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 811-21494
Nuveen Floating Rate 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: 10/31/2011
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 Floating Rate Income Fund (JFR) |
|
|
|
October 31, 2011 |
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
| |
|
Principal |
|
|
|
Average |
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (2) |
|
Ratings (3) |
|
Value |
| |
|
|
|
Variable Rate Senior Loan Interests – 121.6% (86.8% of Total Investments) (4) |
|
|
|
|
| |||||
|
|
|
Airlines – 1.8% (1.3% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
$ |
3,000 |
|
Delta Air Lines, Inc. Revolving Loan, Delayed Draw, (7), (14) |
0.750% |
|
3/28/13 |
|
Ba2 |
|
$ (181,875 |
) | |
|
10,294 |
|
United Air Lines Inc., Term Loan B |
|
2.250% |
|
2/01/14 |
|
BB- |
|
9,998,360 |
| |
|
13,294 |
|
Total Airlines |
|
|
|
|
|
|
|
9,816,485 |
| |
|
|
|
Auto Components – 3.0% (2.1% of Total Investments) |
|
|
|
|
|
|
| |||
|
520 |
|
Autoparts Holdings Limited, First Lien Term Loan |
|
6.500% |
|
7/29/17 |
|
B+ |
|
520,650 |
| |
|
889 |
|
Autoparts Holdings Limited, Second Lien Term Loan |
|
10.500% |
|
1/29/18 |
|
B- |
|
871,111 |
| |
|
10,267 |
|
Federal Mogul Corporation, Term Loan A |
|
2.178% |
|
12/29/14 |
|
Ba3 |
|
9,734,808 |
| |
|
5,670 |
|
Federal-Mogul Corporation, Term Loan B |
|
2.178% |
|
12/28/15 |
|
Ba3 |
|
5,375,908 |
| |
|
17,346 |
|
Total Auto Components |
|
|
|
|
|
|
|
16,502,477 |
| |
|
|
|
Automobiles – 0.8% (0.5% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
4,485 |
|
Chrysler Group LLC Term Loan |
|
6.000% |
|
5/24/17 |
|
BB |
|
4,250,470 |
| |
|
|
|
Biotechnology – 2.4% (1.7% of Total Investments) |
|
|
|
|
|
|
| |||
|
2,917 |
|
Alkermes Inc., First Lien Term Loan |
|
6.750% |
|
9/16/17 |
|
BB |
|
2,909,375 |
| |
|
1,333 |
|
Alkermes Inc., Second Lien Term Loan |
|
9.500% |
|
9/16/18 |
|
B |
|
1,320,000 |
| |
|
3,485 |
|
Carestream Health Inc, Term Loan B |
|
5.000% |
|
2/25/17 |
|
BB- |
|
3,137,067 |
| |
|
5,985 |
|
Grifols SA, Term Loan |
|
6.000% |
|
6/01/17 |
|
BB |
|
6,011,184 |
| |
|
13,720 |
|
Total Biotechnology |
|
|
|
|
|
|
|
13,377,626 |
| |
|
|
|
Building Products – 1.7% (1.2% of Total Investments) |
|
|
|
|
|
|
| |||
|
7,549 |
|
Goodman Global Holdings, Term Loan B |
|
5.750% |
|
10/28/16 |
|
B+ |
|
7,561,576 |
| |
|
2,000 |
|
Goodman Global Inc., Second Lien Term Loan |
|
9.000% |
|
10/28/17 |
|
B- |
|
2,013,750 |
| |
|
9,549 |
|
Total Building Products |
|
|
|
|
|
|
|
9,575,326 |
| |
|
|
|
Capital Markets – 0.9% (0.6% of Total Investments) |
|
|
|
|
|
|
| |||
|
1,398 |
|
BNY Convergex Group LLC, Term Loan |
|
5.250% |
|
12/19/16 |
|
B+ |
|
1,409,638 |
| |
|
587 |
|
BNY Convergex Group, Incremental Term Loan |
|
5.250% |
|
12/19/16 |
|
B+ |
|
591,490 |
| |
|
2,918 |
|
Citco Group Term Loan |
|
6.250% |
|
6/29/18 |
|
BB- |
|
2,837,451 |
| |
|
4,903 |
|
Total Capital Markets |
|
|
|
|
|
|
|
4,838,579 |
| |
|
|
|
Chemicals – 3.5% (2.5% of Total Investments) |
|
|
|
|
|
|
| |||
|
2,750 |
|
Ashland Inc., Term Loan B |
|
3.750% |
|
8/23/18 |
|
Baa3 |
|
2,766,041 |
| |
|
591 |
|
Hexion Specialty Chemicals, Inc., Term Loan C4 |
|
4.125% |
|
5/05/15 |
|
Ba3 |
|
565,433 |
| |
|
1,379 |
|
Hexion Specialty Chemicals, Term Loan C1 |
|
4.000% |
|
5/05/15 |
|
Ba3 |
|
1,319,361 |
| |
|
2,557 |
|
Ineos Group Holdings PLC, Term Loan C |
|
8.000% |
|
12/16/14 |
|
Ba3 |
|
2,630,822 |
| |
|
2,541 |
|
Ineos US Finance LLC, Tranche B2 |
|
7.500% |
|
12/16/13 |
|
Ba3 |
|
2,613,756 |
| |
|
2,858 |
|
Styron Corporation, Term Loan B |
|
6.000% |
|
8/02/17 |
|
B+ |
|
2,627,942 |
| |
|
7,342 |
|
Univar, Inc., Term Loan B |
|
5.000% |
|
6/30/17 |
|
B |
|
7,194,677 |
| |
|
20,018 |
|
Total Chemicals |
|
|
|
|
|
|
|
19,718,032 |
| |
|
|
|
Commercial Banks – 0.7% (0.5% of Total Investments) |
|
|
|
|
|
|
| |||
|
1,985 |
|
Fifth Third Processing Solutions LLC, Term Loan B |
|
4.500% |
|
11/03/16 |
|
BB- |
|
1,978,822 |
| |
|
1,995 |
|
SourceCorp First Lien Term Loan |
|
6.625% |
|
4/28/17 |
|
B+ |
|
1,695,750 |
| |
|
3,980 |
|
Total Commercial Banks |
|
|
|
|
|
|
|
3,674,572 |
| |
|
|
|
Commercial Services & Supplies – 1.1% (0.8% of Total Investments) |
|
|
|
|
| |||||
|
2,749 |
|
Ceridian Corporation, Term Loan, WI/DD |
|
TBD |
|
TBD |
|
B1 |
|
2,517,995 |
| |
|
2,411 |
|
KAR Auction Services Inc., Term Loan B |
|
5.000% |
|
5/19/17 |
|
BB- |
|
2,411,438 |
| |
|
98 |
|
ServiceMaster Company, Delayed Draw Term Loan |
|
2.750% |
|
7/24/14 |
|
B+ |
|
94,205 |
| |
|
986 |
|
ServiceMaster Company, Term Loan B |
|
2.760% |
|
7/24/14 |
|
B+ |
|
945,978 |
| |
|
6,244 |
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
5,969,616 |
| |
|
|
|
Communications Equipment – 3.3% (2.4% of Total Investments) |
|
|
|
|
| |||||
|
12,221 |
|
Avaya Inc., Term Loan |
|
3.064% |
|
10/27/14 |
|
B1 |
|
11,681,002 |
| |
|
1,645 |
|
Avaya Inc., Term Loan B3 |
|
4.814% |
|
10/26/17 |
|
B1 |
|
1,517,852 |
| |
|
4,326 |
|
Intelsat Term Loan |
|
5.250% |
|
4/02/18 |
|
BB- |
|
4,314,263 |
| |
|
872 |
|
Telcordia Technologies Inc Term Loan |
|
6.750% |
|
4/30/16 |
|
B+ |
|
867,560 |
| |
|
19,064 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
18,380,677 |
| |
|
|
|
Consumer Finance – 0.6% (0.5% of Total Investments) |
|
|
|
|
| |||||
|
912 |
|
Peach Holdings, Inc., Term Loan |
|
8.750% |
|
11/21/13 |
|
B3 |
|
818,762 |
| |
|
3,000 |
|
Springleaf Finance Corporation, Term Loan |
|
5.500% |
|
5/10/17 |
|
B+ |
|
2,763,126 |
| |
|
3,912 |
|
Total Consumer Finance |
|
|
|
|
|
|
|
3,581,888 |
| |
|
|
|
Containers & Packaging – 0.7% (0.5% of Total Investments) |
|
|
|
|
| |||||
|
3,741 |
|
Sealed Air Corporation, Term Loan B |
|
4.750% |
|
10/03/18 |
|
Ba1 |
|
3,783,485 |
| |
|
|
|
Diversified Consumer Services – 2.9% (2.1% of Total Investments) |
|
|
|
|
| |||||
|
4,960 |
|
Advantage Sales and Marketing LLC, Term Loan |
|
5.250% |
|
12/18/17 |
|
B+ |
|
4,885,612 |
| |
|
2,382 |
|
Brickman Group, Term Loan B |
|
7.250% |
|
10/14/16 |
|
B+ |
|
2,382,000 |
| |
|
2,985 |
|
Laureate Education, Inc., Delayed Term Loan |
|
5.250% |
|
6/16/18 |
|
B1 |
|
2,802,169 |
| |
|
7,144 |
|
Thomson Learning Center, Term Loan |
|
2.500% |
|
7/03/14 |
|
B+ |
|
6,163,668 |
| |
|
17,471 |
|
Total Diversified Consumer Services |
|
|
|
|
|
|
|
16,233,449 |
| |
|
|
|
Diversified Financial Services – 0.8% (0.6% of Total Investments) |
|
|
|
|
| |||||
|
1,689 |
|
FoxCo Acquisition LLC, Term Loan B |
|
4.750% |
|
7/14/15 |
|
B+ |
|
1,646,955 |
| |
|
3,000 |
|
UPC Financing Partnership, Term Loan AB, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
2,977,500 |
| |
|
4,689 |
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
4,624,455 |
| |
|
|
|
Diversified Telecommunication Services – 2.1% (1.5% of Total Investments) |
|
|
|
|
| |||||
|
3,000 |
|
CCO Holdings LLC, Third Lien Term Loan |
|
2.746% |
|
3/06/14 |
|
BB+ |
|
2,921,250 |
| |
|
6,800 |
|
Level 3 Financing, Inc., Term Loan |
|
2.648% |
|
3/13/14 |
|
Ba3 |
|
6,635,664 |
| |
|
1,987 |
|
WideOpenWest LLC, Term Loan |
|
2.745% |
|
6/30/14 |
|
B1 |
|
1,901,124 |
| |
|
11,787 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
11,458,038 |
| |
|
|
|
Electric Utilities – 0.6% (0.5% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
4,781 |
|
Texas Competitive Electric Holdings Company LLC., Series B |
|
3.760% |
|
10/10/14 |
|
B2 |
|
3,604,037 |
| |
|
|
|
Electronic Equipment & Instruments – 1.0% (0.7% of Total Investments) |
|
|
|
|
| |||||
|
498 |
|
NDS Group PLC Finance Term Loan B |
|
4.000% |
|
3/12/18 |
|
Ba2 |
|
489,416 |
| |
|
5,500 |
|
Smart Modular Technologies Term Loan B |
|
8.250% |
|
8/26/17 |
|
B+ |
|
5,005,000 |
| |
|
5,998 |
|
Total Electronic Equipment & Instruments |
|
|
|
|
|
|
|
5,494,416 |
| |
|
|
|
Energy Equipment & Services – 0.5% (0.4% of Total Investments) |
|
|
|
|
| |||||
|
2,956 |
|
Gibson Energy Inc., First Lien Term Loan |
|
5.750% |
|
6/15/18 |
|
BB- |
|
2,962,944 |
| |
|
|
|
Food & Staples Retailing – 5.2% (3.7% of Total Investments) |
|
|
|
|
| |||||
|
13,000 |
|
Reynolds Group Term Loan A |
|
6.500% |
|
8/09/18 |
|
BB- |
|
12,968,851 |
| |
|
17,495 |
|
US Foodservice, Term Loan B |
|
2.748% |
|
7/03/14 |
|
B |
|
16,283,314 |
| |
|
30,495 |
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
29,252,165 |
| |
|
|
|
Food Products – 2.3% (1.7% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
2,000 |
|
Great Atlantic & Pacific Tea Company Inc., DIP Term Loan |
|
8.750% |
|
6/14/12 |
|
BB- |
|
2,010,000 |
| |
|
4,957 |
|
Michael Foods Term Loan |
|
4.250% |
|
2/25/18 |
|
B+ |
|
4,920,240 |
| |
|
3,960 |
|
Pierre Foods Inc., Term Loan |
|
7.000% |
|
9/30/16 |
|
B+ |
|
3,931,951 |
| |
|
2,220 |
|
Pinnacle Foods Term Loan D |
|
6.000% |
|
4/02/14 |
|
Ba3 |
|
2,246,237 |
| |
|
13,137 |
|
Total Food Products |
|
|
|
|
|
|
|
13,108,428 |
| |
|
|
|
Health Care Equipment & Supplies – 2.0% (1.4% of Total Investments) |
|
|
|
|
| |||||
|
142 |
|
Fenwal Inc., Delayed Draw Term Loan |
|
2.573% |
|
2/28/14 |
|
B |
|
132,299 |
| |
|
829 |
|
Fenwal Inc., Term Loan |
|
2.573% |
|
2/28/14 |
|
B |
|
771,576 |
| |
|
10,000 |
|
Kinetic Concepts, Inc., Term Loan B |
|
7.000% |
|
10/20/18 |
|
Ba2 |
|
10,039,840 |
| |
|
10,971 |
|
Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
10,943,715 |
| |
|
|
|
Health Care Providers & Services – 11.6% (8.3% of Total Investments) |
|
|
|
|
| |||||
|
1,478 |
|
Ardent Health Services LLC, Term Loan |
|
6.500% |
|
9/15/15 |
|
B1 |
|
1,448,873 |
| |
|
403 |
|
Community Health Systems, Inc., Term Loan B |
|
2.569% |
|
7/25/14 |
|
BB |
|
391,506 |
| |
|
7,832 |
|
Community Health Systems, Inc., Term Loan |
|
2.569% |
|
7/25/14 |
|
BB |
|
7,617,551 |
| |
|
2,793 |
|
Gentiva Term Loan B |
|
4.750% |
|
8/17/16 |
|
Ba3 |
|
2,506,722 |
| |
|
13,815 |
|
Golden Gate National Senior Care LLC, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
12,628,804 |
| |
|
2,808 |
|
HCA, Term Loan B |
|
3.619% |
|
3/31/17 |
|
BB |
|
2,731,561 |
| |
|
1,126 |
|
Healthspring Inc Term Loan |
|
6.000% |
|
10/21/16 |
|
BB- |
|
1,120,047 |
| |
|
5,985 |
|
Kindred Healthcare Inc., Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
5,595,975 |
| |
|
4,137 |
|
LifeCare Holdings Inc, Term Loan B |
|
8.148% |
|
2/01/16 |
|
Caa1 |
|
3,940,619 |
| |
|
747 |
|
LifeCare Holdings New Term Loan |
|
13.651% |
|
2/01/16 |
|
Caa1 |
|
711,067 |
| |
|
2,785 |
|
MultiPlan, Inc., Term Loan |
|
4.750% |
|
8/26/17 |
|
Ba3 |
|
2,703,094 |
| |
|
5,224 |
|
National Mentor Inc., Series 144A |
|
7.000% |
|
2/09/17 |
|
B+ |
|
4,831,969 |
| |
|
1,191 |
|
Renal Advantage Inc, Term Loan B |
|
5.750% |
|
12/17/16 |
|
Ba3 |
|
1,192,489 |
| |
|
6,234 |
|
Select Medical Holdings Corporation, Term Loan B, DD1 |
|
5.500% |
|
6/01/18 |
|
BB- |
|
5,797,969 |
| |
|
1,455 |
|
Skilled Healthcare Group Inc., Term Loan |
|
5.250% |
|
4/09/16 |
|
B+ |
|
1,370,323 |
| |
|
2,179 |
|
Sun Healthcare Group, Inc., Term Loan |
|
7.500% |
|
10/18/16 |
|
Ba2 |
|
1,666,680 |
| |
|
1,630 |
|
Universal Health Services Term Loan B |
|
4.000% |
|
11/15/16 |
|
BB+ |
|
1,622,013 |
| |
|
6,879 |
|
Vanguard Health Systems Inc., Term Loan |
|
5.000% |
|
1/29/16 |
|
Ba2 |
|
6,838,482 |
| |
|
68,701 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
64,715,744 |
| |
|
|
|
Health Care Technology – 1.4% (1.0% of Total Investments) |
|
|
|
|
| |||||
|
7,667 |
|
Emdeon Business Services Loan, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
7,726,566 |
| |
|
|
|
Hotels, Restaurants & Leisure – 6.9% (4.9% of Total Investments) |
|
|
|
|
| |||||
|
4,938 |
|
24 Hour Fitness Worldwide, Inc., Term Loan B |
|
6.750% |
|
4/22/16 |
|
Ba3 |
|
4,810,977 |
| |
|
75 |
|
Buffets Term Loan |
|
1.784% |
|
4/22/15 |
|
Caa1 |
|
35,733 |
| |
|
2,800 |
|
Caesars Octavius Term Loan B |
|
9.250% |
|
4/25/17 |
|
B |
|
2,730,000 |
| |
|
957 |
|
CCM Merger Inc., Term Loan B |
|
7.000% |
|
3/01/17 |
|
B+ |
|
953,138 |
| |
|
1,500 |
|
Harrah’s Entertainment Inc., Term Loan B1 |
|
3.418% |
|
1/28/15 |
|
B |
|
1,328,840 |
| |
|
3,000 |
|
Harrah’s Operating Company, Inc., Term Loan B2 |
|
3.358% |
|
1/28/15 |
|
B |
|
2,651,250 |
| |
|
1,965 |
|
Harrah’s Operating Company, Term Loan B3 |
|
3.417% |
|
1/28/15 |
|
B |
|
1,739,054 |
| |
|
4,355 |
|
Orbitz Worldwide, Inc., Term Loan |
|
3.309% |
|
7/25/14 |
|
B+ |
|
3,791,269 |
| |
|
581 |
|
OSI Restaurant Partners, Inc., Term Loan |
|
3.158% |
|
6/14/13 |
|
B+ |
|
556,295 |
| |
|
5,217 |
|
OSI Restaurant Partners, Inc., Term Loan |
|
2.563% |
|
6/14/14 |
|
B+ |
|
4,995,098 |
| |
|
3,551 |
|
Reynolds Group Holdings Limited, Term Loan E |
|
6.500% |
|
2/09/18 |
|
BB |
|
3,548,778 |
| |
|
6,795 |
|
Seaworld Parks and Entertainment, Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB+ |
|
6,760,955 |
| |
|
4,300 |
|
Six Flags Inc Term Loan B |
|
5.250% |
|
6/30/16 |
|
BB |
|
4,313,438 |
| |
|
40,034 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
38,214,825 |
| |
|
|
|
Household Durables - 1.0% (0.8% of Total Investments) |
|
|
|
|
| |||||
|
5,840 |
|
Spectrum Brands, Inc., Term Loan |
|
5.001% |
|
6/17/16 |
|
B1 |
|
5,832,207 |
| |
|
|
|
Household Products – 1.9% (1.3% of Total Investments) |
|
|
|
|
| |||||
|
10,916 |
|
Visant Holding Corporation, Term Loan |
|
5.250% |
|
12/22/16 |
|
BB- |
|
10,383,479 |
| |
|
|
|
Industrial Conglomerates – 1.4% (1.0% of Total Investments) |
|
|
|
|
| |||||
|
665 |
|
Eagle Parent Inc., First Lien Term Loan |
|
5.000% |
|
5/16/18 |
|
Ba3 |
|
652,115 |
| |
|
1,840 |
|
Evertec Inc., Term Loan B |
|
5.250% |
|
9/30/16 |
|
BB- |
|
1,830,320 |
| |
|
2,027 |
|
Presidio Inc., Term Loan B |
|
7.250% |
|
3/31/17 |
|
Ba3 |
|
1,996,266 |
| |
|
2,500 |
|
Sequa Corporation. Term Loan |
|
3.622% |
|
12/03/14 |
|
B1 |
|
2,414,062 |
| |
|
986 |
|
U.S. Foodservice, Inc., Term Loan, First Lien |
|
5.750% |
|
3/31/17 |
|
B- |
|
933,260 |
| |
|
8,018 |
|
Total Industrial Conglomerates |
|
|
|
|
|
|
|
7,826,023 |
| |
|
|
|
Internet Software & Services – 3.0% (2.1% of Total Investments) |
|
|
|
|
| |||||
|
5,067 |
|
Go Daddy Group Inc, First Lien Term Loan, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
5,069,833 |
| |
|
752 |
|
Open Solutions Inc., Convertible Bonds |
|
2.545% |
|
1/23/14 |
|
BB- |
|
649,344 |
| |
|
2,940 |
|
Sabre, Inc., Term Loan |
|
2.297% |
|
9/30/14 |
|
B1 |
|
2,587,023 |
| |
|
3,914 |
|
SkillSoft PLC Term Loan |
|
6.500% |
|
5/26/17 |
|
BB- |
|
3,913,545 |
| |
|
5,000 |
|
Web.Com, Term Loan, First Lien, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
4,490,625 |
| |
|
17,673 |
|
Total Internet Software & Services |
|
|
|
|
|
|
|
16,710,370 |
| |
|
|
|
IT Services – 9.3% (6.7% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
5,000 |
|
Attachmate Corporation, First Lien Term Loan |
|
6.500% |
|
4/27/17 |
|
BB- |
|
4,893,750 |
| |
|
800 |
|
Attachmate Corporation, Second Lien Term Loan |
|
9.500% |
|
10/27/17 |
|
CCC+ |
|
764,000 |
| |
|
8,996 |
|
First Data Corporation, Term Loan B-1 |
|
2.995% |
|
9/24/14 |
|
B+ |
|
8,334,556 |
| |
|
2,657 |
|
First Data Corporation, Term Loan B-1 |
|
4.245% |
|
3/26/18 |
|
B+ |
|
2,308,987 |
| |
|
511 |
|
First Data Corporation, Term Loan B-2 |
|
2.995% |
|
9/24/14 |
|
B+ |
|
473,963 |
| |
|
1,948 |
|
First Data Corporation, Term Loan B-2 |
|
2.995% |
|
9/24/14 |
|
B+ |
|
1,805,478 |
| |
|
7,989 |
|
Frac Tech INternational LLC, Term Loan B |
|
6.250% |
|
5/06/16 |
|
B+ |
|
7,959,069 |
| |
|
5,048 |
|
Infor Global Payment-in-Kind Term Loan |
|
8.260% |
|
9/02/14 |
|
B- |
|
2,868,832 |
| |
|
1,650 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan |
|
6.496% |
|
3/02/14 |
|
CCC+ |
|
1,361,250 |
| |
|
1,835 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan |
|
6.000% |
|
7/28/15 |
|
B+ |
|
1,737,287 |
| |
|
3,510 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan |
|
6.000% |
|
7/28/15 |
|
B+ |
|
3,375,920 |
| |
|
2,850 |
|
Infor Global Solutions, Second Lien Term Loan B1 |
|
6.496% |
|
3/02/14 |
|
CCC+ |
|
2,322,750 |
| |
|
1,988 |
|
Infor Global Solutions, Term Loan B2 |
|
7.250% |
|
7/28/15 |
|
B+ |
|
1,799,172 |
| |
|
5,500 |
|
SRA International Inc., Term Loan B |
|
6.500% |
|
7/20/18 |
|
B1 |
|
5,227,294 |
| |
|
2,535 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.993% |
|
2/28/14 |
|
BB |
|
2,503,871 |
| |
|
1,371 |
|
Syniverse Holdings Term Loan |
|
5.250% |
|
12/21/17 |
|
BB- |
|
1,375,034 |
| |
|
3,000 |
|
Virtu Financial LLC, First Lien Term Loan |
|
7.500% |
|
7/08/16 |
|
BBB- |
|
2,962,500 |
| |
|
57,188 |
|
Total IT Services |
|
|
|
|
|
|
|
52,073,713 |
| |
|
|
|
Leisure Equipment & Products – 4.2% (3.0% of Total Investments) |
|
|
|
|
| |||||
|
6,983 |
|
Academy Limited, Term Loan |
|
6.000% |
|
8/03/18 |
|
B |
|
6,936,775 |
| |
|
14,278 |
|
Bombardier Recreational Products, Inc., Term Loan |
|
2.899% |
|
6/28/13 |
|
B2 |
|
13,885,183 |
| |
|
2,646 |
|
Wembley PLC Term Loan B |
|
8.500% |
|
11/05/15 |
|
BB |
|
2,623,060 |
| |
|
23,907 |
|
Total Leisure Equipment & Products |
|
|
|
|
|
|
|
23,445,018 |
| |
|
|
|
Media – 8.9% (6.4% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
7,000 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
9/16/18 |
|
Ba2 |
|
6,930,000 |
| |
|
5,000 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
3/18/19 |
|
B2 |
|
4,925,000 |
| |
|
1,230 |
|
Filmyard Productions, Term Loan |
|
7.750% |
|
6/22/16 |
|
Ba2 |
|
1,229,744 |
| |
|
1,591 |
|
Gray Television, Inc., Term Loan B |
|
3.740% |
|
12/31/14 |
|
B |
|
1,560,308 |
| |
|
2,604 |
|
Idearc, Inc., Term Loan |
|
11.000% |
|
12/31/15 |
|
B- |
|
1,178,274 |
| |
|
2,254 |
|
Interactive Data Term Loan B |
|
4.500% |
|
2/11/18 |
|
Ba3 |
|
2,240,926 |
| |
|
3,185 |
|
MediaCom Broadband Term Loan D1 |
|
5.500% |
|
3/31/17 |
|
BB- |
|
3,154,147 |
| |
|
5,322 |
|
Spanish Broadcasting System, Inc., Term Loan B |
|
2.000% |
|
6/11/12 |
|
B- |
|
4,789,659 |
| |
|
2,888 |
|
Tribune Company, Term Loan B, (5) |
|
0.000% |
|
6/04/14 |
|
Ca |
|
1,831,932 |
| |
|
22,494 |
|
Univision Communications, Inc., Term Loan |
|
4.496% |
|
3/31/17 |
|
B+ |
|
20,450,388 |
| |
|
4,729 |
|
Yell Group PLC, Term Loan |
|
3.996% |
|
7/31/14 |
|
N/R |
|
1,401,934 |
| |
|
58,297 |
|
Total Media |
|
|
|
|
|
|
|
49,692,312 |
| |
|
|
|
Metals & Mining – 0.3% (0.2% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
1,690 |
|
Fairmount Minerals Limited, Term Loan B |
|
5.250% |
|
3/15/17 |
|
BB- |
|
1,685,775 |
| |
|
|
|
Multiline Retail – 1.0% (0.7% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
1,995 |
|
Bass Pro Group, Term Loan B |
|
5.250% |
|
6/13/17 |
|
BB- |
|
1,960,088 |
| |
|
4,000 |
|
Neiman Marcus Group Inc., Term Loan |
|
4.750% |
|
5/16/18 |
|
BB- |
|
3,892,500 |
| |
|
5,995 |
|
Total Multiline Retail |
|
|
|
|
|
|
|
5,852,588 |
| |
|
|
|
Oil, Gas & Consumable Fuels – 3.0% (2.1% of Total Investments) |
|
|
|
|
| |||||
|
953 |
|
Alon Term Loan |
|
2.557% |
|
8/05/13 |
|
B+ |
|
867,253 |
| |
|
7,624 |
|
Alon Term Loan |
|
2.549% |
|
8/05/13 |
|
B+ |
|
6,937,896 |
| |
|
1,272 |
|
Big West Oil LLC, Term Loan |
|
7.000% |
|
3/31/16 |
|
B+ |
|
1,287,829 |
| |
|
1,820 |
|
Brand Energy & Infrastructure Services, Inc., Term Loan B |
2.625% |
|
2/07/14 |
|
B |
|
1,474,187 |
| ||
|
2,895 |
|
CCS Income Trust, Term Loan |
|
3.369% |
|
11/14/14 |
|
B |
|
2,643,257 |
| |
|
3,435 |
|
Western Refining, Inc., Term Loan |
|
7.500% |
|
3/15/17 |
|
B |
|
3,454,654 |
| |
|
17,999 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
16,665,076 |
| |
|
|
|
Paper & Forest Products – 1.6% (1.2% of Total Investments) |
|
|
|
|
| |||||
|
4,563 |
|
Newark Group DIP Term Loan |
|
12.500% |
|
3/31/14 |
|
N/R |
|
4,677,513 |
| |
|
4,687 |
|
Wilton Products, Term Loan |
|
3.546% |
|
8/01/14 |
|
N/R |
|
4,391,280 |
| |
|
9,250 |
|
Total Paper & Forest Products |
|
|
|
|
|
|
|
9,068,793 |
| |
|
|
|
Personal Products – 0.6% (0.4% of Total Investments) |
|
|
|
|
| |||||
|
1,272 |
|
NBTY Inc, Term Loan B |
|
4.250% |
|
10/01/17 |
|
BB- |
|
1,271,232 |
| |
|
1,940 |
|
Revlon Consumer Products Corporation, Term Loan |
|
4.750% |
|
11/19/17 |
|
BB- |
|
1,932,310 |
| |
|
3,212 |
|
Total Personal Products |
|
|
|
|
|
|
|
3,203,542 |
| |
|
|
|
Pharmaceuticals – 3.4% (2.4% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
1,985 |
|
BOC Edwards Term Loan B |
|
5.500% |
|
5/31/16 |
|
B+ |
|
1,864,246 |
| |
|
2,779 |
|
Convatec Healthcare Term Loan B |
|
5.750% |
|
12/30/16 |
|
Ba3 |
|
2,716,472 |
| |
|
5,625 |
|
Graceway Pharmaceuticals Inc, Second Lien Term Loan, (5) |
0.000% |
|
5/03/13 |
|
D |
|
116,016 |
| ||
|
1,546 |
|
Graceway Pharmaceuticals Inc, Term Loan, (5) |
|
7.000% |
|
5/03/12 |
|
D |
|
913,905 |
| |
|
6,384 |
|
Quintiles Transnational Corporation, Term Loan B |
|
5.000% |
|
6/08/18 |
|
BB- |
|
6,328,140 |
| |
|
3,221 |
|
Warner Chilcott PLC, Term Loan B1 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
3,202,278 |
| |
|
1,611 |
|
Warner Chilcott PLC, Term Loan B2 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
1,601,139 |
| |
|
2,214 |
|
Warner Chilcott PLC, Term Loan B3 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
2,201,566 |
| |
|
25,365 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
18,943,762 |
| |
|
|
|
Professional Services – 0.1% (0.0% of Total Investments) |
|
|
|
|
|
|
| |||
|
629 |
|
Vertrue Inc., Term Loan |
|
5.370% |
|
8/16/14 |
|
B3 |
|
333,276 |
| |
|
|
|
Real Estate Investment Trust – 2.4% (1.7% of Total Investments) |
|
|
|
|
|
|
| |||
|
8,881 |
|
Istar Financial Inc., Term Loan A2 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
8,826,802 |
| |
|
2,700 |
|
Walter Investment Management Corporation, Second Lien Term Loan |
|
7.750% |
|
6/30/16 |
|
B+ |
|
2,686,500 |
| |
|
1,800 |
|
Walter Investment Management First Lien Term Loan |
|
12.500% |
|
12/30/16 |
|
B- |
|
1,800,000 |
| |
|
13,381 |
|
Total Real Estate Investment Trust |
|
|
|
|
|
|
|
13,313,302 |
| |
|
|
|
Real Estate Management & Development – 3.7% (2.6% of Total Investments) |
|
|
|
|
| |||||
|
13,652 |
|
Capital Automotive LP, Term Loan B |
|
5.000% |
|
3/11/17 |
|
Ba3 |
|
13,481,380 |
| |
|
3,545 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
3,545,312 |
| |
|
4,131 |
|
Realogy Corporation, Delayed Term Loan |
|
4.522% |
|
10/10/16 |
|
B1 |
|
3,632,078 |
| |
|
21,328 |
|
Total Real Estate Management & Development |
|
|
|
|
|
|
|
20,658,770 |
| |
|
|
|
Road & Rail – 2.1% (1.5% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
643 |
|
Avis Budget Car Rental Term Loan |
|
5.750% |
|
4/19/14 |
|
Ba1 |
|
646,620 |
| |
|
10,807 |
|
Swift Transportation Company, Inc., Term Loan |
|
6.000% |
|
12/21/16 |
|
BB- |
|
10,843,752 |
| |
|
11,450 |
|
Total Road & Rail |
|
|
|
|
|
|
|
11,490,372 |
| |
|
|
|
Semiconductors & Equipment – 2.8% (2.0% of Total Investments) |
|
|
|
|
|
|
| |||
|
8,384 |
|
Freescale Semiconductor, Inc., Term Loan |
|
4.489% |
|
12/01/16 |
|
Ba3 |
|
8,090,927 |
| |
|
5,965 |
|
NXP Term Loan |
|
4.500% |
|
3/04/17 |
|
B2 |
|
5,756,237 |
| |
|
1,661 |
|
Spansion Inc., Term Loan |
|
4.750% |
|
2/09/15 |
|
BB+ |
|
1,632,390 |
| |
|
16,010 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
15,479,554 |
| |
|
|
|
Software – 3.4% (2.4% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
8,500 |
|
Blackboard Inc., First Lien Term Loan |
|
7.500% |
|
9/23/18 |
|
B+ |
|
8,221,625 |
| |
|
4,631 |
|
IPC Systems, Inc., Term Loan, First Lien |
|
2.619% |
|
6/02/14 |
|
B1 |
|
4,226,138 |
| |
|
7,500 |
|
IPC Systems, Inc., Term Loan, Second Lien |
|
5.619% |
|
6/01/15 |
|
CCC |
|
6,412,500 |
| |
|
20,631 |
|
Total Software |
|
|
|
|
|
|
|
18,860,263 |
| |
|
|
|
Specialty Retail – 6.2% (4.4% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
9,381 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan |
|
6.250% |
|
2/23/17 |
|
B- |
|
9,196,974 |
| |
|
825 |
|
Claires Stores, Term Loan |
|
3.027% |
|
5/29/14 |
|
B |
|
732,445 |
| |
|
2,990 |
|
J Crew Operating Corporation, Term Loan |
|
4.750% |
|
3/07/18 |
|
B1 |
|
2,812,831 |
| |
|
4,726 |
|
Jo-Ann Stores Inc., Term Loan B |
|
4.750% |
|
3/16/18 |
|
B+ |
|
4,560,831 |
| |
|
3,032 |
|
Michaels Stores, Inc., Term Loan |
|
2.662% |
|
10/31/13 |
|
B+ |
|
2,980,331 |
| |
|
2,228 |
|
PetCo Animal Supplies Inc., Term Loan B |
|
4.500% |
|
11/24/17 |
|
B1 |
|
2,213,578 |
| |
|
8,581 |
|
Toys “R” Us - Delaware Inc., Term Loan |
|
6.000% |
|
9/01/16 |
|
BB- |
|
8,474,144 |
| |
|
3,511 |
|
Toys “R” Us - Delaware Inc., Term Loan |
|
5.250% |
|
5/17/18 |
|
BB- |
|
3,426,345 |
| |
|
35,274 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
34,397,479 |
| |
|
|
|
Wireless Telecommunication Services – 3.5% (2.5% of Total Investments) |
|
|
|
|
| |||||
|
10,439 |
|
Asurion Corporation, Term Loan |
|
5.500% |
|
5/24/18 |
|
Ba3 |
|
10,334,417 |
| |
|
11,460 |
|
Clear Channel Communications Inc., Term Loan B |
|
3.896% |
|
1/29/16 |
|
CCC+ |
|
9,084,139 |
| |
|
21,899 |
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
19,418,556 |
| |
|
$ |
724,895 |
|
Total Variable Rate Senior Loan Interests (cost $686,495,306) |
|
|
|
|
|
677,142,245 |
| ||
|
|
|
|
|
|
| |||||||
|
Shares |
|
Description (1) |
|
Value |
| |||||||
|
|
|
Common Stocks – 2.2% (1.6% of Total Investments) |
|
|
| |||||||
|
|
|
Building Products – 1.5% (1.1% of Total Investments) |
|
|
| |||||||
|
301,905 |
|
Masonite Worldwide Holdings, (8) |
|
$ 8,151,435 |
| |||||||
|
|
|
Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments) |
|
|
| |||||||
|
42,041 |
|
BLB Worldwide Holdings Inc., (6), (8) |
|
238,234 |
| |||||||
|
|
|
Media – 0.7% (0.5% of Total Investments) |
|
|
| |||||||
|
215,163 |
|
Metro-Goldwyn-Mayer, (6), (8) |
|
3,765,352 |
| |||||||
|
|
|
Total Common Stocks (cost $28,512,579) |
|
12,155,021 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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., (5), (13) |
|
1.750% |
|
4/15/12 |
|
N/R |
|
$ 820,250 |
|
|
1,000 |
|
Nortel Networks Corp., (5) |
|
2.125% |
|
4/15/14 |
|
D |
|
965,000 |
| |
|
1,850 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
1,785,250 |
| |
|
$ |
1,850 |
|
Total Convertible Bonds (cost $1,563,750) |
|
|
|
|
|
|
|
1,785,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (3) |
|
Value |
| |
|
|
|
Corporate Bonds – 9.3% (6.6% of Total Investments) |
|
|
|
|
|
|
| |||
|
|
|
Communications Equipment – 1.0% (0.7% of Total Investments) |
|
|
|
|
|
|
| |||
|
$ |
3,500 |
|
Avaya Inc. |
|
9.750% |
|
11/01/15 |
|
CCC+ |
|
$ 3,097,500 |
|
|
2,000 |
|
Nortel Networks Limited, (5) |
|
0.000% |
|
7/15/13 |
|
N/R |
|
2,055,000 |
| |
|
650 |
|
Nortel Networks Limited, (5) |
|
10.750% |
|
7/15/16 |
|
N/R |
|
716,625 |
| |
|
6,150 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
5,869,125 |
| |
|
|
|
Diversified Telecommunication Services – 0.3% (0.2% of Total Investments) |
|
|
|
|
| |||||
|
750 |
|
IntelSat Bermuda Limited, 144A |
|
11.500% |
|
2/15/17 |
|
CCC+ |
|
750,000 |
| |
|
750 |
|
IntelSat Bermuda Limited |
|
11.500% |
|
2/04/17 |
|
CCC+ |
|
750,000 |
| |
|
1,500 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
1,500,000 |
| |
|
|
|
Health Care Equipment & Supplies – 0.9% (0.7% of Total Investments) |
|
|
|
|
| |||||
|
2,450 |
|
Chiron Merger Sub Inc., 144A, WI/DD |
|
10.500% |
|
11/01/18 |
|
B |
|
2,477,563 |
| |
|
2,500 |
|
Merge Healthcare Inc. |
|
11.750% |
|
5/01/15 |
|
B+ |
|
2,625,000 |
| |
|
4,950 |
|
Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
5,102,563 |
| |
|
|
|
Health Care Providers & Services – 1.4% (1.0% of Total Investments) |
|
|
|
|
| |||||
|
2,000 |
|
Aurora Diagnostics Holdings LLC, 144A |
|
10.750% |
|
1/15/18 |
|
B3 |
|
2,000,000 |
| |
|
3,750 |
|
HCA Inc., (13) |
|
8.500% |
|
4/15/19 |
|
BB |
|
4,125,000 |
| |
|
793 |
|
Select Medical Corporation |
|
7.625% |
|
2/01/15 |
|
CCC+ |
|
737,490 |
| |
|
500 |
|
Select Medical Corporation |
|
6.267% |
|
9/15/15 |
|
CCC+ |
|
427,500 |
| |
|
500 |
|
Vanguard Health Holding LLC/Inc. |
|
8.000% |
|
2/01/18 |
|
B- |
|
511,250 |
| |
|
7,543 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
7,801,240 |
| |
|
|
|
Hotels, Restaurants & Leisure – 0.2% (0.1% of Total Investments) |
|
|
|
|
| |||||
|
1,000 |
|
Reynolds Group, 144A |
|
9.875% |
|
8/15/19 |
|
B- |
|
1,000,000 |
| |
|
|
|
Household Products – 0.5% (0.4% of Total Investments) |
|
|
|
|
| |||||
|
2,750 |
|
Sprectum Brands Inc. |
|
9.500% |
|
6/15/18 |
|
B1 |
|
3,052,500 |
| |
|
|
|
IT Services – 1.1% (0.8% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
5,000 |
|
First Data Corporation, 144A |
|
7.375% |
|
6/15/19 |
|
B+ |
|
4,950,000 |
| |
|
1,228 |
|
First Data Corporation |
|
10.550% |
|
9/24/15 |
|
B- |
|
1,191,439 |
| |
|
6,228 |
|
Total IT Services |
|
|
|
|
|
|
|
6,141,439 |
| |
|
|
|
Media – 1.2% (0.9% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
3,000 |
|
Clear Channel Communications, Inc. |
|
5.500% |
|
9/15/14 |
|
CCC- |
|
2,370,000 |
| |
|
2,250 |
|
Clear Channel Communications, Inc. |
|
10.750% |
|
8/01/16 |
|
CCC- |
|
1,642,500 |
| |
|
3,700 |
|
Clear Channel Communications, Inc. |
|
6.875% |
|
6/15/18 |
|
CCC- |
|
1,813,000 |
| |
|
860 |
|
Readers Digest Association |
|
9.500% |
|
2/15/17 |
|
B3 |
|
688,000 |
| |
|
400 |
|
WM Finance Corporation, 144A |
|
11.500% |
|
10/01/18 |
|
B- |
|
399,000 |
| |
|
10,210 |
|
Total Media |
|
|
|
|
|
|
|
6,912,500 |
| |
|
|
|
Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments) |
|
|
|
|
| |||||
|
2,500 |
|
Western Refining Inc., 144A |
|
10.750% |
|
6/15/14 |
|
B |
|
2,637,500 |
| |
|
|
|
Paper & Forest Products – 0.3% (0.2% of Total Investments) |
|
|
|
|
| |||||
|
2,000 |
|
Verso Paper Holdings LLC |
|
4.180% |
|
8/01/14 |
|
B |
|
1,480,000 |
| |
|
|
|
Pharmaceuticals – 0.7% (0.5% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
1,023 |
|
Angiotech Pharmaceuticals Inc. |
|
5.000% |
|
12/01/13 |
|
N/R |
|
859,320 |
| |
|
2,000 |
|
Valeant Pharmaceuticals International, 144A |
|
7.000% |
|
10/01/20 |
|
BB |
|
1,980,000 |
| |
|
1,000 |
|
Valeant Pharmaceuticals International, 144A |
|
7.250% |
|
7/15/22 |
|
BB |
|
985,000 |
| |
|
4,023 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
3,824,320 |
| |
|
|
|
Road & Rail – 0.7% (0.5% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
2,000 |
|
Avis Budget Car Rental |
|
2.786% |
|
5/15/14 |
|
B |
|
1,870,000 |
| |
|
2,000 |
|
Swift Services Holdings Inc. |
|
10.000% |
|
11/15/18 |
|
B- |
|
2,070,000 |
| |
|
4,000 |
|
Total Road & Rail |
|
|
|
|
|
|
|
3,940,000 |
| |
|
|
|
Software – 0.3% (0.2% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
1,700 |
|
SoftBrands Inc/Atlantis, 144A |
|
11.500% |
|
7/15/18 |
|
B- |
|
1,632,000 |
| |
|
|
|
Wireless Telecommunication Services – 0.2% (0.1% of Total Investments) |
|
|
|
|
| |||||
|
1,000 |
|
Sprint Nextel Corporation |
|
8.375% |
|
8/15/17 |
|
BB- |
|
920,000 |
| |
|
$ |
55,554 |
|
Total Corporate Bonds (cost $51,087,627) |
|
|
|
|
|
|
|
51,813,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (3) |
|
Value |
| |
|
|
|
Asset-Backed Securities – 0.7% (0.5% of Total Investments) |
|
|
|
|
| |||||
|
$ |
3,000 |
|
BlueMountain Collateralized Loan Obligations Limited, Securitized Senior Secured Loan Revolving Pool, Series 2011-1, 144A |
|
6.201% |
|
8/16/22 |
|
BB |
|
$ 2,478,549 |
|
|
1,500 |
|
Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A, WI/DD |
|
1.000% |
|
11/22/22 |
|
N/R |
|
1,219,383 |
| |
|
$ |
4,500 |
|
Total Asset-Backed Securities (cost $3,929,235) |
|
|
|
|
|
|
|
3,697,932 |
|
|
|
|
|
|
|
| |||||||
|
Shares |
|
Description (1) |
|
Value |
| |||||||
|
|
|
Investment Companies – 2.1% (1.5% of Total Investments) |
|
|
| |||||||
|
353,668 |
|
Eaton Vance Floating-Rate Income Trust Fund |
|
$ 5,198,920 |
| |||||||
|
963,820 |
|
Eaton Vance Senior Income Trust |
|
6,380,488 |
| |||||||
|
|
|
Total Investment Companies (cost $11,947,776) |
|
11,579,408 |
| |||||||
|
|
|
|
|
|
| |||||||
|
Shares |
|
Description (1) |
|
Value |
| |||||||
|
|
|
Warrants – 0.1% (0.1% of Total Investments) |
|
|
| |||||||
|
178,451 |
|
Cumulus Media Inc. |
|
$ 535,353 |
| |||||||
|
|
|
Total Warrants (cost $513,939) |
|
535,353 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
| |
|
|
|
Short-Term Investments – 3.8% (2.7% of Total Investments) |
|
|
|
|
| |||||
|
$ |
21,098 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/11, repurchase price $21,097,780, collateralized by $9,555,000 U.S. Treasury Notes, 2.125%, due 5/31/15, value $10,164,131 and $11,135,000 U.S. Treasury Notes, 1.250%, due 10/31/15, value $11,360,306 |
|
0.010% |
|
11/01/11 |
|
|
|
$21,097,774 |
|
|
|
|
Total Short-Term Investments (cost $21,097,774) |
|
|
|
|
|
|
|
21,097,774 |
| |
|
|
|
Total Investments (cost $805,147,986) - 140.1% |
|
|
|
|
|
|
|
779,806,170 |
| |
|
|
|
Borrowings - (35.5)% (9), (10) |
|
|
|
|
|
|
|
(197,740,000 |
) | |
|
|
|
Other Assets Less Liabilities - (4.6)% (11) |
|
|
|
|
|
|
|
(25,589,849 |
) | |
|
|
|
Net Assets Applicable to Common Shares - 100% |
|
|
|
|
|
|
|
$ 556,476,321 |
| |
Investments in Derivatives at October 31, 2011:
Interest Rate Swaps outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
|
|
|
|
Payment |
|
Effective |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Floating Rate Index |
|
Fixed Rate* |
|
Frequency |
|
Date (12) |
|
Date |
|
(Depreciation) |
|
|
Goldman Sachs |
|
$49,435,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
0.344% |
|
Monthly |
|
4/20/11 |
|
4/20/12 |
|
$(12,773) |
|
|
Goldman Sachs |
|
49,435,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.300 |
|
Monthly |
|
4/20/11 |
|
4/20/14 |
|
(1,016,611) |
|
|
Morgan Stanley |
|
49,435,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.201 |
|
Monthly |
|
4/20/11 |
|
4/20/16 |
|
(2,554,090) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(3,583,474) |
|
* Annualized
|
|
Fair Value Measurements | |||||||||||||
|
|
| |||||||||||||
|
|
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below: | |||||||||||||
|
|
| |||||||||||||
|
|
Level 1 - Quoted prices in active markets for identical securities. | |||||||||||||
|
|
| |||||||||||||
|
|
Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||||||||||||
|
|
| |||||||||||||
|
|
Level 3 - 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 risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of October 31, 2011: | |||||||||||||
|
|
| |||||||||||||
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
|
Investments: |
|
|
|
|
|
|
|
|
| ||||
|
|
Variable Rate Senior Loan Interests |
|
$ |
— |
|
$ |
677,142,245 |
|
$ |
— |
|
$ |
677,142,245 |
|
|
|
Common Stocks* |
|
— |
|
12,155,021 |
|
— |
|
12,155,021 |
| ||||
|
|
Convertible Bonds |
|
— |
|
1,785,250 |
|
— |
|
1,785,250 |
| ||||
|
|
Corporate Bonds |
|
— |
|
51,813,187 |
|
— |
|
51,813,187 |
| ||||
|
|
Asset-Backed Securities |
|
— |
|
3,697,932 |
|
— |
|
3,697,932 |
| ||||
|
|
Investment Companies |
|
11,579,408 |
|
— |
|
— |
|
11,579,408 |
| ||||
|
|
Warrants |
|
— |
|
535,353 |
|
— |
|
535,353 |
| ||||
|
|
Short-Term Investments |
|
— |
|
21,097,774 |
|
— |
|
21,097,774 |
| ||||
|
|
Derivatives: |
|
|
|
|
|
|
|
|
| ||||
|
|
Interest Rate Swaps** |
|
— |
|
(3,583,474 |
) |
— |
|
(3,583,474 |
) | ||||
|
|
Total |
|
$ |
11,579,408 |
|
$ |
764,643,288 |
|
$ |
— |
|
$ |
776,222,696 |
|
|
|
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* Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2. | |||||||||||||
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** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. | |||||||||||||
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|
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|
During the period ended October 31, 2011, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3. | |||||||||||||
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Derivative Instruments and Hedging Activities | |||||||||||||
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The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. | |||||||||||||
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|
The following table presents the fair value of all derivative instruments held by the Fund as of October 31, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure. | |||||||||||||
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Location on the Statement of Assets and Liabilities |
| ||||||||||
|
|
Underlying |
|
Derivative |
|
Asset Derivatives |
|
Liability Derivatives |
| ||||||||
|
|
Risk Exposure |
|
Instrument |
|
Location |
|
Value |
|
Location |
|
Value |
| ||||
|
|
Interest Rate |
|
Swaps |
|
Net unrealized appreciation on interest rate swaps* |
|
$ – |
|
Net unrealized depreciation on interest rate swaps* |
|
$ |
3,583,474 |
| |||
|
|
| |||||||||||||||
|
|
* Value represents cumulative gross unrealized appreciation (depreciation) of swap contracts as reported in the Fund’s Portfolio of Investments. | |||||||||||||||
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| |||||||||||||||
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Income Tax Information | |||||||||||||||
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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, timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization. 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. | |||||||||||||||
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|
| |||||||||||||||
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|
At October 31, 2011, the cost of investments (excluding investments in derivatives) was $805,826,094. | |||||||||||||||
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|
| |||||||||||||||
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|
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at October 31, 2011, were as follows: | |||||||||||||||
|
|
Gross unrealized: |
|
|
| ||||||||||||
|
|
Appreciation |
|
$15,733,117 |
| ||||||||||||
|
|
Depreciation
|
|
(41,753,041
|
)
| ||||||||||||
|
|
Net unrealized appreciation (depreciation) of investments |
|
$(26,019,924 |
) | ||||||||||||
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|
|
|
|
| ||||||||||||
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|
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. |
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|
|
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
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(2) |
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. |
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|
Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
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|
|
(5) |
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. |
|
|
|
(6) |
Non-income producing; issuer has not declared a dividend within the past twelve months. |
|
|
|
(7) |
Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at October 31, 2011. |
|
|
|
(8) |
For fair value measurement disclosure purposes, Common Stock categorized as Level 2. |
|
|
|
(9) |
Borrowings as a percentage of Total Investments is 25.4%. |
|
|
|
(10) |
The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. |
|
|
|
(11) |
Other Assets Less Liabilities includes the Value and/or Unrealized Appreciation (Depreciation) of derivative instruments as noted in Investments in Derivatives at October 31, 2011. |
|
|
|
(12) |
Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each forward swap contract. |
|
|
|
(13) |
Investment, or portion of investment, has been pledged as collateral for investments in derivatives. |
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|
|
(14) |
Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at October 31, 2011. At October 31, 2011, the Fund had unfunded Senior Loan commitments of $3,000,000. |
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|
|
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. |
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|
|
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. |
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|
|
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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date. |
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|
|
USD-LIBOR |
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 Floating Rate Income Fund |
| |
|
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|
|
|
|
|
|
|
By (Signature and Title) |
/s/ Kevin J. McCarthy |
|
|
|
Kevin J. McCarthy |
|
|
|
Vice President and Secretary |
|
Date December 30, 2011
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, 2011
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date December 30, 2011