Edgar Filing: FIRST TRUST STRATEGIC HIGH INCOME FUND

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

FIRST TRUST STRATEGIC HIGH INCOME FUND
(Exact name of registrant as specified in charter)

1001 Warrenville Road, Suite 300
LISLE, IL 60532
(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
(Name and address of agent for service)

Registrant's telephone number, including area code:
630-241-4141

Date of fiscal year end: OCTOBER 31

Date of reporting period: JULY 31, 2008

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 (A)
JULY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
--------- ----------- ------ -------- ------------

ASSET-BACKED SECURITIES - 81.9%
ABCLO, Ltd.
$ 1,750,000 Series 2007-1A, Class D (b) (c) ........................ 6.69% 04/15/21 $ 1,015,000
ACE Securities Corp., Home Equity Loan Trust
504,354 Series 2003-OP1, Class B ............................ 6.00% 12/25/33 92,634
329,436 Series 2004-HE4, Class M11 (c) ...................... 5.96% 12/25/34 3,851
2,000,000 Series 2005-HE5, Class M10 (c) ...................... 5.46% 08/25/35 60,000
3,000,000 Series 2007-HE4, Class M8 (c) ....................... 4.96% 05/25/37 60,000
ACLC Business Loan Receivables Trust
2,326,136 Series 1999-1, Class A3 (b) ......................... 7.39% 08/15/20 2,196,645
2,499,845 Series 1999-2, Class B (b) .......................... 8.75% 01/15/21 2,349,855
Aircraft Finance Trust
1,094,354 Series 1999-1A, Class A2 (b) (c) .................... 2.96% 05/15/24 1,017,750
Atherton Franchisee Loan Funding
526,719 Series 1999-A, Class A2 (b) ......................... 7.23% 03/15/21 547,301
Bear Stearns Alt-A Trust
2,244,263 Series 2006-8, Class 2A2 ............................ 5.51% 08/25/46 1,112,958
Bear Stearns Asset Backed Security Trust
4,000,000 Series 2007-HE3, Class M9 (c) ....................... 4.71% 04/25/37 200,000
BNC Mortgage Loan Trust
5,750,000 Series 2007-2, Class B1 (b) (c) ..................... 4.96% 05/25/37 402,500
1,400,000 Series 2007-2, Class B2 (b) (c) ..................... 4.96% 05/25/37 84,000
1,766,000 Series 2007-3, Class B2 (b) (c) ..................... 4.96% 07/25/37 110,375
Bombardier Capital Mortgage Securitization Corp.
342,403 Series 1999-B, Class A1B ............................ 6.61% 09/15/10 192,930
876,643 Series 1999-B, Class A3 ............................. 7.18% 12/15/15 478,137
Conseco Finance Securitizations Corp.
3,854,091 Series 2000-6, Class M1 ............................. 7.72% 09/01/31 1,028,988
EMAC Owner Trust, LLC
1,260,650 Series 1998-1, Class A3 (b) ......................... 6.63% 01/15/25 1,065,249
1,162,359 Series 2000-1, Class A1 (b) ......................... 6.12% 01/15/27 697,415
1,488,976 Series 2000-1, Class A2 (b) ......................... 6.12% 01/15/27 893,386
Falcon Franchise Loan Trust
4,905,000 Series 2000-1, Class E (b) .......................... 6.50% 04/05/16 2,742,001
4,231,000 Series 2003-1, Class E (b) .......................... 6.00% 01/05/25 2,077,665
FFCA Secured Lending Corp.
5,000,000 Series 1998-1, Class D1 (b) ......................... 7.81% 10/18/25 3,080,896
5,000,000 Series 1999-2, Class B1 (b) ......................... 8.27% 05/18/26 2,361,528
FMAC Loan Receivables Trust
1,182,521 Series 1997-B, Class A (b) .......................... 6.85% 09/15/19 1,117,482
6,200,000 Series 1998-CA, Class A3 (b) ........................ 6.99% 09/15/20 5,394,000
Green Tree Financial Corp.
373,335 Series 1997-4, Class B1 ............................. 7.23% 02/15/29 79,217
1,000,000 Series 1998-4, Class M1 ............................. 6.83% 04/01/30 456,181
3,000,000 Series 1998-8, Class M1 ............................. 6.98% 09/01/30 1,525,034
6,561,074 Series 1999-3, Class M1 ............................. 6.96% 02/01/31 1,504,314
GreenPoint Manufactured Housing Contract Trust
10,000,000 Series 1999-5, Class M2 ............................. 9.23% 12/15/29 4,672,266

See Notes to Quarterly Portfolio of Investments

Page 1

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
--------- ----------- ------ -------- ------------

ASSET-BACKED SECURITIES - (CONTINUED)
GSAMP Trust
$ 1,804,131 Series 2004-AR2, Class B4 (b) ....................... 5.00% 08/25/34 $ 108,248
1,000,000 Series 2006-S3, Class A2 ............................ 5.77% 05/25/36 176,300
875,118 Series 2006-S5, Class A1 (c) ........................ 2.55% 09/25/36 142,023
Halyard Multi Asset CBO I, Ltd.
2,529,642 Series 1A, Class B (b) (c) .......................... 3.95% 03/24/10 1,644,267
Helios Series I Multi Asset CBO, Ltd.
3,000,000 Series 1A, Class B (b) (c) .......................... 4.00% 12/13/36 1,500,000
Independence lll CDO, Ltd.
5,000,000 Series 3A, Class C1 (b) (c) ......................... 5.29% 10/03/37 2,050,000
Indymac Residential Asset Backed Trust
2,375,000 Series 2005-B, Class M10 (c) ........................ 5.96% 08/25/35 316,542
Long Beach Mortgage Loan Trust
1,966,974 Series 2006-A, Class A2 ............................. 5.55% 05/25/36 354,055
Longhorn CDO, Ltd.
2,743,468 Series 1, Class C (b) (c) ........................... 8.97% 05/10/12 1,097,387
Merit Securities Corp.
3,453,729 Series 13, Class B1 (d) ............................. 8.65% 12/28/33 186,971
2,602,000 Series 13, Class M2 ................................. 8.65% 12/28/33 864,850
North Street Referenced Linked Notes
4,500,000 Series 2000-1A, Class C (b) (c) ..................... 4.55% 04/28/11 1,564,650
7,000,000 Series 2000-1A, Class D1 (b) (c) .................... 5.40% 04/28/11 4,550,000
Oakwood Mortgage Investors, Inc.
8,000,000 Series 2002-B, Class M1 ............................. 7.62% 06/15/32 2,907,604
Park Place Securities, Inc.
3,689,895 Series 2004-WCW1, Class M8 (c) ...................... 5.96% 09/25/34 646,432
1,301,976 Series 2004-WCW2, Class M10 (b) (c) ................. 5.21% 10/25/34 108,749
5,000,000 Series 2005-WCW3, Class M11 (b) (c) ................. 4.96% 08/25/35 250,000
3,000,000 Series 2005-WHQ4, Class M10 (b) (c) ................. 4.96% 09/25/35 90,000
Pebble Creek LCDO, Ltd.
2,000,000 Series 2007-2A, Class E (b) (c) ..................... 6.05% 06/22/14 1,251,000
Pegasus Aviation Lease Securitization III
1,787,312 Series 2001-1A, Class A3 (b) (c) .................... 3.14% 03/10/14 1,251,119
Rosedale CLO, Ltd.
3,500,000 Series I-A, Class II (b) ............................ 0.00% 07/24/21 2,100,000
Signature 5, Ltd.
1,000,000 Series 5A, Class C (b) .............................. 12.56% 10/27/12 750,000
Soundview Home Equity Loan Trust
1,634,000 Series 2007-OPT3, Class M10 (b) (c) ................. 4.96% 08/25/37 65,360
Structured Asset Investment Loan Trust
2,004,771 Series 2004-8, Class B2 ............................. 5.00% 09/25/34 24,780
Structured Asset Securities Corp.
3,000,000 Series 2007-BC3, Class B1 (b) (c) ................... 4.96% 05/25/47 180,000
2,000,000 Series 2007-OSI, Class M10 (c) ...................... 4.96% 06/25/37 110,000
Summit CBO I, Ltd.
4,914,010 Series 1A, Class B (b) (c) .......................... 3.78% 05/23/11 343,981
UCFC Manufactured Housing Contract
10,000,000 Series 1998-3, Class M1 ............................. 6.51% 01/15/30 3,500,000

See Notes to Quarterly Portfolio of Investments

Page 2

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
--------- ----------- ------ -------- ------------

ASSET-BACKED SECURITIES - (CONTINUED)
Wells Fargo Home Equity Trust
$ 3,947,000 Series 2007-2, Class B2 (b) (c) ..................... 4.96% 04/25/37 $ 187,483
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $102,138,441) .................................... 66,941,359
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 5.0%
Adjustable Rate Mortgage Trust
1,930,000 Series 2005-10, Class 5M5 (c) ....................... 4.66% 01/25/36 9,650
Countrywide Alternative Loan Trust
3,911,601 Series 2005-56, Class B4 (b) (c) .................... 3.71% 11/25/35 195,580
3,422,651 Series 2005-56, Class M4 (c) ........................ 3.38% 11/25/35 1,540,193
2,678,611 Series 2006-OA2, Class B2 (c) ....................... 4.71% 05/20/46 107,144
Credit Suisse Mortgage Capital Certificates
2,411,456 Series 2006-1, Class DB5 (d) ........................ 5.74% 02/25/36 62,299
2,331,569 Series 2006-2, Class DB5 (d) ........................ 5.87% 03/25/36 98,602
CS First Boston Mortgage Securities Corp.
1,089,558 Series 2005-11, Class DB6 (d) ....................... 6.14% 12/25/35 21,692
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
3,690,610 Series 2007-OA4, Class M10 (c) ...................... 5.46% 08/25/47 18,453
HarborView Mortgage Loan Trust
4,107,433 Series 2005-9, Class B10 (c) ........................ 4.21% 06/20/35 2,053,716
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $11,231,859) ..................................... 4,107,329
------------
COMMERCIAL MORTGAGE-BACKED SECURITIES - 27.5%
Banc of America Commercial Mortgage Inc.
1,171,422 Series 2000-1, Class M (b) .......................... 6.00% 11/15/31 747,819
Banc of America Large Loan, Inc.
2,000,000 Series 2005-MIB1, Class L (b) (c) ................... 5.46% 03/15/22 1,527,867
Banc of America Structural Securities Trust
2,878,166 Series 2002-X1, Class O (b) ......................... 7.00% 10/11/33 2,401,317
2,878,166 Series 2002-X1, Class P (b) ......................... 7.00% 10/11/33 2,277,267
Bear Stearns Commercial Mortgage Securities
1,776,400 Series 2000-WF1, Class K ............................ 6.50% 02/15/32 877,912
FannieMae-ACES
8,458,685 Series 1998-M7, Class N, IO (e) (f) ................. 0.00% 05/25/36 136,148
GE Capital Commercial Mortgage Corp.
700,000 Series 2000-1, Class G (b) .......................... 6.13% 01/15/33 551,063
GMAC Commercial Mortgage Securities, Inc.
1,000,000 Series 1999-C3, Class G (b) ......................... 6.97% 08/15/36 938,972
Government National Mortgage Association
95,222,608 Series 2003-47, Class XA, IO (e) .................... 1.24% 06/16/43 4,909,468
24,043,228 Series 2003-59, Class XA, IO (e) .................... 1.98% 06/16/34 1,796,270
GS Mortgage Securities Corp. II
7,000,000 Series 1998-C1, Class H (b) ......................... 6.00% 10/18/30 2,362,416
LB-UBS Commercial Mortgage Trust
3,025,000 Series 2001-C7, Class Q (b) ......................... 5.87% 11/15/33 1,842,612
2,083,703 Series 2001-C7, Class S (b) ......................... 5.87% 11/15/33 1,050,145

See Notes to Quarterly Portfolio of Investments

Page 3

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

PRINCIPAL STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
----------- ----------- ------ -------- ------------

COMMERCIAL MORTGAGE-BACKED SECURITIES - (CONTINUED)
Morgan Stanley Capital I, Inc.
$ 968,400 Series 1999-WF1, Class M (b) ........................ 5.91% 11/15/31 $ 447,063
2,787,919 Series 2003-IQ5, Class O (b) ........................ 5.24% 04/15/38 625,063
------------
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $29,722,483) ..................................... 22,491,402
------------
CORPORATE BONDS - 6.6%
3,500,000 Americast Technologies, Inc. (b) ....................... 11.00% 12/01/14 3,237,500
1,500,000 Lexington Precision Corp., Units (g) ................... 0.00% 08/01/09 1,455,000
1,498,000 Rafealla Apparel Group, Inc., Series B ................. 11.25% 06/15/11 726,530
------------
TOTAL CORPORATE BONDS
(Cost $6,266,266) ...................................... 5,419,030
------------
STRUCTURED NOTES - 4.7%
Bacchus Ltd.
1,225,000 Series 2006-1I, Subordinated Bond (b) ............... 0.00% 01/20/19 882,000
InCaps Funding II Ltd./InCaps Funding II Corp.
2,000,000 Subordinated Note (b) ............................... 0.00% 01/15/34 740,000
3,750,000 Preferred Term Securities XXV, Ltd. (d) ................ 0.00% 06/22/37 2,226,750
------------
TOTAL STRUCTURED NOTES
(Cost $5,414,654) ...................................... 3,848,750
------------

SHARES DESCRIPTION VALUE
------ ----------- ------------

PREFERRED SECURITIES - 5.9%
1,450 Ajax Two Ltd., Series 2A (b) (h) ........................................... $ 507,500
2,000 Ajax Two Ltd., Series 2X (b) (h) ........................................... 700,000
4,000 Pro Rata Funding, Ltd., Inc. (b) (h) ....................................... 2,200,000
2,000 Soloso CDO, Ltd., Series 2005-1 (b) (h) .................................... 1,074,375
3,000 White Marlin CDO, Ltd., Series AI (b) (h) .................................. 315,000
------------
TOTAL PREFERRED SECURITIES
(Cost $7,816,157) .......................................................... 4,796,875
------------
TOTAL INVESTMENTS - 131.6%
(Cost $162,589,860) (i) .................................................... 107,604,745
LOAN OUTSTANDING - (41.6)% ................................................. (34,000,000)
NET OTHER ASSETS AND LIABILITIES - 10.0% ................................... 8,160,942
------------
NET ASSETS - 100.0% ........................................................ $ 81,765,687
============

See Notes to Quarterly Portfolio of Investments

Page 4

FIRST TRUST STRATEGIC HIGH INCOME FUND
PORTFOLIO OF INVESTMENTS (A) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

----------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.

(b) This security, sold within the terms of a private placement memorandum, is
exempt from registration under Rule 144A of the Securities Act of 1933, as
amended (the "1933 Act"), and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to
procedures adopted by the Fund's Board of Trustees, this security has been
determined to be liquid by Valhalla Capital Partners, LLC, the Fund's
investment sub-advisor. At July 31, 2008, securities noted as such amounted
to $70,868,851 or 86.7% of net assets.

(d) This security, sold within the terms of a private placement memorandum, is
exempt from registration under Rule 144A under the 1933 Act, and may be
resold in transactions exempt from registration, normally to qualified
institutional buyers (See Note 1C - Restricted Securities in the Notes to
Quarterly Portfolio of Investments).

(e) IO - Interest only.

(f) ACES - Alternative Credit Enhancement Securities.

(g) The issuer is in default. Income is not being accrued.

(h) Zero coupon.

(i) Aggregate cost for federal income tax and financial reporting purposes. As
of July 31, 2008, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$3,824,831, and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$58,809,946.

CBO Collateralized Bond Obligation

CDO Collateralized Debt Obligation

CLO Collateralized Loan Obligation

See Notes to Quarterly Portfolio of Investments

Page 5

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS

FIRST TRUST STRATEGIC HIGH INCOME FUND
JULY 31, 2008 (UNAUDITED)

1. VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of First Trust Strategic High
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 and dividends),
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 securities, at fair value according
to procedures adopted by the Fund's Board of Trustees. Securities for which
market quotations are readily available are valued at market value, which is
currently determined using the last reported sale price on the business day as
of which such value is being determined or, if no sales are reported on such day
(as in the case of some securities traded over-the-counter), the last reported
bid price, except that certain U.S. government securities are valued at the mean
between the last reported bid and asked prices. The Fund values mortgage-backed
securities and other debt securities not traded in an organized market on the
basis of valuations provided by dealers who make markets in such securities or
by an independent pricing service approved by the Board of Trustees which uses
information with respect to transactions in such securities, quotations from
dealers, market transactions for comparable securities, various relationships
between securities and yield to maturity in determining value. The Fund's
Portfolio of Investments includes investments with a value of $55,082,984 (51.2%
of total investments) as of July 31, 2008, whose values have been determined
based on prices supplied by dealers in the absence of readily determinable
values. These values may differ from the values that would have been used had an
independent price for these investments existed, and the differences could be
material. The remaining investments, with a value of $52,521,761 (48.8% of total
investments), were valued by an independent pricing service.

Debt securities having a remaining maturity of less than sixty days when
purchased are valued at cost adjusted for amortization of premiums and accretion
of discounts.

In the event that market quotations are not readily available, the pricing
service or dealer does not provide a valuation for a particular asset, or the
valuations are deemed unreliable, First Trust Advisors L.P. ("First Trust") may
use a fair value method to value the Fund's securities and investments.
Additionally, if events occur after the close of the principal markets 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 securities and investments. As a
general principle, the fair value of a security is the amount which the Fund
might reasonably expect to receive for the security upon its current sale. A
variety of factors may be considered in determining the fair value of such
securities including 1) the fundamental business data relating to the issuer; 2)
an evaluation of the forces which influence the market in which these securities
are purchased and sold; 3) type of holding; 4) financial statements of the
issuer; 5) cost at date of purchase; 6) credit quality and cash flow of the
issuer based on external analysis; 7) information as to any transactions in or
offers for the holding; 8) price and extent of public trading in similar
securities of the issuer/borrower, or comparable companies; and 9) other
relevant factors. 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. When fair
value pricing of securities is employed, the prices of securities used by the
Fund to calculate its NAV may differ from market quotations or official closing
prices. In light of the judgment involved in fair valuations, there can be no
assurance that a fair value assigned to a particular security will be the amount
which the Fund might be able to receive upon its current sale.

The Fund invests a significant portion of its assets in below-investment grade
debt securities, including mortgage-backed securities, asset-backed securities,
corporate bonds and collateralized debt obligations. The value and related
income of these securities is sensitive to changes in economic conditions,
including delinquencies and/or defaults. Recent instability in the markets for
fixed income securities, particularly mortgage-backed and asset-backed
securities, has resulted in increased volatility of market prices and periods of
illiquidity that have adversely impacted the valuation of certain securities
held by the Fund.

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 maintains liquid assets of the
Fund with a current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. At July 31, 2008, the Fund had no
when-issued or delayed-delivery purchase commitments.

Page 6

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)

FIRST TRUST STRATEGIC HIGH INCOME FUND
JULY 31, 2008 (UNAUDITED)

C. RESTRICTED SECURITIES:

The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the 1933 Act. Prior
to registration, restricted securities may only be resold in transactions exempt
from registration under Rule 144A of the 1933 Act, normally to qualified
institutional buyers. As of July 31, 2008, the Fund held restricted securities
as shown in the table below that the Sub-Advisor has deemed illiquid pursuant to
procedures adopted by the Fund's Board of Trustees. 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. There are no unrestricted securities with
the same maturity dates and yields for these issuers.

CARRYING % OF
ACQUISITION PRINCIPAL VALUE PER CARRYING NET
SECURITY DATE VALUE SHARE COST VALUE ASSETS
-------- ----------- ----------- --------- ---------- ---------- ------

Credit Suisse Mortgage Capital Certificates
Series 2006-1, Class DB5, 5.74%, 02/25/36 12/15/06 $ 2,411,456 $2.58 $ 838,392 $ 62,299 0.08%
Series 2006-2, Class DB5, 5.87%, 03/25/36 12/15/06 2,331,569 4.23 811,568 98,602 0.12
CS First Boston Mortgage Securities Corp.
Series 2005-11, Class DB6, 6.14%, 12/25/35 12/15/06 1,089,558 1.99 147,828 21,692 0.03
Merit Securities Corp.
Series 13, Class B1, 8.65%, 12/28/33 02/20/07 3,453,729 5.41 79,475 186,971 0.23
Preferred Term Securities XXV, Ltd. 03/22/07 3,750,000 0.59 3,630,406 2,226,750 2.72
----------- ---------- ---------- ----
$13,036,312 $5,507,669 $2,596,314 3.18%
=========== ========== ========== ====

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
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James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)

Date September 24, 2008
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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.

Date September 24, 2008
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By (Signature and Title)* /S/ MARK R. BRADLEY
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Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)

Date September 24, 2008
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* Print the name and title of each signing officer under his or her signature.