation under the interest. Because second lien loans are second to first lien loans, they present a greater degree of investment risk. Specifically, these loans are subject to the additional risk that the cash flow of the borrower and property securing the loan may be insufficient to meet scheduled payments after giving effect to those loans with a higher priority. In addition, loans that have a lower than first lien priority on collateral of the borrower generally have greater price volatility than those loans with a higher priority and may be less liquid.

Senior Loan Risk. The Fund invests in senior loans and therefore is subject to the risks associated therewith. Investments in senior loans are subject to the same risks as investments in other types of debt securities, including credit risk, interest rate risk, liquidity risk and valuation risk (which may be heightened because of the limited public information available regarding senior loans and because loan borrowers may be leveraged and tend to be more adversely affected by changes in market or economic conditions). Further, no active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Senior loans may not be considered “securities” and the Fund may not be entitled to rely on the anti-fraud protections of the federal securities laws.

In the event a borrower fails to pay scheduled interest or principal payments on a senior loan held by the Fund, the Fund will experience a reduction in its income and a decline in the value of the senior loan, which will likely reduce dividends and lead to a decline in the net asset value of the Fund’s common shares. If the Fund acquires a senior loan from another lender, for example, by acquiring a participation, the Fund may also be subject to credit risks with respect to that lender. Although senior loans may be secured by specific collateral, the value of the collateral may not equal the Fund’s investment when the senior loan is acquired or may decline below the principal amount of the senior loan subsequent to the Fund’s investment. Also, to the extent that collateral consists of stock of the borrower or its subsidiaries or affiliates, the Fund bears the risk that the stock may decline in value, be relatively illiquid, and/or may lose all or substantially all of its value, causing the senior loan to be under collateralized. Therefore, the liquidation of the collateral underlying a senior loan may not satisfy the issuer’s obligation to the Fund in the event of non-payment of scheduled interest or principal, and the collateral may not be readily liquidated. The senior loan market has seen a significant increase in loans with weaker lender protections including, but not limited to, limited financial maintenance covenants or, in some cases, no financial maintenance covenants (i.e., “covenant-lite loans”) that would typically be included in a traditional loan agreement and general weakening of other restrictive covenants applicable to the borrower such as limitations on incurrence of additional debt, restrictions on payments of junior debt or restrictions on dividends and distributions. Weaker lender protections such as the absence of financial maintenance covenants in a loan agreement and the inclusion of “borrower-favorable” terms may impact recovery values and/or trading levels of senior loans in the future. The absence of financial maintenance covenants in a loan agreement generally means that the lender may not be able to declare a default if financial performance deteriorates. This may hinder the Fund’s ability to reprice credit risk associated with a particular borrower and reduce the Fund’s ability to restructure a problematic loan and mitigate potential loss. As a result, the Fund’s exposure to losses on investments in senior loans may be increased, especially during a downturn in the credit cycle or changes in market or economic conditions.

Valuation Risk. The valuation of senior loans may carry more risk than that of common stock. Because the secondary market for senior loans is limited, it may be difficult to value the loans held by the Fund. Market quotations may not be readily available for some senior loans and valuation may require more research than for liquid securities. In addition, elements of judgment may play a greater role in the valuation of senior loans than for securities with a secondary market, because there is less reliable objective data available. These difficulties may lead to inaccurate asset pricing.

Investment Management Agreement

Board Considerations Regarding Approval of Continuation of Investment Management Agreement

The Board of Trustees of First Trust Senior Floating Rate Income Fund II (the “Fund”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) between the Fund and First Trust Advisors L.P. (the “Advisor”). The Board approved the continuation of the Agreement for a one-year period ending June 30, 2023 at a meeting held on June 12–13, 2022. The Board determined that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.

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November 30, 2022 (Unaudited)

To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 18, 2022 and June 12–13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by the Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for the Fund, including comparisons of the Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to the Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor; and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 12–13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Fund and the Advisor continues to be a reasonable business arrangement from the Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in the Fund knowing that the Advisor manages the Fund.

In reviewing the Agreement, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Fund and reviewed all of the services provided by the Advisor to the Fund, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor’s Leveraged Finance Investment Team is responsible for the day-to-day management of the Fund’s investments. The Board considered the background and experience of the members of the Leveraged Finance Investment Team and noted the Board’s prior meetings with members of the Team. The Board considered the Advisor’s statement that it applies the same oversight model internally with its Leveraged Finance Investment Team as it uses for overseeing external sub-advisors, including portfolio risk monitoring and performance review. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and the Fund’s compliance with the 1940 Act, as well as the Fund’s compliance with its investment objectives, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 18, 2022 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Fund and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed the Fund consistent with its investment objectives, policies and restrictions.

The Board considered the advisory fee rate payable under the Agreement for the services provided. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund and non-fund clients, as applicable. With respect to the Expense Group, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating a relevant peer group for the Fund. The Board took these limitations into account in considering the peer data, and noted that the contractual advisory fee rate payable by the Fund, based on average managed assets, was below the median contractual advisory fee of the peer funds in the Expense Group. With respect to fees charged to other clients, the Board considered differences between the Fund and other clients that limited their comparability. In considering the advisory fee rate overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to the Fund and the other funds in the First Trust Fund Complex.

The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board received and

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Additional Information (Continued)

First Trust Senior Floating Rate Income Fund II (FCT)

November 30, 2022 (Unaudited)

reviewed information comparing the Fund’s performance for periods ended December 31, 2021 to the performance of the funds in the Performance Universe and to that of a benchmark index. In reviewing the Fund’s performance as compared to the performance of the Performance Universe, the Board took into account the limitations described above with respect to creating a relevant peer group for the Fund. Based on the information provided on net asset value performance, the Board noted that the Fund underperformed the Performance Universe median for the one-, three-, five- and ten-year periods ended December 31, 2021, underperformed the benchmark index for the one- and five-year periods ended December 31, 2021 and outperformed the benchmark index for the three- and ten-year periods ended December 31, 2021. In addition, the Board considered information provided by the Advisor on the impact of leverage on the Fund’s returns. The Board also received information on the Fund’s annual distribution rate as of December 31, 2021 and the Fund’s average trading discount for various periods and comparable information for a peer group.

On the basis of all the information provided on the fees, expenses and performance of the Fund, and the ongoing oversight by the Board, the Board concluded that the advisory fee continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to the Fund under the Agreement.

The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Fund and noted the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Fund will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board determined that due to the Fund’s closed-end structure, the potential for realization of economies of scale as Fund assets grow was not a material factor to be considered. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the twelve months ended December 31, 2021 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund, including the Advisor’s compensation for fund reporting services pursuant to a separate Fund Reporting Services Agreement. The Board also noted that the Advisor does not utilize soft dollars in connection with the Fund. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.

Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of the Fund. No single factor was determinative in the Board’s analysis.

Page 35

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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.

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.

ASSETS:
Investments, at value (Cost $354,469,924)	$ 341,591,878
Cash	8,617,477
Receivables:
Investment securities sold	20,522,381
Interest	1,419,553
Prepaid expenses	4,321
Total Assets	372,155,610
LIABILITIES:
Outstanding loans	54,000,000
Payables:
Investment securities purchased	30,871,664
Investment advisory fees	215,248
Interest and fees on loans	124,940
Audit and tax fees	42,539
Administrative fees	28,360
Custodian fees	12,340
Legal fees	11,485
Trustees’ fees and expenses	2,951
Shareholder reporting fees	2,724
Transfer agent fees	2,470
Financial reporting fees	761
Unrealized depreciation on unfunded loan commitments	126,559
Other liabilities	4,028
Total Liabilities	85,446,069
NET ASSETS	$286,709,541
NET ASSETS consist of:
Paid-in capital	$ 355,520,483
Par value	259,834
Accumulated distributable earnings (loss)	(69,070,776)
NET ASSETS	$286,709,541
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share)	$11.03
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized)	25,983,388

INVESTMENT INCOME:
Interest		$ 12,570,272
Dividends		32,040
Other		36,248
Total investment income		12,638,560
EXPENSES:
Investment advisory fees		1,390,610
Interest and fees on loans		1,289,778
Administrative fees		126,787
Shareholder reporting fees		41,834
Audit and tax fees		37,206
Legal fees		26,707
Custodian fees		21,020
Listing expense		18,193
Trustees’ fees and expenses		9,105
Transfer agent fees		7,212
Financial reporting fees		4,616
Other		17,979
Total expenses		2,991,047
NET INVESTMENT INCOME (LOSS)		9,647,513
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments		(16,937,923)
Net change in unrealized appreciation (depreciation) on:
Investments		11,368,149
Unfunded loan commitments		(54,034)
Net change in unrealized appreciation (depreciation)		11,314,115
NET REALIZED AND UNREALIZED GAIN (LOSS)		(5,623,808)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$ 4,023,705

	Six Months Ended 11/30/2022 (Unaudited)	Year Ended 5/31/2022
OPERATIONS:
Net investment income (loss)	$ 9,647,513	$ 14,768,290
Net realized gain (loss)	(16,937,923)	(1,184,588)
Net change in unrealized appreciation (depreciation)	11,314,115	(24,665,993)
Net increase (decrease) in net assets resulting from operations	4,023,705	(11,082,291)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations	(11,029,948)	(14,904,773)
Return of capital	—	(10,282,054)
Total distributions to shareholders	(11,029,948)	(25,186,827)
CAPITAL TRANSACTIONS:
Proceeds from Common Shares reinvested	—	366,260
Repurchase of Common Shares	—	—
Net increase (decrease) in net assets resulting from capital transactions	—	366,260
Total increase (decrease) in net assets	(7,006,243)	(35,902,858)
NET ASSETS:
Beginning of period	293,715,784	329,618,642
End of period	$ 286,709,541	$ 293,715,784
CAPITAL TRANSACTIONS were as follows:
Common Shares at beginning of period	25,983,388	25,953,421
Common Shares issued as reinvestment under the Dividend Reinvestment Plan	—	29,967
Common Shares at end of period	25,983,388	25,983,388

Industry Classification	% of Total Long-Term Investments⁽⁶⁾
Software	22.1%
Insurance	12.5
Media	10.7
Health Care Technology	10.5
Hotels, Restaurants & Leisure	8.9
Health Care Providers & Services	7.6
Commercial Services & Supplies	3.0
Containers & Packaging	2.9
Wireless Telecommunication Services	2.1
Electric Utilities	2.1
Diversified Telecommunication Services	2.1
Pharmaceuticals	1.9
Capital Markets	1.9
Food Products	1.9
Professional Services	1.6
Health Care Equipment & Supplies	1.5
Aerospace & Defense	1.2
Specialty Retail	1.1
Diversified Consumer Services	1.0
Diversified Financial Services	0.7
Trading Companies & Distributors	0.7
Electronic Equipment, Instruments & Components	0.6
Machinery	0.3
Auto Components	0.3
Communications Equipment	0.2
Food & Staples Retailing	0.2
Household Durables	0.2
Building Products	0.1
IT Services	0.1
Oil, Gas & Consumable Fuels	0.0*
Entertainment	0.0*
Life Sciences Tools & Services	0.0*
Total	100.0%

	Total Value at 11/30/2022	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Senior Floating-Rate Loan Interests*	$ 313,536,922	$ —	$ 313,536,922	$ —
Corporate Bonds and Notes*	25,189,372	—	25,189,372	—
Foreign Corporate Bonds and Notes*	1,737,523	—	1,737,523	—
Common Stocks*	977,548	—	977,548	—
Rights:
Electric Utilities	131,500	—	131,500	—
Life Sciences Tools & Services	—**	—	—	—**
Warrants*	19,013	—	19,013	—
Total Investments	$ 341,591,878	$—	$ 341,591,878	$—**

*	See Portfolio of Investments for industry breakout.
**	Investment is valued at $0.

By (Signature and Title)*		/s/ James M. Dykas
		James M. Dykas, President and Chief Executive Officer (principal executive officer)

By (Signature and Title)*		/s/ Donald P. Swade
		Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer)