Ivy High Income Opportunties Fund

 

 

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: 811-22800

Ivy High Income Opportunities Fund

(Exact name of registrant as specified in charter)

6300 Lamar Avenue, Overland Park, Kansas 66202

(Address of principal executive offices) (Zip code)

Mara D. Herrington

6300 Lamar Avenue

Overland Park, Kansas 66202

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 913-236-2000

Date of fiscal year end: September 30

Date of reporting period: December 31, 2015

 

 

 

ITEM 1.    SCHEDULE OF INVESTMENTS.

SCHEDULE OF INVESTMENTS   
Ivy High Income Opportunities Fund (in thousands)    DECEMBER 31, 2015 (UNAUDITED)

 

 

CORPORATE DEBT SECURITIES    Principal        Value  

Consumer Discretionary

  

Advertising – 0.8%

  

Acosta, Inc.,

        

7.750%, 10–1–22 (A)

    $ 400         $ 353   

Lamar Media Corp.,

        

5.375%, 1–15–24 (B)

      681           701   

Outfront Media Capital LLC and Outfront Media Capital Corp.:

        

5.250%, 2–15–22

      353           361   

5.625%, 2–15–24

      350           360   

5.625%, 2–15–24 (A)

      37           38   
       

 

 

  
          1,813   
       

 

 

  

Apparel Retail – 1.8%

  

Bon-Ton Stores, Inc. (The),

        

8.000%, 6–15–21

      2,629           867   

Chinos Intermediate Holdings A, Inc.,

        

7.750%, 5–1–19 (A)(C)

      276           69   

Gymboree Corp. (The),

        

9.125%, 12–1–18

      413           93   

Hot Topic, Inc.,

        

9.250%, 6–15–21 (A)(B)

      2,509           2,220   

HT Intermediate Holdings Corp.,

        

12.000%, 5–15–19 (A)(C)

      766           640   

Nine West Holdings, Inc.,

        

8.250%, 3–15–19 (A)

      2,110           422   
       

 

 

  
          4,311   
       

 

 

  

Automotive Retail – 0.5%

  

Group 1 Automotive, Inc.,

        

5.000%, 6–1–22

      424           420   

Sonic Automotive, Inc.,

        

5.000%, 5–15–23 (B)

      919           873   
       

 

 

  
          1,293   
       

 

 

  

Broadcasting – 4.6%

  

Clear Channel Communications, Inc.,

        

10.000%, 1–15–18

      2,330           885   

Clear Channel Worldwide Holdings, Inc., Series A,

        

7.625%, 3–15–20 (B)

      119           108   

Clear Channel Worldwide Holdings, Inc., Series B,

        

7.625%, 3–15–20 (B)

      10,000           9,238   

Cumulus Media, Inc.,

        

7.750%, 5–1–19 (B)

      2,000           675   
       

 

 

  
          10,906   
       

 

 

  

Cable & Satellite – 19.1%

  

Altice Financing S.A.,

        

6.625%, 2–15–23 (A)

      367           363   

Altice S.A.:

        

7.250%, 5–15–22 (A)(D)

    EUR 152           155   

7.750%, 5–15–22 (A)(B)

    $ 13,835           12,486   

6.250%, 2–15–25 (A)(D)

    EUR 184           169   

7.625%, 2–15–25 (A)(B)

    $ 11,190           9,651   

Cablevision Systems Corp.,

        

5.875%, 9–15–22 (B)

      2,254           1,916   

Columbus International, Inc.,

        

7.375%, 3–30–21 (A)

      268           265   

DISH DBS Corp.:

        

6.750%, 6–1–21 (B)

      7,500           7,556   

5.875%, 7–15–22 (B)

      2,000           1,865   

5.000%, 3–15–23

      250           217   

Neptune Finco Corp.:

        

10.125%, 1–15–23 (A)

      831           866   

6.625%, 10–15–25 (A)

      394           410   

10.875%, 10–15–25 (A)

      794           832   

Sirius XM Radio, Inc.,

        

4.625%, 5–15–23 (A)(B)

      4,586           4,494   

VTR Finance B.V.,

        

6.875%, 1–15–24 (A)(B)

      3,584           3,297   

Wave Holdco LLC and Wave Holdco Corp.,

        

8.250%, 7–15–19 (A)(C)

      437           422   

WaveDivision Escrow LLC and WaveDivision Escrow Corp.,

        

8.125%, 9–1–20 (A)

      313           299   
       

 

 

  
          45,263   
       

 

 

  

Casinos & Gaming – 3.8%

  

Gateway Casinos & Entertainment Ltd.,

        

8.500%, 11–26–20 (A)(D)

    CAD 1,643           1,140   

MCE Finance Ltd.,

        

5.000%, 2–15–21 (A)(B)

    $ 337           307   

Scientific Games Corp.,

        

8.125%, 9–15–18

      206           150   

Studio City Finance Ltd.,

        

8.500%, 12–1–20 (A)(B)

      4,614           4,453   

Wynn Macau Ltd.,

        

5.250%, 10–15–21 (A)(B)

      3,331           2,931   
       

 

 

  
          8,981   
       

 

 

  

 

Distributors – 1.0%

  

Pinnacle Operating Corp.,

        

9.000%, 11–15–20 (A)(B)

      2,618           2,461   
       

 

 

  

Movies & Entertainment – 1.9%

  

AMC Entertainment, Inc.,

        

5.750%, 6–15–25 (B)

      1,121           1,126   

Cinemark USA, Inc.:

        

5.125%, 12–15–22 (B)

      164           163   

4.875%, 6–1–23 (B)

      1,451           1,415   

WMG Acquisition Corp.:

        

5.625%, 4–15–22 (A)(B)

      161           155   

6.750%, 4–15–22 (A)

      1,972           1,706   
       

 

 

  
          4,565   
       

 

 

  

Specialized Consumer Services – 3.9%

  

B-Corp Merger Sub, Inc.,

        

8.250%, 6–1–19 (B)

      4,500           3,307   

Carlson Travel Holdings,

        

7.500%, 8–15–19 (A)(C)

      800           788   

Lansing Trade Group,

        

9.250%, 2–15–19 (A)(B)

      1,170           1,097   

Nielsen Finance,

        

5.500%, 10–1–21 (A)(B)

      1,396           1,431   

Nielsen Finance LLC and Nielsen Finance Co.,

        

5.000%, 4–15–22 (A)(B)

      2,677           2,644   
       

 

 

  
          9,267   
       

 

 

  

Specialty Stores – 0.7%

  

Jo-Ann Stores Holdings, Inc.,

        

9.750%, 10–15–19 (A)(C)

      2,806           1,543   

Jo-Ann Stores, Inc.,

        

8.125%, 3–15–19 (A)

      81           65   
       

 

 

  
          1,608   
       

 

 

  

Total Consumer Discretionary – 38.1%

  

        90,468   

Consumer Staples

  

Food Distributors – 0.4%

  

Simmons Foods, Inc.,

        

7.875%, 10–1–21 (A)

      1,000           905   
       

 

 

  

Packaged Foods & Meats – 2.1%

  

JBS USA LLC and JBS USA Finance, Inc.:

        

5.875%, 7–15–24 (A)(B)

      2,496           2,259   

5.750%, 6–15–25 (A)

      758           659   

Post Holdings, Inc.:

        

7.375%, 2–15–22 (B)

      515           537   

7.750%, 3–15–24 (A)

      856           897   

8.000%, 7–15–25 (A)

      545           578   
       

 

 

  
          4,930   
       

 

 

  

Tobacco – 0.7%

  

Prestige Brands, Inc.,

        

5.375%, 12–15–21 (A)

      1,820           1,747   
       

 

 

  

Total Consumer Staples – 3.2%

  

        7,582   

Energy

  

Coal & Consumable Fuels – 0.8%

  

Foresight Energy LLC and Foresight Energy Finance Corp.,

        

7.875%, 8–15–21 (A)(B)

      2,427           1,966   
       

 

 

  

Oil & Gas Drilling – 0.2%

  

KCA DEUTAG UK Finance plc,

        

7.250%, 5–15–21 (A)(B)

      617           418   
       

 

 

  

Oil & Gas Equipment & Services – 0.3%

  

Key Energy Services, Inc.,

        

6.750%, 3–1–21

      3,206           806   
       

 

 

  

Oil & Gas Exploration & Production – 3.9%

  

Bellatrix Exploration Ltd.,

        

8.500%, 5–15–20 (A)

      1,127           800   

California Resources Corp.:

        

8.000%, 12–15–22 (A)

      4,807           2,530   

6.000%, 11–15–24

      1,792           547   

Chesapeake Energy Corp.:

        

6.500%, 8–15–17

      1,063           531   

7.250%, 12–15–18

      79           31   

8.000%, 12–15–22

      548           268   

Clayton Williams Energy, Inc.,

        

7.750%, 4–1–19

      1,414           1,091   

Crownrock L.P.,

        

7.750%, 2–15–23 (A)

      369           347   

Endeavor Energy Resources L.P.:

        

7.000%, 8–15–21 (A)(B)

      1,087           967   

8.125%, 9–15–23 (A)

      378           340   

Gulfport Energy Corp.,

        

6.625%, 5–1–23

      112           94   

Laredo Petroleum, Inc.,

        

7.375%, 5–1–22

      1,061           976   

Midstates Petroleum Co., Inc. and Midstates Petroleum Co. LLC,

        

10.000%, 6–1–20

      940           432   
 

Whiting Petroleum Corp.,

        

5.750%, 3–15–21

      293           214   
       

 

 

  
          9,168   
       

 

 

  

Oil & Gas Refining & Marketing – 2.0%

        

Offshore Drilling Holding S.A.,

        

8.375%, 9–20–20 (A)

      2,303           1,641   

Offshore Group Investment Ltd.,

        

7.500%, 11–1–19 (E)

      883           194   

PBF Holding Co. LLC and PBF Finance Corp.,

        

7.000%, 11–15–23 (A)

      1,187           1,157   

Seven Generations Energy Ltd.:

        

8.250%, 5–15–20 (A)

      401           361   

6.750%, 5–1–23 (A)

      1,751           1,471   
       

 

 

  
          4,824   
       

 

 

  

Total Energy – 7.2%

                 17,182   

Financials

        

Consumer Finance – 2.4%

        

Creditcorp,

        

12.000%, 7–15–18 (A)(B)

      5,248           3,358   

Quicken Loans, Inc.,

        

5.750%, 5–1–25 (A)

      1,688           1,608   

Speedy Cash Intermediate Holdings Corp.,

        

10.750%, 5–15–18 (A)

      1,384           706   
       

 

 

  
          5,672   
       

 

 

  

Diversified Capital Markets – 0.9%

        

Patriot Merger Corp.,

        

9.000%, 7–15–21 (A)(B)

      2,477           2,267   
       

 

 

  

Other Diversified Financial Services – 3.0%

        

AAF Holdings LLC and AAF Finance Co.,

        

12.000%, 7–1–19 (A)(C)

      954           902   

Balboa Merger Sub, Inc.,

        

11.375%, 12–1–21 (A)

      237           198   

Greektown Holdings LLC and Greektown Mothership Corp.,

        

8.875%, 3–15–19 (A)(B)

      1,625           1,641   

New Cotai LLC and New Cotai Capital Corp.,

        

10.625%, 5–1–19 (A)(B)(C)

      5,743           4,307   
       

 

 

  
          7,048   
       

 

 

  

Property & Casualty Insurance – 0.6%

        

Hub International Ltd.,

        

7.875%, 10–1–21 (A)

      1,500           1,350   
       

 

 

  

Real Estate Development – 0.4%

        

Hub Holdings LLC and Hub Holdings Finance, Inc.,

        

8.125%, 7–15–19 (A)(C)

      970           907   
       

 

 

  

Specialized Finance – 3.4%

        

Flexi-Van Leasing, Inc.,

        

7.875%, 8–15–18 (A)(B)

      5,208           5,208   

TMX Finance LLC and TitleMax Finance Corp.,

        

8.500%, 9–15–18 (A)(B)

      3,985           2,969   
       

 

 

  
          8,177   
       

 

 

  

Specialized REITs – 1.1%

        

Aircastle Ltd.:

        

5.125%, 3–15–21

      1,719           1,766   

5.500%, 2–15–22

      803           825   
       

 

 

  
          2,591   
       

 

 

  

Thrifts & Mortgage Finance – 3.1%

        

Provident Funding Associates L.P. and PFG Finance Corp.,

        

6.750%, 6–15–21 (A)(B)

      7,500           7,256   
       

 

 

  

Total Financials – 14.9%

                 35,268   

Health Care

        

Health Care Facilities – 1.5%

        

Capsugel S.A.,

        

7.000%, 5–15–19 (A)(C)

      141           138   

Greatbatch Ltd.,

        

9.125%, 11–1–23 (A)(B)

      1,373           1,359   

Tenet Healthcare Corp.,

        

8.125%, 4–1–22 (B)

      2,087           2,082   
       

 

 

  
          3,579   
       

 

 

  

Health Care Supplies – 2.5%

        

Ortho-Clinical Diagnostics,

        

6.625%, 5–15–22 (A)(B)

      1,624           1,112   

Universal Hospital Services, Inc.,

        

7.625%, 8–15–20 (B)

      5,000           4,694   
       

 

 

  
          5,806   
       

 

 

  

Pharmaceuticals – 2.3%

  

Concordia Healthcare Corp.,

        

9.500%, 10–21–22 (A)(B)

      3,266           3,217   

Jaguar Holding Co. II and Pharmaceutical Product Development LLC,

        

6.375%, 8–1–23 (A)

      1,061           1,034   

JLL/Delta Dutch Pledgeco B.V.,

        

8.750%, 5–1–20 (A)(C)

      125           121   

VPII Escrow Corp.,

        

7.500%, 7–15–21 (A)

      458           457   

VRX Escrow Corp.,

        

5.375%, 3–15–20 (A)

      736           692   
       

 

 

  
          5,521   
       

 

 

  

Total Health Care – 6.3%

                 14,906   

Industrials

        

Aerospace & Defense – 1.6%

        

Silver II Borrower SCA and Silver II U.S. Holdings,

        

7.750%, 12–15–20 (A)(B)

      5,200           3,744   
       

 

 

  

Air Freight & Logistics – 0.2%

        

TRAC Intermodal LLC and TRAC Intermodal Corp.,

        

11.000%, 8–15–19 (B)

      495           537   
       

 

 

  

Building Products – 0.7%

  

Ply Gem Industries, Inc.,

        

6.500%, 2–1–22

      1,923           1,749   
       

 

 

  

Diversified Support Services – 3.7%

  

Algeco Scotsman Global Finance plc,

        

8.500%, 10–15–18 (A)(B)

      10,575           8,857   
       

 

 

  

Environmental & Facilities Services – 0.7%

  

GFL Environmental, Inc.,

        

7.875%, 4–1–20 (A)

      1,568           1,552   
       

 

 

  

Railroads – 0.8%

  

Florida East Coast Holdings Corp. and Florida East Coast Industries LLC:

        

6.750%, 5–1–19 (A)(B)

      1,462           1,337   

9.750%, 5–1–20 (A)

      607           413   
       

 

 

  
          1,750   
       

 

 

  

Total Industrials – 7.7%

  

        18,189   

Information Technology

  

Application Software – 1.8%

  

Ensemble S Merger Sub, Inc.,

        

9.000%, 9–30–23 (A)

      484           468   

Infor (U.S.), Inc.,

        

5.750%, 8–15–20 (A)

      388           391   

Kronos Acquisition Holdings, Inc.,

        

9.000%, 8–15–23 (A)(B)

      4,000           3,420   
       

 

 

  
          4,279   
       

 

 

  

Data Processing & Outsourced Services – 2.2%

  

Alliance Data Systems Corp.,

        

5.375%, 8–1–22 (A)(B)

      1,853           1,765   

Italics Merger Sub, Inc.,

        

7.125%, 7–15–23 (A)(B)

      3,773           3,415   
       

 

 

  
          5,180   
       

 

 

  

Electronic Manufacturing Services – 0.5%

  

KEMET Corp.,

        

10.500%, 5–1–18

      1,440           1,224   
       

 

 

  

IT Consulting & Other Services – 1.0%

  

NCR Escrow Corp.:

        

5.875%, 12–15–21 (B)

      1,154           1,137   

6.375%, 12–15–23 (B)

      1,233           1,214   
       

 

 

  
          2,351   
       

 

 

  

Semiconductors – 1.3%

  

Micron Technology, Inc.:

        

5.875%, 2–15–22 (B)

      1,798           1,748   

5.500%, 2–1–25 (B)

      1,577           1,372   
       

 

 

  
          3,120   
       

 

 

  

Total Information Technology – 6.8%

  

        16,154   

Materials

  

Aluminum – 1.1%

  

Constellium N.V.:

        

8.000%, 1–15–23 (A)

      1,892           1,480   

5.750%, 5–15–24 (A)(B)

      260           177   

Wise Metals Intermediate Holdings,

        

9.750%, 6–15–19 (A)(C)

      1,774           883   
       

 

 

  
          2,540   
       

 

 

  

Construction Materials – 1.1%

  

Hillman Group, Inc. (The),

        

6.375%, 7–15–22 (A)(B)

      3,237           2,686   
       

 

 

  

Diversified Metals & Mining – 4.1%

  

Artsonig Pty Ltd.,

        

11.500%, 4–1–19 (A)(C)

      2,299           196   

Crystal Merger Sub, Inc.,

        

7.625%, 10–15–21 (A)(B)

      391           302   

FMG Resources Pty Ltd.:

        

8.250%, 11–1–19 (A)

      3,959           3,143   

9.750%, 3–1–22 (A)

      187           171   

6.875%, 4–1–22 (A)

      7,615           4,683   

Lundin Mining Corp.:

        

7.500%, 11–1–20 (A)(B)

      715           670   

7.875%, 11–1–22 (A)

      584           537   
       

 

 

  
          9,702   
       

 

 

  

Metal & Glass Containers – 0.6%

  

Ardagh Finance Holdings,

        

8.625%, 6–15–19 (A)(B)(C)

      1,570           1,547   
       

 

 

  

Total Materials – 6.9%

  

        16,475   
 

Telecommunication Services

  

Alternative Carriers – 1.8%

  

Consolidated Communications Finance II Co.,

      

6.500%, 10–1–22

      812         682   

Level 3 Communications, Inc.,

      

5.750%, 12–1–22 (B)

      2,176         2,225   

Level 3 Escrow II, Inc.,

      

5.375%, 8–15–22

      1,411         1,432   
     

 

 

  
        4,339   
     

 

 

  

Integrated Telecommunication Services – 15.6%

  

BCP (Singapore) VI Cayman Financing Co. Ltd.,

      

8.000%, 4–15–21 (A)(B)

      403         320   

CenturyLink, Inc.,

      

5.800%, 3–15–22 (B)

      13,000         11,914   

Frontier Communications Corp.:

      

8.875%, 9–15–20 (A)(B)

      1,341         1,358   

6.250%, 9–15–21 (B)

      10,811         9,162   

10.500%, 9–15–22 (A)

      790         785   

7.125%, 1–15–23 (B)

      195         168   

6.875%, 1–15–25 (B)

      562         463   

11.000%, 9–15–25 (A)

      888         879   

GCI, Inc.,

      

6.875%, 4–15–25 (B)

      1,497         1,531   

Sprint Corp.:

      

7.250%, 9–15–21 (B)

      11,841         8,822   

7.875%, 9–15–23 (B)

      2,173         1,632   
     

 

 

  
        37,034   
     

 

 

  

Wireless Telecommunication Service – 1.7%

  

Sable International Finance Ltd.,

      

6.875%, 8–1–22 (A)

      1,619         1,562   

T-Mobile USA, Inc.:

      

6.464%, 4–28–19 (B)

      728         750   

6.731%, 4–28–22 (B)

      158         165   

6.500%, 1–15–26

      1,564         1,579   
     

 

 

  
        4,056   
     

 

 

  

Total Telecommunication Services – 19.1%

  

      45,429   

TOTAL CORPORATE DEBT SECURITIES – 110.2%

  

    $ 261,653   

(Cost: $309,050)

  

LOANS (I)

  

Consumer Discretionary

  

Advertising – 0.4%

  

Advantage Sales & Marketing, Inc.,

      

7.500%, 7–25–22

      955         851   
     

 

 

  

Apparel Retail – 4.7%

  

Hoffmaster Group, Inc.,

      

10.000%, 5–9–21

      1,222         1,136   

Talbots, Inc. (The):

      

5.500%, 3–19–20

      1,220         1,147   

9.500%, 3–19–21

      950         890   

True Religion Apparel, Inc.:

      

5.875%, 7–30–19

      14,475         8,010   
     

 

 

  
        11,183   
     

 

 

  

Auto Parts & Equipment – 2.5%

  

Direct ChassisLink, Inc.,

      

8.250%, 11–7–19

      6,054         5,851   
     

 

 

  

Casinos & Gaming – 0.2%

  

Gateway Casinos & Entertainment Ltd.:

      

5.130%, 11–26–19 (D)

    CAD 726         520   

5.950%, 11–26–19 (D)

      2         2   
     

 

 

  
        522   
     

 

 

  

General Merchandise Stores – 1.9%

  

BJ’s Wholesale Club, Inc.,

      

8.500%, 3–31–20

    $ 1,275         1,133   

Orchard Acquisition Co. LLC,

      

7.000%, 2–8–19

      4,641         3,426   
     

 

 

  
        4,559   
     

 

 

  

Housewares & Specialties – 0.3%

  

KIK Custom Products, Inc.,

      

6.000%, 8–26–22

      783         757   
     

 

 

  

Movies & Entertainment – 0.2%

  

Formula One Holdings Ltd. and Delta Two S.a.r.l.,

      

7.750%, 7–29–22

      500         460   
     

 

 

  

Specialized Consumer Services – 0.2%

  

Wand Intermediate I L.P.,

      

8.250%, 9–17–22

      403         383   
     

 

 

  

Total Consumer Discretionary – 10.4%

  

      24,566   

Consumer Staples

  

Hypermarkets & Super Centers – 0.4%

  

GOBP Holdings, Inc.,

      

9.250%, 10–21–22

      979         959   
     

 

 

  

Packaged Foods & Meats – 0.3%

  

Shearer’s Foods LLC,

      

7.750%, 6–30–22

      748         703   
     

 

 

  

Total Consumer Staples – 0.7%

  

      1,662   

Energy

  

Coal & Consumable Fuels – 0.3%

  

Westmoreland Coal Co.,

      

7.500%, 12–16–20

      1,001         605   
     

 

 

  

Oil & Gas Drilling – 0.4%

  

KCA Deutag Alpha Ltd.,

      

6.250%, 5–16–20

      1,364         993   
     

 

 

  

Oil & Gas Exploration & Production – 2.0%

  

Callon Petroleum Co.,

      

8.500%, 10–8–21

      5,094         4,839   
     

 

 

  

Oil & Gas Refining & Marketing – 0.1%

  

Fieldwood Energy LLC,

      

8.375%, 9–30–20

      813         122   
     

 

 

  

Oil & Gas Storage & Transportation – 1.4%

  

Bowie Resources Holdings LLC:

      

6.750%, 8–12–20

      2,239         2,172   

11.750%, 2–16–21

      1,224         1,163   
     

 

 

  
        3,335   
     

 

 

  

Total Energy – 4.2%

  

      9,894   

Financials

  

Consumer Finance – 0.3%

  

TransFirst, Inc.,

      

9.000%, 11–12–22

      692         676   
     

 

 

  

Total Financials – 0.3%

  

      676   

Health Care

  

Health Care Facilities – 0.1%

  

Surgery Center Holdings, Inc.,

      

8.500%, 11–3–21

      278         261   
     

 

 

  

Life Sciences Tools & Services – 0.6%

  

Atrium Innovations, Inc.,

      

7.750%, 8–10–21

      1,740         1,479   
     

 

 

  

Total Health Care – 0.7%

  

      1,740   

Industrials

  

Building Products – 1.7%

  

C.H.I. Overhead Doors, Inc.,

      

8.750%, 7–31–23

      956         884   

GYP Holdings III Corp.,

      

7.750%, 4–1–22

      2,012         1,841   

Hampton Rubber Co. & SEI Holding Corp.,

      

9.000%, 3–27–22

      1,719         1,272   
     

 

 

  
        3,997   
     

 

 

  

Construction & Engineering – 0.4%

  

Tensar International Corp.:

      

5.750%, 7–10–21

      441         375   

9.500%, 7–10–22

      604         449   
     

 

 

  
        824   
     

 

 

  

Industrial Machinery – 1.1%

  

Accudyne Industries LLC,

      

4.000%, 12–13–19

      87         73   

Dynacast International LLC,

      

9.500%, 1–30–23

      2,663         2,557   
     

 

 

  
        2,630   
     

 

 

  

Research & Consulting Services – 1.3%

  

Larchmont Resources LLC,

      

9.750%, 8–7–19

      4,598         3,149   
     

 

 

  

Total Industrials – 4.5%

  

      10,600   

Information Technology

  

Application Software – 2.2%

  

Misys plc and Magic Newco LLC,

      

12.000%, 6–12–19

      3,500         3,732   

TIBCO Software, Inc.,

      

6.500%, 12–4–20

      1,735         1,572   
     

 

 

  
        5,304   
     

 

 

  

Data Processing & Outsourced Services – 0.4%

  

Sedgwick Claims Management Services, Inc.,

      

6.750%, 2–28–22

      899         809   
     

 

 

  

IT Consulting & Other Services – 1.4%

  

Active Network, Inc. (The):

      

5.500%, 11–15–20

      1,297         1,250   

9.500%, 11–15–21

      1,147         1,067   

Triple Point Group Holdings, Inc.,

      

5.250%, 7–13–20

      1,526         1,099   
     

 

 

  
        3,416   
     

 

 

  

Total Information Technology – 4.0%

  

      9,529   

Materials

  

Diversified Metals & Mining – 0.2%

  

EP Minerals LLC,

      

8.500%, 8–20–21

      545         535   
     

 

 

  
 

Metal & Glass Containers – 0.2%

  

Consolidated Container Co. LLC,

        

7.750%, 1–3–20

      451           383   
       

 

 

  

Paper Packaging – 1.2%

  

FPC Holdings, Inc.,

        

9.250%, 5–27–20

      2,500           2,000   

Ranpak (Rack Merger),

        

8.250%, 10–1–22

      873           863   
       

 

 

  
          2,863   
       

 

 

  

Specialty Chemicals – 1.1%

  

Chemstralia Ltd.,

        

7.250%, 2–26–22

      2,293           2,224   

Chromaflo Technologies Corp.,

        

8.250%, 6–2–20

      580           499   
       

 

 

  
          2,723   
       

 

 

  

Total Materials – 2.7%

  

        6,504   

TOTAL LOANS – 27.5%

               $ 65,171   

(Cost: $78,906)

  

SHORT-TERM SECURITIES                  

Commercial Paper (F) – 6.3%

  

     

McCormick & Co., Inc.,

        

0.290%, 1–4–16

      11,228           11,227   

Wisconsin Electric Power Co.,

        

0.630%, 1–4–16

      3,660           3,660   
       

 

 

  
          14,887   
       

 

 

  

Master Note – 1.2%

  

     

Toyota Motor Credit Corp.,

        

0.435%, 1–6–16 (G)

      2,816           2,816   
       

 

 

  

TOTAL SHORT-TERM SECURITIES – 7.5%

  

      $ 17,703   

(Cost: $17,703)

  

TOTAL INVESTMENT SECURITIES – 145.2%

  

      $ 344,527   

(Cost: $405,659)

  

BORROWINGS (H) – (48.2)%

  

        (114,500 ) 

CASH AND OTHER ASSETS, NET OF LIABILITIES – 3.0%

   

        7,291   

NET ASSETS – 100.0%

  

      $ 237,318   

    

 

Notes to Schedule of Investments

 

(A) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015 the total value of these securities amounted to $164,763 or 69.4% of net assets.

 

(B) All or a portion of securities with an aggregate value of $129,321 have been pledged as collateral on open borrowings.

 

(C) Payment-in-kind bonds.

 

(D) Principal amounts are denominated in the indicated foreign currency, where applicable (CAD - Canadian Dollar and EUR - Euro).

 

(E) Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy.

 

(F) Rate shown is the yield to maturity at December 31, 2015.

 

(G) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2015. Date shown represents the date that the variable rate resets.

 

(H) Borrowings Payable as a percentage of Total Investments is 33.2%.

 

(I) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2015.

The following forward foreign currency contracts were outstanding at December 31, 2015:

 

  

      Currency to be
Delivered		            Currency to be
Received		      Settlement
Date		      Counterparty    Unrealized
Appreciation		      Unrealized
Depreciation		  

Canadian Dollar

   

2,304

     

U.S. Dollar

      1,686         1-19-16       Morgan Stanley International    $ 22       $ —   

Euro

   

295

     

U.S. Dollar

      324         1-19-16       Morgan Stanley International      3         —   
                    $ 25       $ —   

The following total return swap agreements were outstanding at December 31, 2015:

 

Counterparty   Underlying Security    Termination Date    Notional  Amount(1)      Financing Fee(2)(3)    Unrealized
Depreciation		  

JPMorgan Chase Bank N.A.

  

iBoxx $ Liquid High Yield Index

   

03/20/2016

    $ 729       3M LIBOR – 0.5695    $ (9 ) 

 

(1) Notional amount changes by the percentage change of the price of the index applied to the notional amount.

 

(2) The Fund receives the financing fee multiplied by the notional amount each quarter.

 

(3) At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying index less a financing rate, if any. As the receiver, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return.

The Fund’s investments are reported at fair value. Fair value is defined as the price that the Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for the Fund.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of December 31, 2015:

 

     Level 1      Level 2      Level 3  

Assets

        

Investments in Securities

        

Corporate Debt Securities

   $ —       $ 261,653       $ —   

Loans

     —         46,895         18,276   

Short-Term Securities

     —         17,703         —   

Total

   $ —       $ 326,251       $ 18,276   

Forward Foreign Currency Contracts

   $ —       $ 25       $ —   

Liabilities

        

Payable for Borrowing

   $ —       $ 114,500       $ —   

Total Return Swaps

   $ —       $ 9       $ —   

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

     Loans  

Beginning Balance 10-1-15

   $ 9,044   

Net realized gain (loss)

     (18 ) 

Net change in unrealized appreciation (depreciation)

     (507 ) 

Purchases

     3,288   

Sales

     (168 ) 

Amortization/Accretion of premium/discount

     81   

Transfers into Level 3 during the period

     11,323   

Transfers out of Level 3 during the period

     (4,767 ) 

Ending Balance 12-31-15

   $ 18,276   

Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-15

   $ (507 ) 

Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in and out of Level 3 represent the values as of the beginning of the reporting period. During the period ended December 31, 2015, there were no transfers between Levels 1 and 2.

Information about Level 3 fair value measurements:

 

    

Fair Value at

12-31-15

      Valuation Technique(s)    Unobservable Input(s)

Assets

        

Loans

   $ 18,276       Third-party valuation service    Broker quotes

The following acronym is used throughout this schedule:

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at December 31, 2015 and the related unrealized appreciation (depreciation) were as follows:     

Cost

   $ 405,659   
 

 

 

  

Gross unrealized appreciation

     1,006   

Gross unrealized depreciation

     (62,138 ) 
 

 

 

  

Net unrealized depreciation

   $ (61,132 ) 
 

ITEM 2.    CONTROLS AND PROCEDURES.

 

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, 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 Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.    EXHIBITS.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).

Attached hereto as Exhibit 99.CERT.

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.

 

Ivy High Income Opportunities Fund
(Registrant)
By       /s/ Mara D. Herrington
  Mara D. Herrington, Vice President and Secretary

Date: February 26, 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/ Henry J. Herrmann
  Henry J. Herrmann, Principal Executive Officer

Date: February 26, 2016

 

By       /s/ Joseph W. Kauten
  Joseph W. Kauten, Principal Financial Officer

Date: February 26, 2016