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First Trust/Four Corners Senior Floating Rate Income Fund | AMEX:FCM | AMEX | Ordinary Share |
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Date of fiscal year end: May 31 -------------- Date of reporting period: February 28, 2010 ----------------- |
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b)
FEBRUARY 28, 2010 (Unaudited)
Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - 135.4% AEROSPACE & DEFENSE - 6.4% $ 359,429 DAE Aviation Holdings, Inc., Term Loan B1 B3 B 4.00% 07/31/14 $ 333,071 350,736 DAE Aviation Holdings, Inc., Term Loan B2 B3 B 3.99-4.00% 07/31/14 325,015 403,895 GenCorp, Inc., Synthetic Letter of Credit Ba3 B+ 2.48% 04/30/13 383,700 166,485 GenCorp, Inc., Term Loan Ba3 B+ 2.51% 04/30/13 158,161 478,844 L-1 Identity Solutions Operating Co., Term Loan B-2 Ba3 BB 7.25% 08/05/13 478,844 497,708 Robertson Fuel Systems, LLC, Term Loan NR (f) NR (f) 2.98%-5.00% 04/19/13 467,846 463,015 Safenet, Inc., Term Loan, First Lien B1 B+ 2.73% 04/12/14 435,234 979,747 Spirit Aerosystems, Inc., Term Loan B Ba2 BBB- 2.00% 09/30/13 960,968 131,250 TASC, Inc., Term Loan A Ba2 BB 5.50% 12/18/14 131,797 243,750 TASC, Inc., Term Loan B Ba2 BB 5.75% 12/18/15 245,375 425,830 Vought Aircraft Industries, Inc., Term Loan B Ba2 BB- 7.50% 12/22/11 426,185 ---------- 4,346,196 ---------- AGRICULTURAL PRODUCTS - 1.2% 93,235 Dole Food Co., Inc., Prefunded Letter of Credit Ba2 BB- 8.00% 08/30/10 93,235 162,140 Dole Food Co., Inc., Term Loan B Ba2 BB- 8.00% 04/12/13 162,140 526,069 Dole Food Co., Inc., Term Loan C Ba2 BB- 8.00% 04/12/13 526,069 ---------- 781,444 ---------- AIRLINES - 0.7% 490,000 Delta Air Lines, Inc., Synthetic Revolving Credit Facility Ba2 BB- 2.25%-2.28% 04/30/12 457,742 ---------- ALUMINUM - 1.4% 670,339 Novelis Corp., Term Loan Ba3 BB- 2.23%-2.26% 07/06/14 647,595 304,688 Novelis, Inc., Canadian Term Loan Ba3 BB- 2.23% 07/06/14 294,350 ---------- 941,945 ---------- APPAREL RETAIL - 0.7% 500,000 Hanesbrands, Inc., New Term Loan Ba1 BB+ 5.25% 12/10/15 503,750 ---------- APPLICATION SOFTWARE - 1.3% 931,279 Verint Systems, Inc., Term Loan, First Lien NR B+ 3.48% 05/25/14 880,059 ---------- ASSET MANAGEMENT & CUSTODY BANKS - 1.3% 901,597 Nuveen Investments, Inc., Term Loan B3 B 3.25%-3.32% 11/13/14 784,389 138,486 Oxford US Acquisition, LLC, Term Loan, Tranche B2 NR (f) NR (f) 2.25% 05/12/14 129,485 ---------- 913,874 ---------- AUTOMOBILE MANUFACTURERS - 0.7% 488,060 Ford Motor Co., Term Loan, Tranche B-1 Ba3 B- 3.24%-3.26% 12/15/13 455,929 ---------- AUTOMOTIVE RETAIL - 0.5% 368,291 KAR Holdings, Inc., Term Loan B Ba3 B+ 2.98% 10/20/13 355,170 ---------- BROADCASTING - 3.2% 850,494 Cumulus Media, Inc., Term Loan, First Lien Caa1 B- 4.23% 06/11/14 728,235 574,368 Gray Television, Inc., Term Loan B Caa1 CCC 3.75% 12/31/14 516,069 500,000 Raycom Media, Inc., Term Loan, Tranche B NR NR 1.81% 06/25/14 440,000 488,750 Sirius Satellite Radio, Inc., Term Loan, First Lien B1 BB- 2.50% 12/20/12 467,367 ---------- 2,151,671 ---------- CABLE & SATELLITE - 3.4% 471,486 Charter Communications Operating, LLC, Term Loan Ba2 BB+ 2.23% 03/06/14 439,789 444,231 CSC Holdings, Inc., Incremental Term Loan Baa3 BBB- 2.00%-2.05% 03/29/13 431,667 497,416 CSC Holdings, Inc., Term Loan, Extended Maturity Baa3 BBB- 2.00%-2.05% 03/29/16 491,043 324,144 UPC Broadband Holding B.V., Term Loan N Ba3 B+ 2.18% 12/31/14 306,991 675,856 UPC Broadband Holding B.V., Term Loan T Ba3 B+ 3.93% 12/31/16 656,932 ---------- 2,326,422 ---------- CASINOS & GAMING - 3.2% 436,640 CCM Merger, Inc., Term Loan B B3 BB- 8.50% 07/13/12 430,272 118,200 Las Vegas Sands, LLC, Delayed Draw Term Loan 1 B3 B- 2.01% 05/23/14 102,785 See Notes to Quarterly Portfolio of Investments Page 1 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued) CASINOS & GAMING - (Continued) $ 115,142 Seminole Tribe of Florida, Delayed Draw Term Loan B1 Baa3 BBB 1.75% 03/05/14 $ 110,488 414,939 Seminole Tribe of Florida, Delayed Draw Term Loan B2 Baa3 BBB 1.75% 03/05/14 398,169 315,789 Seminole Tribe of Florida, Delayed Draw Term Loan B3 Baa3 BBB 1.75% 03/05/14 303,026 834,327 VML US Finance, LLC, Term Loan B B3 B- 4.76% 05/25/13 793,915 ---------- 2,138,655 ---------- COMMODITY CHEMICALS - 2.4% 1,750,000 Univar, Inc., Term Loan B-Opco B2 B+ 3.23% 10/11/14 1,643,906 ---------- COMPUTER HARDWARE - 1.9% 1,341,779 Activant Solutions, Inc., Term Loan B1 B 2.25%-2.31% 05/02/13 1,276,367 ---------- DATA PROCESSING & OUTSOURCED SERVICES - 1.9% 1,462,500 Harland Clarke Holdings Corp., Term Loan B B1 B+ 2.73%-2.75% 06/30/14 1,278,956 ---------- DIVERSIFIED CHEMICALS - 5.4% 191,900 Brenntag Holding GmbH & Co. KG, Acquisition Term Loan B1 BB- 2.00%-2.14% 01/17/14 186,622 785,948 Brenntag Holding GmbH & Co. KG, Term Loan B2 B1 BB- 1.98%-2.00% 01/17/14 764,334 1,440,774 Huntsman International, LLC, Term Loan B Ba2 B+ 1.99%-2.00% 04/19/14 1,361,522 6,046 LyondellBasell Industries AF S.C.A., Dutch Revolving Credit Facility (j) WR NR 3.73% 12/20/13 4,262 13,685 LyondellBasell Industries AF S.C.A., Dutch Term Loan A (j) WR NR 3.73% 12/20/13 9,648 17,357 LyondellBasell Industries AF S.C.A., German Term Loan B1 (j) WR NR 3.98% 12/20/14 12,236 17,357 LyondellBasell Industries AF S.C.A., German Term Loan B2 (j) WR NR 3.98% 12/20/14 12,236 17,357 LyondellBasell Industries AF S.C.A., German Term Loan B3 (j) WR NR 3.98% 12/20/14 12,236 134,411 LyondellBasell Industries AF S.C.A., Initial New Money Loan (DIP) (g) (j) NR BB- 1.50% (i)-13.00%06/03/10 139,888 75,315 LyondellBasell Industries AF S.C.A., Term Loan B1 (j) WR NR 7.00% 12/20/14 52,909 75,315 LyondellBasell Industries AF S.C.A., Term Loan B2 (j) WR NR 7.00% 12/20/14 52,909 75,315 LyondellBasell Industries AF S.C.A., Term Loan B3 (j) WR NR 7.00% 12/20/14 52,909 22,671 LyondellBasell Industries AF S.C.A., U.S. Primary Revolving Credit Facility (j) WR NR 3.73% 12/20/13 15,983 43,195 LyondellBasell Industries AF S.C.A., U.S. Term Loan A (j) WR NR 3.73% 12/20/13 30,453 969,482 Rockwood Specialties Group, Inc., Term Loan H Ba2 BB- 6.00% 05/15/14 972,390 ---------- 3,680,537 ---------- DIVERSIFIED SUPPORT SERVICES - 0.4% 250,000 JohnsonDiversey, Inc., Term Loan Ba2 BB- 5.50% 11/24/15 251,562 ---------- EDUCATION SERVICES - 0.7% 497,371 Education Management, LLC, Term Loan C B1 BB- 2.06% 06/01/13 471,803 ---------- ELECTRIC UTILITIES - 9.9% 881,753 Astoria Generating Co. Acquisitions, LLC, Term Loan B B1 BB- 2.00%-2.01% 02/23/12 854,418 1,489,251 Calpine Corporation, First Priority Term Loan B2 B+ 3.14% 03/29/14 1,397,655 330,747 Covanta Energy Corporation, Synthetic Letter of Credit Ba1 BB 1.75% 02/09/14 315,037 653,355 Covanta Energy Corporation, Term Loan Ba1 BB 1.75% 02/09/14 622,320 533,179 Mirant North America, LLC, Term Loan Ba2 BB 1.98% 01/03/13 509,757 1,823,853 NRG Energy, Inc., Synthetic Letter of Credit Baa3 BB+ 2.00% 02/01/13 1,759,397 856,395 Riverside Energy Center, LLC, Term Loan Ba3 BB- 4.50% 06/24/11 849,972 84,958 Rocky Mountain Energy Center, LLC, Synthetic Letter of Credit Ba3 BB- 4.60% 06/24/11 84,321 333,289 Rocky Mountain Energy Center, LLC, Term Loan Ba3 BB- 4.50% 06/24/11 330,789 ---------- 6,723,666 ---------- ENVIRONMENTAL & FACILITIES SERVICES - 1.0% 31,447 EnergySolutions, LLC, Synthetic Letter of Credit Ba2 NR (f) 3.98% 06/07/13 30,818 211,707 EnergySolutions, LLC, Term Loan (Duratek) Ba2 NR (f) 4.01% 06/07/13 207,473 441,262 EnergySolutions, LLC, Term Loan (EnergySolutions) Ba2 NR (f) 4.01% 06/07/13 432,437 ---------- 670,728 ---------- See Notes to Quarterly Portfolio of Investments Page 2 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued) FOOD DISTRIBUTORS - 1.8% $ 486,250 Dean Foods Co., Term Loan B B1 BB 1.62%-1.64% 04/02/14 $ 466,253 321,429 Wm. Wrigley Jr. Company, Term Loan B1 NR (f) NR (f) 3.06% 12/16/12 322,182 428,571 Wm. Wrigley Jr. Company, Term Loan B2 NR (f) NR (f) 3.31% 10/16/14 429,841 ---------- 1,218,276 ---------- FOREST PRODUCTS - 1.9% 161,091 Georgia-Pacific Corporation, Term Loan B2 Ba2 BBB 2.24%-2.25% 12/20/12 157,326 1,102,777 Georgia-Pacific Corporation, Term Loan C Ba2 BBB 3.50%-3.51% 12/23/14 1,100,296 ---------- 1,257,622 ---------- GAS UTILITIES - 0.9% 602,173 Atlas Pipeline Partners, L.P., Term Loan B1 B 6.75% 07/27/14 598,410 ---------- HEALTH CARE EQUIPMENT - 1.1% 746,183 Biomet, Inc., Dollar Term Loan B1 BB- 3.23%-3.25% 03/25/15 721,763 ---------- HEALTH CARE FACILITIES - 7.6% 1,500,000 HCA, Inc., Term Loan B Ba3 BB 2.50% 11/18/13 1,423,465 912,340 Health Management Associates, Inc., Term Loan B B1 BB- 2.00% 02/28/14 859,753 1,250,000 Lifepoint Hospitals, Inc., Term Loan B Ba1 BB 1.89% 04/15/12 1,227,233 734,563 Select Medical Corporation, Term Loan B-1 Ba2 BB- 4.00% 08/22/14 719,260 154,089 United Surgical Partners International, Inc., Delayed Draw Term Loan Ba3 B 2.23% 04/19/14 143,945 815,645 United Surgical Partners International, Inc., Term Loan B Ba3 B 2.23%-2.25% 04/19/14 761,949 ---------- 5,135,605 ---------- HEALTH CARE SERVICES - 5.9% 64,878 CHS/Community Health Systems, Inc., Delayed Draw Term Loan Ba3 BB 2.50% 07/25/14 60,621 1,268,447 CHS/Community Health Systems, Inc., Term Loan Ba3 BB 2.48%-2.50% 07/25/14 1,185,205 1,000,000 DaVita, Inc., Term Loan B-1 Ba1 BB+ 1.73%-1.76% 10/05/12 976,625 887,948 Fresenius Medical Care AG, Term Loan B Baa3 BBB- 1.62%-1.63% 03/31/13 864,454 485,000 Healthways, Inc., Term Loan B Ba2 BB 1.75% 12/01/13 458,325 480,042 Quintiles Transnational Corp., Term Loan B, First Lien Ba2 BB 2.25% 03/31/13 463,720 ---------- 4,008,950 ---------- HOMEBUILDING - 0.7% 484,887 Mattamy Funding Partnership, Term Loan NR (f) NR (f) 2.56% 04/11/13 443,671 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 3.3% 1,500,000 Dynegy Holdings, Inc., Synthetic Letter of Credit Ba2 BB- 3.98% 04/02/13 1,463,839 989,873 Texas Competitive Electric Holdings Co., LLC, Initial Term Loan B-2 B1 B+ 3.73%-3.75% 10/10/14 795,982 ---------- 2,259,821 ---------- INTEGRATED TELECOMMUNICATION SERVICES - 5.0% 497,537 Intelsat Corp., Term Loan B-2-A B1 BB- 2.73% 01/03/14 472,972 497,385 Intelsat Corp., Term Loan B-2-B B1 BB- 2.73% 01/03/14 472,827 497,385 Intelsat Corp., Term Loan B-2-C B1 BB- 2.73% 01/03/14 472,827 997,500 NTELOS, Inc., Term Loan Ba3 BB- 5.75% 08/07/15 1,000,617 908,485 Telesat Canada, U.S. Term Loan I B1 BB- 3.24% 10/31/14 884,150 78,030 Telesat Canada, U.S. Term Loan II B1 BB- 3.24% 10/31/14 75,940 ---------- 3,379,333 ---------- INTERNET RETAIL - 0.6% 485,904 Sabre Holdings Corp., Term Loan B1 B 2.48%-2.50% 09/30/14 425,490 ---------- IT CONSULTING & OTHER SERVICES - 1.4% 488,227 Alion Science and Technology Corp., Term Loan B3 B+ 10.50% 02/06/13 485,481 465,109 West Corporation, Term Loan B-2 B1 BB- 2.60%-2.63% 10/24/13 448,758 ---------- 934,239 ---------- See Notes to Quarterly Portfolio of Investments Page 3 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued) LEISURE FACILITIES - 4.1% $ 409,868 Cedar Fair, L.P., U.S. Term Loan Ba3 BB- 2.23% 08/30/12 $ 406,077 715,813 London Arena and Waterfront Finance, LLC, Term Loan A NR (f) NR (f) 2.73% 03/08/12 651,390 750,000 Six Flags, Inc., Exit Term Loan Caa1 D TBA 06/30/16 743,063 1,000,000 Universal City Development Partners, Ltd., Term Loan Ba2 BB- 6.50% 11/06/14 1,005,625 ---------- 2,806,155 ---------- LIFE & HEALTH INSURANCE - 2.1% 78,869 Conseco, Inc., Term Loan Caa1 B- 7.50% 10/10/13 74,704 375,416 MultiPlan Merger Corporation, Term Loan C B1 B+ 2.75% 04/12/13 365,327 1,000,000 Viant Holdings, Inc., Term Loan, Tranche B Ba3 B+ 2.51% 06/25/14 970,000 ---------- 1,410,031 ---------- MANAGED HEALTH CARE - 2.8% 234,614 IASIS Healthcare Corporation, Delayed Draw Term Loan Ba2 B+ 2.23% 03/15/14 223,372 63,516 IASIS Healthcare Corporation, Synthetic Letter of Credit Ba2 B+ 2.23% 03/15/14 60,473 677,922 IASIS Healthcare Corporation, Term Loan Ba2 B+ 2.23% 03/15/14 645,438 1,000,000 Vanguard Health Systems, Inc., Term Loan B Ba2 B+ 5.00% 01/29/16 1,001,250 ---------- 1,930,533 ---------- METAL AND GLASS CONTAINERS - 0.3% 242,167 Owens-Illinois, Inc., Term Loan B Baa3 BBB 1.73% 06/14/13 237,263 ---------- MOVIES & ENTERTAINMENT - 5.2% 982,097 AMC Entertainment, Inc., Term Loan Ba2 BB- 1.98% 01/26/13 949,975 35,433 Deluxe Entertainment Services Group, Inc., Credit Linked Term Loan A Ba3 B- 6.25% 05/11/13 32,598 568,539 Deluxe Entertainment Services Group, Inc., Term Loan, Tranche B Ba3 B- 6.25% 05/11/13 523,056 59,650 Deluxe Entertainment Services Group, Inc., Term Loan, Tranche C Ba3 B- 6.25% 05/11/13 54,878 744,375 Discovery Communications Holding, LLC, Term Loan C Baa3 NR (f) 5.25% 05/14/14 749,027 500,000 National CineMedia, LLC, Term Loan B Ba3 B+ 2.01% 02/13/15 481,041 757,606 Regal Cinemas Corporation, Term Loan Ba2 BB- 3.75% 10/27/13 757,869 3,548,444 MULTI-UTILITIES - 1.4% 689,274 KGEN, LLC, Synthetic Letter of Credit B1 BB 2.06% 02/08/14 644,472 305,994 KGEN, LLC, Term Loan B1 BB 2.00% 02/08/14 286,104 930,576 OFFICE SERVICES & SUPPLIES - 2.0% 909,073 Emdeon Business Services, LLC, Term Loan, First Lien Ba3 BB 2.26% 11/16/13 887,767 500,000 Pike Electric, Inc., Term Loan C NR (f) NR (f) 1.75% 12/10/12 470,000 1,357,767 OIL & GAS EQUIPMENT & SERVICES - 1.4% 500,000 Dresser Inc., Term Loan B B2 B+ 2.48%-2.50% 05/04/14 477,084 262,776 Hercules Offshore, Inc., Term Loan B2 B 6.00% 07/11/13 248,597 250,000 Targa Resources, Inc., Term Loan Ba3 BB- 6.00% 07/05/16 250,625 976,306 OIL & GAS EXPLORATION & PRODUCTION - 2.7% 313,409 ATP Oil & Gas Corporation, Term Loan, Tranche B1 NR NR 11.25% 07/15/14 313,703 44,247 ATP Oil & Gas Corporation, Term Loan, Tranche B2 NR NR 12.25% 01/15/11 44,289 480,867 Helix Energy Solutions Group, Inc., Term Loan Ba2 BB 2.48% 07/01/13 461,833 950,000 SemCrude, L.P., Prefunded Synthetic Letter of Credit NR NR 8.41% 11/30/12 940,896 50,000 SemCrude, L.P., Prefunded Synthetic Letter of Credit NR NR 8.50% 11/30/12 49,521 ---------- 1,810,242 ---------- OIL & GAS REFINING & MARKETING - 1.0% 86,207 Calumet Lubricants Co., L.P., Synthetic Letter of Credit B1 B 4.10% 01/03/15 77,371 640,061 Calumet Lubricants Co., L.P., Term Loan B1 B 4.23%-4.25% 01/03/15 574,454 ---------- 651,825 ---------- See Notes to Quarterly Portfolio of Investments Page 4 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued) OIL & GAS STORAGE & TRANSPORTATION - 1.7% $ 650,000 Energy Transfer Equity, L.P., Term Loan Ba2 NR 1.98% 11/01/12 $ 641,058 490,000 Enterprise GP Holdings, L.P., Term Loan B Ba2 BB- 2.48%-2.50% 11/08/14 483,467 ---------- 1,124,525 ---------- PACKAGED FOODS & MEATS - 0.7% 491,139 Weight Watchers International, Inc., Term Loan B Ba1 BB+ 1.81% 01/26/14 482,369 ---------- PAPER PACKAGING - 6.3% 1,439,168 Graham Packaging Holdings Co., Term Loan B, First Lien B1 B+ 2.50% 10/07/11 1,419,571 1,000,000 Graphic Packaging International, Inc., Term Loan Ba3 BB 3.00% 05/16/14 980,694 403,287 Graphic Packaging International, Inc., Term Loan B Ba3 BB 2.25% 05/16/14 390,987 500,000 Reynolds Consumer Products Holdings, Inc., Term Loan Ba2 BB- 6.25% 11/05/15 503,125 141,813 Smurfit-Stone Container Enterprises, Inc., Canadian Revolving Credit Facility (j) WR D 2.50%-5.00% 11/01/09 141,104 85,822 Smurfit-Stone Container Enterprises, Inc., Synthetic Letter of Credit (j) WR D 4.50% 11/01/10 84,820 97,667 Smurfit-Stone Container Enterprises, Inc., Term Loan B (j) WR D 2.50% 11/01/11 96,528 184,087 Smurfit-Stone Container Enterprises, Inc., Term Loan C (j) WR D 2.50% 11/01/11 181,901 55,658 Smurfit-Stone Container Enterprises, Inc., Term Loan C1 (j) WR D 2.50% 11/01/11 54,997 427,262 Smurfit-Stone Container Enterprises, Inc., U.S. Revolving Credit Facility (j) WR D 2.50%-4.50% 11/01/09 425,126 ---------- 4,278,853 ---------- PAPER PRODUCTS - 0.6% 442,500 Domtar Corporation, Term Loan B Baa3 BBB- 1.60% 03/07/14 434,723 ---------- PHARMACEUTICALS - 5.4% 962,658 Catalent Pharma Solutions, Inc., Dollar Term Loan Ba3 BB- 2.48% 04/10/14 875,417 785,497 Graceway Pharmaceuticals, LLC, Term Loan, First Lien B2 BB- 2.98% 05/03/12 555,739 939,958 Mylan, Inc., Term Loan B Ba3 BB+ 3.50%-3.56% 10/02/14 928,077 338,983 Warner Chilcott Corporation, Term Loan A B1 BB+ 5.50% 10/30/14 338,898 400,000 Warner Chilcott Corporation, Term Loan B B1 BB+ 5.75% 04/30/15 400,109 169,492 Warner Chilcott Corporation, Term Loan B1 B1 BB+ 5.75% 04/30/15 169,375 372,881 Warner Chilcott Corporation, Term Loan B2 B1 BB+ 5.75% 04/30/15 372,626 ---------- 3,640,241 ---------- PUBLISHING - 0.9% 7,420 Cenveo Corporation, Delayed Draw Term Loan Ba2 BB 4.75% 06/21/13 7,413 259,902 Cenveo Corporation, Term Loan C Ba2 BB 4.75% 06/21/13 259,658 422,574 Yell Group, PLC, Term Loan B1 B2 B 3.98% 07/31/14 317,534 ---------- 584,605 ---------- RETAIL REITS - 1.2% 892,469 Capital Automotive, L.P., Term Loan C Ba3 B 5.73% 12/14/12 814,378 ---------- SEMICONDUCTORS - 0.8% 563,814 Freescale Semiconductors, Inc., Term Loan, First Lien B2 B- 1.98% 12/01/13 518,885 ---------- SPECIALIZED CONSUMER SERVICES - 6.2% 747,500 Acxiom Corporation, Extended Term Loan Ba2 BBB- 3.25% 03/15/15 740,025 1,508,372 Affinion Group, Inc., Term Loan B Ba2 BB 2.73% 10/17/12 1,463,875 19,254 ARAMARK Corporation, Prefunded Synthetic Letter of Credit Ba3 BB 2.11% 01/26/14 18,367 293,111 ARAMARK Corporation, Term Loan Ba3 BB 2.13% 01/26/14 279,604 498,750 Asurion Corp., Term Loan, First Lien NR (f) NR (f) 3.23%-3.25% 07/03/14 482,804 457,143 N.E.W. Holdings I, LLC, Term Loan NR (f) NR (f) 2.73% 05/22/14 435,657 845,113 Nielsen Finance, LLC, Dollar Term Loan Ba3 B+ 2.23% 08/09/13 795,916 ---------- 4,216,248 ---------- SPECIALTY CHEMICALS - 1.4% 972,500 Celanese Holdings, LLC, Term Loan Ba2 BB+ 2.00% 04/02/14 932,159 ---------- SPECIALTY STORES - 1.6% 750,000 Harbor Freight Tools USA, Inc., Term Loan C NR (f) NR (f) 5.00% 02/12/16 751,250 357,788 The Yankee Candle Co., Inc., Term Loan Ba3 BB- 2.23% 02/06/14 342,781 ---------- 1,094,031 ---------- See Notes to Quarterly Portfolio of Investments Page 5 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) Principal Ratings (c) Stated Value Description Moody's S&P Rate Maturity (d) Value --------- -------------------------------------------------------- --------------- ----------- ------------ ------------ SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued) SYSTEMS SOFTWARE - 4.1% $ 928,615 Dealer Computer Services, Inc., Term Loan, First Lien Ba2 BB 2.25% 10/26/12 $ 877,541 517,158 Open Solutions, Inc., Term Loan, First Lien B1 BB- 2.38% 01/23/14 452,944 497,436 Sungard Data Systems, Inc., Term Loan A Ba3 BB 1.98% 02/28/14 476,606 997,429 Sungard Data Systems, Inc., Term Loan B Ba3 BB 3.86%-3.87% 02/28/16 971,781 ---------- 2,778,872 ---------- TECHNOLOGY DISTRIBUTORS - 0.7% 491,094 Sensata Technologies Finance Co., LLC, Term Loan, First Lien B1 B+ 1.99%-2.00% 04/27/13 460,708 ---------- TRUCKING - 3.0% 434,300 Oshkosh Corporation, Term Loan B Ba3 BB- 6.25%-6.26% 12/06/13 433,939 277,778 The Hertz Corporation, Prefunded Synthetic Letter of Credit Ba1 BB- 2.00% 12/21/12 271,032 1,376,352 The Hertz Corporation, Term Loan B Ba1 BB- 1.98%-1.99% 12/21/12 1,342,926 ---------- 2,047,897 ---------- Total Senior Floating-Rate Loan Interests 91,701,198 (Cost $94,353,473) ---------- SENIOR FLOATING-RATE NOTES - 0.4% LEISURE FACILITIES - 0.0% 250,000 HRP Myrtle Beach (h) (j) (k) (l) WR NR 8.00% 04/01/12 0 ---------- SEMICONDUCTORS - 0.4% 325,000 NXP B.V. C CC 3.00% 10/15/13 276,656 ---------- Total Senior Floating-Rate Notes 276,656 (Cost $575,327) ---------- NOTES - 0.0% HOMEBUILDING - 0.0% 145,455 TOUSA, Inc. (Payment-In-Kind Election Note) (h) (j) (l) (m) NR NR 14.75% 07/01/15 0 ---------- Total Notes 0 (Cost $87,273) ---------- Shares Description Value --------- -------------------------------------------------------------------------------------------------------- ------------ PREFERRED STOCKS - 0.0% HOMEBUILDING - 0.0% 855 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred Stock) (h) (j) (k) (l) 0 ---------- Total Preferred Stocks 0 (Cost $512,727) ---------- WARRANTS - 0.0% BROADCASTING - 0.0% 1,543 Cumulus Media, Inc. (l) 2,377 ---------- Total Warrants 2,377 (Cost $0) TOTAL INVESTMENTS - 135.8% 91,980,231 (Cost $95,528,800) (n) Outstanding Loan - (36.9)% (25,000,000) NET OTHER ASSETS AND LIABILITIES - 1.1% 761,492 ----------- NET ASSETS (Applicable to Common Shares) - 100.0% $67,741,723 ----------- See Notes to Quarterly Portfolio of Investments Page 6 |
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND PORTFOLIO OF INVESTMENTS (a) (b) (Continued) FEBRUARY 28, 2010 (Unaudited) (a) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common Shares. (b) All or a portion of the investments are available to serve as collateral on the outstanding loan. (c) Ratings below Baa3 by Moody's Investors Service, Inc. or BBB- by Standard & Poor's Ratings Group are considered to be below investment grade. (d) 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. (e) Senior Loans in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Interbank Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. (f) This Senior Loan Interest was privately rated upon issuance. The rating agency does not provide ongoing surveillance on the rating. (g) This DIP facility is partially drawn per Debtor-In-Possession Credit Agreement dated March 3, 2009. (h) This investment is fair valued in accordance with valuation procedures adopted by the Fund's Board of Trustees. (i) Represents commitment fee rate on unfunded loan commitment. (j) This borrower has filed for protection in federal bankruptcy court. (k) Non-income producing investment. (l) This investment is restricted and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. Prior to registration, restricted investments may only be resold in transactions exempt from registration (see Note D - Restricted Investments in the Notes to Quarterly Portfolio of Investments). (m) This investment is a Senior Subordinated Payment-in-Kind Election Note whereby 1.00% of interest per annum is to be paid in cash and 13.75% of interest per annum is to be paid by the issuer, at its option (i) entirely in cash, (ii) entirely in Payment-in-Kind interest or (iii) in a combination of (i) and (ii). Interest is to be paid semi-annually; however, this issuer is in default and income is not being accrued. (n) Aggregate cost for financial reporting purposes, which approximates the aggregate cost for federal income tax purposes. As of February 28, 2010, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $403,311 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,951,880. NR Not rated. WR Withdrawn rating. TBA To be announced. |
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly Portfolio of Investments):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE QUOTED OBSERVABLE UNOBSERVABLE AT 02/28/10 PRICES INPUTS INPUTS ---------------- ---------------- --------------- ---------------- Senior Floating-Rate Loan Interests* $ 91,701,198 $ - $ 91,701,198 $ - Senior Floating-Rate Notes* 276,656 - 276,656 - Warrants* 2,377 - 2,377 - ------------- ------------- ------------- ------------- Total Investments $ 91,980,231 $ - $ 91,980,231 $ - ============= ============= ============= ============= |
* See the Portfolio of Investments for industry breakout.
See Notes to Quarterly Portfolio of Investments Page 7
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
FEBRUARY 28, 2010 (UNAUDITED)
VALUATION AND INVESTMENT PRACTICES
A. Portfolio Valuation:
The net asset value ("NAV") of the Common Shares of First Trust/Four Corners
Senior Floating Rate Income Fund (the "Fund") is determined daily as of the
close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00
p.m. Eastern time, on each day the NYSE is open for trading. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest), 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 investments, at fair value according to valuation procedures adopted by the Fund's Board of Trustees. A majority of the Fund's assets are valued using market information supplied by third parties. In the event that market quotations are not readily available, the pricing service does not provide a valuation for a particular asset, or the valuations are deemed unreliable, the Fund's Board of Trustees has designated First Trust Advisors L.P. ("First Trust") to use a fair value method to value the Fund's investments. Additionally, if events occur after the close of the principal market for particular securities (e.g., domestic debt and foreign securities), but before the Fund values its assets, that could materially affect NAV, First Trust may use a fair value method to value the Fund's investments. The use of fair value pricing by the Fund is governed by valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended ("1940 Act").
The Senior Floating-Rate Loans ("Senior Loans") in which the Fund invests are not listed on any securities exchange or board of trade. Senior Loans are typically bought and sold by institutional investors in individually negotiated private transactions that function in many respects like an over-the-counter secondary market, although typically no formal market-makers exist. This market, while having grown substantially in the past several years, generally has fewer trades and less liquidity than the secondary market for other types of securities. Some Senior Loans have few or no trades, or trade infrequently, and information regarding a specific Senior Loan may not be widely available or may be incomplete. Accordingly, determinations of the market value of Senior Loans may be based on infrequent and dated information. Because there is less reliable, objective data available, elements of judgment may play a greater role in valuation of Senior Loans than for other types of securities. Typically, Senior Loans are valued using information provided by a third party pricing service. If the pricing service cannot or does not provide a valuation for a particular Senior Loan or such valuation is deemed unreliable, First Trust may value such Senior Loan at a fair value according to valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the 1940 Act.
Portfolio investments listed on any exchange other than the NASDAQ National Market ("NASDAQ") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the investments are valued at the mean of the most recent bid and asked prices on such day. Investments traded on the NASDAQ are valued at the NASDAQ Official Closing Price as determined by NASDAQ. Portfolio investments traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such investments. Portfolio investments traded in the over-the-counter market, but excluding investments traded on the NASDAQ, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost.
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:
o Level 1 - Level 1 inputs are quoted prices in active markets for identical securities. An active market is a market in which transactions for the security occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar securities in active
markets.
o Quoted prices for identical or similar securities
in markets that are non-active. A non-active market
is a market where there are few transactions for
the security, 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 security (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.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
FEBRUARY 28, 2010 (Unaudited)
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the security.
The inputs or methodology used for valuing investments are not necessarily an indication of the risks associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of February 28, 2010 is included with the Fund's Portfolio of Investments.
B. Investment Transactions:
Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis.
Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date; interest income on such investments is not accrued until settlement date. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. As of February 28, 2010, the Fund had no when-issued or delayed-delivery purchase commitments.
C. Unfunded Loan Commitments:
The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund had unfunded delayed draw loan commitments of approximately $44,790 as of February 28, 2010. The Fund is obligated to fund these loan commitments at the borrower's discretion. Net unrealized appreciation from the commitments is $1,828 at February 28, 2010.
D. Restricted Investments:
The Fund invests in restricted investments, which are investments that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. Prior to registration, restricted investments may only be resold in transactions exempt from registration. The Fund held restricted investments at February 28, 2010 as shown in the following table. The Fund does not have the right to demand that such investments be registered. These investments are valued according to the valuation procedures as stated in the Portfolio Valuation footnote (Note A) and are not expressed as a discount to the carrying value of a comparable unrestricted investment. There are no unrestricted investments with the same maturity dates and yields for these issuers.
% of Net Assets Current Applicable Acquisition Principal Value Carrying to Common Security Date Value/Shares Per Share Cost Value Shares --------------------------------------------------------------------------------------------------------------------------------- Cumulus Media, Inc. - Warrants 6/29/09 1,543 $1.54 $ - $ 2,377 0.00% HRP Myrtle Beach - Senior Floating Rate Note 3/23/06 $250,000 - 250,000 - 0.00 TOUSA, Inc. - Notes 7/31/07(1) $145,455 - 87,273 - 0.00 TOUSA, Inc. - Preferred Stocks 7/31/07(1) 855 - 512,727 - 0.00 ----------------------------------- $ 850,000 $ 2,377 0.00% =================================== (1) Security was acquired through a restructuring that was effective on July 31, 2007. |
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
AUGUST 31, 2009 (UNAUDITED)
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust/Four Corners
Senior Floating Rate Income Fund (the "Fund") is determined daily as of the
close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00
p.m. Eastern time, on each day the NYSE is open for trading. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest), less all liabilities (including accrued expenses, dividends declared
but unpaid and any borrowings of the Fund) and the liquidation value of any
outstanding Preferred Shares, by the total number of Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio investments, at fair value according to valuation procedures adopted by the Fund's Board of Trustees. A majority of the Fund's assets are valued using market information supplied by third parties. In the event that market quotations are not readily available, the pricing service does not provide a valuation for a particular asset, or the valuations are deemed unreliable, the Fund's Board of Trustees has designated First Trust Advisors L.P. ("First Trust") to use a fair value method to value the Fund's investments. Additionally, if events occur after the close of the principal market for particular securities (e.g., domestic debt and foreign securities), but before the Fund values its assets, that could materially affect NAV, First Trust may use a fair value method to value the Fund's investments. The use of fair value pricing by the Fund is governed by valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended ("1940 Act").
The Senior Floating-Rate Loans ("Senior Loans") in which the Fund invests are not listed on any securities exchange or board of trade. Senior Loans are typically bought and sold by institutional investors in individually negotiated private transactions that function in many respects like an over-the-counter secondary market, although typically no formal market-makers exist. This market, while having grown substantially in the past several years, generally has fewer trades and less liquidity than the secondary market for other types of securities. Some Senior Loans have few or no trades, or trade infrequently, and information regarding a specific Senior Loan may not be widely available or may be incomplete. Accordingly, determinations of the market value of Senior Loans may be based on infrequent and dated information. Because there is less reliable, objective data available, elements of judgment may play a greater role in valuation of Senior Loans than for other types of securities. Typically, Senior Loans are valued using information provided by a third party pricing service. If the pricing service cannot or does not provide a valuation for a particular Senior Loan or such valuation is deemed unreliable, First Trust may value such Senior Loan at a fair value according to valuation procedures adopted by the Fund's Board of Trustees, and in accordance with the provisions of the 1940 Act.
Portfolio investments listed on any exchange other than the NASDAQ National Market ("NASDAQ") are valued at the last sale price on the business day as of which such value is being determined. If there has been no sale on such day, the investments are valued at the mean of the most recent bid and asked prices on such day. Investments traded on the NASDAQ are valued at the NASDAQ Official Closing Price as determined by NASDAQ. Portfolio investments traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such investments. Portfolio investments traded in the over-the-counter market, but excluding investments traded on the NASDAQ, are valued at the closing bid prices. Short-term investments that mature in less than 60 days when purchased are valued at amortized cost.
In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. The three levels of the fair value hierarchy under FAS 157 are as follows:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices
for similar investments, interest rates, prepayment speeds, credit
risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
AUGUST 31, 2009 (Unaudited)
In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 also includes guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 requires entities to describe the inputs used in valuation techniques used to measure fair value and changes in inputs over the period. FSP 157-4 expands the three-level hierarchy disclosure and the Level 3 roll-forward disclosure for each major security type.
The inputs or methodology used for valuing investments are not necessarily an indication of the risks associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of August 31, 2009 is included with the Fund's Portfolio of Investments.
B. Credit Default Swaps:
The Fund may enter into credit default swap contracts for hedging purposes or to gain exposure to a credit in which the Fund may otherwise invest. A credit default swap contract is an agreement between two parties to exchange the credit risk of an issuer. The Fund may be either the buyer or seller in a credit default swap transaction. The "buyer" in a credit default swap contract is obligated to pay the "seller" a periodic stream of payments over the term of the contract provided that no event of default on the underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or "par value," of the reference obligation. Credit default swap transactions are either "physical delivery" settled or "cash" settled. Physical delivery entails the actual delivery of the reference asset to the seller in exchange for the payment of the full par value of the reference asset. Cash settled entails a net cash payment from the seller to the buyer based on the difference of the par value of the reference asset and the current value of the reference asset that may have, through default, lost some, most or all of its value. An event of default may be a grace period extension, obligation acceleration, repudiation/moratorium, or restructuring.
Buying a credit default swap contract involves the risk that the contract may expire worthless and the credit risk that the seller may fail to satisfy its payment obligations to the Fund in the event of default. Selling a credit default swap contract involves greater risks than if the Fund had invested in the reference obligation directly. The Fund will segregate cash or liquid assets in an amount equal to the aggregate market value of the credit default swap contracts of which it is a seller. Additionally, the Fund maintains cash or liquid assets for the full notional amount of the credit default swap contracts of which it is a seller. The Fund may only enter into such transactions with counterparties rated A- or higher.
Credit default swap contracts are marked to market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation (depreciation). For a credit default swap contract sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. As of August 31, 2009, the Fund had no credit default swaps.
C. Repurchase Agreements:
The Fund engages in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the Fund's holding period.
This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Fund's holding period. The value of the collateral is at all times at least equal to the total amount of the repurchase obligation, including interest. In the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising its rights to dispose of the collateral investments, including the risk of a possible decline in the value of the underlying investments during the period while the Fund seeks to assert its rights. The Fund reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Fund enters into repurchase agreements to evaluate potential risks. As of August 31, 2009, the Fund had no open repurchase agreements.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
AUGUST 31, 2009 (Unaudited)
D. Investment Transactions:
Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis.
Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date; interest income on such investments is not accrued until settlement date. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. As of August 31, 2009, the Fund had no when-issued or delayed-delivery purchase commitments.
E. Unfunded Loan Commitments:
The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund had unfunded delayed draw loan commitments of approximately $44,790 as of August 31, 2009. The Fund is obligated to fund these loan commitments at the borrower's discretion.
F. Restricted Investments:
The Fund invests in restricted investments, which are investments that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. Prior to registration, restricted investments may only be resold in transactions exempt from registration. The Fund held restricted investments at August 31, 2009 as shown in the following table. The Fund does not have the right to demand that such investments be registered. These investments are valued according to the valuation procedures as stated in the Portfolio Valuation footnote (Note 1A) and are not expressed as a discount to the carrying value of a comparable unrestricted investment. There are no unrestricted investments with the same maturity dates and yields for these issuers.
% of Net Assets Applicable Acquisition Principal Value Current to Common Security Date Value/Shares Per Share Carrying Cost Value Shares ------------------------------------------------------------------------------------------------------------------ Cumulus Media, Inc.-Warrants 6/29/09 1,543 $ 0.22 $ - $ 340 0.00% HRP Myrtle Beach 3/23/06 $ 250,000 - 250,000 - 0.00 TOUSA, Inc.-Notes 7/31/07(1) $ 145,455 - 87,273 - 0.00 TOUSA,Inc.-Preferred Stocks 7/31/07(1) 855 - 512,727 - 0.00 ----------------------------------------- $ 850,000 $ 340 0.00% ========================================= (1) Security was acquired through a restructuring that was effective on July 31, 2007. |
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By (Signature and Title)* /s/ James A. Bowen -------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ James A. Bowen -------------------------------------------------- James A. Bowen, Chairman of the Board, President and Chief Executive Officer (principal executive officer) |
By (Signature and Title)* /s/ Mark R. Bradley -------------------------------------------------- Mark R. Bradley, Treasurer, Controller, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
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