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: |
12/31 |
| ||||||
Date of reporting period: |
9/30/2012 |
| ||||||
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) |
| ||
|
|
September 30, 2012 |
|
|
|
Shares |
|
Description (1) |
|
|
|
|
|
|
|
Value |
|
|
|
Common Stocks 6.9% (4.9% of Total Investments) |
|
|
|
|
|
|
|
| |
|
|
Aerospace & Defense 0.1% |
|
|
|
|
|
|
|
|
|
16,170 |
|
Honeywell International Inc. |
|
|
|
|
|
|
|
$ 966,158 |
|
9,040 |
|
United Technologies Corporation |
|
|
|
|
|
|
|
707,742 |
|
|
|
Total Aerospace & Defense |
|
|
|
|
|
|
|
1,673,900 |
|
|
|
Beverages 0.2% |
|
|
|
|
|
|
|
|
|
41,968 |
|
Coca-Cola Company |
|
|
|
|
|
|
|
1,591,846 |
|
23,191 |
|
Dr. Pepper Snapple Group |
|
|
|
|
|
|
|
1,032,695 |
|
|
|
Total Beverages |
|
|
|
|
|
|
|
2,624,541 |
|
|
|
Biotechnology 0.2% |
|
|
|
|
|
|
|
|
|
11,200 |
|
Amgen Inc. |
|
|
|
|
|
|
|
944,384 |
|
6,400 |
|
Biogen Idec Inc., (2) |
|
|
|
|
|
|
|
955,072 |
|
14,240 |
|
Gilead Sciences, Inc., (2) |
|
|
|
|
|
|
|
944,539 |
|
|
|
Total Biotechnology |
|
|
|
|
|
|
|
2,843,995 |
|
|
|
Building Products 0.1% |
|
|
|
|
|
|
|
|
|
36,123 |
|
Masonite Worldwide Holdings, (2) |
|
|
|
|
|
|
|
1,264,305 |
|
|
|
Chemicals 0.1% |
|
|
|
|
|
|
|
|
|
4,349 |
|
CF Industries Holdings, Inc. |
|
|
|
|
|
|
|
966,522 |
|
7,680 |
|
Mosaic Company |
|
|
|
|
|
|
|
442,445 |
|
|
|
Total Chemicals |
|
|
|
|
|
|
|
1,408,967 |
|
|
|
Commercial Banks 0.2% |
|
|
|
|
|
|
|
|
|
14,990 |
|
M&T Bank Corporation |
|
|
|
|
|
|
|
1,426,448 |
|
16,670 |
|
SunTrust Banks, Inc. |
|
|
|
|
|
|
|
471,261 |
|
44,580 |
|
Wells Fargo & Company |
|
|
|
|
|
|
|
1,539,347 |
|
|
|
Total Commercial Banks |
|
|
|
|
|
|
|
3,437,056 |
|
|
|
Commercial Services & Supplies 0.1% |
|
|
|
|
|
|
|
|
|
26,526 |
|
Waste Management, Inc. |
|
|
|
|
|
|
|
850,954 |
|
|
|
Communications Equipment 0.1% |
|
|
|
|
|
|
|
|
|
24,860 |
|
Cisco Systems, Inc. |
|
|
|
|
|
|
|
474,577 |
|
10,430 |
|
QUALCOMM, Inc. |
|
|
|
|
|
|
|
651,771 |
|
|
|
Total Communications Equipment |
|
|
|
|
|
|
|
1,126,348 |
|
|
|
Computers & Peripherals 0.4% |
|
|
|
|
|
|
|
|
|
8,798 |
|
Apple, Inc., (2) |
|
|
|
|
|
|
|
5,870,553 |
|
|
|
Consumer Finance 0.0% |
|
|
|
|
|
|
|
|
|
8,300 |
|
Capital One Financial Corporation |
|
|
|
|
|
|
|
473,183 |
|
|
|
Diversified Financial Services 0.1% |
|
|
|
|
|
|
|
|
|
20,171 |
|
JP Morgan Chase & Co., (3) |
|
|
|
|
|
|
|
816,522 |
|
|
|
Diversified Telecommunication Services 0.2% |
|
|
|
|
|
|
|
|
|
10,853 |
|
CenturyLink Inc. |
|
|
|
|
|
|
|
438,461 |
|
47,468 |
|
Verizon Communications Inc. |
|
|
|
|
|
|
|
2,163,117 |
|
|
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
2,601,578 |
|
|
|
Electric Utilities 0.1% |
|
|
|
|
|
|
|
|
|
24,310 |
|
Southern Company |
|
|
|
|
|
|
|
1,120,448 |
|
|
|
Energy Equipment & Services 0.1% |
|
|
|
|
|
|
|
|
|
16,340 |
|
National-Oilwell Varco Inc. |
|
|
|
|
|
|
|
1,308,997 |
|
|
|
Food & Staples Retailing 0.1% |
|
|
|
|
|
|
|
|
|
14,810 |
|
Costco Wholesale Corporation |
|
|
|
|
|
|
|
1,482,851 |
|
|
|
Food Products 0.2% |
|
|
|
|
|
|
|
|
|
16,240 |
|
H.J. Heinz Company |
|
|
|
|
|
|
|
908,628 |
|
22,772 |
|
Kraft Foods Inc., Class A |
|
|
|
|
|
|
|
941,622 |
|
12,240 |
|
Mead Johnson Nutrition Company, Class A Shares |
|
|
|
|
|
|
|
896,947 |
|
|
|
Total Food Products |
|
|
|
|
|
|
|
2,747,197 |
|
|
|
Gas Utilities 0.0% |
|
|
|
|
|
|
|
|
|
10,470 |
|
ONEOK, Inc. |
|
|
|
|
|
|
|
505,806 |
|
|
|
Health Care Equipment & Supplies 0.2% |
|
|
|
|
|
|
|
|
|
10,220 |
|
Baxter International, Inc. |
|
|
|
|
|
|
|
615,857 |
|
11,960 |
|
Becton, Dickinson and Company |
|
|
|
|
|
|
|
939,578 |
|
11,580 |
|
Medtronic, Inc. |
|
|
|
|
|
|
|
499,330 |
|
7,930 |
|
Stryker Corporation |
|
|
|
|
|
|
|
441,384 |
|
|
|
Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
2,496,149 |
|
|
|
Health Care Providers & Services 0.1% |
|
|
|
|
|
|
|
|
|
10,270 |
|
McKesson HBOC Inc. |
|
|
|
|
|
|
|
883,528 |
|
|
|
Hotels, Restaurants & Leisure 0.1% |
|
|
|
|
|
|
|
|
|
26,290 |
|
Starbucks Corporation |
|
|
|
|
|
|
|
1,334,218 |
|
|
|
Household Durables 0.0% |
|
|
|
|
|
|
|
|
|
36,530 |
|
Pulte Corporation, (2) |
|
|
|
|
|
|
|
566,215 |
|
|
|
Industrial Conglomerates 0.2% |
|
|
|
|
|
|
|
|
|
92,427 |
|
General Electric Company, (3) |
|
|
|
|
|
|
|
2,099,017 |
|
|
|
Insurance 0.3% |
|
|
|
|
|
|
|
|
|
25,700 |
|
AFLAC Incorporated |
|
|
|
|
|
|
|
1,230,516 |
|
7,268 |
|
Everest Reinsurance Group Ltd |
|
|
|
|
|
|
|
777,385 |
|
23,840 |
|
Hartford Financial Services Group, Inc. |
|
|
|
|
|
|
|
463,450 |
|
12,900 |
|
Marsh & McLennan Companies, Inc. |
|
|
|
|
|
|
|
437,697 |
|
4,836 |
|
PartnerRe Limited |
|
|
|
|
|
|
|
359,218 |
|
15,330 |
|
Torchmark Corporation |
|
|
|
|
|
|
|
787,196 |
|
|
|
Total Insurance |
|
|
|
|
|
|
|
4,055,462 |
|
|
|
Internet Software & Services 0.1% |
|
|
|
|
|
|
|
|
|
1,770 |
|
Google Inc., Class A, (2) |
|
|
|
|
|
|
|
1,335,465 |
|
|
|
IT Services 0.2% |
|
|
|
|
|
|
|
|
|
6,090 |
|
Accenture Limited |
|
|
|
|
|
|
|
426,483 |
|
10,400 |
|
International Business Machines Corporation (IBM), (3) |
|
|
|
|
|
|
2,157,480 |
| |
|
|
Total IT Services |
|
|
|
|
|
|
|
2,583,963 |
|
|
|
Life Sciences Tools & Services 0.1% |
|
|
|
|
|
|
|
|
|
11,980 |
|
Thermo Fisher Scientific, Inc. |
|
|
|
|
|
|
|
704,783 |
|
|
|
Machinery 0.1% |
|
|
|
|
|
|
|
|
|
10,610 |
|
Caterpillar Inc. |
|
|
|
|
|
|
|
912,884 |
|
34,460 |
|
Harsco Corporation |
|
|
|
|
|
|
|
707,464 |
|
|
|
Total Machinery |
|
|
|
|
|
|
|
1,620,348 |
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
|
|
17,320 |
|
Comcast Corporation, Class A |
|
|
|
|
|
|
|
619,536 |
|
|
|
Metals & Mining 0.2% |
|
|
|
|
|
|
|
|
|
8,620 |
|
Newmont Mining Corporation |
|
|
|
|
|
|
|
482,806 |
|
46,212 |
|
Southern Copper Corporation |
|
|
|
|
|
|
|
1,587,844 |
|
|
|
Total Metals & Mining |
|
|
|
|
|
|
|
2,070,650 |
|
|
|
Multiline Retail 0.1% |
|
|
|
|
|
|
|
|
|
26,529 |
|
Target Corporation |
|
|
|
|
|
|
|
1,683,796 |
|
|
|
Multi-Utilities 0.2% |
|
|
|
|
|
|
|
|
|
44,851 |
|
CenterPoint Energy, Inc. |
|
|
|
|
|
|
|
955,326 |
|
18,913 |
|
Consolidated Edison, Inc. |
|
|
|
|
|
|
|
1,132,700 |
|
7,980 |
|
DTE Energy Company |
|
|
|
|
|
|
|
478,321 |
|
21,974 |
|
Public Service Enterprise Group Incorporated |
|
|
|
|
|
|
|
707,123 |
|
|
|
Total Multi-Utilities |
|
|
|
|
|
|
|
3,273,470 |
|
|
|
Oil, Gas & Consumable Fuels 0.5% |
|
|
|
|
|
|
|
|
|
18,152 |
|
Chevron Corporation |
|
|
|
|
|
|
|
2,115,797 |
|
7,720 |
|
Exxon Mobil Corporation |
|
|
|
|
|
|
|
705,994 |
|
37,376 |
|
Marathon Oil Corporation |
|
|
|
|
|
|
|
1,105,208 |
|
26,215 |
|
Marathon Petroleum Corporation |
|
|
|
|
|
|
|
1,431,077 |
|
20,100 |
|
Phillips 66 |
|
|
|
|
|
|
|
932,037 |
|
|
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
6,290,113 |
|
|
|
Paper & Forest Products 0.1% |
|
|
|
|
|
|
|
|
|
27,020 |
|
International Paper Company |
|
|
|
|
|
|
|
981,366 |
|
|
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
|
|
|
11,055 |
|
Abbott Laboratories |
|
|
|
|
|
|
|
757,931 |
|
43,985 |
|
Johnson & Johnson |
|
|
|
|
|
|
|
3,031,006 |
|
20,951 |
|
Merck & Company Inc. |
|
|
|
|
|
|
|
944,890 |
|
25,040 |
|
Watson Pharmaceuticals Inc., (2) |
|
|
|
|
|
|
|
2,132,406 |
|
|
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
6,866,233 |
|
|
|
Real Estate 0.3% |
|
|
|
|
|
|
|
|
|
12,970 |
|
American Capital Agency Corporation |
|
|
|
|
|
|
|
448,632 |
|
38,840 |
|
Annaly Capital Management Inc. |
|
|
|
|
|
|
|
654,066 |
|
12,200 |
|
Digital Realty Trust Inc. |
|
|
|
|
|
|
|
852,170 |
|
23,990 |
|
Equity One Inc. |
|
|
|
|
|
|
|
505,229 |
|
37,870 |
|
Omega Healthcare Investors Inc. |
|
|
|
|
|
|
|
860,785 |
|
7,790 |
|
Simon Property Group, Inc. |
|
|
|
|
|
|
|
1,182,600 |
|
|
|
Total Real Estate |
|
|
|
|
|
|
|
4,503,482 |
|
|
|
Road & Rail 0.1% |
|
|
|
|
|
|
|
|
|
8,932 |
|
Norfolk Southern Corporation |
|
|
|
|
|
|
|
568,343 |
|
3,960 |
|
Union Pacific Corporation |
|
|
|
|
|
|
|
470,052 |
|
|
|
Total Road & Rail |
|
|
|
|
|
|
|
1,038,395 |
|
|
|
Semiconductors & Equipment 0.2% |
|
|
|
|
|
|
|
|
|
56,368 |
|
Intel Corporation, (3) |
|
|
|
|
|
|
|
1,278,426 |
|
21,002 |
|
Linear Technology Corporation |
|
|
|
|
|
|
|
668,914 |
|
47,500 |
|
NVIDIA Corporation, (2) |
|
|
|
|
|
|
|
633,650 |
|
|
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
2,580,990 |
|
|
|
Software 0.3% |
|
|
|
|
|
|
|
|
|
84,812 |
|
Microsoft Corporation, (3) |
|
|
|
|
|
|
|
2,525,701 |
|
37,380 |
|
Oracle Corporation |
|
|
|
|
|
|
|
1,177,096 |
|
3,690 |
|
VMware Inc. |
|
|
|
|
|
|
|
356,971 |
|
|
|
Total Software |
|
|
|
|
|
|
|
4,059,768 |
|
|
|
Specialty Retail 0.4% |
|
|
|
|
|
|
|
|
|
56,290 |
|
American Eagle Outfitters, Inc. |
|
|
|
|
|
|
|
1,186,593 |
|
7,870 |
|
Home Depot, Inc. |
|
|
|
|
|
|
|
475,112 |
|
18,530 |
|
Limited Brands, Inc. |
|
|
|
|
|
|
|
912,788 |
|
20,580 |
|
Ross Stores, Inc. |
|
|
|
|
|
|
|
1,329,468 |
|
25,980 |
|
Williams-Sonoma Inc. |
|
|
|
|
|
|
|
1,142,341 |
|
|
|
Total Specialty Retail |
|
|
|
|
|
|
|
5,046,302 |
|
|
|
Textiles, Apparel & Luxury Goods 0.0% |
|
|
|
|
|
|
|
|
|
13,530 |
|
Deckers Outdoor Corporation, (2) |
|
|
|
|
|
|
|
495,739 |
|
|
|
Tobacco 0.3% |
|
|
|
|
|
|
|
|
|
78,971 |
|
Altria Group, Inc. |
|
|
|
|
|
|
|
2,636,842 |
|
9,873 |
|
Philip Morris International |
|
|
|
|
|
|
|
887,979 |
|
9,810 |
|
Reynolds American Inc. |
|
|
|
|
|
|
|
425,166 |
|
|
|
Total Tobacco |
|
|
|
|
|
|
|
3,949,987 |
|
|
|
Total Common Stocks (cost $87,989,278) |
|
|
|
|
|
|
|
93,296,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
Description (1) |
|
Coupon |
|
|
|
Ratings (4) |
|
Value |
|
|
|
$25 Par (or similar) Preferred Securities 0.5% (0.3% of Total Investments) |
|
|
|
|
| ||||
|
|
Commercial Banks 0.5% |
|
|
|
|
|
|
|
|
|
4,600 |
|
Wells Fargo & Company, (3) |
|
7.500% |
|
|
|
BBB+ |
|
$ 5,694,800 |
|
|
|
Total $25 Par (or similar) Preferred Securities (cost $3,082,135) |
|
|
|
5,694,800 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (5) |
|
Ratings (4) |
|
Value |
|
|
|
Variable Rate Senior Loan Interests 98.4% (69.9% of Total Investments) (6) |
|
|
|
|
| ||||
|
|
Aerospace & Defense 0.1% |
|
|
|
|
|
|
|
|
|
$ 408 |
|
DAE Aviation Holdings, Inc., Term Loan B1 |
|
5.450% |
|
7/31/14 |
|
B |
|
$ 408,120 |
|
387 |
|
DAE Aviation Holdings, Inc., Term Loan B2 |
|
5.450% |
|
7/31/14 |
|
B |
|
387,455 |
|
795 |
|
Total Aerospace & Defense |
|
|
|
|
|
|
|
795,575 |
|
|
|
Airlines 2.1% |
|
|
|
|
|
|
|
|
|
27,814 |
|
Delta Air Lines, Inc., Term Loan |
|
5.500% |
|
4/20/17 |
|
Ba2 |
|
28,109,529 |
|
|
|
Automobiles 2.0% |
|
|
|
|
|
|
|
|
|
26,094 |
|
Chrysler Group LLC, Term Loan |
|
6.000% |
|
5/24/17 |
|
BB |
|
26,657,624 |
|
|
|
Biotechnology 1.1% |
|
|
|
|
|
|
|
|
|
342 |
|
Alkermes, Inc., 2019 Term Loan, WI/DD |
|
TBD |
|
TBD |
|
BB |
|
343,977 |
|
10,790 |
|
Grifols, Inc., Term Loan |
|
4.500% |
|
6/01/17 |
|
BB |
|
10,900,344 |
|
3,969 |
|
Onex Carestream Finance LP, Term Loan |
|
5.000% |
|
2/25/17 |
|
BB- |
|
3,933,862 |
|
15,101 |
|
Total Biotechnology |
|
|
|
|
|
|
|
15,178,183 |
|
|
|
Building Products 0.2% |
|
|
|
|
|
|
|
|
|
2,300 |
|
Goodman Global Inc., Second Lien, Term Loan |
|
9.000% |
|
10/28/17 |
|
B- |
|
2,330,226 |
|
|
|
Chemicals 3.6% |
|
|
|
|
|
|
|
|
|
15,124 |
|
Ineos US Finance LLC, Term Loan B |
|
6.500% |
|
5/04/18 |
|
B+ |
|
15,299,544 |
|
32,671 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
32,596,574 |
|
47,795 |
|
Total Chemicals |
|
|
|
|
|
|
|
47,896,118 |
|
|
|
Commercial Banks 0.4% |
|
|
|
|
|
|
|
|
|
4,704 |
|
Ocwen Financial Corporation, Initial Term Loan |
|
7.000% |
|
9/01/16 |
|
B1 |
|
4,750,783 |
|
|
|
Commercial Services & Supplies 0.7% |
|
|
|
|
|
|
|
|
|
10,000 |
|
Ceridian Corporation, Extended Term Loan, WI/DD |
|
TBD |
|
TBD |
|
B1 |
|
10,075,000 |
|
|
|
Communications Equipment 2.2% |
|
|
|
|
|
|
|
|
|
4,077 |
|
Avaya, Inc., Term Loan B3 |
|
4.927% |
|
10/26/17 |
|
B1 |
|
3,737,308 |
|
25,249 |
|
Telesat Holdings, Inc., Term Loan B |
|
4.250% |
|
3/28/19 |
|
BB- |
|
25,343,903 |
|
29,326 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
29,081,211 |
|
|
|
Computers & Peripherals 0.1% |
|
|
|
|
|
|
|
|
|
1,985 |
|
Kronos Incorporated, Term Loan, Tranche C, First Lien |
|
6.250% |
|
12/28/17 |
|
B1 |
|
2,014,775 |
|
|
|
Construction Materials 1.0% |
|
|
|
|
|
|
|
|
|
12,841 |
|
Schaeffler AG, Term Loan C2, First Lien |
|
6.000% |
|
1/27/17 |
|
B1 |
|
12,969,410 |
|
|
|
Consumer Finance 1.7% |
|
|
|
|
|
|
|
|
|
9,019 |
|
NES Rentals Holdings, Inc., Extended Term Loan, Second Lien |
|
13.250% |
|
10/20/14 |
|
Ba3 |
|
8,974,311 |
|
1,000 |
|
Residential Capital Corp, Term Loan A1 |
|
5.000% |
|
11/18/13 |
|
Ba1 |
|
1,005,625 |
|
2,000 |
|
Residential Capital Corp, Term Loan A2 |
|
6.750% |
|
11/18/13 |
|
BB |
|
2,030,834 |
|
9,332 |
|
Royalty Pharma Finance Trust, Incremental Term Loan |
|
4.000% |
|
11/09/18 |
|
Baa2 |
|
9,405,755 |
|
1,350 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B3 |
|
1,324,350 |
|
22,701 |
|
Total Consumer Finance |
|
|
|
|
|
|
|
22,740,875 |
|
|
|
Containers & Packaging 2.5% |
|
|
|
|
|
|
|
|
|
32,679 |
|
Reynolds Group Holdings, Inc., Term Loan, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
32,852,341 |
|
613 |
|
Sealed Air Corporation, Term Loan |
|
4.750% |
|
10/03/18 |
|
Ba1 |
|
617,367 |
|
33,292 |
|
Total Containers & Packaging |
|
|
|
|
|
|
|
33,469,708 |
|
|
|
Distributors 1.6% |
|
|
|
|
|
|
|
|
|
21,000 |
|
HD Supply, Inc., Term Loan |
|
7.250% |
|
10/12/17 |
|
B+ |
|
21,713,118 |
|
|
|
Diversified Consumer Services 2.0% |
|
|
|
|
|
|
|
|
|
27,788 |
|
Laureate Education, Inc., Extended Term Loan |
|
5.250% |
|
6/15/18 |
|
B1 |
|
27,475,793 |
|
|
|
Diversified Financial Services 0.9% |
|
|
|
|
|
|
|
|
|
10,000 |
|
ADS Waste Holdings, Inc., Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
10,083,330 |
|
1,393 |
|
NPC International, Inc., Term Loan B |
|
5.250% |
|
12/28/18 |
|
Ba3 |
|
1,410,412 |
|
110 |
|
Pinafore LLC, Term Loan |
|
4.250% |
|
9/29/16 |
|
BB |
|
110,847 |
|
11,503 |
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
11,604,589 |
|
|
|
Diversified Telecommunication Services 2.6% |
|
|
|
|
|
|
|
|
|
21,316 |
|
Intelsat Jackson Holdings, Ltd., Term Loan B1, WI/DD |
|
TBD |
|
TBD |
|
B1 |
|
21,422,109 |
|
13,000 |
|
Level 3 Communications, Inc., Term Loan B-2 |
|
5.750% |
|
9/01/18 |
|
Ba3 |
|
13,085,319 |
|
34,316 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
34,507,428 |
|
|
|
Electric Utilities 0.1% |
|
|
|
|
|
|
|
|
|
2,664 |
|
TXU Corporation, 2014 Term Loan |
|
3.757% |
|
10/10/14 |
|
B2 |
|
1,990,831 |
|
|
|
Food & Staples Retailing 1.1% |
|
|
|
|
|
|
|
|
|
9,800 |
|
BJ Wholesale Club, Inc., Term Loan, First Lien, DD1 |
|
5.750% |
|
9/20/19 |
|
B |
|
9,872,275 |
|
500 |
|
BJ Wholesale Club, Inc., Term Loan, Second Lien |
|
9.750% |
|
3/30/20 |
|
CCC+ |
|
508,750 |
|
5,000 |
|
Wendys/Arbys Restaurants, Inc., Term Loan B |
|
4.750% |
|
5/15/19 |
|
BB- |
|
5,050,780 |
|
15,300 |
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
15,431,805 |
|
|
|
Food Products 0.3% |
|
|
|
|
|
|
|
|
|
2,157 |
|
Del Monte Foods Company, Term Loan |
|
4.500% |
|
3/08/18 |
|
Ba3 |
|
2,158,108 |
|
983 |
|
Pierre Foods, Inc., Term Loan |
|
7.001% |
|
9/30/16 |
|
B+ |
|
988,129 |
|
1,311 |
|
U.S. Foodservice, Inc., Extended Term Loan |
|
5.750% |
|
3/31/17 |
|
B- |
|
1,297,030 |
|
4,451 |
|
Total Food Products |
|
|
|
|
|
|
|
4,443,267 |
|
|
|
Health Care Equipment & Supplies 4.2% |
|
|
|
|
|
|
|
|
|
8,933 |
|
Chiron Merger Sub, Inc., Term Loan |
|
7.000% |
|
5/04/18 |
|
Ba2 |
|
9,072,070 |
|
14,375 |
|
Hologic, Inc., Term Loan B |
|
4.500% |
|
8/01/19 |
|
BBB- |
|
14,561,875 |
|
33,084 |
|
United Surgical Partners International, Inc., Term Loan, First Lien |
|
6.000% |
|
4/03/19 |
|
B1 |
|
33,373,233 |
|
56,392 |
|
Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
57,007,178 |
|
|
|
Health Care Providers & Services 7.8% |
|
|
|
|
|
|
|
|
|
1,628 |
|
Community Health Systems, Inc., Extended Term Loan |
|
3.923% |
|
1/25/17 |
|
BB |
|
1,637,283 |
|
14,000 |
|
DaVita, Inc., New Term Loan B2, WI/DD |
|
TBD |
|
TBD |
|
Ba2 |
|
14,052,500 |
|
20,861 |
|
Emdeon Business Services LLC Term B-1 Loan |
|
5.000% |
|
11/02/18 |
|
BB- |
|
21,043,691 |
|
6,027 |
|
Emergency Medical Services, Term Loan |
|
5.250% |
|
5/25/18 |
|
Ba3 |
|
6,065,698 |
|
37,427 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
36,210,403 |
|
371 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.612% |
|
3/31/17 |
|
BB |
|
372,337 |
|
19,322 |
|
National Mentor Holdings, Inc., Tranche B |
|
7.000% |
|
2/09/17 |
|
B+ |
|
19,326,684 |
|
4,755 |
|
Select Medical Corporation, Term Loan |
|
5.500% |
|
6/01/18 |
|
BB- |
|
4,787,577 |
|
998 |
|
Select Medical Corporation, Tranche B, Term Loan A |
|
5.502% |
|
6/01/18 |
|
BB- |
|
1,006,228 |
|
105,389 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
104,502,401 |
|
|
|
Health Care Technology 1.1% |
|
|
|
|
|
|
|
|
|
14,000 |
|
Quintiles Transnational Corporation, Term Loan |
|
7.500% |
|
2/28/17 |
|
B |
|
14,175,000 |
|
|
|
Hotels, Restaurants & Leisure 4.7% |
|
|
|
|
|
|
|
|
|
2,977 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
7.500% |
|
4/22/16 |
|
Ba3 |
|
3,018,093 |
|
2,888 |
|
Boyd Gaming Corporation, Increased Term Loan B |
|
6.000% |
|
12/17/15 |
|
BB- |
|
2,928,407 |
|
47,595 |
|
Caesars Entertainment Operating Company, Inc., Term Loan B6 |
|
5.467% |
|
1/28/18 |
|
B |
|
43,379,314 |
|
2,071 |
|
CCM Merger, Inc. Term Loan |
|
6.000% |
|
3/01/17 |
|
B+ |
|
2,092,210 |
|
10,234 |
|
Landrys Restaraunts, Inc., Term Loan B |
|
6.500% |
|
4/24/18 |
|
B+ |
|
10,389,637 |
|
839 |
|
Orbitz Worldwide, Inc., Term Loan |
|
3.216% |
|
7/25/14 |
|
B+ |
|
816,651 |
|
177 |
|
Venetian Casino Resort LLC, Delayed Term Loan |
|
2.720% |
|
11/23/16 |
|
BBB- |
|
176,631 |
|
232 |
|
Venetian Casino Resort LLC, Tranche B, Term Loan |
|
2.720% |
|
11/23/16 |
|
BBB- |
|
231,464 |
|
67,013 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
63,032,407 |
|
|
|
Household Durables 0.3% |
|
|
|
|
|
|
|
|
|
3,500 |
|
AOT Bedding Super Holdings LLC, Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
3,490,938 |
|
|
|
Household Products 0.0% |
|
|
|
|
|
|
|
|
|
158 |
|
Visant Corporation, Term Loan |
|
5.250% |
|
12/22/16 |
|
BB- |
|
153,354 |
|
|
|
Independent Power Producers & Energy Traders 0.1% |
|
|
|
|
|
|
| ||
1,507 |
|
AES Corporation, Term Loan |
|
4.250% |
|
5/29/18 |
|
BB+ |
|
1,517,277 |
|
|
|
Industrial Conglomerates 0.1% |
|
|
|
|
|
|
|
|
|
887 |
|
U.S. Foodservice, Inc., Term Loan, First Lien |
|
5.750% |
|
3/31/17 |
|
B- |
|
875,419 |
|
|
|
Internet & Catalog Retail 1.0% |
|
|
|
|
|
|
|
|
|
13,665 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B1 |
|
5.500% |
|
2/23/17 |
|
B |
|
13,858,128 |
|
|
|
Internet Software & Services 3.8% |
|
|
|
|
|
|
|
|
|
14,210 |
|
Go Daddy Operating Co. LLC, Term Loan, Tranche B1 |
|
5.500% |
|
12/17/18 |
|
Ba3 |
|
14,169,772 |
|
31,957 |
|
Sabre, Inc., Extended Term Loan, First Lien |
|
5.966% |
|
9/30/17 |
|
B1 |
|
31,770,393 |
|
4,746 |
|
Web.com, Term Loan, First Lien |
|
7.000% |
|
10/27/17 |
|
Ba3 |
|
4,788,845 |
|
50,913 |
|
Total Internet Software & Services |
|
|
|
|
|
|
|
50,729,010 |
|
|
|
IT Services 5.3% |
|
|
|
|
|
|
|
|
|
1,357 |
|
First Data Corporation, Extended Term Loan B |
|
5.217% |
|
3/24/17 |
|
B+ |
|
1,337,113 |
|
5,000 |
|
First Data Corporation, Extended Term Loan |
|
4.217% |
|
3/26/18 |
|
B+ |
|
4,788,350 |
|
18,555 |
|
Frac Tech International LLC, Term Loan, DD1 |
|
6.250% |
|
5/06/16 |
|
B+ |
|
17,911,539 |
|
22,693 |
|
Infor Enterprise Applications, Term Loan B |
|
5.250% |
|
4/05/18 |
|
Ba3 |
|
22,811,311 |
|
14,233 |
|
SRA International, Term Loan |
|
6.500% |
|
7/20/18 |
|
B1 |
|
14,144,488 |
|
10,374 |
|
Zayo Group LLC Term Loan |
|
7.125% |
|
7/02/19 |
|
B1 |
|
10,503,675 |
|
72,212 |
|
Total IT Services |
|
|
|
|
|
|
|
71,496,476 |
|
|
|
Leisure Equipment & Products 1.6% |
|
|
|
|
|
|
|
|
|
993 |
|
Academy, Ltd., Term Loan |
|
6.000% |
|
8/03/18 |
|
B |
|
998,171 |
|
696 |
|
Cedar Fair LP, Term Loan |
|
4.000% |
|
12/15/17 |
|
BB |
|
701,234 |
|
20,449 |
|
Toys R Us - Delaware, Inc., Term Loan B3 |
|
5.250% |
|
5/25/18 |
|
B+ |
|
20,116,458 |
|
22,138 |
|
Total Leisure Equipment & Products |
|
|
|
|
|
|
|
21,815,863 |
|
|
|
Machinery 0.3% |
|
|
|
|
|
|
|
|
|
4,500 |
|
Navistar International Corporation, Term Loan B |
|
7.000% |
|
8/16/17 |
|
Ba2 |
|
4,573,125 |
|
|
|
Media 10.5% |
|
|
|
|
|
|
|
|
|
8,394 |
|
Atlantic Broadband Finance LLC, Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
8,477,976 |
|
28,975 |
|
Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan |
|
5.720% |
|
7/04/17 |
|
B+ |
|
26,494,301 |
|
2,437 |
|
Charter Communications Operating Holdings LLC, Term Loan C |
|
3.470% |
|
9/06/16 |
|
BB+ |
|
2,443,788 |
|
15,867 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
9/17/18 |
|
Ba2 |
|
15,977,669 |
|
12,029 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B2 |
|
12,179,362 |
|
36,733 |
|
EMI Music Publishing LLC, Term Loan B |
|
5.500% |
|
6/29/18 |
|
BB- |
|
37,238,015 |
|
2,000 |
|
Hubbard Radio LLC, Term Loan, Second Lien |
|
8.750% |
|
4/30/18 |
|
CCC+ |
|
2,030,000 |
|
1,093 |
|
Gray Television, Inc., Term Loan B |
|
3.740% |
|
12/31/14 |
|
B+ |
|
1,091,829 |
|
675 |
|
Tribune Company, Term Loan B, (7) |
|
0.000% |
|
6/04/14 |
|
Ca |
|
512,540 |
|
4,378 |
|
Univision Communications, Inc., Term Loan |
|
4.466% |
|
3/31/17 |
|
B+ |
|
4,344,915 |
|
15,000 |
|
UPC Broadband Holding BV, Term Loan, Tranche AB |
|
4.750% |
|
12/31/17 |
|
Ba3 |
|
15,112,500 |
|
15,940 |
|
WideOpenWest Finance LLC, Term Loan B |
|
6.250% |
|
7/12/18 |
|
B1 |
|
16,109,413 |
|
143,521 |
|
Total Media |
|
|
|
|
|
|
|
142,012,308 |
|
|
|
Multiline Retail 1.7% |
|
|
|
|
|
|
|
|
|
1,128 |
|
99 Cents Only Stores, Term Loan B1 |
|
5.250% |
|
1/11/19 |
|
B+ |
|
1,141,955 |
|
21,150 |
|
Neiman Marcus Group, Inc., Term Loan |
|
4.750% |
|
5/16/18 |
|
BB- |
|
21,302,618 |
|
22,278 |
|
Total Multiline Retail |
|
|
|
|
|
|
|
22,444,573 |
|
|
|
Oil, Gas & Consumable Fuels 1.2% |
|
|
|
|
|
|
|
|
|
3,970 |
|
CCS Income Trust, Add on Term Loan B |
|
6.500% |
|
11/14/14 |
|
B |
|
3,983,232 |
|
4,871 |
|
Crestwood Holdings, Inc., Term Loan B |
|
9.750% |
|
3/26/18 |
|
CCC+ |
|
4,950,408 |
|
4,300 |
|
Energy Transfer Partners LP, Term Loan B |
|
3.750% |
|
3/24/17 |
|
BB |
|
4,303,883 |
|
2,917 |
|
Samson Investment Company, Initial Term Loan, Second Lien |
|
6.000% |
|
9/25/18 |
|
B+ |
|
2,939,148 |
|
16,058 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
16,176,671 |
|
|
|
Personal Products 0.1% |
|
|
|
|
|
|
|
|
|
1,391 |
|
Prestige Brands, Inc., Term Loan 1 |
|
5.250% |
|
1/27/19 |
|
BB- |
|
1,407,245 |
|
|
|
Pharmaceuticals 6.6% |
|
|
|
|
|
|
|
|
|
22,194 |
|
Bausch & Lomb, Inc., Term Loan B |
|
5.250% |
|
5/17/19 |
|
B+ |
|
22,466,256 |
|
40,302 |
|
Pharmaceutical Product Development, Inc., Term Loan |
|
6.250% |
|
12/05/18 |
|
BB- |
|
40,722,040 |
|
8,369 |
|
Quintiles Transnational Corporation, Term Loan B |
|
5.000% |
|
6/08/18 |
|
BB- |
|
8,429,913 |
|
10,000 |
|
Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan C, WI/DD |
|
TBD |
|
TBD |
|
BBB- |
|
10,016,670 |
|
1,500 |
|
Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan D, WI/DD |
|
TBD |
|
TBD |
|
BBB- |
|
1,506,251 |
|
883 |
|
Warner Chilcott Company LLC, Term Loan B1 Additional |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
885,493 |
|
2,325 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
2,331,725 |
|
1,163 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
1,165,863 |
|
1,599 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
1,603,061 |
|
88,335 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
89,127,272 |
|
|
|
Real Estate 3.4% |
|
|
|
|
|
|
|
|
|
9,629 |
|
iStar Financial, Inc., Term Loan, Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
9,657,116 |
|
35,000 |
|
iStar Financial, Inc., Term Loan, Tranche A2, First Lien |
|
7.000% |
|
3/19/17 |
|
BB- |
|
35,947,905 |
|
44,629 |
|
Total Real Estate |
|
|
|
|
|
|
|
45,605,021 |
|
|
|
Real Estate Management & Development 2.4% |
|
|
|
|
|
|
|
|
|
30,177 |
|
Capital Automotive LP, Tranche B |
|
5.250% |
|
3/11/17 |
|
Ba3 |
|
30,403,516 |
|
1,378 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
1,383,293 |
|
1,191 |
|
Realogy Corporation, Delayed Term Loan |
|
4.478% |
|
10/10/16 |
|
B1 |
|
1,178,818 |
|
32,746 |
|
Total Real Estate Management & Development |
|
|
|
|
|
|
|
32,965,627 |
|
|
|
Road & Rail 0.3% |
|
|
|
|
|
|
|
|
|
3,417 |
|
Swift Transportation Company, Inc., Term Loan, Tranche B2 |
|
5.000% |
|
12/21/17 |
|
BB |
|
3,439,494 |
|
|
|
Semiconductors & Equipment 4.2% |
|
|
|
|
|
|
|
|
|
2,981 |
|
Freescale Semiconductor, Inc., Term Loan, Tranche B1 |
|
4.481% |
|
12/01/16 |
|
B1 |
|
2,919,467 |
|
17,905 |
|
Freescale Semiconductor, Inc., Term Loan, Tranche B2 |
|
6.000% |
|
2/28/19 |
|
B1 |
|
17,953,499 |
|
985 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/03/17 |
|
B- |
|
996,081 |
|
13,641 |
|
NXP Semiconductor LLC, Tranche A2, Term Loan |
|
5.500% |
|
3/03/17 |
|
B+ |
|
13,908,141 |
|
19,900 |
|
NXP Semiconductor LLC, Tranche B, Term Loan |
|
5.250% |
|
3/19/19 |
|
B+ |
|
20,165,327 |
|
55,412 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
55,942,515 |
|
|
|
Software 7.3% |
|
|
|
|
|
|
|
|
|
12,903 |
|
BlackBoard, Inc., Term Loan, First Lien |
|
7.500% |
|
10/04/18 |
|
B+ |
|
12,986,366 |
|
23,000 |
|
BlackBoard, Inc., Term Loan, Second Lien |
|
11.500% |
|
4/04/19 |
|
CCC+ |
|
21,811,659 |
|
29,587 |
|
Datatel Parent Corp, Term Loan B |
|
6.250% |
|
7/19/18 |
|
B+ |
|
30,008,544 |
|
790 |
|
IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien |
|
5.466% |
|
7/31/17 |
|
B1 |
|
769,999 |
|
6,365 |
|
IPC Systems, Inc., Term Loan, Second Lien |
|
5.482% |
|
6/01/15 |
|
CCC |
|
5,410,491 |
|
2,085 |
|
Kronos Incorporated, Term Loan, Second Lien |
|
9.362% |
|
6/01/18 |
|
CCC+ |
|
2,129,306 |
|
15,000 |
|
Misys PLC, Term Loan, Second Lien |
|
12.000% |
|
5/25/19 |
|
CCC+ |
|
15,625,005 |
|
10,000 |
|
Vertafore, Inc., Term Loan, Second Lien |
|
9.750% |
|
10/29/17 |
|
CCC+ |
|
10,050,000 |
|
99,730 |
|
Total Software |
|
|
|
|
|
|
|
98,791,370 |
|
|
|
Specialty Retail 3.1% |
|
|
|
|
|
|
|
|
|
988 |
|
J Crew Group, Term Loan |
|
4.750% |
|
3/07/18 |
|
B1 |
|
989,088 |
|
1,773 |
|
Jo-Ann Stores, Inc., Term Loan |
|
4.750% |
|
3/16/18 |
|
B+ |
|
1,779,856 |
|
2,810 |
|
Lord & Taylor Holdings LLC, Term Loan |
|
5.750% |
|
12/21/18 |
|
BB |
|
2,834,851 |
|
566 |
|
Michaels Stores, Inc., Term Loan B1 |
|
2.688% |
|
10/31/13 |
|
BB- |
|
568,705 |
|
13,681 |
|
Michaels Stores, Inc., Term Loan B2 |
|
4.912% |
|
7/31/16 |
|
BB- |
|
13,812,885 |
|
9,625 |
|
Party City Corporation, Term Loan |
|
5.750% |
|
7/23/19 |
|
B1 |
|
9,758,846 |
|
12,620 |
|
Toys R Us - Delaware, Inc., Term Loan |
|
6.000% |
|
9/01/16 |
|
B+ |
|
12,567,425 |
|
42,063 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
42,311,656 |
|
|
|
Wireless Telecommunication Services 1.0% |
|
|
|
|
|
|
|
|
|
16,963 |
|
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1 |
|
3.866% |
|
1/29/16 |
|
CCC+ |
|
13,909,721 |
|
$ 1,330,587 |
|
Total Variable Rate Senior Loan Interests (cost $1,309,202,380) |
|
|
|
1,324,595,897 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (4) |
|
Value |
|
|
|
Corporate Bonds 32.8% (23.3% of Total Investments) |
|
|
|
|
|
|
| ||
|
|
Airlines 0.4% |
|
|
|
|
|
|
|
|
|
$ 4,445 |
|
United Airlines Inc., 144A |
|
9.875% |
|
8/01/13 |
|
BB |
|
$ 4,545,013 |
|
900 |
|
United Airlines Inc., 144A |
|
12.000% |
|
11/01/13 |
|
BB |
|
924,750 |
|
5,345 |
|
Total Airlines |
|
|
|
|
|
|
|
5,469,763 |
|
|
|
Auto Components 0.3% |
|
|
|
|
|
|
|
|
|
1,200 |
|
Cooper Standard Automitve |
|
8.500% |
|
5/01/18 |
|
BB- |
|
1,299,000 |
|
2,000 |
|
Goodyear Tire & Rubber Company |
|
8.250% |
|
8/15/20 |
|
B+ |
|
2,215,000 |
|
3,200 |
|
Total Auto Components |
|
|
|
|
|
|
|
3,514,000 |
|
|
|
Chemicals 0.1% |
|
|
|
|
|
|
|
|
|
1,200 |
|
NOVA Chemicals Corporation |
|
8.625% |
|
11/01/19 |
|
BB+ |
|
1,362,000 |
|
450 |
|
Phibro Animal Health Corporation, 144A |
|
9.250% |
|
7/01/18 |
|
B- |
|
436,500 |
|
1,650 |
|
Total Chemicals |
|
|
|
|
|
|
|
1,798,500 |
|
|
|
Commercial Banks 0.0% |
|
|
|
|
|
|
|
|
|
300 |
|
Ally Financial Inc. |
|
8.000% |
|
3/15/20 |
|
BB- |
|
351,000 |
|
|
|
Commercial Services & Supplies 1.7% |
|
|
|
|
|
|
|
|
|
7,000 |
|
Ceridian Corporation, 144A |
|
8.875% |
|
7/15/19 |
|
B1 |
|
7,560,000 |
|
6,000 |
|
Ceridian Corporation |
|
12.250% |
|
11/15/15 |
|
CCC |
|
5,970,000 |
|
8,500 |
|
Ceridian Corporation |
|
11.250% |
|
11/15/15 |
|
CCC |
|
8,372,500 |
|
390 |
|
Universal City Development Partners |
|
8.875% |
|
11/15/15 |
|
BBB+ |
|
410,773 |
|
21,890 |
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
22,313,273 |
|
|
|
Communications Equipment 3.1% |
|
|
|
|
|
|
|
|
|
32,250 |
|
Avaya Inc. |
|
10.125% |
|
11/01/15 |
|
CCC+ |
|
28,783,125 |
|
15,250 |
|
Avaya Inc. |
|
9.750% |
|
11/01/15 |
|
CCC+ |
|
13,534,375 |
|
47,500 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
42,317,500 |
|
|
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
|
|
900 |
|
Ally Financial Inc. |
|
7.500% |
|
9/15/20 |
|
BB- |
|
1,032,750 |
|
|
|
Containers & Packaging 0.1% |
|
|
|
|
|
|
|
|
|
600 |
|
Boise Paper Holdings Company |
|
8.000% |
|
4/01/20 |
|
BB |
|
658,500 |
|
|
|
Distributors 1.2% |
|
|
|
|
|
|
|
|
|
8,000 |
|
HD Supply Inc., 144A |
|
8.125% |
|
4/15/19 |
|
B+ |
|
8,680,000 |
|
7,000 |
|
HD Supply Inc., 144A |
|
11.000% |
|
4/15/20 |
|
CCC+ |
|
7,770,000 |
|
15,000 |
|
Total Distributors |
|
|
|
|
|
|
|
16,450,000 |
|
|
|
Diversified Telecommunication Services 4.2% |
|
|
|
|
|
|
|
|
|
1,200 |
|
Cequel Communication Holdings I, 144A |
|
8.625% |
|
11/15/17 |
|
B- |
|
1,281,000 |
|
26,200 |
|
IntelSat Bermuda Limited |
|
11.500% |
|
2/04/17 |
|
CCC+ |
|
27,772,000 |
|
3,200 |
|
IntelSat Bermuda Limited |
|
11.250% |
|
2/04/17 |
|
CCC+ |
|
3,384,000 |
|
21,352 |
|
Level 3 Communications Inc. |
|
11.875% |
|
2/01/19 |
|
B- |
|
24,234,520 |
|
51,952 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
56,671,520 |
|
|
|
Electric Utilities 0.3% |
|
|
|
|
|
|
|
|
|
900 |
|
Energy Future Holdings |
|
10.250% |
|
1/15/20 |
|
B- |
|
992,250 |
|
3,500 |
|
Energy Future Intermediate Holding Company LLC, 144A |
|
11.750% |
|
3/01/22 |
|
CCC+ |
|
3,718,750 |
|
4,400 |
|
Total Electric Utilities |
|
|
|
|
|
|
|
4,711,000 |
|
|
|
Electronic Equipment & Instruments 0.1% |
|
|
|
|
|
|
|
|
|
1,200 |
|
Kemet Corporation |
|
10.500% |
|
5/01/18 |
|
B+ |
|
1,218,000 |
|
|
|
Food Products 0.3% |
|
|
|
|
|
|
|
|
|
4,200 |
|
JBS USA LLC |
|
7.250% |
|
6/01/21 |
|
BB |
|
3,948,000 |
|
|
|
Health Care Equipment & Supplies 3.8% |
|
|
|
|
|
|
|
|
|
4,500 |
|
Apria Healthcare Group Inc. |
|
12.375% |
|
11/01/14 |
|
B |
|
4,387,500 |
|
2,000 |
|
Beagle Acquisition Corporation, 144A |
|
11.000% |
|
12/31/19 |
|
CCC+ |
|
2,270,000 |
|
500 |
|
Biomet Inc. |
|
10.000% |
|
10/15/17 |
|
B- |
|
527,500 |
|
22,300 |
|
Chiron Merger Sub Inc., 144A |
|
10.500% |
|
11/01/18 |
|
B |
|
23,582,250 |
|
12,000 |
|
Chiron Merger Sub Inc., 144A |
|
12.500% |
|
11/01/19 |
|
CCC+ |
|
11,280,000 |
|
5,500 |
|
DJO Finance LLC / DJO Finance Corporation, 144A |
|
8.750% |
|
3/15/18 |
|
B- |
|
5,850,625 |
|
3,000 |
|
Merge Healthcare Inc. |
|
11.750% |
|
5/01/15 |
|
B+ |
|
3,247,500 |
|
49,800 |
|
Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
51,145,375 |
|
|
|
Health Care Providers & Services 1.8% |
|
|
|
|
|
|
|
|
|
14,705 |
|
Apria Healthcare Group Inc. |
|
11.250% |
|
11/01/14 |
|
BB |
|
15,072,625 |
|
600 |
|
Aurora Diagnostics Holdings LLC |
|
10.750% |
|
1/15/18 |
|
B3 |
|
604,500 |
|
450 |
|
Capella Healthcare Inc. |
|
9.250% |
|
7/01/17 |
|
B |
|
479,813 |
|
2,500 |
|
HCA Inc. |
|
8.500% |
|
4/15/19 |
|
BB+ |
|
2,818,750 |
|
4,000 |
|
Iasis Healthcare Capital Corporation |
|
8.375% |
|
5/15/19 |
|
CCC+ |
|
3,820,000 |
|
1,500 |
|
Tenet Healthcare Corporation |
|
10.000% |
|
5/01/18 |
|
BB |
|
1,732,500 |
|
23,755 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
24,528,188 |
|
|
|
Hotels, Restaurants & Leisure 1.9% |
|
|
|
|
|
|
|
|
|
2,250 |
|
Harrahs Operating Company, Inc. |
|
11.250% |
|
6/01/17 |
|
B |
|
2,418,750 |
|
4,000 |
|
MGM Resorts International Inc. |
|
13.000% |
|
11/15/13 |
|
Ba2 |
|
4,510,000 |
|
13,000 |
|
MGM Resorts International Inc. |
|
11.125% |
|
11/15/17 |
|
Ba2 |
|
14,381,250 |
|
2,000 |
|
MGM Resorts International Inc. |
|
7.750% |
|
3/15/22 |
|
B- |
|
2,090,000 |
|
300 |
|
MGM Resorts International Inc. |
|
9.000% |
|
3/15/20 |
|
Ba2 |
|
334,875 |
|
600 |
|
Peninsula Gaming LLC |
|
8.375% |
|
8/15/15 |
|
BB |
|
627,000 |
|
600 |
|
Penn National Gaming Inc. |
|
8.750% |
|
8/15/19 |
|
BB |
|
672,000 |
|
22,750 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
25,033,875 |
|
|
|
Household Products 1.0% |
|
|
|
|
|
|
|
|
|
1,650 |
|
Central Garden & Pet Compa |
|
8.250% |
|
3/01/18 |
|
B |
|
1,749,000 |
|
5,750 |
|
Sprectum Brands Inc., 144A |
|
9.500% |
|
6/15/18 |
|
BB- |
|
6,483,125 |
|
5,200 |
|
Sprectum Brands Inc. |
|
9.500% |
|
6/15/18 |
|
Ba3 |
|
5,863,000 |
|
12,600 |
|
Total Household Products |
|
|
|
|
|
|
|
14,095,125 |
|
|
|
Independent Power Producers & Energy Traders 0.1% |
|
|
|
|
|
|
| ||
600 |
|
Calpine Corporation, 144A |
|
7.875% |
|
7/31/20 |
|
BB |
|
655,500 |
|
|
|
IT Services 2.6% |
|
|
|
|
|
|
|
|
|
3,474 |
|
First Data Corporation |
|
10.550% |
|
9/24/15 |
|
B- |
|
3,556,453 |
|
2,600 |
|
First Data Corporation |
|
9.875% |
|
9/24/15 |
|
B- |
|
2,652,000 |
|
21,600 |
|
First Data Corporation |
|
11.250% |
|
3/31/16 |
|
CCC+ |
|
20,952,000 |
|
7,000 |
|
Sungard Data Systems Inc. |
|
10.250% |
|
8/15/15 |
|
B- |
|
7,175,000 |
|
34,674 |
|
Total IT Services |
|
|
|
|
|
|
|
34,335,453 |
|
|
|
Machinery 0.1% |
|
|
|
|
|
|
|
|
|
1,800 |
|
Titan International Inc. |
|
7.875% |
|
10/01/17 |
|
B+ |
|
1,908,000 |
|
|
|
Media 6.1% |
|
|
|
|
|
|
|
|
|
600 |
|
Allbritton Communications Company |
|
8.000% |
|
5/15/18 |
|
B+ |
|
652,500 |
|
450 |
|
Cablevision Systems Corporation |
|
7.750% |
|
4/15/18 |
|
B+ |
|
498,375 |
|
300 |
|
Cablevision Systems Corporation |
|
8.000% |
|
4/15/20 |
|
B+ |
|
334,500 |
|
6,600 |
|
Cengage Learning Acquisition Inc., 144A |
|
11.500% |
|
4/15/20 |
|
B |
|
7,062,000 |
|
9,312 |
|
Charter Communications Holdings II LLC Capital Corporation |
|
13.500% |
|
11/30/16 |
|
B+ |
|
10,103,464 |
|
300 |
|
Clear Channel Communications, Inc. |
|
5.500% |
|
9/15/14 |
|
CCC- |
|
270,000 |
|
19,000 |
|
Clear Channel Communications, Inc. |
|
11.000% |
|
8/01/16 |
|
CCC- |
|
13,300,000 |
|
8,050 |
|
Clear Channel Communications, Inc. |
|
10.750% |
|
8/01/16 |
|
CCC- |
|
5,635,000 |
|
450 |
|
Clear Channel Worldwide |
|
9.250% |
|
12/15/17 |
|
BB- |
|
484,875 |
|
22,750 |
|
WideOpenWest Finance Capital Corporation, 144A |
|
10.250% |
|
7/15/19 |
|
CCC+ |
|
24,001,250 |
|
17,950 |
|
WMG Acquisition Group |
|
11.500% |
|
10/01/18 |
|
B- |
|
20,193,750 |
|
85,762 |
|
Total Media |
|
|
|
|
|
|
|
82,535,714 |
|
|
|
Metals & Mining 0.1% |
|
|
|
|
|
|
|
|
|
875 |
|
Molycorp Inc., 144A |
|
10.000% |
|
6/01/20 |
|
B3 |
|
866,250 |
|
|
|
Multiline Retail 0.6% |
|
|
|
|
|
|
|
|
|
7,000 |
|
Number Merger Sub Inc., 144A |
|
11.000% |
|
12/15/19 |
|
Caa1 |
|
7,857,500 |
|
|
|
Municipal 0.0% |
|
|
|
|
|
|
|
|
|
600 |
|
Tops Markets |
|
10.125% |
|
10/15/15 |
|
B+ |
|
632,250 |
|
|
|
Oil, Gas & Consumable Fuels 0.4% |
|
|
|
|
|
|
|
|
|
600 |
|
CONSOL Energy Inc. |
|
8.000% |
|
4/01/17 |
|
BB |
|
627,000 |
|
600 |
|
CONSOL Energy Inc. |
|
8.250% |
|
4/01/20 |
|
BB |
|
628,500 |
|
1,200 |
|
Genesis Energy LP |
|
7.875% |
|
12/15/18 |
|
B |
|
1,272,000 |
|
1,200 |
|
Hilcorp Energy I LP/Hilcorp Finance Company, 144A |
|
7.625% |
|
4/15/21 |
|
BB- |
|
1,320,000 |
|
1,050 |
|
Western Refining Inc. |
|
11.250% |
|
6/15/17 |
|
BB |
|
1,168,125 |
|
4,650 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
5,015,625 |
|
|
|
Pharmaceuticals 0.9% |
|
|
|
|
|
|
|
|
|
86 |
|
Angiotech Pharmaceuticals Inc. |
|
5.000% |
|
12/01/13 |
|
N/R |
|
85,785 |
|
1,077 |
|
Angiotech Pharmaceuticals Inc. |
|
9.000% |
|
12/01/16 |
|
N/R |
|
1,085,077 |
|
5,000 |
|
Valeant Pharmaceuticals International, 144A |
|
7.250% |
|
7/15/22 |
|
BB- |
|
5,268,750 |
|
5,415 |
|
Warner Chilcott Company LLC |
|
7.750% |
|
9/15/18 |
|
BB- |
|
5,780,512 |
|
11,578 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
12,220,124 |
|
|
|
Real Estate 0.1% |
|
|
|
|
|
|
|
|
|
1,200 |
|
Entertainment Properties Trust |
|
7.750% |
|
7/15/20 |
|
Baa3 |
|
1,382,320 |
|
|
|
Software 0.5% |
|
|
|
|
|
|
|
|
|
3,000 |
|
Lawson Software Inc., 144A |
|
11.500% |
|
7/15/18 |
|
B- |
|
3,420,000 |
|
3,375 |
|
Lawson Software Inc., 144A |
|
9.375% |
|
4/01/19 |
|
B- |
|
3,746,250 |
|
6,375 |
|
Total Software |
|
|
|
|
|
|
|
7,166,250 |
|
|
|
Specialty Retail 0.9% |
|
|
|
|
|
|
|
|
|
9,500 |
|
Claires Stores, Inc., 144A |
|
9.000% |
|
3/15/19 |
|
B |
|
9,856,250 |
|
1,350 |
|
Claires Stores, Inc. |
|
9.250% |
|
6/01/15 |
|
CCC |
|
1,221,750 |
|
1,200 |
|
Claires Stores, Inc. |
|
10.500% |
|
6/01/17 |
|
CCC |
|
1,020,000 |
|
12,050 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
12,098,000 |
|
$ 434,206 |
|
Total Corporate Bonds (cost $437,823,291) |
|
|
|
|
|
|
|
441,929,355 |
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
|
|
|
Short-Term Investments 2.2% (1.6% of Total Investments) |
|
|
|
|
| ||||
$ 29,672 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/12, repurchase price $29,672,028, collateralized by: |
|
0.010% |
|
10/01/12 |
|
|
|
$ 29,672,003 |
|
|
|
Total Short-Term Investments (cost $29,672,003) |
|
|
|
|
|
|
|
29,672,003 |
|
|
|
Total Investments (cost $1,867,769,087) 140.8% |
|
|
|
|
|
|
|
1,895,188,231 |
|
|
|
Borrowings (41.7)% (8) |
|
|
|
|
|
|
|
(561,000,000 |
) |
|
|
Other Assets Less Liabilities 0.9% (9) |
|
|
|
|
|
|
|
11,927,505 |
|
|
|
Net Assets Applicable to Common Shares 100% |
|
|
|
|
|
|
|
$1,346,115,736 |
|
Investments in Derivatives at September 30, 2012
Interest Rate Swaps outstanding:
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
Unrealized |
|
|
|
Notional |
|
Pay/Receive |
|
|
|
|
|
Payment |
|
Termination |
|
Appreciation |
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate* |
|
Frequency |
|
Date |
|
(Depreciation) (9) |
|
JPMorgan |
|
$ 103,075,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.193% |
|
Monthly |
|
3/21/14 |
|
$ (1,488,085 |
) |
Morgan Stanley |
|
103,075,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.064 |
|
Monthly |
|
3/21/16 |
|
(5,938,662 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (7,426,747 |
) |
* Annualized.
|
|
Fair Value Measurements
Fair value is defined as the price that the Funds 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: | |||||||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||||||
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||||||||||||||||
|
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
| ||||||||||||||||||
|
|
Common Stocks |
|
$ |
93,296,176 |
|
$ |
|
|
$ |
|
|
$ |
93,296,176 |
| ||||||||||||||
|
|
$25 Par (or similar) Preferred Securities |
|
5,694,800 |
|
|
|
|
|
5,694,800 |
| ||||||||||||||||||
|
|
Variable Rate Senior Loan Interests |
|
|
|
1,324,595,897 |
|
|
|
1,324,595,897 |
| ||||||||||||||||||
|
|
Corporate Bonds |
|
|
|
441,929,355 |
|
|
|
441,929,355 |
| ||||||||||||||||||
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
| ||||||||||||||||||
|
|
Repurchase Agreements |
|
|
|
29,672,003 |
|
|
|
29,672,003 |
| ||||||||||||||||||
|
|
Derivatives: |
|
|
|
|
|
|
|
|
| ||||||||||||||||||
|
|
Interest Rate Swaps** |
|
|
|
(7,426,747 |
) |
|
|
(7,426,747 |
) | ||||||||||||||||||
|
|
Total |
|
$ |
98,990,976 |
|
$ |
1,788,770,508 |
|
$ |
|
|
$ |
1,887,761,484 |
| ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||
|
|
* Refer to the Funds Portfolio of Investments for industry classifications and breakdown of Common Stocks classified as Level 2, when applicable. ** Represents net unrealized appreciation (depreciation) as reported in the Funds Portfolio of Investments.
The Nuveen funds Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Advisers Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Advisers dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds investments in derivatives may represent economic hedges, they are considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure. | |||||||||||||||||||||||||||
|
|
| |||||||||||||||||||||||||||
|
|
|
|
|
|
Location on the Statement of Assets and Liabilities |
| ||||||||||||||||||||||
|
|
Underlying |
|
Derivative |
|
Asset Derivatives |
|
Liability Derivatives |
| ||||||||||||||||||||
|
|
Risk Exposure |
|
Instrument |
|
Location |
|
Value |
|
Location |
|
Value |
| ||||||||||||||||
|
|
Interest Rate |
|
Swaps |
|
|
|
$ |
|
|
Unrealized depreciation on interest rate swaps |
|
$ |
(7,426,747 |
) | ||||||||||||||
|
|
| |||||||||||||||||||||||||||
|
|
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 the treatment of paydown gains and losses, 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. | |||||||||||||||||||||||||||
|
|
| |||||||||||||||||||||||||||
|
|
At September 30, 2012, the cost of investments (excluding investments in derivatives) was $1,871,176,406.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2012, were as follows: | |||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||
|
|
Gross unrealized: |
|
|
| ||||||||||||||||||||||||
|
|
Appreciation |
|
$ 39,153,311 |
| ||||||||||||||||||||||||
|
|
Depreciation |
|
(15,141,486 |
) | ||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||
|
|
Net unrealized appreciation (depreciation) of investments |
|
$ 24,011,825 |
| ||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||
|
|
|
|
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. | |||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||
|
|
(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, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
(4) |
|
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. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
(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 security, in the case of a bond, 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. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
(8) |
|
Borrowings as a percentage of Total Investments is 29.6%. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
(9) |
|
Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at September 30, 2012. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
N/R |
|
Not rated. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
DD1 |
|
Investment, or 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 coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date. | |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
USD-LIBOR |
|
United States DollarLondon 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: November 29, 2012
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: November 29, 2012
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: November 29, 2012