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 811-09571

 

Nuveen Senior Income Fund

(Exact name of registrant as specified in charter)

   333 West Wacker Drive, Chicago, Illinois 60606   

(Address of principal executive offices) (Zip code)

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

(Name and address of agent for service)

Registrant’s telephone number, including area code:      312-917-7700     

Date of fiscal year end:      7/31     

Date of reporting period:     10/31/14     

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

 

 

 

 

 

Nuveen Senior Income Fund (NSL)

 

 

 

 

 

October 31, 2014 (Unaudited)

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon (4)

 

Maturity (2)

 

Ratings (3)

 

Value

 

 

 

LONG-TERM INVESTMENTS - 153.7% (94.8% of Total Investments)

 

 

 

 

 

VARIABLE RATE SENIOR LOAN INTERESTS - 130.5% (80.5% of Total Investments) (4)

 

 

 

 

 

Aerospace & Defense - 0.5% (0.3% of Total Investments)

 

 

 

$     1,474

 

Sequa Corporation, Term Loan B

 

5.250%

 

6/19/17

 

B-

 

$      1,405,221

 

 

 

Airlines - 3.8% (2.3% of Total Investments)

 

 

 

 

 

 

 

 

 

2,000

 

American Airlines, Inc., Term Loan B, First Lien

 

4.250%

 

10/08/21

 

Ba2

 

1,994,500

 

1,474

 

American Airlines, Inc., Term Loan

 

3.750%

 

6/27/19

 

Ba2

 

1,455,365

 

3,925

 

Delta Air Lines, Inc., Term Loan B1

 

3.250%

 

10/18/18

 

BBB-

 

3,852,284

 

983

 

Delta Air Lines, Inc., Term Loan B2

 

2.403%

 

4/18/16

 

Ba1

 

976,359

 

2,475

 

US Airways, Inc., Term Loan B1

 

3.500%

 

5/23/19

 

Ba2

 

2,420,859

 

10,857

 

Total Airlines

 

 

 

 

 

 

 

10,699,367

 

 

 

Automobiles - 2.7% (1.7% of Total Investments)

 

 

 

 

 

 

 

 

 

3,483

 

Chrysler Group LLC, Tranche B, Term Loan

 

3.250%

 

12/31/18

 

BB+

 

3,455,295

 

3,341

 

Formula One Group, Term Loan, First Lien

 

4.750%

 

7/30/21

 

B

 

3,314,810

 

1,000

 

Formula One Group, Term Loan, Second Lien

 

7.750%

 

7/29/22

 

CCC+

 

999,375

 

7,824

 

Total Automobiles

 

 

 

 

 

 

 

7,769,480

 

 

 

Building Products - 1.0% (0.7% of Total Investments)

 

 

 

 

 

 

 

1,600

 

Gates Global LLC, Term Loan

 

4.250%

 

7/03/21

 

B+

 

1,584,429

 

1,428

 

Quikrete Holdings, Inc., Term Loan, First Lien

 

4.000%

 

9/28/20

 

B+

 

1,415,281

 

3,028

 

Total Building Products

 

 

 

 

 

 

 

2,999,710

 

 

 

Capital Markets - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

 

 

1,485

 

Guggenheim Partners LLC, Initial Term Loan

 

4.250%

 

7/22/20

 

N/R

 

1,477,575

 

 

 

Chemicals - 2.9% (1.8% of Total Investments)

 

 

 

 

 

 

 

 

 

1,872

 

Ineos US Finance LLC, Cash Dollar, Term Loan

 

3.750%

 

5/04/18

 

BB-

 

1,848,121

 

3,913

 

Mineral Technologies, Inc., Term Loan B, First Lien

 

4.000%

 

5/07/21

 

BB

 

3,893,022

 

983

 

PQ Corporation, Term Loan B

 

4.000%

 

8/07/17

 

B+

 

973,903

 

1,424

 

Univar, Inc., Term Loan

 

5.000%

 

6/30/17

 

B+

 

1,417,229

 

8,192

 

Total Chemicals

 

 

 

 

 

 

 

8,132,275

 

 

 

Commercial Services & Supplies - 3.2% (2.0% of Total Investments)

 

 

 

 

 

338

 

CCS Income Trust, Term Loan, First Lien

 

6.250%

 

5/12/18

 

B-

 

329,140

 

754

 

Education Management LLC, Tranche C2, Term Loan

 

5.250%

 

6/01/16

 

Caa3

 

343,288

 

488

 

HMH Holdings, Inc., Term Loan, First Lien

 

4.250%

 

5/22/18

 

B1

 

486,281

 

2,421

 

iQor US, Inc., Term Loan, First Lien

 

6.000%

 

4/01/21

 

B

 

2,245,139

 

750

 

iQor US, Inc., Term Loan, Second Lien

 

9.750%

 

4/01/22

 

CCC+

 

661,875

 

4,988

 

Millennium Laboratories, Inc., Tranche B, Term Loan

 

5.250%

 

4/16/21

 

B+

 

4,996,852

 

9,739

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

9,062,575

 

 

 

Communications Equipment - 1.3% (0.8% of Total Investments)

 

 

 

 

 

3,217

 

Avaya, Inc., Term Loan B3

 

4.652%

 

10/26/17

 

B1

 

3,116,798

 

496

 

Avaya, Inc., Term Loan B6

 

6.500%

 

3/31/18

 

B1

 

492,784

 

3,713

 

Total Communications Equipment

 

 

 

 

 

 

 

3,609,582

 

 

 

Computers & Peripherals - 3.1% (1.9% of Total Investments)

 

 

 

 

 

 

 

8,910

 

Dell, Inc., Term Loan B

 

4.500%

 

4/29/20

 

BB+

 

8,934,805

 

 

 

Containers & Packaging - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

 

1,297

 

BWAY Holding Company, Term Loan B, First Lien

 

5.500%

 

8/14/20

 

B2

 

1,303,234

 

 

 

Diversified Consumer Services - 6.2% (3.8% of Total Investments)

 

 

 

 

 

 

 

3,357

 

Cengage Learning Acquisitions, Inc., Exit Term Loan

 

7.000%

 

3/31/20

 

B+

 

3,366,484

 

2,959

 

Harland Clarke Holdings Corporation, Term Loan B3

 

7.000%

 

5/22/18

 

B+

 

2,994,122

 

6,598

 

Hilton Hotels Corporation, Term Loan B2, DD1

 

3.500%

 

10/25/20

 

BB+

 

6,542,113

 

1,340

 

Laureate Education, Inc., Term Loan B

 

5.000%

 

6/15/18

 

B

 

1,296,009

 

1,769

 

New Albertson’s, Inc., Term Loan

 

4.750%

 

6/24/21

 

Ba3

 

1,751,538

 

1,679

 

ServiceMaster Company, Term Loan

 

4.250%

 

7/01/21

 

B+

 

1,665,618

 

17,702

 

Total Diversified Consumer Services

 

 

 

 

 

 

 

17,615,884

 

 

 

Diversified Financial Services - 1.4% (0.9% of Total Investments)

 

 

 

 

 

1,975

 

Home Loan Servicing Solutions, Ltd., Term Loan B

 

4.500%

 

6/26/20

 

BB-

 

1,862,030

 

626

 

Ocwen Financial Corporation, Term Loan B

 

5.000%

 

2/15/18

 

B1

 

605,126

 

1,481

 

RCS Capital, Term Loan

 

6.500%

 

4/29/19

 

B+

 

1,469,215

 

4,082

 

Total Diversified Financial Services

 

 

 

 

 

 

 

3,936,371

 

 

 

Diversified Telecommunication Services - 5.7% (3.5% of Total Investments)

 

 

 

 

 

865

 

Greeneden U.S. Holdings II LLC, Term Loan B

 

4.000%

 

2/08/20

 

B

 

854,013

 

2,000

 

Level 3 Financing, Inc., Term Loan B, First Lien, WI/DD

 

TBD

 

TBD

 

BB+

 

2,009,376

 

1,667

 

Level 3 Financing, Inc., Term Loan, Tranche B3

 

4.000%

 

8/01/19

 

BB

 

1,657,292

 

584

 

Presidio, Inc., Term Loan B

 

5.000%

 

3/31/17

 

B+

 

583,800

 

998

 

SBA Communication, Incremental Term Loan, Tranche B1

 

3.250%

 

3/24/21

 

BB

 

981,707

 

998

 

TelX Group, Inc., Initial Term Loan, First Lien

 

4.500%

 

4/09/20

 

B1

 

988,772

 

500

 

TelX Group, Inc., Initial Term Loan, Second Lien

 

7.500%

 

4/09/21

 

CCC

 

490,312

 

3,916

 

WideOpenWest Finance LLC, Term Loan B

 

4.750%

 

4/01/19

 

Ba3

 

3,918,119

 

1,849

 

Ziggo N.V., Term Loan B1

 

3.250%

 

1/15/22

 

BB-

 

1,803,537

 

1,191

 

Ziggo N.V., Term Loan B2

 

3.210%

 

1/15/22

 

BB-

 

1,162,234

 

1,960

 

Ziggo N.V., Term Loan B3, Delayed Draw, (5)

 

2.750%

 

1/15/22

 

BB-

 

1,911,459

 

16,528

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

16,360,621

 

 

 

Electronic Equipment, Instruments & Components - 0.6% (0.4% of Total Investments)

 

 

 

1,605

 

SMART Modular Technologies, Inc., Term Loan B

 

8.250%

 

8/26/17

 

B

 

1,596,619

 

 

 

Energy Equipment & Services - 1.8% (1.1% of Total Investments)

 

 

 

 

 

3,088

 

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

 

6.000%

 

3/31/21

 

B+

 

2,966,155

 

361

 

Dynamic Energy Services International LLC, Term Loan

 

9.500%

 

3/06/18

 

Ba3

 

354,454

 

1,048

 

Offshore Group Investment Limited, Term Loan B

 

5.000%

 

10/25/17

 

B-

 

984,935

 

922

 

Pacific Drilling S.A., Term Loan B

 

4.500%

 

6/03/18

 

B+

 

886,852

 

5,419

 

Total Energy Equipment & Services

 

 

 

 

 

 

 

5,192,396

 

 

 

Food & Staples Retailing - 7.6% (4.7% of Total Investments)

 

 

 

 

 

2,480

 

Albertson’s LLC, Term Loan B2

 

4.750%

 

3/21/19

 

BB-

 

2,476,942

 

1,000

 

Albertson’s LLC, Term Loan B4, First Lien

 

4.500%

 

8/08/21

 

BB-

 

1,001,300

 

12,000

 

Albertson’s LLC, Term Loan B4

 

4.500%

 

8/25/21

 

BB-

 

12,015,828

 

2,373

 

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

 

4.500%

 

9/26/19

 

B-

 

2,350,201

 

2,000

 

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

 

8.500%

 

3/26/20

 

CCC

 

2,006,000

 

750

 

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

 

4.875%

 

6/21/21

 

B

 

752,110

 

981

 

Supervalu, Inc., New Term Loan

 

4.500%

 

3/21/19

 

B+

 

968,756

 

21,584

 

Total Food & Staples Retailing

 

 

 

 

 

 

 

21,571,137

 

 

 

Food Products - 9.3% (5.7% of Total Investments)

 

 

 

 

 

 

 

 

 

7,953

 

H.J Heinz Company, Term Loan B2

 

3.500%

 

6/05/20

 

BB

 

7,913,331

 

998

 

Hearthside Group Holdings, Term Loan, First Lien

 

4.500%

 

6/02/21

 

B1

 

993,136

 

4,000

 

Jacobs Douwe Egberts, Term Loan B

 

3.500%

 

7/23/21

 

BB

 

3,950,000

 

2,175

 

Pinnacle Foods Finance LLC, Term Loan G

 

3.250%

 

4/29/20

 

BB

 

2,137,380

 

8,046

 

US Foods, Inc., Incremental Term Loan

 

4.500%

 

3/31/19

 

B2

 

8,033,952

 

3,550

 

Wilton Products, Inc., Tranche B, Term Loan

 

7.500%

 

8/30/18

 

B-

 

3,354,920

 

26,722

 

Total Food Products

 

 

 

 

 

 

 

26,382,719

 

 

 

Health Care Equipment & Supplies - 3.4% (2.1% of Total Investments)

 

 

 

 

 

1,291

 

Ardent Medical Services, Inc., Term Loan, First Lien

 

6.750%

 

7/02/18

 

B+

 

1,295,779

 

714

 

Ardent Medical Services, Inc., Term Loan, Second Lien

 

11.000%

 

1/02/19

 

CCC+

 

717,411

 

1,007

 

ConvaTec, Inc., Dollar Term Loan

 

4.000%

 

12/22/16

 

Ba3

 

1,001,703

 

2,122

 

Kinetic Concepts, Inc., Term Loan D1, DD1

 

4.000%

 

5/04/18

 

BB-

 

2,110,391

 

3,637

 

Onex Carestream Finance LP, Term Loan, First Lien

 

5.000%

 

6/07/19

 

B+

 

3,646,453

 

973

 

Onex Carestream Finance LP, Term Loan, Second Lien

 

9.500%

 

12/07/19

 

B-

 

965,754

 

9,744

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

9,737,491

 

 

 

Health Care Providers & Services - 5.0% (3.1% of Total Investments)

 

 

 

 

 

313

 

BioScrip, Inc., Delayed Draw, Term Loan

 

6.500%

 

7/31/20

 

B1

 

315,079

 

522

 

BioScrip, Inc., Initial Term Loan B

 

6.500%

 

7/31/20

 

B1

 

525,132

 

1,504

 

Community Health Systems, Inc., Term Loan D

 

4.250%

 

1/27/21

 

BB

 

1,507,263

 

6

 

Community Health Systems, Inc., Term Loan E

 

3.485%

 

1/25/17

 

BB

 

5,703

 

2,319

 

DaVita HealthCare Partners, Inc., Tranche B, Term Loan

 

3.500%

 

6/24/21

 

Ba1

 

2,300,578

 

3,690

 

Drumm Investors LLC, Term Loan

 

6.750%

 

5/04/18

 

B

 

3,725,545

 

578

 

Genesis Healthcare LLC, Term Loan

 

10.000%

 

12/04/17

 

B

 

602,291

 

983

 

Heartland Dental Care, Inc., Term Loan, First Lien

 

5.500%

 

12/21/18

 

B1

 

982,522

 

500

 

Heartland Dental Care, Inc., Term Loan, Second Lien

 

9.750%

 

6/21/19

 

CCC+

 

502,812

 

868

 

LHP Operations Co. LLC, Term Loan B

 

9.000%

 

7/03/18

 

B-

 

835,858

 

541

 

National Mentor Holdings, Inc., Term Loan B

 

4.750%

 

1/31/21

 

B1

 

537,541

 

1,981

 

One Call Care Management, Inc., Term Loan B

 

5.000%

 

11/27/20

 

B1

 

1,979,394

 

493

 

Skilled Healthcare Group, Inc., Term Loan

 

7.000%

 

4/09/16

 

B

 

493,820

 

14,298

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

14,313,538

 

 

 

Health Care Technology - 0.8% (0.5% of Total Investments)

 

 

 

 

 

 

 

2,344

 

Catalent Pharma Solutions, Inc., Term Loan

 

4.500%

 

5/20/21

 

BB

 

2,344,545

 

 

 

Hotels, Restaurants & Leisure - 7.4% (4.6% of Total Investments)

 

 

 

 

 

 

 

5,278

 

Burger King Corporation, Term Loan B, First Lien

 

4.500%

 

10/27/21

 

B+

 

5,281,810

 

3,593

 

CCM Merger, Inc., Term Loan B

 

4.500%

 

8/08/21

 

B+

 

3,584,096

 

2,955

 

CityCenter Holdings LLC, Term Loan

 

4.250%

 

10/16/20

 

B

 

2,941,812

 

550

 

Extended Stay America, Inc., Term Loan

 

5.000%

 

6/24/19

 

B+

 

553,438

 

1,676

 

Intrawest Resorts Holdings, Inc., Initial Term Loan

 

5.500%

 

12/09/20

 

B+

 

1,682,063

 

1,474

 

MGM Resorts International, Term Loan B

 

3.500%

 

12/20/19

 

BB

 

1,458,321

 

1,000

 

Scientific Games Corporation, Term Loan B2

 

6.000%

 

10/01/21

 

BB-

 

980,781

 

1,985

 

Scientific Games Corporation, Term Loan

 

4.250%

 

10/18/20

 

BB-

 

1,949,021

 

919

 

Seaworld Parks and Entertainment, Inc., Term Loan B2

 

3.000%

 

5/14/20

 

BB

 

881,448

 

1,908

 

Station Casino LLC, Term Loan B

 

4.250%

 

3/02/20

 

B1

 

1,883,789

 

21,338

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

21,196,579

 

 

 

Household Durables - 0.2% (0.1% of Total Investments)

 

 

 

 

 

 

 

466

 

Serta Simmons Holdings LLC, Term Loan

 

4.250%

 

10/01/19

 

B+

 

462,150

 

 

 

Industrial Conglomerates - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

 

1,489

 

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

 

4.750%

 

11/26/20

 

B1

 

1,480,562

 

 

 

Insurance - 2.2% (1.4% of Total Investments)

 

 

 

 

 

 

 

 

 

736

 

Alliant Holdings I LLC, Initial Term Loan B, First Lien

 

4.250%

 

12/20/19

 

B+

 

726,075

 

2,724

 

Hub International Holdings, Inc., Initial Term Loan

 

4.250%

 

10/02/20

 

B1

 

2,689,693

 

2,953

 

USI Holdings Corporation, Initial Term Loan

 

4.250%

 

12/27/19

 

B1

 

2,923,151

 

6,413

 

Total Insurance

 

 

 

 

 

 

 

6,338,919

 

 

 

Internet & Catalog Retail - 1.1% (0.7% of Total Investments)

 

 

 

 

 

 

 

3,000

 

Travelport LLC, Term Loan B, First Lien, DD1

 

6.000%

 

9/02/21

 

B2

 

2,995,125

 

 

 

Internet Software & Services - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

 

495

 

Sabre Inc., Term Loan B2

 

4.000%

 

2/19/19

 

Ba3

 

488,039

 

116

 

Sabre Inc., Term Loan C

 

3.500%

 

2/18/18

 

Ba3

 

115,594

 

737

 

Sabre Inc., Term Loan

 

4.000%

 

2/18/19

 

Ba3

 

727,019

 

1,348

 

Total Internet Software & Services

 

 

 

 

 

 

 

1,330,652

 

 

 

IT Services - 2.1% (1.3% of Total Investments)

 

 

 

 

 

 

 

 

 

4,411

 

EIG Investors Corp., Term Loan

 

5.000%

 

11/09/19

 

B

 

4,410,990

 

394

 

VFH Parent LLC, New Term Loan

 

5.774%

 

11/08/19

 

N/R

 

393,517

 

1,103

 

Zayo Group LLC, Term Loan B

 

4.000%

 

7/02/19

 

B1

 

1,094,868

 

5,908

 

Total IT Services

 

 

 

 

 

 

 

5,899,375

 

 

 

Leisure Equipment & Products - 2.0% (1.2% of Total Investments)

 

 

 

 

 

 

1,995

 

24 Hour Fitness Worldwide, Inc., Term Loan B

 

4.750%

 

5/28/21

 

Ba3

 

1,983,768

 

2,017

 

Bombardier Recreational Products, Inc., Term Loan

 

4.000%

 

1/30/19

 

B+

 

1,985,877

 

1,182

 

Equinox Holdings, Inc., New Initial Term Loan B

 

4.250%

 

1/31/20

 

Ba3

 

1,171,659

 

500

 

Four Seasons Holdings, Inc., Term Loan, Second Lien

 

6.250%

 

12/27/20

 

B-

 

503,750

 

5,694

 

Total Leisure Equipment & Products

 

 

 

 

 

 

 

5,645,054

 

 

 

Machinery - 1.3% (0.8% of Total Investments)

 

 

 

 

 

 

 

 

 

3,159

 

Doosan Infracore International, Inc., Term Loan

 

4.500%

 

5/27/21

 

BB-

 

3,165,329

 

502

 

Rexnord LLC, Term Loan B

 

4.000%

 

8/21/20

 

BB-

 

495,262

 

3,661

 

Total Machinery

 

 

 

 

 

 

 

3,660,591

 

 

 

Media - 18.0% (11.1% of Total Investments)

 

 

 

 

 

 

 

 

 

714

 

Acosta, Inc., Term Loan

 

5.000%

 

9/26/21

 

B1

 

715,027

 

42

 

Advantage Sales & Marketing, Inc., Delayed Draw, Term Loan, (5)

 

3.750%

 

7/23/21

 

B1

 

41,590

 

1,258

 

Advantage Sales & Marketing, Inc., Term Loan, First Lien

 

4.250%

 

7/25/21

 

B1

 

1,247,685

 

950

 

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

 

7.500%

 

7/25/22

 

CCC+

 

947,229

 

814

 

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

 

8.500%

 

10/31/18

 

B3

 

761,872

 

581

 

Affinion Group Holdings, Inc., Term Loan, First Lien

 

6.750%

 

4/30/18

 

B1

 

564,358

 

1,496

 

Catalina Marketing Corporation, Term Loan, First Lien

 

4.500%

 

4/09/21

 

B+

 

1,449,492

 

1,000

 

Catalina Marketing Corporation, Term Loan, Second Lien

 

7.750%

 

4/11/22

 

CCC+

 

956,250

 

1,363

 

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

 

6.904%

 

1/30/19

 

CCC+

 

1,291,242

 

2,111

 

Clear Channel Communications, Inc. Term Loan E

 

7.654%

 

7/30/19

 

CCC+

 

2,045,922

 

6,367

 

Cumulus Media, Inc., Term Loan B

 

4.250%

 

12/23/20

 

B+

 

6,286,195

 

1,359

 

Emerald Expositions Holdings, Inc., Term Loan, First Lien

 

4.750%

 

6/17/20

 

BB-

 

1,359,111

 

499

 

Gray Television, Inc., Initial Term Loan

 

3.750%

 

6/13/21

 

BB

 

494,282

 

998

 

IMG Worldwide, Inc., First Lien

 

5.250%

 

5/06/21

 

B1

 

984,200

 

2,243

 

Interactive Data Corporation, Term Loan B

 

4.750%

 

5/02/21

 

B+

 

2,247,180

 

1,686

 

McGraw-Hill Education Holdings LLC, Refinancing Term Loan

 

5.750%

 

3/22/19

 

B+

 

1,691,637

 

236

 

Media General, Inc., Delayed Draw, Term Loan

 

4.250%

 

7/31/20

 

BB-

 

235,209

 

980

 

Mediacom Broadband LLC, Tranche G, Term Loan

 

4.000%

 

1/20/20

 

BB

 

967,138

 

1,608

 

Numericable Group S.A., Term Loan B1

 

4.500%

 

5/21/20

 

Ba3

 

1,614,062

 

1,392

 

Numericable Group S.A., Term Loan B2

 

4.500%

 

5/21/20

 

Ba3

 

1,396,384

 

1,838

 

Radio One, Inc., Term Loan B, First Lien

 

7.500%

 

3/31/16

 

B+

 

1,851,469

 

1,215

 

Springer Science & Business Media, Inc., Term Loan B3

 

4.750%

 

8/14/20

 

B

 

1,207,462

 

14,578

 

Tribune Company, Term Loan B

 

4.000%

 

12/27/20

 

BB+

 

14,495,845

 

3,851

 

Univision Communications, Inc., Replacement Term Loan, First Lien

 

4.000%

 

3/01/20

 

B+

 

3,817,538

 

1,013

 

Weather Channel Corporation, Term Loan, Second Lien

 

7.000%

 

6/26/20

 

B3

 

997,581

 

1,314

 

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

 

3.750%

 

7/01/20

 

B+

 

1,275,154

 

357

 

Yell Group PLC, Term Loan A2

 

5.233%

 

3/01/19

 

CCC+

 

396,050

 

31

 

Yell Group PLC, Term Loan A2, (6)

 

1.500%

 

3/03/19

 

CCC+

 

 

756

 

Yell Group PLC, Term Loan B2, PIK, (6)

 

0.000%

 

3/03/24

 

CCC-

 

 

52,650

 

Total Media

 

 

 

 

 

 

 

51,337,164

 

 

 

Multiline Retail - 1.3% (0.8% of Total Investments)

 

 

 

 

 

 

 

 

 

1,544

 

Hudson’s Bay Company, Term Loan B, First Lien

 

4.750%

 

11/04/20

 

BB

 

1,548,333

 

2,244

 

J.C. Penney Corporation, Inc., Term Loan

 

5.000%

 

6/20/19

 

B

 

2,197,385

 

3,788

 

Total Multiline Retail

 

 

 

 

 

 

 

3,745,718

 

 

 

Oil, Gas & Consumable Fuels - 3.1% (1.9% of Total Investments)

 

 

 

 

 

 

 

393

 

Citgo Petroleum Corporation, Term Loan B

 

4.500%

 

7/29/21

 

B+

 

393,430

 

1,293

 

Crestwood Holdings LLC, Term Loan B

 

7.000%

 

6/19/19

 

B

 

1,293,266

 

1,995

 

Energy and Exploration Partners, Term Loan

 

7.750%

 

1/22/19

 

N/R

 

1,839,141

 

1,572

 

Fieldwood Energy LLC, Term Loan, Second Lien

 

8.375%

 

9/30/20

 

B2

 

1,518,959

 

202

 

Samson Investment Company, Tranche 1, Term Loan, Second Lien

 

5.000%

 

9/25/18

 

B1

 

188,214

 

1,865

 

Seadrill Partners LLC, Initial Term Loan

 

4.000%

 

2/21/21

 

BB-

 

1,769,937

 

365

 

Southcross Energy Partners L.P., Opco Term Loan

 

5.250%

 

8/04/21

 

B1

 

364,027

 

547

 

Southcross Holdings Borrower L.P., Holdco Term Loan

 

6.000%

 

8/04/21

 

B2

 

542,277

 

993

 

Western Refining, Inc., Term Loan B

 

4.250%

 

11/12/20

 

BB-

 

982,989

 

9,225

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

8,892,240

 

 

 

Pharmaceuticals - 7.2% (4.4% of Total Investments)

 

 

 

 

 

 

 

790

 

Generic Drug Holdings, Inc., Term Loan B

 

5.000%

 

8/16/20

 

B1

 

791,975

 

2,000

 

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (7)

 

0.000%

 

5/03/13

 

N/R

 

12,500

 

95

 

Graceway Pharmaceuticals LLC, Term Loan, (7)

 

0.000%

 

5/03/12

 

N/R

 

95,707

 

2,985

 

Grifols, Inc., Term Loan

 

3.154%

 

2/27/21

 

Ba1

 

2,950,061

 

1,790

 

Par Pharmaceutical Companies, Inc., Term Loan B2

 

4.000%

 

9/30/19

 

B1

 

1,761,734

 

998

 

Patheon, Inc., Term Loan B

 

4.250%

 

3/11/21

 

B

 

971,850

 

2,663

 

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

 

4.000%

 

12/01/18

 

Ba3

 

2,647,334

 

2,969

 

Pharmaceutical Research Associates, Inc., Term Loan

 

4.500%

 

9/23/20

 

B1

 

2,940,300

 

2,321

 

Quintiles Transnational Corp., Term Loan B3

 

3.750%

 

6/08/18

 

BB

 

2,303,512

 

1,449

 

Therakos, Inc., Term Loan, First Lien

 

7.500%

 

12/27/17

 

B

 

1,454,007

 

1,318

 

Valeant Pharmaceuticals International, Inc., Term Loan E

 

3.500%

 

8/05/20

 

Ba1

 

1,310,254

 

3,187

 

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

 

3.500%

 

2/13/19

 

Ba1

 

3,164,653

 

22,565

 

Total Pharmaceuticals

 

 

 

 

 

 

 

20,403,887

 

 

 

Professional Services - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

 

746

 

Ceridian Corporation, Term Loan B1

 

4.121%

 

5/01/17

 

B1

 

746,466

 

778

 

Ceridian Corporation, Term Loan B2

 

4.500%

 

9/15/20

 

B1

 

772,956

 

1,524

 

Total Professional Services

 

 

 

 

 

 

 

1,519,422

 

 

 

Real Estate Investment Trust - 2.2% (1.3% of Total Investments)

 

 

 

 

 

 

 

2,463

 

Realogy Corporation, Initial Term Loan B

 

3.750%

 

3/05/20

 

BB

 

2,439,861

 

1,478

 

Starwood Property Trust, Inc., Term Loan B

 

3.500%

 

4/17/20

 

BB+

 

1,446,103

 

2,449

 

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

 

4.750%

 

12/18/20

 

B+

 

2,320,543

 

6,390

 

Total Real Estate Investment Trust

 

 

 

 

 

 

 

6,206,507

 

 

 

Real Estate Management & Development - 1.3% (0.8% of Total Investments)

 

 

 

 

 

1,861

 

Capital Automotive LP, Term Loan, Second Lien

 

6.000%

 

4/30/20

 

B1

 

1,889,367

 

1,870

 

Capital Automotive LP, Term Loan, Tranche B1

 

4.000%

 

4/10/19

 

Ba2

 

1,862,978

 

3,731

 

Total Real Estate Management & Development

 

 

 

 

 

 

 

3,752,345

 

 

 

Semiconductors & Semiconductor Equipment - 3.8% (2.4% of Total Investments)

 

 

 

 

 

4,987

 

Avago Technologies, Term Loan B

 

3.750%

 

5/06/21

 

BBB-

 

4,978,592

 

3,458

 

Freescale Semiconductor, Inc., Term Loan, Tranche B4

 

4.250%

 

2/28/20

 

B1

 

3,417,249

 

1,485

 

Freescale Semiconductor, Inc., Term Loan, Tranche B5

 

5.000%

 

1/15/21

 

B1

 

1,485,619

 

976

 

NXP Semiconductor LLC, Term Loan D

 

3.250%

 

1/11/20

 

BB+

 

967,923

 

10,906

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

 

 

10,849,383

 

 

 

Software - 9.2% (5.7% of Total Investments)

 

 

 

 

 

 

 

 

 

2,265

 

Attachmate Corporation, Term Loan, First Lien

 

7.250%

 

11/22/17

 

BB-

 

2,268,655

 

1,117

 

Blackboard, Inc., Term Loan B3

 

4.750%

 

10/04/18

 

B+

 

1,119,720

 

3,113

 

BMC Software, Inc., Initial Term Loan

 

5.000%

 

9/10/20

 

B1

 

3,078,466

 

1,010

 

Datatel Parent Corp, Term Loan B1

 

4.000%

 

7/19/18

 

B+

 

1,002,858

 

1,053

 

Emdeon Business Services LLC, Term Loan B2

 

3.750%

 

11/02/18

 

BB-

 

1,045,186

 

625

 

Epicor Software Corporation, Term Loan, B2

 

4.000%

 

5/16/18

 

Ba3

 

621,653

 

953

 

Explorer Holdings, Inc., Term Loan

 

6.000%

 

5/02/18

 

B+

 

953,550

 

6,505

 

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

 

3.750%

 

6/03/20

 

Ba3

 

6,416,270

 

900

 

Micro Focus International PLC, Term Loan B, WI/DD

 

TBD

 

TBD

 

BB-

 

872,100

 

1,350

 

Micro Focus International PLC, Term Loan C, WI/DD

 

TBD

 

TBD

 

BB-

 

1,309,500

 

3,430

 

Misys PLC, Term Loan B, First Lien

 

5.000%

 

12/12/18

 

B+

 

3,438,187

 

872

 

SunGard Data Systems, Inc., Term Loan E

 

4.000%

 

3/08/20

 

BB

 

868,967

 

946

 

Vertafore, Inc., Term Loan, First Lien

 

4.250%

 

10/03/19

 

B+

 

941,797

 

2,244

 

Zebra Technologies Corporation, Term Loan B, First Lien, WI/DD

 

TBD

 

TBD

 

BB+

 

2,263,537

 

26,383

 

Total Software

 

 

 

 

 

 

 

26,200,446

 

 

 

Specialty Retail - 0.8% (0.5% of Total Investments)

 

 

 

 

 

 

 

 

1,636

 

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

 

4.000%

 

3/16/18

 

B+

 

1,575,061

 

750

 

Pilot Travel Centers LLC, Term Loan B, First Lien

 

4.250%

 

9/30/21

 

BB

 

752,227

 

2,386

 

Total Specialty Retail

 

 

 

 

 

 

 

2,327,288

 

 

 

Textiles, Apparel & Luxury Goods - 0.7% (0.4% of Total Investments)

 

 

 

 

 

1,991

 

Polymer Group, Inc., Initial Term Loan

 

5.250%

 

12/19/19

 

B2

 

1,990,924

 

 

 

Trading Companies & Distributors - 1.9% (1.2% of Total Investments)

 

 

 

 

 

4,442

 

HD Supply, Inc., Term Loan

 

4.000%

 

6/28/18

 

B+

 

4,413,618

 

1,000

 

Neff Rental/Neff Finance Closing Date Loan, Second Lien

 

7.250%

 

6/09/21

 

CCC+

 

1,002,500

 

5,442

 

Total Trading Companies & Distributors

 

 

 

 

 

 

 

5,416,118

 

 

 

Transportation Infrastructure - 0.2% (0.1% of Total Investments)

 

 

 

 

 

31

 

Ceva Group PLC, Canadian Term Loan

 

6.500%

 

3/19/21

 

B2

 

29,646

 

180

 

Ceva Group PLC, Dutch B.V., Term Loan

 

6.500%

 

3/19/21

 

B2

 

171,945

 

172

 

Ceva Group PLC, Synthetic Letter of Credit Term Loan

 

6.500%

 

3/19/21

 

B2

 

163,871

 

248

 

Ceva Group PLC, US Term Loan

 

6.500%

 

3/19/21

 

B2

 

237,166

 

631

 

Total Transportation Infrastructure

 

 

 

 

 

 

 

602,628

 

 

 

Wireless Telecommunication Services - 1.7% (1.0% of Total Investments)

 

 

 

 

 

1,765

 

Asurion LLC, Term Loan B1

 

5.000%

 

5/24/19

 

Ba3

 

1,767,880

 

2,996

 

Fairpoint Communications, Inc., Term Loan B

 

7.500%

 

2/11/19

 

B

 

3,026,313

 

4,761

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

4,794,193

 

$378,237

 

Total Variable Rate Senior Loan Interests (cost $375,437,065)

 

 

 

 

 

371,492,415

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

 

 

 

 

 

 

Value

 

 

 

COMMON STOCKS - 2.4% (1.5% of Total Investments)

 

 

 

 

 

 

 

Diversified Consumer Services - 0.5% (0.4% of Total Investments)

 

 

 

 

 

53,514

 

Cengage Learning Holdings II LP

 

 

 

 

 

 

 

$      1,498,392

 

 

 

Hotels, Restaurants & Leisure - 0.5% (0.3% of Total Investments)

 

 

 

 

 

40,968

 

BLB Worldwide Holdings Inc., (9)

 

 

 

 

 

 

 

1,447,535

 

 

 

Media - 1.3% (0.8% of Total Investments)

 

 

 

 

 

 

 

 

 

3,479

 

Cumulus Media, Inc., (8)

 

 

 

 

 

 

 

13,429

 

32,017

 

Metro-Goldwyn-Mayer, (9)

 

 

 

 

 

 

 

2,357,252

 

18,422

 

Tribune Company

 

 

 

 

 

 

 

1,234,274

 

14,825

 

Tribune Company, (6)

 

 

 

 

 

 

 

 

4,605

 

Tribune Publishing Company

 

 

 

 

 

 

 

87,771

 

 

 

Total Media

 

 

 

 

 

 

 

3,692,726

 

 

 

Professional Services - 0.1% (0.0% of Total Investments)

 

 

 

 

 

 

 

47,152

 

Vertrue, Inc., (9)

 

 

 

 

 

 

 

84,874

 

 

 

Software - 0.0% (0.0% of Total Investments)

 

 

 

 

 

 

 

 

 

291,294

 

Eagle Topco LP, (6)

 

 

 

 

 

 

 

 

 

 

Total Common Stocks (cost $5,185,981)

 

 

 

 

 

 

 

6,723,527

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 

 

 

CONVERTIBLE BONDS - 0.3% (0.2% of Total Investments)

 

 

 

 

 

 

 

Communications Equipment - 0.3% (0.2% of Total Investments)

 

 

 

 

 

$      850

 

Nortel Networks Corp., (7)

 

1.750%

 

4/15/12

 

N/R

 

$        826,625

 

$      850

 

Total Convertible Bonds (cost $710,500)

 

 

 

 

 

 

 

826,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 

 

 

CORPORATE BONDS - 20.5% (12.6% of Total Investments)

 

 

 

 

 

 

 

Commercial Services & Supplies - 0.3% (0.2% of Total Investments)

 

 

 

 

 

$      900

 

NES Rental Holdings Inc., 144A

 

7.875%

 

5/01/18

 

CCC+

 

$        933,750

 

 

 

Communications Equipment - 0.8% (0.5% of Total Investments)

 

 

 

 

 

 

 

1,500

 

Avaya Inc., 144A

 

10.500%

 

3/01/21

 

CCC+

 

1,314,375

 

1,000

 

Nortel Networks Limited, (7)

 

0.000%

 

7/15/11

 

N/R

 

1,035,000

 

2,500

 

Total Communications Equipment

 

 

 

 

 

 

 

2,349,375

 

 

 

Consumer Finance - 0.4% (0.2% of Total Investments)

 

 

 

 

 

 

 

1,000

 

First Data Corporation, 144A

 

7.375%

 

6/15/19

 

BB-

 

1,060,000

 

 

 

Containers & Packaging - 1.0% (0.6% of Total Investments)

 

 

 

 

 

 

 

2,600

 

Reynolds Group

 

9.875%

 

8/15/19

 

CCC+

 

2,824,250

 

 

 

Diversified Telecommunication Services - 2.4% (1.5% of Total Investments)

 

 

 

 

 

2,000

 

IntelSat Limited

 

7.750%

 

6/01/21

 

B-

 

2,090,000

 

2,200

 

IntelSat Limited

 

8.125%

 

6/01/23

 

B-

 

2,337,500

 

2,286

 

Level 3 Communications Inc.

 

11.875%

 

2/01/19

 

B

 

2,463,165

 

6,486

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

6,890,665

 

 

 

Health Care Equipment & Supplies - 2.5% (1.5% of Total Investments)

 

 

 

 

 

2,025

 

Kinetic Concepts

 

10.500%

 

11/01/18

 

B-

 

2,232,563

 

1,000

 

Kinetic Concepts

 

12.500%

 

11/01/19

 

CCC+

 

1,102,500

 

3,500

 

Tenet Healthcare Corporation

 

6.000%

 

10/01/20

 

Ba2

 

3,762,500

 

6,525

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

7,097,563

 

 

 

Health Care Providers & Services - 2.2% (1.4% of Total Investments)

 

 

 

 

 

1,500

 

Community Health Systems, Inc.

 

5.125%

 

8/01/21

 

BB+

 

1,567,500

 

2,400

 

Community Health Systems, Inc.

 

6.875%

 

2/01/22

 

B

 

2,586,000

 

325

 

HCA Inc.

 

7.250%

 

9/15/20

 

BB+

 

344,500

 

600

 

IASIS Healthcare Capital Corporation

 

8.375%

 

5/15/19

 

CCC+

 

633,000

 

1,000

 

Truven Health Analytics Inc.

 

10.625%

 

6/01/20

 

CCC+

 

1,070,000

 

5,825

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

6,201,000

 

 

 

Media - 4.2% (2.6% of Total Investments)

 

 

 

 

 

 

 

 

 

1,524

 

Clear Channel Communications, Inc.

 

10.000%

 

1/15/18

 

CCC-

 

1,273,493

 

2,872

 

Clear Channel Communications, Inc.

 

9.000%

 

12/15/19

 

CCC+

 

2,902,515

 

5,277

 

Clear Channel Communications, Inc.

 

14.000%

 

2/01/21

 

CCC-

 

4,591,400

 

2,750

 

Clear Channel Communications, Inc.

 

9.000%

 

3/01/21

 

CCC+

 

2,750,000

 

500

 

McGraw-Hill Global Education Holdings

 

9.750%

 

4/01/21

 

BB

 

565,000

 

12,923

 

Total Media

 

 

 

 

 

 

 

12,082,408

 

 

 

Pharmaceuticals - 1.6% (1.0% of Total Investments)

 

 

 

 

 

 

 

750

 

Valeant Pharmaceuticals International, 144A

 

6.750%

 

8/15/18

 

B1

 

797,813

 

2,000

 

Valeant Pharmaceuticals International, 144A

 

7.000%

 

10/01/20

 

B1

 

2,095,000

 

500

 

Valeant Pharmaceuticals International, 144A

 

7.250%

 

7/15/22

 

B1

 

527,500

 

1,000

 

VPII Escrow Corporation, 144A

 

7.500%

 

7/15/21

 

B1

 

1,070,000

 

4,250

 

Total Pharmaceuticals

 

 

 

 

 

 

 

4,490,313

 

 

 

Professional Services - 0.2% (0.1% of Total Investments)

 

 

 

 

 

 

 

500

 

Ceridian Corporation, 144A

 

8.125%

 

11/15/17

 

CCC

 

500,000

 

 

 

Real Estate Investment Trust - 0.2% (0.2% of Total Investments)

 

 

 

 

 

 

 

750

 

iStar Financial Inc.

 

4.000%

 

11/01/17

 

BB-

 

742,875

 

 

 

Semiconductors & Semiconductor Equipment - 1.2% (0.7% of Total Investments)

 

 

 

 

 

1,000

 

Advanced Micro Devices, Inc.

 

6.750%

 

3/01/19

 

B

 

945,000

 

1,075

 

Advanced Micro Devices, Inc.

 

7.750%

 

8/01/20

 

B

 

1,010,500

 

1,500

 

Advanced Micro Devices, Inc.

 

7.500%

 

8/15/22

 

B

 

1,372,500

 

3,575

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

 

 

3,328,000

 

 

 

Software - 1.3% (0.8% of Total Investments)

 

 

 

 

 

 

 

 

 

1,330

 

BMC Software Finance Inc., 144A

 

8.125%

 

7/15/21

 

CCC+

 

1,273,475

 

700

 

Boxer Parent Company Inc./BMC Software, 144A

 

9.000%

 

10/15/19

 

CCC+

 

627,816

 

850

 

Infor Us Inc.

 

11.500%

 

7/15/18

 

B-

 

939,250

 

750

 

Infor Us Inc.

 

9.375%

 

4/01/19

 

B-

 

815,625

 

3,630

 

Total Software

 

 

 

 

 

 

 

3,656,166

 

 

 

Trading Companies & Distributors - 0.4% (0.2% of Total Investments)

 

 

 

 

 

1,000

 

HD Supply Inc.

 

8.125%

 

4/15/19

 

B+

 

1,080,000

 

 

 

Wireless Telecommunication Services - 1.8% (1.1% of Total Investments)

 

 

 

 

 

500

 

FairPoint Communications Inc., 144A

 

8.750%

 

8/15/19

 

B

 

527,500

 

500

 

Sprint Corporation, 144A

 

7.875%

 

9/15/23

 

BB-

 

541,250

 

2,000

 

Sprint Corporation, 144A

 

7.125%

 

6/15/24

 

BB-

 

2,055,000

 

1,750

 

T-Mobile USA Inc.

 

6.250%

 

4/01/21

 

BB

 

1,826,563

 

75

 

T-Mobile USA Inc.

 

6.731%

 

4/28/22

 

BB

 

79,313

 

75

 

T-Mobile USA Inc.

 

6.836%

 

4/28/23

 

BB

 

79,313

 

4,900

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

5,108,939

 

$  57,364

 

Total Corporate Bonds (cost $57,517,755)

 

 

 

 

 

 

 

58,345,304

 

 

 

Total Long-Term Investments (cost $438,851,301)

 

 

 

 

 

 

 

437,387,871

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

 

 

Value

 

 

 

SHORT-TERM INVESTMENTS - 8.4% (5.2% of Total Investments)

 

 

 

 

 

$  24,027

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/14, repurchase price $24,027,432, collateralized by $24,330,000 U.S. Treasury Notes, 2.125%, due 9/30/21, value $24,512,475

 

0.000%

 

11/03/14

 

 

 

$   24,027,432

 

 

 

Total Short-Term Investments (cost $24,027,432)

 

 

 

 

 

 

 

24,027,432

 

 

 

Total Investments (cost $462,878,733) - 162.1%

 

 

 

 

 

 

 

461,415,303

 

 

 

Borrowings - (39.3)% (10), (11)

 

 

 

 

 

 

 

(112,000,000

)

 

 

Variable Rate Term Preferred Shares, at Liquidation Value – (20.4)% (12)

 

 

 

(58,000,000

)

 

 

Other Assets Less Liabilities - (2.4)% (13)

 

 

 

 

 

 

 

(6,732,365

)

 

 

Net Assets Applicable to Common Shares - 100%

 

 

 

 

 

 

 

284,682,938

 

 

Investments in Derivatives as of October 31, 2014

 

Interest Rate Swaps outstanding:

 

 

 

 

 

Fund

 

 

 

 

 

Fixed Rate

 

 

 

Unrealized

 

 

 

Notional

 

Pay/Receive

 

 

 

Fixed Rate

 

Payment

 

Termination

 

Appreciation

 

Counterparty

 

Amount

 

Floating Rate

 

Floating Rate Index

 

(Annualized)

 

Frequency

 

Date

 

(Depreciation) (13)

 

Morgan Stanley

 

$  18,487,500

 

Receive

 

1-Month USD-LIBOR-BBA

 

2.201%

 

Monthly

 

4/20/16

 

$  (501,964)

 

 

 

 

Fair Value Measurements

 

 

 

 

 

Fair value is defined as the price that would be received 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:

 

 

 

 

 

 

 

 

 

 

 

Variable Rate Senior Loan Interests

 

$                

 

$  371,492,415

 

$    

*

$  371,492,415

 

 

 

Common Stocks

 

2,833,866

 

3,889,661

 

*

6,723,527

 

 

 

Convertible Bonds

 

 

826,625

 

 

826,625

 

 

 

Corporate Bonds

 

 

58,345,304

 

 

58,345,304

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

 

24,027,432

 

 

24,027,432

 

 

 

Investments in Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps**

 

 

(501,964

)

 

(501,964

)

 

 

Total

 

$  2,833,866

 

$  458,079,473

 

$    

*

$  460,913,339

 

 

 

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

 

 

**Represents net unrealized appreciation (depreciation).

 

 

 

 

 

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 timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

 

 

 

 

 

As of October 31, 2014, the cost of investments (excluding investments in derivatives) was $462,892,569.

 

 

 

 

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of October 31, 2014, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

 

 

 

 

Appreciation

 

 

 

 

 

$  6,325,029

 

 

 

Depreciation

 

 

 

 

 

(7,802,295

)

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

 

 

 

(1,477,266

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

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.

 

 

(3)

 

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.

 

 

(4)

 

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. The rate shown is the coupon as of the end of the reporting period.

 

 

(5)

 

Investment, or portion of investment, represents an unfunded senior loan commitment outstanding. As of the end of the reporting period the Fund had unfunded senior loan commitments outstanding of $1,980,542.

 

 

(6)

 

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

 

 

(7)

 

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

 

 

(8)

 

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

 

 

(9)

 

For fair value measurement disclosure purposes, Common Stock classified as Level 2.

 

 

(10)

 

Borrowings as a percentage of Total Investments is 24.3%.

 

 

(11)

 

The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for Borrowings.

 

 

(12)

 

Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 12.6%.

 

 

(13)

 

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

 

 

DD1

 

Portion of investment purchased on a delayed delivery basis.

 

 

WI/DD

 

Purchased on a when-issued or delayed delivery basis.

 

 

144A

 

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

 

 

TBD

 

Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a 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-BBA

 

United States Dollar – London Inter-Bank Offered Rate British Bankers’ Association.

 



 

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 Senior Income Fund

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: December 30, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By (Signature and Title)

/s/ Gifford R. Zimmerman

 

 

Gifford R. Zimmerman

 

 

Chief Administrative Officer (principal executive officer)

 

 

 

Date: December 30, 2014

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: December 30, 2014