As filed with the Securities and Exchange Commission on November 25, 2009
  
  
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
  

FORM N-Q
  
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES

  

Investment Company Act file number: 811-21342
  

NEUBERGER BERMAN HIGH YIELD STRATEGIES FUND
(Exact Name of the Registrant as Specified in Charter)

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
Neuberger Berman High Yield Strategies Fund
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
  
Arthur 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: December 31, 2009
  
Date of reporting period: September 30, 2009
  

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 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.

  

September 30, 2009

Schedule of Investments Neuberger Berman High Yield Strategies Fund
(UNAUDITED)

PRINCIPAL AMOUNT($)  

 

VALUE($)†

      

Bank Loan Obligations (12.9%)

Airlines (2.6%)

   

4,689,200

 

United Airlines, Inc., Term Loan B, 2.48%, due 2/1/14

 

3,446,562

^

Automotive (1.6%)

   

2,334,560

 

Ford Motor Co., Term Loan B, 5.24%, due 12/16/13

 

2,069,540

^

Electric - Generation (3.3%)

   

5,457,547

 

Texas Competitive Electric Holdings Co. LLC, Term Loan DD, 3.61%, due 10/10/14

 

4,340,005

 

Electronics (0.5%)

   

700,375

 

Flextronics Int'l, Ltd., Term Loan B, 2.85%, due 10/1/12

 

648,722

 

Media - Cable (2.4%)

   

170,000

 

Cequel Communications LLC, Second Lien Term Loan A, 7.36%, due 5/5/14

 

158,714

 
   

3,144,064

 

Cequel Communications LLC, Second Lien Term Loan B, 6.60%, due 5/5/14

 

3,026,162

 
   

3,184,876

Non-Food & Drug Retailers (1.0%)

   

1,360,000

 

Blockbuster, Inc., Term Loan B, 4.54%, due 8/20/11

 

1,341,871

 

Software/Services (0.6%)

   

355,000

 

First Data Corp., Term Loan B1, 4.95%, due 9/24/14

 

304,896

 
   

572,901

 

First Data Corp., Term Loan B2, 3.36%, due 9/24/14

 

492,408

 
   

797,304

Support-Services (0.9%)

   

1,315,000

 

Rental Services Corp., Second Lien Term Loan, 4.10%, due 11/30/13

 

1,159,672

 
 

Total Bank Loan Obligations (Cost $13,817,768) 

 

16,988,552

 

Corporate Debt Securities (121.7%)

Airlines (4.0%)

   

755,000

 

American Airlines, Inc., Senior Secured Notes, 10.50%, due 10/15/12

 

764,438

ñØ

   

455,000

 

American Airlines, Inc., Pass-Through Certificates, Ser. 2009-1A, 10.38%, due 7/2/19

 

495,950

 
   

895,000

 

Delta Air Lines, Inc., Pass-Through Certificates, Ser. 2001-1, Class B, 7.71%, due 9/18/11

 

827,875

 
   

930,000

 

Delta Air Lines, Inc., Senior Secured Notes, 9.50%, due 9/15/14

 

930,000

ñ

   

1,343,665

 

Delta Air Lines, Inc., Pass-Through Certificates, Ser. 2007-1, Class A, 6.82%, due 8/10/22

 

1,242,890

 
   

1,224,288

 

United Airlines, Inc., Pass-Through Certificates, Ser. 2007-1, Class A, 6.64%, due 7/2/22

 

1,016,159

 
   

5,277,312

Auto Loans (4.6%)

   

3,540,000

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes, 7.00%, due 10/1/13

 

3,322,694

 
   

1,640,000

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes, 8.70%, due 10/1/14

 

1,606,464

 
   

980,000

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes, 12.00%, due 5/15/15

 

1,079,887

 
   

6,009,045

Auto Parts & Equipment (1.1%)

   

725,000

 

Goodyear Tire & Rubber Co., Senior Unsecured Notes, 10.50%, due 5/15/16

 

786,625

 
   

720,000

 

Harley-Davidson Funding Corp., Senior Notes, 6.80%, due 6/15/18

 

701,116

ñ

   

1,487,741

Automotive (0.1%)

   

225,000

 

Ford Motor Co., Senior Unsecured Notes, 6.50%, due 8/1/18

 

179,156

 

Banking (4.7%)

   

1,490,000

 

CIT Group, Inc., Senior Unsecured Notes, 5.40%, due 1/30/16

 

939,305

È

   

3,591,000

 

GMAC LLC, Guaranteed Notes, 6.88%, due 9/15/11

 

3,393,495

ñ

   

1,905,000

 

GMAC LLC, Subordinated Notes, 8.00%, due 12/31/18

 

1,438,275

ñ

   

550,000

 

GMAC LLC, Senior Unsecured Notes, 8.00%, due 11/1/31

 

439,703

 


See Notes to Schedule of Investments


SEPTEMBER 30, 2009

Schedule of Investments Neuberger Berman High Yield Strategies Fund

(UNAUDITED)

PRINCIPAL AMOUNT($)  

 

VALUE($)†

       
   

60,000

 

GMAC, LLC, Guaranteed Notes, 8.00%, due 11/1/31

 

48,300

ñ

   

6,259,078

Building & Construction (0.4%)

   

550,000

 

Standard Pacific Escrow LLC, Senior Secured Notes, 10.75%, due 9/15/16

 

541,750

ñ

Building Materials (2.1%)

   

325,000

 

Owens Corning, Inc., Guaranteed Notes, 9.00%, due 6/15/19

 

349,053

 
   

1,535,000

 

Ply Gem Industries, Inc., Senior Secured Notes, 11.75%, due 6/15/13

 

1,350,800

 
   

1,050,000

 

USG Corp., Guaranteed Notes, 9.75%, due 8/1/14

 

1,097,250

ñ

   

2,797,103

Chemicals (3.6%)

   

260,000

 

Ashland, Inc., Guaranteed Notes, 9.13%, due 6/1/17

 

278,200

ñ

   

1,060,000

 

Huntsman Int'l LLC, Guaranteed Notes, 7.88%, due 11/15/14

 

988,450

 
   

2,195,000

 

MacDermid, Inc., Senior Subordinated Notes, 9.50%, due 4/15/17

 

2,019,400

ñ

   

1,415,275

 

Momentive Performance Materials, Inc., Guaranteed Notes, 12.50%, due 6/15/14

 

1,464,810

ñÈ

   

4,750,860

Consumer/Commercial/Lease Financing (4.4%)

   

680,000

 

American General Finance Corp., Senior Unsecured Medium-Term Notes, Ser. I, 5.85%, due 6/1/13

 

514,800

 
   

1,340,000

 

American General Finance Corp., Senior Unsecured Medium-Term Notes, Ser. I, 5.40%, due 12/1/15

 

939,680

 
   

500,000

 

American General Finance Corp., Senior Unsecured Medium-Term Notes, 5.75%, due 9/15/16

 

347,114

 
   

5,775,000

 

American General Finance Corp., Senior Unsecured Medium-Term Notes, Ser. J, 6.90%, due 12/15/17

 

4,038,925

 
   

5,840,519

Diversified Capital Goods (0.7%)

   

1,125,000

 

Mueller Water Products, Inc., Guaranteed Notes, 7.38%, due 6/1/17

 

980,156

 

Electric - Generation (10.8%)

   

5,025,000

 

Dynegy-Roseton Danskammer, Pass-Through Certificates, Ser. B, 7.67%, due 11/8/16

 

4,616,719

 
   

3,070,000

 

Edison Mission Energy, Senior Unsecured Notes, 7.63%, due 5/15/27

 

2,195,050

 
   

3,796,500

 

Energy Future Holdings Corp., Guaranteed Notes, 11.25%, due 11/1/17

 

2,505,690

 
   

182,400

 

Homer City Funding LLC, Senior Secured Notes, 8.14%, due 10/1/19

 

176,016

 
   

237,918

 

Midwest Generation LLC, Pass-Through Certificates, Ser. B, 8.56%, due 1/2/16

 

241,487

 
   

540,000

 

Mirant Americas Generation LLC, Senior Unsecured Notes, 8.30%, due 5/1/11

 

549,450

 
   

505,000

 

NRG Energy, Inc., Guaranteed Notes, 7.25%, due 2/1/14

 

496,163

 
   

1,000,000

 

NRG Energy, Inc., Guaranteed Notes, 7.38%, due 2/1/16

 

967,500

 
   

2,595,000

 

NRG Energy, Inc., Guaranteed Notes, 7.38%, due 1/15/17

 

2,510,662

 
   

14,258,737

Electric - Integrated (1.0%)

   

1,345,000

 

CMS Energy Corp., Senior Unsecured Notes, 6.88%, due 12/15/15

 

1,348,502

 

Electronics (0.7%)

   

985,000

 

NXP BV Funding LLC, Senior Secured Floating Rate Notes, 3.26%, due 10/15/09

 

711,663

µ

   

340,000

 

NXP BV Funding LLC, Senior Secured Notes, 7.88%, due 10/15/14

 

266,900

 
   

978,563

Energy - Exploration & Production (3.7%)

   

660,000

 

Chesapeake Energy Corp., Guaranteed Notes, 7.50%, due 9/15/13

 

655,875

 
   

3,010,000

 

Chesapeake Energy Corp., Guaranteed Notes, 9.50%, due 2/15/15

 

3,168,025

 
   

1,065,000

 

Cimarex Energy Co., Guaranteed Notes, 7.13%, due 5/1/17

 

990,450

 
   

4,814,350

Food & Drug Retailers (1.1%)

   

745,000

 

Rite Aid Corp., Senior Secured Notes, 9.75%, due 6/12/16

 

804,600

ñ

   

650,000

 

Rite Aid Corp., Senior Secured Notes, 10.38%, due 7/15/16

 

641,875

 
   

1,446,475



See Notes to Schedule of Investments


September 30, 2009

Schedule of Investments Neuberger Berman High Yield Strategies Fund

(UNAUDITED)

PRINCIPAL AMOUNT($)  

 

VALUE($)†

           

Forestry/Paper (1.2%)

   

1,430,000

 

PE Paper Escrow GmbH, Senior Secured Notes, 12.00%, due 8/1/14

 

1,544,400

ñ

Gaming (9.2%)

   

765,000

 

Chukchansi Economic Development Authority, Senior Unsecured Notes, 8.00%, due 11/15/13

 

604,350

ñ

   

1,310,000

 

FireKeepers Development Authority, Senior Secured Notes, 13.88%, due 5/1/15

 

1,391,875

ñ

   

2,565,000

 

Harrah's Operating Co., Inc., Guaranteed Notes, 10.75%, due 2/1/16

 

2,071,237

È

   

510,000

 

MGM Mirage, Inc., Senior Secured Notes, 10.38%, due 5/15/14

 

544,425

ñ

   

1,190,000

 

MGM Mirage, Inc., Guaranteed Notes, 7.50%, due 6/1/16

 

922,250

 
   

860,000

 

MGM Mirage, Inc., Senior Secured Notes, 11.13%, due 11/15/17

 

939,550

ñ

   

620,000

 

Peninsula Gaming LLC, Senior Secured Notes, 8.38%, due 8/15/15

 

620,000

ñ

   

550,000

 

Peninsula Gaming LLC, Senior Unsecured Notes, 10.75%, due 8/15/17

 

552,750

ñ

   

1,135,000

 

Pinnacle Entertainment, Inc., Senior Notes, 8.63%, due 8/1/17

 

1,140,675

ñ

   

1,781,000

 

Pokagon Gaming Authority, Senior Notes, 10.38%, due 6/15/14

 

1,852,240

ñ

   

665,000

 

San Pasqual Casino Development Group, Inc., Notes, 8.00%, due 9/15/13

 

641,725

ñ

   

1,115,000

 

Shingle Springs Tribal Gaming Authority, Senior Notes, 9.38%, due 6/15/15

 

802,800

ñ

   

12,083,877

Gas Distribution (10.5%)

   

755,000

 

AmeriGas Partners L.P., Senior Unsecured Notes, 7.13%, due 5/20/16

 

724,800

 
   

770,000

 

El Paso Corp., Medium-Term Notes, 7.80%, due 8/1/31

 

706,182

 
   

1,462,000

 

Ferrellgas L.P., Senior Unsecured Notes, 6.75%, due 5/1/14

 

1,390,727

 
   

1,635,000

 

Ferrellgas Partners L.P., Senior Unsecured Notes, 8.75%, due 6/15/12

 

1,651,350

 
   

540,000

 

Ferrellgas Partners L.P., Senior Unsecured Notes, 6.75%, due 5/1/14

 

513,675

ñ

   

1,155,000

 

Ferrellgas Partners L.P., Senior Notes, 9.13%, due 10/1/17

 

1,189,650

ñ

   

985,000

 

MarkWest Energy Partners L.P., Guaranteed Notes, 6.88%, due 11/1/14

 

920,975

ñ

   

1,530,000

 

MarkWest Energy Partners L.P., Guaranteed Notes, Ser. B, 8.75%, due 4/15/18

 

1,522,350

 
   

1,190,000

 

Regency Energy Partners L.P., Guaranteed Notes, 8.38%, due 12/15/13

 

1,201,900

 
   

4,705,000

 

Sabine Pass LNG, L.P., Senior Secured Notes, 7.50%, due 11/30/16

 

4,016,894

 
   

13,838,503

Health Services (7.1%)

   

240,000

 

Columbia Healthcare Corp., Senior Unsecured Notes, 7.50%, due 12/15/23

 

193,744

 
   

380,000

 

Columbia/HCA Corp., Senior Unsecured Notes, 7.69%, due 6/15/25

 

308,581

 
   

175,000

 

Columbia/HCA Corp., Senior Unsecured Notes, 7.05%, due 12/1/27

 

132,724

 
   

450,000

 

HCA, Inc., Senior Unsecured Notes, 6.25%, due 2/15/13

 

429,750

 
   

360,000

 

HCA, Inc., Senior Unsecured Notes, 6.75%, due 7/15/13

 

344,700

 
   

945,000

 

HCA, Inc., Secured Notes, 9.13%, due 11/15/14

 

975,712

 
   

1,495,000

 

HCA, Inc., Senior Secured Notes, 8.50%, due 4/15/19

 

1,562,275

ñ

   

3,001,818

 

NMH Holdings, Inc., Senior Unsecured Floating Rate Notes, 7.42%, due 12/15/09

 

2,011,218

ñµ

   

110,000

 

Service Corp. Int'l, Senior Unsecured Notes, 7.38%, due 10/1/14

 

110,825

 
   

2,320,000

 

Service Corp. Int'l, Senior Unsecured Notes, 7.50%, due 4/1/27

 

2,070,600

 
   

1,270,000

 

Ventas Realty L.P., Guaranteed Notes, 6.50%, due 6/1/16

 

1,231,900

 
   

9,372,029

Hotels (0.2%)

   

300,000

 

Host Hotels & Resorts L.P., Guaranteed Notes, 7.13%, due 11/1/13

 

296,250

 

Machinery (0.3%)

   

360,000

 

Terex Corp., Senior Subordinated Notes, 8.00%, due 11/15/17

 

330,300

 

Media - Broadcast (4.2%)

   

1,855,000

 

Allbritton Communications Co., Senior Subordinated Notes, 7.75%, due 12/15/12

 

1,743,700

 
   

1,670,000

 

LIN Television Corp., Guaranteed Notes, Ser. B, 6.50%, due 5/15/13

 

1,461,250

 
   

1,295,837

 

Umbrella Acquisition, Inc., Guaranteed Notes, 9.75%, due 3/15/15

 

998,005

ñ

   

1,245,000

 

Univision Communications, Inc., Senior Secured Notes, 12.00%, due 7/1/14

 

1,338,375

ñ

   

5,541,330



See Notes to Schedule of Investments


September 30, 2009

Schedule of Investments Neuberger Berman High Yield Strategies Fund

(UNAUDITED)

PRINCIPAL AMOUNT($)  

 

VALUE($)†

           

Media - Cable (2.2%)

   

870,000

 

DISH DBS Corp., Senior Notes, 7.88%, due 9/1/19

 

878,700

ñ

   

1,035,000

 

UPC Holding BV, Senior Unsecured Notes, 9.88%, due 4/15/18

 

1,086,750

ñ

   

345,000

 

Videotron Ltee, Guaranteed Senior Unsecured Notes, 6.88%, due 1/15/14

 

341,550

 
   

140,000

 

Videotron Ltee, Guaranteed Notes, 9.13%, due 4/15/18

 

151,550

ñ

   

455,000

 

Videotron Ltee, Guaranteed Notes, 9.13%, due 4/15/18

 

492,538

 
   

2,951,088

Media - Services (3.4%)

   

570,000

 

Lamar Media Corp., Guaranteed Notes, 9.75%, due 4/1/14

 

617,025

 
   

685,000

 

Nielsen Finance LLC, Guaranteed Notes, 11.50%, due 5/1/16

 

719,250

 
   

935,000

 

Nielsen Finance LLC, Guaranteed Notes, Step Up, 0.00%/12.50%, due 8/1/16

 

736,313

^^

   

580,000

 

The Interpublic Group of Cos., Inc., Senior Unsecured Notes, 10.00%, due 7/15/17

 

626,400

ñ

   

750,000

 

WMG Acquisition Corp., Guaranteed Notes, 7.38%, due 4/15/14

 

718,125

 
   

1,000,000

 

WMG Acquisition Corp., Senior Secured Notes, 9.50%, due 6/15/16

 

1,055,000

ñ

   

4,472,113

Metals/Mining Excluding Steel (2.5%)

   

410,000

 

Arch Coal, Inc., Senior Guaranteed Notes, 8.75%, due 8/1/16

 

422,300

ñ

   

1,735,000

 

Arch Western Finance Corp., Senior Secured Notes, 6.75%, due 7/1/13

 

1,706,806

 
   

330,000

 

Massey Energy Co., Guaranteed Notes, 6.88%, due 12/15/13

 

318,450

 
   

695,000

 

Teck Resources Ltd., Senior Secured Notes, 10.75%, due 5/15/19

 

807,938

 
   

3,255,494

Non-Food & Drug Retailers (5.0%)

   

2,450,000

 

Blockbuster, Inc., Guaranteed Notes, 9.00%, due 9/1/12

 

1,568,000

 
   

1,775,000

 

Blockbuster, Inc., Senior Secured Notes, 11.75%, due 10/1/14

 

1,695,125

ñØ

   

670,000

 

Macy's Retail Holdings, Inc., Unsecured Guaranteed Notes, 7.00%, due 2/15/28

 

528,602

 
   

830,000

 

Macy's Retail Holdings, Inc., Senior Guaranteed Notes, 6.90%, due 4/1/29

 

654,758

 
   

445,000

 

Macy's Retail Holdings, Inc., Guaranteed Notes, 6.38%, due 3/15/37

 

350,590

 
   

1,670,000

 

Toys "R" Us Property Co. I LLC, Guaranteed Notes, 10.75%, due 7/15/17

 

1,795,250

ñ

   

6,592,325

Packaging (0.3%)

   

360,000

 

Graham Packaging Co., L.P., Guaranteed Notes, 9.88%, due 10/15/14

 

369,900

 

Printing & Publishing (1.4%)

   

325,000

 

Gannett Co., Inc., Senior Notes, 8.75%, due 11/15/14

 

317,688

ñ

   

645,000

 

Gannett Co., Inc., Senior Notes, 9.38%, due 11/15/17

 

627,262

ñ

   

960,000

 

TL Acquisitions, Inc., Senior Notes, 10.50%, due 1/15/15

 

907,200

ñ

   

1,852,150

Real Estate Dev. & Mgt. (2.5%)

   

1,305,000

 

American Real Estate Partners L.P., Senior Unsecured Notes, 8.13%, due 6/1/12

 

1,293,581

 
   

2,125,000

 

American Real Estate Partners L.P., Guaranteed Notes, 7.13%, due 2/15/13

 

2,045,313

 
   

3,338,894

Real Estate Investment Trusts (1.6%)

   

605,000

 

HCP, Inc., Senior Unsecured Medium-Term Notes, 6.30%, due 9/15/16

 

582,158

 
   

1,590,000

 

HCP, Inc., Senior Unsecured Medium-Term Notes, 6.70%, due 1/30/18

 

1,529,792

 
   

2,111,950

Restaurants (0.5%)

   

635,000

 

NPC Int'l, Inc., Guaranteed Notes, 9.50%, due 5/1/14

 

635,000

 

Software/Services (4.9%)

   

2,305,000

 

First Data Corp., Guaranteed Notes, 10.55%, due 9/24/15

 

1,959,250

 
   

1,325,000

 

Lender Processing Services, Inc., Guaranteed Notes, 8.13%, due 7/1/16

 

1,378,000

 
   

565,000

 

Sungard Data Systems, Inc., Guaranteed Notes, 10.63%, due 5/15/15

 

598,900

ñ

   

2,480,000

 

Sungard Data Systems, Inc., Guaranteed Notes, 10.25%, due 8/15/15

 

2,529,600

ØØ

   

6,465,750

Steel Producers/Products (1.4%)

   

1,835,000

 

Tube City IMS Corp., Guaranteed Notes, 9.75%, due 2/1/15

 

1,486,350

 


See Notes to Schedule of Investments


September 30, 2009

Schedule of Investments Neuberger Berman High Yield Strategies Fund

(UNAUDITED)

PRINCIPAL AMOUNT($)  

 

VALUE($)†

      
   

370,000

 

United States Steel Corp., Senior Unsecured Notes, 6.65%, due 6/1/37

 

301,786

 
   

1,788,136

Support - Services (4.5%)

   

985,000

 

Cardtronics, Inc., Guaranteed Notes, 9.25%, due 8/15/13

 

992,387

 
   

1,000,000

 

Cardtronics, Inc., Guaranteed Notes, Ser. B, 9.25%, due 8/15/13

 

1,007,500

 
   

800,000

 

Hertz Corp., Guaranteed Notes, 10.50%, due 1/1/16

 

832,000

 
   

550,000

 

Knowledge Learning Corp., Inc., Guaranteed Notes, 7.75%, due 2/1/15

 

530,750

ñ

   

1,215,000

 

United Rentals N.A., Inc., Guaranteed Notes, 7.75%, due 11/15/13

 

1,093,500

È

   

1,390,000

 

United Rentals N.A., Inc., Guaranteed Notes, 10.88%, due 6/15/16

 

1,487,300

ñ

   

5,943,437

Telecom - Integrated/Services (7.2%)

   

835,000

 

Citizens Communications Co., Senior Unsecured Notes, 6.25%, due 1/15/13

 

818,300

 
   

2,145,000

 

Citizens Communications Co., Senior Unsecured Notes, 9.00%, due 8/15/31

 

2,102,100

 
   

565,000

 

Dycom Investments, Inc., Guaranteed Notes, 8.13%, due 10/15/15

 

514,150

 
   

1,300,000

 

Intelsat Ltd., Senior Unsecured Notes, 6.50%, due 11/1/13

 

1,202,500

 
   

920,000

 

Intelsat Subsidiary Holdings Co., Ltd., Guaranteed Notes, 8.50%, due 1/15/13

 

931,500

 
   

70,000

 

Intelsat Subsidiary Holdings Co., Ltd., Guaranteed Notes, Ser. B, 8.88%, due 1/15/15

 

70,875

ñ

   

30,000

 

Intelsat Subsidiary Holdings Co., Ltd., Guaranteed Notes, 8.88%, due 1/15/15

 

30,525

 
   

410,000

 

Level 3 Financing, Inc., Guaranteed Notes, 12.25%, due 3/15/13

 

414,100

 
   

615,000

 

Level 3 Financing, Inc., Guaranteed Notes, 8.75%, due 2/15/17

 

510,450

 
   

1,202,000

 

Qwest Corp., Senior Unsecured Notes, 8.88%, due 3/15/12

 

1,265,105

 
   

480,000

 

Windstream Corp., Guaranteed Notes, 8.13%, due 8/1/13

 

493,200

 
   

475,000

 

Windstream Corp., Guaranteed Notes, 8.63%, due 8/1/16

 

485,687

 
   

660,000

 

Windstream Corp., Guaranteed Notes, 7.00%, due 3/15/19

 

617,100

 
   

9,455,592

Telecom - Wireless (8.0%)

   

475,000

 

Crown Castle Int'l Corp., Senior Unsecured Notes, 9.00%, due 1/15/15

 

497,562

 
   

1,400,000

 

MetroPCS Wireless, Inc., Guaranteed Notes, 9.25%, due 11/1/14

 

1,431,500

 
   

1,830,000

 

Nextel Communications, Inc., Guaranteed Notes, Ser. E, 6.88%, due 10/31/13

 

1,697,325

 
   

5,805,000

 

Sprint Capital Corp., Guaranteed Notes, 6.88%, due 11/15/28

 

4,847,175

 
   

1,010,000

 

Telesat Canada LLC, Senior Unsecured Notes, 11.00%, due 11/1/15

 

1,075,650

 
   

990,000

 

Telesat Canada LLC, Senior Subordinated Notes, 12.50%, due 11/1/17

 

1,054,350

 
   

10,603,562

Transportation Excluding
Air/Rail (0.6%)

   

830,000

 

ERAC USA Finance Co., Guaranteed Notes, 7.00%, due 10/15/37

 

776,971

ñ

 

Total Corporate Debt Securities (Cost $149,438,705)

 

160,588,398

 

NUMBER OF SHARES

Preferred Stocks (0.1%)

Banking (0.1%)

   

253

 

GMAC 7.00%, due 12/31/49 (Cost $50,254)

 

147,127

ñ

Short-Term Investments (9.8%)

   

4,067,888

 

Neuberger Berman Securities Lending Quality Fund, LLC

   

4,108,567

   

8,906,617

 

State Street Institutional Liquid Reserves Fund Institutional Class

   

8,906,617

ØØ

 

Total Short-Term Investments (Cost $13,015,184)

 

13,015,184

 
 

Total Investments (144.5%) (Cost $176,321,911)

190,739,261

##

 

Liabilities, less cash, receivables and other assets [(35.2%)]

 

(46,462,684)

@@

 

Liquidation Value of Perpetual Preferred Shares [(9.3%)]

 

(12,300,000)

 
 

Total Net Assets (100.0%)

$131,976,577



See Notes to Schedule of Investments


Notes to Schedule of Investments (Unaudited)

The value of investments in debt securities and interest rate swaps by Neuberger Berman High Yield Strategies Fund (the “Fund”) are determined by Neuberger Berman Management LLC (“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 considerations such as: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Management has developed a process to periodically review information provided by independent pricing services. If a valuation is not available from an independent pricing service, the Fund seeks to obtain quotations from principal market makers. If such quotations are not readily available, securities are valued using methods the Board of Trustees of the Fund has approved on the belief that they reflect fair value. Numerous factors may be considered when determining the fair value of a security, including available analyst, media or other reports, trading in futures or 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.

   
 

In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurements and Disclosures” (“ASC 820”), formerly known as Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, Fair Value Measurements, investments held by the Fund are carried at “fair value” as defined by ASC 820. Fair value is defined as the price that a 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 are used in determining the value of the Fund’s investments some of which are discussed above.

   
 

In addition, effective June 30, 2009, the Fund adopted FASB Staff position (“FSP”) No. 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP No. 157-4”). FSP No. 157-4 emphasizes that the objective of fair value measurement described in ASC 820 remains unchanged and provides additional guidance for estimating fair value in accordance with ASC 820 when the volume and level of activity for the asset or liability have significantly decreased, as well as identifying circumstances that indicate that transactions are not orderly. FSP No. 157-4 identifies factors to be considered when determining whether or not a market is inactive and indicates that if a market is determined to be inactive and/or current market prices are reflective of “ distressed sales” significant management judgment may be necessary to estimate fair value in accordance with ASC 820.

   
 

In addition to defining fair value, ASC 820 established a three-tier hierarchy of inputs to establish a classification of fair 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 significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)

Level 3 – significant 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 following is a summary, by category of Level, of inputs used to value the Fund’s investments as of September 30, 2009:




Asset Valuation Inputs
  

Description

 

Level 1   

 

Level 2

 

Level 3§    

 

Total

 

Bank Loan Obligations

                 
 

Airlines

 

$—   

 

$3,446,562

 

$—      

 

$3,446,562

 
 

Automotive

 

 

2,069,540

 

 

2,069,540

 
 

Electric - Generation

 

 

4,340,005

 

 

4,340,005

 
 

Electronics

 

 

648,722

 

 

648,722

 
 

Media - Cable

 

 

3,184,876

 

 

3,184,876

 
 

Non-Food & Drug Retailers

 

 

1,341,871

 

 

1,341,871

 
 

Software/Services

 

 

797,304

 

 

797,304

 
 

Support-Services

 

 

1,159,672

 

 

1,159,672

 

Total Bank Loan Obligations

 

 

16,988,552

 

 

16,988,552

 

Corporate Debt Securities

                 
 

Airlines

 

 

4,261,153

 

1,016,159

 

5,277,312

 
 

Auto Loans

 

 

6,009,045

 

 

6,009,045

 
 

Auto Parts & Equipment

 

 

1,487,741

 

 

1,487,741

 
 

Automotive

 

 

179,156

 

 

179,156

 
 

Banking

 

 

6,259,078

 

 

6,259,078

 
 

Building & Construction

 

 

541,750

 

 

541,750

 
 

Building Materials

 

 

2,797,103

 

 

2,797,103

 
 

Chemicals

 

 

4,750,860

 

 

4,750,860

 
 

Consumer/Commercial/Lease Financing

 

 

5,840,519

 

 

5,840,519

 
 

Diversified Capital Goods

 

 

980,156

 

 

980,156

 
 

Electric - Generation

 

 

14,258,737

 

 

14,258,737

 
 

Electric - Integrated

 

 

1,348,502

 

 

1,348,502

 
 

Electronics

 

 

978,563

 

 

978,563

 
 

Energy - Exploration & Production

 

 

4,814,350

 

 

4,814,350

 
 

Food & Drug Retailers

 

 

1,446,475

 

 

1,446,475

 
 

Forestry/Paper

 

 

1,544,400

 

 

1,544,400

 
 

Gaming

 

 

12,083,877

 

 

12,083,877

 
 

Gas Distribution

 

 

13,838,503

 

 

13,838,503

 
 

Health Services

 

 

9,372,029

 

 

9,372,029

 
 

Hotels

 

 

296,250

 

 

296,250

 
 

Machinery

 

 

330,300

 

 

330,300

 
 

Media - Broadcast

 

 

5,541,330

 

 

5,541,330

 
 

Media - Cable

 

 

2,951,088

 

 

2,951,088

 
 

Media - Services

 

 

4,472,113

 

 

4,472,113

 
 

Metals/Mining Excluding Steel

 

 

3,255,494

 

 

3,255,494

 
 

Non-Food & Drug Retailers

 

 

6,592,325

 

 

6,592,325

 
 

Packaging

 

 

369,900

 

 

369,900

 
 

Printing & Publishing

 

 

1,852,150

 

 

1,852,150

 
 

Real Estate Dev. & Mgt.

 

 

3,338,894

 

 

3,338,894

 
 

Real Estate Investment Trusts

 

 

2,111,950

 

 

2,111,950

 
 

Restaurants

 

 

635,000

 

 

635,000

 
 

Software/Services

 

 

6,465,750

 

 

6,465,750

 
 

Steel Producers/Products

 

 

1,788,136

 

 

1,788,136

 
 

Support - Services

 

 

5,943,437

 

 

5,943,437

 
 

Telecom - Integrated/Services

 

 

9,455,592

 

 

9,455,592

 
 

Telecom - Wireless

 

 

10,603,562

 

 

10,603,562

 
 

Transportation Excluding Air/Rail

 

 

776,971

 

 

776,971

 

Total Corporate Debt Securities

 

 

159,572,239

 

1,016,159

 

160,588,398

 

Preferred Stocks

                 
 

Banking

 

147,127

 

 

 

147,127

 

Short-Term Investments

 

 

13,015,184

 

 

13,015,184

 

Total Investments

 

147,127

 

189,575,975

 

1,016,159

 

190,739,261

 

Total

$

147,127

$

189,575,975

$

1,016,159

$

190,739,261

 

     

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

§ The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value:

  

Investments
in Securities

Beginning balance, as of 1/1/09

Accrued discounts/ (premiums)

Realized gain/loss and change in unrealized appreciation/ (depreciation)

Net
purchases/

(sales)

Net
transfers in and/or out
of Level 3

Balance,
as of

9/30/09

Net change in unrealized appreciation/

(depreciation)
from investments
still held as
of 9/30/09

 

 

 

 

 

     

Corporate Debt Securities

Airlines

$—

$—

$151,784

$864,375

$—

$1,016,159

$144,238

       

Preferred Stocks
Banking

63,250

83,912

(35)

(147,127)

— 

— 



 

  


  

Liability Valuation Inputs

The following is a summary, by category of Level, of the inputs used to value the Fund’s derivatives as of September 30, 2009:

   

Level 1

 

Level 2

 

Level 3

 

Total

 

Interest Rate Swap Contract

 

$—

 

$(1,313,749)

 

$—

 

$(1,313,749)

 


##

At September 30, 2009, the cost of investments for U.S. federal income tax purposes was $176,895,317. Gross unrealized appreciation of investments was $18,065,038 and gross unrealized depreciation of investments was $4,221,094, resulting in net unrealized appreciation of $13,843,944, based on cost for U.S. federal income tax purposes.

   

È

All or a portion of this security is on loan.

   

Managed by an affiliate of Neuberger Berman Management LLC and could be deemed an affiliate of the Fund and is segregated in connection with obligations for security lending.

   

Ñ

Restricted security subject to restrictions on resale under federal securities laws. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers under Rule 144A under the Securities Act of 1933, as amended, and have been deemed by the investment manager to be liquid. At September 30, 2009, these securities amounted to $45,825,745 or 34.7% of net assets applicable to common shareholders.

   

^^

Denotes a step-up bond: a zero coupon bond that converts to a fixed rate of interest at a designated future date.

   

µ

Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at its rate as of September 30, 2009.

   

ØØ

All or a portion of this security is segregated in connection with obligations for interest rate swap contracts and delayed delivery purchase commitments.

   

@@

At September 30, 2009, the Fund had outstanding interest rate swap contracts as follows:



     

Rate Type

   

Swap

Counter

Party

Notional Amount

Termination Date

Fixed-rate Payments Made by
the Fund

Variable-rate Payments Received by the Fund(1)

Accrued Net Interest Receivable

(Payable)

Unrealized Appreciation(Depreciation)

Total Fair  Value 

         

Citibank, N.A.

$45,000,000

January 28, 2011  

2.92%    

0.25%      

$(10,027)   

        $(1,303,722)    

$(1,313,749)


(1)     30 day LIBOR (London Interbank Offered Rate) at September 25, 2009.

Ø

All or a portion of this security was purchased on a when-issued basis. At September 30, 2009, these securities amounted to $2,459,563 or 1.9% of net assets.




^

All or a portion of this security was purchased on a delayed delivery basis. As of September 30, 2009, the value of the Fund’s unfunded loan commitments was $1,251,373, pursuant to the following loan agreements:



 

Borrower

Principal Amount

Value

     

Ford Motor Co., Term Loan B, 5.24%, due 12/16/13

$632,570

$560,761

     

United Airlines, Inc., Term Loan B, 2.48%, due 2/1/14

939,608

690,612

For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder 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 Investment Company Act of 1940, as amended (“1940 Act”)) as of a date within 90 days of the filing date of this document, the Chief Executive Officer and 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-CSR and 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
  

By:

/s/ Robert Conti  
 

Robert Conti

 
 

Chief Executive Officer

 

  

   

Date:

November 20, 2009

 


  
  
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

 

  

   

Date:

November 20, 2009

 


  

  

By:

/s/ John M. McGovern     
 

John M. McGovern

 
 

Treasurer and Principal Financial
and Accounting Officer

 

  

   

Date:

November 20, 2009