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 811-21756
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FIRST TRUST STRATEGIC HIGH INCOME FUND
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(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 241-4141
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Date of fiscal year end: OCTOBER 31
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Date of reporting period: JULY 31, 2006
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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 STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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ASSET-BACKED SECURITIES - 54.4%
$ 2,000,000 ACE Securities Corp., Home Equity Loan Trust,
Series 2003-OP1, Class B, 6.00%, 12/25/33+ $ 1,960,131
2,000,000 ACE Securities Corp., Home Equity Loan Trust,
Series 2005-HE5, Class M10, 8.39%, 8/25/35**+ 1,862,905
4,016,999 ACLC Business Loan Receivables Trust,
Series 1999-1, Class A3, 7.39%, 8/15/20** 3,714,844
2,241,148 Aircraft Finance Trust,
Series 1999-1A, Class A2, 5.87%, 5/15/24+ 2,105,278
1,333,721 Atherton Franchisee Loan Funding,
Series 1999-A, Class A2, 7.23%, 4/15/12** 1,358,739
388,037 Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A1B, 6.61%, 9/15/10 261,439
4,881,068 Conseco Finance Securitizations Corp.,
Series 2000-6, Class M1, 7.72%, 9/01/32 1,014,442
1,904,738 EMAC Owner Trust, LLC,
Series 1998-1, Class A3, 6.63%, 1/15/25** 1,659,726
1,562,953 EMAC Owner Trust, LLC,
Series 2000-1, Class A1, 6.29%, 1/15/27**+ 1,095,044
2,002,136 EMAC Owner Trust, LLC,
Series 2000-1, Class A2, 6.29%, 1/15/27**+ 1,402,746
43,586 Empire Funding Home Loan Owner Trust,
Series 1998-1, Class B2, 10.24%, 6/25/24+ 42,999
4,905,000 Falcon Franchise Loan Trust,
Series 2000-1, Class E, 6.50%, 4/05/16** 3,995,966
4,231,000 Falcon Franchise Loan Trust,
Series 2003-1, Class E, 6.00%, 1/05/25** 2,890,257
5,000,000 FFCA Secured Lending Corp.,
Series 1998-1, Class D1, 7.81%, 10/18/25** 4,538,411
5,000,000 FFCA Secured Lending Corp.,
Series 1999-2, Class B1, 8.27%, 5/18/26** 2,817,185
2,339,975 FMAC Loan Receivables Trust,
Series 1997-B, Class A, 6.85%, 9/15/19** 2,258,602
1,000,000 Forte CDO (Cayman) Ltd.,
Series B-A, Senior Secured Note, 8.04%, 4/12/13** 948,125
514,421 Green Tree Financial Corp.,
Series 1997-4, Class B1, 7.23%, 2/15/29 77,336
1,000,000 Green Tree Financial Corp.,
Series 1998-4, Class M1, 6.83%, 4/01/30 381,547
5,000,000 Green Tree Financial Corp.,
Series 1998-6 Class M1, 6.63%, 6/01/30 2,403,125
6,000,000 Green Tree Financial Corp.,
Series 1999-2, Class M1, 6.80%, 12/01/30 1,573,409
2,500,000 Green Tree Financial Corp.,
Series 1999-3, Class M1, 6.96%, 2/01/31 545,810
10,000,000 GreenPoint Manufactured Housing Contract Trust,
Series 1999-5, Class M2, 9.23%, 12/15/29 4,858,907
5,000,000 GSAMP Trust,
Series 2004-AR2, Class B4, 5.00%, 8/25/34**+ 4,260,335
See Notes to Quarterly Portfolio of Investments. Page 1
FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JULY 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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ASSET-BACKED SECURITIES - (CONTINUED)
$ 3,700,000 Halyard CBO I, Ltd.,
Series 1A, Class B, 6.52%, 3/24/10**+ $ 2,627,000
4,000,000 Helios Series I, Multi Asset CBO I, Ltd.,
Series 1A, Class B, 6.26%, 12/13/36**+ 3,320,000
2,000,000 Home Equity Mortgage Trust,
Series 2005-3, Class B2, 7.00%, 11/25/35 1,702,040
2,375,000 IndyMac Residential Asset Backed Trust,
Series 2005-B, Class M10, 8.89%, 8/25/35+ 2,201,620
1,817,565 Long Beach Mortgage Loan Trust,
Series 2002-1, Class M3, 7.89%, 5/25/32+ 1,206,326
2,835,209 Long Beach Mortgage Loan Trust,
Series 2002-2, Class M3, 7.64%, 7/25/32+ 2,471,467
2,810,069 Longhorn CDO Ltd.,
Series 1, Class C, 11.40%, 5/10/12**+ 2,746,843
1,266,224 Morgan Stanley Dean Witter Capital I,
Series 2001-NC3, Class B1, 9.06%, 10/25/31+ 1,249,226
4,500,000 North Street Referenced Linked Notes,
Series 2000-1A, Class C, 7.24%, 4/28/11**+ 3,330,000
8,000,000 Oakwood Mortgage Investors, Inc.,
Series 2002-B, Class M1, 7.62%, 6/15/32 1,873,190
3,000,000 Park Place Securities, Inc.,
Series 2004-WCW2, Class M10, 8.14%, 10/25/34**+ 2,824,913
3,000,000 Park Place Securities, Inc.,
Series 2005-WHQ4, Class M10, 7.89%, 9/25/35**+ 2,687,979
2,989,976 Pegasus Aviation Lease Securitization III,
Series 2001-1A, Class A3, 6.03%, 3/10/14**+ 2,633,048
6,000,000 Soundview Home Equity Loan Trust,
Series 2005-A, Class B2, 8.39%, 4/25/35**+ 5,500,346
1,620,000 Structured Asset Securitites Corp.,
Series 2003-BC3, Class B, 8.39%, 4/25/33**+ 1,514,643
2,651,000 Structured Asset Investment Loan Trust,
Series 2004-8, Class B2, 5.00%, 9/25/34 2,462,413
5,000,000 Summit CBO I, Ltd.,
Series 1A, Class B, 6.30%, 5/23/11**+ 1,128,125
5,000,000 Wilbraham CBO Ltd.,
Series 1A, Class A2, 6.28%, 7/13/12**+ 4,050,000
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TOTAL ASSET-BACKED SECURITIES 93,556,487
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(Cost $93,181,412)
COLLATERALIZED MORTGAGE OBLIGATIONS - 5.0%
3,991,706 CWALT, Inc., Pass-Through Certificates,
Series 2005-56, Class B4, 6.64%, 11/25/35**+ 2,395,023
8,981,339 CWALT, Inc., Pass-Through Certificates,
Series 2005-56, Class B5, 6.64%, 11/25/35**+ 1,886,081
4,999,480 HarborView Mortgage Loan Trust,
Series 2005-9, Class B10, 6.22%, 6/20/35+ 4,405,607
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TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 8,686,711
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(Cost $8,317,925)
See Notes to Quarterly Portfolio of Investments. Page 2
FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JULY 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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COMMERCIAL MORTGAGE-BACKED SECURITIES - 15.9%
$ 1,171,422 Banc of America Commercial Mortgage Inc.,
Series 2000-1, Class M, 6.00%, 11/15/31** $ 963,938
2,000,000 Banc of America Large Loan, Inc.,
Series 2005-MIB1, Class L, 8.37%, 3/15/22**+ 1,970,001
2,878,166 Banc of America Structured Securities Trust,
Series 2002-X1, Class O, 7.00%, 10/11/33** 2,504,666
2,878,166 Banc of America Structured Securities Trust,
Series 2002-X1, Class P, 7.00%, 10/11/33** 2,077,388
1,776,400 Bear Stearns Commercial Mortgage Securities,
Series 2000-WF1, Class K, 6.50%, 2/15/32 1,470,355
20,333,540 FannieMae-ACES,
Series 1998-M7, Class N, IO, 0.76%, 5/25/36+ 414,215
700,000 GE Capital Commercial Mortgage Corp.,
Series 2000-1, Class G, 6.13%, 1/15/33** 666,631
1,000,000 GMAC Commercial Mortgage Securities, Inc.,
Series 1999-C3, Class G, 6.97%, 8/15/36** 895,766
113,172,860 Government National Mortgage Association,
Series 2003-47, Class XA, IO, 0.18%, 6/16/43+ 6,263,869
22,220,568 Government National Mortgage Association,
Series 2003-59, Class XA, IO, 0.97%, 6/16/34+ 1,921,081
7,000,000 GS Mortgage Securities Corp. II,
Series 1998-C1, Class H, 6.00%, 10/18/30** 3,611,714
3,025,000 LB-UBS Commercial Mortgage Trust,
Series 2001-C7, Class Q, 5.87%, 11/15/33** 2,201,818
2,951,002 LB-UBS Commercial Mortgage Trust,
Series 2001-C7, Class S, 5.87%, 11/15/33**
1,740,820 968,400 Morgan Stanley Capital I Inc.,
Series 1999-WF1, Class M, 5.91%, 11/15/31** 621,111
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TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES 27,323,373
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(Cost $27,093,369)
CORPORATE BONDS AND NOTES - 19.4%
2,000,000 Advanced Lighting Technologies, Inc.,
Senior Subordinated Note, 11.00%, 3/31/09 1,990,000
1,500,000 Alliance One International, Inc.,
Company Guarantee, 11.00%, 5/15/12 1,466,250
1,000,000 Alliance One International, Inc.,
Senior Subordinated Note, 12.75%, 11/15/12 975,000
375,000 CitiSteel USA, Inc.,
Secured Senior Note, PIK, 15.00%, 10/01/10** 390,938
2,000,000 Edgen Acquisition Corp.,
Secured Senior Note, 9.88%, 2/01/11 1,990,000
1,500,000 Elgin National Industries, Inc.,
Series B, Company Guarantee, 11.00%, 11/01/07 1,488,750
See Notes to Quarterly Portfolio of Investments. Page 3
FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JULY 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
VALUE DESCRIPTION VALUE
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CORPORATE BONDS AND NOTES - (CONTINUED)
$ 2,000,000 Eurofresh Inc.,
Senior Note, 11.50%, 1/15/13** $ 1,960,000
2,000,000 GSI Group Inc.,
Company Guarantee, 12.00%, 5/15/13 2,080,000
1,000,000 Interactive Health, LLC,
Senior Note, 7.25%, 4/01/11** 820,000
500,000 Metallurg Holdings, Inc.,
Secured Senior Note, 10.50%, 10/01/10** 497,500
2,000,000 Milacron Escrow Corp.,
Secured Senior Note, 11.50%, 5/15/11 1,860,000
2,000,000 Motors and Gears Holdings Inc.,
Series D, Senior Note, 10.75%, 11/15/06 1,990,000
1,000,000 Mrs. Fields Famous Brands, LLC,
Company Guarantee, 9.00%, 3/15/11 785,000
1,000,000 PCA Finance Corp., LLC,
Secured Senior Note, 14.00%, 6/01/09** 1,002,637
1,500,000 Rafealla Apparel Group, Inc.,
Senior Note, 11.25%, 6/15/11** 1,455,000
2,000,000 Sheridan Group, Inc.,
Secured Senior Note, 10.25%, 8/15/11 2,030,000
2,000,000 Spansion LLC,
Senior Note, 11.25%, 1/15/16** 2,055,000
2,000,000 Transmeridian Exploration Inc.,
Company Guarantee, 12.00%, 12/15/10 2,030,000
1,000,000 TriMas Corp.,
Company Guarantee, 9.88%, 6/15/12 927,500
2,000,000 Unisys Corp.,
Senior Note, 8.00%, 10/15/12 1,835,000
2,000,000 Uno Restaurant Holdings Corp.,
Senior Note, 10.00%, 2/15/11** 1,555,000
1,250,000 Windmere-Durable Holdings, Inc.,
Senior Subordinated Note, 10.00%, 7/31/08 1,253,125
1,000,000 Wornick Company, Secured
Senior Note, 10.88%, 7/15/11 1,015,000
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TOTAL CORPORATE BONDS AND NOTES 33,451,700
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(Cost $33,480,225)
See Notes to Quarterly Portfolio of Investments. Page 4
FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JULY 31, 2006 (UNAUDITED)
MARKET
SHARES DESCRIPTION VALUE
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PREFERRED SECURITIES - 4.2%
1,450,000 Ajax Ltd., Series 2A** $ 848,250
2,000,000 Ajax Ltd., Series 2X** 1,170,000
4,000,000 Pro Rata Funding Ltd. Inc.** 3,280,000
2,000,000 Soloso CDO Ltd., Series 2005-1** 1,980,000
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7,278,250
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TOTAL PREFERRED SECURITIES 7,278,250
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(Cost $7,178,974)
TOTAL INVESTMENTS - 98.9% 170,296,521
(Cost $169,251,905)*
NET OTHER ASSETS AND LIABILITIES - 1.1% 1,850,573
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NET ASSETS - 100.0% $ 172,147,094
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* Aggregate cost for federal income tax and financial reporting purposes.
** Securities are restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended.
Prior to registration, restricted securities may only be resold, in
transactions exempt from registration. At July 31, 2006, these
securities amounted to $103,715,064, or 60.25% of net assets (Note 1C).
+ Variable rate security. The interest rate shown reflects the rate in
effect at July 31, 2006.
ACES Alternative Credit Enhancement Securities
IO Interest only
PIK Payment-in-Kind
See Notes to Quarterly Portfolio of Investments. Page 5
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (UNAUDITED)
FIRST TRUST STRATEGIC HIGH INCOME FUND
JULY 31, 2006
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of the First Trust Strategic
High Income Fund (the "Fund") is computed based upon the value of the Fund's
portfolio securities and other assets less any accrued liabilities. The NAV is
determined as of the close of regular session 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 Fund calculates NAV per Common Share by subtracting the Fund's
liabilities (including accrued expenses, dividends payable and any borrowings of
the Fund) from the Fund's Total Assets (the value of the securities and other
investments the Fund holds plus cash or other assets, including interest accrued
but not yet received) and dividing the result by the total number of Common
Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value according
to procedures adopted by the Fund's Board of Trustees. A majority of the Fund's
assets are valued using market information supplied by third parties. In the
event that market quotations are not readily available, the pricing service does
not provide a valuation for a particular asset, or the valuations are deemed
unreliable, or if events occurring after the close of the principal markets for
particular securities (e.g., domestic debt and foreign securities), but before
the Fund values its assets, would materially affect NAV, First Trust Advisors
L.P. ("First Trust") may use a fair value method to value the Fund's securities
and investments. The use of fair value pricing by the Fund is governed by
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with the provisions of the Investment Company Act of 1940, as amended (the "1940
Act").
Portfolio securities listed on any exchange other than the NASDAQ National
Market ("NASDAQ") are valued at the last sale price on the business day as of
which such value is being determined. If there has been no sale on such day, the
securities are valued at the mean of the most recent bid and asked prices on
such day. Securities traded on the NASDAQ are valued at the NASDAQ Official
Closing Price as determined by NASDAQ. Portfolio securities traded on more than
one securities exchange are valued at the last sale price on the business day as
of which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio securities
traded in the over-the-counter market, but excluding securities traded on the
NASDAQ, are valued at the closing bid prices. Short-term investments that mature
in less than 60 days are valued at amortized cost.
B. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund instructs the custodian to
segregate assets of the Fund with a current value at least equal to the amount
of its when-issued purchase commitments.
C. RESTRICTED SECURITIES
The Fund may invest in restricted securities, which are defined as securities
that may not be offered for public sale without first being registered under the
Securities Act of 1933, as amended. Prior to registration, restricted securities
may only be resold in transactions exempt from registration. As of July 31,
2006, the Fund held restricted securities as shown in the following table. The
Fund does not have the right to demand that such securities be registered. These
securities are valued according to the valuation procedures as stated in the
Portfolio Valuation footnote (Note 1A) and are not expressed as a discount to
the carrying value of a comparable unrestricted security.
ACQUISITION CARRYING VALUE
SECURITY DATE PER UNIT COST
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ACE Securities Corp., Home Equity Loan Trust, Series 2005-HE5, Class M10 8/5/05 $ 93.15 $ 1,786,195
ACLC Business Loan Receivables Trust, Series 1999-1, Class A3 10/13/05 92.48 3,683,711
Atherton Franchisee Loan Funding, Series 1999-A, Class A2 6/8/06 101.88 1,353,981
Ajax Ltd., Series 2A 11/30/05 0.59 821,063
Ajax Ltd., Series 2X 11/30/05 0.59 1,132,500
Banc of America Commercial Mortgage Inc., Series 2000-1, Class M 8/2/05 82.29 898,436
Banc of America Large Loan, Inc., Series 2005-M1B1, Class L 6/26/06 98.50 1,982,343
Banc of America Structured Securities Trust, Series 2002-X1, Class O 8/4/05 87.02 2,567,507
Banc of America Structured Securities Trust, Series 2002-X1, Class P 8/4/05 72.18 2,092,895
CitiSteel USA, Inc., Senior Secured Note, PIK 6/29/06 104.25 375,000
CWALT, Inc., Pass-Through Certificates, Series 2005-56, Class B4 3/23/06 60.00 2,343,812
CWALT, Inc., Pass-Through Certificates, Series 2005-56, Class B5 3/23/06 21.00 1,749,713
Page 6
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (UNAUDITED)(CONTINUED)
FIRST TRUST STRATEGIC HIGH INCOME FUND
JULY 31, 2006
ACQUISITION CARRYING VALUE
SECURITY DATE PER UNIT COST
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EMAC Owner Trust, LLC, Series 1998-1, Class A3 7/31/06 $ 87.14 $ 1,695,217
EMAC Owner Trust, LLC, Series 2000-1, Class A1 7/31/06 70.06 1,125,326
EMAC Owner Trust, LLC, Series 2000-1, Class A2 7/31/06 70.06 1,441,538
Eurofresh Inc., Senior Note 5/1706 98.00 2,015,346
Falcon Franchise Loan Trust, Series 2000-1, Class E 8/9/05 81.47 3,955,856
Falcon Franchise Loan Trust, Series 2003-1, Class E 8/18/05 68.31 3,018,648
FFCA Secured Lending Corp., Series 1998-1, Class D1 8/25/05 90.77 4,451,383
FFCA Secured Lending Corp., Series 1999-2, Class B1 8/2/05 56.34 2,944,529
FMAC Loan Receivables Trust, Series 1997-B, Class A 8/4/05 96.52 2,298,728
Forte CDO (Cayman) Ltd., Series B, Senior Secured Note 8/4/05 94.81 973,019
GE Capital Commercial Mortgage Corp., Series 2000-1, Class G 6/6/06 95.23 673,131
GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class G 8/24/05 89.58 916,830
GS Mortgage Securities Corp. II, Series 1998-C1, Class H 8/2/05 51.60 3,424,910
GSAMP Trust, Series 2004-AR2, Class B4 8/17/05 85.21 4,522,068
Halyard CBO I, Multi Asset CBO I, Ltd., Series 1A, Class B 3/27/06 71.00 2,516,000
Helios Series I, Multi Asset CBO I, Ltd., Series 1A, Class B 2/28/06 83.00 3,258,289
Interactive Health, LLC, Senior Note 12/13/05 82.00 844,520
LB-UBS Commercial Mortgage Trust, Series 2001-C7, Class Q 9/19/05 72.79 2,328,332
LB-UBS Commercial Mortgage Trust, Series 2001-C7, Class S 9/29/05 58.99 1,565,975
Longhorn CDO Ltd., Series 1, Class C 3/24/06 97.75 2,643,878
Metallurg Holdings, Inc., Senior Secured Note 9/16/05 99.50 489,130
Morgan Stanley Capital I Inc., Series 1999-WF1, Class M 8/3/05 64.14 598,416
North Street Referenced Linked Notes, Series 2000-1A, Class C 3/27/06 74.00 2,983,369
Park Place Securities, Inc., Series 2004-WCW2, Class M10 3/24/06 94.16 2,789,122
Park Place Securities, Inc., Series 2005-WHQ4, Class M10 8/26/05 89.60 2,374,687
PCA Finance Corp., LLC, Secured Note 4/6/06 100.26 1,020,000
Pegasus Aviation Lease Securitization III, Series 2001-1A, Class A3 8/4/05 88.06 2,333,299
Pro Rata Funding Ltd. Inc. 4/11/06 0.82 3,240,000
Rafealla Apparel Group, Inc., Senior Note 5/16/06 97.00 1,463,486
Soloso CDO Ltd., Series 2005-1 8/12/05 0.99 1,985,412
Soundview Home Equity Loan Trust, Series 2005-A, Class B2 8/4/05 91.67 5,438,258
Spansion LLC, Senior Note 4/3/06 102.75 1,931,112
Structured Asset Securities Corp., Series 2003-BC3, Class B 2/28/06 93.50 1,525,654
Summit CBO I, Ltd., Series 1A, Class B 8/3/05 22.56 1,300,513
Uno Restaurant Holdings Corp., Senior Note 9/15/05 77.75 1,802,821
Wilbraham CBO Ltd., Series 1A, Class A2 2/28/06 81.00 3,953,913
2. UNREALIZED APPRECIATION/(DEPRECIATION)
As of July 31, 2006, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $3,471,189,
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $2,426,573.
Page 7
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 STRATEGIC HIGH INCOME FUND
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By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date SEPTEMBER 21, 2006
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date SEPTEMBER 21, 2006
----------------------------------------------------------------------------
By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller,
Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date SEPTEMBER 21, 2006
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.