13D Filing: Saba Capital and First Trust Strategic High Income Fund II (FHY)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

SCHEDULE 13D

Under the Securities Exchange Act of 1934
(Amendment No.
[__])*

First Trust Strategic High Income Fund II

(Name of Issuer)

Common Shares, $0.01 par value
(Title of Class
of Securities)

337353304
(CUSIP Number)

Saba Capital Management, L.P.
405 Lexington Avenue
58th
Floor
New York, NY 10174
Attention: Michael D’Angelo
(212)
542-4635
(Name, Address and Telephone Number of Person
Authorized
to Receive Notices and Communications)

June 20, 2017
(Date of Event Which Requires
Filing of This Statement)

If the filing person has previously filed a statement on
Schedule 13G to report the acquisition that is the subject of this Schedule 13D,
and is filing this schedule because of Rule 13d-1(e), Rule 13d-1(f) or Rule
13d-1(g), check the following box. [X]

(Page 1 of 10 Pages)

______________________________

* The remainder of this cover page shall be filled out for a
reporting person’s initial filing on this form with respect to the subject class
of securities, and for any subsequent amendment containing information which
would alter disclosures provided in a prior cover page.

The information required on the remainder of this cover page
shall not be deemed to be “filed” for the purpose of Section 18 of the
Securities Exchange Act of 1934 (“Act”) or otherwise subject to the liabilities
of that section of the Act but shall be subject to all other provisions of the
Act (however, see the Notes).

^{_______________________
1} The percentages used
herein are calculated based upon 8,200,265 shares of common stock outstanding as
of 3/9/2017, as disclosed in the company’s Certified Shareholder Report Form DEF
14A filed 3/9/2017.

____________________________

¹ The percentages used herein are calculated based
upon 8,200,265 shares of common stock outstanding as of 3/9/2017, as disclosed
in the company’s Certified Shareholder Report Form DEF 14A filed 3/9/2017.

This statement on Schedule 13D (the
“Schedule 13D“) relates to the common shares (the “Common
Shares“), of First Trust Strategic High Income Fund II (the
“Issuer“). The Issuer’s principal executive offices are located at 120
East Liberty Drive, Suite 400, Wheaton, IL 60187.

This statement is being jointly filed
by Saba Capital Management, L.P., a Delaware limited partnership (“Saba
Capital”) and Mr. Boaz R. Weinstein (together, the “Reporting Persons) with
respect to the ownership of the shares of Common Stock (as defined in Item 2(d))
by Saba Capital Master Fund Ltd. (“SCMF”), Saba II AIV, L.P.. (“SCMF II”), Saba
Capital Leveraged Master Fund Ltd. (“SCLMF”), Saba Capital Series LLC Series 1
(“SCS”), Saba Capital CEF Opportunities 1, Ltd. (“SCEF1”), and Saba Capital CEF
Opportunities 2, Ltd. (“SCEF2”), and Saba Closed-End Funds ETF. Any disclosures
herein with respect to persons other than the Reporting Persons are made on
information and belief after making inquiry to the appropriate party.

Information required by Instruction C
of Schedule 13D with respect to Management is set forth herein.

The filing of this statement should
not be construed as an admission that any Reporting Person, Management or any
Saba Entity is, for the purposes of Sections 13 of the Securities Exchange Act
of 1934, the beneficial owner of the Common Shares reported herein.

Funds for the purchase of the Common
Shares were derived from the subscription proceeds from investors in SCMF, SCMF
II, SCLMF, SCS, SCEF 1, SCEF 2, and Saba Closed-End Funds ETF, and the capital
appreciation thereon and margin account borrowings made in the ordinary course
of business. In such instances, the positions held in the margin accounts are
pledged as collateral security for the repayment of debit balances in the
account, which may exist from time to time. Since other securities are held in
the margin accounts, it is not possible to determine the amounts, if any, of
margin used to purchase the Common Shares reported herein. A total of $9,807,595
was paid to acquire the Common Shares reported herein.

The Reporting Persons acquired the
Common Shares to which this Schedule 13D relates in the ordinary course of
business for investment purposes because they believe that the Common Shares are
undervalued and represent an attractive investment opportunity.

The Reporting Persons may engage in
discussions with management, the Board of Directors, other shareholders of the
Issuer and other relevant parties, including representatives of any of the
foregoing, concerning the Reporting Persons’ investment in the Common Shares and
the Issuer, including, without limitation, matters concerning the Issuer’s
business, operations, board appointments, governance, management, capitalization
and strategic plans and matters relating to the open or closed end nature of the
Issuer and timing of any potential liquidation of the Issuer. The Reporting
Persons may exchange information with any persons pursuant to appropriate
confidentiality or similar agreements or otherwise, work together with any
persons pursuant to joint agreements or otherwise, propose changes in the
Issuer’s business, operations, board appointments, governance,
management, capitalization, strategic plans or matters relating to the open or
closed end nature of the Issuer or timing of any potential liquidation of the
Issuer, or propose or engage in one or more other actions set forth under
subparagraphs (a)-(j) of Item 4 of Schedule 13D.

The Reporting Persons intend to review
their investment in the Issuer on a continuing basis. Depending on various
factors, including, without limitation, the outcome of any discussions
referenced above, the Issuer’s financial position and strategic direction,
actions taken by management or the Board of Directors, price levels of the
Common Shares, other investment opportunities available to the Reporting
Persons, conditions in the securities market and general economic and industry
conditions, the Reporting Persons may in the future take such actions with
respect to their investment in the Issuer as they deem appropriate, including,
without limitation, purchasing additional Common Shares or selling some or all
of their Common Shares, engaging in short selling of or any hedging or similar
transactions with respect to the Common Shares and/or otherwise changing their
intention with respect to any and all matters referred to in Item 4 of Schedule
13D. The Reporting Persons may, at any time and from time to time, review or
reconsider their position and/or change their purpose and/or formulate plans or
proposals with respect to their investment in the Common Shares.

The Reporting Persons have not entered
into any agreement with any third party to act together for the purpose of
acquiring, holding, voting or disposing of the Common Shares reported
herein.

Other than the Joint Filing Agreement
attached as Exhibit 1 hereto, there are no contracts, arrangements,
understandings or relationships (legal or otherwise) among the persons named in
Item 2 hereof and between such persons and any person with respect to any
securities of the Issuer, including but not limited to transfer or voting of any
other securities, finder’s fees, joint ventures, loan or option arrangements,
puts or calls, guarantees of profits, divisions of profits or loss, or the
giving or withholding of proxies.

SIGNATURES

After reasonable inquiry and to
the best of his or its knowledge and belief, each of the undersigned certifies
that the information set forth in this statement is true, complete and correct.

Date: June 20, 2017

* Pursuant to a power of attorney dated as of November 16,
2015, which is incorporated herein by reference to Exhibit 2 to the Schedule 13G
filed by the Reporting Persons on December 28, 2015, accession number:
0001062993-15-006823

Schedule A

This Schedule sets forth information with respect to each
purchase and sale of Common Shares which were effectuated by Saba Capital during
the past sixty days. All transactions were effectuated in the open market
through a broker.

EXHIBIT 1

JOINT FILING AGREEMENT
PURSUANT TO RULE 13d-1(k)

The undersigned acknowledge and
agree that the foregoing statement on Schedule 13D is filed on behalf of each of
the undersigned and that all subsequent amendments to this statement on Schedule
13D shall be filed on behalf of each of the undersigned without the necessity of
filing additional joint filing agreements. The undersigned acknowledge that each
shall be responsible for the timely filing of such amendments, and for the
completeness and accuracy of the information concerning him or it contained
herein and therein, but shall not be responsible for the completeness and
accuracy of the information concerning the others, except to the extent that he
or it knows or has reason to believe that such information is inaccurate.

DATE: June 20, 2017

* Pursuant to a power of attorney dated as of November 16,
2015, which is incorporated herein by reference to Exhibit 2 to the Schedule 13G
filed by the Reporting Persons on December 28, 2015, accession number:
0001062993-15-006823