Investment Company Act file number

(811-22543)

KKR Income Opportunities Fund

(Exact name of registrant as specified in charter)

KKR Credit Advisors (US) LLC

555 California Street, 50th Floor

San Francisco, California

94104

(Address of principal executive offices)

(Zip code)

U.S. Bancorp Fund Services. LLC

615 East Michigan Street

Milwaukee, WI 53202

(Name and address of agent for service)

Registrant’s telephone number, including area code:

(415) 315-3620

Date of fiscal year end:

October 31, 2015

Date of reporting period:

January 31, 2015

Income Opportunities Fund

January 31, 2015

(Unaudited)

Par†

Value

HIGH YIELD SECURITIES - 79.8%

Aerospace & Defense - 1.5%

Bombardier, Inc.

6.125%, 01/15/2023 (a) (g)

4,327,000

$

4,089,015

Banks - 8.8%

Ally Financial, Inc.

8.000%, 12/31/2018

6,916,000

7,832,370

Novo Banco SA

N/A, 02/19/2049 (a) (g) (i)

EUR

8,635,000

1,805,138

N/A, 04/09/2052 (g) (i)

EUR

213,000

39,714

SquareTwo Financial Corp.

11.625%, 04/01/2017

15,009,000

14,258,550

23,935,772

Building Products - 0.1%

Calcipar SA

6.875%, 05/01/2018 (a) (g)

400,000

405,000

Chemicals - 1.7%

Kleopatra Acquisition Corp.

11.000%, 08/15/2017 (a) (c) (e) (g)

EUR

2,061,470

2,399,333

Pinnacle Agriculture Holdings LLC

9.000%, 11/15/2020 (a)

2,259,000

2,304,180

4,703,513

Construction Materials - 9.3%

Cemex Materials LLC

7.700%, 07/21/2025 (a)

13,760,000

15,177,280

Summit Materials Holdings LP

10.500%, 01/31/2020

9,031,000

9,979,255

25,156,535

Containers & Packaging - 0.1%

Multi-Color Corp.

6.125%, 12/01/2022 (a)

366,000

370,118

Diversified Consumer Services - 0.6%

24 Hour Fitness Worldwide, Inc.

8.000%, 06/01/2022 (a)

1,843,000

1,502,045

Diversified Telecommunication Services - 1.8%

Windstream Corp.

7.750%, 10/15/2020

4,637,000

4,810,888

Electric Utilities - 1.6%

Dynegy, Inc.

7.625%, 11/01/2024 (a)

1,835,000

1,896,931

7.375%, 11/01/2022 (a)

1,501,000

1,549,782

6.750%, 11/01/2019 (a)

789,000

811,684

4,258,397

Electronic Equipment, Instruments & Components - 4.2%

Artesyn Technologies, Inc.

9.750%, 10/15/2020 (a)

9,594,000

8,994,375

Par†

Value

HIGH YIELD SECURITIES - 79.8% (continued)

Electronic Equipment, Instruments & Components - 4.2% (continued)

Flextronics International Ltd.

5.000%, 02/15/2023 (g)

2,250,000

$

2,340,000

11,334,375

Food & Staples Retailing - 1.1%

Brake Bros Ltd.

7.125%, 12/15/2018 (a) (g)

GBP

1,903,000

2,905,721

Hotels, Restaurants & Leisure - 4.0%

Boyd Gaming Corp.

9.000%, 07/01/2020

3,583,000

3,726,320

Isle Of Capri Casinos, Inc.

5.875%, 03/15/2021

6,831,000

7,087,162

10,813,482

Household Durables - 0.9%

Algeco Scotsman Global Sarl

10.750%, 10/15/2019 (a) (d) (e) (g)

352,000

269,280

Masonite International Corp.

8.250%, 04/15/2021 (a) (g)

1,801,000

1,913,562

The Hillman Group, Inc.

6.375%, 07/15/2022 (a)

364,000

353,080

2,535,922

Household Products - 1.5%

Harbinger Group, Inc.

7.875%, 07/15/2019

3,479,000

3,670,345

7.750%, 01/15/2022

471,000

473,355

4,143,700

Independent Power and Renewable Electricity Producers - 2.1%

NRG Energy, Inc.

6.625%, 03/15/2023

5,525,000

5,732,188

Insurance - 2.9%

Towergate Finance PLC

10.500%, 02/15/2019 (a) (d) (e) (f) (g)

GBP

7,634,000

1,379,805

8.500%, 02/15/2018 (a) (d) (e) (f) (g)

GBP

4,600,000

6,097,120

5.753%, 02/15/2018 (a) (b) (d) (e) (f) (g)

GBP

360,000

477,166

7,954,091

Internet Software & Services - 0.9%

Bankrate, Inc.

6.125%, 08/15/2018 (a)

2,582,000

2,536,815

IT Services - 0.9%

iPayment Investors LP

9.500%, 12/15/2019 (a)

2,562,863

2,332,205

Life Sciences Tools & Services - 0.2%

Pharmaceutical Products Developement, Inc.

9.375%, 10/15/2017 (a) (c)

654,000

667,080

Media - 7.9%

Cequel Communications Holdings LLC

5.125%, 12/15/2021 (a)

2,147,000

2,098,692

Par†

Value

HIGH YIELD SECURITIES - 79.8% (continued)

Media - 7.9% (continued)

Charter Communications, Inc.

6.625%, 01/31/2022

1,842,000

$

1,947,915

Clear Channel Outdoor, Inc., Series B

7.625%, 03/15/2020

5,597,000

5,904,835

Intelsat Jackson Holdings SA

5.500%, 08/01/2023 (g)

1,435,000

1,417,063

Live Nation Entertainment, Inc.

7.000%, 09/01/2020 (a)

1,821,000

1,943,918

Sirius XM Holdings, Inc.

4.625%, 05/15/2023 (a)

4,260,000

3,993,750

Time Warner Entertainment Co. LP

8.375%, 03/15/2023

1,497,000

2,065,315

Virgin Media, Inc.

6.375%, 04/15/2023 (a) (g)

1,873,000

1,994,745

21,366,233

Multiline Retail - 1.5%

The Bon-Ton Department Stores, Inc.

8.000%, 06/15/2021

5,170,000

4,213,550

Multi-Utilities - 1.3%

Calpine Corp.

7.875%, 01/15/2023 (a)

3,053,000

3,419,360

5.875%, 01/15/2024 (a)

215,000

228,975

3,648,335

Oil, Gas & Consumable Fuels - 5.9%

Bill Barrett Corp.

7.000%, 10/15/2022

7,699,000

6,390,170

Hilcorp Energy I LP (Hilcorp Finance Co.)

8.000%, 02/15/2020 (a)

1,950,000

1,989,000

7.625%, 04/15/2021 (a)

425,000

431,375

SandRidge Energy, Inc.

7.500%, 02/15/2023

5,000,000

3,350,000

7.500%, 03/15/2021

5,761,000

4,003,895

16,164,440

Semiconductors & Semiconductor Equipment - 0.7%

Amkor Technology, Inc.

7.375%, 05/01/2018

1,819,000

1,859,927

Software - 3.5%

Datatel, Inc.

9.625%, 12/01/2018 (a) (c)

1,433,000

1,433,000

Epicor Software Corp.

9.000%, 06/15/2018 (a) (c)

6,045,000

6,165,900

TIBCO Software, Inc.

11.375%, 12/01/2021 (a)

1,905,000

1,874,044

9,472,944

Specialty Retail - 5.5%

Guitar Center, Inc.

6.500%, 04/15/2019 (a)

4,085,000

3,359,913

Par†

Value

HIGH YIELD SECURITIES - 79.8% (continued)

Specialty Retail - 5.5% (continued)

J.C. Penney Corp., Inc.

8.125%, 10/01/2019

6,302,000

$

5,797,840

7.950%, 04/01/2017

298,000

293,530

5.750%, 02/15/2018

1,589,000

1,438,045

5.650%, 06/01/2020

2,516,000

2,075,700

The Men’s Wearhouse, Inc.

7.000%, 07/01/2022 (a)

1,979,000

2,038,370

15,003,398

Textiles, Apparel & Luxury Goods - 2.3%

Hot Topic, Inc.

12.000%, 05/15/2019 (a) (c)

294,000

304,290

9.250%, 06/15/2021 (a)

5,391,000

5,835,758

6,140,048

Wireless Telecommunication Services - 7.0%

GCI, Inc.

8.625%, 11/15/2019

7,800,000

8,141,250

6.750%, 06/01/2021

6,100,000

6,084,750

Sprint Corp.

7.875%, 09/15/2023

1,642,000

1,664,577

T-Mobile USA, Inc.

6.625%, 11/15/2020

1,800,000

1,871,550

6.375%, 03/01/2025

648,000

665,010

6.000%, 03/01/2023

560,000

572,600

18,999,737

TOTAL HIGH YIELD SECURITIES (amortized cost $234,587,125)

217,055,474

LEVERAGED LOANS - 55.0%

Building Products - 1.0%

Gypsum Management & Supply, Inc., TL 2L 03/14

7.750%, 04/01/2022 (b)

2,661,800

2,621,873

Chemicals - 0.1%

Emerald Performance Materials LLC, TL 2L 07/14

7.750%, 08/01/2022 (b)

268,490

262,407

Diversified Consumer Services - 0.9%

24 Hour Fitness Worldwide, Inc., TL 1L B 05/14

4.750%, 05/28/2021 (b)

2,660,572

2,580,755

Diversified Telecommunication Services - 0.9%

Lightower Fiber LLC, TL 2L 04/13

8.000%, 04/12/2021 (b)

2,143,669

2,109,370

The Telx Group, Inc., TL 2L 04/14

7.500%, 04/09/2021 (b)

352,020

344,980

2,454,350

Energy Equipment & Services - 0.5%

Sabine Oil & Gas LLC, TL 2L 12/12

8.750%, 12/31/2018 (b)

1,888,290

1,243,911

Par†

Value

LEVERAGED LOANS - 55.0% (continued)

Food & Staples Retailing - 8.2%

Brake Bros Ltd., TL 2L D2 10/07

6.419%, 03/13/2017 (b) (g)

GBP

10,339,988

$

14,970,650

California Pizza Kitchen, Inc., TL 1L 03/13

5.250%, 03/29/2018 (b)

5,801,589

5,610,136

Grocery Outlet, Inc., TL 2L 09/14

9.250%, 10/21/2022 (b)

1,754,710

1,728,389

22,309,175

Food Products - 4.6%

Arysta Lifescience SPC LLC, TL 2L 05/13

8.250%, 11/30/2020 (b) (g)

3,800,000

3,800,000

CSM Bakery Products, TL 2L 07/13

8.750%, 07/03/2021 (b)

5,300,000

5,074,750

CTI Foods Holding Co. LLC, TL 2L 06/13

8.250%, 06/28/2021 (b)

3,800,000

3,752,500

12,627,250

Health Care Providers & Services - 4.9%

CHG Healthcare Services, Inc., TL 2L 11/12

9.000%, 11/19/2020 (b)

1,738,942

1,751,984

CRC Health Group, Inc., TL 2L 03/14

9.000%, 09/28/2021 (b)

11,327,530

11,620,177

13,372,161

Health Care Technology - 0.6%

ABILITY Network, Inc., TL 1L 05/14

6.000%, 05/14/2021 (b)

1,056,421

1,051,139

Greenway Medical Technologies, TL 2L 10/13

9.250%, 11/04/2021 (b)

545,410

531,775

1,582,914

Hotels, Restaurants & Leisure - 5.4%

American Casino & Entertainment Properties LLC, TL 2L 06/13

11.250%, 01/03/2020 (b)

1,739,548

1,809,130

Caesars Entertainment Operating Co., Inc., TL 1L B6 01/08

7.005%, 03/01/2017 (b) (d) (e) (j)

10,469,808

9,388,904

Caesars Entertainment Operating Co., Inc., TL 1L B7 05/14

9.750%, 01/28/2018 (b) (d) (e) (j)

4,028,914

3,610,290

14,808,324

Household Durables - 0.1%

Algeco Scotsman Global Sarl, TL PIK 04/13

15.750%, 05/01/2018 (c) (d) (e) (g) (k)

336,598

276,684

Household Products - 1.0%

The Sun Products Corp., TL 1L B 03/13

5.500%, 03/23/2020 (b)

2,810,670

2,707,041

Insurance - 0.3%

AssuredPartners, Inc., TL 2L 03/14

7.750%, 04/02/2022 (b)

17,217

16,657

Towergate Finance PLC, REV 1L 05/13

N/A, 11/15/2017 (b) (d) (e) (g) (k)

GBP

609,801

824,341

840,998

Par†

Value

LEVERAGED LOANS - 55.0% (continued)

IT Services - 3.4%

iPayment Investors LP, TL 1L B 05/11

6.750%, 05/08/2017 (b)

9,522,742

$

9,367,998

Leisure Products - 1.0%

BRG Sports, TL 2L 04/14

10.250%, 04/15/2022 (b)

2,809,440

2,837,534

Media - 3.0%

Catalina Marketing Corp., TL 1L 04/14

4.500%, 04/09/2021 (b)

2,834,660

2,701,785

Catalina Marketing Corp., TL 2L 04/14

7.750%, 04/11/2022 (b)

1,155,960

1,046,144

Learfield Communications, Inc., TL 2L 10/13

8.750%, 10/08/2021 (b)

128,930

127,963

Lee Enterprises, Inc., TL 1L 03/14

7.250%, 03/31/2019 (b)

4,153,129

4,153,130

8,029,022

Oil, Gas & Consumable Fuels - 1.1%

MEG Energy Corp., TL 1L B New

3.750%, 03/31/2020 (b) (g)

2,000,720

1,888,490

Sheridan Production Co. LLC, TL 1L B2 10/12

4.250%, 10/01/2019 (b)

924,047

827,022

Sheridan Production Co. LLC, TL 1L B2 I-A 10/12

4.250%, 10/01/2019 (b)

122,444

109,587

Sheridan Production Co. LLC, TL 1L B2 I-M 10/12

4.250%, 10/01/2019 (b)

74,789

66,936

2,892,035

Paper  &  Forest  Products - 0.9%

Wilton Brands, Inc., TL 1L B 08/12

7.500%, 08/30/2018 (b)

2,543,127

2,390,539

Real Estate Management & Development - 0.5%

Altisource Solutions Sarl, TL 1L B 11/13

4.500%, 12/09/2020 (b) (g)

1,661,240

1,258,389

Software - 10.0%

Applied Systems, Inc., TL 2L 01/14

7.500%, 01/24/2022 (b)

786,990

778,136

iParadigms Holdings LLC, TL 2L 07/14

8.250%, 07/29/2022 (b)

5,719,710

5,641,064

Misys Ltd., TL 2L 06/12

12.000%, 06/12/2019

1,000,000

1,087,000

RedPrairie Corp., TL 1L 12/13

6.000%, 12/21/2018 (b)

475,210

452,241

RedPrairie Corp., TL 2L 12/12

11.250%, 12/21/2019 (b)

11,670,867

9,715,997

TIBCO Software, Inc., TL 1L 10/14

6.500%, 10/31/2020 (b)

7,436,551

7,282,243

Triple Point Technology, Inc., TL 1L 07/13

5.250%, 07/10/2020 (b)

2,419,898

2,226,306

27,182,987

Par†

Value

LEVERAGED LOANS - 55.0% (continued)

Specialty Retail - 3.6%

David’s Bridal, Inc., Initial Term Loan

5.250%, 10/11/2019 (b)

3,720,850

$

3,525,506

Gymboree Corp., TL 1L 02/11

5.000%, 02/23/2018 (b)

8,959,408

6,224,190

9,749,696

Technology Hardware, Storage & Peripherals - 0.6%

Websense, Inc., TL 2L 05/13

8.250%, 12/24/2020 (b)

1,902,351

1,731,139

Trading Companies & Distributors - 2.4%

Maxim Crane Works LP (Maxim Finance Corp.), TL 2L B 11/13

10.250%, 11/26/2018 (b)

6,411,140

6,491,279

TOTAL LEVERAGED LOANS (amortized cost $156,304,783)

149,618,461

Shares

COMMON STOCKS - 3.6%

Banks - 0.6%

Ally Financial, Inc. (f)

81,659

1,527,840

Health Care Providers & Services - 2.8%

Amedisys, Inc. (d) (e) (f)

271,040

7,637,907

IT Services - 0.2%

iPayment Investors LP (e) (f)

160,426

596,785

TOTAL COMMON STOCKS (cost $6,404,869)

9,762,532

PREFERRED STOCKS - 1.3%

Banks - 1.2%

Ally Financial, Inc.

7.000% (a)

1,125

1,125,035

Barclays Bank PLC, Series 5

8.125% (g)

81,469

2,142,635

BCP Finance Co.

2.615% (b) (g) (f)

53,000

34,664

4.492% (b) (g) (f)

55,000

37,725

3,340,059

Thrifts & Mortgage Finance - 0.1%

Federal Home Loan Mortgage Corp., Series Z

8.375% (f)

25,000

102,500

Federal National Mortgage Association, Series S

8.250% (f)

25,000

100,750

203,250

TOTAL PREFERRED STOCKS (cost $3,513,842)

3,543,309

Units

ESCROW UNIT - 0.0%

Independent Power and Renewable Electricity Producers - 0.0%

Edison Mission Energy

1,276,831

42,135

TOTAL ESCROW UNIT (cost $197,909)

42,135

TOTAL INVESTMENTS (amortized cost $401,008,528††) (h) - 139.7%

$

380,021,911

LIABILITIES EXCEEDING OTHER ASSETS, NET - (39.7)%

(108,062,687

)

NET ASSETS - 100.0%

$

271,959,224

†

In U.S. Dollars unless otherwise indicated.

††

At January 31, 2015, the tax basis cost of the Fund’s investments was $401,008,527 and the unrealized appreciation and depreciation were $8,836,747 and $(29,823,363), respectively.

(a)

Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended.  These securities may only be resold to qualified institutional buyers in transactions exempt from registration.  The total value of these securities as of January 31, 2015 was $98,472,840, which represents 36.2% of net assets.

(b)

Variable rate security, the coupon rate shown is the effective rate as of January 31, 2015.

(c)

Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares.

(d)

Security considered restricted due to the Adviser’s knowledge of material non-public information. The total value of these securities as of January 31, 2015 was $29,961,497 and represented 11.0% of net assets.

(e)

Security considered illiquid, as defined by the Securities and Exchange Commission. The total value of these securities as of January 31, 2015 was $32,957,615 and represented 12.1% of net assets.

(f)

Non-income producing security.

(g)

Non-U.S security.

(h)

All investments are held as collateral for the Fund’s credit facility.

(i)

Zero coupon security.

(j)

Security in default.

(k)

Unsettled bank loan.  Interest rate not available as of January 31, 2015.

EUR

Euro

GBP

Great British Pound

% of

Acquisition

Amortized

Net

Par/Shares

date(s)

Cost

Value

Assets

Algeco Scotsmand Global Sarl, 10.750%, 10/15/2019

352,000

12/12/2014

$

282,912

$

269,280

0.1

%

Algeco Scotsman Global Sarl, TL PIK 04/13, 15.750%, 05/01/2018

336,598

09/17/2013

320,355

276,684

0.1

%

Amedisys, Inc., Common Stock

271,040

08/05/2013 – 08/08/2013

3,799,455

7,637,907

2.8

%

Caesars Entertainment Operating Co., Inc., TL 1L B6 01/08, 7.005%, 03/01/2017

10,469,808

05/07/2014 – 09/16/2014

9,904,827

9,388,904

3.5

%

Caesars Entertainment Operating Co., Inc., TL 1L B7 05/14, 9.750%, 01/28/2018

4,028,914

05/14/2014 - 09/03/2014

3,908,201

3,610,290

1.3

%

Towergate Finance PLC, 10.500%, 02/15/2019

7,634,000

07/31/2013 – 10/28/2014