UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21344
First Trust/Four Corners Senior Floating Rate Income Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios, L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: May 31
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Date of reporting period: February 28, 2010
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND
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
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4,346,196
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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
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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
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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
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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
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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
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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
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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
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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
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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
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2,806,155
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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
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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
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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.
Page 8
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.
|
Page 9
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)
Page 8
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.
Page 9
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.
|
Page 10
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust/Four Corners Senior Floating Rate Income Fund
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
|
Date April 21, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
|
Date April 21, 2010
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)
|
Date April 21, 2010
* Print the name and title of each signing officer under his or her
signature.
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