On September 17, 2008, First Trust Strategic High Income Fund (NYSE: FHI), First Trust Strategic High Income Fund II (NYSE: FHY) and First Trust Strategic High Income Fund III (NYSE: FHO) (collectively, the "Funds") announced that their Boards of Trustees have approved a change in the Funds' temporary defensive policy. The Funds issued a press release on September 17, 2008 relating to the change in temporary defensive policy, a copy of which is filed herewith as Exhibit 99.1.

Item 9.01       Financial Statements and Exhibits

(d) Exhibits

             Exhibit No.                             Description

                99.1                   Press release dated September 17, 2008.