| | |
JCO | | Nuveen Credit Opportunities 2022 Target Term Fund Portfolio of Investments March 31, 2021 |
| | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | | |
| | | | | | LONG-TERM INVESTMENTS – 134.0% (100.0% of Total Investments) | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | CORPORATE BONDS – 122.4% (91.4% of Total Investments) | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | Aerospace & Defense – 3.5% | | | | | | | | | | | | |
| | | | | | |
$ | 3,000 | | | | | Bombardier Inc, 144A | | | 8.750% | | | | 12/01/21 | | | | CCC | | | $ | 3,147,510 | |
| 5,000 | | | | | Bombardier Inc, 144A | | | 6.000% | | | | 10/15/22 | | | | CCC | | | | 5,000,000 | |
| 8,000 | | | | | Total Aerospace & Defense | | | | | | | | | | | | | | | 8,147,510 | |
| | | | | | |
| | | | | Airlines – 5.2% | | | | | | | | | | | | |
| | | | | | |
| 5,000 | | | | | Delta Air Lines Inc | | | 3.400% | | | | 4/19/21 | | | | Baa3 | | | | 4,999,951 | |
| 7,000 | | | | | Delta Air Lines Inc, (3) | | | 3.625% | | | | 3/15/22 | | | | Baa3 | | | | 7,077,782 | |
| 12,000 | | | | | Total Airlines | | | | | | | | | | | | | | | 12,077,733 | |
| | | | | | |
| | | | | Auto Components – 2.3% | | | | | | | | | | | | |
| | | | | | |
| 5,249 | | | | | ZF North America Capital Inc, 144A | | | 4.500% | | | | 4/29/22 | | | | BB+ | | | | 5,367,102 | |
| | | | | | |
| | | | | Automobiles – 5.3% | | | | | | | | | | | | |
| | | | | | |
| 9,000 | | | | | Ford Motor Credit Co LLC, (3) | | | 3.813% | | | | 10/12/21 | | | | BB+ | | | | 9,095,535 | |
| 3,000 | | | | | Ford Motor Credit Co LLC | | | 5.596% | | | | 1/07/22 | | | | BB+ | | | | 3,081,990 | |
| 12,000 | | | | | Total Automobiles | | | | | | | | | | | | | | | 12,177,525 | |
| | | | | | |
| | | | | Building Products – 1.8% | | | | | | | | | | | | |
| | | | | | |
| 4,150 | | | | | Hillman Group Inc, 144A | | | 6.375% | | | | 7/15/22 | | | | CCC | | | | 4,155,188 | |
| | | | | | |
| | | | | Commercial Services & Supplies – 9.3% | | | | | | | | | | | | |
| | | | | | |
| 14,433 | | | | | ADT Security Corp, (3) | | | 3.500% | | | | 7/15/22 | | | | BB– | | | | 14,649,495 | |
| 6,759 | | | | | APX Group Inc, (3) | | | 7.875% | | | | 12/01/22 | | | | B– | | | | 6,784,346 | |
| 21,192 | | | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | 21,433,841 | |
| | | | | | |
| | | | | Construction & Engineering – 0.9% | | | | | | | | | | | | |
| | | | | | |
| 2,000 | | | | | Great Lakes Dredge & Dock Corp | | | 8.000% | | | | 5/15/22 | | | | B | | | | 2,017,500 | |
| | | | | | |
| | | | | Consumer Finance – 7.6% | | | | | | | | | | | | |
| | | | | | |
| 2,695 | | | | | DAE Funding LLC, 144A | | | 4.500% | | | | 8/01/22 | | | | Baa3 | | | | 2,711,844 | |
| 3,000 | | | | | Ford Motor Credit Co LLC | | | 4.250% | | | | 9/20/22 | | | | BB+ | | | | 3,103,200 | |
| 4,400 | | | | | Navient Corp | | | 6.625% | | | | 7/26/21 | | | | Ba3 | | | | 4,482,500 | |
| 2,000 | | | | | Navient Corp | | | 7.250% | | | | 1/25/22 | | | | Ba3 | | | | 2,072,500 | |
| 5,000 | | | | | Navient Corp, (3) | | | 6.500% | | | | 6/15/22 | | | | Ba3 | | | | 5,244,350 | |
| 17,095 | | | | | Total Consumer Finance | | | | | | | | | | | | | | | 17,614,394 | |
| | | | | | |
| | | | | Containers & Packaging – 1.6% | | | | | | | | | | | | |
| | | | | | |
| 3,500 | | | | | Sealed Air Corp, 144A | | | 4.875% | | | | 12/01/22 | | | | BB+ | | | | 3,640,000 | |
| | | | | | |
| | | | | Diversified Telecommunication Services – 8.3% | | | | | | | | | | | | |
| | | | | | |
| 6,625 | | | | | Cogent Communications Group Inc, 144A | | | 5.375% | | | | 3/01/22 | | | | Ba3 | | | | 6,792,182 | |
| 4,000 | | | | | Lumen Technologies Inc, (3) | | | 6.450% | | | | 6/15/21 | | | | BB | | | | 4,029,000 | |
| 8,000 | | | | | Lumen Technologies Inc | | | 5.800% | | | | 3/15/22 | | | | BB | | | | 8,280,800 | |
| 18,625 | | | | | Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 19,101,982 | |
| | | | | | |
| | | | | Electrical Equipment – 1.8% | | | | | | | | | | | | |
| | | | | | |
| 4,000 | | | | | Park Aerospace Holdings Ltd, 144A | | | 5.250% | | | | 8/15/22 | | | | BBB– | | | | 4,199,275 | |
| | | | | | |
| | | | | Health Care Providers & Services – 5.4% | | | | | | | | | | | | |
| | | | | | |
| 12,000 | | | | | Molina Healthcare Inc, (3) | | | 5.375% | | | | 11/15/22 | | | | BB– | | | | 12,582,480 | |
1
| | |
| |
JCO | | Nuveen Credit Opportunities 2022 Target Term Fund (continued) |
| Portfolio of Investments March 31, 2021 |
| | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | | | Description (1) | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | | |
| | | | | Hotels, Restaurants & Leisure – 1.2% | | | | | | | | | | | | |
| | | | | | |
$ | 2,750 | | | | | MGM Resorts International | | | 7.750% | | | | 3/15/22 | | | | BB | | | $ | 2,896,850 | |
| | | | | | |
| | | | | Household Durables – 0.7% | | | | | | | | | | | | |
| | | | | | |
| 1,500 | | | | | KB Home | | | 7.500% | | | | 9/15/22 | | | | BB | | | | 1,618,125 | |
| | | | | | |
| | | | | Media – 16.4% | | | | | | | | | | | | |
| | | | | | |
| 12,787 | | | | | CSC Holdings LLC, (3) | | | 5.875% | | | | 9/15/22 | | | | B | | | | 13,501,857 | |
| 13,000 | | | | | DISH DBS Corp, (3) | | | 5.875% | | | | 7/15/22 | | | | B2 | | | | 13,578,500 | |
| 6,294 | | | | | Nielsen Finance LLC / Nielsen Finance Co, 144A | | | 5.000% | | | | 4/15/22 | | | | BB– | | | | 6,295,294 | |
| 4,500 | | | | | Sirius XM Radio Inc, 144A | | | 3.875% | | | | 8/01/22 | | | | BB | | | | 4,516,875 | |
| 36,581 | | | | | Total Media | | | | | | | | | | | | | | | 37,892,526 | |
| | | | | | |
| | | | | Metals & Mining – 1.3% | | | | | | | | | | | | |
| | | | | | |
| 3,000 | | | | | Freeport-McMoRan Inc | | | 3.550% | | | | 3/01/22 | | | | Ba1 | | | | 3,048,750 | |
| | | | | | |
| | | | | Mortgage Real Estate Investment Trust – 3.9% | | | | | | | | | | | | |
| | | | | | |
| 9,000 | | | | | Starwood Property Trust Inc, (3) | | | 5.000% | | | | 12/15/21 | | | | Ba3 | | | | 9,123,750 | |
| | | | | | |
| | | | | Oil, Gas & Consumable Fuels – 19.4% | | | | | | | | | | | | |
| | | | | | |
| 3,101 | | | | | Calumet Specialty Products Partners LP / Calumet Finance Corp | | | 7.625% | | | | 1/15/22 | | | | B– | | | | 3,093,248 | |
| 5,000 | | | | | Cenovus Energy Inc, (3) | | | 3.000% | | | | 8/15/22 | | | | BBB– | | | | 5,115,322 | |
| 366 | | | | | Continental Resources Inc/OK | | | 5.000% | | | | 9/15/22 | | | | BBB– | | | | 366,293 | |
| 679 | | | | | Marathon Oil Corp, (3) | | | 2.800% | | | | 11/01/22 | | | | BBB– | | | | 696,458 | |
| 2,000 | | | | | NGPL PipeCo LLC, 144A, (3) | | | 4.375% | | | | 8/15/22 | | | | BBB– | | | | 2,076,005 | |
| 5,000 | | | | | Occidental Petroleum Corp, (3) | | | 3.125% | | | | 2/15/22 | | | | Ba2 | | | | 5,025,000 | |
| 3,000 | | | | | Occidental Petroleum Corp | | | 2.700% | | | | 8/15/22 | | | | Ba2 | | | | 3,001,125 | |
| 6,500 | | | | | Occidental Petroleum Corp, (3-Month LIBOR reference rate + 1.450% spread), (4) | | | 1.644% | | | | 8/15/22 | | | | Ba2 | | | | 6,431,437 | |
| 2,000 | | | | | Ovintiv Inc | | | 3.900% | | | | 11/15/21 | | | | BBB– | | | | 2,021,844 | |
| 3,000 | | | | | Sasol Financing International Ltd | | | 4.500% | | | | 11/14/22 | | | | BB | | | | 3,064,500 | |
| 2,000 | | | | | SM Energy Co | | | 6.125% | | | | 11/15/22 | | | | B | | | | 1,972,040 | |
| 3,000 | | | | | Southwestern Energy Co, (3) | | | 4.100% | | | | 3/15/22 | | | | BB | | | | 3,000,000 | |
| 8,737 | | | | | Western Midstream Operating LP | | | 4.000% | | | | 7/01/22 | | | | BB | | | | 8,955,643 | |
| 44,383 | | | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 44,818,915 | |
| | | | | | |
| | | | | Pharmaceuticals – 4.1% | | | | | | | | | | | | |
| | | | | | |
| 925 | | | | | Elanco Animal Health Inc | | | 4.912% | | | | 8/27/21 | | | | Ba2 | | | | 933,094 | |
| 4,321 | | | | | Teva Pharmaceutical Finance Co BV | | | 3.650% | | | | 11/10/21 | | | | Ba2 | | | | 4,353,407 | |
| 4,058 | | | | | Teva Pharmaceutical Finance IV BV | | | 3.650% | | | | 11/10/21 | | | | Ba2 | | | | 4,088,435 | |
| 9,304 | | | | | Total Pharmaceuticals | | | | | | | | | | | | | | | 9,374,936 | |
| | | | | | |
| | | | | Road & Rail – 1.1% | | | | | | | | | | | | |
| | | | | | |
| 600 | | | | | DAE Funding LLC, 144A | | | 5.250% | | | | 11/15/21 | | | | Baa3 | | | | 610,500 | |
| 2,000 | | | | | Transnet SOC Ltd, 144A | | | 4.000% | | | | 7/26/22 | | | | Ba2 | | | | 2,034,220 | |
| 2,600 | | | | | Total Road & Rail | | | | | | | | | | | | | | | 2,644,720 | |
| | | | | | |
| | | | | Software – 1.8% | | | | | | | | | | | | |
| | | | | | |
| 4,000 | | | | | NortonLifeLock Inc | | | 3.950% | | | | 6/15/22 | | | | BB+ | | | | 4,080,000 | |
| | | | | | |
| | | | | Specialty Retail – 3.6% | | | | | | | | | | | | |
| | | | | | |
| 8,000 | | | | | L Brands Inc | | | 5.625% | | | | 2/15/22 | | | | BB– | | | | 8,339,200 | |
| | | | | | |
| | | | | Technology Hardware, Storage & Peripherals – 1.0% | | | | | | | | | | | | |
| | | | | | |
| 2,320 | | | | | Dell International LLC / EMC Corp, 144A | | | 5.875% | | | | 6/15/21 | | | | BB+ | | | | 2,322,900 | |
| | | | | | |
| | | | | Thrifts & Mortgage Finance – 1.9% | | | | | | | | | | | | |
| | | | | | |
| 4,398 | | | | | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 144A, (3) | | | 5.250% | | | | 3/15/22 | | | | Ba2 | | | | 4,430,985 | |
| | | | | | |
| | | | | Wireless Telecommunication Services – 13.0% | | | | | | | | | | | | |
| | | | | | |
| 6,746 | | | | | Hughes Satellite Systems Corp | | | 7.625% | | | | 6/15/21 | | | | BB | | | | 6,823,579 | |
| 3,100 | | | | | MTN Mauritius Investments Ltd, 144A | | | 5.373% | | | | 2/13/22 | | | | Ba2 | | | | 3,170,978 | |
2
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Principal Amount (000) | | | | | Description (1) | | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | | | | |
| | | | | Wireless Telecommunication Services (continued) | | | | | | | | | | | | | |
| | | | | | |
$ | 12,500 | | | | | Sprint Communications Inc, (3) | | | | 6.000% | | | | 11/15/22 | | | | BB+ | | | $ | 13,375,000 | |
| 6,500 | | | | | T-Mobile USA Inc) | | | | 4.000% | | | | 4/15/22 | | | | BB+ | | | | 6,638,255 | |
| 28,846 | | | | | Total Wireless Telecommunication Services | | | | | | | | | | | | | | | | 30,007,812 | |
$ | 276,493 | | | | | Total Corporate Bonds (cost $279,286,550) | | | | | | | | | | | | | | | | 283,113,999 | |
| | | | | | | | |
Principal Amount (000) | | | | | Description (1) | | Coupon (5) | | | Reference Rate (5) | | | Spread (5) | | | Maturity (6) | | | Ratings (2) | | | Value | |
| | | |
| | | | | | VARIABLE RATE SENIOR LOAN INTERESTS – 8.8% (6.5% of Total Investments) (5) | | | | | |
| | | | | | | | |
| | | | | Banks – 0.3% | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
$ | 721 | | | | | iQor US Inc, Exit Priority Term Loan | | | 8.500% | | | | 1-Month LIBOR | | | | 7.500% | | | | 9/15/27 | | | | N/R | | | $ | 726,247 | |
| | | | | | |
| | | | | Commercial Services & Supplies – 2.6% | | | | | | | | | | | | | |
| | | | | | | | |
| 5,167 | | | | | Wash Multifamily Acquisition, Inc., Initial US Term Loan, First Lien | | | 4.250% | | | | 1-Month LIBOR | | | | 3.250% | | | | 5/16/22 | | | | B2 | | | | 5,157,946 | |
| 801 | | | | | Wash Multifamily Acquisition, Inc., Initial Canadian Term Loan, First Lien | | | 4.250% | | | | 1-Month LIBOR | | | | 3.250% | | | | 5/16/22 | | | | B2 | | | | 799,201 | |
| 5,968 | | | | | Total Commercial Services & Supplies | | | | | | | | | | | | | | | | | | | | | | | 5,957,147 | |
| | | | | | |
| | | | | Communications Equipment – 0.4% | | | | | | | | | | | | | |
| | | | | | | | |
| 1,056 | | | | | Riverbed Technology Inc, Term Loan, First Lien | | | 7.000% | | | | 3-Month LIBOR | | | | 6.000% | | | | 12/31/25 | | | | B2 | | | | 1,016,578 | |
| | | | | | |
| | | | | Diversified Financial Services – 0.1% | | | | | | | | | | | | | |
| | | | | | | | |
| 1,434 | | | | | Ditech Holding Corporation., Term Loan B, First Lien, (7) | | | 0.000% | | | | N/A | | | | N/A | | | | 6/30/22 | | | | N/R | | | | 264,076 | |
| | | | | | |
| | | | | Energy Equipment & Services – 0.6% | | | | | | | | | | | | | |
| | | | | | | | |
| 1,476 | | | | | Petroleum GEO-Services ASA/PGS Finance, Inc., Term Loan B | | | 3.500% | | | | 3-Month LIBOR | | | | 2.500% | | | | 3/11/21 | | | | N/R | | | | 1,278,634 | |
| | | | | | |
| | | | | Health Care Equipment & Supplies – 2.2% | | | | | | | | | | | | | |
| | | | | | | | |
| 5,127 | | | | | Greatbatch Ltd., New Term Loan B | | | 3.500% | | | | 1-Month LIBOR | | | | 2.500% | | | | 10/27/22 | | | | B+ | | | | 5,143,267 | |
| | | | | | |
| | | | | Health Care Technology – 0.0% | | | | | | | | | | | �� | | |
| | | | | | | | |
| 33 | | | | | Onex Carestream Finance LP, Term Loan, First Lien | | | 7.750% | | | | 3-Month LIBOR | | | | 6.750% | | | | 2/28/21 | | | | B1 | | | | 31,752 | |
| | | | | | |
| | | | | Oil, Gas & Consumable Fuels – 1.0% | | | | | | | | | | | | | |
| | | | | | | | |
| 663 | | | | | Fieldwood Energy LLC, DIP Term Loan, (7), (8) | | | 9.750% | | | | 1-Month LIBOR | | | | 8.750% | | | | 8/05/21 | | | | N/R | | | | 686,720 | |
| 4,000 | | | | | Fieldwood Energy LLC, Exit Term Loan, (7) | | | 0.000% | | | | N/A | | | | N/A | | | | 4/11/22 | | | | N/R | | | | 1,583,340 | |
| 4,663 | | | | | Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | | | | | | | | | 2,270,060 | |
| | | | | | |
| | | | | Real Estate Management & Development – 0.1% | | | | | | | | | | | | | |
| | | | | | | | |
| 202 | | | | | GGP, Initial Term Loan A1 | | | 3.109% | | | | 1-Month LIBOR | | | | 3.000% | | | | 8/24/21 | | | | BB+ | | | | 200,837 | |
| | | | | | |
| | | | | Software – 1.5% | | | | | | | | | | | | | |
| | | | | | | | |
| 1,919 | | | | | iQor US, Inc., Second Out Term Loan | | | 8.500% | | | | 1-Month LIBOR | | | | 7.500% | | | | 12/31/49 | | | | CCC+ | | | | 1,890,423 | |
| 1,462 | | | | | Skillsoft, Takeback Second-Out Term Loan | | | 8.500% | | | | 3-Month LIBOR | | | | 7.500% | | | | 4/27/25 | | | | B– | | | | 1,460,717 | |
| 3,381 | | | | | Total Software | | | | | | | | | | | | | | | | | | | | | | | 3,351,140 | |
$ | 24,061 | | | | | Total Variable Rate Senior Loan Interests (cost $23,411,435) | | | | 20,239,738 | |
| | | | | | | | |
Shares | | | | | Description (1) | | | | | | | | | | | | | | | | | Value | |
| | | | | |
| | | | | | COMMON STOCKS – 1.8% (1.4% of Total Investments) | | | | | | | | | | | | | |
| | | | | | |
| | | | | Banks – 0.3% | | | | | | | | | | | | | |
| | | | | | | | |
| 63,918 | | | | | iQor US Inc, (9), (10) | | | | | | | | | | | | | | | | | | | | | | $ | 857,332 | |
3
| | |
| |
JCO | | Nuveen Credit Opportunities 2022 Target Term Fund (continued) |
| Portfolio of Investments March 31, 2021 |
| | (Unaudited) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares | | | | | | Description (1) | | | | | | | | | | | | | | | | | Value | |
| | | | | | |
| | | | | | Oil, Gas & Consumable Fuels – 0.5% | | | | | | | | | | | | | |
| | | | | | |
| 30,780 | | | | | | | Whiting Petroleum Corp, (9) | | | | | | | | | | | | | | | $ | 1,091,151 | |
| | | | | | |
| | | | | | Software – 1.0% | | | | | | | | | | | | | |
| | | | | | |
| 13,687 | | | | | | | SkillSoft Corp, (9), (10) | | | | | | | | | | | | | | | | 2,258,355 | |
| | | | | | | | Total Common Stocks (cost $6,625,561) | | | | | | | | | | | | | | | | 4,206,838 | |
| | | | | | | | |
Principal Amount (000) | | | | | | Description (1) | | | | | | | | Coupon | | | Maturity | | | Ratings (2) | | | Value | |
| | | |
| | | | | | | | CONVERTIBLE BONDS – 0.9% (0.6% of Total Investments) | | | | | |
| | | | | | |
| | | | | | Oil, Gas & Consumable Fuels – 0.9% | | | | | | | | | | | | | |
| | | | | | |
$ | 2,000 | | | | | | | SM Energy Co | | | | 1.500% | | | | 7/01/21 | | | | B | | | $ | 1,980,216 | |
$ | 2,000 | | | | | | | Total Convertible Bonds (cost $1,987,119) | | | | | | | | | | | | | | | | 1,980,216 | |
| | | | | | |
Shares | | | | | | Description (1) | | | | | | | | | | | | Value | |
| | | | | | |
| | | | | | | | WARRANTS – 0.1% (0.1% of Total Investments) | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | Oil, Gas & Consumable Fuels – 0.1% | | | | | | | | | | | | | |
| | | | | | |
| 17,291 | | | | | | | Denbury Inc | | | | | | | | | | | | | | | $ | 276,656 | |
| | | | | | | | Total Warrants (cost $2,609,135) | | | | | | | | | | | | | | | | 276,656 | |
| | | | | | | | Total Long-Term Investments (cost $313,919,800) | | | | | | | | | | | | | | | | 309,817,447 | |
| | | | | | | | |
Shares | | | | | | Description (1) | | | | | | | | Coupon | | | | | | | | | Value | |
| | | | | | |
| | | | | | | | SHORT-TERM INVESTMENTS – 0.0% (0.0% of Total Investments) | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | INVESTMENT COMPANIES – 0.0% | | | | | | | | | | | | | | | | |
| | | | | | | | |
| 118,307 | | | | | | | BlackRock Liquidity Funds T-Fund | | | | | | | | | | | 0.025% (11) | | | | | | | | | | | $ | 118,307 | |
| | | | | | | | Total Short-Term Investments (cost $118,307) | | | | | | | | | | | | 118,307 | |
| | | | | | | | Total Investments (cost $314,038,108) – 134.0% | | | | | | | | | | | | 309,935,754 | |
| | | | | | | | Reverse Repurchase Agreements, including accrued interest – (36.3)% (12) | | | | | | | | | | | | (84,031,913 | ) |
| | | | | | | | Other Assets Less Liabilities – 2.3% | | | | | | | | | | | | 5,316,850 | |
| | | | | | | | Net Assets Applicable to Common Shares – 100% | | | | | | | | | | | $ | 231,220,691 | |
Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.
Fair Value Measurements
The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board of Directors/Trustees. 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. U.S. GAAP establishes the three-tier hierarchy which 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 management’s 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.
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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, credit spreads, etc.). |
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| | |
Level 3 – | | Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
The following table summarizes the market value of the Fund’s investments as of the end of the reporting period, based on the inputs used to value them:
| | | | | | | | | | | | | | | | |
| | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 283,113,999 | | | $ | — | | | $ | 283,113,999 | |
Variable Rate Senior Loan Interests | | | — | | | | 20,239,738 | | | | — | | | | 20,239,738 | |
Common Stocks | | | 1,091,151 | | | | 3,115,687 | | | | — | | | | 4,206,838 | |
Convertible Bonds | | | — | | | | 1,980,216 | | | | — | | | | 1,980,216 | |
Warrants | | | 276,656 | | | | — | | | | — | | | | 276,656 | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Investment Companies | | | 118,307 | | | | — | | | | — | | | | 118,307 | |
Total | | $ | 1,486,114 | | | $ | 308,449,640 | | | $ | — | | | $ | 309,935,754 | |
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) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. |
(3) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $100,895,090 have been pledged as collateral for reverse repurchase agreements. |
(4) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. |
(5) | Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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. |
(6) | 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. |
(7) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. |
(8) | Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. |
(9) | Non-income producing; issuer has not declared an ex-dividend date within the past twelve months. |
(10) | For fair value measurement disclosure purposes, investment classified as Level 2. |
(11) | The rate shown is the seven-day subsidized yield as of the end of the reporting period. |
(12) | Reverse Repurchase Agreements as a percentage of Total Investments is 27.1%. |
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. |
LIBOR | London Inter-Bank Offered Rate |
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