UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

 

Investment Company Act file number 811-21333

 

Nuveen Credit Strategies Income Fund

(Exact name of registrant as specified in charter)

 

   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(Address of principal executive offices) (Zip code)

 

 

Kevin J. McCarthy—Vice President and Secretary
   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

312-917-7700

 

Date of fiscal year end:

7/31

 

Date of reporting period:

10/31/2013

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 



 

Item 1. Schedule of Investments

 



 

 

 

Portfolio of Investments (Unaudited)

 

 

 

 

 

Nuveen Credit Strategies Income Fund  (JQC)

 

 

 

October 31, 2013

 

 

 

 

Shares

 

Description (1)

 

 

 

 

 

 

 

Value

 

 

 

Long-Term Investments – 131.2% (91.9% of Total Investments)

 

 

 

 

 

 

 

 

Common Stocks – 3.0% (2.1% of Total Investments)

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense – 0.1%

 

 

 

 

 

 

 

 

 

11,670

 

GenCorp Inc.,  (2)

 

 

 

 

 

 

 

$       196,056

 

2,432

 

General Dynamics Corporation

 

 

 

 

 

 

 

210,684

 

2,849

 

Honeywell International Inc.

 

 

 

 

 

 

 

247,094

 

1,207

 

TransDigm Group Inc.

 

 

 

 

 

 

 

175,510

 

2,601

 

United Technologies Corporation

 

 

 

 

 

 

 

276,356

 

 

 

Total Aerospace & Defense

 

 

 

 

 

 

 

1,105,700

 

 

 

Automobiles – 0.0%

 

 

 

 

 

 

 

 

 

6,688

 

General Motors Company,  (2)

 

 

 

 

 

 

 

247,122

 

1,727

 

Harley-Davidson, Inc.

 

 

 

 

 

 

 

110,597

 

5,067

 

Winnebago Industries Inc.,  (2)

 

 

 

 

 

 

 

150,287

 

 

 

Total Automobiles

 

 

 

 

 

 

 

508,006

 

 

 

Beverages – 0.0%

 

 

 

 

 

 

 

 

 

4,590

 

Coca-Cola Company

 

 

 

 

 

 

 

181,626

 

8,122

 

Crimson Wine Group Ltd.,  (2)

 

 

 

 

 

 

 

71,068

 

 

 

Total Beverages

 

 

 

 

 

 

 

252,694

 

 

 

Biotechnology – 0.1%

 

 

 

 

 

 

 

 

 

2,067

 

Amgen Inc.

 

 

 

 

 

 

 

239,772

 

729

 

Biogen Idec Inc.,  (2)

 

 

 

 

 

 

 

178,015

 

2,780

 

Enanta Pharmaceuticals Inc.,  (2)

 

 

 

 

 

 

 

55,489

 

4,103

 

Gilead Sciences, Inc.,  (2)

 

 

 

 

 

 

 

291,272

 

 

 

Total Biotechnology

 

 

 

 

 

 

 

764,548

 

 

 

Building Products – 0.1%

 

 

 

 

 

 

 

 

 

36,123

 

Masonite Worldwide Holdings,  (2)

 

 

 

 

 

 

 

1,764,609

 

2,794

 

Trex Company Inc.,  (2)

 

 

 

 

 

 

 

196,195

 

 

 

Total Building Products

 

 

 

 

 

 

 

1,960,804

 

 

 

Capital Markets – 0.1%

 

 

 

 

 

 

 

 

 

1,953

 

Ameriprise Financial, Inc.

 

 

 

 

 

 

 

196,355

 

3,960

 

Franklin Resources, Inc.

 

 

 

 

 

 

 

213,286

 

7,573

 

Manning & Napier Inc.

 

 

 

 

 

 

 

125,712

 

710

 

Virtus Investment Partners Inc.,  (2)

 

 

 

 

 

 

 

144,499

 

 

 

Total Capital Markets

 

 

 

 

 

 

 

679,852

 

 

 

Chemicals – 0.1%

 

 

 

 

 

 

 

 

 

2,433

 

Axiall Corporation

 

 

 

 

 

 

 

94,619

 

1,307

 

Eastman Chemical Company

 

 

 

 

 

 

 

102,979

 

2,450

 

LyondellBasell Industries NV

 

 

 

 

 

 

 

182,770

 

3,978

 

Minerals Technologies Inc.

 

 

 

 

 

 

 

225,274

 

593

 

PPG Industries, Inc.

 

 

 

 

 

 

 

108,270

 

1,882

 

Westlake Chemical Corporation

 

 

 

 

 

 

 

202,164

 

 

 

Total Chemicals

 

 

 

 

 

 

 

916,076

 

 

 

Commercial Banks – 0.1%

 

 

 

 

 

 

 

 

 

5,939

 

Banner Corporation

 

 

 

 

 

 

 

227,226

 

10,084

 

BBCN Bancorp Inc.

 

 

 

 

 

 

 

149,546

 

8,042

 

Pacwest Bancorp.

 

 

 

 

 

 

 

305,998

 

2,926

 

PNC Financial Services Group, Inc.

 

 

 

 

 

 

 

215,149

 

16,104

 

Regions Financial Corporation

 

 

 

 

 

 

 

155,082

 

11,854

 

United Community Banks, Inc.,  (2)

 

 

 

 

 

 

 

184,804

 

8,197

 

Wells Fargo & Company

 

 

 

 

 

 

 

349,930

 

2,677

 

Wintrust Financial Corporation

 

 

 

 

 

 

 

116,476

 

 

 

Total Commercial Banks

 

 

 

 

 

 

 

1,704,211

 

 

 

Commercial Services & Supplies – 0.1%

 

 

 

 

 

 

 

 

 

9,786

 

CECO Environmental Corporation

 

 

 

 

 

 

 

172,723

 

4,170

 

G&K Services, Inc.

 

 

 

 

 

 

 

260,208

 

6,226

 

Waste Management, Inc.

 

 

 

 

 

 

 

271,080

 

 

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

704,011

 

 

 

Communications Equipment – 0.0%

 

 

 

 

 

 

 

 

 

2,278

 

QUALCOMM, Inc.

 

 

 

 

 

 

 

158,253

 

 

 

Computers & Peripherals – 0.1%

 

 

 

 

 

 

 

 

 

1,337

 

Apple, Inc.

 

 

 

 

 

 

 

698,382

 

7,960

 

EMC Corporation

 

 

 

 

 

 

 

191,597

 

1,379

 

SanDisk Corporation

 

 

 

 

 

 

 

95,841

 

 

 

Total Computers & Peripherals

 

 

 

 

 

 

 

985,820

 

 

 

Consumer Finance – 0.0%

 

 

 

 

 

 

 

 

 

1,945

 

Capital One Financial Corporation

 

 

 

 

 

 

 

133,563

 

5,172

 

Discover Financial Services

 

 

 

 

 

 

 

268,323

 

 

 

Total Consumer Finance

 

 

 

 

 

 

 

401,886

 

 

 

Containers & Packaging – 0.0%

 

 

 

 

 

 

 

 

 

1,727

 

Packaging Corp. of America

 

 

 

 

 

 

 

107,558

 

 

 

Diversified Consumer Services – 0.0%

 

 

 

 

 

 

 

 

 

2,215

 

Ascent Media Corporation,  (2)

 

 

 

 

 

 

 

186,990

 

 

 

Diversified Financial Services – 0.0%

 

 

 

 

 

 

 

 

 

6,946

 

Bank of America Corporation

 

 

 

 

 

 

 

96,966

 

1,978

 

Citigroup Inc.

 

 

 

 

 

 

 

96,487

 

721

 

Intercontinental Exchange, Inc.,  (2)

 

 

 

 

 

 

 

138,958

 

 

 

Total Diversified Financial Services

 

 

 

 

 

 

 

332,411

 

 

 

Diversified Telecommunication Services – 0.1%

 

 

 

 

 

 

 

 

 

7,187

 

AT&T Inc.

 

 

 

 

 

 

 

260,169

 

5,543

 

Verizon Communications Inc.

 

 

 

 

 

 

 

279,977

 

 

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

540,146

 

 

 

Electric Utilities – 0.0%

 

 

 

 

 

 

 

 

 

4,300

 

El Paso Electric Company

 

 

 

 

 

 

 

151,231

 

2,110

 

Pinnacle West Capital Corporation

 

 

 

 

 

 

 

118,223

 

5,422

 

Portland General Electric Company

 

 

 

 

 

 

 

155,611

 

 

 

Total Electric Utilities

 

 

 

 

 

 

 

425,065

 

 

 

Electrical Equipment – 0.0%

 

 

 

 

 

 

 

 

 

3,384

 

Ametek Inc.

 

 

 

 

 

 

 

161,857

 

5,734

 

Generac Holdings Inc.

 

 

 

 

 

 

 

282,973

 

 

 

Total Electrical Equipment

 

 

 

 

 

 

 

444,830

 

 

 

Electronic Equipment & Instruments – 0.0%

 

 

 

 

 

 

 

 

 

5,508

 

Newport Corporation,  (2)

 

 

 

 

 

 

 

87,412

 

3,193

 

SYNNEX Corporation,  (2)

 

 

 

 

 

 

 

195,731

 

5,545

 

Vishay Precision Group Inc.,  (2)

 

 

 

 

 

 

 

90,938

 

 

 

Total Electronic Equipment & Instruments

 

 

 

 

 

 

 

374,081

 

 

 

Energy Equipment & Services – 0.0%

 

 

 

 

 

 

 

 

 

2,651

 

ERA Group Inc.,  (2)

 

 

 

 

 

 

 

83,772

 

 

 

Food & Staples Retailing – 0.0%

 

 

 

 

 

 

 

 

 

1,849

 

Costco Wholesale Corporation

 

 

 

 

 

 

 

218,182

 

 

 

Food Products – 0.1%

 

 

 

 

 

 

 

 

 

5,984

 

ConAgra Foods, Inc.

 

 

 

 

 

 

 

190,351

 

4,777

 

Dean Foods Company,  (2)

 

 

 

 

 

 

 

93,152

 

4,000

 

General Mills, Inc.

 

 

 

 

 

 

 

201,680

 

1,784

 

Hershey Foods Corporation

 

 

 

 

 

 

 

177,044

 

2,207

 

JM Smucker Company

 

 

 

 

 

 

 

245,440

 

9,290

 

WhiteWave Foods Company,  (2)

 

 

 

 

 

 

 

185,893

 

 

 

Total Food Products

 

 

 

 

 

 

 

1,093,560

 

 

 

Gas Utilities – 0.0%

 

 

 

 

 

 

 

 

 

2,636

 

Chesapeake Utilities Corporation

 

 

 

 

 

 

 

143,425

 

 

 

Health Care Equipment & Supplies – 0.1%

 

 

 

 

 

 

 

 

 

3,633

 

Baxter International, Inc.

 

 

 

 

 

 

 

239,306

 

2,203

 

Becton, Dickinson and Company

 

 

 

 

 

 

 

231,601

 

6,481

 

DexCom, Inc.,  (2)

 

 

 

 

 

 

 

186,199

 

3,222

 

Medtronic, Inc.

 

 

 

 

 

 

 

184,943

 

2,675

 

Steris Corporation

 

 

 

 

 

 

 

120,883

 

 

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

962,932

 

 

 

Health Care Providers & Services – 0.1%

 

 

 

 

 

 

 

 

 

3,342

 

AmSurg Corporation,  (2)

 

 

 

 

 

 

 

143,338

 

6,252

 

Capital Senior Living Corporation,  (2)

 

 

 

 

 

 

 

138,669

 

3,129

 

Express Scripts, Holding Company,  (2)

 

 

 

 

 

 

 

195,625

 

5,327

 

Hanger Orthopedic Group Inc.,  (2)

 

 

 

 

 

 

 

195,501

 

1,928

 

McKesson HBOC Inc.

 

 

 

 

 

 

 

301,424

 

3,024

 

Owens and Minor Inc.

 

 

 

 

 

 

 

113,158

 

19,664

 

Select Medical Corporation

 

 

 

 

 

 

 

166,751

 

4,554

 

Team Health Holdings Inc.,  (2)

 

 

 

 

 

 

 

197,826

 

17,885

 

Universal American Corporation

 

 

 

 

 

 

 

132,707

 

3,264

 

Wellcare Health Plans Inc.,  (2)

 

 

 

 

 

 

 

217,644

 

 

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

1,802,643

 

 

 

Health Care Technology – 0.0%

 

 

 

 

 

 

 

 

 

4,040

 

Surgical Care Affiliates Inc.,  (2)

 

 

 

 

 

 

 

106,050

 

 

 

Hotels, Restaurants & Leisure – 0.0%

 

 

 

 

 

 

 

 

 

4,327

 

Cheesecake Factory Inc.

 

 

 

 

 

 

 

204,451

 

4,022

 

Starbucks Corporation

 

 

 

 

 

 

 

325,983

 

 

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

530,434

 

 

 

Household Durables – 0.0%

 

 

 

 

 

 

 

 

 

4,640

 

Brookfield Residential Properties Inc.,  (2)

 

 

 

 

 

 

 

102,451

 

 

 

Household Products – 0.0%

 

 

 

 

 

 

 

 

 

3,104

 

Procter & Gamble Company

 

 

 

 

 

 

 

250,648

 

 

 

Industrial Conglomerates – 0.1%

 

 

 

 

 

 

 

 

 

3,244

 

Danaher Corporation

 

 

 

 

 

 

 

233,860

 

12,691

 

General Electric Company

 

 

 

 

 

 

 

331,743

 

 

 

Total Industrial Conglomerates

 

 

 

 

 

 

 

565,603

 

 

 

Insurance – 0.1%

 

 

 

 

 

 

 

 

 

2,948

 

Allstate Corporation

 

 

 

 

 

 

 

156,421

 

10,274

 

American Equity Investment Life Holding Company

 

 

 

 

 

 

 

214,110

 

2,997

 

Argo Group International Holdings Inc.

 

 

 

 

 

 

 

125,814

 

760

 

Everest Reinsurance Group Ltd

 

 

 

 

 

 

 

116,842

 

6,864

 

Hartford Financial Services Group, Inc.

 

 

 

 

 

 

 

231,317

 

11,349

 

Hilltop Holdings Inc.,  (2)

 

 

 

 

 

 

 

196,792

 

2,689

 

MetLife, Inc.

 

 

 

 

 

 

 

127,217

 

11,852

 

Old Republic International Corporation

 

 

 

 

 

 

 

198,995

 

2,006

 

PartnerRe Limited

 

 

 

 

 

 

 

201,021

 

5,834

 

Primerica Inc.

 

 

 

 

 

 

 

250,570

 

 

 

Total Insurance

 

 

 

 

 

 

 

1,819,099

 

 

 

Internet & Catalog Retail – 0.0%

 

 

 

 

 

 

 

 

 

505

 

Amazon.com, Inc.,  (2)

 

 

 

 

 

 

 

183,835

 

160

 

priceline.com Incorporated,  (2)

 

 

 

 

 

 

 

168,613

 

 

 

Total Internet & Catalog Retail

 

 

 

 

 

 

 

352,448

 

 

 

Internet Software & Services – 0.1%

 

 

 

 

 

 

 

 

 

1760

 

eBay Inc., (2)

 

 

 

 

 

 

 

92,770

 

1,583

 

Facebook Inc., Class A Shares,  (2)

 

 

 

 

 

 

 

79,562

 

455

 

Google Inc., Class A,  (2)

 

 

 

 

 

 

 

468,914

 

 

 

Total Internet Software & Services

 

 

 

 

 

 

 

641,246

 

 

 

IT Services – 0.1%

 

 

 

 

 

 

 

 

 

864

 

Alliance Data Systems Corporation,  (2)

 

 

 

 

 

 

 

204,820

 

2,727

 

Amdocs Limited

 

 

 

 

 

 

 

104,853

 

4,715

 

Cardtronics Inc.,  (2)

 

 

 

 

 

 

 

185,064

 

4,883

 

CSG Systems International Inc.

 

 

 

 

 

 

 

136,040

 

10,223

 

Evertec Inc.

 

 

 

 

 

 

 

239,832

 

249

 

MasterCard, Inc.

 

 

 

 

 

 

 

178,558

 

3,722

 

Vantiv Inc.,  (2)

 

 

 

 

 

 

 

102,355

 

5,970

 

VeriFone Holdings Inc.,  (2)

 

 

 

 

 

 

 

135,280

 

874

 

Visa Inc.

 

 

 

 

 

 

 

171,890

 

2,016

 

WEX Inc.,  (2)

 

 

 

 

 

 

 

188,194

 

 

 

Total IT Services

 

 

 

 

 

 

 

1,646,886

 

 

 

Leisure Equipment & Products – 0.0%

 

 

 

 

 

 

 

 

 

3,554

 

Brunswick Corporation

 

 

 

 

 

 

 

160,392

 

 

 

Life Sciences Tools & Services – 0.0%

 

 

 

 

 

 

 

 

 

1,622

 

Thermo Fisher Scientific, Inc.

 

 

 

 

 

 

 

158,599

 

 

 

Machinery – 0.1%

 

 

 

 

 

 

 

 

 

4,737

 

Actuant Corporation

 

 

 

 

 

 

 

177,922

 

6,164

 

Barnes Group Inc.

 

 

 

 

 

 

 

219,069

 

764

 

Cummins Inc.

 

 

 

 

 

 

 

97,043

 

5,135

 

John Bean Technologies Corporation

 

 

 

 

 

 

 

139,569

 

23,812

 

Meritor Inc.,  (2)

 

 

 

 

 

 

 

163,588

 

18,336

 

Mueller Water Products Inc.

 

 

 

 

 

 

 

157,140

 

4,356

 

Sun Hydraulics Corporation

 

 

 

 

 

 

 

172,846

 

 

 

Total Machinery

 

 

 

 

 

 

 

1,127,177

 

 

 

Media – 0.2%

 

 

 

 

 

 

 

 

 

4,135

 

Comcast Corporation, Class A

 

 

 

 

 

 

 

196,743

 

25,853

 

Cumulus Media, Inc.,  (2)

 

 

 

 

 

 

 

154,601

 

1,042

 

Liberty Global PLC Class A,  (2)

 

 

 

 

 

 

 

81,662

 

8,219

 

Liberty Media Corporation, Liberty Capital Class A Tracking Stock,  (2)

 

 

 

 

 

247,803

 

22,352

 

Tribune Company,  (2)

 

 

 

 

 

 

 

1,496,466

 

17,987

 

Tribune Company, (3)

 

 

 

 

 

 

 

 

2,791

 

Viacom Inc., Class B

 

 

 

 

 

 

 

232,462

 

2,754

 

Walt Disney Company

 

 

 

 

 

 

 

188,897

 

 

 

Total Media

 

 

 

 

 

 

 

2,598,634

 

 

 

Metals & Mining – 0.0%

 

 

 

 

 

 

 

 

 

1,818

 

Kaiser Aluminum Corporation

 

 

 

 

 

 

 

122,624

 

4,341

 

SunCoke Energy Inc.,  (2)

 

 

 

 

 

 

 

86,820

 

 

 

Total Metals & Mining

 

 

 

 

 

 

 

209,444

 

 

 

Multi-Utilities – 0.0%

 

 

 

 

 

 

 

 

 

1,939

 

DTE Energy Company

 

 

 

 

 

 

 

134,062

 

7,684

 

Public Service Enterprise Group Incorporated

 

 

 

 

 

 

 

257,414

 

2,378

 

Wisconsin Energy Corporation

 

 

 

 

 

 

 

100,138

 

 

 

Total Multi-Utilities

 

 

 

 

 

 

 

491,614

 

 

 

Oil, Gas & Consumable Fuels – 0.2%

 

 

 

 

 

 

 

 

 

3,076

 

Cabot Oil & Gas Corporation

 

 

 

 

 

 

 

108,644

 

2,754

 

Carrizo Oil & Gas, Inc.,  (2)

 

 

 

 

 

 

 

120,735

 

2,619

 

Chevron Corporation

 

 

 

 

 

 

 

314,175

 

5,461

 

Crosstex Energy, Inc.

 

 

 

 

 

 

 

167,598

 

5,599

 

Energy XXI Limited Bermuda

 

 

 

 

 

 

 

162,707

 

1,304

 

EOG Resources, Inc.

 

 

 

 

 

 

 

232,634

 

5,152

 

Exxon Mobil Corporation

 

 

 

 

 

 

 

461,722

 

1,801

 

Noble Energy, Inc.

 

 

 

 

 

 

 

134,949

 

4,094

 

Oasis Petroleum Inc.,  (2)

 

 

 

 

 

 

 

218,006

 

2,412

 

Phillips 66

 

 

 

 

 

 

 

155,405

 

1,953

 

SemGroup Corporation, A Shares

 

 

 

 

 

 

 

117,942

 

1,134

 

SM Energy Company

 

 

 

 

 

 

 

100,484

 

5,690

 

Stone Energy Corporation,  (2)

 

 

 

 

 

 

 

198,353

 

2,714

 

World Fuel Services Corporation

 

 

 

 

 

 

 

103,539

 

 

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

2,596,893

 

 

 

Paper & Forest Products – 0.0%

 

 

 

 

 

 

 

 

 

2,074

 

Clearwater Paper Corporation,  (2)

 

 

 

 

 

 

 

108,304

 

4,192

 

KapStone Paper and Packaging Corp.

 

 

 

 

 

 

 

217,816

 

 

 

Total Paper & Forest Products

 

 

 

 

 

 

 

326,120

 

 

 

Personal Products – 0.0%

 

 

 

 

 

 

 

 

 

8,643

 

Prestige Brands Holdings Inc.,  (2)

 

 

 

 

 

 

 

269,921

 

 

 

Pharmaceuticals – 0.1%

 

 

 

 

 

 

 

 

 

2,041

 

AbbVie Inc.

 

 

 

 

 

 

 

98,886

 

2,317

 

Actavis Inc.,  (2)

 

 

 

 

 

 

 

358,162

 

1,532

 

Jazz Pharmaceuticals, Inc.,  (2)

 

 

 

 

 

 

 

139,014

 

2,565

 

Johnson & Johnson

 

 

 

 

 

 

 

237,545

 

5,659

 

Merck & Company Inc.

 

 

 

 

 

 

 

255,164

 

4,872

 

Pfizer Inc.

 

 

 

 

 

 

 

149,473

 

2,782

 

Valeant Pharmaceuticals International,  (2)

 

 

 

 

 

 

 

294,113

 

8,966

 

Vivus, Inc.,  (2)

 

 

 

 

 

 

 

84,191

 

 

 

Total Pharmaceuticals

 

 

 

 

 

 

 

1,616,548

 

 

 

Real Estate Investment Trust – 0.1%

 

 

 

 

 

 

 

 

 

6,286

 

Chesapeake Lodging Trust

 

 

 

 

 

 

 

148,161

 

5,892

 

CyrusOne Inc.

 

 

 

 

 

 

 

114,835

 

10,795

 

iStar Financial Inc.,  (2)

 

 

 

 

 

 

 

136,341

 

37,887

 

New Residential Investment

 

 

 

 

 

 

 

250,433

 

1,425

 

Simon Property Group, Inc.

 

 

 

 

 

 

 

220,234

 

2,695

 

Sovran Self Storage Inc.

 

 

 

 

 

 

 

206,141

 

5,280

 

Tanger Factory Outlet Centers

 

 

 

 

 

 

 

184,008

 

 

 

Total Real Estate Investment Trust

 

 

 

 

 

 

 

1,260,153

 

 

 

Real Estate Management & Development – 0.0%

 

 

 

 

 

 

 

 

 

1,251

 

Altisource Portfolio Solutions SA,  (2)

 

 

 

 

 

 

 

196,757

 

6,850

 

Forestar Real Estate Group Inc.,  (2)

 

 

 

 

 

 

 

152,961

 

 

 

Total Real Estate Management & Development

 

 

 

 

 

 

 

349,718

 

 

 

Road & Rail – 0.1%

 

 

 

 

 

 

 

 

 

1,858

 

Genesee & Wyoming Inc.,  (2)

 

 

 

 

 

 

 

185,503

 

2,365

 

Norfolk Southern Corporation

 

 

 

 

 

 

 

203,437

 

1,385

 

Union Pacific Corporation

 

 

 

 

 

 

 

209,689

 

 

 

Total Road & Rail

 

 

 

 

 

 

 

598,629

 

 

 

Semiconductors & Equipment – 0.1%

 

 

 

 

 

 

 

 

 

10,125

 

Intel Corporation

 

 

 

 

 

 

 

247,354

 

3,856

 

Linear Technology Corporation

 

 

 

 

 

 

 

158,636

 

10,180

 

Rudolph Technologies,  (2)

 

 

 

 

 

 

 

107,908

 

21,579

 

Silicon Image, Inc.,  (2)

 

 

 

 

 

 

 

113,290

 

12,004

 

Spansion Inc., Class A,  (2)

 

 

 

 

 

 

 

143,688

 

 

 

Total Semiconductors & Equipment

 

 

 

 

 

 

 

770,876

 

 

 

Software – 0.2%

 

 

 

 

 

 

 

 

 

8,204

 

Allot Communications, Limited,  (2)

 

 

 

 

 

 

 

110,590

 

973

 

Ansys Inc.,  (2)

 

 

 

 

 

 

 

85,089

 

3,738

 

Cadence Design Systems, Inc.,  (2)

 

 

 

 

 

 

 

48,482

 

1,887

 

Check Point Software Technology Limited,  (2)

 

 

 

 

 

 

 

109,484

 

1,010

 

CommVault Systems, Inc.,  (2)

 

 

 

 

 

 

 

78,861

 

4,299

 

Comverse Incorporated,  (2)

 

 

 

 

 

 

 

135,762

 

3,006

 

Manhattan Associates Inc.,  (2)

 

 

 

 

 

 

 

320,169

 

12,060

 

Mentor Graphics Corporation

 

 

 

 

 

 

 

266,285

 

11,919

 

Microsoft Corporation

 

 

 

 

 

 

 

421,337

 

3,950

 

Oracle Corporation

 

 

 

 

 

 

 

132,325

 

6,426

 

Parametric Technology Corporation,  (2)

 

 

 

 

 

 

 

178,129

 

1,940

 

Synchronoss Technologies, Inc.,  (2)

 

 

 

 

 

 

 

67,163

 

 

 

Total Software

 

 

 

 

 

 

 

1,953,676

 

 

 

Specialty Retail – 0.1%

 

 

 

 

 

 

 

 

 

6,051

 

Big 5 Sporting Goods Corporation

 

 

 

 

 

 

 

114,424

 

4,788

 

CST Brands Inc.

 

 

 

 

 

 

 

154,365

 

3,956

 

Home Depot, Inc.

 

 

 

 

 

 

 

308,133

 

4,257

 

Kirkland’s, Inc.,  (2)

 

 

 

 

 

 

 

75,562

 

4,337

 

Lithia Motors Inc.

 

 

 

 

 

 

 

272,580

 

1,390

 

Lumber Liquidators Inc.,  (2)

 

 

 

 

 

 

 

158,724

 

1,950

 

O’Reilly Automotive Inc.,  (2)

 

 

 

 

 

 

 

241,430

 

2,668

 

PetSmart Inc.

 

 

 

 

 

 

 

194,124

 

2,378

 

Signet Jewelers Limited

 

 

 

 

 

 

 

177,541

 

5,732

 

Zale Corporation,  (2)

 

 

 

 

 

 

 

89,591

 

 

 

Total Specialty Retail

 

 

 

 

 

 

 

1,786,474

 

 

 

Textiles, Apparel & Luxury Goods – 0.1%

 

 

 

 

 

 

 

 

 

4,379

 

Fifth & Pacific Companies Inc.,  (2)

 

 

 

 

 

 

 

116,000

 

1,383

 

Michael Kors Holdings Limited,  (2)

 

 

 

 

 

 

 

106,422

 

3,776

 

Movado Group Inc.

 

 

 

 

 

 

 

176,075

 

11,006

 

Quiksilver Inc.,  (2)

 

 

 

 

 

 

 

91,570

 

2,885

 

Wolverine World Wide Inc.

 

 

 

 

 

 

 

166,580

 

 

 

Total Textiles, Apparel & Luxury Goods

 

 

 

 

 

 

 

656,647

 

 

 

Thrifts & Mortgage Finance – 0.1%

 

 

 

 

 

 

 

 

 

4,811

 

First Defiance Financial Corporation

 

 

 

 

 

 

 

124,220

 

4,526

 

Nationstar Mortgage Holdings, Incorporated,  (2)

 

 

 

 

 

 

 

232,274

 

10,123

 

Ocwen Financial Corporation,  (2)

 

 

 

 

 

 

 

569,216

 

7,599

 

Oritani Financial Corporation

 

 

 

 

 

 

 

123,256

 

12,365

 

PennyMac Financial Services Inc.,  (2)

 

 

 

 

 

 

 

199,077

 

12,924

 

TFS Financial Corporation,  (2)

 

 

 

 

 

 

 

156,897

 

 

 

Total Thrifts & Mortgage Finance

 

 

 

 

 

 

 

1,404,940

 

 

 

Tobacco – 0.0%

 

 

 

 

 

 

 

 

 

3,807

 

Altria Group, Inc.

 

 

 

 

 

 

 

141,735

 

1,655

 

Reynolds American Inc.

 

 

 

 

 

 

 

85,017

 

3,953

 

Universal Corporation

 

 

 

 

 

 

 

209,628

 

 

 

Total Tobacco

 

 

 

 

 

 

 

436,380

 

 

 

Trading Companies & Distributors – 0.0%

 

 

 

 

 

 

 

 

 

6,821

 

H&E Equipment Services, Inc.,  (2)

 

 

 

 

 

 

 

170,729

 

2,232

 

Watsco Inc.

 

 

 

 

 

 

 

212,680

 

 

 

Total Trading Companies & Distributors

 

 

 

 

 

 

 

383,409

 

 

 

Total Common Stocks (cost $34,364,342)

 

 

 

 

 

 

 

42,028,565

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity (5)

 

Ratings (4)

 

Value

 

 

 

Variable Rate Senior Loan Interests – 96.6% (67.7% of Total Investments) (6)

 

 

 

 

 

 

 

Aerospace & Defense – 0.1%

 

 

 

 

 

 

 

 

 

$       1,509

 

Hamilton Sundstrand, Term Loan, First Lien

 

4.000%

 

12/13/19

 

B+ 

 

$     1,509,343

 

 

 

Airlines – 3.8%

 

 

 

 

 

 

 

 

 

7,481

 

American Airlines, Inc., Exit Term Loan

 

4.750%

 

6/27/19

 

Baa2 

 

7,542,035

 

16,873

 

Delta Air Lines, Inc., Term Loan B1

 

4.000%

 

10/18/18

 

Ba1 

 

16,972,048

 

27,463

 

Delta Air Lines, Inc., Term Loan B

 

4.250%

 

4/20/17

 

Ba1 

 

27,639,377

 

51,817

 

Total Airlines

 

 

 

 

 

 

 

52,153,460

 

 

 

Auto Components – 1.5%

 

 

 

 

 

 

 

 

 

4,449

 

Federal-Mogul Corporation, Tranche B, Term Loan

 

2.118%

 

12/29/14

 

B1 

 

4,410,873

 

3,078

 

Federal-Mogul Corporation, Tranche C, Term Loan

 

2.118%

 

12/28/15

 

B1 

 

3,051,848

 

12,841

 

Schaeffler AG, Term Loan C

 

4.250%

 

1/27/17

 

Ba2 

 

12,938,848

 

107

 

Tomkins, LLC / Tomkins, Inc., Term Loan B2

 

3.750%

 

9/29/16

 

BB 

 

107,474

 

20,475

 

Total Auto Components

 

 

 

 

 

 

 

20,509,043

 

 

 

Automobiles – 1.9%

 

 

 

 

 

 

 

 

 

25,830

 

Chrysler Group LLC, Term Loan B

 

4.250%

 

5/24/17

 

Ba1 

 

26,097,010

 

 

 

Biotechnology – 0.4%

 

 

 

 

 

 

 

 

 

5,665

 

Grifols, Inc., Term Loan

 

4.250%

 

6/01/17

 

Ba1 

 

5,716,233

 

 

 

Capital Markets – 0.4%

 

 

 

 

 

 

 

 

 

5,553

 

Walter Investment Management Corporation, Tranche B, Term Loan

5.750%

 

11/28/17

 

B+ 

 

5,617,811

 

 

 

Chemicals – 2.8%

 

 

 

 

 

 

 

 

 

13,663

 

Ineos US Finance LLC, Term Loan, First Lien

 

4.000%

 

5/04/18

 

BB- 

 

13,724,688

 

25,359

 

Univar, Inc., Term Loan

 

5.000%

 

6/30/17

 

B+ 

 

24,986,629

 

39,022

 

Total Chemicals

 

 

 

 

 

 

 

38,711,317

 

 

 

Commercial Services & Supplies – 0.8%

 

 

 

 

 

 

 

 

 

9,583

 

Aramark Corporation, Term Loan, Tranche D

 

4.000%

 

9/09/19

 

BB- 

 

9,625,212

 

1,725

 

CCS Income Trust, Term Loan, First Lien

 

6.250%

 

5/12/18

 

B2 

 

1,729,140

 

11,308

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

11,354,352

 

 

 

Communications Equipment – 1.4%

 

 

 

 

 

 

 

 

 

3,970

 

Alcatel-Lucent, Inc., Term Loan C

 

5.750%

 

1/30/19

 

B+ 

 

4,034,203

 

15,085

 

Telesat Canada Inc., Term Loan B

 

3.500%

 

3/28/19

 

Ba2 

 

15,141,639

 

19,055

 

Total Communications Equipment

 

 

 

 

 

 

 

19,175,842

 

 

 

Computers & Peripherals – 1.9%

 

 

 

 

 

 

 

 

 

26,000

 

Dell Inc., Term Loan B, DD1

 

4.500%

 

4/30/20

 

BB+ 

 

25,881,388

 

 

 

Consumer Finance – 0.7%

 

 

 

 

 

 

 

 

 

9,158

 

Royalty Pharma Finance Trust, Incremental Term Loan

 

4.000%

 

11/09/18

 

Baa2 

 

9,211,594

 

 

 

Containers & Packaging – 1.6%

 

 

 

 

 

 

 

 

 

22,599

 

Reynolds Group Holdings, Inc., Term Loan

 

4.750%

 

9/28/18

 

B+ 

 

22,809,860

 

 

 

Distributors – 1.5%

 

 

 

 

 

 

 

 

 

20,738

 

HD Supply, Inc., Term Loan B

 

4.500%

 

10/12/17

 

B+ 

 

20,869,992

 

 

 

Diversified Consumer Services – 6.5%

 

 

 

 

 

 

 

 

 

15,777

 

Cengage Learning Acquisitions, Inc., Term Loan, (7)

 

4.750%

 

7/03/14

 

 

11,543,532

 

9,978

 

Ceridian Corporation, New Replacement Term Loan

 

4.420%

 

8/14/15

 

B1 

 

10,033,199

 

40,000

 

Hilton Hotels Corporation, Term Loan B2, DD1

 

4.000%

 

10/25/20

 

BB 

 

40,277,520

 

27,796

 

Laureate Education, Inc., Term Loan B, DD1

 

5.000%

 

6/18/18

 

B1 

 

28,016,194

 

93,551

 

Total Diversified Consumer Services

 

 

 

 

 

 

 

89,870,445

 

 

 

Diversified Financial Services – 1.9%

 

 

 

 

 

 

 

 

 

1,374

 

NPC International, Inc., Term Loan B

 

4.500%

 

12/28/18

 

Ba3 

 

1,388,077

 

3,980

 

Ocwen Financial Corporation,  Term Loan B

 

5.000%

 

2/15/18

 

B1 

 

4,029,252

 

20,895

 

WideOpenWest Finance LLC, Term Loan B

 

4.750%

 

4/01/19

 

B1 

 

21,081,760

 

26,249

 

Total Diversified Financial Services

 

 

 

 

 

 

 

26,499,089

 

 

 

Diversified Other – 0.4%

 

 

 

 

 

 

 

 

 

6,000

 

Rexnord LLC, Term Loan B

 

4.000%

 

8/21/20

 

B+ 

 

6,015,936

 

 

 

Diversified Telecommunication Services – 1.5%

 

 

 

 

 

 

 

 

 

20,440

 

IntelSat Jackson Holding Ltd., Term Loan B1

 

0.000%

 

4/02/18

 

BB- 

 

20,578,697

 

 

 

Food & Staples Retailing – 1.2%

 

 

 

 

 

 

 

 

 

8,129

 

Albertson’s LLC, Term Loan B1

 

4.250%

 

3/21/16

 

BB- 

 

8,157,132

 

5,304

 

Albertson’s LLC, Term Loan B2

 

4.750%

 

3/21/19

 

BB- 

 

5,322,437

 

500

 

BJ Wholesale Club, Inc., Term Loan, Second Lien

 

9.750%

 

3/26/20

 

CCC 

 

511,771

 

1,986

 

Supervalu, Inc., New Term Loan B

 

5.000%

 

3/21/19

 

B+ 

 

2,001,506

 

15,919

 

Total Food & Staples Retailing

 

 

 

 

 

 

 

15,992,846

 

 

 

Food Products – 4.9%

 

 

 

 

 

 

 

 

 

993

 

AdvancePierre Foods, Inc., Term Loan, First Lien

 

5.750%

 

7/10/17

 

B1 

 

1,000,358

 

9,000

 

AdvancePierre Foods, Inc., Term Loan, Second Lien

 

9.500%

 

10/10/17

 

CCC+ 

 

9,146,250

 

1,986

 

Del Monte Foods Company, Term Loan B

 

4.000%

 

3/01/18

 

B1 

 

1,991,819

 

33,217

 

H.J Heinz Company, Term Loan B2

 

3.500%

 

6/05/20

 

BB 

 

33,505,370

 

22,903

 

US Foods, Inc., Incremental Term Loan, DD1

 

4.500%

 

3/29/19

 

B2 

 

22,963,303

 

68,099

 

Total Food Products

 

 

 

 

 

 

 

68,607,100

 

 

 

Health Care Equipment & Supplies – 5.4%

 

 

 

 

 

 

 

 

 

11,534

 

Hologic, Inc., Refinancing Term Loan, Tranche B

 

3.750%

 

8/01/19

 

BBB- 

 

11,615,551

 

2,000

 

Kinetic Concepts Inc., USD Term Loan D1

 

4.500%

 

5/04/18

 

Ba3 

 

2,018,750

 

8,843

 

Kinetic Concepts, Inc., Term Loan D1

 

4.500%

 

5/04/18

 

BB- 

 

8,926,136

 

7,900

 

Onex Carestream Finance LP, Term Loan, First Lien

 

5.000%

 

6/07/19

 

B+ 

 

7,988,875

 

12,000

 

Onex Carestream Finance LP, Term Loan, Second Lien

 

9.500%

 

12/07/19

 

B- 

 

12,075,000

 

32,754

 

United Surgical Partners International, Inc.,  Incremental Term Loan

4.750%

 

4/03/19

 

B1 

 

32,912,202

 

75,031

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

75,536,514

 

 

 

Health Care Providers & Services – 4.1%

 

 

 

 

 

 

 

 

 

2,678

 

Select Medical Corporation, Term Loan B

 

4.001%

 

6/01/18

 

Ba2 

 

2,694,647

 

1,628

 

Community Health Systems, Inc., Extended Term Loan

 

3.760%

 

1/25/17

 

BB 

 

1,635,586

 

13,895

 

DaVita, Inc., New Term Loan B2

 

4.000%

 

11/01/19

 

Ba2 

 

13,989,291

 

25,040

 

Golden Living, Term Loan

 

5.000%

 

5/04/18

 

 

24,226,150

 

371

 

HCA, Inc., Tranche B5, Term Loan

 

2.998%

 

3/31/17

 

BB 

 

372,385

 

13,858

 

National Mentor Holdings, Inc., Term Loan B

 

6.500%

 

2/09/17

 

B+ 

 

13,987,686

 

57,470

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

56,905,745

 

 

 

Hotels, Restaurants & Leisure – 5.6%

 

 

 

 

 

 

 

 

 

2,947

 

24 Hour Fitness Worldwide, Inc., Term Loan B

 

5.250%

 

4/22/16

 

Ba3 

 

2,977,680

 

176

 

Venetian Casino Resort LLC, Delayed Term Loan

 

2.670%

 

11/23/16

 

BBB- 

 

175,569

 

230

 

Venetian Casino Resort LLC, Tranche B, Term Loan

 

2.670%

 

11/23/16

 

BBB- 

 

229,787

 

33,499

 

Caesars Entertainment Operating Company, Inc., Term Loan B6

 

5.488%

 

1/28/18

 

B- 

 

31,526,432

 

1,899

 

CCM Merger, Inc., Term Loan

 

5.000%

 

3/01/17

 

B+ 

 

1,917,555

 

10,054

 

Landry’s Restaraunts, Inc., Term Loan B

 

4.750%

 

4/24/18

 

BB- 

 

10,145,749

 

3,459

 

MGM Resorts International, Term Loan B

 

3.500%

 

12/20/19

 

BB 

 

3,463,471

 

9,000

 

Scientific Games International, Term Loan B

 

4.250%

 

10/18/20

 

Ba2 

 

9,024,912

 

17,910

 

Station Casino LLC, Term Loan B

 

5.000%

 

3/02/20

 

B1 

 

18,092,754

 

79,174

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

77,553,909

 

 

 

Household Durables – 1.7%

 

 

 

 

 

 

 

 

 

13,193

 

AOT Bedding Super Holdings LLC, Term Loan B

 

5.000%

 

10/01/19

 

B+ 

 

13,308,079

 

10,669

 

Sun Products Corporation, Term Loan

 

5.500%

 

3/23/20

 

B1 

 

10,304,810

 

23,862

 

Total Household Durables

 

 

 

 

 

 

 

23,612,889

 

 

 

Industrial Conglomerates – 0.6%

 

 

 

 

 

 

 

 

 

7,948

 

DuPont Performance Coatings, Dollar Term Loan B

 

4.750%

 

2/03/20

 

B+ 

 

8,040,668

 

 

 

Insurance – 1.7%

 

 

 

 

 

 

 

 

 

11,000

 

Hub International Limited, Term Loan B

 

4.750%

 

10/02/20

 

B1 

 

11,065,318

 

7,940

 

USI Holdings Corporation, Term Loan B

 

5.000%

 

12/27/19

 

B1 

 

7,987,640

 

4,798

 

Vantage Drilling Company, Term Loan B

 

6.250%

 

10/25/17

 

B- 

 

4,826,089

 

23,738

 

Total Insurance

 

 

 

 

 

 

 

23,879,047

 

 

 

Internet & Catalog Retail – 0.6%

 

 

 

 

 

 

 

 

 

8,299

 

Burlington Coat Factory Warehouse Corporation, Term Loan B2

 

4.250%

 

2/16/17

 

BB- 

 

8,351,307

 

 

 

Internet Software & Services – 1.9%

 

 

 

 

 

 

 

 

 

26,798

 

Sabre, Inc.,  Term Loan B

 

5.250%

 

2/19/19

 

B1 

 

27,089,405

 

 

 

IT Services – 1.8%

 

 

 

 

 

 

 

 

 

3,500

 

First Data Corporation, Extended Term Loan

 

4.170%

 

3/23/18

 

B+ 

 

3,510,210

 

5,091

 

SRA International, Term Loan

 

6.500%

 

7/20/18

 

B1 

 

5,014,428

 

5,473

 

SunGard Data Systems, Inc., Term Loan E

 

4.000%

 

3/08/20

 

BB 

 

5,526,371

 

10,270

 

Zayo Group LLC, Term Loan B

 

4.500%

 

7/02/19

 

B1 

 

10,337,402

 

24,334

 

Total IT Services

 

 

 

 

 

 

 

24,388,411

 

 

 

Leisure Equipment & Products – 0.5%

 

 

 

 

 

 

 

 

 

7,543

 

Bombardier Recreational Products, Inc., Term Loan

 

4.000%

 

1/30/19

 

B+ 

 

7,585,286

 

 

 

Machinery – 0.1%

 

 

 

 

 

 

 

 

 

850

 

Gardner Denver, Inc., Term Loan

 

4.250%

 

7/30/20

 

B1 

 

851,401

 

 

 

Media – 8.4%

 

 

 

 

 

 

 

 

 

8,310

 

Acquisitions Cogeco Cable II L.P., Term Loan B

 

3.250%

 

11/30/19

 

BB 

 

8,315,289

 

10,985

 

Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan, (7)

7.750%

 

7/04/17

 

 

8,028,449

 

568

 

Charter Communications Operating Holdings LLC, Term Loan F

 

3.000%

 

12/31/20

 

Baa3 

 

563,936

 

3,535

 

Clear Channel Communications, Inc., Tranche D, Term Loan

 

6.918%

 

1/30/19

 

CCC+ 

 

3,390,430

 

14,529

 

Cumulus Media, Inc., Term Loan B, First Lien

 

4.500%

 

9/18/18

 

Ba2 

 

14,659,523

 

11,649

 

Cumulus Media, Inc., Term Loan, Second Lien

 

7.500%

 

9/16/19

 

B3 

 

11,958,489

 

34,462

 

EMI Music Publishing LLC, Term Loan B

 

4.250%

 

6/29/18

 

BB- 

 

34,735,212

 

6,000

 

Springer Science & Business Media, Inc., Term Loan, DD1

 

5.000%

 

8/14/20

 

 

6,007,500

 

18,858

 

Tribune Company, Exit Term Loan B

 

4.000%

 

12/31/19

 

BB+ 

 

18,895,121

 

4,356

 

Univision Communications, Inc., Term Loan C1

 

4.500%

 

3/01/20

 

B+ 

 

4,377,572

 

6,000

 

UPC Broadband Holding BV, Term Loan AF

 

4.000%

 

1/31/21

 

BB- 

 

6,048,750

 

119,252

 

Total Media

 

 

 

 

 

 

 

116,980,271

 

 

 

Multiline Retail – 1.3%

 

 

 

 

 

 

 

 

 

18,000

 

Hudsons Bay Company, Term Loan B, WI/DD

 

TBD

 

TBD

 

BB 

 

18,261,000

 

 

 

Multi-Utilities – 0.7%

 

 

 

 

 

 

 

 

 

9,925

 

ADS Waste Holdings, Inc., Term Loan B

 

4.250%

 

8/05/19

 

B+ 

 

10,000,470

 

 

 

Oil, Gas & Consumable Fuels – 3.2%

 

 

 

 

 

 

 

 

 

4,572

 

Crestwood Holdings LLC, Term Loan B

 

7.000%

 

6/19/19

 

 

4,684,532

 

9,975

 

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

 

6.000%

 

3/31/21

 

B+ 

 

10,152,685

 

3,750

 

Fieldwood Energy LLC, Term Loan, First Lien

 

3.875%

 

9/28/18

 

Ba2 

 

3,783,971

 

10,000

 

Fieldwood Energy LLC, Term Loan, Second Lien

 

8.375%

 

9/30/20

 

B2 

 

10,194,790

 

2,917

 

Samson Investment Company, Initial Term Loan, Second Lien

 

6.000%

 

9/25/18

 

B1 

 

2,946,746

 

11,940

 

Vantage Drilling Company, Term Loan B

 

5.750%

 

3/28/19

 

B- 

 

12,084,271

 

43,154

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

43,846,995

 

 

 

Personal Products – 0.1%

 

 

 

 

 

 

 

 

 

1,065

 

Prestige Brands, Inc., Term Loan B1

 

3.779%

 

1/31/19

 

BB- 

 

1,073,630

 

 

 

Pharmaceuticals – 5.9%

 

 

 

 

 

 

 

 

 

34,886

 

Pharmaceutical Product Development, Inc., Term Loan B, First Lien

 

4.250%

 

12/01/18

 

Ba3 

 

35,180,001

 

4,594

 

Quintiles Transnational Corp., Term Loan B1

 

4.500%

 

6/08/18

 

BB- 

 

4,599,746

 

8,216

 

Quintiles Transnational Corp., Term Loan B2

 

4.000%

 

6/08/18

 

BB- 

 

8,257,466

 

22,246

 

Valeant Pharmaceuticals International, Inc., Term Loan E

 

4.500%

 

8/05/20

 

Ba1 

 

22,568,194

 

9,875

 

Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan C2

3.750%

 

12/11/19

 

BBB- 

 

9,970,669

 

1,481

 

Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan D2

3.750%

 

2/13/19

 

BBB- 

 

1,495,600

 

81,298

 

Total Pharmaceuticals

 

 

 

 

 

 

 

82,071,676

 

 

 

Real Estate Investment Trust – 3.0%

 

 

 

 

 

 

 

 

 

32,355

 

iStar Financial, Inc., Term Loan, Tranche A2, First Lien

 

7.000%

 

3/19/17

 

BB- 

 

33,356,189

 

8,008

 

iStar Financial, Inc., Term Loan

 

4.500%

 

10/15/17

 

BB- 

 

8,060,343

 

40,363

 

Total Real Estate Investment Trust

 

 

 

 

 

 

 

41,416,532

 

 

 

Real Estate Management & Development – 2.6%

 

 

 

 

 

 

 

 

 

22,361

 

Capital Automotive LP, Term Loan, Tranche B1

 

4.000%

 

4/10/19

 

Ba2 

 

22,507,491

 

13,433

 

Realogy Corporation, Term Loan B

 

4.500%

 

3/05/20

 

BB- 

 

13,586,410

 

35,794

 

Total Real Estate Management & Development

 

 

 

 

 

 

 

36,093,901

 

 

 

Semiconductors & Equipment – 1.6%

 

 

 

 

 

 

 

 

 

20,895

 

Freescale Semiconductor, Inc., Term Loan, Tranche B4

 

5.000%

 

2/28/20

 

B1 

 

21,114,293

 

975

 

NXP Semiconductor LLC, Term Loan

 

4.500%

 

3/03/17

 

Ba3 

 

987,797

 

21,870

 

Total Semiconductors & Equipment

 

 

 

 

 

 

 

22,102,090

 

 

 

Software – 9.3%

 

 

 

 

 

 

 

 

 

4,500

 

Activision Blizzard, Inc., Term Loan B

 

3.250%

 

10/12/20

 

BBB 

 

4,518,882

 

5,856

 

Blackboard, Inc., Term Loan B2

 

6.250%

 

10/04/18

 

B+ 

 

5,903,157

 

4,000

 

BMC Software Inc., First Lien Term Loan

 

5.000%

 

9/10/20

 

B+ 

 

4,045,832

 

29,970

 

Datatel Parent Corp, Term Loan B

 

4.500%

 

7/19/18

 

B+ 

 

30,245,123

 

17,366

 

Emdeon Business Services LLC, Term Loan B2

 

3.750%

 

11/02/18

 

BB- 

 

17,445,348

 

20,435

 

Infor Enterprise Applications, Term Loan B

 

5.250%

 

4/05/18

 

Ba3 

 

20,626,263

 

790

 

IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien

 

7.750%

 

7/31/17

 

B1 

 

774,106

 

6,365

 

IPC Systems, Inc., Term Loan, Second Lien

 

5.418%

 

6/01/15

 

CCC 

 

5,458,231

 

10,000

 

Kronos Incorporated, Initial Term Loan, Second Lien

 

9.750%

 

4/30/20

 

CCC+ 

 

10,341,670

 

15,000

 

Misys PLC,  Term Loan, Second Lien

12.000%

 

6/12/19

 

Caa1 

 

17,306,250

 

2,382

 

RedPrairie Corporation, Term Loan, First Lien

 

6.750%

 

12/21/18

 

B+ 

 

2,406,882

 

10,000

 

Vertafore, Inc., Term Loan, Second Lien

 

9.750%

 

10/29/17

 

CCC+ 

 

10,210,000

 

126,664

 

Total Software

 

 

 

 

 

 

 

129,281,744

 

 

 

Specialty Retail – 0.2%

 

 

 

 

 

 

 

 

 

1,750

 

Jo-Ann Stores, Inc., Term Loan, First Lien

 

4.000%

 

3/16/18

 

B+ 

 

1,751,901

 

2,906

 

Michaels Stores, Inc. Term Loan, First Lien

 

3.750%

 

1/28/20

 

BB- 

 

2,919,554

 

4,656

 

Total Specialty Retail

 

 

 

 

 

 

 

4,671,455

 

 

 

Wireless Telecommunication Services – 1.1%

 

 

 

 

 

 

 

 

 

2,863

 

Clear Channel Communications, Inc., Tranche B, Term Loan

 

3.818%

 

1/29/16

 

CCC+ 

 

2,783,633

 

10,471

 

Cricket Communications, Inc., Term Loan C

 

4.750%

 

3/08/20

 

Ba3 

 

10,535,110

 

1,485

 

IPC Systems, Inc., Term Loan, Tranche C, First Lien

 

7.750%

 

7/31/17

 

B1 

 

1,455,595

 

14,819

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

14,774,338

 

$  1,340,894

 

Total Variable Rate Senior Loan Interests (cost $1,325,152,958)

 

 

 

1,341,550,042

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

Corporate Bonds – 31.6% (22.1% of Total Investments)

 

 

 

 

 

 

 

 

Chemicals – 0.5%

 

 

 

 

 

 

 

 

 

$        7,500

 

Hexion US Finance, 144A

 

6.625%

 

4/15/20

 

Ba3 

 

$     7,612,500

 

 

 

Commercial Services & Supplies – 2.0%

 

 

 

 

 

 

 

 

 

6,000

 

ABX Group Inc.

 

6.375%

 

12/01/19

 

Baa3

 

5,977,500

 

10,000

 

Ceridian Corporation, 144A

 

8.875%

 

7/15/19

 

B1 

 

11,575,000

 

1,078

 

Ceridian Corporation

 

12.250%

 

11/15/15

 

CCC 

 

1,084,738

 

8,500

 

Ceridian Corporation

 

11.250%

 

11/15/15

 

CCC 

 

8,553,125

 

25,578

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

27,190,363

 

 

 

Distributors – 1.3%

 

 

 

 

 

 

 

 

 

14,650

 

HD Supply Inc., 144A

 

11.500%

 

7/15/20

 

CCC+ 

 

17,671,563

 

 

 

Diversified Consumer Services – 0.3%

 

 

 

 

 

 

 

 

 

3,900

 

NES Rental Holdings Inc., 144A

 

7.875%

 

5/01/18

 

CCC+ 

 

4,095,000

 

 

 

Diversified Telecommunication Services – 1.8%

 

 

 

 

 

 

 

 

 

21,352

 

Level 3 Communications Inc.

 

11.875%

 

2/01/19

 

B- 

 

24,768,320

 

 

 

Electronic Equipment & Instruments – 0.1%

 

 

 

 

 

 

 

 

 

1,200

 

Kemet Corporation

 

10.500%

 

5/01/18

 

B- 

 

1,161,000

 

 

 

Food & Staples Retailing – 0.3%

 

 

 

 

 

 

 

 

 

4,000

 

U.S. Foodservice

 

8.500%

 

6/30/19

 

CCC+ 

 

4,290,000

 

 

 

Health Care Equipment & Supplies – 5.2%

 

 

 

 

 

 

 

 

 

2,232

 

Apria Healthcare Group Inc.

 

12.375%

 

11/01/14

 

B- 

 

2,243,160

 

1,000

 

Convatec Finance International SA, 144A

 

8.250%

 

1/15/19

 

B- 

 

1,031,250

 

18,300

 

Kinetic Concepts

 

10.500%

 

11/01/18

 

B- 

 

20,633,250

 

19,000

 

Kinetic Concepts

 

12.500%

 

11/01/19

 

CCC+ 

 

20,472,500

 

25,460

 

Tenet Healthcare Corporation, 144A

 

8.125%

 

4/01/22

 

B3 

 

27,878,700

 

65,992

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

72,258,860

 

 

 

Health Care Providers & Services – 3.0%

 

 

 

 

 

 

 

 

 

450

 

Capella Healthcare Inc.

 

9.250%

 

7/01/17

 

 

483,188

 

2,500

 

HCA Inc.

 

8.500%

 

4/15/19

 

BB+ 

 

2,684,375

 

5,000

 

HCA Inc.

 

7.500%

 

2/15/22

 

BB- 

 

5,618,750

 

23,525

 

Iasis Healthcare Capital Corporation

 

8.375%

 

5/15/19

 

CCC+ 

 

24,936,500

 

7,000

 

Tenet Healthcare Corporation, 144A

 

6.000%

 

10/01/20

 

BB 

 

7,402,500

 

38,475

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

41,125,313

 

 

 

Hotels, Restaurants & Leisure – 0.3%

 

 

 

 

 

 

 

 

 

2,250

 

Harrah’s Operating Company, Inc.

 

11.250%

 

6/01/17

 

B- 

 

2,244,375

 

2,000

 

MGM Resorts International Inc.

 

7.750%

 

3/15/22

 

B+ 

 

2,265,000

 

4,250

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

4,509,375

 

 

 

Insurance – 0.7%

 

 

 

 

 

 

 

 

 

10,000

 

Hockey Merger Sub 2 Inc., 144A

 

7.875%

 

10/01/21

 

CCC+ 

 

10,325,000

 

 

 

Media – 6.4%

 

 

 

 

 

 

 

 

 

25,179

 

Clear Channel Communications, Inc.

 

11.000%

 

8/01/16

 

CCC- 

 

24,361,159

 

10,609

 

Clear Channel Communications, Inc.

 

9.000%

 

12/15/19

 

CCC+ 

 

10,768,135

 

300

 

Clear Channel Communications, Inc.

 

9.000%

 

3/01/21

 

CCC+ 

 

302,250

 

10,000

 

McGraw-Hill Global Education Holdings, 144A

 

9.750%

 

4/01/21

 

BB 

 

10,800,000

 

22,750

 

WideOpenWest Finance Capital Corporation, 144A

 

10.250%

 

7/15/19

 

CCC+ 

 

25,138,750

 

14,950

 

WMG Acquisition Group

 

11.500%

 

10/01/18

 

 

17,285,938

 

83,788

 

Total Media

 

 

 

 

 

 

 

88,656,232

 

 

 

Oil, Gas & Consumable Fuels – 1.5%

 

 

 

 

 

 

 

 

 

5,000

 

Oasis Petroleum Inc., 144A

 

6.875%

 

3/15/22

 

 

5,400,000

 

2,000

 

Oasis Petroleum Inc.

 

6.875%

 

1/15/23

 

 

2,170,000

 

13,000

 

Sandridge Energy Inc.

 

7.500%

 

2/15/23

 

 

 

13,487,500

 

20,000

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

21,057,500

 

 

 

Pharmaceuticals – 1.5%

 

 

 

 

 

 

 

 

 

1,775

 

Endo Pharmaceutical Holdings Inc.

 

7.000%

 

7/15/19

 

BB- 

 

1,894,813

 

3,350

 

Endo Pharmaceutical Holdings Inc.

 

7.250%

 

1/15/22

 

BB- 

 

3,567,750

 

9,000

 

Jaguar Holding Company I, 144A

 

9.375%

 

10/15/17

 

CCC+ 

 

9,540,000

 

5,000

 

VPII Escrow Corporation, 144A

 

7.500%

 

7/15/21

 

B1 

 

5,550,000

 

19,125

 

Total Pharmaceuticals

 

 

 

 

 

 

 

20,552,563

 

 

 

Semiconductors & Equipment – 0.1%

 

 

 

 

 

 

 

 

 

1,922

 

Freescale Semiconductor Inc.

 

9.250%

 

4/15/18

 

B1 

 

2,078,163

 

 

 

Software – 0.7%

 

 

 

 

 

 

 

 

 

2,000

 

Emdeon Inc.

 

11.000%

 

12/31/19

 

CCC+ 

 

2,300,000

 

3,000

 

Infor Us Inc.

 

11.500%

 

7/15/18

 

B- 

 

3,480,000

 

3,375

 

Infor Us Inc.

 

9.375%

 

4/01/19

 

B- 

 

3,813,750

 

8,375

 

Total Software

 

 

 

 

 

 

 

9,593,750

 

 

 

Specialty Retail – 1.4%

 

 

 

 

 

 

 

 

 

7,000

 

99 Cents Only Stores

 

11.000%

 

12/15/19

 

CCC+ 

 

7,875,000

 

9,500

 

Claires Stores, Inc., 144A

 

9.000%

 

3/15/19

 

B2 

 

10,616,250

 

1,200

 

Claires Stores, Inc.

 

10.500%

 

6/01/17

 

CCC 

 

1,239,000

 

17,700

 

Total Specialty Retail

 

 

 

 

 

 

 

19,730,250

 

 

 

Wireless Telecommunication Services – 4.5%

 

 

 

 

 

 

 

 

 

5,000

 

MetroPCS Wireless Inc., 144A

 

6.250%

 

4/01/21

 

BB 

 

5,231,250

 

15,000

 

MetroPCS Wireless Inc., 144A

 

6.625%

 

4/01/23

 

BB 

 

15,693,750

 

2,500

 

Sprint Corporation, 144A

 

7.250%

 

9/15/21

 

BB- 

 

2,693,750

 

32,000

 

Sprint Corporation, 144A

 

7.875%

 

9/15/23

 

BB- 

 

34,720,000

 

1,750

 

T-Mobile USA Inc.

 

6.731%

 

4/28/22

 

BB 

 

1,848,434

 

1,750

 

T-Mobile USA Inc.

 

6.836%

 

4/28/23

 

BB 

 

1,850,625

 

58,000

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

62,037,809

 

$   405,807

 

Total Corporate Bonds (cost $412,982,190)

 

 

 

 

 

 

 

438,713,561

 

 

 

Total Long-Term Investments (cost $1,772,499,490)

 

 

 

 

 

 

 

1,822,292,168

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

 

 

Value

 

 

 

Short-Term Investments – 11.5% (8.1% of Total Investments)

 

 

 

 

 

$   160,018

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/13, repurchase price $160,018,173, collateralized by: $26,415,000 U.S. Treasury Notes, 0.875%, due 7/31/19, value $25,494,596, $138,420,000 U.S. Treasury Notes, 0.250%, due 4/15/16, value $137,727,900

 

0.000%

 

11/01/14

 

 

 

$   160,018,173

 

 

 

Total Short-Term Investments (cost $160,018,173)

 

 

 

 

 

 

 

160,018,173

 

 

 

Total Investments (cost $1,932,517,663) – 142.7%

 

 

 

 

 

 

 

1,982,310,341

 

 

 

Borrowings  —  (40.4)%  (8), (9)

 

 

 

 

 

 

 

(561,000,000

)

 

 

Other Assets Less Liabilities – (2.3)% (10)

 

 

 

 

 

 

 

(32,055,852

)

 

 

Net Assets Applicable to Common Shares – 100%

 

 

 

 

 

 

 

$1,389,254,489

 

 

Investments In derivatives as of October 31, 2013

 

Swaps outstanding:

 

 

 

 

 

Fund

 

 

 

 

 

Fixed Rate

 

 

 

Unrealized

 

 

 

Notional

 

Pay/Receive

 

 

 

Fixed Rate

 

Payment

 

Termination

 

Appreciation

 

Counterparty

 

Amount

 

Floating Rate

 

Floating Rate Index

 

(Annualized)

 

Frequency

 

Date

 

(Depreciation) (10)

 

JPMorgan

 

$  103,075,000

 

Receive

 

1-Month USD-LIBOR

 

1.193%

 

Monthly

 

3/21/14

 

$        (431,384

)

Morgan Stanley

 

103,075,000

 

Receive

 

1-Month USD-LIBOR

 

2.064

 

Monthly

 

3/21/16

 

(4,053,859

)

 

 

$  206,150,000

 

 

 

 

 

 

 

 

 

 

 

$     (4,485,243

)

 

 

 

Fair Value Measurements

 

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 - Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.

 

Level 2 - Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 - Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities.

 

The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

 42,028,565

 

$

 —

 

$

 —

**

$

 42,028,565

 

 

 

Variable Rate Senior Loan Interests

 

 

1,341,550,042

 

 

1,341,550,042

 

 

 

Corporate Bonds

 

 

438,713,561

 

 

438,713,561

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

 

160,018,173

 

 

160,018,173

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Swaps*

 

 

(4,485,243

)

 

(4,485,243

)

 

 

Total

 

$

 42,028,565

 

$

 1,935,796,533

 

$

 —

 

$

 1,977,825,098

 

 

 

 

 

 

* Represents net unrealized appreciation (depreciation).

 

 

** Value equals zero as of the end of the reporting period.

 

 

 

Income Tax Information

 

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to recognition of premium amortization, timing differences in the recognition of income on real estate investment trust (“REIT”) investments and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

 

As of October 31, 2013, the cost of investments was $1,934,535,298.

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of October 31, 2013, were as follows:

 

 

 

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

Appreciation

 

$  54,942,042

 

 

 

Depreciation

 

(7,166,999

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized appreciation (depreciation) of investments

 

$  47,775,043

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

 

 

 

(1)

 

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

 

 

 

 

(2)

 

Non-income producing; issuer has not declared a dividend within the past twelve months.

 

 

 

 

 

(3)

 

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment classified as Level 3.

 

 

 

 

 

(4)

 

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

 

 

 

 

(5)

 

Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

 

 

 

 

 

(6)

 

Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

 

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

 

 

 

 

 

(7)

 

At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.

 

 

 

 

 

(8)

 

Borrowings as a percentage of total investments is 28.3%.

 

 

 

 

 

(9)

 

The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

 

 

 

 

 

(10)

 

Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

 

 

 

 

 

DD1

 

Portion of investment purchased on a delayed delivery basis.

 

 

 

 

 

WI/DD

 

Purchased on a when-issued or delayed delivery basis.

 

 

 

 

 

144A

 

Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

 

 

 

 

TBD

 

Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

 

 

 

 

 

USD-LIBOR

 

United States Dollar-London Inter-Bank Offered Rate.

 



 

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 this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT 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)

Nuveen Credit Strategies Income Fund

 

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: December 30, 2013

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/ Gifford R. Zimmerman

 

 

Gifford R. Zimmerman

 

 

Chief Administrative Officer (principal executive officer)

 

 

 

Date: December 30, 2013

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: December 30, 2013