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 811-22518

 

Nuveen Short Duration Credit Opportunities 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 Short Duration Credit Opportunities Fund (JSD)

 

 

 

 

 

April 30, 2015

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon (2)

 

Maturity (3)

 

Ratings (4)

 

Value

 

 

 

LONG-TERM INVESTMENTS – 141.8% (97.6% of Total Investments)

 

 

 

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 122.0% (84.0% of Total Investments) (2)

 

 

 

 

 

Aerospace & Defense - 2.2% (1.5% of Total Investments)

 

 

 

$           1,945

 

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

 

4.000%

 

12/16/21

 

BB+

 

$      1,969,196

 

2,397

 

Sequa Corporation, Term Loan B, (DD1)

 

5.250%

 

6/19/17

 

B3

 

2,178,379

 

4,342

 

Total Aerospace & Defense

 

 

 

 

 

 

 

4,147,575

 

 

 

Airlines - 5.1% (3.5% of Total Investments)

 

 

 

 

 

 

 

 

 

1,750

 

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

 

3.750%

 

10/10/21

 

BB

 

1,759,480

 

983

 

American Airlines, Inc., Term Loan

 

3.750%

 

6/27/19

 

BB

 

988,027

 

3,128

 

Delta Air Lines, Inc., Term Loan B1

 

3.250%

 

10/18/18

 

BBB-

 

3,135,260

 

978

 

Delta Air Lines, Inc., Term Loan B2

 

2.433%

 

4/18/16

 

BBB-

 

978,809

 

1,925

 

Delta Air Lines, Inc., Term Loan B

 

3.250%

 

4/20/17

 

BBB-

 

1,929,572

 

990

 

US Airways, Inc., Term Loan B1

 

3.500%

 

5/23/19

 

BB

 

992,387

 

9,754

 

Total Airlines

 

 

 

 

 

 

 

9,783,535

 

 

 

Automobiles - 2.4% (1.6% of Total Investments)

 

 

 

 

 

 

 

990

 

Chrysler Group LLC, Tranche B, Term Loan

 

3.250%

 

12/31/18

 

BB+

 

992,368

 

2,784

 

Formula One Group, Term Loan, First Lien

 

4.750%

 

7/30/21

 

B

 

2,793,139

 

750

 

Formula One Group, Term Loan, Second Lien

 

7.750%

 

7/29/22

 

CCC+

 

752,969

 

4,524

 

Total Automobiles

 

 

 

 

 

 

 

4,538,476

 

 

 

Building Products - 0.6% (0.4% of Total Investments)

 

 

 

 

 

 

 

1,194

 

Gates Global LLC, Term Loan

 

4.250%

 

7/06/21

 

B+

 

1,196,665

 

 

 

Chemicals - 1.2% (0.8% of Total Investments)

 

 

 

 

 

 

 

 

 

1,160

 

Ineos US Finance LLC, Cash Dollar, Term Loan

 

3.750%

 

5/04/18

 

BB-

 

1,163,702

 

210

 

Ineos US Finance LLC, Term Loan B, First Lien

 

TBD

 

TBD

 

BB-

 

211,647

 

916

 

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

 

4.000%

 

5/07/21

 

BB

 

920,853

 

2,286

 

Total Chemicals

 

 

 

 

 

 

 

2,296,202

 

 

 

Commercial Services & Supplies - 2.9% (2.0% of Total Investments)

 

 

 

 

 

711

 

Acosta Holdco Inc., First Lien Term Loan B

 

4.250%

 

3/12/22

 

B

 

715,156

 

1,000

 

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

 

TBD

 

TBD

 

B-

 

953,125

 

358

 

HMH Holdings, Inc., Term Loan, First Lien

 

4.250%

 

5/22/18

 

B1

 

357,003

 

1,841

 

iQor US, Inc., Term Loan, First Lien

 

6.000%

 

4/01/21

 

B

 

1,737,348

 

167

 

iQor US, Inc., Term Loan, Second Lien

 

9.750%

 

4/01/22

 

CCC+

 

156,667

 

2,032

 

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

 

5.250%

 

4/16/21

 

B+

 

1,681,307

 

6,109

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

5,600,606

 

 

 

Communications Equipment - 2.6% (1.8% of Total Investments)

 

 

 

2,305

 

Avaya, Inc., Term Loan B3

 

4.681%

 

10/26/17

 

B1

 

2,298,658

 

493

 

Avaya, Inc., Term Loan B6

 

6.500%

 

3/31/18

 

B1

 

493,744

 

1,000

 

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

 

TBD

 

TBD

 

B1

 

1,012,578

 

1,143

 

Telesat Canada Inc., Term Loan B

 

3.500%

 

3/28/19

 

BB-

 

1,146,029

 

4,941

 

Total Communications Equipment

 

 

 

 

 

 

 

4,951,009

 

 

 

Containers & Packaging - 1.1% (0.8% of Total Investments)

 

 

 

1,092

 

BWAY Holding Company, Term Loan B, First Lien

 

5.500%

 

8/14/20

 

B2

 

1,104,032

 

1,095

 

Reynolds Group Holdings, Inc., Incremental US Term Loan, First Lien

 

4.500%

 

12/01/18

 

B+

 

1,106,525

 

2,187

 

Total Containers & Packaging

 

 

 

 

 

 

 

2,210,557

 

 

 

Diversified Consumer Services - 4.5% (3.1% of Total Investments)

 

 

 

2,499

 

Cengage Learning Acquisitions, Inc., Exit Term Loan, (DD1)

 

7.000%

 

3/31/20

 

B+

 

2,519,048

 

2,538

 

Harland Clarke Holdings Corporation, Term Loan B3

 

7.000%

 

5/22/18

 

B+

 

2,557,136

 

879

 

Laureate Education, Inc., Term Loan B

 

5.000%

 

6/15/18

 

B

 

854,876

 

880

 

New Albertson’s, Inc., Term Loan

 

4.750%

 

6/24/21

 

Ba3

 

885,281

 

1,826

 

ServiceMaster Company, Term Loan

 

4.250%

 

7/01/21

 

B+

 

1,833,900

 

8,622

 

Total Diversified Consumer Services

 

 

 

 

 

 

 

8,650,241

 

 

 

Diversified Financial Services - 1.5% (1.0% of Total Investments)

 

 

 

 

 

1,258

 

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

 

TBD

 

TBD

 

B2

 

1,258,011

 

536

 

RCS Capital, Term Loan

 

6.500%

 

4/29/19

 

B

 

529,574

 

998

 

TransFirst, Inc., Term Loan, First Lien

 

5.500%

 

11/12/21

 

B

 

1,006,852

 

2,792

 

Total Diversified Financial Services

 

 

 

 

 

 

 

2,794,437

 

 

 

Diversified Telecommunication Services - 5.2% (3.6% of Total Investments)

 

 

 

860

 

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

 

4.000%

 

2/08/20

 

B

 

863,660

 

2,000

 

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

 

4.500%

 

1/31/22

 

BB

 

2,011,458

 

471

 

SBA Communication, Incremental Term Loan, Tranche B1

 

3.250%

 

3/24/21

 

BB

 

471,534

 

993

 

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

 

4.500%

 

4/09/20

 

B1

 

997,669

 

3,666

 

WideOpenWest Finance LLC, Term Loan B

 

4.750%

 

4/01/19

 

Ba3

 

3,690,273

 

740

 

Ziggo N.V., Term Loan B1

 

3.500%

 

1/15/22

 

BB-

 

741,218

 

477

 

Ziggo N.V., Term Loan B2

 

3.500%

 

1/15/22

 

BB-

 

477,655

 

784

 

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

 

3.500%

 

1/15/22

 

BB-

 

785,571

 

9,991

 

Total Diversified Telecommunication Services

 

 

 

 

 

10,039,038

 

 

 

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

 

 

 

1,111

 

SMART Modular Technologies, Inc., Term Loan B

 

8.250%

 

8/26/17

 

B

 

1,111,273

 

 

 

Energy Equipment & Services - 1.2% (0.9% of Total Investments)

 

 

 

1,814

 

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

 

6.000%

 

3/31/21

 

B+

 

1,474,598

 

1,292

 

Offshore Group Investment Limited, Term Loan B

 

5.000%

 

10/25/17

 

B-

 

926,070

 

3,106

 

Total Energy Equipment & Services

 

 

 

 

 

 

 

2,400,668

 

 

 

Food & Staples Retailing - 7.9% (5.5% of Total Investments)

 

 

 

2,480

 

Albertson’s LLC, Term Loan B2

 

5.375%

 

3/21/19

 

BB-

 

2,502,905

 

9,000

 

Albertson’s LLC, Term Loan B4

 

5.500%

 

8/25/21

 

BB-

 

9,108,126

 

494

 

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

 

4.500%

 

9/26/19

 

B-

 

497,106

 

250

 

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

 

8.500%

 

3/26/20

 

CCC

 

253,125

 

990

 

Del Monte Foods Company, Term Loan, First Lien

 

4.250%

 

2/18/21

 

B

 

952,050

 

1,000

 

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

 

4.875%

 

6/21/21

 

B+

 

1,004,375

 

979

 

Supervalu, Inc., New Term Loan

 

4.500%

 

3/21/19

 

BB-

 

984,284

 

15,193

 

Total Food & Staples Retailing

 

 

 

 

 

 

 

15,301,971

 

 

 

Food Products - 4.7% (3.2% of Total Investments)

 

 

 

1,507

 

H.J Heinz Company, Term Loan B2

 

3.250%

 

6/05/20

 

BB+

 

1,510,270

 

3,000

 

Jacobs Douwe Egberts, Term Loan B

 

3.500%

 

7/23/21

 

BB

 

3,000,000

 

3,380

 

US Foods, Inc., Incremental Term Loan

 

4.500%

 

3/31/19

 

B2

 

3,395,996

 

1,230

 

Wilton Products, Inc., Tranche B, Term Loan

 

7.500%

 

8/30/18

 

B3

 

1,180,800

 

9,117

 

Total Food Products

 

 

 

 

 

 

 

9,087,066

 

 

 

Health Care Equipment & Supplies - 4.8% (3.3% of Total Investments)

 

 

 

869

 

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

 

6.750%

 

7/02/18

 

B+

 

873,113

 

714

 

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

 

11.000%

 

1/02/19

 

CCC+

 

725,000

 

1,803

 

ConvaTec, Inc., Dollar Term Loan

 

4.000%

 

12/22/16

 

Ba3

 

1,810,506

 

1,808

 

Kinetic Concepts, Inc., Incremental Term Loan E1

 

4.500%

 

5/04/18

 

BB-

 

1,823,357

 

3,010

 

Onex Carestream Finance LP, Term Loan, First Lien

 

5.000%

 

6/07/19

 

B+

 

3,043,310

 

973

 

Onex Carestream Finance LP, Term Loan, Second Lien

 

9.500%

 

12/07/19

 

B-

 

976,290

 

9,177

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

9,251,576

 

 

 

Health Care Providers & Services - 6.3% (4.4% of Total Investments)

 

 

 

1,588

 

Amsurg Corporation, Term Loan

 

3.750%

 

7/16/21

 

Ba2

 

1,597,499

 

1,614

 

Community Health Systems, Inc., Term Loan D

 

4.250%

 

1/27/21

 

BB

 

1,625,310

 

50

 

Community Health Systems, Inc., Term Loan F

 

3.434%

 

12/31/18

 

BB

 

50,176

 

2,572

 

Drumm Investors LLC, Term Loan

 

6.750%

 

5/04/18

 

B

 

2,609,304

 

806

 

Genesis Healthcare LLC, Term Loan

 

10.000%

 

12/04/17

 

B-

 

827,899

 

1,726

 

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

 

5.500%

 

12/21/18

 

B1

 

1,732,173

 

500

 

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

 

9.750%

 

6/21/19

 

CCC+

 

499,792

 

1,204

 

IASIS Healthcare LLC, Term Loan B2, First Lien

 

4.500%

 

5/03/18

 

Ba3

 

1,210,120

 

868

 

LHP Operations Co. LLC, Term Loan B

 

9.000%

 

7/03/18

 

B-

 

846,714

 

597

 

National Mentor Holdings, Inc., Term Loan B

 

4.250%

 

1/31/21

 

B+

 

600,303

 

618

 

One Call Care Management, Inc., Term Loan B

 

5.000%

 

11/27/20

 

B1

 

619,910

 

12,143

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

12,219,200

 

 

 

Health Care Technology - 0.4% (0.3% of Total Investments)

 

 

 

794

 

Catalent Pharma Solutions, Inc., Term Loan

 

4.250%

 

5/20/21

 

BB

 

802,153

 

 

 

Hotels, Restaurants & Leisure - 6.5% (4.5% of Total Investments)

 

 

 

 

 

4,185

 

Burger King Corporation, Term Loan B, First Lien

 

4.500%

 

12/10/21

 

B+

 

4,240,618

 

2,153

 

CCM Merger, Inc., Term Loan B

 

4.500%

 

8/08/21

 

BB-

 

2,170,225

 

2,273

 

CityCenter Holdings LLC, Term Loan

 

4.250%

 

10/16/20

 

BB-

 

2,291,631

 

1,995

 

Scientific Games Corporation, Term Loan B2

 

6.000%

 

10/01/21

 

BB-

 

2,017,581

 

1,823

 

Station Casino LLC, Term Loan B

 

4.250%

 

3/02/20

 

B+

 

1,836,763

 

12,429

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

12,556,818

 

 

 

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

 

 

 

 

 

919

 

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

 

4.750%

 

11/26/20

 

B1

 

911,451

 

 

 

Insurance - 1.3% (0.9% of Total Investments)

 

 

 

 

 

 

 

608

 

Hub International Holdings, Inc., Initial Term Loan

 

4.000%

 

10/02/20

 

B1

 

607,217

 

1,955

 

USI Holdings Corporation, Initial Term Loan

 

4.250%

 

12/27/19

 

B1

 

1,961,335

 

2,563

 

Total Insurance

 

 

 

 

 

 

 

2,568,552

 

 

 

Internet & Catalog Retail - 1.6% (1.1% of Total Investments)

 

 

 

 

 

2,993

 

Travelport LLC, Term Loan B, First Lien

 

5.750%

 

9/02/21

 

B

 

3,027,336

 

 

 

Internet Software & Services - 3.2% (2.2% of Total Investments)

 

 

 

 

 

714

 

Ancestry.com, Inc., Replacement Term Loan B1

 

4.500%

 

12/28/18

 

Ba2

 

717,170

 

116

 

Sabre Inc., Term Loan C

 

4.000%

 

2/19/18

 

Ba3

 

116,126

 

2,444

 

Sabre Inc., Term Loan

 

4.000%

 

2/18/19

 

Ba3

 

2,460,042

 

2,917

 

Tibco Software, Inc., Term Loan B

 

6.500%

 

12/04/20

 

B1

 

2,951,285

 

6,191

 

Total Internet Software & Services

 

 

 

 

 

 

 

6,244,623

 

 

 

IT Services - 2.6% (1.8% of Total Investments)

 

 

 

 

 

2,745

 

EIG Investors Corp., Term Loan

 

5.000%

 

11/09/19

 

B

 

2,720,838

 

323

 

VFH Parent LLC, New Term Loan

 

5.250%

 

11/08/19

 

N/R

 

325,054

 

1,939

 

Zayo Group LLC, Term Loan B

 

4.000%

 

7/02/19

 

Ba3

 

1,943,285

 

5,007

 

Total IT Services

 

 

 

 

 

 

 

4,989,177

 

 

 

Leisure Products - 2.7% (1.9% of Total Investments)

 

 

 

 

 

1,510

 

24 Hour Fitness Worldwide, Inc., Term Loan B

 

4.750%

 

5/28/21

 

Ba3

 

1,510,665

 

2,263

 

Bombardier Recreational Products, Inc., Term Loan

 

4.000%

 

1/30/19

 

BB-

 

2,278,414

 

1,470

 

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

 

5.000%

 

1/31/20

 

B1

 

1,484,796

 

5,243

 

Total Leisure Products

 

 

 

 

 

 

 

5,273,875

 

 

 

Machinery - 0.9% (0.6% of Total Investments)

 

 

 

 

 

 

 

1,143

 

Doosan Infracore International, Inc., Term Loan

 

4.500%

 

5/27/21

 

BB-

 

1,156,957

 

598

 

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

 

5.500%

 

11/27/20

 

B1

 

582,758

 

1,741

 

Total Machinery

 

 

 

 

 

 

 

1,739,715

 

 

 

Media - 8.6% (5.9% of Total Investments)

 

 

 

 

 

 

 

 

 

861

 

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

 

4.250%

 

7/25/21

 

B1

 

864,911

 

750

 

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

 

7.500%

 

7/25/22

 

CCC+

 

754,766

 

500

 

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

 

8.500%

 

10/31/18

 

B3

 

450,000

 

496

 

Catalina Marketing Corporation, Term Loan, First Lien

 

4.500%

 

4/09/21

 

B+

 

452,518

 

500

 

Catalina Marketing Corporation, Term Loan, Second Lien

 

7.750%

 

4/11/22

 

CCC+

 

389,375

 

62

 

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

 

6.934%

 

1/30/19

 

CCC+

 

59,519

 

1,633

 

Clear Channel Communications, Inc., Term Loan E

 

7.684%

 

7/30/19

 

CCC+

 

1,588,409

 

2,821

 

Cumulus Media, Inc., Term Loan B

 

4.250%

 

12/23/20

 

B+

 

2,786,004

 

1,306

 

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

 

4.750%

 

6/17/20

 

BB-

 

1,321,123

 

445

 

Gray Television, Inc., Initial Term Loan

 

3.750%

 

6/13/21

 

BB

 

447,329

 

744

 

IMG Worldwide, Inc., First Lien

 

5.250%

 

5/06/21

 

B1

 

744,747

 

993

 

Interactive Data Corporation, Term Loan B

 

4.750%

 

5/02/21

 

B+

 

1,000,409

 

750

 

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

 

5.000%

 

3/13/22

 

BB-

 

757,500

 

988

 

McGraw-Hill Education Holdings LLC, Term Loan B

 

6.250%

 

12/18/19

 

BB-

 

994,906

 

535

 

Numericable Group S.A., Term Loan B1

 

4.500%

 

5/21/20

 

Ba3

 

537,688

 

463

 

Numericable Group S.A., Term Loan B2

 

4.500%

 

5/21/20

 

Ba3

 

465,173

 

1,105

 

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

 

TBD

 

TBD

 

B2

 

1,111,953

 

1,844

 

Tribune Company, Term Loan B

 

4.000%

 

12/27/20

 

BB+

 

1,855,754

 

16,796

 

Total Media

 

 

 

 

 

 

 

16,582,084

 

 

 

Multiline Retail - 0.3% (0.2% of Total Investments)

 

 

 

 

 

620

 

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

 

5.000%

 

6/20/19

 

B

 

618,762

 

 

 

Oil, Gas & Consumable Fuels - 3.1% (2.1% of Total Investments)

 

 

 

1,356

 

Crestwood Holdings LLC, Term Loan B

 

7.000%

 

6/19/19

 

B2

 

1,321,930

 

2,043

 

Energy and Exploration Partners, Term Loan, (DD1)

 

7.750%

 

1/22/19

 

N/R

 

1,793,547

 

1,389

 

Fieldwood Energy LLC, Term Loan, Second Lien

 

8.375%

 

9/30/20

 

B2

 

1,087,075

 

814

 

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

 

TBD

 

TBD

 

B

 

645,407

 

929

 

Seadrill Partners LLC, Initial Term Loan

 

4.000%

 

2/21/21

 

BB-

 

762,391

 

363

 

Southcross Holdings Borrower L.P., Holdco Term Loan

 

6.000%

 

8/04/21

 

B2

 

357,663

 

6,894

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

5,968,013

 

 

 

Pharmaceuticals - 7.5% (5.2% of Total Investments)

 

 

 

786

 

Generic Drug Holdings, Inc., Term Loan B

 

5.000%

 

8/16/20

 

B

 

784,363

 

993

 

Patheon, Inc., Term Loan B

 

4.250%

 

3/11/21

 

B

 

995,188

 

2,547

 

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

 

4.000%

 

12/01/18

 

Ba2

 

2,562,536

 

802

 

Pharmaceutical Research Associates, Inc., Term Loan

 

4.500%

 

9/23/20

 

B1

 

808,765

 

1,911

 

Quintiles Transnational Corp., Term Loan B3

 

3.750%

 

6/08/18

 

BB+

 

1,917,742

 

941

 

Therakos, Inc., Term Loan, First Lien

 

7.000%

 

12/27/17

 

B

 

940,558

 

2,100

 

Valeant Pharmaceuticals International, Inc., Term Loan F

 

4.000%

 

4/01/22

 

BB+

 

2,117,195

 

2,381

 

Valeant Pharmaceuticals International, Inc., Term Loan E

 

3.500%

 

8/05/20

 

BB+

 

2,389,977

 

1,914

 

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

 

3.500%

 

2/13/19

 

Ba1

 

1,922,810

 

14,375

 

Total Pharmaceuticals

 

 

 

 

 

 

 

14,439,134

 

 

 

Professional Services - 0.3% (0.2% of Total Investments)

 

 

 

492

 

Ceridian Corporation, Term Loan B2

 

4.500%

 

9/15/20

 

Ba3

 

492,323

 

 

 

Real Estate Investment Trust - 5.6% (3.8% of Total Investments)

 

 

 

6,300

 

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

 

5.000%

 

10/16/22

 

BB

 

6,300,000

 

1,960

 

Realogy Corporation, Initial Term Loan B

 

3.750%

 

3/05/20

 

BB

 

1,969,683

 

55

 

Realogy Corporation, Synthetic Letter of Credit

 

6.810%

 

10/10/16

 

BB

 

54,278

 

287

 

Starwood Property Trust, Inc., Term Loan B

 

3.500%

 

4/17/20

 

BB

 

286,469

 

2,234

 

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

 

4.750%

 

12/18/20

 

B+

 

2,146,653

 

10,836

 

Total Real Estate Investment Trust

 

 

 

 

 

 

 

10,757,083

 

 

 

Real Estate Management & Development - 1.8% (1.2% of Total Investments)

 

 

 

1,861

 

Capital Automotive LP, Term Loan, Second Lien

 

6.000%

 

4/30/20

 

B1

 

1,903,328

 

1,577

 

Capital Automotive LP, Term Loan, Tranche B1

 

4.000%

 

4/10/19

 

Ba2

 

1,588,859

 

3,438

 

Total Real Estate Management & Development

 

 

 

 

 

3,492,187

 

 

 

Semiconductors & Semiconductor Equipment - 2.3% (1.6% of Total Investments)

 

 

 

432

 

Avago Technologies, Term Loan B

 

3.750%

 

5/06/21

 

BBB-

 

434,359

 

1,960

 

Freescale Semiconductor, Inc., Term Loan, Tranche B4

 

4.250%

 

2/28/20

 

B1

 

1,969,988

 

985

 

Freescale Semiconductor, Inc., Term Loan, Tranche B5

 

5.000%

 

1/15/21

 

B1

 

993,772

 

971

 

NXP Semiconductor LLC, Term Loan D

 

3.250%

 

1/11/20

 

BBB-

 

971,431

 

4,348

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

4,369,550

 

 

 

Software - 9.3% (6.4% of Total Investments)

 

 

 

 

 

 

 

 

 

946

 

Blackboard, Inc., Term Loan B3

 

4.750%

 

10/04/18

 

B+

 

950,625

 

953

 

BMC Software, Inc., Initial Term Loan

 

5.000%

 

9/10/20

 

B1

 

937,891

 

1,801

 

Compuware Corporation, Tranche B2, Term Loan, First Lien

 

6.250%

 

12/15/21

 

B

 

1,768,190

 

961

 

Emdeon Business Services LLC, Term Loan B2

 

3.750%

 

11/02/18

 

Ba3

 

966,030

 

895

 

Epicor Software Corporation, Term Loan, B2

 

4.000%

 

5/16/18

 

Ba3

 

900,325

 

933

 

Explorer Holdings, Inc., Term Loan

 

6.000%

 

5/02/18

 

B+

 

932,614

 

2,546

 

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

 

3.750%

 

6/03/20

 

Ba3

 

2,543,406

 

529

 

Micro Focus International PLC, Term Loan B

 

5.250%

 

11/19/21

 

BB-

 

532,579

 

900

 

Micro Focus International PLC, Term Loan C

 

4.500%

 

11/20/19

 

BB-

 

903,000

 

2,681

 

Misys PLC, Term Loan B, First Lien

 

5.000%

 

12/12/18

 

B+

 

2,699,398

 

872

 

SunGard Data Systems, Inc., Term Loan E

 

4.000%

 

3/08/20

 

BB

 

878,364

 

708

 

Vertafore, Inc., Term Loan, First Lien

 

4.250%

 

10/03/19

 

B+

 

711,557

 

1,000

 

Vertafore, Inc., Term Loan, Second Lien

 

9.750%

 

10/27/17

 

CCC+

 

1,009,583

 

2,193

 

Zebra Technologies Corporation, Term Loan B, First Lien

 

4.750%

 

10/27/21

 

BB+

 

2,223,057

 

17,918

 

Total Software

 

 

 

 

 

 

 

17,956,619

 

 

 

Specialty Retail - 1.5% (1.1% of Total Investments)

 

 

 

998

 

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

 

4.000%

 

3/16/18

 

B+

 

998,160

 

900

 

Petsmart Inc., Term Loan B, First Lien

 

5.000%

 

3/11/22

 

BB-

 

912,263

 

225

 

Pilot Travel Centers LLC, Term Loan B, First Lien

 

4.250%

 

9/30/21

 

BB+

 

228,241

 

800

 

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

 

TBD

 

TBD

 

BBB

 

804,278

 

2,923

 

Total Specialty Retail

 

 

 

 

 

 

 

2,942,942

 

 

 

Technology Hardware, Storage & Peripherals - 2.6% (1.8% of Total Investments)

 

 

 

4,931

 

Dell, Inc., Term Loan B

 

4.500%

 

4/29/20

 

BBB

 

4,962,874

 

 

 

Textiles, Apparel & Luxury Goods - 0.8% (0.5% of Total Investments)

 

 

 

1,486

 

Polymer Group, Inc., Initial Term Loan

 

5.250%

 

12/19/19

 

B2

 

1,497,670

 

 

 

Trading Companies & Distributors - 1.8% (1.2% of Total Investments)

 

 

 

2,824

 

HD Supply, Inc., Term Loan

 

4.000%

 

6/28/18

 

B+

 

2,838,413

 

625

 

Neff Rental/Neff Finance Closing Date Loan, Second Lien

 

7.250%

 

6/09/21

 

B-

 

616,973

 

3,449

 

Total Trading Companies & Distributors

 

 

 

 

 

 

 

3,455,386

 

 

 

Transportation Infrastructure - 0.7% (0.5% of Total Investments)

 

 

 

 

 

67

 

Ceva Group PLC, Canadian Term Loan

 

6.500%

 

3/19/21

 

B2

 

62,963

 

388

 

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

 

6.500%

 

3/19/21

 

B2

 

365,186

 

371

 

Ceva Group PLC, Synthetic Letter of Credit Term Loan

 

6.325%

 

3/19/21

 

B2

 

349,786

 

535

 

Ceva Group PLC, US Term Loan

 

6.500%

 

3/19/21

 

B2

 

503,705

 

1,361

 

Total Transportation Infrastructure

 

 

 

 

 

 

 

1,281,640

 

 

 

Wireless Telecommunication Services - 1.3% (0.9% of Total Investments)

 

 

 

2,450

 

Fairpoint Communications, Inc., Term Loan B

 

7.500%

 

2/11/19

 

B

 

2,499,613

 

$       236,786

 

Total Variable Rate Senior Loan Interests (cost $233,651,213)

 

 

 

 

 

235,009,675

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

 

 

 

 

 

 

Value

 

 

 

COMMON STOCKS – 0.5% (0.4% of Total Investments)

 

 

 

 

 

 

 

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

 

 

 

 

 

39,749

 

Cengage Learning Holdings II LP, (5), (6)

 

 

 

 

 

 

 

$ 1,013,600

 

 

 

Total Common Stocks (cost $1,286,905)

 

 

 

 

 

 

 

1,013,600

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

CORPORATE BONDS – 19.3% (13.2% of Total Investments)

 

 

 

 

 

Commercial Services & Supplies - 0.9% (0.6% of Total Investments)

 

 

 

$           1,650

 

NES Rental Holdings Inc., 144A

 

7.875%

 

5/01/18

 

B-

 

$      1,691,250

 

 

 

Communications Equipment - 0.1% (0.1% of Total Investments)

 

 

 

 

 

250

 

Avaya Inc., 144A

 

10.500%

 

3/01/21

 

CCC+

 

220,000

 

 

 

Containers & Packaging - 0.1% (0.1% of Total Investments)

 

 

 

 

 

209

 

Reynolds Group

 

9.875%

 

8/15/19

 

CCC+

 

222,716

 

 

 

Diversified Telecommunication Services - 1.8% (1.3% of Total Investments)

 

 

 

 

 

300

 

IntelSat Limited

 

6.750%

 

6/01/18

 

CCC+

 

299,813

 

1,800

 

IntelSat Limited

 

7.750%

 

6/01/21

 

CCC+

 

1,653,750

 

1,750

 

IntelSat Limited

 

8.125%

 

6/01/23

 

CCC+

 

1,601,792

 

3,850

 

Total Diversified Telecommunication Services

 

 

 

 

 

3,555,355

 

 

 

Health Care Equipment & Supplies - 1.5% (1.0% of Total Investments)

 

 

 

 

 

2,700

 

Kinetic Concepts

 

10.500%

 

11/01/18

 

B-

 

2,905,875

 

 

 

Health Care Providers & Services - 1.3% (0.9% of Total Investments)

 

 

 

 

 

1,350

 

Iasis Healthcare Capital Corporation

 

8.375%

 

5/15/19

 

CCC+

 

1,400,625

 

1,000

 

Truven Health Analtyics Inc.

 

10.625%

 

6/01/20

 

CCC+

 

1,052,500

 

2,350

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

2,453,125

 

 

 

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

 

 

 

 

 

175

 

Scientific Games Corporation

 

8.125%

 

9/15/18

 

B-

 

161,000

 

 

 

Media - 4.2% (2.9% of Total Investments)

 

 

 

 

 

 

 

 

 

3,585

 

Clear Channel Communications, Inc.

 

9.000%

 

12/15/19

 

CCC+

 

3,544,668

 

3,120

 

Clear Channel Communications, Inc.

 

14.000%

 

2/01/21

 

CCC-

 

2,503,737

 

1,000

 

Clear Channel Communications, Inc.

 

9.000%

 

3/01/21

 

CCC+

 

958,750

 

600

 

Expo Event Transco Inc., 144A

 

9.000%

 

6/15/21

 

B-

 

615,750

 

500

 

McGraw-Hill Global Education Holdings

 

9.750%

 

4/01/21

 

BB

 

553,750

 

8,805

 

Total Media

 

 

 

 

 

 

 

8,176,655

 

 

 

Oil, Gas & Consumable Fuels - 0.9% (0.6% of Total Investments)

 

 

 

 

 

2,000

 

Chaparral Energy Inc.

 

9.875%

 

10/01/20

 

B-

 

1,715,000

 

 

 

Pharmaceuticals - 2.5% (1.7% of Total Investments)

 

 

 

 

 

1,000

 

Jaguar Holding Company I, 144A

 

9.375%

 

10/15/17

 

CCC+

 

1,022,500

 

2,000

 

Valeant Pharmaceuticals International, 144A

 

7.000%

 

10/01/20

 

B1

 

2,095,000

 

500

 

Valeant Pharmaceuticals International, 144A

 

7.250%

 

7/15/22

 

B1

 

533,125

 

1,000

 

VPII Escrow Corporation, 144A

 

7.500%

 

7/15/21

 

B1

 

1,085,000

 

4,500

 

Total Pharmaceuticals

 

 

 

 

 

 

 

4,735,625

 

 

 

Semiconductors & Semiconductor Equipment - 0.2% (0.1% of Total Investments)

 

 

 

250

 

Advanced Micro Devices, Inc.

 

7.750%

 

8/01/20

 

B-

 

205,000

 

166

 

Advanced Micro Devices, Inc.

 

7.500%

 

8/15/22

 

B-

 

136,120

 

416

 

Total Semiconductors & Semiconductor Equipment

 

 

 

 

 

341,120

 

 

 

Software - 1.9% (1.3% of Total Investments)

 

 

 

 

 

 

 

 

 

580

 

BMC Software Finance Inc., 144A

 

8.125%

 

7/15/21

 

CCC+

 

532,150

 

450

 

Boxer Parent Company Inc./BMC Software, 144A

 

9.000%

 

10/15/19

 

CCC+

 

369,000

 

2,550

 

Infor Us Inc.

 

11.500%

 

7/15/18

 

B-

 

2,757,188

 

3,580

 

Total Software

 

 

 

 

 

 

 

3,658,338

 

 

 

Specialty Retail - 0.3% (0.2% of Total Investments)

 

 

 

 

 

500

 

99 Cents Only Stores

 

11.000%

 

12/15/19

 

Caa1

 

522,500

 

 

 

Trading Companies & Distributors - 0.6% (0.4% of Total Investments)

 

 

 

1,000

 

HD Supply Inc.

 

11.500%

 

7/15/20

 

CCC+

 

1,170,000

 

 

 

Wireless Telecommunication Services - 2.9% (2.0% of Total Investments)

 

 

 

500

 

FairPoint Communications Inc., 144A

 

8.750%

 

8/15/19

 

B

 

535,000

 

3,000

 

Sprint Corporation

 

7.875%

 

9/15/23

 

B+

 

3,011,249

 

500

 

Sprint Corporation

 

7.125%

 

6/15/24

 

B+

 

480,625

 

1,250

 

T-Mobile USA Inc.

 

6.250%

 

4/01/21

 

BB

 

1,306,250

 

75

 

T-Mobile USA Inc.

 

6.731%

 

4/28/22

 

BB

 

79,031

 

75

 

T-Mobile USA Inc.

 

6.836%

 

4/28/23

 

BB

 

79,313

 

5,400

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

5,491,468

 

$  37,385

 

Total Corporate Bonds (cost $36,692,881)

 

 

 

 

 

 

 

37,020,027

 

 

 

Total Long-Term Investments (cost $271,630,999)

 

 

 

 

 

273,043,302

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

 

 

Value

 

 

 

SHORT-TERM INVESTMENTS – 3.5% (2.4% of Total Investments)

 

 

 

 

 

 

 

REPURCHASE AGREEMENTS - 3.5% (2.4% of Total Investments)

 

 

 

 

 

$    6,806

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/30/15, repurchase price $6,806,362, collateralized by $5,155,000 U.S. Treasury Bonds, 8.500%, due 2/15/20, value $6,946,363

 

0.000%

 

5/01/15

 

 

 

$      6,806,362

 

 

 

Total Short-Term Investments (cost $6,806,362)

 

 

 

 

 

6,806,362

 

 

 

Total Investments (cost $278,437,361) – 145.3%

 

 

 

 

 

279,849,664

 

 

 

Borrowings – (44.2)% (7), (8)

 

 

 

 

 

(85,200,000)

 

 

 

Other Assets Less Liabilities - (1.1)% (9)

 

 

 

 

 

(2,062,201)

 

 

 

Net Assets Applicable to Common Shares - 100%

 

 

 

 

 

$  192,587,463

 

 

Investments in Derivatives as of April 30, 2015

 

Interest Rate Swaps outstanding:

 

 

 

 

 

Fund

 

 

 

 

 

Fixed Rate

 

 

 

Unrealized

 

 

 

Notional

 

Pay/Receive

 

 

 

Fixed Rate

 

Payment

 

Termination

 

Appreciation

 

Counterparty

 

Amount

 

Floating Rate

 

Floating Rate Index

 

(Annualized)

 

Frequency

 

Date

 

(Depreciation)

 

Morgan Stanley

 

$ 17,500,000

 

Receive

 

USD-LIBOR-BBA

 

1.659%

 

Monthly

 

9/15/18

 

$ (331,943)

 

 

Credit Default Swaps outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

Buy/Sell

 

Current

 

Notional

 

Fixed Rate

 

Termination

 

 

 

Appreciation

 

Counterparty

 

Referenced entity

 

Protection (10)

 

Credit Spread (11)

 

Amount

 

(Annualized)

 

Date

 

Value

 

(Depreciation)

 

Citibank

 

Darden Restaurant’s, Inc.

 

Buy

 

1.335

%

$2,000,000

 

1.000

%

6/20/20

 

$  (6,233)

 

$    (37,992)

 

JPMorgan

 

Avon Products, Inc.

 

Buy

 

7.538

 

2,000,000

 

5.000

 

6/20/20

 

44,861

 

(102,600)

 

 

 

 

 

 

 

 

 

$4,000,000

 

 

 

 

 

$  38,628

 

$  (140,592)

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$             —

 

$ 235,009,675

 

$  —

 

$ 235,009,675

 

 

 

Common Stocks

 

 

1,013,600

 

 

1,013,600

 

 

 

Corporate Bonds

 

 

37,020,027

 

 

37,020,027

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

 

6,806,362

 

 

6,806,362

 

 

 

Investments in Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps*

 

 

(331,943

)

 

(331,943

)

 

 

Credit Default Swaps*

 

 

(140,592

)

 

(140,592

)

 

 

Total

 

$             —

 

$ 279,377,129

 

$  —

 

$ 279,377,129

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Represents net unrealized appreciation (depreciation).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Tax Information

 

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions 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 (excluding investments in derivatives) was $278,595,830.

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of April 30, 2015, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

 

 

 

 

 

 

Appreciation

 

 

 

 

 

 

 

$  4,702,123

 

 

 

Depreciation

 

 

 

 

 

 

 

(3,448,289

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

 

 

 

$  1,253,834

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

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

 

 

(6)

 

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

 

 

(7)

 

Borrowings as a percentage of Total Investments is 30.4%.

 

 

(8)

 

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.

 

 

(9)

 

Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable.

 

 

(10)

 

The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

 

(11)

 

The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

 

(DD1)

 

Portion of investment purchased on a delayed delivery basis.

 

 

(WI/DD)

 

Purchased on a when-issued or delayed delivery basis.

 

 

144A

 

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

 

 

TBD

 

Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

USD-LIBOR-BBA

 

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

 



 

Item 2. Controls and Procedures.

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

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

 

Item 3. Exhibits.

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

 



 

SIGNATURES

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

 

(Registrant) Nuveen Short Duration Credit Opportunities 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