As filed with the Securities and Exchange Commission on September 28, 2016
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.  20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-22396
NEUBERGER BERMAN HIGH YIELD STRATEGIES FUND INC.
(Exact Name of Registrant as Specified in Charter)
c/o Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
(Address of Principal Executive Offices – Zip Code)
Registrant's telephone number, including area code: (212) 476-8800
Robert Conti, Chief Executive Officer and President
Neuberger Berman High Yield Strategies Fund Inc.
c/o Neuberger Berman Investment Advisers LLC
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
Arthur C. Delibert, Esq.
K&L Gates LLP
1601 K Street, N.W.
Washington, D.C. 20006-1600
(Names and Addresses of Agents for Service)
Date of fiscal year end:  October 31
Date of reporting period:  July 31, 2016
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 their first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (“1940 Act”) (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, 100 F Street, NE, 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.
Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited)  7/31/16
 
PRINCIPAL
AMOUNT
    
VALUE†
  
       
Loan Assignments(a) (8.5%)
 
Air Transport (0.1%)
$
  
360,438
  
American Airlines Inc., First Lien Term Loan B1, 3.25%, due 6/27/20
$
358,891
  
 
All Telecom (0.3%)
   
140,000
  
Syniverse Technologies, First Lien Term Loan, 4.00%, due 4/23/19
  
112,700
  
   
233,405
  
Syniverse Technologies, First Lien Term Loan, 4.00%, due 4/23/19
  
189,058
  
   
467,516
  
Zayo Group, First Lien Term Loan B1, 3.75%, due 5/6/21
  
467,184
  
 
768,942
  
Business Equipment & Services (1.0%)
   
1,635,000
  
Advantage Sales and Marketing, Second Lien Term Loan, 7.50%, due 7/25/22
  
1,524,637
  
   
904,213
  
Presidio, First Lien Term Loan, 5.25%, due 2/2/22
  
899,918
  
 
2,424,555
  
Cable & Satellite Television (0.5%)
   
1,112,213
  
Charter Communications Operating LLC, First Lien Term Loan I, 3.50%, due 1/24/23
  
1,116,661
  
 
Electronics - Electrical (0.8%)
   
1,797,882
  
Avago Technologies, First Lien Term Loan B1, 4.25%, due 2/1/23
  
1,797,594
  
   
272,938
  
CommScope, First Lien Term Loan B1, 3.75%, due 12/29/22
  
273,876
  
 
2,071,470
  
Financial Intermediaries (0.7%)
   
1,300,000
  
First Data Corporation, First Lien Term Loan B, 4.24%, due 7/8/22
  
1,303,614
  
   
428,925
  
MGM Growth Properties, First Lien Term Loan B, 4.00%, due 4/25/23
  
431,786
  
 
1,735,400
  
Health Care (0.5%)
   
110,651
  
dj Orthopedics LLC, First Lien Term Loan B1, 4.25%, due 6/8/20
  
107,678
  
   
850,000
  
Multiplan, Inc., First Lien Term Loan B, 5.00%, due 6/7/23
  
858,500
  
   
294,304
  
Pharmaceutical Product Development, Inc., First Lien Term Loan B, 4.25%, due 8/18/22
  
294,083
  
 
1,260,261
  
Leisure Goods - Activities - Movies (0.2%)
   
515,307
  
Match Group Inc., First Lien Term Loan B, 5.50%, due 11/16/22
  
519,172
  
 
Lodging & Casinos (2.7%)
   
1,040,000
  
Cowlitz Tribal Gaming, First Lien Term Loan B, 11.50%, due 12/6/21
  
1,034,800
(b)
   
1,759,000
  
Four Seasons Holdings Inc., Second Lien Term Loan, 7.75%, due 12/27/20
  
1,759,000
  
   
310,000
  
Hilton Worldwide, First Lien Term Loan, 3.50%, due 10/26/20
  
310,716
  
   
3,007,030
  
Mohegan Tribal Gaming, First Lien Term Loan B, 5.50%, due 6/15/18
  
3,001,017
  
   
636,362
  
MTR Gaming Group, First Lien Term Loan B, 4.25%, due 7/25/22
  
639,543
(c)(d)
 
6,745,076
  
Radio & Television (0.1%)
   
307,669
  
Sinclair Broadcasting, First Lien Term Loan B1, 3.50%, due 7/30/21
  
308,054
  
 
Retailers (except food & drug) (0.5%)
   
385,000
  
JC Penney Co., First Lien Term Loan B, 5.25%, due 6/23/23
  
385,320
  
   
965,461
  
PetSmart Inc., First Lien Term Loan B1, 4.25%, due 3/11/22
  
966,755
(c)(d)
 
1,352,075
  
Steel (0.5%)
   
1,277,101
  
FMG Resources, First Lien Term Loan, 4.25%, due 6/30/19
  
1,252,249
  
 
Utilities (0.6%)
   
208,421
  
Calpine Corp., First Lien Term Loan B5, 3.50%, due 5/27/22
  
207,691
  
   
582,075
  
Calpine Corp., First Lien Term Loan B6, 4.00%, due 1/15/23
  
582,558
  
   
682,621
  
Dynegy Holdings Inc., First Lien Term Loan B2, 4.00%, due 4/23/20
  
680,772
(c)(d)
 
1,471,021
  
 
Total Loan Assignments (Cost $21,259,799)
  
21,383,827
  
       
Corporate Bonds (133.7%)
 
Advertising (2.3%)
 
  
1,485,000
  
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. B, 7.63%, due 3/15/20
 
1,477,575
  
   
495,000
  
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. A, 6.50%, due 11/15/22
  
492,525
  
   
345,000
  
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. B, 6.50%, due 11/15/22
  
357,075
  
   
290,000
  
Lamar Media Corp., Guaranteed Notes, 5.75%, due 2/1/26
  
311,025
(e)
   
3,010,000
  
Nielsen Finance LLC, Guaranteed Notes, 5.00%, due 4/15/22
  
3,104,062
(e)
 
5,742,262
  
Aerospace & Defense (0.1%)
   
180,000
  
TransDigm, Inc., Guaranteed Notes, 7.50%, due 7/15/21
  
190,350
  
   
180,000
  
TransDigm, Inc., Guaranteed Notes, 6.00%, due 7/15/22
  
186,300
  
 
376,650
  
Auto Parts & Equipment (0.2%)
   
540,000
  
ZF N.A. Capital, Inc., Guaranteed Notes, 4.00%, due 4/29/20
  
562,275
(e)
 
Banking (4.8%)
   
270,000
  
Ally Financial, Inc., Guaranteed Notes, 5.50%, due 2/15/17
  
274,725
  
   
1,125,000
  
Ally Financial, Inc., Senior Unsecured Notes, 3.60%, due 5/21/18
  
1,144,485
  
   
2,915,000
  
Ally Financial, Inc., Guaranteed Notes, 8.00%, due 3/15/20
  
3,344,962
(f)
   
4,590,000
  
CIT Group, Inc., Senior Unsecured Notes, 5.00%, due 5/15/17
  
4,688,593
  
   
1,830,000
  
CIT Group, Inc., Senior Unsecured Notes, 6.63%, due 4/1/18
  
1,944,375
(e)
   
525,000
  
CIT Group, Inc., Senior Unsecured Notes, 5.00%, due 8/15/22
  
552,563
  
 
11,949,703
  
Beverage (0.9%)
   
1,455,000
  
Constellation Brands, Inc., Guaranteed Notes, 4.25%, due 5/1/23
  
1,542,300
  
   
560,000
  
Constellation Brands, Inc., Guaranteed Notes, 4.75%, due 11/15/24
  
609,000
  
 
2,151,300
  
Building & Construction (3.6%)
   
490,000
  
CalAtlantic Group, Inc., Guaranteed Notes, 8.38%, due 1/15/21
  
578,935
  
   
570,000
  
CalAtlantic Group, Inc., Guaranteed Notes, 5.38%, due 10/1/22
  
591,375
  
   
445,000
  
CalAtlantic Group, Inc., Guaranteed Notes, 5.25%, due 6/1/26
  
449,450
  
   
150,000
  
D.R. Horton, Inc., Guaranteed Notes, 4.38%, due 9/15/22
  
158,250
  
   
1,775,000
  
D.R. Horton, Inc., Guaranteed Notes, 5.75%, due 8/15/23
  
1,979,125
  
   
1,140,000
  
Lennar Corp., Guaranteed Notes, 4.75%, due 12/15/17
  
1,172,775
  
   
1,240,000
  
Lennar Corp., Guaranteed Notes, 4.75%, due 11/15/22
  
1,302,000
  
   
235,000
  
Meritage Homes Corp., Guaranteed Notes, 6.00%, due 6/1/25
  
244,842
  
   
290,000
  
Pulte Homes, Inc., Guaranteed Notes, 6.00%, due 2/15/35
  
297,975
  
   
210,000
  
PulteGroup, Inc., Guaranteed Notes, 4.25%, due 3/1/21
  
217,087
  
   
1,230,000
  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Guaranteed Notes, 5.25%, due 4/15/21
  
1,251,525
(e)
   
305,000
  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Guaranteed Notes, 5.63%, due 3/1/24
  
306,525
(e)
   
260,000
  
Toll Brothers Finance Corp., Guaranteed Notes, 4.00%, due 12/31/18
  
271,700
  
   
235,000
  
Toll Brothers Finance Corp., Guaranteed Notes, 4.38%, due 4/15/23
  
239,846
  
 
9,061,410
  
Building Materials (2.0%)
   
250,000
  
Allegion PLC, Guaranteed Notes, 5.88%, due 9/15/23
  
266,250
  
   
1,325,000
  
HD Supply, Inc., Senior Secured Notes, 5.25%, due 12/15/21
  
1,402,843
(e)
   
435,000
  
HD Supply, Inc., Guaranteed Notes, 5.75%, due 4/15/24
  
463,210
(e)
   
400,000
  
USG Corp., Senior Unsecured Notes, 6.30%, due 11/15/16
  
405,920
  
   
1,990,000
  
USG Corp., Senior Unsecured Notes, 9.50%, due 1/15/18
  
2,179,050
(g)
   
320,000
  
USG Corp., Guaranteed Notes, 5.50%, due 3/1/25
  
341,600
(e)
 
5,058,873
  
Cable & Satellite Television (11.5%)
 
  
2,930,000
  
Altice Luxembourg SA, Guaranteed Notes, 7.75%, due 5/15/22
 
2,972,192
(e)
   
235,000
  
Altice Luxembourg SA, Guaranteed Notes, 7.63%, due 2/15/25
  
231,181
(e)
   
1,080,000
  
Altice US Finance I Corp., Senior Secured Notes, 5.50%, due 5/15/26
  
1,117,800
(e)
   
500,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 6.63%, due 1/31/22
  
528,125
  
   
705,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.25%, due 9/30/22
  
734,081
  
   
215,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.13%, due 5/1/23
  
222,256
(e)
   
590,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.38%, due 5/1/25
  
613,600
(e)
   
310,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.75%, due 2/15/26
  
327,050
(e)
   
2,845,000
  
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.88%, due 5/1/27
  
3,001,475
(e)
   
1,202,000
  
Cequel Communications Holdings I LLC/Cequel Capital Corp., Senior Unsecured Notes, 6.38%, due 9/15/20
  
1,239,563
(e)
   
1,389,000
  
Cequel Communications Holdings I LLC/Cequel Capital Corp., Senior Unsecured Notes, 5.13%, due 12/15/21
  
1,385,527
(e)
   
200,000
  
Cequel Communications Holdings I LLC/Cequel Capital Corp., Senior Secured Notes, 7.75%, due 7/15/25
  
213,000
(e)
   
615,000
  
CSC Holdings LLC, Senior Unsecured Notes, 7.63%, due 7/15/18
  
665,738
  
   
1,145,000
  
DISH DBS Corp., Guaranteed Notes, 6.75%, due 6/1/21
  
1,216,563
  
   
2,135,000
  
DISH DBS Corp., Guaranteed Notes, 5.88%, due 11/15/24
  
2,060,275
  
   
440,000
  
DISH DBS Corp., Guaranteed Notes, 7.75%, due 7/1/26
  
456,225
(e)
   
2,145,000
  
Neptune Finco Corp., Senior Unsecured Notes, 10.88%, due 10/15/25
  
2,509,650
(e)
   
2,410,000
  
Numericable-SFR SA, Senior Secured Notes, 6.00%, due 5/15/22
  
2,355,775
(e)
   
510,000
  
Numericable-SFR SA, Senior Secured Notes, 6.25%, due 5/15/24
  
490,875
(e)
   
1,830,000
  
Numericable-SFR SA, Senior Secured Notes, 7.38%, due 5/1/26
  
1,827,712
(e)
   
255,000
  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Senior Secured Notes, 5.00%, due 1/15/25
  
263,925
(e)
   
355,000
  
UPCB Finance IV Ltd., Senior Secured Notes, 5.38%, due 1/15/25
  
357,691
(e)
   
1,340,000
  
Virgin Media Finance PLC, Guaranteed Notes, 6.00%, due 10/15/24
  
1,356,750
(e)
   
616,500
  
Virgin Media Secured Finance PLC, Senior Secured Notes, 5.38%, due 4/15/21
  
641,160
(e)
   
530,000
  
Virgin Media Secured Finance PLC, Senior Secured Notes, 5.50%, due 8/15/26
  
533,313
(e)
   
1,560,000
  
WideOpenWest Finance LLC/WideOpenWest Capital Corp., Guaranteed Notes, 10.25%, due 7/15/19
  
1,624,350
  
 
28,945,852
  
Chemicals (0.6%)
   
420,000
  
Momentive Performance Materials, Inc., Senior Secured Notes, 8.88%, due 10/15/20
  
42
(b)(h)
   
420,000
  
Momentive Performance Materials, Inc., Senior Secured Notes, 3.88%, due 10/24/21
  
328,696
  
   
1,100,000
  
NOVA Chemicals Corp., Senior Unsecured Notes, 5.00%, due 5/1/25
  
1,116,500
(e)
 
1,445,238
  
Consumer - Commercial Lease Financing (5.7%)
   
2,275,000
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Guaranteed Notes, 2.75%, due 5/15/17
  
2,289,219
  
   
1,150,000
  
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Guaranteed Notes, 4.50%, due 5/15/21
  
1,227,625
  
   
150,000
  
Aircastle Ltd., Senior Unsecured Notes, 4.63%, due 12/15/18
  
157,500
  
   
705,000
  
Aircastle Ltd., Senior Unsecured Notes, 6.25%, due 12/1/19
  
777,262
  
   
740,000
  
Aircastle Ltd., Senior Unsecured Notes, 5.13%, due 3/15/21
  
789,950
  
 
  
340,000
  
Aircastle Ltd., Senior Unsecured Notes, 5.50%, due 2/15/22
 
364,650
  
   
430,000
  
Aircastle Ltd., Senior Unsecured Notes, 5.00%, due 4/1/23
  
452,016
  
   
1,758,000
  
IHS Markit Ltd., Guaranteed Notes, 5.00%, due 11/1/22
  
1,806,345
(b)(e)
   
1,910,000
  
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.88%, due 9/1/17
  
2,048,475
  
   
1,145,000
  
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.63%, due 1/15/22
  
1,442,700
  
   
345,000
  
Navient Corp., Senior Unsecured Medium-Term Notes, 5.50%, due 1/15/19
  
354,488
  
   
2,640,000
  
Navient Corp., Senior Unsecured Medium-Term Notes, 4.88%, due 6/17/19
  
2,653,200
(f)
 
14,363,430
  
Department Stores (0.1%)
   
205,000
  
Neiman Marcus Group Ltd. LLC, Guaranteed Notes, 8.00%, due 10/15/21
  
173,758
(e)
 
Discount Stores (0.5%)
   
1,135,000
  
Dollar Tree, Inc., Guaranteed Notes, 5.75%, due 3/1/23
  
1,222,963
  
 
Electric - Generation (3.9%)
   
1,095,000
  
Calpine Corp., Senior Secured Notes, 6.00%, due 1/15/22
  
1,144,275
(e)
   
1,390,000
  
Calpine Corp., Senior Unsecured Notes, 5.38%, due 1/15/23
  
1,386,525
  
   
275,000
  
Calpine Corp., Senior Secured Notes, 5.25%, due 6/1/26
  
279,125
(e)
   
475,000
  
Dynegy, Inc., Guaranteed Notes, 6.75%, due 11/1/19
  
483,906
  
   
390,000
  
Dynegy, Inc., Guaranteed Notes, 5.88%, due 6/1/23
  
351,000
  
   
300,000
  
Dynegy, Inc., Guaranteed Notes, 7.63%, due 11/1/24
  
293,250
  
   
559,000
  
NRG Energy, Inc., Guaranteed Notes, 7.88%, due 5/15/21
  
579,963
  
   
1,715,000
  
NRG Energy, Inc., Guaranteed Notes, 6.25%, due 7/15/22
  
1,723,575
  
   
580,000
  
NRG Energy, Inc., Guaranteed Notes, 6.63%, due 3/15/23
  
582,900
  
   
1,245,000
  
NRG Energy, Inc., Guaranteed Notes, 7.25%, due 5/15/26
  
1,277,681
(e)
   
1,575,000
  
NRG Energy, Inc., Guaranteed Notes, 6.63%, due 1/15/27
  
1,557,281
(e)(i)
 
9,659,481
  
Electric - Integrated (1.6%)
   
135,000
  
IPALCO Enterprises, Inc., Senior Secured Notes, 5.00%, due 5/1/18
  
141,750
  
   
1,625,000
  
PPL Energy Supply LLC, Senior Unsecured Notes, 4.60%, due 12/15/21
  
1,300,000
  
   
2,305,000
  
RJS Power Holdings LLC, Senior Unsecured Notes, 4.63%, due 7/15/19
  
2,183,987
(e)
   
585,000
  
Talen Energy Supply LLC, Senior Unsecured Notes, 6.50%, due 6/1/25
  
514,800
  
 
4,140,537
  
Electronics (2.5%)
   
1,085,000
  
Amkor Technology, Inc., Senior Unsecured Notes, 6.38%, due 10/1/22
  
1,099,734
  
   
220,000
  
Flextronics Int'l Ltd., Guaranteed Notes, 4.63%, due 2/15/20
  
231,000
  
   
960,000
  
Flextronics Int'l Ltd., Guaranteed Notes, 5.00%, due 2/15/23
  
1,029,600
  
   
1,575,000
  
Freescale Semiconductor, Inc., Senior Secured Notes, 6.00%, due 1/15/22
  
1,663,200
(e)
   
435,000
  
Micron Technology, Inc., Senior Unsecured Notes, 5.25%, due 8/1/23
  
390,412
(e)
   
350,000
  
Micron Technology, Inc., Senior Unsecured Notes, 5.50%, due 2/1/25
  
314,125
  
   
55,000
  
Micron Technology, Inc., Senior Unsecured Notes, 5.63%, due 1/15/26
  
48,813
(b)(e)
   
670,000
  
NXP BV/NXP Funding LLC, Guaranteed Notes, 4.13%, due 6/1/21
  
693,450
(b)(e)
   
420,000
  
Sensata Technologies UK Financing Co. PLC, Guaranteed Notes, 6.25%, due 2/15/26
  
454,125
(e)
   
390,000
  
Zebra Technologies Corp., Senior Unsecured Notes, 7.25%, due 10/15/22
  
416,325
  
 
6,340,784
  
Energy - Exploration & Production (8.2%)
   
245,000
  
Antero Resources Corp., Guaranteed Notes, 5.38%, due 11/1/21
  
234,588
  
   
1,040,000
  
Antero Resources Corp., Guaranteed Notes, 5.13%, due 12/1/22
  
969,800
  
   
400,000
  
Chesapeake Energy Corp., Guaranteed Notes, 6.50%, due 8/15/17
  
387,000
  
   
615,000
  
Chesapeake Energy Corp., Guaranteed Notes, 6.63%, due 8/15/20
  
467,400
  
   
440,000
  
Chesapeake Energy Corp., Guaranteed Notes, 6.88%, due 11/15/20
  
330,000
  
   
1,075,000
  
Chesapeake Energy Corp., Guaranteed Notes, 6.13%, due 2/15/21
  
779,375
  
   
1,365,000
  
Chesapeake Energy Corp., Guaranteed Notes, 5.38%, due 6/15/21
  
928,200
  
   
595,000
  
Chesapeake Energy Corp., Guaranteed Notes, 5.75%, due 3/15/23
  
398,650
  
   
1,195,000
  
Concho Resources, Inc., Guaranteed Notes, 5.50%, due 4/1/23
  
1,180,062
  
   
520,000
  
Continental Resources, Inc., Guaranteed Notes, 4.50%, due 4/15/23
  
470,600
  
   
705,000
  
Continental Resources, Inc., Guaranteed Notes, 3.80%, due 6/1/24
  
602,775
  
   
330,000
  
Encana Corp., Senior Unsecured Notes, 3.90%, due 11/15/21
  
327,000
  
 
  
1,240,000
  
Encana Corp., Senior Unsecured Notes, 6.50%, due 8/15/34
 
1,294,152
  
   
430,000
  
Encana Corp., Senior Unsecured Notes, 6.63%, due 8/15/37
  
438,983
  
   
500,000
  
Encana Corp., Senior Unsecured Notes, 6.50%, due 2/1/38
  
505,095
  
   
2,021,000
  
EP Energy LLC/Everest Acquisition Finance, Inc., Guaranteed Notes, 9.38%, due 5/1/20
  
1,151,970
  
   
55,000
  
EP Energy LLC/Everest Acquisition Finance, Inc., Guaranteed Notes, 7.75%, due 9/1/22
  
28,050
  
   
2,190,000
  
EP Energy LLC/Everest Acquisition Finance, Inc., Guaranteed Notes, 6.38%, due 6/15/23
  
1,095,000
  
   
400,000
  
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., Senior Unsecured Notes, 7.88%, due 7/15/21
  
400,000
(e)
   
740,000
  
Newfield Exploration Co., Senior Unsecured Notes, 5.38%, due 1/1/26
  
706,700
  
   
605,000
  
Oasis Petroleum, Inc., Guaranteed Notes, 6.50%, due 11/1/21
  
508,200
  
   
710,000
  
Oasis Petroleum, Inc., Guaranteed Notes, 6.88%, due 3/15/22
  
619,475
  
   
925,000
  
Range Resources Corp., Guaranteed Notes, 5.00%, due 8/15/22
  
848,687
  
   
2,340,000
  
Range Resources Corp., Guaranteed Notes, 5.00%, due 3/15/23
  
2,129,400
  
   
500,000
  
Range Resources Corp., Guaranteed Notes, 4.88%, due 5/15/25
  
475,000
  
   
475,000
  
SM Energy Co., Senior Unsecured Notes, 6.50%, due 11/15/21
  
416,813
  
   
320,000
  
SM Energy Co., Senior Unsecured Notes, 6.13%, due 11/15/22
  
271,200
  
   
155,000
  
SM Energy Co., Senior Unsecured Notes, 6.50%, due 1/1/23
  
131,750
  
   
430,000
  
SM Energy Co., Senior Unsecured Notes, 5.00%, due 1/15/24
  
344,000
  
   
860,000
  
Whiting Petroleum Corp., Guaranteed Notes, 5.00%, due 3/15/19
  
752,500
  
   
315,000
  
Whiting Petroleum Corp., Guaranteed Notes, 5.75%, due 3/15/21
  
263,813
  
   
1,440,000
  
Whiting Petroleum Corp., Guaranteed Notes, 6.25%, due 4/1/23
  
1,189,800
  
 
20,646,038
  
Food & Drug Retail (1.2%)
   
845,000
  
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC, Senior Unsecured Notes, 6.63%, due 6/15/24
  
897,812
(e)
   
545,000
  
Rite Aid Corp., Guaranteed Notes, 9.25%, due 3/15/20
  
574,975
  
   
570,000
  
Rite Aid Corp., Guaranteed Notes, 6.75%, due 6/15/21
  
599,213
  
   
975,000
  
Rite Aid Corp., Guaranteed Notes, 6.13%, due 4/1/23
  
1,034,719
(e)
 
3,106,719
  
Food - Wholesale (1.2%)
   
455,000
  
NBTY, Inc., Senior Unsecured Notes, 7.63%, due 5/15/21
  
464,100
(e)
   
1,415,000
  
Post Holdings, Inc., Guaranteed Notes, 6.00%, due 12/15/22
  
1,492,825
(e)
   
530,000
  
Post Holdings, Inc., Guaranteed Notes, 7.75%, due 3/15/24
  
586,312
(e)
   
330,000
  
Post Holdings, Inc., Guaranteed Notes, 8.00%, due 7/15/25
  
378,675
(e)
 
2,921,912
  
Gaming (5.9%)
   
520,000
  
Boyd Gaming Corp., Guaranteed Notes, 6.38%, due 4/1/26
  
554,450
(e)
   
1,860,000
  
GLP Capital L.P./GLP Financing II, Inc., Guaranteed Notes, 4.88%, due 11/1/20
  
1,967,173
(f)
   
485,000
  
GLP Capital L.P./GLP Financing II, Inc., Guaranteed Notes, 5.38%, due 11/1/23
  
520,163
  
   
215,000
  
Int'l Game Technology PLC, Senior Secured Notes, 6.50%, due 2/15/25
  
226,825
(e)
   
740,000
  
Isle of Capri Casinos, Inc., Guaranteed Notes, 8.88%, due 6/15/20
  
775,150
  
   
1,225,000
  
Isle of Capri Casinos, Inc., Guaranteed Notes, 5.88%, due 3/15/21
  
1,277,062
  
   
425,000
  
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc., Guaranteed Notes, 5.63%, due 5/1/24
  
455,175
(e)
   
700,000
  
MGM Resorts Int'l, Guaranteed Notes, 8.63%, due 2/1/19
  
792,750
  
   
597,000
  
Mohegan Tribal Gaming Authority, Guaranteed Notes, 11.00%, due 9/15/18
  
598,493
(e)
   
3,040,000
  
Mohegan Tribal Gaming Authority, Guaranteed Notes, 9.75%, due 9/1/21
  
3,271,800
  
   
955,000
  
Scientific Games Int'l, Inc., Guaranteed Notes, 6.25%, due 9/1/20
  
649,400
  
   
890,000
  
Scientific Games Int'l, Inc., Guaranteed Notes, 6.63%, due 5/15/21
  
600,750
  
   
2,785,000
  
Scientific Games Int'l, Inc., Guaranteed Notes, 10.00%, due 12/1/22
  
2,475,169
  
   
635,000
  
Station Casinos LLC, Guaranteed Notes, 7.50%, due 3/1/21
  
671,512
  
 
14,835,872
  
Gas Distribution (10.3%)
 
  
325,000
  
Chesapeake Midstream Partners L.P., Senior Unsecured Notes, 6.13%, due 7/15/22
 
332,463
  
   
605,000
  
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., Guaranteed Notes, 6.00%, due 12/15/20
  
574,750
  
   
1,280,000
  
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp., Guaranteed Notes, 6.25%, due 4/1/23
  
1,200,000
  
   
270,000
  
DCP Midstream LLC, Senior Unsecured Notes, 5.35%, due 3/15/20
  
271,350
(e)
   
300,000
  
DCP Midstream LLC, Senior Unsecured Notes, 4.75%, due 9/30/21
  
287,250
(e)
   
485,000
  
DCP Midstream Operating L.P., Guaranteed Notes, 2.50%, due 12/1/17
  
479,859
  
   
645,000
  
DCP Midstream Operating L.P., Guaranteed Notes, 5.60%, due 4/1/44
  
586,950
  
   
270,000
  
Duke Energy Corp., Senior Unsecured Notes, 8.13%, due 8/16/30
  
273,375
  
   
475,000
  
Energy Transfer Equity L.P., Senior Secured Notes, 7.50%, due 10/15/20
  
511,812
  
   
1,140,000
  
Energy Transfer Equity L.P., Senior Secured Notes, 5.88%, due 1/15/24
  
1,143,523
  
   
510,000
  
Energy Transfer Equity L.P., Senior Secured Notes, 5.50%, due 6/1/27
  
495,669
  
   
70,000
  
Ferrellgas L.P./Ferrellgas Finance Corp., Senior Unsecured Notes, 6.50%, due 5/1/21
  
63,700
  
   
1,095,000
  
Ferrellgas L.P./Ferrellgas Finance Corp., Senior Unsecured Notes, 6.75%, due 1/15/22
  
990,975
  
   
878,000
  
MPLX L.P., Guaranteed Notes, 4.50%, due 7/15/23
  
860,670
(e)
   
1,395,000
  
MPLX L.P., Guaranteed Notes, 4.88%, due 12/1/24
  
1,381,893
(e)
   
995,000
  
Regency Energy Partners L.P./Regency Energy Finance Corp., Guaranteed Notes, 5.50%, due 4/15/23
  
1,031,417
  
   
745,000
  
Rockies Express Pipeline LLC, Senior Unsecured Notes, 5.63%, due 4/15/20
  
767,350
(e)
   
495,000
  
Rockies Express Pipeline LLC, Senior Unsecured Notes, 7.50%, due 7/15/38
  
490,050
(e)
   
895,000
  
Rockies Express Pipeline LLC, Senior Unsecured Notes, 6.88%, due 4/15/40
  
881,575
(e)
   
930,000
  
Rose Rock Midstream L.P./Rose Rock Finance Corp., Guaranteed Notes, 5.63%, due 11/15/23
  
830,025
  
   
175,000
  
Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.63%, due 2/1/21
  
180,688
  
   
935,000
  
Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.63%, due 4/15/23
  
953,700
  
   
1,055,000
  
Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.75%, due 5/15/24
  
1,081,375
  
   
3,495,000
  
Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.63%, due 3/1/25
  
3,568,185
  
   
705,000
  
Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.88%, due 6/30/26
  
723,506
(e)
   
427,000
  
Suburban Propane Partners L.P./Suburban Energy Finance Corp., Senior Unsecured Notes, 7.38%, due 8/1/21
  
444,080
  
   
765,000
  
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., Guaranteed Notes, 4.13%, due 11/15/19
  
762,131
  
   
750,000
  
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., Guaranteed Notes, 4.25%, due 11/15/23
  
697,500
  
   
680,000
  
Tesoro Logistics L.P./Tesoro Logistics Finance Corp., Guaranteed Notes, 5.50%, due 10/15/19
  
722,500
  
   
535,000
  
Tesoro Logistics L.P./Tesoro Logistics Finance Corp., Guaranteed Notes, 6.25%, due 10/15/22
  
556,400
  
   
255,000
  
Tesoro Logistics L.P./Tesoro Logistics Finance Corp., Guaranteed Notes, 6.38%, due 5/1/24
  
268,867
  
   
255,000
  
Williams Cos., Inc., Senior Unsecured Notes, 3.70%, due 1/15/23
  
232,688
  
   
305,000
  
Williams Cos., Inc., Senior Unsecured Notes, Ser. A, 7.50%, due 1/15/31
  
327,875
  
   
1,905,000
  
Williams Cos., Inc., Senior Unsecured Notes, 5.75%, due 6/24/44
  
1,747,837
  
 
25,721,988
  
Health Facilities (10.1%)
   
645,000
  
Amsurg Corp., Guaranteed Notes, 5.63%, due 7/15/22
  
677,250
  
   
185,000
  
CHS/Community Health Systems, Inc., Senior Secured Notes, 5.13%, due 8/1/21
  
184,075
  
   
1,500,000
  
Columbia Healthcare Corp., Guaranteed Notes, 7.50%, due 12/15/23
  
1,665,000
(f)
   
1,500,000
  
Columbia/HCA Corp., Guaranteed Notes, 7.69%, due 6/15/25
  
1,665,000
(f)
   
1,160,000
  
Columbia/HCA Corp., Guaranteed Unsecured Notes, 7.05%, due 12/1/27
  
1,194,800
(f)
   
610,000
  
DaVita HealthCare Partners, Inc., Guaranteed Notes, 5.13%, due 7/15/24
  
629,697
  
   
1,075,000
  
DaVita HealthCare Partners, Inc., Guaranteed Notes, 5.00%, due 5/1/25
  
1,087,094
  
   
545,000
  
DaVita, Inc., Guaranteed Notes, 5.75%, due 8/15/22
  
575,656
  
 
  
125,000
  
HCA, Inc., Senior Secured Notes, 5.88%, due 3/15/22
 
137,500
  
   
210,000
  
HCA, Inc., Senior Secured Notes, 4.75%, due 5/1/23
  
218,925
  
   
315,000
  
HCA, Inc., Senior Secured Notes, 5.00%, due 3/15/24
  
330,750
  
   
490,000
  
HCA, Inc., Guaranteed Notes, 5.38%, due 2/1/25
  
509,909
  
   
755,000
  
HCA, Inc., Senior Secured Notes, 5.25%, due 6/15/26
  
800,300
  
   
2,405,000
  
IASIS Healthcare LLC/IASIS Capital Corp., Guaranteed Notes, 8.38%, due 5/15/19
  
2,308,800
  
   
520,000
  
LifePoint Health, Inc., Guaranteed Notes, 5.88%, due 12/1/23
  
548,600
  
   
540,000
  
MPT Operating Partnership L.P./MPT Finance Corp., Guaranteed Notes, 6.38%, due 3/1/24
  
588,600
  
   
1,715,000
  
MPT Operating Partnership L.P./MPT Finance Corp., Guaranteed Notes, 5.50%, due 5/1/24
  
1,775,025
  
   
800,000
  
MPT Operating Partnership L.P./MPT Finance Corp., Guaranteed Notes, 5.25%, due 8/1/26
  
841,000
  
   
1,900,000
  
OMEGA Healthcare Investors, Inc., Guaranteed Notes, 5.88%, due 3/15/24
  
1,992,387
  
   
860,000
  
Sabra Health Care L.P./Sabra Capital Corp., Guaranteed Notes, 5.50%, due 2/1/21
  
896,550
  
   
1,665,000
  
Team Health, Inc., Guaranteed Notes, 7.25%, due 12/15/23
  
1,814,850
(e)
   
910,000
  
Tenet Healthcare Corp., Senior Secured Notes, 6.25%, due 11/1/18
  
965,738
  
   
625,000
  
Tenet Healthcare Corp., Senior Secured Notes, 6.00%, due 10/1/20
  
660,938
  
   
1,295,000
  
Tenet Healthcare Corp., Senior Unsecured Notes, 8.13%, due 4/1/22
  
1,337,087
  
   
450,000
  
Tenet Healthcare Corp., Senior Unsecured Notes, 6.88%, due 11/15/31
  
375,750
  
   
380,000
  
Universal Health Services, Inc., Senior Secured Notes, 3.75%, due 8/1/19
  
390,450
(e)
   
425,000
  
Universal Health Services, Inc., Senior Secured Notes, 4.75%, due 8/1/22
  
437,750
(e)
   
780,000
  
Universal Health Services, Inc., Senior Secured Notes, 5.00%, due 6/1/26
  
803,400
(e)
 
25,412,881
  
Health Services (0.9%)
   
435,000
  
Envision Healthcare Corp., Guaranteed Notes, 5.13%, due 7/1/22
  
442,613
(e)
   
450,000
  
Service Corp. Int'l, Senior Unsecured Notes, 5.38%, due 1/15/22
  
472,500
  
   
1,290,000
  
Service Corp. Int'l, Senior Unsecured Notes, 5.38%, due 5/15/24
  
1,373,205
  
 
2,288,318
  
 
Hotels (0.3%)
   
665,000
  
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Guaranteed Notes, 5.63%, due 10/15/21
  
689,106
  
 
Machinery (2.0%)
   
2,235,000
  
Case New Holland Industrial, Inc., Guaranteed Notes, 7.88%, due 12/1/17
  
2,399,831
  
   
460,000
  
CNH Industrial Capital LLC, Guaranteed Notes, 4.88%, due 4/1/21
  
481,850
  
   
540,000
  
Manitowoc Foodservice, Inc., Senior Unsecured Notes, 9.50%, due 2/15/24
  
612,225
(e)
   
335,000
  
Terex Corp., Guaranteed Notes, 6.50%, due 4/1/20
  
340,863
  
   
1,105,000
  
Terex Corp., Guaranteed Notes, 6.00%, due 5/15/21
  
1,124,337
  
 
4,959,106
  
Managed Care (0.3%)
   
790,000
  
MPH Acquisition Holdings LLC, Senior Unsecured Notes, 7.13%, due 6/1/24
  
843,325
(e)
 
Media - Diversified (0.3%)
   
585,000
  
Liberty Media Corp., Senior Unsecured Notes, 8.50%, due 7/15/29
  
643,500
  
 
Media Content (4.1%)
   
235,000
  
Gannett Co., Inc., Guaranteed Notes, 7.13%, due 9/1/18
  
235,588
  
   
480,000
  
Gannett Co., Inc., Guaranteed Notes, 5.13%, due 10/15/19
  
496,200
  
   
725,000
  
Gannett Co., Inc., Guaranteed Notes, 5.13%, due 7/15/20
  
752,296
  
   
452,000
  
iHeartCommunications, Inc., Senior Unsecured Notes, 6.88%, due 6/15/18
  
345,780
  
   
2,112,000
  
iHeartCommunications, Inc., Senior Secured Notes, 11.25%, due 3/1/21
  
1,647,360
  
   
555,000
  
iHeartCommunications, Inc., Senior Unsecured Notes, 7.25%, due 10/15/27
  
327,450
  
   
665,000
  
Netflix, Inc., Senior Unsecured Notes, 5.50%, due 2/15/22
  
706,562
  
   
605,000
  
Sirius XM Radio, Inc., Guaranteed Notes, 4.25%, due 5/15/20
  
617,100
(e)
   
950,000
  
Sirius XM Radio, Inc., Guaranteed Notes, 5.88%, due 10/1/20
  
984,437
(e)
   
185,000
  
Sirius XM Radio, Inc., Guaranteed Notes, 6.00%, due 7/15/24
  
196,794
(e)
 
  
2,105,000
  
Sirius XM Radio, Inc., Senior Unsecured Notes, 5.38%, due 7/15/26
 
2,145,795
(e)
   
1,680,000
  
Univision Communications, Inc., Senior Secured Notes, 5.13%, due 5/15/23
  
1,726,200
(e)
 
10,181,562
  
Medical Products (2.7%)
   
2,600,000
  
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes, 8.13%, due 6/15/21
  
2,366,000
(e)
   
240,000
  
Fresenius Medical Care US Finance II, Inc., Guaranteed Notes, 6.50%, due 9/15/18
  
261,744
(e)
   
485,000
  
Fresenius Medical Care US Finance II, Inc., Guaranteed Notes, 5.63%, due 7/31/19
  
533,500
(e)
   
1,480,000
  
Fresenius Medical Care US Finance II, Inc., Guaranteed Notes, 4.13%, due 10/15/20
  
1,562,318
(e)
   
590,000
  
Fresenius Medical Care US Finance II, Inc., Guaranteed Notes, 5.88%, due 1/31/22
  
665,225
(e)
   
850,000
  
Fresenius Medical Care US Finance II, Inc., Guaranteed Notes, 4.75%, due 10/15/24
  
905,250
(e)
   
495,000
  
Hologic, Inc., Guaranteed Notes, 5.25%, due 7/15/22
  
524,700
(e)
 
6,818,737
  
Metals - Mining Excluding Steel (1.9%)
   
435,000
  
Alcoa, Inc., Senior Unsecured Notes, 5.13%, due 10/1/24
  
457,294
  
   
365,000
  
Anglo American Capital PLC, Guaranteed Notes, 4.45%, due 9/27/20
  
362,263
(e)
   
480,000
  
Freeport-McMoRan, Inc., Guaranteed Notes, 4.00%, due 11/14/21
  
428,400
  
   
450,000
  
Freeport-McMoRan, Inc., Guaranteed Notes, 3.55%, due 3/1/22
  
384,750
  
   
945,000
  
Freeport-McMoRan, Inc., Guaranteed Notes, 3.88%, due 3/15/23
  
812,747
  
   
525,000
  
Freeport-McMoRan, Inc., Guaranteed Notes, 4.55%, due 11/14/24
  
450,187
  
   
1,305,000
  
Freeport-McMoRan, Inc., Guaranteed Notes, 5.40%, due 11/14/34
  
1,011,375
  
   
495,000
  
Teck Resources Ltd., Guaranteed Notes, 4.75%, due 1/15/22
  
441,169
  
   
645,000
  
Teck Resources Ltd., Guaranteed Notes, 6.25%, due 7/15/41
  
496,650
  
 
4,844,835
  
Oil Field Equipment & Services (0.3%)
   
320,000
  
Precision Drilling Corp., Guaranteed Notes, 6.63%, due 11/15/20
  
295,968
  
   
260,000
  
Precision Drilling Corp., Guaranteed Notes, 6.50%, due 12/15/21
  
236,600
  
   
420,000
  
Precision Drilling Corp., Guaranteed Notes, 5.25%, due 11/15/24
  
348,600
  
 
881,168
  
Packaging (2.8%)
   
610,000
  
Ball Corp., Guaranteed Notes, 4.38%, due 12/15/20
  
651,175
  
   
95,000
  
Berry Plastics Corp., Secured Notes, 6.00%, due 10/15/22
  
100,819
  
   
1,220,000
  
Berry Plastics Corp., Secured Notes, 5.13%, due 7/15/23
  
1,261,175
  
   
780,000
  
BWAY Holding Co., Senior Unsecured Notes, 9.13%, due 8/15/21
  
776,100
(e)
   
635,000
  
Owens-Brockway Glass Container, Inc., Guaranteed Notes, 5.00%, due 1/15/22
  
662,781
(e)
   
226,000
  
Reynolds Group Issuer, Inc., Guaranteed Notes, 9.88%, due 8/15/19
  
232,215
  
   
535,000
  
Reynolds Group Issuer, Inc., Senior Secured Notes, 5.75%, due 10/15/20
  
552,387
  
   
765,000
  
Reynolds Group Issuer, Inc., Senior Secured Notes, 6.88%, due 2/15/21
  
795,562
  
   
1,095,000
  
Reynolds Group Issuer, Inc., Senior Secured Notes, 5.13%, due 7/15/23
  
1,129,219
(e)(i)
   
865,000
  
Sealed Air Corp., Senior Unsecured Notes, 5.50%, due 9/15/25
  
924,469
(e)
 
7,085,902
  
Personal & Household Products (1.0%)
   
485,000
  
Energizer Holdings, Inc., Guaranteed Notes, 4.70%, due 5/19/21
  
516,116
  
   
1,295,000
  
Energizer Holdings, Inc., Guaranteed Notes, 4.70%, due 5/24/22
  
1,355,710
  
   
210,000
  
Prestige Brands, Inc., Guaranteed Notes, 6.38%, due 3/1/24
  
221,550
(e)
   
370,000
  
Spectrum Brands, Inc., Guaranteed Notes, 5.75%, due 7/15/25
  
400,525
  
 
2,493,901
  
Pharmaceuticals (5.2%)
   
2,715,000
  
Endo Finance LLC & Endo Finco, Inc., Guaranteed Notes, 5.38%, due 1/15/23
  
2,355,262
(e)
 
  
890,000
  
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Guaranteed Notes, 6.00%, due 7/15/23
 
775,973
(e)
   
265,000
  
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Guaranteed Notes, 6.50%, due 2/1/25
  
228,563
(e)(g)
   
605,000
  
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Guaranteed Notes, 6.38%, due 8/1/23
  
641,784
(e)
   
1,205,000
  
Mallinckrodt Int'l Finance SA/Mallinckrodt CB LLC, Guaranteed Notes, 5.50%, due 4/15/25
  
1,111,612
(e)
   
250,000
  
Valeant Pharmaceuticals Int'l, Inc., Guaranteed Notes, 5.38%, due 3/15/20
  
222,969
(e)
   
330,000
  
Valeant Pharmaceuticals Int'l, Inc., Guaranteed Notes, 5.63%, due 12/1/21
  
281,738
(e)
   
1,340,000
  
Valeant Pharmaceuticals Int'l, Inc., Guaranteed Notes, 5.50%, due 3/1/23
  
1,100,475
(e)
   
5,255,000
  
Valeant Pharmaceuticals Int'l, Inc., Guaranteed Notes, 5.88%, due 5/15/23
  
4,374,787
(e)
   
695,000
  
Valeant Pharmaceuticals Int'l, Inc., Guaranteed Notes, 6.13%, due 4/15/25
  
576,850
(e)
   
1,460,000
  
VPI Escrow Corp., Guaranteed Notes, 6.38%, due 10/15/20
  
1,317,650
(e)
 
12,987,663
  
Printing & Publishing (3.3%)
   
2,610,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 8.25%, due 3/15/19
  
2,871,000
  
   
1,950,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 7.63%, due 6/15/20
  
2,106,000
  
   
950,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 7.88%, due 3/15/21
  
1,030,750
  
   
715,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 7.00%, due 2/15/22
  
725,725
  
   
605,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 6.50%, due 11/15/23
  
595,925
  
   
910,000
  
R.R. Donnelley & Sons Co., Senior Unsecured Notes, 6.00%, due 4/1/24
  
855,400
  
 
8,184,800
  
Real Estate Investment Trusts (0.3%)
   
660,000
  
ESH Hospitality, Inc., Guaranteed Notes, 5.25%, due 5/1/25
  
658,350
(e)
 
Recreation & Travel (1.0%)
   
535,000
  
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp., Guaranteed Notes, 5.25%, due 3/15/21
  
556,400
  
   
300,000
  
NCL Corp. Ltd., Senior Unsecured Notes, 5.25%, due 11/15/19
  
306,750
(e)
   
465,000
  
NCL Corp. Ltd., Senior Unsecured Notes, 4.63%, due 11/15/20
  
469,650
(e)
   
550,000
  
Royal Caribbean Cruises Ltd., Senior Unsecured Notes, 5.25%, due 11/15/22
  
591,250
  
   
600,000
  
Six Flags Entertainment Corp., Guaranteed Notes, 5.25%, due 1/15/21
  
618,000
(e)
 
2,542,050
  
Restaurants (0.6%)
   
500,000
  
1011778 BC ULC/New Red Finance, Inc., Senior Secured Notes, 4.63%, due 1/15/22
  
515,000
(e)
   
840,000
  
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC, Guaranteed Notes, 5.25%, due 6/1/26
  
888,821
(e)
 
1,403,821
  
Software - Services (4.0%)
   
915,000
  
First Data Corp., Guaranteed Notes, 7.00%, due 12/1/23
  
942,450
(e)
   
425,000
  
First Data Corp., Senior Secured Notes, 5.00%, due 1/15/24
  
428,188
(e)
   
1,627,000
  
Infor Software Parent LLC/Infor Software Parent, Inc., Guaranteed Notes, 7.13% Cash/7.88% PIK, due 5/1/21
  
1,517,177
(e)(j)
   
930,000
  
Infor US, Inc., Guaranteed Notes, 6.50%, due 5/15/22
  
923,025
  
   
815,000
  
MSCI, Inc., Guaranteed Notes, 5.25%, due 11/15/24
  
863,900
(e)
   
1,065,000
  
MSCI, Inc., Guaranteed Notes, 5.75%, due 8/15/25
  
1,159,998
(e)
   
1,070,000
  
Nuance Communications, Inc., Guaranteed Notes, 5.38%, due 8/15/20
  
1,096,750
(e)
   
1,045,000
  
Nuance Communications, Inc., Guaranteed Notes, 6.00%, due 7/1/24
  
1,081,575
(e)
   
1,010,000
  
Open Text Corp., Guaranteed Notes, 5.88%, due 6/1/26
  
1,049,784
(e)
   
1,765,000
  
Syniverse Holdings, Inc., Guaranteed Notes, 9.13%, due 1/15/19
  
880,294
  
 
9,943,141
  
Specialty Retail (2.5%)
   
2,160,000
  
Argos Merger Sub, Inc., Senior Unsecured Notes, 7.13%, due 3/15/23
  
2,259,900
(e)
   
985,000
  
Hanesbrands, Inc., Guaranteed Notes, 4.88%, due 5/15/26
  
1,014,550
(e)
       
 
  
1,580,000
  
L Brands, Inc., Guaranteed Notes, 5.63%, due 10/15/23
 
1,749,534
  
   
595,000
  
QVC, Inc., Senior Secured Notes, 5.13%, due 7/2/22
  
640,984
  
   
685,000
  
QVC, Inc., Senior Secured Notes, 5.45%, due 8/15/34
  
652,834
  
 
6,317,802
  
Steel Producers - Products (1.3%)
   
3,150,000
  
ArcelorMittal, Senior Unsecured Notes, 8.00%, due 10/15/39
  
3,339,000
  
 
Support - Services (3.8%)
   
1,430,000
  
Acosta, Inc., Senior Unsecured Notes, 7.75%, due 10/1/22
  
1,308,450
(e)
   
800,000
  
ADT Corp., Senior Secured Notes, 4.88%, due 7/15/32
  
662,000
(e)
   
1,275,000
  
AECOM, Guaranteed Notes, 5.88%, due 10/15/24
  
1,367,437
  
   
975,000
  
APX Group, Inc., Guaranteed Notes, 8.75%, due 12/1/20
  
926,250
  
   
1,400,000
  
Aramark Services, Inc., Guaranteed Notes, 5.13%, due 1/15/24
  
1,445,500
(e)
   
150,000
  
Hertz Corp., Guaranteed Notes, 4.25%, due 4/1/18
  
154,500
  
   
910,000
  
Hertz Corp., Guaranteed Notes, 5.88%, due 10/15/20
  
939,575
  
   
335,000
  
Iron Mountain US Holdings, Inc., Guaranteed Notes, 5.38%, due 6/1/26
  
339,188
(e)
   
315,000
  
Iron Mountain, Inc., Guaranteed Notes, 6.00%, due 8/15/23
  
334,688
  
   
1,681,000
  
Iron Mountain, Inc., Guaranteed Notes, 5.75%, due 8/15/24
  
1,726,706
  
   
350,000
  
United Rental N.A., Inc., Guaranteed Notes, 5.75%, due 11/15/24
  
363,125
  
 
9,567,419
  
Technology Hardware & Equipment (3.1%)
   
735,000
  
CommScope Technologies Finance LLC, Senior Unsecured Notes, 6.00%, due 6/15/25
  
775,425
(e)
   
560,000
  
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Senior Unsecured Notes, 5.88%, due 6/15/21
  
585,412
(e)
   
3,435,000
  
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Senior Secured Notes, 6.02%, due 6/15/26
  
3,685,271
(e)
   
455,000
  
Riverbed Technology, Inc., Guaranteed Notes, 8.88%, due 3/1/23
  
478,887
(e)
   
1,970,000
  
Western Digital Corp., Guaranteed Notes, 10.50%, due 4/1/24
  
2,221,175
(e)
 
7,746,170
  
Telecom - Satellite (0.5%)
   
519,000
  
Hughes Satellite Systems Corp., Senior Secured Notes, 6.50%, due 6/15/19
  
563,764
  
   
1,470,000
  
Intelsat Luxembourg SA, Guaranteed Notes, 7.75%, due 6/1/21
  
338,100
  
   
1,340,000
  
Intelsat Luxembourg SA, Guaranteed Notes, 8.13%, due 6/1/23
  
311,550
  
 
1,213,414
  
Telecom - Wireless (7.1%)
   
561,000
  
Crown Castle Int'l Corp., Senior Unsecured Notes, 4.88%, due 4/15/22
  
621,246
  
   
365,000
  
SBA Telecommunications, Inc., Guaranteed Notes, 5.75%, due 7/15/20
  
375,950
  
   
510,000
  
Sprint Corp., Guaranteed Notes, 7.25%, due 9/15/21
  
475,896
  
   
3,185,000
  
Sprint Corp., Guaranteed Notes, 7.88%, due 9/15/23
  
2,908,319
  
   
2,460,000
  
Sprint Corp., Guaranteed Notes, 7.13%, due 6/15/24
  
2,189,400
  
   
275,000
  
Sprint Nextel Corp., Senior Unsecured Notes, 7.00%, due 8/15/20
  
261,195
  
   
3,765,000
  
Sprint Nextel Corp., Senior Unsecured Notes, 6.00%, due 11/15/22
  
3,229,918
  
   
970,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.54%, due 4/28/20
  
1,001,525
  
   
360,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.63%, due 11/15/20
  
370,800
  
   
795,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.63%, due 4/28/21
  
835,744
  
   
425,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.13%, due 1/15/22
  
447,578
  
   
605,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.73%, due 4/28/22
  
633,738
  
   
1,585,000
  
T-Mobile USA, Inc., Guaranteed Notes, 6.00%, due 3/1/23
  
1,675,725
  
   
1,895,000
  
Wind Acquisition Finance SA, Senior Secured Notes, 4.75%, due 7/15/20
  
1,886,719
(e)
   
875,000
  
Wind Acquisition Finance SA, Secured Notes, 7.38%, due 4/23/21
  
870,625
(e)
 
17,784,378
  
Telecom - Wireline Integrated & Services (6.5%)
   
475,000
  
CenturyLink, Inc., Senior Unsecured Notes, Ser. W, 6.75%, due 12/1/23
  
494,000
  
   
1,630,000
  
CenturyLink, Inc., Senior Unsecured Notes, Ser. P, 7.60%, due 9/15/39
  
1,458,850
  
   
3,079,000
  
Citizens Communications Co., Senior Unsecured Notes, 9.00%, due 8/15/31
  
2,886,562
  
   
1,275,000
  
Communications Sales & Leasing, Inc./CSL Capital LLC, Guaranteed Notes, 8.25%, due 10/15/23
  
1,302,094
  
 
  
1,365,000
  
Embarq Corp., Senior Unsecured Notes, 8.00%, due 6/1/36
 
1,421,306
  
   
515,000
  
Equinix, Inc., Senior Unsecured Notes, 5.88%, due 1/15/26
  
554,912
  
   
265,000
  
Frontier Communications Corp., Senior Unsecured Notes, 6.25%, due 9/15/21
  
257,713
  
   
235,000
  
Frontier Communications Corp., Senior Unsecured Notes, 10.50%, due 9/15/22
  
253,213
  
   
270,000
  
Frontier Communications Corp., Senior Unsecured Notes, 7.13%, due 1/15/23
  
250,425
  
   
610,000
  
Frontier Communications Corp., Senior Unsecured Notes, 7.63%, due 4/15/24
  
562,725
  
   
1,160,000
  
Frontier Communications Corp., Senior Unsecured Notes, 11.00%, due 9/15/25
  
1,239,750
  
   
1,515,000
  
Level 3 Financing, Inc., Guaranteed Notes, 5.38%, due 8/15/22
  
1,590,750
  
   
430,000
  
Level 3 Financing, Inc., Guaranteed Notes, 5.38%, due 1/15/24
  
450,963
  
   
540,000
  
Level 3 Financing, Inc., Guaranteed Notes, 5.38%, due 5/1/25
  
567,000
  
   
750,000
  
Telecom Italia Capital SA, Guaranteed Unsecured Notes, 6.00%, due 9/30/34
  
735,000
  
   
1,391,000
  
U.S. West Communications Group, Senior Unsecured Notes, 6.88%, due 9/15/33
  
1,389,866
  
   
885,000
  
Windstream Corp., Guaranteed Notes, 7.50%, due 6/1/22
  
814,200
  
 
16,229,329
  
Theaters & Entertainment (0.7%)
   
575,000
  
AMC Entertainment, Inc., Guaranteed Notes, 5.75%, due 6/15/25
  
575,000
  
   
1,047,000
  
Regal Entertainment Group, Senior Unsecured Notes, 5.75%, due 3/15/22
  
1,088,880
  
 
1,663,880
  
 
Total Corporate Bonds (Cost $330,593,208)
  
335,150,603
  
 
NUMBER OF SHARES
 
Short-Term Investment (3.4%)
   
8,570,612
  
State Street Institutional Liquid Reserves Fund Premier Class, 0.46%
(Cost  $8,570,612)
  
8,570,612
(f)(k)
       
 
Total Investments (145.6%) (Cost $360,423,619)
365,105,042
##
       
 
Other Assets Less Liabilities [(31.6%)]
(79,392,597)
(l)
       
 
Liquidation Value of Mandatory Redeemable Preferred Shares [(14.0%)]
(35,000,000)
  
       
 
Net Assets Applicable to Common Shareholders (100.0%)
$250,712,445
  
 
 
(a)
Variable or floating rate security. The interest rate shown was the current rate as of 7/31/2016 and changes
periodically.
(b)
Illiquid security.
(c)
All or a portion of this security was purchased on a delayed delivery basis.
(d)
All or a portion of this security had not settled as of 7/31/2016 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
(e)
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At 7/31/2016, these securities amounted to approximately $121,373,358, which represents 48.4% of net assets applicable to common stockholders for the Fund. Securities denoted with (e) but without (b) have been deemed by the investment manager to be liquid.
(f)
All or a portion of this security is segregated as collateral for when-issued securities and/or interest rate swap contracts with a total value of approximately $20,902,105.
(g)
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency.
(h)
Defaulted security.
(i)
When-issued security. Total value of all such securities at 7/31/2016, amounted to approximately $1,748,062, which represents 0.7% of net assets of the Fund.
(j)
Payment-in-kind (PIK) security. Security has the ability to pay in-kind or pay income in cash. When applicable, separate rates of such payments are disclosed.
(k)
Represents 7-day effective yield as of 7/31/2016.
(l)
Includes the impact of the Fund's open positions in derivatives at 7/31/2016.
 
 
 
See Notes to Schedule of Investments
Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited) (cont'd)

Derivative Instruments

Interest rate swap contracts (“interest rate swaps”)

At July 31, 2016, the Fund had outstanding centrally cleared interest rate swaps as follows:

 
 
Clearinghouse
 
 
Notional
Amount
Portfolio
Pays/
Receives
Floating
Rate
Floating Rate
Index
Annual
Fixed-rate
 
 
Termination Date
 
 
Total Fair
Value(1)
CME Group, Inc.
$25,000,000
Receive
3-month LIBOR
1.371%
5/14/2018
$31,230
CME Group, Inc.
$20,000,000
Receive
3-month LIBOR
1.292%
4/17/2019
(146,783)
CME Group, Inc.
$25,000,000
Receive
3-month LIBOR
1.138%
6/17/2021
(259,584)
CME Group, Inc.
$20,000,000
Receive
3-month LIBOR
0.994%
6/29/2021
(269,323)
           
$(644,460)

(1) Total Fair Value reflects the appreciation (depreciation) of the interest rate swaps plus accrued interest as of July 31, 2016.

At July 31, 2016, the Fund had deposited $930,629 in a segregated account to cover margin requirements for interest rate swaps.
 
Schedule of Investments High Yield Strategies Fund Inc.
(Unaudited)(cont'd)

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of July 31, 2016:

 
Asset Valuation Inputs
 
Level 1
 
Level 2
 
Level 3(b)
 
Total
Investments:
        
Loan Assignments
        
All Telecom
$—
$579,884
$189,058
$768,942
Lodging & Casinos
—
5,070,733
1,674,343
6,745,076
Other Loan Assignments (a)
—
13,869,809
—
13,869,809
Total Loan Assignments
—
19,520,426
1,863,401
21,383,827
Corporate Bonds(a)
—
335,150,603
—
335,150,603
Short-Term Investment
—
8,570,612
—
8,570,612
Total Investments
$—
$363,241,641
$1,863,401
$365,105,042

(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.

(b) The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 
 
 
 
 
 
Beginning
balance, as
of 11/1/2015
 
 
 
 
 
Accrued
discounts/
(premiums)
 
 
 
 
 
 
Realized
gain/(loss)
 
 
 
 
Change in
unrealized
appreciation/
(depreciation)
 
 
 
 
 
 
 
Purchases
 
 
 
 
 
 
 
Sales
 
 
 
 
 
Transfers
into
Level 3
 
 
 
 
 
Transfers
out of
Level 3
 
 
 
 
 
Balance
as of
7/31/2016
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
7/31/2016
Investments in Securities
                    
Loan Assignments
                    
All Telecom
$—
$1,130
$—
$1,645
$186,283
$—
$—
$—
$189,058
$1,645
Lodging & Casinos
 
—
 
5,371
 
12
 
64,541
 
1,248,468
 
(2,700)
 
358,651
 
—
 
1,674,343
 
64,541
Corporate Bonds
                    
     Chemicals
63
—
—
—
—
—
—
(63)
—
—
Total
$63
$6,501
$12
$66,186
$1,434,751
$(2,700)
$358,651
$(63)
$1,863,401
$66,186
 
Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose the inputs used in formulating such quotation.

As of the period ended July 31, 2016, certain securities were transferred from one level (as of October 31, 2015) to another. Based on beginning of period market values as of November 1, 2015, approximately $358,651 was transferred from Level 2 to Level 3 and $63 was transferred from Level 3 to Level 2. Transfers of loan assignments and corporate bonds into or out of Level 3 were primarily due to the pricing methodology being based on a single broker quote (Level 3) or a single observable input (Level 3) by the independent pricing service. As of the period ended July 31, 2016, the Fund had no transfers between Levels 1 and 2.
 
The following is a summary, categorized by Level (see Notes to Schedule of Investment), of inputs used to value the Fund’s derivatives as of July 31, 2016:

Other Financial Instruments
Level 1
Level 2
Level 3
Total
Swap contracts
        
   Assets
$—
$31,230
$—
$31,230
   Liabilities
—
(675,690)
—
(675,690)
Total
$—
$(644,460)
$—
$(644,460)
 
July 31, 2016 

Notes to Schedule of Investments (Unaudited)

† In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman High Yield Strategies Fund Inc. (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.


ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

·
Level 1 – quoted prices in active markets for identical investments
·
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
·
Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations or, if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:

Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available (“Other Market Information”).

High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.

The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).

The value of interest rate swap contracts (“interest rate swaps”) is determined by Management primarily by obtaining valuations from independent pricing services based on references to the underlying rates including the local overnight index swap rate and the respective interbank offered forward rate to produce the daily price. The present value is calculated based off of expected cash flows based on swap parameters along with reference to the underlying yield curve and reference rate (generally Level 2 inputs).

Management has developed a process to periodically review information provided by independent pricing services for all types of securities.

Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
 

 
 
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent stockholder reports.

If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Fund’s Board of Directors (the “Board”) has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts (“ADRs”) and whether the issuer of the security being fair valued has other securities outstanding.

Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.

## At July 31, 2016, the cost of investments for U.S. federal income tax basis was $360,554,814. Gross unrealized appreciation of investments was $13,065,224 and gross unrealized depreciation of investments was $8,514,996 resulting in net unrealized appreciation of $4,550,228 based on cost for U.S. federal income tax purposes.


 
 
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent stockholder reports.
 

Item 2. Controls and Procedures.
(a) Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
 (b) There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) 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.
The certifications required by Rule 30a-2(a) of the 1940 Act are filed herewith.
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.
Neuberger Berman High Yield Strategies Fund Inc.
 
 
By:
 
/s/ Robert Conti
  
 
 
Robert Conti
  
 
 
Chief Executive Officer and President
  
 
Date:  September 28, 2016
 
 
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:
 
/s/ Robert Conti
  
 
 
Robert Conti
  
 
 
Chief Executive Officer and President
  
 
Date:  September 28, 2016
 
 
By:
 
/s/ John M. McGovern
  
 
 
John M. McGovern
  
 
 
Treasurer and Principal Financial
and Accounting Officer
  
 
Date:  September 28, 2016