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 811-21579

 

Nuveen Floating Rate Income Opportunity 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:     4/30/15    

 

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 Opportunity Fund (JRO)

 

 

 

 

 

April 30, 2015

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon (2)

 

Maturity (3)

 

Ratings (4)

 

Value

 

 

 

LONG-TERM INVESTMENTS – 151.4% (97.1% of Total Investments)

 

 

 

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 123.8% (79.4% of Total Investments) (2)

 

 

 

 

 

Aerospace & Defense - 1.4% (0.9% of Total Investments)

 

 

 

$     3,242

 

B/E Aerospace, Inc., Term Loan B, First Lien

 

4.000%

 

12/16/21

 

BB+

 

$     3,281,993

 

3,835

 

Sequa Corporation, Term Loan B, (DD1)

 

5.250%

 

6/19/17

 

B3

 

3,485,407

 

7,077

 

Total Aerospace & Defense

 

 

 

 

 

 

 

6,767,400

 

 

 

Airlines - 3.4% (2.2% of Total Investments)

 

 

 

 

 

 

 

 

 

2,000

 

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

 

3.750%

 

10/10/21

 

BB

 

2,010,834

 

2,449

 

American Airlines, Inc., Term Loan

 

3.750%

 

6/27/19

 

BB

 

2,462,600

 

5,855

 

Delta Air Lines, Inc., Term Loan B1

 

3.250%

 

10/18/18

 

BBB-

 

5,868,766

 

2,933

 

Delta Air Lines, Inc., Term Loan B2

 

2.433%

 

4/18/16

 

BBB-

 

2,936,427

 

2,970

 

US Airways, Inc., Term Loan B1

 

3.500%

 

5/23/19

 

BB

 

2,977,161

 

16,207

 

Total Airlines

 

 

 

 

 

 

 

16,255,788

 

 

 

Automobiles - 3.6% (2.3% of Total Investments)

 

 

 

 

 

 

 

 

 

9,900

 

Chrysler Group LLC, Tranche B, Term Loan

 

3.250%

 

12/31/18

 

BB+

 

9,923,681

 

5,568

 

Formula One Group, Term Loan, First Lien

 

4.750%

 

7/30/21

 

B

 

5,586,278

 

1,500

 

Formula One Group, Term Loan, Second Lien

 

7.750%

 

7/29/22

 

CCC+

 

1,505,937

 

16,968

 

Total Automobiles

 

 

 

 

 

 

 

17,015,896

 

 

 

Building Products - 0.7% (0.4% of Total Investments)

 

 

 

 

 

 

 

1,990

 

Gates Global LLC, Term Loan

 

4.250%

 

7/06/21

 

B+

 

1,994,442

 

1,170

 

Quikrete Holdings, Inc., Term Loan, First Lien

 

4.000%

 

9/28/20

 

B+

 

1,174,680

 

3,160

 

Total Building Products

 

 

 

 

 

 

 

3,169,122

 

 

 

Capital Markets - 1.0% (0.6% of Total Investments)

 

 

 

 

 

 

 

 

 

2,815

 

Citco III Limited, Term Loan B

 

4.250%

 

6/29/18

 

N/R

 

2,832,171

 

1,970

 

Guggenheim Partners LLC, Initial Term Loan

 

4.250%

 

7/22/20

 

N/R

 

1,983,544

 

4,785

 

Total Capital Markets

 

 

 

 

 

 

 

4,815,715

 

 

 

Chemicals - 1.6% (1.1% of Total Investments)

 

 

 

 

 

 

 

 

 

2,434

 

Ineos US Finance LLC, Cash Dollar, Term Loan

 

3.750%

 

5/04/18

 

BB-

 

2,441,162

 

441

 

Ineos US Finance LLC, Term Loan B, First Lien

 

4.250%

 

3/12/22

 

BB-

 

443,984

 

3,493

 

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

 

4.000%

 

5/07/21

 

BB

 

3,513,452

 

1,466

 

PQ Corporation, Term Loan B

 

4.000%

 

8/07/17

 

B+

 

1,468,725

 

7,834

 

Total Chemicals

 

 

 

 

 

 

 

7,867,323

 

 

 

Commercial Services & Supplies - 3.2% (2.1% of Total Investments)

 

 

 

 

 

1,421

 

Acosta Holdco Inc., First Lien Term Loan B

 

4.250%

 

9/30/21

 

B

 

1,430,313

 

969

 

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

 

3.750%

 

10/09/19

 

B+

 

968,712

 

2,500

 

CCS Income Trust, Term Loan, First Lien, (WI/DD)

 

TBD

 

TBD

 

B-

 

2,382,813

 

261

 

Education Management LLC, Tranche A, Term Loan, (DD1)

 

5.500%

 

7/02/20

 

N/R

 

235,111

 

440

 

Education Management LLC, Tranche B, Term Loan, (DD1)

 

2.004%

 

7/02/20

 

N/R

 

353,728

 

716

 

HMH Holdings, Inc., Term Loan, First Lien

 

4.250%

 

5/22/18

 

B1

 

714,007

 

3,222

 

iQor US, Inc., Term Loan, First Lien

 

6.000%

 

4/01/21

 

B

 

3,040,359

 

333

 

iQor US, Inc., Term Loan, Second Lien

 

9.750%

 

4/01/22

 

CCC+

 

313,333

 

7,111

 

Millennium Laboratories, Inc., Tranche B, Term Loan, (DD1)

 

5.250%

 

4/16/21

 

B+

 

5,884,575

 

16,973

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

15,322,951

 

 

 

Communications Equipment - 2.0% (1.3% of Total Investments)

 

 

 

 

 

5,926

 

Avaya, Inc., Term Loan B3

 

4.681%

 

10/26/17

 

B1

 

5,910,963

 

1,603

 

Avaya, Inc., Term Loan B6

 

6.500%

 

3/31/18

 

B1

 

1,606,474

 

2,000

 

Riverbed Technology, Inc., Term Loan B, First Lien, (WI/DD)

 

TBD

 

TBD

 

B1

 

2,025,156

 

9,529

 

Total Communications Equipment

 

 

 

 

 

 

 

9,542,593

 

 

 

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

 

 

 

 

 

 

 

2,547

 

BWAY Holding Company, Term Loan B, First Lien

 

5.500%

 

8/14/20

 

B2

 

2,576,075

 

 

 

Diversified Consumer Services - 6.1% (3.9% of Total Investments)

 

 

 

 

 

5,795

 

Cengage Learning Acquisitions, Inc., Exit Term Loan

 

7.000%

 

3/31/20

 

B+

 

5,841,741

 

2,375

 

Harland Clarke Holdings Corporation, Term Loan B3

 

7.000%

 

5/22/18

 

B+

 

2,393,140

 

1,453

 

Harland Clarke Holdings Corporation, Term Loan B4

 

6.000%

 

8/04/19

 

B+

 

1,464,932

 

7,237

 

Hilton Hotels Corporation, Term Loan B2

 

3.500%

 

10/25/20

 

BBB-

 

7,272,395

 

1,467

 

Laureate Education, Inc., Term Loan B

 

5.000%

 

6/15/18

 

B

 

1,426,479

 

2,641

 

New Albertson’s, Inc., Term Loan

 

4.750%

 

6/24/21

 

Ba3

 

2,655,842

 

8,005

 

ServiceMaster Company, Term Loan

 

4.250%

 

7/01/21

 

B+

 

8,037,946

 

28,973

 

Total Diversified Consumer Services

 

 

 

 

 

 

 

29,092,475

 

 

 

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

 

 

 

 

 

 

2,516

 

McGraw Hill Global Education Holdings LLC, Term Loan B, (WI/DD)

 

TBD

 

TBD

 

N/R

 

2,516,022

 

1,610

 

RCS Capital, Term Loan

 

6.500%

 

4/29/19

 

B

 

1,592,159

 

1,496

 

TransFirst, Inc., Term Loan, First Lien

 

5.500%

 

11/12/21

 

B

 

1,510,277

 

1,000

 

TransFirst, Inc., Term Loan, Second Lien

 

9.000%

 

11/07/22

 

CCC+

 

1,007,750

 

6,622

 

Total Diversified Financial Services

 

 

 

 

 

 

 

6,626,208

 

 

 

Diversified Telecommunication Services - 6.0% (3.9% of Total Investments)

 

 

 

 

 

1,076

 

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

 

4.000%

 

2/08/20

 

B

 

1,079,575

 

209

 

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

 

3.750%

 

6/30/19

 

BB-

 

209,565

 

4,000

 

Level 3 Financing, Inc., Term Loan B, First Lien

 

4.500%

 

1/31/22

 

BB

 

4,022,916

 

2,667

 

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

 

4.000%

 

8/01/19

 

BB

 

2,678,333

 

1,489

 

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

 

4.500%

 

4/09/20

 

B1

 

1,496,503

 

750

 

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

 

7.500%

 

4/09/21

 

CCC

 

761,250

 

9,441

 

WideOpenWest Finance LLC, Term Loan B

 

4.750%

 

4/01/19

 

Ba3

 

9,502,623

 

3,328

 

Ziggo N.V., Term Loan B1

 

3.500%

 

1/15/22

 

BB-

 

3,335,480

 

2,145

 

Ziggo N.V., Term Loan B2

 

3.500%

 

1/15/22

 

BB-

 

2,149,446

 

3,527

 

Ziggo N.V., Term Loan B3, Delayed Draw

 

3.500%

 

1/15/22

 

BB-

 

3,535,072

 

28,632

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

28,770,763

 

 

 

Electronic Equipment, Instruments & Components - 0.5% (0.3% of Total Investments)

 

 

 

2,434

 

SMART Modular Technologies, Inc., Term Loan B

 

8.250%

 

8/26/17

 

B

 

2,433,820

 

 

 

Energy Equipment & Services - 1.4% (0.9% of Total Investments)

 

 

 

 

 

4,043

 

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

 

6.000%

 

3/31/21

 

B+

 

3,286,561

 

664

 

Dynamic Energy Services International LLC, Term Loan

 

9.500%

 

3/06/18

 

B+

 

621,213

 

2,413

 

Offshore Group Investment Limited, Term Loan B

 

5.000%

 

10/25/17

 

B-

 

1,729,795

 

1,446

 

Pacific Drilling S.A., Term Loan B

 

4.500%

 

6/03/18

 

B+

 

1,278,940

 

8,566

 

Total Energy Equipment & Services

 

 

 

 

 

 

 

6,916,509

 

 

 

Food & Staples Retailing - 6.7% (4.3% of Total Investments)

 

 

 

 

 

 

 

3,473

 

Albertson’s LLC, Term Loan B2

 

5.375%

 

3/21/19

 

BB-

 

3,504,570

 

18,501

 

Albertson’s LLC, Term Loan B4

 

5.500%

 

8/25/21

 

BB-

 

18,722,259

 

3,295

 

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

 

4.500%

 

9/26/19

 

B-

 

3,317,214

 

2,500

 

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

 

8.500%

 

3/26/20

 

CCC

 

2,531,250

 

1,175

 

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

 

4.875%

 

6/21/21

 

B+

 

1,180,141

 

2,647

 

Supervalu, Inc., New Term Loan

 

4.500%

 

3/21/19

 

BB-

 

2,661,464

 

31,591

 

Total Food & Staples Retailing

 

 

 

 

 

 

 

31,916,898

 

 

 

Food Products - 6.6% (4.2% of Total Investments)

 

 

 

 

 

 

 

 

 

3,858

 

H.J Heinz Company, Term Loan B2

 

3.250%

 

6/05/20

 

BB+

 

3,867,371

 

1,489

 

Hearthside Group Holdings, Term Loan, First Lien

 

4.500%

 

6/02/21

 

B1

 

1,492,881

 

6,000

 

Jacobs Douwe Egberts, Term Loan B

 

3.500%

 

7/23/21

 

BB

 

6,000,000

 

1,925

 

Pinnacle Foods Finance LLC, Term Loan G

 

3.000%

 

4/29/20

 

BB+

 

1,928,809

 

14,125

 

US Foods, Inc., Incremental Term Loan

 

4.500%

 

3/31/19

 

B2

 

14,192,363

 

4,100

 

Wilton Products, Inc., Tranche B, Term Loan

 

7.500%

 

8/30/18

 

B3

 

3,936,000

 

31,497

 

Total Food Products

 

 

 

 

 

 

 

31,417,424

 

 

 

Health Care Equipment & Supplies - 3.0% (1.9% of Total Investments)

 

 

 

 

 

714

 

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

 

11.000%

 

1/02/19

 

CCC+

 

725,000

 

1,492

 

CareCore National LLC, Term Loan

 

5.500%

 

3/05/21

 

B

 

1,509,253

 

2,015

 

ConvaTec, Inc., Dollar Term Loan

 

4.000%

 

12/22/16

 

Ba3

 

2,022,698

 

2,230

 

Kinetic Concepts, Inc., Incremental Term Loan E1

 

4.500%

 

5/04/18

 

BB-

 

2,248,271

 

4,300

 

Onex Carestream Finance LP, Term Loan, First Lien

 

5.000%

 

6/07/19

 

B+

 

4,347,585

 

2,553

 

Onex Carestream Finance LP, Term Loan, Second Lien

 

9.500%

 

12/07/19

 

B-

 

2,562,762

 

975

 

United Surgical Partners International, Inc., Incremental Term Loan

 

4.750%

 

4/03/19

 

B1

 

979,062

 

14,279

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

14,394,631

 

 

 

Health Care Providers & Services - 4.7% (3.0% of Total Investments)

 

 

 

 

 

3,950

 

Community Health Systems, Inc., Term Loan D

 

4.250%

 

1/27/21

 

BB

 

3,978,393

 

7,346

 

Drumm Investors LLC, Term Loan

 

6.750%

 

5/04/18

 

B

 

7,453,462

 

867

 

Genesis Healthcare LLC, Term Loan

 

10.000%

 

12/04/17

 

B-

 

890,437

 

1,496

 

Healogics, Inc., Term Loan, First Lien

 

5.250%

 

7/01/21

 

B

 

1,509,295

 

2,214

 

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

 

5.500%

 

12/21/18

 

B1

 

2,222,795

 

1,500

 

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

 

9.750%

 

6/21/19

 

CCC+

 

1,499,375

 

1,303

 

LHP Operations Co. LLC, Term Loan B

 

9.000%

 

7/03/18

 

B-

 

1,270,070

 

1,791

 

National Mentor Holdings, Inc., Term Loan B

 

4.250%

 

1/31/21

 

B+

 

1,800,908

 

1,555

 

One Call Care Management, Inc., Term Loan B

 

5.000%

 

11/27/20

 

B1

 

1,559,216

 

22,022

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

22,183,951

 

 

 

Health Care Technology - 0.5% (0.3% of Total Investments)

 

 

 

 

 

 

2,126

 

Catalent Pharma Solutions, Inc., Term Loan

 

4.250%

 

5/20/21

 

BB

 

2,148,211

 

 

 

Hotels, Restaurants & Leisure - 5.7% (3.6% of Total Investments)

 

 

 

 

 

8,370

 

Burger King Corporation, Term Loan B, First Lien

 

4.500%

 

12/10/21

 

B+

 

8,481,236

 

2,413

 

CCM Merger, Inc., Term Loan B

 

4.500%

 

8/08/21

 

BB-

 

2,432,705

 

3,864

 

CityCenter Holdings LLC, Term Loan

 

4.250%

 

10/16/20

 

BB-

 

3,895,773

 

391

 

Extended Stay America, Inc., Term Loan

 

5.000%

 

6/24/19

 

BB+

 

394,802

 

2,223

 

Intrawest Resorts Holdings, Inc., Term Loan B, First Lien

 

4.750%

 

11/30/20

 

B+

 

2,242,568

 

1,955

 

MGM Resorts International, Term Loan B

 

3.500%

 

12/20/19

 

BB

 

1,958,666

 

1,995

 

Scientific Games Corporation, Term Loan B2

 

6.000%

 

10/01/21

 

BB-

 

2,017,581

 

2,963

 

Scientific Games Corporation, Term Loan

 

6.000%

 

10/18/20

 

BB-

 

2,995,828

 

2,734

 

Station Casino LLC, Term Loan B

 

4.250%

 

3/02/20

 

B+

 

2,755,145

 

26,908

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

27,174,304

 

 

 

Household Durables - 0.3% (0.2% of Total Investments)

 

 

 

 

 

 

916

 

Serta Simmons Holdings LLC, Term Loan

 

4.250%

 

10/01/19

 

B+

 

923,250

 

640

 

Tempur-Pedic International, Inc., New Term Loan B

 

3.500%

 

3/18/20

 

BB+

 

643,276

 

1,556

 

Total Household Durables

 

 

 

 

 

 

 

1,566,526

 

 

 

Industrial Conglomerates - 0.2% (0.1% of Total Investments)

 

 

 

 

 

896

 

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

 

4.750%

 

11/26/20

 

B1

 

888,550

 

 

 

Insurance - 2.4% (1.6% of Total Investments)

 

 

 

 

 

 

 

 

 

191

 

Alliant Holdings I LLC, Incremental Term Loan

 

5.000%

 

12/23/19

 

B+

 

192,027

 

2,272

 

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

 

4.250%

 

12/20/19

 

B+

 

2,281,534

 

4,436

 

Hub International Holdings, Inc., Initial Term Loan

 

4.000%

 

10/02/20

 

B1

 

4,429,033

 

4,656

 

USI Holdings Corporation, Initial Term Loan

 

4.250%

 

12/27/19

 

B1

 

4,670,530

 

11,555

 

Total Insurance

 

 

 

 

 

 

 

11,573,124

 

 

 

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

 

 

 

 

 

4,988

 

Travelport LLC, Term Loan B, First Lien

 

5.750%

 

9/02/21

 

B

 

5,045,559

 

 

 

Internet Software & Services - 2.2% (1.4% of Total Investments)

 

 

 

 

 

739

 

Sabre Inc., Term Loan B2

 

4.500%

 

2/19/19

 

Ba3

 

744,060

 

290

 

Sabre Inc., Term Loan C

 

4.000%

 

2/19/18

 

Ba3

 

290,315

 

3,421

 

Sabre Inc., Term Loan

 

4.000%

 

2/18/19

 

Ba3

 

3,444,059

 

5,833

 

Tibco Software, Inc., Term Loan B

 

6.500%

 

12/04/20

 

B1

 

5,902,569

 

10,283

 

Total Internet Software & Services

 

 

 

 

 

 

 

10,381,003

 

 

 

IT Services - 1.1% (0.7% of Total Investments)

 

 

 

 

 

 

 

 

 

5,126

 

EIG Investors Corp., Term Loan

 

5.000%

 

11/09/19

 

B

 

5,081,508

 

247

 

VFH Parent LLC, New Term Loan

 

5.250%

 

11/08/19

 

N/R

 

247,883

 

129

 

Zayo Group LLC, Term Loan B

 

4.000%

 

7/02/19

 

Ba3

 

128,862

 

5,502

 

Total IT Services

 

 

 

 

 

 

 

5,458,253

 

 

 

Leisure Products - 1.8% (1.2% of Total Investments)

 

 

 

 

 

 

 

 

 

2,265

 

24 Hour Fitness Worldwide, Inc., Term Loan B

 

4.750%

 

5/28/21

 

Ba3

 

2,265,998

 

3,161

 

Bombardier Recreational Products, Inc., Term Loan

 

4.000%

 

1/30/19

 

BB-

 

3,183,164

 

2,156

 

Equinox Holdings, Inc., New Initial Term Loan, First Lien

 

5.000%

 

1/31/20

 

B1

 

2,177,701

 

1,000

 

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

 

6.250%

 

12/27/20

 

B-

 

1,008,750

 

8,582

 

Total Leisure Products

 

 

 

 

 

 

 

8,635,613

 

 

 

Machinery - 0.6% (0.4% of Total Investments)

 

 

 

 

 

 

 

 

 

1,714

 

Doosan Infracore International, Inc., Term Loan

 

4.500%

 

5/27/21

 

BB-

 

1,735,109

 

995

 

Rexnord LLC, Term Loan B

 

4.000%

 

8/21/20

 

BB-

 

1,000,104

 

2,709

 

Total Machinery

 

 

 

 

 

 

 

2,735,213

 

 

 

Media - 17.5% (11.2% of Total Investments)

 

 

 

 

 

 

 

 

 

2,189

 

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

 

4.250%

 

7/25/21

 

B1

 

2,199,774

 

1,450

 

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

 

7.500%

 

7/25/22

 

CCC+

 

1,459,213

 

2,221

 

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

 

8.500%

 

10/31/18

 

B3

 

1,999,312

 

979

 

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

 

6.750%

 

4/30/18

 

B1

 

941,991

 

3,474

 

Catalina Marketing Corporation, Term Loan, First Lien

 

4.500%

 

4/09/21

 

B+

 

3,167,626

 

1,500

 

Catalina Marketing Corporation, Term Loan, Second Lien

 

7.750%

 

4/11/22

 

CCC+

 

1,168,125

 

1,646

 

Clear Channel Communications, Inc., Term Loan E

 

7.684%

 

7/30/19

 

CCC+

 

1,601,475

 

2,478

 

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

 

6.934%

 

1/30/19

 

CCC+

 

2,377,087

 

9,966

 

Cumulus Media, Inc., Term Loan B

 

4.250%

 

12/23/20

 

B+

 

9,843,880

 

2,613

 

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

 

4.750%

 

6/17/20

 

BB-

 

2,642,245

 

191

 

EMI Music Publishing LLC, Term Loan B

 

3.750%

 

6/29/18

 

BB-

 

192,123

 

594

 

Gray Television, Inc., Initial Term Loan

 

3.750%

 

6/13/21

 

BB

 

596,439

 

1,985

 

IMG Worldwide, Inc., First Lien

 

5.250%

 

5/06/21

 

B1

 

1,985,993

 

3,226

 

Interactive Data Corporation, Term Loan B

 

4.750%

 

5/02/21

 

B+

 

3,251,330

 

1,125

 

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

 

5.000%

 

3/13/22

 

BB-

 

1,136,250

 

2,469

 

McGraw-Hill Education Holdings LLC, Term Loan B

 

6.250%

 

12/18/19

 

BB-

 

2,487,266

 

1,950

 

Mediacom Broadband LLC, Tranche G, Term Loan

 

4.000%

 

1/20/20

 

BB

 

1,956,094

 

3,744

 

Numericable Group S.A., Term Loan B1

 

4.500%

 

5/21/20

 

Ba3

 

3,763,817

 

3,239

 

Numericable Group S.A., Term Loan B2

 

4.500%

 

5/21/20

 

Ba3

 

3,256,214

 

2,211

 

Springer Science & Business Media GmbH, First Lien Term Loan B, (WI/DD)

 

TBD

 

TBD

 

N/R

 

2,223,907

 

23,070

 

Tribune Company, Term Loan B

 

4.000%

 

12/27/20

 

BB+

 

23,213,392

 

8,428

 

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

 

4.000%

 

3/01/20

 

B+

 

8,440,346

 

1,520

 

Weather Channel Corporation, Term Loan, Second Lien

 

7.000%

 

6/26/20

 

CCC+

 

1,440,316

 

1,478

 

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

 

3.750%

 

7/01/20

 

B+

 

1,471,590

 

519

 

Yell Group PLC, Term Loan A2

 

5.270%

 

3/01/19

 

CCC+

 

821,337

 

39

 

Yell Group PLC, Term Loan A2, (5)

 

1.500%

 

3/03/19

 

CCC+

 

 

1,286

 

Yell Group PLC, Term Loan B2, PIK, (5)

 

0.000%

 

3/03/24

 

CCC-

 

 

85,590

 

Total Media

 

 

 

 

 

 

 

83,637,142

 

 

 

Multiline Retail - 2.2% (1.4% of Total Investments)

 

 

 

 

 

 

 

 

 

7,000

 

Dollar Tree, Inc., Initial Term Loan B, First Lien

 

4.250%

 

3/09/22

 

BB+

 

7,100,058

 

384

 

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

 

4.750%

 

11/04/20

 

BB

 

386,572

 

2,853

 

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

 

5.000%

 

6/20/19

 

B

 

2,846,304

 

10,237

 

Total Multiline Retail

 

 

 

 

 

 

 

10,332,934

 

 

 

Oil, Gas & Consumable Fuels - 3.2% (2.1% of Total Investments)

 

 

 

 

 

 

 

586

 

Citgo Petroleum Corporation, Term Loan B

 

4.500%

 

7/29/21

 

B+

 

589,088

 

2,300

 

Crestwood Holdings LLC, Term Loan B

 

7.000%

 

6/19/19

 

B2

 

2,242,110

 

5,449

 

Energy and Exploration Partners, Term Loan, (DD1)

 

7.750%

 

1/22/19

 

N/R

 

4,782,793

 

173

 

EP Energy LLC, Term Loan B3, Second Lien

 

3.500%

 

5/24/18

 

Ba3

 

171,643

 

3,185

 

Fieldwood Energy LLC, Term Loan, Second Lien

 

8.375%

 

9/30/20

 

B2

 

2,492,162

 

1,303

 

Harvey Gulf International Marine, Inc., Term Loan B, (WI/DD)

 

TBD

 

TBD

 

B

 

1,032,652

 

2,934

 

Seadrill Partners LLC, Initial Term Loan

 

4.000%

 

2/21/21

 

BB-

 

2,408,800

 

908

 

Southcross Holdings Borrower L.P., Holdco Term Loan

 

6.000%

 

8/04/21

 

B2

 

894,158

 

845

 

Western Refining, Inc., Term Loan B

 

4.250%

 

11/12/20

 

BB-

 

848,426

 

17,683

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

15,461,832

 

 

 

Pharmaceuticals - 5.6% (3.6% of Total Investments)

 

 

 

 

 

 

 

 

 

1,179

 

Generic Drug Holdings, Inc., Term Loan B

 

5.000%

 

8/16/20

 

B

 

1,176,544

 

3,125

 

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (6)

 

0.000%

 

5/03/13

 

N/R

 

19,531

 

62

 

Graceway Pharmaceuticals LLC, Term Loan, (6)

 

0.000%

 

5/03/12

 

N/R

 

62,632

 

944

 

Grifols, Inc., Term Loan

 

3.184%

 

2/27/21

 

Ba1

 

947,690

 

2,226

 

Par Pharmaceutical Companies, Inc., Term Loan B2

 

4.000%

 

9/30/19

 

B1

 

2,231,186

 

385

 

Par Pharmaceutical Companies, Inc., Term Loan B3

 

4.250%

 

9/30/19

 

B1

 

387,869

 

2,978

 

Patheon, Inc., Term Loan B

 

4.250%

 

3/11/21

 

B

 

2,985,563

 

2,485

 

Pharmaceutical Product Development, Inc., Term Loan B, First Lien, (DD1)

 

4.000%

 

12/01/18

 

Ba2

 

2,500,463

 

3,811

 

Pharmaceutical Research Associates, Inc., Term Loan

 

4.500%

 

9/23/20

 

B1

 

3,841,636

 

2,818

 

Quintiles Transnational Corp., Term Loan B3

 

3.750%

 

6/08/18

 

BB+

 

2,828,363

 

1,882

 

Therakos, Inc., Term Loan, First Lien

 

7.000%

 

12/27/17

 

B

 

1,881,115

 

3,500

 

Valeant Pharmaceuticals International, Inc., Term Loan F

 

4.000%

 

4/01/22

 

BB+

 

3,528,658

 

1,418

 

Valeant Pharmaceuticals International, Inc., Term Loan E

 

3.500%

 

8/05/20

 

BB+

 

1,423,951

 

2,680

 

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

 

3.500%

 

2/13/19

 

Ba1

 

2,691,934

 

29,493

 

Total Pharmaceuticals

 

 

 

 

 

 

 

26,507,135

 

 

 

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

 

 

 

 

 

 

156

 

Ceridian Corporation, Term Loan B2

 

4.500%

 

9/15/20

 

Ba3

 

156,082

 

 

 

Real Estate Investment Trust - 4.2% (2.7% of Total Investments)

 

 

 

 

 

10,800

 

Communications Sales & Leasing, Inc., Term Loan B, First Lien

 

5.000%

 

10/16/22

 

BB

 

10,800,000

 

3,920

 

Realogy Corporation, Initial Term Loan B

 

3.750%

 

3/05/20

 

BB

 

3,939,365

 

1,431

 

Starwood Property Trust, Inc., Term Loan B

 

3.500%

 

4/17/20

 

BB

 

1,428,784

 

3,966

 

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

 

4.750%

 

12/18/20

 

B+

 

3,810,347

 

20,117

 

Total Real Estate Investment Trust

 

 

 

 

 

 

 

19,978,496

 

 

 

Real Estate Management & Development - 1.2% (0.8% of Total Investments)

 

 

 

 

 

2,482

 

Capital Automotive LP, Term Loan, Second Lien

 

6.000%

 

4/30/20

 

B1

 

2,537,771

 

3,391

 

Capital Automotive LP, Term Loan, Tranche B1

 

4.000%

 

4/10/19

 

Ba2

 

3,415,133

 

5,873

 

Total Real Estate Management & Development

 

 

 

 

 

 

 

5,952,904

 

 

 

Semiconductors & Semiconductor Equipment - 2.9% (1.9% of Total Investments)

 

 

 

 

 

4,944

 

Avago Technologies, Term Loan B

 

3.750%

 

5/06/21

 

BBB-

 

4,973,801

 

4,915

 

Freescale Semiconductor, Inc., Term Loan, Tranche B4

 

4.250%

 

2/28/20

 

B1

 

4,939,858

 

1,970

 

Freescale Semiconductor, Inc., Term Loan, Tranche B5

 

5.000%

 

1/15/21

 

B1

 

1,987,545

 

1,942

 

NXP Semiconductor LLC, Term Loan D

 

3.250%

 

1/11/20

 

BBB-

 

1,942,861

 

13,771

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

 

 

13,844,065

 

 

 

Software - 9.6% (6.1% of Total Investments)

 

 

 

 

 

 

 

 

 

2,000

 

Ascend Learning LLC, Term Loan, Second Lien

 

9.500%

 

11/30/20

 

CCC+

 

1,997,500

 

4,493

 

Blackboard, Inc., Term Loan B3

 

4.750%

 

10/04/18

 

B+

 

4,514,975

 

4,240

 

BMC Software, Inc., Initial Term Loan

 

5.000%

 

9/10/20

 

B1

 

4,174,023

 

4,502

 

Compuware Corporation, Tranche B2, Term Loan, First Lien

 

6.250%

 

12/15/21

 

B

 

4,420,475

 

1,627

 

Datatel Parent Corp, Term Loan B1

 

4.000%

 

7/19/18

 

BB-

 

1,635,511

 

1,000

 

Deltek, Inc., Term Loan, Second Lien

 

10.000%

 

10/10/19

 

CCC+

 

1,012,917

 

2,914

 

Emdeon Business Services LLC, Term Loan B2

 

3.750%

 

11/02/18

 

Ba3

 

2,928,523

 

1,865

 

Explorer Holdings, Inc., Term Loan

 

6.000%

 

5/02/18

 

B+

 

1,865,227

 

8,396

 

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

 

3.750%

 

6/03/20

 

Ba3

 

8,388,755

 

1,235

 

Micro Focus International PLC, Term Loan B

 

5.250%

 

11/19/21

 

BB-

 

1,242,684

 

2,100

 

Micro Focus International PLC, Term Loan C

 

4.500%

 

11/20/19

 

BB-

 

2,106,999

 

4,631

 

Misys PLC, Term Loan B, First Lien

 

5.000%

 

12/12/18

 

B+

 

4,662,596

 

2,179

 

SunGard Data Systems, Inc., Term Loan E

 

4.000%

 

3/08/20

 

BB

 

2,195,911

 

4,386

 

Zebra Technologies Corporation, Term Loan B, First Lien

 

4.750%

 

10/27/21

 

BB+

 

4,446,114

 

45,568

 

Total Software

 

 

 

 

 

 

 

45,592,210

 

 

 

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

 

 

 

 

 

 

 

 

 

1,943

 

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

 

4.000%

 

3/16/18

 

B+

 

1,942,667

 

2,250

 

Petsmart Inc., Term Loan B, First Lien

 

5.000%

 

3/11/22

 

BB-

 

2,280,656

 

449

 

Pilot Travel Centers LLC, Term Loan B, First Lien

 

4.250%

 

9/30/21

 

BB+

 

456,482

 

1,600

 

Staples, Inc., Term Loan B, First Lien, (WI/DD)

 

TBD

 

TBD

 

BBB

 

1,608,555

 

6,242

 

Total Specialty Retail

 

 

 

 

 

 

 

6,288,360

 

 

 

Technology Hardware, Storage & Peripherals - 2.7% (1.7% of Total Investments)

 

 

 

 

 

12,838

 

Dell, Inc., Term Loan B

 

4.500%

 

4/29/20

 

BBB

 

12,903,472

 

 

 

Textiles, Apparel & Luxury Goods - 0.5% (0.3% of Total Investments)

 

 

 

 

 

2,477

 

Polymer Group, Inc., Initial Term Loan

 

5.250%

 

12/19/19

 

B2

 

2,496,117

 

 

 

Trading Companies & Distributors - 1.2% (0.8% of Total Investments)

 

 

 

 

 

4,498

 

HD Supply, Inc., Term Loan

 

4.000%

 

6/28/18

 

B+

 

4,521,342

 

1,250

 

Neff Rental/Neff Finance Closing Date Loan, Second Lien

 

7.250%

 

6/09/21

 

B-

 

1,233,946

 

5,748

 

Total Trading Companies & Distributors

 

 

 

 

 

 

 

5,755,288

 

 

 

Transportation Infrastructure - 0.4% (0.3% of Total Investments)

 

 

 

 

 

100

 

Ceva Group PLC, Canadian Term Loan

 

6.500%

 

3/19/21

 

B2

 

94,445

 

582

 

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

 

6.500%

 

3/19/21

 

B2

 

547,779

 

557

 

Ceva Group PLC, Synthetic Letter of Credit Term Loan

 

6.325%

 

3/19/21

 

B2

 

524,679

 

802

 

Ceva Group PLC, US Term Loan

 

6.500%

 

3/19/21

 

B2

 

755,558

 

2,041

 

Total Transportation Infrastructure

 

 

 

 

 

 

 

1,922,461

 

 

 

Wireless Telecommunication Services - 1.6% (1.0% of Total Investments)

 

 

 

 

 

4,358

 

Asurion LLC, Term Loan B1

 

5.000%

 

5/24/19

 

Ba3

 

4,392,431

 

3,185

 

Fairpoint Communications, Inc., Term Loan B

 

7.500%

 

2/11/19

 

B

 

3,249,496

 

7,543

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

7,641,927

 

$ 600,178

 

Total Variable Rate Senior Loan Interests (cost $595,053,064)

 

 

 

591,162,323

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

 

 

 

 

 

 

Value

 

 

 

COMMON STOCKS – 1.6% (1.0% of Total Investments)

 

 

 

 

 

 

 

Diversified Consumer Services - 0.4% (0.2% of Total Investments)

 

 

 

 

 

71,949

 

Cengage Learning Holdings II LP, (7), (8)

 

 

 

 

 

 

 

$      1,834,699

 

 

 

Hotels, Restaurants & Leisure - 0.2% (0.2% of Total Investments)

 

 

 

 

 

42,041

 

BLB Worldwide Holdings Inc., (7), (8)

 

 

 

 

 

 

 

1,208,679

 

 

 

Media - 1.0% (0.6% of Total Investments)

 

 

 

 

 

 

 

 

 

5,752

 

Cumulus Media, Inc., (8)

 

 

 

 

 

 

 

13,114

 

23,363

 

Metro-Goldwyn-Mayer, (7), (8)

 

 

 

 

 

 

 

1,833,996

 

44,843

 

Tribune Company

 

 

 

 

 

 

 

2,514,347

 

36,087

 

Tribune Company, (5)

 

 

 

 

 

 

 

-

 

11,210

 

Tribune Publishing Company

 

 

 

 

 

 

 

196,960

 

 

 

Total Media

 

 

 

 

 

 

 

4,558,417

 

 

 

Software - 0.0% (0.0% of Total Investments)

 

 

 

 

 

 

 

 

 

496,552

 

Eagle Topco LP, (5), (8)

 

 

 

 

 

 

 

1

 

 

 

Total Common Stocks (cost $6,629,491)

 

 

 

 

 

 

 

7,601,796

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

Coupon

 

 

 

Ratings (4)

 

Value

 

 

 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.1% (0.0% of Total Investments)

 

 

 

 

 

 

 

Diversified Consumer Services - 0.1% (0.0% of Total Investments)

 

 

 

 

 

9,855

 

Education Management Corporation, (WI/DD)

 

7.500%

 

 

 

N/R

 

$    98,550

 

3,476

 

Education Management Corporation, (WI/DD)

 

7.500%

 

 

 

N/R

 

210,878

 

 

 

Total Diversified Consumer Services

 

 

 

 

 

309,428

 

 

 

Total $25 Par (or similar) Retail Preferred (cost $32,358)

 

 

 

 

 

309,428

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

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

 

 

 

 

 

 

 

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

 

 

 

 

 

$      550

 

Nortel Networks Corp., (6)

 

1.750%

 

4/15/12

 

N/R

 

$   528,000

 

1,000

 

Nortel Networks Corp., (6)

 

2.125%

 

4/15/14

 

N/R

 

962,500

 

1,550

 

Total Communications Equipment

 

 

 

 

 

 

 

1,490,500

 

$   1,550

 

Total Convertible Bonds (cost $1,307,500)

 

 

 

 

 

 

 

1,490,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

CORPORATE BONDS – 19.9% (12.9% of Total Investments)

 

 

 

 

 

 

 

Commercial Services & Supplies - 0.2% (0.1% of Total Investments)

 

 

 

 

 

$     900

 

NES Rental Holdings Inc., 144A

 

7.875%

 

5/01/18

 

B-

 

$   922,500

 

 

 

Communications Equipment - 1.0% (0.7% of Total Investments)

 

 

 

 

 

 

 

2,000

 

Avaya Inc., 144A

 

10.500%

 

3/01/21

 

CCC+

 

1,760,000

 

3,000

 

Nortel Networks Limited, (6)

 

0.000%

 

7/15/11

 

N/R

 

3,105,000

 

5,000

 

Total Communications Equipment

 

 

 

 

 

 

 

4,865,000

 

 

 

Consumer Finance - 0.4% (0.3% of Total Investments)

 

 

 

 

 

 

 

2,000

 

First Data Corporation, 144A

 

7.375%

 

6/15/19

 

BB

 

2,077,500

 

 

 

Containers & Packaging - 0.3% (0.2% of Total Investments)

 

 

 

 

 

1,178

 

Reynolds Group

 

9.875%

 

8/15/19

 

CCC+

 

1,255,306

 

 

 

Diversified Telecommunication Services - 1.7% (1.1% of Total Investments)

 

 

 

 

 

400

 

IntelSat Limited

 

6.750%

 

6/01/18

 

CCC+

 

399,750

 

4,300

 

IntelSat Limited

 

7.750%

 

6/01/21

 

CCC+

 

3,950,625

 

4,100

 

IntelSat Limited

 

8.125%

 

6/01/23

 

CCC+

 

3,752,771

 

8,800

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

8,103,146

 

 

 

Health Care Equipment & Supplies - 1.8% (1.2% of Total Investments)

 

 

 

 

 

3,000

 

Kinetic Concepts

 

10.500%

 

11/01/18

 

B-

 

3,228,750

 

2,000

 

Kinetic Concepts

 

12.500%

 

11/01/19

 

CCC+

 

2,179,800

 

3,000

 

Tenet Healthcare Corporation

 

6.000%

 

10/01/20

 

Ba2

 

3,202,500

 

8,000

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

8,611,050

 

 

 

Health Care Providers & Services - 2.1% (1.4% of Total Investments)

 

 

 

 

 

3,000

 

Community Health Systems, Inc.

 

5.125%

 

8/01/21

 

BB

 

3,105,000

 

4,800

 

Community Health Systems, Inc.

 

6.875%

 

2/01/22

 

B+

 

5,093,999

 

900

 

Iasis Healthcare Capital Corporation

 

8.375%

 

5/15/19

 

CCC+

 

933,750

 

1,000

 

Truven Health Analtyics Inc.

 

10.625%

 

6/01/20

 

CCC+

 

1,052,500

 

9,700

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

10,185,249

 

 

 

Hotels, Restaurants & Leisure - 0.1% (0.0% of Total Investments)

 

 

 

 

 

275

 

Scientific Games Corporation

 

8.125%

 

9/15/18

 

B-

 

253,000

 

 

 

Machinery - 0.2% (0.1% of Total Investments)

 

 

 

 

 

 

 

 

 

1,030

 

Xerium Technologies

 

8.875%

 

6/15/18

 

B

 

1,068,625

 

 

 

Media - 5.3% (3.4% of Total Investments)

 

 

 

 

 

 

 

 

 

1,714

 

Clear Channel Communications, Inc.

 

10.000%

 

1/15/18

 

CCC-

 

1,499,750

 

6,412

 

Clear Channel Communications, Inc.

 

9.000%

 

12/15/19

 

CCC+

 

6,339,865

 

10,718

 

Clear Channel Communications, Inc.

 

14.000%

 

2/01/21

 

CCC-

 

8,601,284

 

7,000

 

Clear Channel Communications, Inc.

 

9.000%

 

3/01/21

 

CCC+

 

6,711,250

 

1,200

 

Expo Event Transco Inc., 144A

 

9.000%

 

6/15/21

 

B-

 

1,231,500

 

1,000

 

McGraw-Hill Global Education Holdings

 

9.750%

 

4/01/21

 

BB

 

1,107,500

 

28,044

 

Total Media

 

 

 

 

 

 

 

25,491,149

 

 

 

Pharmaceuticals - 1.4% (0.9% of Total Investments)

 

 

 

 

 

 

 

 

 

1,250

 

Valeant Pharmaceuticals International, 144A

 

6.750%

 

8/15/18

 

B1

 

1,323,438

 

2,000

 

Valeant Pharmaceuticals International, 144A

 

7.000%

 

10/01/20

 

B1

 

2,095,000

 

1,000

 

Valeant Pharmaceuticals International, 144A

 

7.250%

 

7/15/22

 

B1

 

1,066,250

 

2,000

 

VPII Escrow Corporation, 144A

 

7.500%

 

7/15/21

 

B1

 

2,170,000

 

6,250

 

Total Pharmaceuticals

 

 

 

 

 

 

 

6,654,688

 

 

 

Real Estate Investment Trust - 0.3% (0.2% of Total Investments)

 

 

 

 

 

1,250

 

Istar Financial Inc.

 

4.000%

 

11/01/17

 

BB-

 

1,233,313

 

 

 

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

 

 

 

 

 

2,000

 

Advanced Micro Devices, Inc.

 

6.750%

 

3/01/19

 

B-

 

1,740,000

 

2,050

 

Advanced Micro Devices, Inc.

 

7.750%

 

8/01/20

 

B-

 

1,681,000

 

2,500

 

Advanced Micro Devices, Inc.

 

7.500%

 

8/15/22

 

B-

 

2,050,000

 

6,550

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

 

 

5,471,000

 

 

 

Software - 0.7% (0.5% of Total Investments)

 

 

 

 

 

 

 

 

 

1,750

 

BMC Software Finance Inc., 144A

 

8.125%

 

7/15/21

 

CCC+

 

1,605,625

 

1,100

 

Boxer Parent Company Inc./BMC Software, 144A

 

9.000%

 

10/15/19

 

CCC+

 

902,000

 

850

 

Infor Us Inc.

 

11.500%

 

7/15/18

 

B-

 

919,063

 

3,700

 

Total Software

 

 

 

 

 

 

 

3,426,688

 

 

 

Specialty Retail - 0.1% (0.1% of Total Investments)

 

 

 

 

 

 

 

 

 

500

 

99 Cents Only Stores

 

11.000%

 

12/15/19

 

Caa1

 

522,500

 

 

 

Wireless Telecommunication Services - 3.1% (2.0% of Total Investments)

 

 

 

 

 

750

 

FairPoint Communications Inc., 144A

 

8.750%

 

8/15/19

 

B

 

802,500

 

7,250

 

Sprint Corporation

 

7.875%

 

9/15/23

 

B+

 

7,277,187

 

3,750

 

Sprint Corporation

 

7.125%

 

6/15/24

 

B+

 

3,604,688

 

2,750

 

T-Mobile USA Inc.

 

6.250%

 

4/01/21

 

BB

 

2,873,750

 

175

 

T-Mobile USA Inc.

 

6.731%

 

4/28/22

 

BB

 

184,406

 

175

 

T-Mobile USA Inc.

 

6.836%

 

4/28/23

 

BB

 

185,063

 

14,850

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

14,927,594

 

$  98,027

 

Total Corporate Bonds (cost $96,901,311)

 

 

 

 

 

 

 

95,068,308

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

ASSET-BACKED SECURITIES – 5.7% (3.6% of Total Investments)

 

 

 

 

 

$     800

 

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14, 144A

 

5.274%

 

11/20/24

 

BB

 

$      770,366

 

2,500

 

BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A

 

5.775%

 

7/20/23

 

BB

 

2,399,548

 

1,250

 

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

 

4.875%

 

7/15/25

 

BB

 

1,141,035

 

1,500

 

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A, 144A

 

4.675%

 

1/15/23

 

BB

 

1,380,464

 

250

 

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

 

5.253%

 

4/15/24

 

BB

 

233,257

 

1,800

 

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

 

6.025%

 

10/19/22

 

BB

 

1,762,191

 

4,000

 

LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A

 

5.282%

 

2/25/17

 

BB-

 

3,718,580

 

2,000

 

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

 

5.770%

 

4/15/22

 

BB

 

1,986,292

 

1,500

 

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A, 144A

 

5.425%

 

4/19/22

 

BB

 

1,443,750

 

1,500

 

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A

 

5.625%

 

4/22/22

 

BB

 

1,490,207

 

1,250

 

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

 

5.802%

 

4/20/26

 

Ba3

 

1,174,290

 

500

 

North End CLO Limited, Loan Pool, 144A

 

4.875%

 

7/17/25

 

BB

 

436,727

 

2,000

 

Oak Hill Credit Partners IV Limited, Collateralized Loan Obligation Series 2012-6A, 144A

 

5.774%

 

5/15/23

 

BB

 

1,933,654

 

450

 

Oak Hill Credit Partners Series 2013-9A, 144A

 

5.275%

 

10/20/25

 

BB-

 

414,486

 

2,240

 

Oak Hill Credit Partners, Series 2012-7A, 144A

 

5.276%

 

11/20/23

 

BB

 

2,065,125

 

2,000

 

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

 

5.276%

 

11/8/24

 

BB-

 

1,862,968

 

1,000

 

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

 

6.174%

 

12/15/22

 

BB

 

990,312

 

2,000

 

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

 

6.032%

 

5/24/23

 

BB

 

1,917,706

 

$ 28,540

 

Total Asset-Backed Securities (cost $26,282,743)

 

 

 

 

 

 

 

27,120,958

 

 

 

Total Long-Term Investments (cost $726,206,467)

 

 

 

 

 

 

 

722,753,313

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

 

 

Value

 

 

 

SHORT-TERM INVESTMENTS – 4.6% (2.9% of Total Investments)

 

 

 

 

 

 

 

REPURCHASE AGREEMENTS - 4.6% (2.9% of Total Investments)

 

 

 

 

 

$  21,910

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/30/15, repurchase price $21,909,782, collateralized by $22,405,000 U.S. Treasury Notes, 1.375%, due 4/30/20, value $22,348,988

 

0.000%

 

5/01/15

 

 

 

$   21,909,782

 

 

 

Total Short-Term Investments (cost $21,909,782)

 

 

 

 

 

 

 

21,909,782

 

 

 

Total Investments (cost $748,116,249) – 156.0%

 

 

 

 

 

 

 

744,663,095

 

 

 

Borrowings – (39.6)% (9), (10)

 

 

 

 

 

 

 

(188,800,000

)

 

 

Variable Rate Term Preferred Shares, at Liquidation Value – (20.5)% (11)

 

 

 

(98,000,000

)

 

 

Other Assets Less Liabilities - 4.1%

 

 

 

 

 

 

 

19,333,923

 

 

 

Net Assets Applicable to Common Shares - 100%

 

 

 

 

 

 

 

477,197,018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$                –

 

$  591,162,323

 

$   –

*

$  591,162,323

 

 

 

Common Stocks

 

2,724,421

 

4,877,374

 

1

 

7,601,796

 

 

 

$25 Par (or similar) Retail Preferred

 

 

309,428

 

 

309,428

 

 

 

Convertible Bonds

 

 

1,490,500

 

 

1,490,500

 

 

 

Corporate Bonds

 

 

95,068,308

 

 

95,068,308

 

 

 

Asset-Backed Securities

 

 

27,120,958

 

 

27,120,958

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

 

21,909,782

 

 

21,909,782

 

 

 

Total

 

$  2,724,421

 

$  741,938,673

 

$   1

 

$  744,663,095

 

 

 

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

 

 

 

 

 

Income Tax Information

 

 

 

 

 

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of 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.

 

 

 

 

 

As of April 30, 2015, the cost of investments was $748,539,235.

 

 

 

 

 

Gross unrealized appreciation and gross unrealized depreciation of investments as of April 30, 2015, were as follows:

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

 

 

 

 

Appreciation

 

 

 

 

 

$  12,953,915

 

 

 

Depreciation

 

 

 

 

 

(16,830,055

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

 

 

 

$  (3,876,140

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 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.

 

 

(3)

 

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.

 

 

(4)

 

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

 

 

(5)

 

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.

 

 

(6)

 

As of, 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 ceased accruing additional income on the Fund’s records.

 

 

(7)

 

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

 

 

(8)

 

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

 

 

(9)

 

Borrowings as a percentage of Total Investments is 25.4%.

 

 

(10)

 

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

 

 

(11)

 

Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 13.2%.

 

 

(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.

 



 

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 Opportunity Fund

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: June 29, 2015

 

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: June 29, 2015

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

Date: June 29, 2015