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CHICAGO--([ BUSINESS WIRE ])--Fitch Ratings has affirmed the 'AAA' rating assigned to the following note issued by Pyxis Credit Strategies Fund (NYSE: HCF), a leveraged multi-strategy credit closed-end fund advised by Pyxis Capital, LP:

--$120,000,000 of floating-rate series A secured note due April 16, 2015.

KEY RATING DRIVERS

The affirmation follows Fitch's annual review of HCF and reflects:

--Sufficient asset coverage relative to Fitch's published criteria;
--The structural protections afforded by mandatory de-leveraging provisions in the event of asset coverage declines;
--The legal and regulatory parameters that govern the fund's operations;
--The capabilities of Pyxis Capital, LP as the investment advisor.

Fitch's ratings on the notes speak only to timely repayment of interest and principal in accordance with the governing documents and not to potential liquidity in the secondary market.

LEVERAGE

As of April 5, 2012, the fund's total assets were approximately $616 million. The fund's total leverage was approximately $148 million or 24% of total assets, consisting of $120 million of rated notes and a $28 million drawn amount from a $125 million revolving credit facility with State Street Bank and Trust Company (State Street). The rated notes are secured pari passu with the State Street facility. The State Street facility was extended on Jan. 31, 2012 and is renewable on a yearly basis, subject to certain conditions.

ASSET COVERAGE

As of April 5, 2012, the fund's asset coverage ratios, as calculated in accordance with the Fitch total and net overcollateralization tests (Fitch OC tests) per the 'AAA' rating guidelines outlined in Fitch's applicable criteria, were in excess of 100%, which is the minimum asset coverage amount deemed consistent with an 'AAA' rating. These tests serve as minimum asset coverage covenants required by the fund's governing documents. Should the asset coverage for the notes decline below 100%, the governing documents require the fund to restore compliance within 25 business days.

Additionally, the fund's asset coverage ratio for debt, as calculated in accordance with the Investment Company Act of 1940, was in excess of 300%, which is also a minimum asset coverage required by the fund's governing documents.

FUND PROFILE

Pyxis Credit Strategies Fund (formerly, Highland Credit Strategies Fund) fund is a non-diversified, closed-end management investment company, registered under the Investment Company Act of 1940, as amended, that commenced investment operations in June 2006. The fund's primary investment objectives are to provide both current income and capital appreciation. The fund pursues its objectives by investing primarily in secured and unsecured floating- and fixed-rate loans, bonds and other debt obligations, debt obligations of stressed, distressed and bankrupt issuers, structured products, including but not limited to, mortgage-backed and other asset-backed securities, collateralized debt obligations and pharmaceutical royalty payment bonds.

FUND ADVISOR

Pyxis Capital, LP (Pyxis) is the fund's investment adviser, responsible for implementing and administering HCF's investment strategy. As of March 31, 2012, Pyxis managed approximately $3 billion. On Jan. 9, 2012, Pyxis was formed as a spin-off from Highland Capital Management, LP and is an investment adviser registered with the Securities and Exchange Commission.

RATING SENSITIVITY

The rating may be sensitive to material changes in the credit quality or market risk profiles of the fund. A material adverse deviation from Fitch guidelines for any key rating driver could cause the rating to be lowered by Fitch. For additional information about Fitch closed-end fund ratings guidelines, please review the criteria referenced below, which can be found on Fitch's website.

Additional information is available at [ www.fitchratings.com ]. Please review and approve the minor attached edits. If there are no additional changes then this can go right to being submitted for business approval

The sources of information used to assess this rating were the public domain and Pyxis Capital, LP.

Applicable Criteria and Related Research:
--'Rating Closed-End Fund Debt and Preferred Stock' (Aug. 16, 2011);
--'Closed-End Funds: Derivatives Under Review (Increased Use and Limited Transparency Are Key Considerations)' (Nov. 16, 2011);
--'2012 Outlook: Closed-End Fund Leverage' (Dec. 19, 2011).

Applicable Criteria and Related Research:
Rating Closed-End Fund Debt and Preferred Stock
[ http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=648840 ]
Closed-End Funds: Derivatives Under Review (Increased Use and Limited Transparency Are Key Considerations)
[ http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656591 ]
2012 Outlook: Closed-End Fund Leverage
[ http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=660709 ]

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