UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

 

Investment Company Act file number 811-21333

 

Nuveen Credit Strategies Income Fund

(Exact name of registrant as specified in charter)

 

   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(Address of principal executive offices) (Zip code)

 

 

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

 

 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

312-917-7700

 

Date of fiscal year end:

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

 

Wendy’s/Arby’s 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

 

Landry’s 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

 

Harrah’s 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:
$705,000 U.S. Treasury Bonds, 4.500%, due 8/15/39, value $958,517, $285,000 U.S. Treasury Bonds, 3.875%, due 8/15/40, value $351,263, $5,375,000 U.S. Treasury Notes, 3.125%, due 4/30/17, value $6,000,892, $610,000 U.S. Treasury Notes, 1.000%, due 3/31/17, value $625,645 and $22,110,000 U.S. Treasury Notes, 0.750%, due 6/30/17, value $22,331,100

 

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 entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

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

 

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

 

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

 

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

 

 

 

 

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

Long-Term Investments*:

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

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

 

 

 

 

 

 

 

 

(1)

 

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

 

 

 

 

 

 

 

(2)

 

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

 

 

 

 

 

 

 

(3)

 

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

 

 

 

 

 

 

 

(4)

 

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

 

 

 

 

 

 

 

(5)

 

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

 

 

 

 

 

 

 

(6)

 

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

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

(7)

 

At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing 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 Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.

 

 

 

 

 

 

 

(8)

 

Borrowings as a percentage of Total Investments is 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 Dollar—London Inter-Bank Offered Rate.

 



 

Item 2. Controls and Procedures.

a.                The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

b.                There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

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

 



 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)

Nuveen Credit Strategies Income Fund

 

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: 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

 

 

Gifford R. Zimmerman

 

 

Chief Administrative Officer (principal executive officer)

 

 

 

Date: November 29, 2012

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: November 29, 2012