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. McCarthyVice President and Secretary |
| ||||||
|
(Name and address of agent for service) |
| ||||||
Registrants 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 |
|
Kirklands, Inc., (2) |
|
|
|
|
|
|
|
75,562 |
|
4,337 |
|
Lithia Motors Inc. |
|
|
|
|
|
|
|
272,580 |
|
1,390 |
|
Lumber Liquidators Inc., (2) |
|
|
|
|
|
|
|
158,724 |
|
1,950 |
|
OReilly 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 |
|
D |
|
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 |
|
Albertsons LLC, Term Loan B1 |
|
4.250% |
|
3/21/16 |
|
BB- |
|
8,157,132 |
|
5,304 |
|
Albertsons 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 |
|
B |
|
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 |
|
Landrys 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 |
|
D |
|
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 |
|
B |
|
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 |
|
B |
|
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 |
|
B |
|
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 |
|
Harrahs 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 |
|
B |
|
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 |
|
B |
|
5,400,000 |
|
2,000 |
|
Oasis Petroleum Inc. |
|
6.875% |
|
1/15/23 |
|
B |
|
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 entitys 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 managements 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 Funds fair value measurements as of the end of the reporting period: | |||||||||||||||||
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Long-Term Investments: |
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Common Stocks |
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$ |
42,028,565 |
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$ |
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$ |
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** |
$ |
42,028,565 |
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Variable Rate Senior Loan Interests |
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1,341,550,042 |
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1,341,550,042 |
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Corporate Bonds |
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438,713,561 |
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438,713,561 |
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Short-Term Investments: |
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Repurchase Agreements |
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160,018,173 |
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160,018,173 |
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Derivatives: |
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Swaps* |
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(4,485,243 |
) |
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(4,485,243 |
) | ||||||||
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Total |
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$ |
42,028,565 |
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$ |
1,935,796,533 |
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$ |
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$ |
1,977,825,098 |
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* Represents net unrealized appreciation (depreciation). | |||||||||||||||||
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** Value equals zero as of the end of the reporting period. | |||||||||||||||||
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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 $1,934,535,298.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of October 31, 2013, were as follows: | |||||||||||||||||
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Gross unrealized: |
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Appreciation |
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$ 54,942,042 |
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Depreciation |
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(7,166,999 |
) | ||||||||||||||
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Net unrealized appreciation (depreciation) of investments |
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$ 47,775,043 |
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For Fund portfolio compliance purposes, the Funds 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. | |||||||||||||||||
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(1) |
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All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. | ||||||||||||||||
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(2) |
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Non-income producing; issuer has not declared a dividend within the past twelve months. | ||||||||||||||||
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(3) |
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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. | ||||||||||||||||
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(4) |
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Ratings: Using the highest of Standard & Poors Group (Standard & Poors), Moodys Investors Service, Inc. (Moodys) or Fitch, Inc. (Fitch) rating. Ratings below BBB by Standard & Poors, Baa by Moodys 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. | ||||||||||||||||
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(5) |
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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. | ||||||||||||||||
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(6) |
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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. | ||||||||||||||||
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(7) |
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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 Funds Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Funds custodian to cease accruing additional income on the Funds records. | ||||||||||||||||
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(8) |
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Borrowings as a percentage of total investments is 28.3%. | ||||||||||||||||
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(9) |
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The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. | ||||||||||||||||
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(10) |
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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. | ||||||||||||||||
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DD1 |
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Portion of investment purchased on a delayed delivery basis. | ||||||||||||||||
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WI/DD |
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Purchased on a when-issued or delayed delivery basis. | ||||||||||||||||
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144A |
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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. | ||||||||||||||||
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TBD |
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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. | ||||||||||||||||
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USD-LIBOR |
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United States Dollar-London Inter-Bank Offered Rate. | ||||||||||||||||
Item 2. Controls and Procedures.
a. The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants 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 registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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 |
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By (Signature and Title) |
/s/ Kevin J. McCarthy |
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Kevin J. McCarthy |
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Vice President and Secretary |
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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 |
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Gifford R. Zimmerman |
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Chief Administrative Officer (principal executive officer) |
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Date: December 30, 2013
By (Signature and Title) |
/s/ Stephen D. Foy |
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Stephen D. Foy |
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Vice President and Controller (principal financial officer) |
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Date: December 30, 2013