Nuveen Floating Rate Income Opportunity Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

  

811-21579

Nuveen Floating Rate Income Opportunity Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

Registrant’s telephone number, including area code:    (312) 917-7700                        

Date of fiscal year end:    July 31                                

Date of reporting period:    July 31, 2017                   

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.


ITEM 1. REPORTS TO STOCKHOLDERS.


     LOGO
Closed-End Funds   

 

     Nuveen
     Closed-End Funds

 

 

 

 

       

 

 

Annual Report  July 31, 2017

 

     
           
NSL            
Nuveen Senior Income Fund  
           
JFR            
Nuveen Floating Rate Income Fund  
           
JRO            
Nuveen Floating Rate Income Opportunity Fund  
           
JSD            
Nuveen Short Duration Credit Opportunities Fund  
           
JQC            
Nuveen Credit Strategies Income Fund  

 


 

 

     

 

           
 

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LOGO


Table

of Contents

 

Chairman’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     9  

Common Share Information

     11  

Risk Considerations

     13  

Performance Overview and Holding Summaries

     16  

Shareholder Meeting Report

     26  

Report of Independent Registered Public Accounting Firm

     27  

Portfolios of Investments

     28  

Statement of Assets and Liabilities

     81  

Statement of Operations

     82  

Statement of Changes in Net Assets

     83  

Statement of Cash Flows

     86  

Financial Highlights

     88  

Notes to Financial Statements

     96  

Additional Fund Information

     115  

Glossary of Terms Used in this Report

     116  

Reinvest Automatically, Easily and Conveniently

     117  

Annual Investment Management Agreement Approval Process

     118  

Board Members & Officers

     125  

 

NUVEEN     3  


Chairman’s Letter

to Shareholders

 

LOGO

Dear Shareholders,

Some of the key assumptions driving the markets higher at the beginning of 2017 have recently come into question. Following the collapse of the health care reform bill in the Senate, investors are concerned about President Trump’s ability to accomplish the remainder of his pro-growth fiscal agenda, including tax reform and large infrastructure projects. Economic growth projections, in turn, have been lowered and with inflation recently waning, the markets are expecting fewer rate hikes from the Federal Reserve (Fed) than the Fed itself had predicted. Yet, asset prices continued to rise.

Investors have largely looked beyond policy disappointments and focused instead on the healthy profits reported by U.S. companies during the first two quarters of 2017. U.S. growth has remained slow and steady, European growth has surprised to the upside and concern that China would decelerate too rapidly has eased, further contributing to an optimistic tone in the markets. Additionally, political risk in Europe has moderated, with the election of mainstream candidates in the Dutch and French elections earlier this year.

The remainder of the year could bring challenges to this benign macro environment. The U.S. government voted to temporarily increase the nation’s debt limit, but the debate will resume again in December when the current extension of the debt limit expires. In addition, the need for disaster relief and recovery following Hurricanes Harvey and Irma has further muddied the outlook on the White House’s promised agenda. Markets will be watching the “Brexit” negotiations and the North American Free Trade Agreement (NAFTA) talks while assessing the implications for key trade and political partnerships. A tightening of financial conditions in China or a more aggressive-than-expected policy action from the Fed, European Central Bank or Bank of Japan could also turn into headwinds. On the geopolitical front, tensions with North Korea may continue to flare.

Market volatility readings have been remarkably low lately, but conditions can change quickly. As market conditions evolve, Nuveen remains committed to rigorously assessing opportunities and risks. If you’re concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

William J. Schneider

Chairman of the Board

September 20, 2017

 

 

  4     NUVEEN


Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

The Funds’ investment portfolios are managed by Symphony Asset Management, LLC (Symphony), an affiliate of Nuveen, LLC. Gunther Stein, who serves as the firm’s Chief Investment Officer and Chief Executive Officer, and Scott Caraher manage NSL, JFR and JRO. JSD is managed by Gunther, Scott and Jenny Rhee, while JQC is managed by Gunther and Sutanto Widjaja.

Here the team discusses U.S. economy and market conditions, their management strategies and the performance of the Funds for the twelve-month reporting period ended July 31, 2017.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended July 31, 2017?

During the twelve-month reporting period, the U.S. economy continued to grow moderately, now ranking the current expansion as the third-longest since World War II, according to the National Bureau of Economic Research. The second half of 2016 saw a short-term boost in economic activity, driven by a one-time jump in exports during the third quarter, but the economy resumed a below-trend pace in the fourth quarter of 2016 and first quarter of 2017. The Bureau of Economic Analysis reported an annual growth rate of 3.0% for the U.S. economy in the second quarter of 2017, as measured by the “second” estimate of real gross domestic product (GDP), which is the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. Growth in the second quarter was boosted by stronger consumer spending and business investment, which helped offset weaker government spending. By comparison, the annual GDP growth rate in the first quarter of 2017 was 1.2%.

 

 

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy or sell securities, and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

 

NUVEEN     5  


Portfolio Managers’ Comments (continued)

 

Despite the slowdown in early 2017, other data pointed to positive momentum. The labor market continued to tighten, inflation ticked higher, and consumer and business confidence surveys reflected optimism about the economy’s prospects. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.3% in July 2017 from 4.9% in July 2016 and job gains averaged around 181,000 per month for the past twelve months. Higher oil prices helped drive a steady increase in inflation over this reporting period. The Consumer Price Index (CPI) increased 1.7% over the twelve-month reporting period ended July 31, 2017 on a seasonally adjusted basis, as reported by the Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 1.7% during the same period, slightly below the Federal Reserve’s (Fed) unofficial longer term inflation objective of 2.0%. The housing market also continued to improve, with historically low mortgage rates and low inventory driving home prices higher. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.8% annual gain in June 2017 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 4.9% and 5.7%, respectively.

The U.S. economic outlook struck a more optimistic tone, prompting the Fed’s policy making committee to raise its main benchmark interest rate in December 2016, March 2017 and June 2017. These moves were widely expected by the markets and, while the Fed acknowledged in its June 2017 statement that inflation has remained unexpectedly low, an additional increase is anticipated later in 2017 as the Fed seeks to gradually “normalize” interest rates. Also after the June 2017 meeting, the Fed revealed its plan to begin shrinking its balance sheets by allowing a small amount of maturing Treasury and mortgage securities to roll off without reinvestment. The timing of this is less certain, however, as it depends on whether the economy performs in line with the Fed’s expectations. As expected, the Fed left rates unchanged at its July 2017 meeting.

Politics also dominated the headlines in this reporting period with two major electoral surprises: the U.K.’s vote to leave the European Union and Donald Trump’s win in the U.S. presidential race. Market volatility increased as markets digested the initial shocks, but generally recovered and, in the case of the “Trump rally,” U.S. equities saw significant gains. Investors also closely watched elections across Europe. To the markets’ relief, more mainstream candidates were elected in the Dutch and French elections in the spring of 2017. However, Britain’s June 2017 snap election unexpectedly overturned the Conservative Party’s majority in Parliament, which increased uncertainties about the Brexit negotiation process. Additionally, in the U.S., legislative delays with health care reform dimmed the prospects for President Trump’s tax cuts and other fiscal stimulus, while investors braced for a showdown in Congress over increasing the nation’s debt limit. Toward the end of the reporting period, escalating tensions between the U.S. and North Korea led to some near-term volatility in global equity shares to the benefit of perceived safe-haven assets such as gold, U.S. Treasury bonds and Japanese yen.

During the reporting period, the loan market benefited from increased investor demand as the Fed initiated a series of interest rate hikes increasing short-term interest rates. Technicals continue to be supportive of the asset class and the outlook for loans remains constructive with default rates anticipated to remain well below their historical averages and fundamentals continue to be supportive as any additional increases to the U.S. Funds rate should provide a positive credit spread to investors. The broad leveraged loan market, as represented by the Credit Suisse Leveraged Loan Index, produced returns of 6.83% for the twelve-month reporting period.

What strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2017?

NSL seeks is to achieve a high level of current income, consistent with capital preservation by investing primarily in adjustable rate U.S dollar-denominated secured Senior Loans. The Fund invests at least 80% of its managed assets in adjustable rate senior secured loans. Up to 20% may include U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities and equity securities and warrants. The Fund uses leverage.

 

  6     NUVEEN


JFR seeks is to achieve a high level of current income by investing in adjustable rate secured and unsecured senior loans and other debt instruments. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily senior loans, though the loans may include unsecured senior loans and secured and unsecured subordinated loans. At least 65% the Fund’s managed assets must include adjustable rate senior loans that are secured by specific collateral. The Fund uses leverage.

JRO seeks is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily senior loans, though the loans may include unsecured senior loans and secured and unsecured subordinated loans. At least 65% of the Fund’s managed assets must include adjustable rate senior loans that are secured by specific collateral. The Fund uses leverage.

JSD seeks to provide current income and the potential for capital appreciation. The Fund invests at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. Up to 30% of the Fund’s assets may include other types of debt instruments or short positions consisting primarily of high yield debt. The Fund maintains a portfolio with an average duration that does not exceed two years. The Fund uses leverage.

JQC’s primary investment objective is high current income and its secondary objective is total return. The Fund invests at least 70% of its managed assets in adjustable rate senior secured and second lien loans, and up to 30% opportunistically in other types of securities across a company’s capital structure, primarily income-oriented securities such as high yield debt, convertible securities and other forms of corporate debt. The Fund uses leverage.

 

How did the Funds perform during this twelve-month reporting period ended July 31, 2017?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the one-year, five-year, ten-year and/or since inception periods ended July 31, 2017. Each Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index. For the twelve-month reporting period ended July 31, 2017, NSL, JFR, JRO, JSD and JQC outperformed the Credit Suisse Leveraged Loan Index.

Across all five Funds, our top and bottom performing individual security positions and industry groups were relatively similar. As a result, for NSL, JFR, JRO, JSD and JQC, the majority of sectors contributed positively to absolute performance, with the exception of the financials sector, which detracted modestly in JQC. The telecommunication services sector, information technology and consumer discretionary sectors were the strongest contributors to absolute performance.

Specific holdings that contributed to performance included the corporate bonds of consumer discretionary holding Scientific Games Corporation. The leading provider of gaming and lottery systems rallied on the combination of high yield market momentum, modest operating gains and the company’s buyback of unsecured debt. We believe the company will benefit further from its corporate restructuring and continue to own the bonds. Also positively contributing were the bonds of telecommunication services holdings IntelSat Limited and Sprint Capital Corporation. The satellite company IntelSat strongly benefitted returns as the company’s bonds rose on the announcement of a merger with a peer company. While the news was viewed as positive, the debt remains trading at distressed levels. Lastly, the high yield bonds of Sprint performed well during the reporting period as investors aversion to riskier assets abated.

Several individual positions detracted from performance, including the loans of consumer discretionary holding, Cengage Learning Acquisitions, Inc. The loans of the textbook publishing company hurt performance, as the firm took leverage up earlier in 2017, and then posted weaker than expected numbers which was not well received by the market. Also detracting from performance were the loans of consumer discretionary holding Gymboree Corporation. The loans of the retail company weighed on returns as poor execution by management led to weakened earnings results

 

NUVEEN     7  


Portfolio Managers’ Comments (continued)

 

announced during the reporting period. With the exception of JQC, all the other Funds continue to hold the loans of Gymboree. In addition, the loans of consumer discretionary sector holding Academy Ltd. detracted from performance. The loans were downgraded during the reporting period based on its inability to reverse its 2016 earnings declines in the near term, resulting in continued high leverage and diminished free cash flow generation. All the Funds continue to hold the loans of Academy Ltd. In JQC, a position in the consumer discretionary sector holding, Clear Channel Communication Inc., detracted from performance. While the company has performed well and given its first quarter announcement, it is now pursuing a consensual exchange with creditors in an attempt to deleverage its balance sheet and focus on improving operating margins.

In addition, the use of regulatory leverage positively contributed to the performance of these Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

JQC maintained exposure to senior loans during the reporting period, while tactically allocating between high yield corporate bonds, equity securities and convertible bonds. Exposure consisted of mainly U.S. issuers and was focused on companies that, in general, had high levels of tangible assets, predictable revenue streams, significant market share within their respective industries and positive free cash flow.

JSD and JQC invested in credit default swaps. JSD invested in single name credit default swap, while JQC invested in high yield index credit default swaps. These contracts had a positive effect on performance for JQC and a negligible effect on performance for JSD during the reporting period.

All of these Funds have owned, or currently own, loans with the LIBOR floor feature. This feature provided for minimum coupon levels on loans during a time when short term interest rates, which serve as a basis for a loan’s floating coupon rate, fell to historic lows in the years following the financial crisis. The floating-rate coupon on most senior loans is reset frequently (typically every three months) based on a short-term interest rate (usually 90-day U.S. LIBOR) plus a fixed spread. For example if the current short-term interest rate is 150 basis points (bp) (1.5%), and the spread is 400 bp, the resulting coupon will be 5.5%. LIBOR floors, as the name suggests, put a “floor” on the short term interest rate used in this calculation. For instance, in the previous example, if the loan has a 100 bp LIBOR floor the coupon will remain at 5%, even at times when short-term rates are below 100 bp. The coupon will once again begin to float at times when short-term rates are above 100 bp. Although many loans have LIBOR floors (the asset class is one of the few that will float when interest rates begin to rise), we believe the senior loan asset class provides fixed income oriented investors with a potential safeguard from a secular rise in interest rates.

 

  8     NUVEEN


Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds relative to their benchmarks was the Funds’ use of leverage through the use of bank borrowings, Variable Rate Term Preferred (VRTP) Shares for NSL, JFR and JRO, Term Preferred Shares (Term Preferred) for NSL, JFR, JRO and JSD and reverse repurchase agreements for JQC. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share NAV and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by a Fund generally are rising. The Funds’ use of leverage had a positive impact on performance during this reporting period.

NSL, JFR, JRO and JSD used interest rate swap contracts to partially hedge the interest cost of leverage, which as mentioned previously, is through bank borrowings and preferred shares. Collectively, these interest rate swap contracts contributed to overall Fund performance during the period.

As of July 31, 2017, the Funds’ percentages of leverage are shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    36.85        36.37        36.10        36.96        35.81

Regulatory Leverage*

    36.85        36.37        36.10        36.96        30.72
* Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ LEVERAGE

Bank Borrowings

As noted above, the Funds employ leverage through the use of bank borrowings. The Funds’ bank borrowing activities are as shown in the accompanying table.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 

Fund

 

August 1, 2016

   

Draws

   

Paydowns

   

July 31, 2017

   

Average Balance
Outstanding

          

Draws

   

Paydowns

   

September 29, 2017

 

NSL

  $ 101,000,000     $ 28,000,000     $ (15,000,000   $ 114,000,000     $ 108,484,932             $     —     $     —     $ 114,000,000  

JFR

  $ 240,800,000     $ 103,100,000     $ (89,600,000   $ 254,300,000     $ 268,223,288             $     $     $ 254,300,000  

JRO

  $ 166,800,000     $ 74,800,000     $ (62,800,000   $ 178,800,000     $ 183,432,877             $     $     $ 178,800,000  

JSD

  $ 64,000,000     $ 8,000,000     $     $ 72,000,000     $ 67,002,740             $     $     $ 72,000,000  

JQC

  $ 561,000,000     $     $     $ 561,000,000     $ 561,000,000             $     $     $ 561,000,000  

Refer to Notes to Financial Statements, Note 9 – Fund Leverage for further details.

 

NUVEEN     9  


Fund Leverage (continued)

 

Reverse Repurchase Agreements

As noted previously, in addition to bank borrowings, JQC also utilized reverse repurchase agreements. The Fund’s transactions in reverse repurchase agreements are as shown in the accompanying table.

 

Current Reporting Period             Subsequent to the Close of
the Reporting Period
 
August 1, 2016      Purchases      Sales      July 31, 2017      Average Balance
Outstanding
             Purchases      Sales      September 29, 2017  
  $145,000,000        $    —        $    —        $145,000,000        $145,000,000                 $    —        $    —        $145,000,000  

Refer to Notes to Financial Statements, Note 9 – Fund Leverage, Reverse Repurchase Agreements for further details.

Variable Rate Term Preferred Shares

As noted previously, in addition to bank borrowings, NSL, JFR and JRO also issued VRTP Shares. The Funds’ transactions in VRTP Shares are as shown in the accompanying table.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund  

August 1, 2016

   

Issuance

   

Redemptions

   

July 31, 2017

   

Average Balance
Outstanding

          

Issuance

   

Redemptions

   

September 29, 2017

 

NSL

  $ 45,000,000     $     —     $ (45,000,000   $     —     $ 45,000,000           $     —     $     —     $     —  

JFR

  $ 108,000,000     $     $ (108,000,000   $     $ 102,090,141 **            $     $     $  

JRO

  $ 75,000,000     $     $ (75,000,000   $     $ 68,380,000 ***            $     $     $  
* For the period August 1, 2016 through November 22, 2016.
** For the period August 1, 2016 through December 20, 2016.
*** For the period August 1, 2016 through December 28, 2016.

During the current reporting period, NSL, JFR and JRO redeemed all of their outstanding VRTP Shares, respectively.

Refer to Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details on VRTP Shares.

Term Preferred Shares

As noted previously, in addition to bank borrowings, the Funds also issued Term Preferred. The Funds’ transactions in Term Preferred are as shown in the accompanying table.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   August 1, 2016     Issuance     Redemptions     July 31, 2017     Average Balance
Outstanding
           Issuance     Redemptions     September 29, 2017  

NSL

  $     $ 43,000,000     $     $ 43,000,000     $ 43,000,000           $     $     $ 43,000,000  

JFR

  $     $ 125,200,000     $     $ 125,200,000     $ 91,972,908 **            $     $     $ 125,200,000  

JRO

  $     $ 84,000,000     $     $ 84,000,000     $ 66,896,414 **            $     $     $ 84,000,000  

JSD

  $ 35,000,000     $     $     —     $ 35,000,000     $ 35,000,000             $     —     $     —     $ 35,000,000  
* For the period October 31, 2016 (first issuance of shares) through July 31, 2017.
** For the period November 23, 2016 (first issuance of shares) through July 31, 2017.

During the current reporting period, NSL, JFR and JRO each refinanced a portion of their VRTP Shares with the issuance of Term Preferred.

Refer to Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details on Term Preferred.

 

  10     NUVEEN


Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2017. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investment value changes.

During the current reporting period, each Fund’s distributions to common shareholders were as shown in the accompanying table.

 

    Per Common Share Amounts  
Monthly Distribution (Ex-Dividend Date)   NSL        JFR        JRO        JSD        JQC  

August 2016

  $ 0.0360        $ 0.0615        $ 0.0645        $ 0.0970        $ 0.0515  

September

    0.0375          0.0640          0.0670          0.1000          0.0515  

October

    0.0375          0.0640          0.0670          0.1000          0.0515  

November

    0.0375          0.0640          0.0670          0.1000          0.0515  

December

    0.0395          0.0675          0.0705          0.1060          0.0525  

January

    0.0395          0.0675          0.0705          0.1060          0.0525  

February

    0.0395          0.0675          0.0705          0.1060          0.0525  

March

    0.0395          0.0675          0.0705          0.1060          0.0525  

April

    0.0395          0.0675          0.0705          0.1060          0.0525  

May

    0.0395          0.0675          0.0705          0.1060          0.0525  

June

    0.0395          0.0675          0.0705          0.1060          0.0525  

July 2017

    0.0395          0.0675          0.0705          0.1060          0.0525  

Total Distributions from Net Investment Income

  $ 0.4645        $ 0.7935        $ 0.8295        $ 1.2450        $ 0.6260  
                                                     

Current Distribution Rate*

    6.94        6.85        7.13        7.17        7.25
* Current distribution rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price as of the end of the reporting period. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the fiscal year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes.

Each Fund in this report seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.

As of July 31, 2017, the Funds had positive UNII balances for tax purposes. NSL had positive UNII balances while JFR, JRO, JSD and JQC had negative UNII balances for financial reporting purposes.

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

 

NUVEEN     11  


Common Share Information (continued)

 

COMMON SHARE EQUITY SHELF PROGRAMS

During the current reporting period, the following Funds were authorized by the Securities and Exchange Commission (SEC) to issue additional common shares through an equity shelf program (Shelf Offering). Under these programs, the Funds, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price at or above each Fund’s NAV per common share. Under the Shelf Offerings, each Fund is authorized to issue additional common shares as shown in the accompanying table:

 

     NSL        JFR        JRO        JSD  

Additional authorized common shares

    8,800,000          12,900,000          8,500,000          1,000,000  

During the current reporting period, the following Funds sold common shares through their Shelf Offering at a weighted average premium to their NAV per common share as shown in the accompanying table.

 

     JFR        JRO        JSD  

Common shares sold through Shelf Offering

    1,274,890          1,280,410          362  

Weighted average premium to NAV per common share sold

    1.62        2.17        1.34

Refer to Notes to Financial Statements, Note 4 – Fund Shares, Common Shares Equity Shelf Programs and Offering Costs for further details of Shelf Offerings and each Fund’s respective transactions.

COMMON SHARE REPURCHASES

During August 2017 (subsequent to the close of the reporting period), the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of July 31, 2017, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

    5,000          147,593          19,400          0          4,804,500  

Common shares authorized for repurchase

    3,860,000          5,515,000          3,850,000          1,010,000          13,575,000  

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

OTHER COMMON SHARE INFORMATION

As of July 31, 2017, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $6.97          $11.76          $11.70          $18.07          $9.32  

Common share price

    $6.83          $11.83          $11.87          $17.75          $8.69  

Premium/(Discount) to NAV

    (2.01 )%         0.60        1.45        (1.77 )%         (6.76 )% 

12-month average premium/(discount) to NAV

    (3.17 )%         (1.49 )%         0.18        (3.58 )%         (7.63 )% 

 

  12     NUVEEN


Risk

Considerations

 

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.

Nuveen Senior Income Fund (NSL)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as interest rate risk are described in more detail on the Fund’s web page at www.nuveen.com/NSL.

Nuveen Floating Rate Income Fund (JFR)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as interest rate risk are described in more detail on the Fund’s web page at www.nuveen.com/JFR.

Nuveen Floating Rate Income Opportunity Fund (JRO)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as interest rate risk are described in more detail on the Fund’s web page at www.nuveen.com/JRO.

Nuveen Short Duration Credit Opportunities Fund (JSD)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as interest rate risk are described in more detail on the Fund’s web page at www.nuveen.com/JSD.

 

NUVEEN     13  


Risk Considerations (continued)

 

Nuveen Credit Strategies Income Fund (JQC)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. Common stock prices have often experienced significant volatility. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as interest rate risk are described in more detail on the Fund’s web page at www.nuveen.com/JQC.

 

  14     NUVEEN


THIS PAGE INTENTIONALLY LEFT BLANK

 

NUVEEN     15  


NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2017

 

Refer to Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of July 31, 2017

 

       Average Annual  
        1-Year        5-Year        10-Year  
NSL at Common Share NAV        10.22%          6.36%          6.04%  
NSL at Common Share Price        17.00%          5.67%          6.10%  
Credit Suisse Leveraged Loan Index        6.83%          4.79%          4.60%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  16     NUVEEN


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     133.2%  
Common Stocks     2.1%  
$25 Par (or similar) Retail Preferred     0.0%  
Corporate Bonds     19.5%  
Warrants     0.0%  
Investment Companies     4.7%  
Other Assets Less Liabilities     (1.4)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     158.1%  
Borrowings     (42.4)%  
Term Preferred Shares, net of deferred offering costs     (15.7)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term
investments)

 

IntelSat Limited

    3.6%  
Dell International LLC     3.2%  
Albertson’s LLC     2.9%  
iHeartCommunications, Inc.     2.7%  
Sprint Corporation     2.5%  

Portfolio Composition

(% of total investments)

 

Media     11.1%  
Software     8.8%  
Diversified Telecommunication Services     8.2%  
Technology Hardware, Storage & Peripherals     5.7%  
Hotels, Restaurants & Leisure     5.4%  
Health Care Providers & Services     4.1%  
Food & Staples Retailing     3.5%  
Wireless Telecommunication Services     3.5%  
Oil, Gas & Consumable Fuels     3.0%  
Health Care Equipment & Supplies     2.5%  
Food Products     2.3%  
Diversified Consumer Services     2.3%  
Commercial Services & Supplies     2.2%  
Equity Real Estate Investment Trusts     2.0%  
Aerospace & Defense     2.0%  
Trading Companies & Distributors     2.0%  
Pharmaceuticals     1.7%  
Communications Equipment     1.7%  
Airlines     1.5%  
Semiconductors & Semiconductor Equipment     1.4%  
Internet Software & Services     1.4%  
Insurance     1.3%  
Other     19.5%  
Investment Companies     2.9%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     12.8%  
BB or Lower     85.9%  
N/R (not rated)     1.3%  

Total

    100%  
 

 

 

NUVEEN     17  


JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2017

 

Refer to Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of July 31, 2017

 

       Average Annual  
        1-Year        5-Year        10-Year  
JFR at Common Share NAV        10.76%          6.61%          6.02%  
JFR at Common Share Price        18.63%          7.26%          6.69%  
Credit Suisse Leveraged Loan Index        6.83%          4.79%          4.60%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  18     NUVEEN


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     122.7%  
Common Stocks     1.4%  
$25 Par (or similar) Retail Preferred     0.0%  
Convertible Bonds     0.0%  
Corporate Bonds     21.7%  
Asset-Backed Securities     2.7%  
Long-Term Investment Companies     1.8%  
Warrants     0.0%  

Short-Term Investment Companies

    7.9%  
Other Assets Less Liabilities     (1.2)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     157.0%  
Borrowings     (38.3)%  
Term Preferred Shares, net of deferred offering costs     (18.7)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Limited     3.1%  
Albertson’s LLC     2.8%  
Dell International LLC     2.7%  
Sprint Corporation     2.5%  
iHeartCommunications, Inc.     2.4%  

Portfolio Composition

(% of total investments)

 

Media     10.6%  
Software     7.8%  
Diversified Telecommunication Services     7.6%  
Technology Hardware, Storage & Peripherals     5.8%  
Hotels, Restaurants & Leisure     5.2%  
Wireless Telecommunication Services     3.9%  
Health Care Providers & Services     3.7%  
Food & Staples Retailing     3.5%  
Food Products     2.5%  
Oil, Gas & Consumable Fuels     2.4%  
Diversified Consumer Services     2.3%  
Equity Real Estate Investment Trusts     2.2%  
Commercial Services & Supplies     2.1%  
Trading Companies & Distributors     1.7%  
Multiline Retail     1.7%  
Health Care Equipment & Supplies     1.6%  
Pharmaceuticals     1.6%  
Communications Equipment     1.6%  
Aerospace & Defense     1.5%  
Semiconductors & Semiconductor Equipment     1.3%  
Automobiles     1.3%  
Internet Software & Services     1.2%  
Other     19.1%  
Asset-Backed Securities     1.7%  
Investment Companies     6.1%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     12.2%  
BB or Lower     86.3%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

 

NUVEEN     19  


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2017

 

Refer to Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of July 31, 2017

 

       Average Annual  
        1-Year        5-Year        10-Year  
JRO at Common Share NAV        11.06%          6.93%          6.58%  
JRO at Common Share Price        18.92%          7.11%          7.22%  
Credit Suisse Leveraged Loan Index        6.83%          4.79%          4.60%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  20     NUVEEN


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     123.6%  
Common Stocks     1.8%  
$25 Par (or similar) Retail Preferred     0.0%  
Convertible Bonds     0.0%  
Corporate Bonds     21.6%  
Asset-Backed Securities     2.0%  
Warrants     0.0%  

Investment Companies

    8.2%  
Other Assets Less Liabilities     (1.0)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     156.2%  
Borrowings     (38.4)%  
Term Preferred Shares, net of deferred offering costs     (17.8)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Limited     3.5%  
Dell International LLC     2.8%  
iHeartCommunications, Inc.     2.8%  
Albertson’s LLC     2.4%  
Sprint Corporation     2.3%  

Portfolio Composition

(% of total investments)

 

Media     10.9%  
Software     8.6%  
Diversified Telecommunication Services     8.1%  
Technology Hardware, Storage & Peripherals     5.6%  
Hotels, Restaurants & Leisure     5.2%  
Wireless Telecommunication Services     3.5%  
Health Care Providers & Services     3.2%  
Food & Staples Retailing     3.1%  
Oil, Gas & Consumable Fuels     2.8%  
Food Products     2.6%  
Commercial Services & Supplies     2.4%  
Equity Real Estate Investment Trusts     2.2%  
Diversified Consumer Services     2.2%  
Health Care Equipment & Supplies     1.7%  
Communications Equipment     1.7%  
Multiline Retail     1.7%  
Aerospace & Defense     1.6%  
Trading Companies & Distributors     1.5%  
Internet Software & Services     1.5%  
Automobiles     1.5%  
Pharmaceuticals     1.4%  
Diversified Financial Services     1.4%  
Other     19.1%  
Asset-Backed Securities     1.3%  
Investment Companies     5.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     12.0%  
BB or Lower     86.2%  
N/R (not rated)     1.8%  

Total

    100%  
 

 

 

NUVEEN     21  


JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2017

 

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of July 31, 2017

 

       Average Annual  
        1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV        10.68%          6.10%          6.61%  
JSD at Common Share Price        17.91%          6.15%          5.95%  
Credit Suisse Leveraged Loan Index        6.83%          4.79%          4.52%  

Since inception returns are from May 25, 2011. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  22     NUVEEN


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     133.4%  
Common Stocks     1.1%  
Corporate Bonds     20.8%  
Warrants     0.0%  
Investment Companies     3.4%  
Other Assets Less Liabilities     (0.4)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     158.3%  
Borrowings     (39.5)%  
Term Preferred Shares, net of deferred offering costs     (18.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Limited     3.9%  
Albertson’s LLC     3.1%  
iHeartCommunications, Inc.     2.9%  
Sprint Corporation     2.6%  
Western Digital Corporation     2.5%  

Portfolio Composition

(% of total investments)

 

Media     9.5%  
Software     9.0%  
Diversified Telecommunication Services     8.6%  
Technology Hardware, Storage & Peripherals     5.3%  
Health Care Providers & Services     4.8%  
Hotels, Restaurants & Leisure     4.8%  
Food & Staples Retailing     4.0%  
Oil, Gas & Consumable Fuels     3.2%  
Wireless Telecommunication Services     3.1%  
Commercial Services & Supplies     2.5%  
Communications Equipment     2.4%  
Health Care Equipment & Supplies     2.2%  
Aerospace & Defense     2.0%  
Pharmaceuticals     2.0%  
Electric Utilities     1.9%  
Equity Real Estate Investment Trusts     1.9%  
Consumer Finance     1.9%  
Internet Software & Services     1.8%  
Food Products     1.7%  
Trading Companies & Distributors     1.6%  
Airlines     1.4%  
Semiconductors & Semiconductor Equipment     1.3%  
IT Services     1.3%  
Other     19.6%  
Investment Companies     2.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.7%  
BB or Lower     89.1%  
N/R (not rated)     1.2%  

Total

    100%  
 

 

NUVEEN     23  


JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2017

 

Refer to Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of July 31, 2017

 

       Average Annual  
        1-Year        5-Year        10-Year  
JQC at Common Share NAV        7.70%          6.08%          4.02%  
JQC at Common Share Price        10.75%          5.95%          5.20%  
Credit Suisse Leveraged Loan Index        6.83%          4.79%          4.60%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  24     NUVEEN


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     113.8%  
Common Stocks     0.5%  
Exchange-Traded Funds     7.8%  
Corporate Bonds     28.8%  
Investment Companies     6.3%  
Other Assets Less Liabilities     (1.4)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     155.8%  
Borrowings     (44.3)%  
Reverse Repurchase Agreements     (11.5)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term
investments)

 

PowerShares Senior Loan Portfolio     3.1%  
Sprint Corporation     2.8%  
First Data Corporation     2.4%  
Scientific Games Corporation     2.2%  
Ziggo B.V.     2.2%  

Portfolio Composition

(% of total investments)

 

Software     9.7%  
Media     9.0%  
Diversified Telecommunication Services     8.3%  
Hotels, Restaurants & Leisure     6.0%  
Wireless Telecommunication Services     3.9%  
Health Care Providers & Services     3.8%  
Equity Real Estate Investment Trusts     3.2%  
Technology Hardware, Storage & Peripherals     3.0%  
Diversified Consumer Services     3.1%  
Chemicals     2.9%  
Airlines     2.9%  
Health Care Equipment & Supplies     2.5%  
Consumer Finance     2.3%  
Specialty Retail     2.3%  
Internet Software & Services     2.2%  
Food Products     2.1%  
Pharmaceuticals     2.1%  
Oil, Gas & Consumable Fuels     2.0%  
Other     19.8%  
Exchange-Traded Funds     4.9%  
Investment Companies     4.0%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     12.5%  
BB or Lower     86.4%  
N/R (not rated)     1.1%  

Total

    100%  
 

 

NUVEEN     25  


Shareholder

Meeting Report

 

The annual meeting of shareholders was held in the offices of Nuveen on April 6, 2017 for NSL, JFR, JRO, JSD and JQC; at this meeting the shareholders were asked to elect Board Members.

 

     NSL     JFR     JRO     JSD     JQC  
     Common and
Preferred
shares voting
together
as a class
    Preferred
Shares
    Common and
Preferred
shares voting
together
as a class
    Preferred
Shares
    Common and
Preferred
shares voting
together
as a class
    Preferred
Shares
    Common and
Preferred
shares voting
together
as a class
    Preferred
Shares
    Common
Shares
 

Approval of the Board Members was reached as follows:

                 

William Adams IV

                 

For

    31,573,356             48,292,465             34,117,158             8,939,440             106,009,900  

Withhold

    1,262,816             942,775             747,224             184,458             1,769,764  

Total

    32,836,172             49,235,240             34,864,382             9,123,898             107,779,664  

William C. Hunter

                 

For

          20,977             37,279             56,116             24,758        

Withhold

          1,383             379                                

Total

          22,360             37,658             56,116             24,758        

David J. Kundert

                 

For

    31,113,695             47,921,437             33,591,094             8,951,602             105,905,673  

Withhold

    1,722,477             1,313,803             1,273,288             172,296             1,873,991  

Total

    32,836,172             49,235,240             34,864,382             9,123,898             107,779,664  

John K. Nelson

                 

For

    31,591,165             48,304,847             34,210,065             8,945,085             106,009,861  

Withhold

    1,245,007             930,393             654,317             178,813             1,769,803  

Total

    32,836,172             49,235,240             34,864,382             9,123,898             107,779,664  

William J. Schneider

                 

For

          20,977             37,279             56,116             24,758        

Withhold

          1,383             379                                

Total

          22,360             37,658             56,116             24,758        

Terence J. Toth

                 

For

    31,590,767             48,291,451             34,212,754             8,947,332             106,020,624  

Withhold

    1,245,405             943,789             651,628             176,566             1,759,040  

Total

    32,836,172             49,235,240             34,864,382             9,123,898             107,779,664  

 

  26     NUVEEN


Report of

Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund, and Nuveen Credit Strategies Income Fund (the “Funds”) as of July 31, 2017, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented through July 31, 2014 were audited by other auditors whose reports dated September 25, 2014 expressed an unqualified opinion on those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2017, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of July 31, 2017, the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Chicago, Illinois

September 29, 2017

 

NUVEEN     27  


NSL

 

Nuveen Senior Income Fund

  

Portfolio of Investments

   July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
 

LONG-TERM INVESTMENTS – 154.8% (97.1% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 133.2% (83.5% of Total Investments) (4)

 

      Aerospace & Defense – 3.1% (2.0% of Total Investments)  
$ 4,160    

Sequa Corporation, Term Loan, First Lien

    6.814%        11/28/21        B–      $ 4,202,877  
  1,432    

Sequa Corporation, Term Loan, Second Lien

    10.314%        4/26/22        CCC        1,467,991  
  495    

Transdigm, Inc., Extend Term Loan F

    4.234%        6/07/23        Ba2        498,146  
  1,957    

Transdigm, Inc., Term Loan E, First Lien

    4.255%        5/14/22        Ba2        1,968,417  
  323    

Transdigm, Inc., Tranche C Term Loan

    4.285%        2/28/20        Ba2        324,993  
  8,367    

Total Aerospace & Defense

                               8,462,424  
      Air Freight & Logistics – 0.9% (0.6% of Total Investments)  
  442    

Americold Realty Operating Partnership, Term Loan B

    4.984%        12/01/22        BB        448,500  
  872    

PAE Holding Corporation, Term Loan B

    6.734%        10/20/22        B+        881,756  
  1,083    

XPO Logistics, Inc., Refinanced Term Loan

    3.554%        11/01/21        Ba1        1,088,653  
  2,397    

Total Air Freight & Logistics

                               2,418,909  
      Airlines – 2.4% (1.5% of Total Investments)  
  1,433    

American Airlines, Inc., Replacement Term Loan

    3.233%        6/27/20        BB+        1,437,311  
  1,960    

American Airlines, Inc., Replacement Term Loan

    3.226%        10/10/21        BB+        1,966,399  
  2,922    

American Airlines, Inc., Term Loan B

    3.726%        12/14/23        BB+        2,941,106  
  6,315    

Total Airlines

                               6,344,816  
      Auto Components – 0.8% (0.5% of Total Investments)  
  750    

DexKo Global, Inc., Term Loan, First Lien

    5.313%        7/13/24        B1        760,313  
  424    

Horizon Global Corporation, Term Loan B

    5.734%        6/30/21        B+        428,603  
  1,000    

Superior Industries International, Inc., Term Loan B

    5.787%        6/14/24        B1        1,007,500  
  2,174    

Total Auto Components

                               2,196,416  
      Automobiles – 1.9% (1.2% of Total Investments)  
  1,430    

Chrysler Group LLC, Term Loan

    3.230%        12/31/18        BBB–        1,440,175  
  3,776    

Formula One Group, Term Loan B, (DD1)

    4.504%        2/01/24        B        3,800,130  
  5,206    

Total Automobiles

                               5,240,305  
      Building Products – 0.7% (0.5% of Total Investments)  
  1,990    

Quikrete Holdings, Inc., Term Loan B

    3.984%        11/15/23        BB–        1,999,612  
      Capital Markets – 0.4% (0.2% of Total Investments)  
  1,000    

RPI Finance Trust, Term Loan B6

    3.296%        3/27/23        Baa2        1,006,250  
      Chemicals – 1.8% (1.1% of Total Investments)  
  328    

Ineos US Finance LLC, New 2022 Dollar Term Loan

    4.007%        3/31/22        Ba2        330,491  
  366    

Ineos US Finance LLC, New 2024 Dollar Term Loan

    4.007%        4/01/24        Ba2        369,199  
  1,595    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        1,616,899  
  741    

OM Group, Inc., Term Loan B, First Lien

    6.296%        2/21/24        B        751,753  
  1,643    

Univar, Inc., Term Loan B

    3.984%        7/01/22        BB        1,654,129  
  4,673    

Total Chemicals

                               4,722,471  
      Commercial Services & Supplies – 3.6% (2.2% of Total Investments)  
  130    

Education Management LLC, Tranche A, Term Loan, (5)

    5.804%        7/02/20        N/R        59,158  
  248    

Education Management LLC, Tranche B, Term Loan, (5)

    8.804%        7/02/20        N/R        5,267  
  746    

Fort Dearborn Holding Company, Inc., Term Loan, First Lien

    5.298%        10/19/23        B2        749,515  
  2,249    

iQor US, Inc., Term Loan, First Lien

    6.299%        4/01/21        B        2,243,115  
  250    

iQor US, Inc., Term Loan, Second Lien

    10.049%        4/01/22        CCC+        241,875  
  777    

KAR Auction Services, Inc., Term Loan B5

    3.813%        3/09/23        Ba2        782,998  
  1,737    

Monitronics International, Inc., Term Loan B2, First Lien

    6.796%        9/30/22        B2        1,759,489  

 

  28     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 1,318    

Protection One, Inc., Term Loan

    3.984%        5/02/22        BB–      $ 1,326,923  
  1,535    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.984%        4/28/21        B–        1,446,307  
  988    

Universal Services of America, Initial Term Loan, First Lien

    5.046%        7/28/22        B+        990,897  
  9,978    

Total Commercial Services & Supplies

                               9,605,544  
      Communications Equipment – 2.6% (1.6% of Total Investments)  
  1,020    

Avaya, Inc., DIP Term Loan

    8.729%        1/24/18        Baa3        1,050,743  
  3,162    

Avaya, Inc., Term Loan B3, (5)

    6.460%        10/26/17        N/R        2,584,712  
  326    

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        N/R        266,270  
  1,120    

Avaya, Inc., Term Loan B7, (5)

    6.460%        5/29/20        N/R        919,723  
  794    

Colorado Buyer, Inc., Term Loan, First Lien

    4.170%        5/01/24        Ba3        802,388  
  365    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.420%        5/01/25        B3        370,659  
  966    

Riverbed Technology, Inc., Term Loan B, First Lien

    4.490%        4/24/22        B+        954,438  
  7,753    

Total Communications Equipment

                               6,948,933  
      Consumer Finance – 2.0% (1.3% of Total Investments)  
  4,022    

First Data Corporation, Term Loan B

    3.727%        4/26/24        BB        4,049,229  
  1,374    

First Data Corporation, Term Loan, First Lien

    3.477%        7/10/22        BB        1,379,936  
  5,396    

Total Consumer Finance

                               5,429,165  
      Containers & Packaging – 0.6% (0.3% of Total Investments)  
  744    

Berry Plastics Holding Corporation, Term Loan I

    3.730%        10/01/22        BB        748,228  
  748    

Reynolds Group Holdings, Inc., Term Loan, First Lien

    4.234%        2/05/23        B+        752,287  
  1,492    

Total Containers & Packaging

                               1,500,515  
      Diversified Consumer Services – 3.5% (2.2% of Total Investments)  
  3,537    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.474%        6/07/23        B+        3,352,245  
  2,792    

Hilton Hotels Corporation, Term Loan B2

    3.232%        10/25/23        BBB–        2,808,572  
  2,058    

Houghton Mifflin, Term Loan B, First Lien

    4.234%        5/28/21        B+        1,998,025  
  1,247    

Laureate Education, Inc., New Term Loan

    5.734%        4/20/24        B        1,264,020  
  9,634    

Total Diversified Consumer Services

                               9,422,862  
      Diversified Financial Services – 1.8% (1.1% of Total Investments)  
  587    

Freedom Mortgage Corporation, Initial Term Loan

    6.862%        2/23/22        BB–        596,720  
  1,086    

MGM Growth Properties, Term Loan B

    3.484%        4/25/23        BB+        1,091,958  
  949    

MJ Acquisition Corp., Term Loan, First Lien

    4.211%        6/01/22        B+        957,716  
  2,069    

Veritas US, Inc., Term Loan B1

    5.796%        1/27/23        B+        2,096,960  
  4,691    

Total Diversified Financial Services

                               4,743,354  
      Diversified Telecommunication Services – 9.7% (6.1% of Total Investments)  
  4,000    

CenturyLink, Inc., Term Loan B

    2.750%        1/31/25        BBB–        3,951,560  
  744    

DTI Holdings, Inc., Term Loan B, First Lien

    6.561%        10/02/23        B        728,557  
  3,808    

Frontier Communications Corporation, Term Loan B

    4.980%        1/14/20        BB        3,669,284  
  2,488    

Greeneden U.S. Holdings II LLC, Term Loan B

    5.007%        12/01/23        B2        2,509,278  
  6,084    

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    4.000%        6/30/19        B1        6,076,736  
  1,675    

Level 3 Financing, Inc., Tranche B, Term Loan

    3.479%        2/22/24        BBB–        1,684,159  
  2,394    

WideOpenWest Finance LLC, Term Loan B

    4.452%        8/18/23        B        2,398,915  
  5,000    

Ziggo B.V., Term Loan E

    3.726%        4/15/25        BB–        5,013,075  
  26,193    

Total Diversified Telecommunication Services

                               26,031,564  
      Electric Utilities – 1.8% (1.1% of Total Investments)  
  459    

EFS Cogen Holdings LLC, Term Loan B

    4.800%        6/28/23        BB        464,137  
  1,747    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.233%        7/02/18        BB        1,761,614  
  479    

Helix Generation, Term Loan B

    4.960%        3/10/24        BB        484,526  
  1,620    

Vistra Operations Co., Term Loan B

    3.982%        8/04/23        BB+        1,628,231  
  371    

Vistra Operations Co., Term Loan C

    3.977%        8/04/23        Ba2        373,217  
  4,676    

Total Electric Utilities

                               4,711,725  

 

NUVEEN     29  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electrical Equipment – 0.3% (0.2% of Total Investments)  
$ 899    

Zebra Technologies Corporation, Term Loan B

    3.314%        10/24/21        BB      $ 903,576  
      Electronic Equipment, Instruments & Components – 0.9% (0.5% of Total Investments)  
  988    

SMART Modular Technologies, Inc., Term Loan

    9.250%        8/26/19        B        985,453  
  1,399    

TTM Technologies, Inc., New Term Loan

    5.484%        5/31/21        BB–        1,422,090  
  2,387    

Total Electronic Equipment, Instruments & Components

                               2,407,543  
      Energy Equipment & Services – 0.5% (0.3% of Total Investments)  
  343    

Dynamic Energy Services International LLC, Term Loan

    14.679%        3/06/18        N/R        120,044  
  1,615    

Ocean Rigs, Inc., Term Loan B1, (5)

    8.250%        3/31/21        CCC–        1,130,441  
  1,958    

Total Energy Equipment & Services

                               1,250,485  
      Equity Real Estate Investment Trusts – 2.9% (1.8% of Total Investments)                
  3,135    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.234%        10/24/22        BB–        3,145,872  
  1,001    

Realogy Group LLC, Term Loan B

    3.484%        7/20/22        BB+        1,007,791  
  4,019    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.984%        12/18/20        Caa1        3,703,444  
  8,155    

Total Equity Real Estate Investment Trusts

                               7,857,107  
      Food & Staples Retailing – 5.6% (3.5% of Total Investments)                
  10,405    

Albertson’s LLC, Term Loan B4

    3.984%        8/25/21        BB        10,394,990  
  1,511    

Albertson’s LLC, Term Loan B6

    4.251%        6/22/23        BB        1,512,029  
  999    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien

    4.968%        2/03/24        B–        979,974  
  1,375    

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

    5.115%        6/21/21        BB–        1,384,453  
  746    

Save-A-Lot, Term Loan B

    7.234%        12/05/23        B        735,523  
  54    

Supervalu, Inc., Delayed Draw, Term Loan B

    4.734%        6/02/24        BB–        53,786  
  90    

Supervalu, Inc., Term Loan B

    4.734%        6/02/24        BB–        89,644  
  15,180    

Total Food & Staples Retailing

                               15,150,399  
      Food Products – 3.7% (2.3% of Total Investments)                           
  625    

American Seafoods Group LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB–        627,738  
  970    

Hearthside Group Holdings LLC, Term Loan B

    4.234%        6/02/21        B1        975,456  
  2,291    

Jacobs Douwe Egberts, Term Loan B

    3.438%        7/02/22        BB        2,305,557  
  676    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    2.750%        3/03/21        BBB–        676,880  
  498    

Pinnacle Foods Finance LLC, Term Loan B

    3.227%        2/02/24        BB+        500,395  
  4,869    

US Foods, Inc., New Term Loan B

    3.990%        6/27/23        BB        4,911,820  
  9,929    

Total Food Products

                               9,997,846  
      Health Care Equipment & Supplies – 2.5% (1.6% of Total Investments)                
  955    

Acelity, Term Loan B

    4.546%        2/02/24        B1        959,598  
  570    

Ardent Medical Services, Inc., Term Loan B, First Lien

    6.796%        8/04/21        B1        573,848  
  436    

ConvaTec, Inc., Term Loan B

    3.796%        10/25/23        BB        438,665  
  886    

Greatbatch, Inc., Term Loan B

    4.730%        10/27/22        B        891,449  
  3,016    

Onex Carestream Finance LP, Term Loan, First Lien

    5.275%        6/07/19        B+        3,018,647  
  973    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.796%        12/09/19        B–        955,826  
  6,836    

Total Health Care Equipment & Supplies

                               6,838,033  
      Health Care Providers & Services – 4.9% (3.1% of Total Investments)                
  1,500    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.228%        4/28/22        B        1,493,445  
  369    

Community Health Systems, Inc., Term Loan G

    3.979%        12/31/19        BB–        369,463  
  741    

Community Health Systems, Inc., Term Loan H

    4.213%        1/27/21        BB–        740,588  
  2,255    

DaVita HealthCare Partners, Inc., Tranche B, Term Loan

    3.984%        6/24/21        BBB–        2,281,202  
  1,126    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.300%        12/01/23        BB–        1,134,553  
  764    

Healogics, Inc., Term Loan, First Lien

    5.320%        7/01/21        B2        612,342  
  1,523    

Heartland Dental Care, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        B2        1,528,250  
  500    

Heartland Dental Care, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC        507,500  
  1,927    

Millennium Laboratories, Inc., Term Loan B, First Lien

    7.734%        12/21/20        CCC+        1,171,969  
  909    

MultiPlan, Inc., Term Loan B

    4.296%        6/07/23        B+        916,950  
  201    

Quorum Health Corp., Term Loan B

    7.984%        4/29/22        B2        201,470  
  1,695    

Select Medical Corporation, Tranche B, Term Loan

    4.810%        3/06/24        Ba2        1,724,422  
  440    

Vizient, Inc., New Term Loan B

    4.734%        2/13/23        B+        445,975  
  13,950    

Total Health Care Providers & Services

                               13,128,129  

 

  30     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Technology – 1.5% (1.0% of Total Investments)  
$ 1,134    

Catalent Pharma Solutions, Inc., Term Loan B

    3.984%        5/20/21        BB      $ 1,143,744  
  2,993    

Emdeon, Inc., Term Loan

    3.984%        3/01/24        Ba3        3,013,448  
  4,127    

Total Health Care Technology

                               4,157,192  
      Hotels, Restaurants & Leisure – 6.8% (4.3% of Total Investments)  
  3,999    

Burger King Corporation, Term Loan B3

    3.508%        2/16/24        Ba3        4,001,884  
  1,250    

Caesars Entertainment Operating Company, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        1,257,619  
  1,930    

CCM Merger, Inc., Term Loan B

    3.984%        8/09/21        BB–        1,940,339  
  2,201    

CityCenter Holdings LLC, Term Loan B

    3.732%        4/18/24        BB–        2,212,918  
  1,277    

Intrawest Resorts Holdings, Inc., Term Loan B1, (WI/DD)

    TBD        TBD        B        1,285,796  
  675    

Intrawest Resorts Holdings, Inc., Term Loan B2, (WI/DD)

    TBD        TBD        B        679,016  
  1,470    

Life Time Fitness, Inc., Term Loan B

    4.234%        6/10/22        BB–        1,480,771  
  2,884    

Scientific Games Corporation, Term Loan B4, (WI/DD)

    TBD        TBD        Ba3        2,869,451  
  895    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    4.296%        4/01/24        BB–        900,027  
  1,735    

Station Casino LLC, Term Loan B

    3.730%        6/08/23        BB        1,740,488  
  18,316    

Total Hotels, Restaurants & Leisure

                               18,368,309  
      Household Products – 0.5% (0.3% of Total Investments)  
  1,087    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.734%        11/16/20        B1        986,048  
  317    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.773%        11/08/23        B1        318,078  
  1,404    

Total Household Products

                               1,304,126  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)  
  593    

Dynegy, Inc., Tranche Term Loan C1

    4.484%        2/07/24        BB        596,530  
      Industrial Conglomerates – 1.2% (0.7% of Total Investments)  
  1,923    

Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien

    5.507%        6/16/24        B        1,941,359  
  1,197    

Foresight Energy LLC, Term Loan, First Lien

    7.046%        3/28/22        B        1,158,475  
  3,120    

Total Industrial Conglomerates

                               3,099,834  
      Insurance – 2.0% (1.3% of Total Investments)  
  499    

Acrisure LLC, Term Loan, First Lien

    6.296%        11/22/23        B        506,231  
  2,293    

Alliant Holdings I LLC, Term Loan B

    4.564%        8/14/22        B        2,303,453  
  2,649    

Hub International Holdings, Inc., Initial Term Loan

    4.422%        10/02/20        B+        2,670,840  
  5,441    

Total Insurance

                               5,480,524  
      Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)  
  1,431    

Travelport LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB        1,433,996  
      Internet Software & Services – 2.1% (1.4% of Total Investments)  
  990    

Ancestry.com, Inc., Term Loan, First Lien

    4.480%        10/19/23        B1        1,000,365  
  450    

Ancestry.com, Inc., Term Loan B, Second Lien

    9.480%        10/19/24        CCC+        461,250  
  1,247    

Rackspace Hosting, Inc., Term Loan B

    4.172%        11/03/23        BB+        1,256,538  
  1,114    

Sabre, Inc., New Term Loan B

    3.984%        2/22/24        Ba2        1,124,618  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    9.484%        4/28/22        CCC        920,582  
  750    

TierPoint LLC, Term Loan, First Lien

    4.984%        5/05/24        B+        754,530  
  250    

TierPoint LLC, Term Loan, Second Lien

    8.484%        5/05/25        CCC+        255,938  
  5,910    

Total Internet Software & Services

                               5,773,821  
      IT Services – 1.8% (1.1% of Total Investments)  
  639    

Engility Corporation, Repriced Term Loan B2

    5.019%        8/14/23        BB–        647,614  
  703    

Gartner, Inc., Term Loan A

    3.234%        3/21/22        BB+        706,597  
  499    

Gartner, Inc., Term Loan B

    3.234%        4/05/24        BB+        503,117  
  197    

Mitchell International, Inc., Initial Term Loan B, First Lien

    4.811%        10/13/20        B1        198,280  
  500    

PEAK 10, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B        502,918  
  280    

PEAK 10, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        285,425  
  1,250    

Tempo Acquisition LLC, Term Loan B

    4.227%        5/01/24        B1        1,261,719  
  743    

WEX, Inc., Term Loan B

    3.984%        7/01/23        BB–        751,677  
  4,811    

Total IT Services

                               4,857,347  

 

NUVEEN     31  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Leisure Products – 1.3% (0.8% of Total Investments)                       
$ 1,034    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.046%        5/28/21        Ba3      $ 1,033,114  
  1,270    

Academy, Ltd., Term Loan B

    5.242%        7/01/22        B2        1,002,456  
  1,006    

Equinox Holdings, Inc., Term Loan, First Lien

    4.484%        3/08/24        B+        1,015,609  
  498    

Four Seasons Holdings, Inc., Term Loan B

    3.734%        11/30/23        BB        502,281  
  3,808    

Total Leisure Products

                               3,553,460  
      Life Sciences Tools & Services – 0.5% (0.3% of Total Investments)                       
  390    

Inventiv Health, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB+        393,015  
  973    

Patheon, Inc., New Term Loan, First Lien

    4.504%        4/22/24        B        976,512  
  1,363    

Total Life Sciences Tools & Services

                               1,369,527  
      Machinery – 0.5% (0.3% of Total Investments)                           
  846    

Gates Global LLC, Initial Dollar Term Loan B1

    4.546%        4/01/24        B+        854,089  
  416    

Rexnord LLC, Term Loan B, First Lien

    4.046%        8/21/23        BB–        418,171  
  1,262    

Total Machinery

                               1,272,260  
      Marine – 0.2% (0.2% of Total Investments)                           
  703    

American Commercial Lines LLC, Term Loan B, First Lien

    9.984%        11/12/20        B–        612,893  
      Media – 13.2% (8.3% of Total Investments)                           
  1,264    

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.546%        7/23/21        B1        1,239,597  
  104    

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.796%        7/25/22        CCC+        99,075  
  998    

Affinion Group Holdings, Inc., Term Loan, First Lien

    8.935%        5/10/22        B2        1,003,425  
  1,433    

Catalina Marketing Corporation, Term Loan, First Lien

    4.734%        4/09/21        B1        1,172,265  
  1,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.984%        4/11/22        Caa1        565,835  
  3,456    

Cequel Communications LLC, Term Loan B

    3.483%        7/28/25        BB–        3,453,734  
  2,963    

Charter Communications Operating Holdings LLC, Term Loan I, First Lien

    3.484%        1/15/24        BBB–        2,985,963  
  2,500    

Clear Channel Communications, Inc., Tranche D, Term Loan

    7.984%        1/30/19        Caa1        2,029,863  
  2,111    

Clear Channel Communications, Inc., Term Loan E

    8.734%        7/30/19        Caa1        1,709,221  
  5,555    

Cumulus Media, Inc., Term Loan B

    4.490%        12/23/20        Caa1        4,481,509  
  1,289    

Emerald Expositions Holdings, Inc., Term Loan B

    4.296%        5/17/24        BB        1,308,616  
  1,283    

Getty Images, Inc., Term Loan B, First Lien

    4.796%        10/18/19        B3        1,198,781  
  445    

Gray Television, Inc., Term Loan B2

    3.551%        2/07/24        BB        448,101  
  970    

IMG Worldwide, Inc., Term Loan, First Lien

    4.490%        5/06/21        B+        978,425  
  588    

Lions Gate Entertainment Corporation, Term Loan B

    4.234%        12/08/23        Ba2        594,477  
  833    

LSC Communications, Term Loan

    7.234%        9/30/22        Ba3        841,667  
  1,485    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.234%        5/02/22        Ba3        1,468,984  
  250    

Nexstar Broadcasting Group, Term Loan, (DD1)

    3.732%        1/17/24        BB+        252,356  
  2,045    

Nexstar Broadcasting Group, Term Loan B, (DD1)

    3.738%        1/17/24        Ba3        2,065,145  
  1,469    

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.796%        8/14/20        B        1,476,485  
  3,740    

Univision Communications, Inc., Term Loan C5

    3.984%        3/15/24        BB–        3,731,268  
  1,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.976%        1/31/25        BB–        1,006,380  
  992    

WMG Acquisition Corporation, Term Loan, First Lien

    3.727%        11/01/23        Ba3        996,574  
  160    

Yell Group PLC, PIK Term Loan B2, First Lien

    8.500%        9/07/65        N/R        350,682  
  168    

Yell Group PLC, Term Loan A2, First Lien

    8.182%        9/07/21        N/R        174,548  
  38,101    

Total Media

                               35,632,976  
      Metals & Mining – 1.5% (0.9% of Total Investments)                           
  875    

CanAm Construction, Inc., Term Loan B

    6.799%        6/29/24        B        870,625  
  1,265    

Fairmount Minerals, Ltd., Term Loan B1, First Lien

    4.796%        9/05/19        Caa1        1,184,462  
  844    

Fairmount Minerals, Ltd., Term Loan B2, First Lien

    4.796%        9/05/19        B–        794,656  
  1,111    

Zekelman Industries, Term Loan B

    4.789%        6/14/21        BB–        1,119,311  
  4,095    

Total Metals & Mining

                               3,969,054  
      Multiline Retail – 1.4% (0.9% of Total Investments)                           
  750    

Bass Pro Group LLC, Sale Facility, Term Loan, First Lien

    6.046%        6/08/18        B+        753,986  
  859    

Bass Pro Group LLC, Term Loan B, First Lien

    4.474%        6/05/20        B+        859,274  
  897    

Belk, Inc., Term Loan B, First Lien

    6.054%        12/12/22        B        750,507  

 

  32     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Multiline Retail (continued)                           
$ 830    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–      $ 843,143  
  691    

Hudson’s Bay Company, Term Loan B, First Lien

    4.546%        9/30/22        BB        660,788  
  4,027    

Total Multiline Retail

                               3,867,698  
      Oil, Gas & Consumable Fuels – 3.4% (2.1% of Total Investments)  
  750    

California Resources Corporation, Term Loan, (DD1)

    11.601%        12/31/21        B        810,375  
  430    

California Resources Corporation, Term Loan A, First Lien

    4.234%        9/24/19        B1        413,084  
  328    

Crestwood Holdings LLC, Term Loan B

    9.228%        6/19/19        B–        324,980  
  120    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        45,116  
  2,164    

Fieldwood Energy LLC, Term Loan, First Lien, (DD1)

    4.171%        10/01/18        B2        2,090,523  
  953    

Fieldwood Energy LLC, Term Loan, First Lien

    8.296%        8/31/20        B2        911,283  
  493    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        CCC–        288,828  
  818    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        B–        659,910  
  1,731    

Harvey Gulf International Marine, Inc., Term Loan B

    5.750%        6/18/20        CCC–        728,591  
  1,485    

Peabody Energy Corporation, Term Loan B

    5.734%        3/31/22        Ba3        1,502,453  
  1,813    

Seadrill Partners LLC, Initial Term Loan

    4.296%        2/21/21        CCC+        1,247,690  
  26    

Southcross Holdings Borrower L.P., Term Loan B, First Lien

    3.500%        4/13/23        CCC+        23,099  
  11,111    

Total Oil, Gas & Consumable Fuels

                               9,045,932  
      Pharmaceuticals – 2.7% (1.7% of Total Investments)  
  1,367    

Concordia Healthcare Corporation, Term Loan B, First Lien, (DD1)

    5.501%        10/21/21        CCC+        1,019,592  
  2,993    

Grifols, Inc., Term Loan B

    3.444%        1/31/25        BB        3,011,981  
  3,239    

Pharmaceutical Product Development, Inc., Term Loan, First Lien

    4.017%        8/18/22        Ba3        3,264,605  
  71    

Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan

    5.980%        4/01/22        BB–        72,356  
  7,670    

Total Pharmaceuticals

                               7,368,534  
      Professional Services – 0.9% (0.6% of Total Investments)  
  1,150    

Ceridian Corporation, Term Loan B2

    4.734%        9/15/20        Ba3        1,151,535  
  1,275    

Nielsen Finance LLC, Term Loan B4

    3.224%        10/04/23        BBB–        1,279,206  
  2,425    

Total Professional Services

                               2,430,741  
      Real Estate Management & Development – 0.7% (0.5% of Total Investments)  
  1,861    

Capital Automotive LP, Term Loan, Second Lien

    7.240%        3/24/25        B3        1,899,847  
      Road & Rail – 0.4% (0.2% of Total Investments)  
  985    

Quality Distribution, Incremental Term Loan, First Lien

    6.796%        8/18/22        B2        954,219  
      Semiconductors & Semiconductor Equipment – 2.0% (1.2% of Total Investments)  
  729    

Cypress Semiconductor Corp, Term Loan B, (DD1)

    3.980%        7/19/21        BB        734,182  
  708    

Lumileds, Term Loan, First Lien

    5.796%        3/17/24        Ba3        719,291  
  990    

Micron Technology, Inc., New Term Loan B

    3.800%        4/26/22        Baa2        1,000,524  
  1,106    

Microsemi Corporation, Term Loan B

    3.553%        1/17/23        BB        1,111,482  
  1,702    

On Semiconductor Corp., New Term Loan B

    3.484%        3/31/23        Ba1        1,710,872  
  5,235    

Total Semiconductors & Semiconductor Equipment

                               5,276,351  
      Software – 12.3% (7.7% of Total Investments)  
  1,155    

Blackboard, Inc., Term Loan B4

    6.304%        6/30/21        B+        1,150,035  
  2,086    

BMC Software, Inc., Initial Term Loan B1, (DD1)

    5.234%        9/10/22        B+        2,103,889  
  622    

Computer Sciences Government Services, Term Loan B

    3.296%        11/30/23        BB+        624,000  
  2,376    

Compuware Corporation, Term Loan B2, First Lien

    5.550%        12/15/21        B        2,390,530  
  602    

Compuware Corporation, Term Loan, Second Lien

    9.550%        12/15/22        B–        609,933  
  1,696    

Ellucian, Term Loan B, First Lien

    4.546%        9/30/22        B        1,701,644  
  4,816    

Infor (US), Inc., Term Loan B

    4.046%        2/01/22        B1        4,825,636  
  1,481    

Informatica Corp., Term Loan B

    4.796%        8/05/22        B        1,488,616  
  995    

Kronos Incorporated, Term Loan, First Lien

    4.680%        11/01/23        B        1,008,071  
  645    

Micro Focus International PLC, New Term Loan

    3.979%        6/21/24        BB–        646,403  
  4,355    

Micro Focus International PLC, Term Loan B

    4.030%        4/21/24        BB–        4,365,322  
  1,892    

Micro Focus International PLC, Term Loan B2

    3.811%        11/19/21        BB–        1,895,665  
  1,105    

Misys, New Term Loan, Second Lien

    8.459%        4/28/25        CCC+        1,137,766  

 

NUVEEN     33  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 1,842    

Misys, New Term Loan, First Lien

    4.736%        6/13/24        B      $ 1,858,672  
  995    

RP Crown Parent LLC, Term Loan B, First Lien

    4.734%        10/12/23        B1        1,008,373  
  1,196    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1

    3.484%        7/08/22        BB+        1,204,955  
  68    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2

    3.484%        7/08/22        BB+        68,242  
  3,690    

Tibco Software, Inc., Term Loan, First Lien

    4.730%        12/04/20        B        3,718,912  
  372    

Vertafore, Inc., Term Loan, First Lien

    4.546%        6/30/23        B        374,746  
  968    

Vertiv Co., New Term Loan B

    5.234%        11/30/23        Ba3        978,259  
  32,957    

Total Software

                               33,159,669  
      Specialty Retail – 1.1% (0.7% of Total Investments)                           
  1,096    

Gardner Denver, Inc., Term Loan

    4.546%        7/30/20        B+        1,103,093  
  1,467    

Petco Animal Supplies, Inc., Term Loan B1

    4.311%        1/26/23        B1        1,333,174  
  409    

Petsmart Inc., Term Loan B, First Lien

    4.230%        3/11/22        Ba3        387,719  
  2,972    

Total Specialty Retail

                               2,823,986  
      Technology Hardware, Storage & Peripherals – 8.1% (5.1% of Total Investments)                
  652    

Conduent, Inc., Term Loan B

    5.234%        12/07/23        BB+        661,115  
  7,307    

Dell International LLC, New Term Loan B

    3.740%        9/07/23        BBB–        7,358,902  
  3,850    

Dell International LLC, Term Loan A2, First Lien

    3.490%        9/07/21        BBB–        3,864,438  
  2,000    

Dell International LLC, Term Loan A3, First Lien

    3.240%        12/31/18        BBB–        2,003,750  
  972    

Dell Software Group, Term Loan B

    7.257%        10/31/22        B1        990,192  
  6,945    

Western Digital, Inc., New Term Loan B

    3.983%        4/29/23        BBB–        7,006,599  
  21,726    

Total Technology Hardware, Storage & Peripherals

                               21,884,996  
      Textiles, Apparel & Luxury Goods – 0.2% (0.1% of Total Investments)                
  107    

Gymboree Corporation, DIP Term Loan

    5.000%        12/12/17        N/R        39,344  
  53    

Gymboree Corporation, DIP Term Loan, (16)

    13.226%        12/12/17        D        53,302  
  1,064    

Gymboree Corporation, Term Loan, (5)

    3.500%        2/23/18        N/R        392,735  
  1,224    

Total Textiles, Apparel & Luxury Goods

                               485,381  
      Trading Companies & Distributors – 3.1% (2.0% of Total Investments)                
  4,727    

Avolon, Term Loan B2

    3.978%        3/21/22        BBB–        4,732,908  
  810    

HD Supply Waterworks, Ltd., Term Loan B, (WI/DD)

    TBD        TBD        B+        816,581  
  1,955    

HD Supply, Inc., Term Loan B

    4.046%        8/13/21        BB        1,966,449  
  807    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.664%        6/09/21        B–        812,191  
  8,299    

Total Trading Companies & Distributors

                               8,328,129  
      Transportation Infrastructure – 0.5% (0.3% of Total Investments)                           
  65    

Ceva Group PLC, Canadian Term Loan

    6.814%        3/19/21        B–        61,443  
  379    

Ceva Group PLC, Dutch B.V., Term Loan

    6.814%        3/19/21        B–        356,367  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B–        349,277  
  523    

Ceva Group PLC, US Term Loan

    6.814%        3/19/21        B–        491,541  
  1,338    

Total Transportation Infrastructure

                               1,258,628  
      Wireless Telecommunication Services – 3.7% (2.3% of Total Investments)                
  830    

Asurion LLC, Term Loan B4

    3.989%        8/04/22        Ba3        829,553  
  760    

Asurion LLC, Term Loan B5

    4.234%        11/03/23        Ba3        767,144  
  5,486    

Sprint Corporation, Term Loan, First Lien

    3.750%        2/02/24        Ba2        5,512,310  
  1,173    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.311%        4/23/19        B        1,134,877  
  652    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.296%        4/23/19        B        628,828  
  1,000    

UPC Financing Partnership, Term Loan, First Lien

    3.976%        4/15/25        BB        1,006,460  
  9,901    

Total Wireless Telecommunication Services

                               9,879,172  
$ 367,445    

Total Variable Rate Senior Loan Interests (cost $364,195,517)

                               358,463,115  

 

  34     NUVEEN


Shares     Description (1)                           Value  
 

COMMON STOCKS – 2.1% (1.3% of Total Investments)

          
      Banks – 1.0% (0.6% of Total Investments)                           
  30,025    

BLB Worldwide Holdings Inc., (6)

                             $ 2,679,731  
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)                           
  53,514    

Cengage Learning Holdings II LP, (6)

             405,797  
  1,562,493    

Education Management Corporation, (6), (7)

                               156  
 

Total Diversified Consumer Services

                               405,953  
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)                           
  39,988    

C&J Energy Services Inc., (6)

             1,293,212  
  1,961    

Vantage Drill International, (6)

                               331,409  
 

Total Energy Equipment & Services

                               1,624,621  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  38,382    

Millenium Health LLC, (6)

                               57,573  
      Media – 0.2% (0.2% of Total Investments)                           
  566,373    

Hibu PLC, (6), (8)

             1  
  6,268    

Metro-Goldwyn-Mayer, (6)

             589,712  
  14,825    

Tribune Media Company, (8)

                                
 

Total Media

                               589,713  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                           
  54    

Energy and Exploration Partners, Inc., (6), (8)

              
  27    

Southcross Holdings Borrower LP, (6)

                               18,630  
 

Total Oil, Gas & Consumable Fuels

                               18,630  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)  
  10,055    

Smart Global Holdings, Inc., (6), (8)

                               153,600  
 

Total Common Stocks (cost $7,302,553)

                               5,529,821  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

 

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                           
  1,738    

Education Management Corporation, (7)

    7.500%                 N/R      $  
 

Total $25 Par (or similar) Retail Preferred (cost $4,218)

                                
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 19.5% (12.3% of Total Investments)

 

      Communications Equipment – 0.1% (0.1% of Total Investments)  
$ 115    

Avaya Inc., 144A, (5)

    7.000%        4/01/19        N/R      $ 94,875  
  2,895    

Avaya Inc., 144A, (5)

    10.500%        3/01/21        N/R        260,550  
  3,010    

Total Communications Equipment

                               355,425  
      Diversified Telecommunication Services – 3.3% (2.1% of Total Investments)  
  1,680    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CCC–        1,610,700  
  2,815    

IntelSat Jackson Holdings

    5.500%        8/01/23        CCC+        2,427,937  
  215    

IntelSat Limited

    6.750%        6/01/18        CCC–        210,700  
  4,284    

IntelSat Limited

    7.750%        6/01/21        CCC–        2,741,760  
  3,000    

IntelSat Limited

    8.125%        6/01/23        CCC–        1,857,000  
  11,994    

Total Diversified Telecommunication Services

                               8,848,097  

 

NUVEEN     35  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Equity Real Estate Investment Trusts – 0.3% (0.2% of Total Investments)  
$ 750    

iStar Inc.

    4.000%        11/01/17        BB      $ 750,938  
  90    

Walter Investment Management Corporation

    7.875%        12/15/21        Caa3        51,750  
  840    

Total Equity Real Estate Investment Trusts

                               802,688  
      Health Care Equipment & Supplies – 1.4% (0.9% of Total Investments)  
  3,500    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,749,375  
      Health Care Providers & Services – 1.7% (1.0% of Total Investments)  
  3,500    

HCA Inc.

    6.500%        2/15/20        BBB–        3,823,750  
  600    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        602,250  
  4,100    

Total Health Care Providers & Services

                               4,426,000  
      Hotels, Restaurants & Leisure – 1.7% (1.1% of Total Investments)  
  1,500    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        1,597,500  
  2,650    

Scientific Games International Inc.

    10.000%        12/01/22        B–        2,954,750  
  4,150    

Total Hotels, Restaurants & Leisure

                               4,552,250  
      Household Durables – 0.5% (0.3% of Total Investments)  
  1,410    

Lennar Corporation

    4.125%        12/01/18        Ba1        1,440,844  
      Media – 4.2% (2.6% of Total Investments)  
  100    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        103,172  
  6,532    

Clear Channel Communications Inc., (5), (8)

    12.000%        8/01/21        N/R         
  1,417    

Dish DBS Corporation

    5.125%        5/01/20        Ba3        1,487,566  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,085,000  
  1,000    

Hughes Satellite Systems Corporation

    6.500%        6/15/19        BBB–        1,076,250  
  1,524    

iHeartCommunications, Inc., 144A

    11.250%        3/01/21        Caa1        1,135,380  
  2,872    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        2,319,140  
  7,348    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        Ca        1,763,444  
  3,050    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        2,272,250  
  24,843    

Total Media

                               11,242,202  
      Oil, Gas & Consumable Fuels – 1.4% (0.9% of Total Investments)  
  1,240    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        792,050  
  400    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        233,000  
  1,000    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        540,000  
  400    

Everest Acquisition LLC Finance

    9.375%        5/01/20        Caa2        340,500  
  1,800    

FTS International Inc., 144A

    8.463%        6/15/20        B        1,827,000  
  4,840    

Total Oil, Gas & Consumable Fuels

                               3,732,550  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)  
  300    

Concordia Healthcare Corporation, 144A

    7.000%        4/15/23        CCC–        54,000  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
  761    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        856,125  
      Software – 1.7% (1.1% of Total Investments)  
  2,330    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        2,405,725  
  700    

Boxer Parent Company Inc./BMC Software, 144A, PIK

    9.000%        10/15/19        CCC+        701,750  
  1,475    

Infor Us Inc., 144A

    5.750%        8/15/20        BB        1,519,250  
  4,505    

Total Software

                               4,626,725  
      Technology Hardware, Storage & Peripherals – 1.0% (0.6% of Total Investments)  
  1,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A

    5.875%        6/15/21        BB+        1,048,750  
  1,475    

Western Digital Corporation, 144A

    7.375%        4/01/23        BBB–        1,618,813  
  2,475    

Total Technology Hardware, Storage & Peripherals

                               2,667,563  

 

  36     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)  
$ 1,000    

Sprint Capital Corporation

    6.900%        5/01/19        B+      $ 1,063,750  
  850    

Sprint Communications Inc.

    7.000%        8/15/20        B+        928,625  
  500    

Sprint Corporation

    7.875%        9/15/23        B+        567,500  
  2,000    

Sprint Corporation

    7.125%        6/15/24        B+        2,192,500  
  400    

Syniverse Foreign Holdings Corporation, 144A

    9.125%        1/15/22        B        401,000  
  75    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        79,594  
  4,825    

Total Wireless Telecommunication Services

                               5,232,969  
$ 71,553    

Total Corporate Bonds (cost $58,430,419)

                               52,586,813  
Shares     Description (1)                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  12,603    

Smart Modular Technology, Inc., (8)

                             $  
 

Total Warrants (cost $0)

                                
 

Total Long-Term Investments (cost $429,932,707)

                               416,579,749  
Shares     Description (1)                           Value  
 

SHORT-TERM INVESTMENTS – 4.7% (2.9% of Total Investments)

 

      INVESTMENT COMPANIES – 4.7% (2.9% of Total Investments)  
  12,581,320    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                             $ 12,581,320  
 

Total Short-Term Investments (cost $12,581,320)

                               12,581,320  
 

Total Investments (cost $442,514,027) – 159.5%

                               429,161,069  
 

Borrowings – (42.4)% (10), (11)

                               (114,000,000
 

Term Preferred Shares, net of deferred offering costs – (15.7)% (12)

 

                       (42,224,191
 

Other Assets Less Liabilities – (1.4)% (13)

                               (3,853,632
 

Net Assets Applicable to Common Shares – 100%

                             $ 269,083,246  

Investments in Derivatives as of July 31, 2017

Interest Rate Swaps (OTC Uncleared)

 

Counterparty   Notional
Amount
    Fund
Pay/Receive
Floating Rate
    Floating Rate Index     Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC

  $ 43,000,000       Pay       1-Month USD-LIBOR-ICE       2.000 % (14)      Monthly       11/01/21  (15)    $ (548,335

 

NUVEEN     37  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(6) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(7) For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(8) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(9) A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http:// www.sec.gov.

 

(10) Borrowings as a percentage of Total Investments is 26.6%.

 

(11) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings.

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 9.8%.

 

(13) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(14) Effective November 1, 2019, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(15) This interest rate swap has an optional early termination date beginning on November 1, 2018 and monthly thereafter through the termination date as specified in the swap contract.

 

(16) Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

(WI/DD) Purchased on a when-issued or delayed delivery basis.

 

PIK All or a portion of this security is payment-in-kind.

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

  38     NUVEEN


JFR

 

Nuveen Floating Rate Income Fund

  

Portfolio of Investments

   July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
 

LONG-TERM INVESTMENTS – 150.3% (95.0% of Total Investments)

 

     
 

VARIABLE RATE SENIOR LOAN INTERESTS – 122.7% (77.6% of Total Investments) (4)

 

      Aerospace & Defense – 2.3% (1.5% of Total Investments)  
$ 7,707    

Sequa Corporation, Term Loan, First Lien

    6.814%        11/28/21        B–      $ 7,787,623  
  2,654    

Sequa Corporation, Term Loan, Second Lien

    10.314%        4/26/22        CCC        2,720,079  
  990    

Transdigm, Inc., Extend Term Loan F

    4.234%        6/07/23        Ba2        996,291  
  2,936    

Transdigm, Inc., Term Loan E, First Lien

    4.255%        5/14/22        Ba2        2,952,626  
  920    

Transdigm, Inc., Tranche C Term Loan

    4.285%        2/28/20        Ba2        924,981  
  15,207    

Total Aerospace & Defense

                               15,381,600  
      Air Freight & Logistics – 0.7% (0.5% of Total Investments)  
  884    

Americold Realty Operating Partnership, Term Loan B

    4.984%        12/01/22        BB        897,000  
  1,744    

PAE Holding Corporation, Term Loan B

    6.734%        10/20/22        B+        1,763,512  
  2,166    

XPO Logistics, Inc., Refinanced Term Loan

    3.554%        11/01/21        Ba1        2,177,307  
  4,794    

Total Air Freight & Logistics

                               4,837,819  
      Airlines – 1.8% (1.1% of Total Investments)                           
  3,354    

American Airlines, Inc., Replacement Term Loan

    3.233%        6/27/20        BB+        3,363,428  
  2,940    

American Airlines, Inc., Replacement Term Loan

    3.226%        10/10/21        BB+        2,949,599  
  5,365    

American Airlines, Inc., Term Loan B

    3.726%        12/14/23        BB+        5,399,202  
  11,659    

Total Airlines

                               11,712,229  
      Auto Components – 0.6% (0.4% of Total Investments)  
  1,250    

DexKo Global, Inc., Term Loan, First Lien

    5.313%        7/13/24        B1        1,267,188  
  707    

Horizon Global Corporation, Term Loan B

    5.734%        6/30/21        B+        714,339  
  2,000    

Superior Industries International, Inc., Term Loan B

    5.787%        6/14/24        B1        2,015,000  
  3,957    

Total Auto Components

                               3,996,527  
      Automobiles – 2.0% (1.3% of Total Investments)                           
  4,588    

Chrysler Group LLC, Term Loan

    3.230%        12/31/18        BBB–        4,619,150  
  8,731    

Formula One Group, Term Loan B, (DD1)

    4.504%        2/01/24        B        8,787,929  
  13,319    

Total Automobiles

                               13,407,079  
      Building Products – 0.6% (0.4% of Total Investments)  
  3,980    

Quikrete Holdings, Inc., Term Loan B

    3.984%        11/15/23        BB–        3,999,223  
      Capital Markets – 0.3% (0.2% of Total Investments)                           
  2,000    

RPI Finance Trust, Term Loan B6

    3.296%        3/27/23        Baa2        2,012,500  
      Chemicals – 1.5% (1.0% of Total Investments)                           
  585    

Ineos US Finance LLC, New 2022 Dollar Term Loan

    4.007%        3/31/22        Ba2        589,049  
  653    

Ineos US Finance LLC, New 2024 Dollar Term Loan

    4.007%        4/01/24        Ba2        658,041  
  2,319    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        2,350,742  
  1,975    

OM Group, Inc., Term Loan B, First Lien

    6.296%        2/21/24        B        2,004,676  
  4,443    

Univar, Inc., Term Loan B

    3.984%        7/01/22        BB        4,473,862  
  9,975    

Total Chemicals

                               10,076,370  
      Commercial Services & Supplies – 3.4% (2.1% of Total Investments)                
  737    

ADS Waste Holdings, Inc., Term Loan B, First Lien

    3.944%        11/10/23        BB        743,797  
  824    

Education Management LLC, Tranche A, Term Loan, (5)

    5.804%        7/02/20        N/R        374,016  
  1,567    

Education Management LLC, Tranche B, Term Loan, (5)

    8.804%        7/02/20        N/R        33,301  
  1,493    

Fort Dearborn Holding Company, Inc., Term Loan, First Lien

    5.298%        10/19/23        B2        1,499,030  
  4,498    

iQor US, Inc., Term Loan, First Lien

    6.299%        4/01/21        B        4,486,233  
  500    

iQor US, Inc., Term Loan, Second Lien

    10.049%        4/01/22        CCC+        483,750  
  1,165    

KAR Auction Services, Inc., Term Loan B5

    3.813%        3/09/23        Ba2        1,174,498  

 

NUVEEN     39  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)                
$ 3,474    

Monitronics International, Inc., Term Loan B2, First Lien

    6.796%        9/30/22        B2      $ 3,518,978  
  3,331    

Protection One, Inc., Term Loan

    3.984%        5/02/22        BB–        3,353,962  
  3,268    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.984%        4/28/21        B–        3,079,092  
  1,975    

Universal Services of America, Initial Term Loan, First Lien

    5.046%        7/28/22        B+        1,981,794  
  1,750    

Universal Services of America, Term Loan, Second Lien

    9.811%        7/28/23        B–        1,751,645  
  24,582    

Total Commercial Services & Supplies

                               22,480,096  
      Communications Equipment – 2.3% (1.5% of Total Investments)  
  2,234    

Avaya, Inc., DIP Term Loan

    8.729%        1/24/18        Baa3        2,301,457  
  6,724    

Avaya, Inc., Term Loan B3, (5)

    6.460%        10/26/17        N/R        5,493,826  
  1,060    

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        N/R        866,351  
  2,313    

Avaya, Inc., Term Loan B7, (5)

    6.460%        5/29/20        N/R        1,898,466  
  1,588    

Colorado Buyer, Inc., Term Loan, First Lien

    4.170%        5/01/24        Ba3        1,604,777  
  1,094    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.420%        5/01/25        B3        1,111,977  
  2,252    

Riverbed Technology, Inc., Term Loan B, First Lien

    4.490%        4/24/22        B+        2,225,427  
  17,265    

Total Communications Equipment

                               15,502,281  
      Consumer Finance – 1.9% (1.2% of Total Investments)  
  10,324    

First Data Corporation, Term Loan B

    3.727%        4/26/24        BB        10,393,015  
  2,290    

First Data Corporation, Term Loan, First Lien

    3.477%        7/10/22        BB        2,299,893  
  12,614    

Total Consumer Finance

                               12,692,908  
      Containers & Packaging – 0.8% (0.5% of Total Investments)  
  1,488    

Berry Plastics Holding Corporation, Term Loan I

    3.730%        10/01/22        BB        1,496,456  
  3,842    

Reynolds Group Holdings, Inc., Term Loan, First Lien

    4.234%        2/05/23        B+        3,862,946  
  5,330    

Total Containers & Packaging

                               5,359,402  
      Diversified Consumer Services – 3.5% (2.2% of Total Investments)  
  5,813    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.474%        6/07/23        B+        5,509,702  
  10,313    

Hilton Hotels Corporation, Term Loan B2

    3.232%        10/25/23        BBB–        10,373,689  
  4,116    

Houghton Mifflin, Term Loan B, First Lien

    4.234%        5/28/21        B+        3,996,049  
  2,993    

Laureate Education, Inc., New Term Loan

    5.734%        4/20/24        B        3,033,647  
  23,235    

Total Diversified Consumer Services

                               22,913,087  
      Diversified Financial Services – 1.9% (1.2% of Total Investments)  
  2,757    

Citco III Limited, Term Loan

    4.234%        3/31/22        N/R        2,788,485  
  1,762    

Freedom Mortgage Corporation, Initial Term Loan

    6.862%        2/23/22        BB–        1,790,161  
  2,173    

MGM Growth Properties, Term Loan B

    3.484%        4/25/23        BB+        2,183,916  
  1,424    

MJ Acquisition Corp., Term Loan, First Lien

    4.211%        6/01/22        B+        1,436,574  
  4,138    

Veritas US, Inc., Term Loan B1

    5.796%        1/27/23        B+        4,193,920  
  12,254    

Total Diversified Financial Services

                               12,393,056  
      Diversified Telecommunication Services – 9.1% (5.7% of Total Investments)                
  8,000    

CenturyLink, Inc., Term Loan B

    2.750%        1/31/25        BBB–        7,903,120  
  1,489    

DTI Holdings, Inc., Term Loan B, First Lien

    6.561%        10/02/23        B        1,457,114  
  7,569    

Frontier Communications Corporation, Term Loan B

    4.980%        1/14/20        BB        7,292,799  
  4,477    

Greeneden U.S. Holdings II LLC, Term Loan B

    5.007%        12/01/23        B2        4,516,701  
  12,066    

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    4.000%        6/30/19        B1        12,051,102  
  6,132    

Level 3 Financing, Inc., Tranche B, Term Loan

    3.479%        2/22/24        BBB–        6,165,214  
  635    

Presidio, Inc., Term Loan, First Lien

    4.548%        2/02/22        B+        640,027  
  8,333    

WideOpenWest Finance LLC, Term Loan B

    4.452%        8/18/23        B        8,350,414  
  12,000    

Ziggo B.V., Term Loan E

    3.726%        4/15/25        BB–        12,031,380  
  60,701    

Total Diversified Telecommunication Services

                               60,407,871  
      Electric Utilities – 1.5% (0.9% of Total Investments)                           
  917    

EFS Cogen Holdings LLC, Term Loan B

    4.800%        6/28/23        BB        928,274  
  3,784    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.233%        7/02/18        BB        3,816,830  
  958    

Helix Generation, Term Loan B

    4.960%        3/10/24        BB        969,051  
  3,241    

Vistra Operations Co., Term Loan B

    3.982%        8/04/23        BB+        3,256,462  
  743    

Vistra Operations Co., Term Loan C

    3.977%        8/04/23        Ba2        746,434  
  9,643    

Total Electric Utilities

                               9,717,051  

 

  40     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electrical Equipment – 0.2% (0.2% of Total Investments)  
$ 1,615    

Zebra Technologies Corporation, Term Loan B

    3.314%        10/24/21        BB      $ 1,623,394  
      Electronic Equipment, Instruments & Components – 0.8% (0.5% of Total Investments)  
  2,679    

SMART Modular Technologies, Inc., Term Loan

    9.250%        8/26/19        B        2,672,324  
  2,449    

TTM Technologies, Inc., New Term Loan

    5.484%        5/31/21        BB–        2,488,657  
  5,128    

Total Electronic Equipment, Instruments & Components

                               5,160,981  
      Energy Equipment & Services – 0.4% (0.2% of Total Investments)  
  648    

Dynamic Energy Services International LLC, Term Loan

    14.679%        3/06/18        N/R        226,749  
  3,359    

Ocean Rigs, Inc., Term Loan B1, (5)

    8.250%        3/31/21        CCC–        2,351,646  
  4,007    

Total Energy Equipment & Services

                               2,578,395  
      Equity Real Estate Investment Trusts – 2.5% (1.6% of Total Investments)                
  6,420    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.234%        10/24/22        BB–        6,441,657  
  1,872    

Realogy Group LLC, Term Loan B

    3.484%        7/20/22        BB+        1,884,064  
  9,018    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.984%        12/18/20        Caa1        8,309,962  
  17,310    

Total Equity Real Estate Investment Trusts

                               16,635,683  
      Food & Staples Retailing – 5.5% (3.5% of Total Investments)  
  22,412    

Albertson’s LLC, Term Loan B4

    3.984%        8/25/21        BB        22,389,208  
  2,978    

Albertson’s LLC, Term Loan B5

    4.293%        12/21/22        BB        2,978,747  
  3,022    

Albertson’s LLC, Term Loan B6

    4.251%        6/22/23        BB        3,024,058  
  1,372    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien

    4.968%        2/03/24        B–        1,345,677  
  724    

Del Monte Foods Company, Term Loan, First Lien

    4.430%        2/18/21        CCC+        568,596  
  1,500    

Rite Aid Corporation, Tranche 1, Term Loan, Second Lien

    5.990%        8/21/20        BB–        1,522,500  
  2,975    

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

    5.115%        6/21/21        BB–        2,995,453  
  1,493    

Save-A-Lot, Term Loan B

    7.234%        12/05/23        B        1,471,045  
  173    

Supervalu, Inc., Delayed Draw, Term Loan B

    4.734%        6/02/24        BB–        172,329  
  289    

Supervalu, Inc., Term Loan B

    4.734%        6/02/24        BB–        287,215  
  36,938    

Total Food & Staples Retailing

                               36,754,828  
      Food Products – 3.9% (2.5% of Total Investments)                           
  1,375    

American Seafoods Group LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB–        1,381,023  
  1,940    

Hearthside Group Holdings LLC, Term Loan B

    4.234%        6/02/21        B1        1,950,913  
  4,010    

Jacobs Douwe Egberts, Term Loan B

    3.438%        7/02/22        BB        4,034,724  
  1,352    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    2.750%        3/03/21        BBB–        1,353,760  
  5,071    

Pinnacle Foods Finance LLC, Term Loan B

    3.227%        2/02/24        BB+        5,100,689  
  12,261    

US Foods, Inc., New Term Loan B

    3.990%        6/27/23        BB        12,368,905  
  26,009    

Total Food Products

                               26,190,014  
      Health Care Equipment & Supplies – 1.9% (1.2% of Total Investments)                
  2,077    

Acelity, Term Loan B

    4.546%        2/02/24        B1        2,086,821  
  570    

Ardent Medical Services, Inc., Term Loan B, First Lien

    6.796%        8/04/21        B1        573,848  
  1,090    

ConvaTec, Inc., Term Loan B

    3.796%        10/25/23        BB        1,096,661  
  1,772    

Greatbatch, Inc., Term Loan B

    4.730%        10/27/22        B        1,782,899  
  4,524    

Onex Carestream Finance LP, Term Loan, First Lien

    5.275%        6/07/19        B+        4,527,971  
  2,553    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.796%        12/09/19        B–        2,509,043  
  12,586    

Total Health Care Equipment & Supplies

                               12,577,243  
      Health Care Providers & Services – 4.5% (2.9% of Total Investments)                
  1,950    

Acadia Healthcare, Inc., Term Loan B1

    3.984%        5/11/22        Ba2        1,969,812  
  3,200    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.228%        4/28/22        B        3,186,016  
  1,217    

Community Health Systems, Inc., Term Loan G

    3.979%        12/31/19        BB–        1,219,078  
  2,444    

Community Health Systems, Inc., Term Loan H

    4.213%        1/27/21        BB–        2,443,641  
  3,552    

DaVita HealthCare Partners, Inc., Tranche B, Term Loan

    3.984%        6/24/21        BBB–        3,592,448  
  1,777    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.300%        12/01/23        BB–        1,791,175  
  984    

HCA, Inc., Term Loan B9

    3.234%        3/18/23        BBB–        990,378  
  1,911    

Healogics, Inc., Term Loan, First Lien

    5.320%        7/01/21        B2        1,530,856  
  3,250    

Heartland Dental Care, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        B2        3,259,698  

 

NUVEEN     41  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services (continued)                
$ 2,000    

Heartland Dental Care, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC      $ 2,030,000  
  3,717    

Millennium Laboratories, Inc., Term Loan B, First Lien

    7.734%        12/21/20        CCC+        2,261,352  
  1,364    

MultiPlan, Inc., Term Loan B

    4.296%        6/07/23        B+        1,375,425  
  457    

Quorum Health Corp., Term Loan B

    7.984%        4/29/22        B2        457,752  
  2,911    

Select Medical Corporation, Tranche B, Term Loan

    4.810%        3/06/24        Ba2        2,962,101  
  1,100    

Vizient, Inc., New Term Loan B

    4.734%        2/13/23        B+        1,114,939  
  31,834    

Total Health Care Providers & Services

                               30,184,671  
      Health Care Technology – 1.7% (1.1% of Total Investments)  
  4,386    

Catalent Pharma Solutions, Inc., Term Loan B

    3.984%        5/20/21        BB        4,423,891  
  6,983    

Emdeon, Inc., Term Loan

    3.984%        3/01/24        Ba3        7,031,378  
  11,369    

Total Health Care Technology

                               11,455,269  
      Hotels, Restaurants & Leisure – 6.2% (3.9% of Total Investments)                
  13,186    

Burger King Corporation, Term Loan B3

    3.508%        2/16/24        Ba3        13,196,840  
  2,250    

Caesars Entertainment Operating Company, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        2,263,714  
  2,465    

CCM Merger, Inc., Term Loan B

    3.984%        8/09/21        BB–        2,478,293  
  4,652    

CityCenter Holdings LLC, Term Loan B

    3.732%        4/18/24        BB–        4,676,963  
  2,129    

Intrawest Resorts Holdings, Inc., Term Loan B1, (WI/DD)

    TBD        TBD        B        2,142,994  
  1,124    

Intrawest Resorts Holdings, Inc., Term Loan B2, (WI/DD)

    TBD        TBD        B        1,131,693  
  2,205    

Life Time Fitness, Inc., Term Loan B

    4.234%        6/10/22        BB–        2,221,156  
  6,129    

Scientific Games Corporation, Term Loan B4, (WI/DD)

    TBD        TBD        Ba3        6,098,295  
  3,223    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    4.296%        4/01/24        BB–        3,240,687  
  3,470    

Station Casino LLC, Term Loan B

    3.730%        6/08/23        BB        3,480,975  
  40,833    

Total Hotels, Restaurants & Leisure

                               40,931,610  
      Household Products – 0.6% (0.4% of Total Investments)  
  2,174    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.734%        11/16/20        B1        1,972,097  
  1,744    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.773%        11/08/23        B1        1,749,430  
  3,918    

Total Household Products

                               3,721,527  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)  
  1,260    

Dynegy, Inc., Tranche Term Loan C1

    4.484%        2/07/24        BB        1,267,626  
      Industrial Conglomerates – 0.9% (0.6% of Total Investments)                
  3,505    

Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien

    5.507%        6/16/24        B        3,539,293  
  2,344    

Foresight Energy LLC, Term Loan, First Lien

    7.046%        3/28/22        B        2,268,679  
  5,849    

Total Industrial Conglomerates

                               5,807,972  
      Insurance – 1.8% (1.2% of Total Investments)                           
  998    

Acrisure LLC, Term Loan, First Lien

    6.296%        11/22/23        B        1,012,463  
  5,233    

Alliant Holdings I LLC, Term Loan B

    4.564%        8/14/22        B        5,257,106  
  5,781    

Hub International Holdings, Inc., Initial Term Loan

    4.422%        10/02/20        B+        5,828,174  
  12,012    

Total Insurance

                               12,097,743  
      Internet and Direct Marketing Retail – 0.6% (0.4% of Total Investments)                
  4,055    

Travelport LLC, Term Loan B, (WI/DD)

    TBD        TBD        B+        4,064,188  
      Internet Software & Services – 2.0% (1.2% of Total Investments)                
  1,980    

Ancestry.com, Inc., Term Loan, First Lien

    4.480%        10/19/23        B1        2,000,731  
  900    

Ancestry.com, Inc., Term Loan B, Second Lien

    9.480%        10/19/24        CCC+        922,500  
  1,995    

Rackspace Hosting, Inc., Term Loan B

    4.172%        11/03/23        BB+        2,010,461  
  3,678    

Sabre, Inc., New Term Loan B

    3.984%        2/22/24        Ba2        3,712,885  
  2,448    

SkillSoft Corporation, Term Loan, Second Lien

    9.484%        4/28/22        CCC        2,032,238  
  1,750    

TierPoint LLC, Term Loan, First Lien

    4.984%        5/05/24        B+        1,760,570  
  500    

TierPoint LLC, Term Loan, Second Lien

    8.484%        5/05/25        CCC+        511,875  
  13,251    

Total Internet Software & Services

                               12,951,260  

 

  42     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      IT Services – 1.7% (1.0% of Total Investments)                           
$ 1,277    

Engility Corporation, Repriced Term Loan B2

    5.019%        8/14/23        BB–      $ 1,295,227  
  1,804    

Gartner, Inc., Term Loan A

    3.234%        3/21/22        BB+        1,814,235  
  998    

Gartner, Inc., Term Loan B

    3.234%        4/05/24        BB+        1,006,233  
  443    

Mitchell International, Inc., Initial Term Loan B, First Lien

    4.811%        10/13/20        B1        446,130  
  1,500    

PEAK 10, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B        1,508,753  
  850    

PEAK 10, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        866,469  
  2,500    

Tempo Acquisition LLC, Term Loan B

    4.227%        5/01/24        B1        2,523,438  
  1,485    

WEX, Inc., Term Loan B

    3.984%        7/01/23        BB–        1,503,355  
  10,857    

Total IT Services

                               10,963,840  
      Leisure Products – 1.2% (0.8% of Total Investments)  
  2,585    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.046%        5/28/21        Ba3        2,582,785  
  2,234    

Academy, Ltd., Term Loan B

    5.242%        7/01/22        B2        1,763,027  
  2,725    

Equinox Holdings, Inc., Term Loan, First Lien

    4.484%        3/08/24        B+        2,750,609  
  995    

Four Seasons Holdings, Inc., Term Loan B

    3.734%        11/30/23        BB        1,004,562  
  8,539    

Total Leisure Products

                               8,100,983  
      Life Sciences Tools & Services – 0.7% (0.4% of Total Investments)                
  780    

Inventiv Health, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB+        786,029  
  3,890    

Patheon, Inc., New Term Loan, First Lien

    4.504%        4/22/24        B        3,906,046  
  4,670    

Total Life Sciences Tools & Services

                               4,692,075  
      Machinery – 0.5% (0.3% of Total Investments)                           
  1,481    

Gates Global LLC, Initial Dollar Term Loan B1

    4.546%        4/01/24        B+        1,494,656  
  1,529    

Rexnord LLC, Term Loan B, First Lien

    4.046%        8/21/23        BB–        1,538,500  
  3,010    

Total Machinery

                               3,033,156  
      Marine – 0.2% (0.1% of Total Investments)                           
  1,406    

American Commercial Lines LLC, Term Loan B, First Lien

    9.984%        11/12/20        B–        1,225,786  
      Media – 12.1% (7.7% of Total Investments)                           
  2,084    

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.546%        7/23/21        B1        2,042,897  
  241    

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.796%        7/25/22        CCC+        229,438  
  1,995    

Affinion Group Holdings, Inc., Term Loan, First Lien

    8.935%        5/10/22        B2        2,006,850  
  1,910    

Catalina Marketing Corporation, Term Loan, First Lien

    4.734%        4/09/21        B1        1,563,020  
  2,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.984%        4/11/22        Caa1        1,131,670  
  7,405    

Cequel Communications LLC, Term Loan B

    3.483%        7/28/25        BB–        7,400,858  
  4,938    

Charter Communications Operating Holdings LLC, Term Loan I, First Lien

    3.484%        1/15/24        BBB–        4,976,605  
  4,788    

Clear Channel Communications, Inc., Tranche D, Term Loan

    7.984%        1/30/19        Caa1        3,887,226  
  2,718    

Clear Channel Communications, Inc. Term Loan E

    8.734%        7/30/19        Caa1        2,200,181  
  13,036    

Cumulus Media, Inc., Term Loan B

    4.490%        12/23/20        Caa1        10,516,820  
  2,711    

Emerald Expositions Holdings, Inc., Term Loan B

    4.296%        5/17/24        BB        2,751,390  
  2,407    

Getty Images, Inc., Term Loan B, First Lien

    4.796%        10/18/19        B3        2,247,715  
  890    

Gray Television, Inc., Term Loan B2

    3.551%        2/07/24        BB        896,201  
  2,910    

IMG Worldwide, Inc. Term Loan, First Lien

    4.490%        5/06/21        B+        2,935,274  
  1,175    

Lions Gate Entertainment Corporation, Term Loan B

    4.234%        12/08/23        Ba2        1,188,953  
  1,458    

LSC Communications, Term Loan

    7.234%        9/30/22        Ba3        1,472,917  
  2,970    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.234%        5/02/22        Ba3        2,937,969  
  4,536    

Nexstar Broadcasting Group, Term Loan B, (DD1)

    3.738%        1/17/24        Ba3        4,580,249  
  554    

Nexstar Broadcasting Group, Term Loan, (DD1)

    3.732%        1/17/24        BB+        559,649  
  2,939    

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.796%        8/14/20        B        2,952,969  
  17,204    

Univision Communications, Inc., Term Loan C5

    3.984%        3/15/24        BB–        17,163,837  
  2,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.976%        1/31/25        BB–        2,012,760  
  1,520    

WMG Acquisition Corporation, Term Loan, First Lien

    3.727%        11/01/23        Ba3        1,527,217  
  406    

Yell Group PLC, PIK Term Loan B2, First Lien

    8.500%        9/07/65        N/R        892,839  
  428    

Yell Group PLC, Term Loan A2, First Lien

    8.182%        9/07/21        N/R        444,400  
  85,223    

Total Media

                               80,519,904  

 

NUVEEN     43  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Metals & Mining – 1.1% (0.7% of Total Investments)                
$ 1,500    

CanAm Construction, Inc., Term Loan B

    6.799%        6/29/24        B      $ 1,492,500  
  2,765    

Fairmount Minerals, Ltd., Term Loan B1, First Lien

    4.796%        9/05/19        Caa1        2,588,393  
  1,688    

Fairmount Minerals, Ltd., Term Loan B2, First Lien

    4.796%        9/05/19        B–        1,589,311  
  1,666    

Zekelman Industries, Term Loan B

    4.789%        6/14/21        BB–        1,678,966  
  7,619    

Total Metals & Mining

                               7,349,170  
      Multiline Retail – 2.7% (1.7% of Total Investments)                           
  3,443    

99 Cents Only Stores Tranche B2, Term Loan

    4.755%        1/11/19        CCC+        3,328,936  
  1,500    

Bass Pro Group LLC, Sale Facility, Term Loan, First Lien

    6.046%        6/08/18        B+        1,507,973  
  1,933    

Bass Pro Group LLC, Term Loan B, First Lien

    4.474%        6/05/20        B+        1,933,367  
  1,795    

Belk, Inc., Term Loan B, First Lien

    6.054%        12/12/22        B        1,501,013  
  8,010    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        8,136,838  
  1,382    

Hudson’s Bay Company, Term Loan B, First Lien

    4.546%        9/30/22        BB        1,321,576  
  18,063    

Total Multiline Retail

                               17,729,703  
      Oil, Gas & Consumable Fuels – 2.8% (1.8% of Total Investments)                
  898    

California Resources Corporation, Term Loan A, First Lien

    4.234%        9/24/19        B1        862,089  
  1,750    

California Resources Corporation, Term Loan, (DD1)

    11.601%        12/31/21        B        1,890,875  
  655    

Crestwood Holdings LLC, Term Loan B

    9.228%        6/19/19        B–        649,960  
  301    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        112,789  
  1,818    

Fieldwood Energy LLC, Term Loan, First Lien

    8.296%        8/31/20        B2        1,737,986  
  4,526    

Fieldwood Energy LLC, Term Loan, First Lien, (DD1)

    4.171%        10/01/18        B2        4,374,296  
  912    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        CCC–        534,617  
  1,474    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        B–        1,188,711  
  5,270    

Harvey Gulf International Marine, Inc., Term Loan B

    5.750%        6/18/20        CCC–        2,218,573  
  2,612    

Peabody Energy Corporation, Term Loan B

    5.734%        3/31/22        Ba3        2,642,279  
  3,774    

Seadrill Partners LLC, Initial Term Loan

    4.296%        2/21/21        CCC+        2,597,083  
  61    

Southcross Holdings Borrower L.P., Term Loan B, First Lien

    3.500%        4/13/23        CCC+        53,897  
  24,051    

Total Oil, Gas & Consumable Fuels

                               18,863,155  
      Pharmaceuticals – 2.5% (1.6% of Total Investments)                           
  3,988    

Concordia Healthcare Corporation, Term Loan B, First Lien, (DD1)

    5.501%        10/21/21        CCC+        2,973,809  
  5,486    

Grifols, Inc., Term Loan B

    3.444%        1/31/25        BB        5,521,965  
  7,964    

Pharmaceutical Product Development, Inc., Term Loan, First Lien

    4.017%        8/18/22        Ba3        8,027,111  
  142    

Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan

    5.980%        4/01/22        BB–        144,795  
  17,580    

Total Pharmaceuticals

                               16,667,680  
      Professional Services – 0.7% (0.4% of Total Investments)  
  1,597    

Ceridian Corporation, Term Loan B2

    4.734%        9/15/20        Ba3        1,599,465  
  2,993    

Nielsen Finance LLC, Term Loan B4

    3.224%        10/04/23        BBB–        3,002,360  
  4,590    

Total Professional Services

                               4,601,825  
      Real Estate Management & Development – 1.3% (0.8% of Total Investments)                
  4,562    

Capital Automotive LP, Term Loan, First Lien

    4.240%        3/25/24        B1        4,614,768  
  3,723    

Capital Automotive LP, Term Loan, Second Lien

    7.240%        3/24/25        B3        3,799,695  
  8,285    

Total Real Estate Management & Development

                               8,414,463  
      Road & Rail – 0.3% (0.2% of Total Investments)                           
  1,970    

Quality Distribution, Incremental Term Loan, First Lien

    6.796%        8/18/22        B2        1,908,438  
      Semiconductors & Semiconductor Equipment – 1.6% (1.0% of Total Investments)                
  1,458    

Cypress Semiconductor Corp, Term Loan B, (DD1)

    3.980%        7/19/21        BB        1,468,365  
  1,771    

Lumileds, Term Loan, First Lien

    5.796%        3/17/24        Ba3        1,798,228  
  1,733    

Micron Technology, Inc., New Term Loan B

    3.800%        4/26/22        Baa2        1,750,916  
  2,211    

Microsemi Corporation, Term Loan B

    3.553%        1/17/23        BB        2,222,964  
  3,215    

On Semiconductor Corp., New Term Loan B

    3.484%        3/31/23        Ba1        3,231,647  
  10,388    

Total Semiconductors & Semiconductor Equipment

                               10,472,120  

 

  44     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software – 10.6% (6.7% of Total Investments)                           
$ 3,028    

Blackboard, Inc., Term Loan B4

    6.304%        6/30/21        B+      $ 3,013,506  
  5,642    

BMC Software, Inc., Initial Term Loan B1, (DD1)

    5.234%        9/10/22        B+        5,689,350  
  1,554    

Computer Sciences Government Services, Term Loan B

    3.296%        11/30/23        BB+        1,560,001  
  4,653    

Compuware Corporation, Term Loan B2, First Lien

    5.550%        12/15/21        B        4,682,447  
  1,285    

Compuware Corporation, Term Loan, Second Lien

    9.550%        12/15/22        B–        1,301,190  
  3,879    

Ellucian, Term Loan B, First Lien

    4.546%        9/30/22        B        3,892,432  
  10,406    

Infor (US), Inc., Term Loan B

    4.046%        2/01/22        B1        10,428,120  
  2,966    

Informatica Corp., Term Loan B

    4.796%        8/05/22        B        2,980,995  
  1,493    

Kronos Incorporated, Term Loan, First Lien

    4.680%        11/01/23        B        1,512,106  
  1,161    

Micro Focus International PLC, New Term Loan

    3.979%        6/21/24        BB–        1,163,526  
  7,839    

Micro Focus International PLC, Term Loan B

    4.030%        4/21/24        BB–        7,857,579  
  5,490    

Micro Focus International PLC, Term Loan B2

    3.811%        11/19/21        BB–        5,500,323  
  2,052    

Misys, New Term Loan, Second Lien

    8.459%        4/28/25        CCC+        2,112,995  
  3,420    

Misys, New Term Loan, First Lien

    4.736%        6/13/24        B        3,451,819  
  1,990    

RP Crown Parent LLC, Term Loan B, First Lien

    4.734%        10/12/23        B1        2,016,746  
  1,933    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1

    3.484%        7/08/22        BB+        1,946,967  
  109    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2

    3.484%        7/08/22        BB+        110,265  
  8,764    

Tibco Software, Inc., Term Loan, First Lien

    4.730%        12/04/20        B        8,832,419  
  744    

Vertafore, Inc., Term Loan, First Lien

    4.546%        6/30/23        B        749,493  
  1,693    

Vertiv Co., New Term Loan B

    5.234%        11/30/23        Ba3        1,711,953  
  70,101    

Total Software

                               70,514,232  
      Specialty Retail – 1.0% (0.6% of Total Investments)                           
  2,617    

Gardner Denver, Inc., Term Loan

    4.546%        7/30/20        B+        2,633,682  
  3,424    

Petco Animal Supplies, Inc., Term Loan B1

    4.311%        1/26/23        B1        3,110,740  
  834    

Petsmart Inc., Term Loan B, First Lien

    4.230%        3/11/22        Ba3        790,351  
  6,875    

Total Specialty Retail

                               6,534,773  
      Technology Hardware, Storage & Peripherals – 6.5% (4.1% of Total Investments)                
  1,304    

Conduent, Inc., Term Loan B

    5.234%        12/07/23        BB+        1,322,229  
  14,615    

Dell International LLC, New Term Loan B

    3.740%        9/07/23        BBB–        14,717,804  
  7,700    

Dell International LLC, Term Loan A2, First Lien

    3.490%        9/07/21        BBB–        7,728,875  
  4,500    

Dell International LLC, Term Loan A3, First Lien

    3.240%        12/31/18        BBB–        4,508,438  
  1,701    

Dell Software Group, Term Loan B

    7.257%        10/31/22        B1        1,732,836  
  12,895    

Western Digital, Inc., New Term Loan B

    3.983%        4/29/23        BBB–        13,009,386  
  42,715    

Total Technology Hardware, Storage & Peripherals

                               43,019,568  
      Textiles, Apparel & Luxury Goods – 0.1% (0.1% of Total Investments)                
  213    

Gymboree Corporation, DIP Term Loan

    5.000%        12/12/17        N/R        78,688  
  107    

Gymboree Corporation, DIP Term Loan, (20)

    13.226%        12/12/17        D        106,604  
  2,128    

Gymboree Corporation, Term Loan, (5)

    3.500%        2/23/18        N/R        785,471  
  2,448    

Total Textiles, Apparel & Luxury Goods

                               970,763  
      Trading Companies & Distributors – 2.6% (1.6% of Total Investments)                
  8,272    

Avolon, Term Loan B2

    3.978%        3/21/22        BBB–        8,283,341  
  2,130    

HD Supply Waterworks, Ltd., Term Loan B, (WI/DD)

    TBD        TBD        B+        2,147,306  
  5,129    

HD Supply, Inc., Term Loan B

    4.046%        8/13/21        BB        5,158,324  
  1,613    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.664%        6/09/21        B–        1,624,382  
  17,144    

Total Trading Companies & Distributors

                               17,213,353  
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)                
  149    

Ceva Group PLC, Canadian Term Loan

    6.814%        3/19/21        B–        140,031  
  864    

Ceva Group PLC, Dutch B.V., Term Loan

    6.814%        3/19/21        B–        812,178  
  846    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B–        796,020  
  1,191    

Ceva Group PLC, US Term Loan

    6.814%        3/19/21        B–        1,120,246  
  3,050    

Total Transportation Infrastructure

                               2,868,475  

 

NUVEEN     45  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Wireless Telecommunication Services – 4.2% (2.5% of Total Investments)                
$ 4,563    

Asurion LLC, Term Loan B4

    3.989%        8/04/22        Ba3      $ 4,562,539  
  4,180    

Asurion LLC, Term Loan B5

    4.234%        11/03/23        Ba3        4,219,290  
  11,471    

Sprint Corporation, Term Loan, First Lien

    3.750%        2/02/24        Ba2        11,525,737  
  2,324    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.311%        4/23/19        B        2,248,737  
  1,291    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.296%        4/23/19        B        1,246,011  
  4,000    

UPC Financing Partnership, Term Loan, First Lien

    3.976%        4/15/25        BB        4,025,840  
  27,829    

Total Wireless Telecommunication Services

                               27,828,154  
$ 834,902    

Total Variable Rate Senior Loan Interests (cost $826,311,611)

 

              814,383,119  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.4% (0.9% of Total Investments)

 

      Banks – 0.4% (0.3% of Total Investments)                           
  30,811    

BLB Worldwide Holdings Inc., (6)

                             $ 2,749,881  
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)                
  78,490    

Cengage Learning Holdings II LP, (6)

             595,190  
  9,876,769    

Education Management Corporation, (6), (7)

                               988  
 

Total Diversified Consumer Services

                               596,178  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)                
  80,413    

C&J Energy Services Inc., (6)

             2,600,556  
  2,712    

Vantage Drill International, (6)

                               458,328  
 

Total Energy Equipment & Services

                               3,058,884  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  74,059    

Millenium Health LLC, (6)

                               111,089  
      Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments)                
  2,670    

Buffets Term Loan, (6)

                                
      Media – 0.4% (0.2% of Total Investments)                           
  1,441,988    

Hibu PLC, (6), (8)

             1  
  26,045    

Metro-Goldwyn-Mayer, (6)

             2,450,392  
  45,942    

Tribune Media Company, (8)

                                
 

Total Media

                               2,450,393  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  136    

Energy and Exploration Partners, Inc., (6), (8)

              
  64    

Southcross Holdings Borrower LP, (6)

                               44,160  
 

Total Oil, Gas & Consumable Fuels

                               44,160  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)                
  27,267    

Smart Global Holdings, Inc., (6), (8)

                               416,531  
 

Total Common Stocks (cost $15,340,625)

                               9,427,116  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

 

     
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  10,989    

Education Management Corporation, (7)

    7.500%                 N/R      $ 1  
 

Total $25 Par (or similar) Retail Preferred (cost $26,686)

 

              1  

 

  46     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)

 

      Communications Equipment – 0.0% (0.0% of Total Investments)  
$ 850    

Nortel Networks Limited

    1.750%        4/15/12        N/R      $ 187,000  
$ 850    

Total Convertible Bonds (cost $181,985)

                               187,000  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 21.7% (13.7% of Total Investments)

 

      Communications Equipment – 0.1% (0.1% of Total Investments)  
$ 210    

Avaya Inc., 144A, (5)

    7.000%        4/01/19        N/R      $ 173,250  
  5,150    

Avaya Inc., 144A, (5)

    10.500%        3/01/21        N/R        463,500  
  5,360    

Total Communications Equipment

                               636,750  
      Diversified Telecommunication Services – 3.0% (1.9% of Total Investments)                
  3,322    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CCC–        3,184,968  
  6,380    

IntelSat Jackson Holdings

    5.500%        8/01/23        CCC+        5,502,750  
  1,080    

IntelSat Limited

    6.750%        6/01/18        CCC–        1,058,400  
  9,489    

IntelSat Limited

    7.750%        6/01/21        CCC–        6,072,960  
  5,260    

IntelSat Limited

    8.125%        6/01/23        CCC–        3,255,940  
  750    

Level 3 Financing Inc.

    5.375%        8/15/22        BB        770,625  
  26,281    

Total Diversified Telecommunication Services

                               19,845,643  
      Equity Real Estate Investment Trusts – 0.9% (0.6% of Total Investments)                
  1,500    

iStar Inc.

    4.000%        11/01/17        BB        1,501,875  
  4,250    

Realogy Group LLC / Realogy Co-Issuer Corporation, 144A

    5.250%        12/01/21        B+        4,430,625  
  190    

Walter Investment Management Corporation

    7.875%        12/15/21        Caa3        109,250  
  5,940    

Total Equity Real Estate Investment Trusts

                               6,041,750  
      Health Care Equipment & Supplies – 0.7% (0.4% of Total Investments)                
  4,000    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        4,285,000  
      Health Care Providers & Services – 1.3% (0.8% of Total Investments)                
  7,000    

HCA Inc.

    6.500%        2/15/20        BBB–        7,647,500  
  1,200    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,204,500  
  8,200    

Total Health Care Providers & Services

                               8,852,000  
      Hotels, Restaurants & Leisure – 2.1% (1.3% of Total Investments)  
  2,000    

MGM Resorts International Inc.

    5.250%        3/31/20        BB        2,122,000  
  5,000    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        5,325,000  
  5,500    

Scientific Games International Inc.

    10.000%        12/01/22        B–        6,132,500  
  12,500    

Total Hotels, Restaurants & Leisure

                               13,579,500  
      Household Durables – 1.1% (0.7% of Total Investments)                           
  6,780    

Lennar Corporation

    4.125%        12/01/18        Ba1        6,928,313  
      Media – 4.3% (2.7% of Total Investments)                           
  1,000    

CCO Holdings LLC Finance Corporation

    5.750%        9/01/23        BB+        1,042,500  
  200    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        206,344  
  11,059    

Clear Channel Communications Inc., (5), (8)

    12.000%        8/01/21        N/R         
  2,600    

Dish DBS Corporation

    5.125%        5/01/20        Ba3        2,729,480  
  2,000    

Dish DBS Corporation

    5.875%        7/15/22        Ba3        2,176,880  
  2,500    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        2,712,500  
  2,000    

Hughes Satellite Systems Corporation

    6.500%        6/15/19        BBB–        2,152,500  
  1,762    

iHeartCommunications, Inc., 144A

    11.250%        3/01/21        Caa1        1,312,690  
  6,562    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        5,298,814  
  14,170    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        Ca        3,400,804  
  10,350    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        7,710,750  
  54,203    

Total Media

                               28,743,262  

 

NUVEEN     47  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels – 1.0% (0.6% of Total Investments)                
$ 2,585    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+      $ 1,651,169  
  700    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        407,750  
  1,800    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        972,000  
  750    

Everest Acquisition LLC Finance

    9.375%        5/01/20        Caa2        638,438  
  3,000    

FTS International Inc., 144A

    8.463%        6/15/20        B        3,045,000  
  8,835    

Total Oil, Gas & Consumable Fuels

                               6,714,357  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                           
  850    

Concordia Healthcare Corporation, 144A

    7.000%        4/15/23        CCC–        153,000  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)                
  1,564    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        1,759,500  
  930    

Advanced Micro Devices, Inc.

    7.000%        7/01/24        B–        997,425  
  2,494    

Total Semiconductors & Semiconductor Equipment

                               2,756,925  
      Software – 1.8% (1.1% of Total Investments)                           
  2,000    

Balboa Merger Sub Inc., 144A

    11.375%        12/01/21        CCC+        2,197,500  
  4,380    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        4,522,350  
  1,500    

Boxer Parent Company Inc./BMC Software, 144A, PIK

    9.000%        10/15/19        CCC+        1,503,750  
  3,650    

Infor Us Inc., 144A

    5.750%        8/15/20        BB        3,759,500  
  11,530    

Total Software

                               11,983,100  
      Technology Hardware, Storage & Peripherals – 2.6% (1.7% of Total Investments)                
  2,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A

    5.875%        6/15/21        BB+        2,097,500  
  11,330    

EMC Corporation

    2.650%        6/01/20        Ba2        11,177,950  
  3,650    

Western Digital Corporation, 144A

    7.375%        4/01/23        BBB–        4,005,875  
  16,980    

Total Technology Hardware, Storage & Peripherals

                               17,281,325  
      Trading Companies & Distributors – 0.2% (0.1% of Total Investments)                
  1,500    

HD Supply Inc., 144A

    5.250%        12/15/21        BB        1,574,063  
      Wireless Telecommunication Services – 2.2% (1.4% of Total Investments)                
  2,250    

Sprint Communications Inc.

    7.000%        8/15/20        B+        2,458,125  
  7,750    

Sprint Corporation

    7.875%        9/15/23        B+        8,796,250  
  1,750    

Sprint Corporation

    7.125%        6/15/24        B+        1,918,438  
  1,150    

Syniverse Foreign Holdings Corporation, 144A

    9.125%        1/15/22        B        1,152,875  
  12,900    

Total Wireless Telecommunication Services

                               14,325,688  
$ 178,353    

Total Corporate Bonds (cost $153,467,830)

                               143,700,676  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

ASSET-BACKED SECURITIES – 2.7% (1.7% of Total Investments)

 

$ 1,200    

Bristol Park CLO Limited, Series 2016-1A, 144A

    8.554%        4/15/29        Ba3      $ 1,225,128  
  500    

Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A

    6.304%        4/18/25        BB        500,049  
  1,200    

Dryden Senior Loan Fund, Series 2017-50A, 144A, (WI/DD)

    7.517%        7/15/30        Ba3        1,188,360  
  1,000    

Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A

    6.346%        12/24/23        BB        1,002,422  
  500    

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    6.304%        4/15/24        BB        501,640  
  2,700    

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    7.056%        10/19/22        BB        2,700,575  
  2,750    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.807%        4/20/26        Ba3        2,746,879  
  1,500    

Madison Park Funding Limited, Series 2012-10A, 144A

    8.927%        1/20/29        BB        1,544,868  
  500    

North End CLO Limited, Loan Pool, 144A

    5.904%        7/17/25        BB        486,153  
  3,000    

Octagon Investment Partners, Series 2015-1A, 144A

    7.157%        10/20/26        Ba3        3,002,558  

 

  48     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

ASSET-BACKED SECURITIES (continued)

          
$ 1,250    

OZLM Funding Limited, Series 2012-2A, 144A

    8.611%        10/30/27        BB      $ 1,263,719  
  1,800    

Race Point Collateralized Loan Obkigation Series 2012-7A, 144A

    6.179%        11/08/24        BB–        1,802,569  
$ 17,900    

Total Asset-Backed Securities (cost $17,036,785)

                               17,964,920  
Shares     Description (1), (9)                           Value  
      INVESTMENT COMPANIES – 1.8% (1.1% of Total Investments)                
  353,668    

Eaton Vance Floating-Rate Income Trust Fund

           $ 5,404,047  
  968,586    

Eaton Vance Senior Income Trust

                               6,470,154  
 

Total Investment Companies (cost $11,981,509)

                               11,874,201  
Shares     Description (1)                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

          
  34,176    

Smart Modular Technology, Inc., (8)

                             $  
 

Total Warrants (cost $0)

                                
 

Total Long-Term Investments (cost $1,024,347,031)

                               997,537,033  
Shares     Description (1)                           Value  
      SHORT-TERM INVESTMENTS – 7.9% (5.0% of Total Investments)                
      INVESTMENT COMPANIES – 7.9% (5.0% of Total Investments)  
  52,677,742    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                             $ 52,677,742  
 

Total Short-Term Investments (cost $52,677,742)

                               52,677,742  
 

Total Investments (cost $1,077,024,773) – 158.2%

                               1,050,214,775  
 

Borrowings – (38.3)% (10), (11)

                               (254,300,000
 

Term Preferred Shares, net of deferred offering costs – (18.7)% (12)

 

              (123,994,729
 

Other Assets Less Liabilities – (1.2)% (13)

                               (8,056,961
 

Net Assets Applicable to Common Shares – 100%

                             $ 663,863,085  

Investments in Derivatives as of July 31, 2017

Interest Rate Swaps (OTC Uncleared)

 

Counterparty   Notional
Amount
    Fund
Pay/Receive
Floating Rate
    Floating Rate Index     Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC

  $ 10,200,000       Pay       1-Month USD-LIBOR-ICE       1.750 % (14)      Monthly       12/01/19  (15)    $ (31,898

Morgan Stanley Capital Services LLC

    25,000,000       Pay       1-Month USD-LIBOR-ICE       2.700  (16)      Monthly       1/01/22  (17)      20,909  

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month USD-LIBOR-ICE       5.750       Monthly       6/01/24  (18)      51,410  

Morgan Stanley Capital Services LLC

    55,000,000       Pay       1-Month USD-LIBOR-ICE       4.000       Monthly       1/01/27  (19)      553,732  
    $ 125,200,000                                             $ 594,153  

 

NUVEEN     49  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(6) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(7) For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(8) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(9) A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

 

(10) Borrowings as a percentage of Total Investments is 24.2%.

 

(11) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings.

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(13) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(14) Effective June 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(15) This interest rate swap has an optional early termination date beginning on December 1, 2017 and monthly thereafter through the termination date as specified in the swap contract.

 

(16) Effective April 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every three months on specific dates through the swap contract’s termination date.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18) This interest rate swap has an optional early termination date beginning on June 1, 2020 and monthly thereafter through the termination date as specified in the swap contract.

 

(19) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

(20) Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

(WI/DD) Purchased on a when-issued or delayed delivery basis.

 

PIK All or a portion of this security is payment-in-kind.

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

  50     NUVEEN


JRO

 

Nuveen Floating Rate Income Opportunity Fund

  

Portfolio of Investments

   July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
 

LONG-TERM INVESTMENTS – 149.0% (94.8% of Total Investments)

 

     
 

VARIABLE RATE SENIOR LOAN INTERESTS – 123.6% (78.7% of Total Investments) (4)

 

     
      Aerospace & Defense – 2.6% (1.6% of Total Investments)                
$ 5,765    

Sequa Corporation, Term Loan, First Lien

    6.814%        11/28/21        B–      $ 5,826,519  
  1,985    

Sequa Corporation, Term Loan, Second Lien

    10.314%        4/26/22        CCC        2,035,099  
  743    

Transdigm, Inc., Extend Term Loan F

    4.234%        6/07/23        Ba2        747,219  
  3,341    

Transdigm, Inc., Term Loan E, First Lien

    4.255%        5/14/22        Ba2        3,360,491  
  11,834    

Total Aerospace & Defense

                               11,969,328  
      Air Freight & Logistics – 0.9% (0.5% of Total Investments)                
  1,326    

Americold Realty Operating Partnership, Term Loan B

    4.984%        12/01/22        BB        1,345,501  
  1,163    

PAE Holding Corporation, Term Loan B

    6.734%        10/20/22        B+        1,175,675  
  1,444    

XPO Logistics, Inc., Refinanced Term Loan

    3.554%        11/01/21        Ba1        1,451,538  
  3,933    

Total Air Freight & Logistics

                               3,972,714  
      Airlines – 1.7% (1.1% of Total Investments)                
  2,394    

American Airlines, Inc., Replacement Term Loan

    3.233%        6/27/20        BB+        2,400,370  
  1,960    

American Airlines, Inc., Replacement Term Loan

    3.226%        10/10/21        BB+        1,966,399  
  3,660    

American Airlines, Inc., Term Loan B

    3.726%        12/14/23        BB+        3,683,333  
  8,014    

Total Airlines

                               8,050,102  
      Auto Components – 0.7% (0.4% of Total Investments)                
  1,000    

DexKo Global, Inc., Term Loan, First Lien

    5.313%        7/13/24        B1        1,013,750  
  566    

Horizon Global Corporation, Term Loan B

    5.734%        6/30/21        B+        571,471  
  1,500    

Superior Industries International, Inc., Term Loan B

    5.787%        6/14/24        B1        1,511,250  
  3,066    

Total Auto Components

                               3,096,471  
      Automobiles – 2.3% (1.5% of Total Investments)                
  4,588    

Chrysler Group LLC, Term Loan

    3.230%        12/31/18        BBB–        4,619,150  
  6,253    

Formula One Group, Term Loan B, (DD1)

    4.504%        2/01/24        B        6,294,030  
  10,841    

Total Automobiles

                               10,913,180  
      Building Products – 0.6% (0.4% of Total Investments)                
  2,985    

Quikrete Holdings, Inc., Term Loan B

    3.984%        11/15/23        BB–        2,999,418  
      Capital Markets – 0.3% (0.2% of Total Investments)                
  1,500    

RPI Finance Trust, Term Loan B6

    3.296%        3/27/23        Baa2        1,509,375  
      Chemicals – 1.0% (0.6% of Total Investments)                
  431    

Ineos US Finance LLC, New 2022 Dollar Term Loan

    4.007%        3/31/22        Ba2        433,914  
  481    

Ineos US Finance LLC, New 2024 Dollar Term Loan

    4.007%        4/01/24        Ba2        484,736  
  1,521    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        1,542,292  
  1,481    

OM Group, Inc., Term Loan B, First Lien

    6.296%        2/21/24        B        1,503,507  
  748    

Univar, Inc., Term Loan B

    3.984%        7/01/22        BB        753,264  
  4,662    

Total Chemicals

                               4,717,713  
      Commercial Services & Supplies – 3.8% (2.4% of Total Investments)                
  739    

ADS Waste Holdings, Inc., Term Loan B, First Lien

    3.944%        11/10/23        BB        745,671  
  261    

Education Management LLC, Tranche A, Term Loan, (5)

    5.804%        7/02/20        N/R        118,316  
  496    

Education Management LLC, Tranche B, Term Loan, (5)

    8.804%        7/02/20        N/R        10,534  
  995    

Fort Dearborn Holding Company, Inc., Term Loan, First Lien

    5.298%        10/19/23        B2        999,353  
  1,000    

Fort Dearborn Holding Company, Inc., Term Loan, Second Lien

    9.799%        10/07/24        CCC        997,500  
  3,149    

iQor US, Inc., Term Loan, First Lien

    6.299%        4/01/21        B        3,140,363  
  333    

iQor US, Inc., Term Loan, Second Lien

    10.049%        4/01/22        CCC+        322,500  
  971    

KAR Auction Services, Inc., Term Loan B5

    3.813%        3/09/23        Ba2        978,748  

 

NUVEEN     51  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)                
$ 2,978    

Monitronics International, Inc., Term Loan B2, First Lien

    6.796%        9/30/22        B2      $ 3,016,267  
  2,281    

Protection One, Inc., Term Loan

    3.984%        5/02/22        BB–        2,296,859  
  2,105    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.984%        4/28/21        B–        1,983,459  
  1,481    

Universal Services of America, Initial Term Loan, First Lien

    5.046%        7/28/22        B+        1,486,346  
  1,750    

Universal Services of America, Term Loan, Second Lien

    9.811%        7/28/23        B–        1,751,645  
  18,539    

Total Commercial Services & Supplies

                               17,847,561  
      Communications Equipment – 2.5% (1.6% of Total Investments)                
  1,835    

Avaya, Inc., DIP Term Loan

    8.729%        1/24/18        Baa3        1,890,352  
  5,417    

Avaya, Inc., Term Loan B3, (5)

    6.460%        10/26/17        N/R        4,426,773  
  1,060    

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        N/R        866,351  
  1,815    

Avaya, Inc., Term Loan B7, (5)

    6.460%        5/29/20        N/R        1,490,051  
  1,191    

Colorado Buyer, Inc., Term Loan, First Lien

    4.170%        5/01/24        Ba3        1,203,583  
  583    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.420%        5/01/25        B3        593,055  
  1,286    

Riverbed Technology, Inc., Term Loan B, First Lien

    4.490%        4/24/22        B+        1,270,989  
  13,187    

Total Communications Equipment

                               11,741,154  
      Consumer Finance – 2.1% (1.3% of Total Investments)                
  1,832    

First Data Corporation, Term Loan, First Lien

    3.477%        7/10/22        BB        1,839,915  
  7,769    

First Data Corporation, Term Loan B

    3.727%        4/26/24        BB        7,820,705  
  9,601    

Total Consumer Finance

                               9,660,620  
      Containers & Packaging – 0.5% (0.3% of Total Investments)                
  1,116    

Berry Plastics Holding Corporation, Term Loan I

    3.730%        10/01/22        BB        1,122,342  
  997    

Reynolds Group Holdings, Inc., Term Loan, First Lien

    4.234%        2/05/23        B+        1,003,050  
  2,113    

Total Containers & Packaging

                               2,125,392  
      Diversified Consumer Services – 3.2% (2.1% of Total Investments)                
  4,967    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.474%        6/07/23        B+        4,707,734  
  5,157    

Hilton Hotels Corporation, Term Loan B2

    3.232%        10/25/23        BBB–        5,187,365  
  3,430    

Houghton Mifflin, Term Loan B, First Lien

    4.234%        5/28/21        B+        3,330,041  
  1,746    

Laureate Education, Inc., New Term Loan

    5.734%        4/20/24        B        1,769,627  
  15,300    

Total Diversified Consumer Services

                               14,994,767  
      Diversified Financial Services – 2.2% (1.4% of Total Investments)                
  2,757    

Citco III Limited, Term Loan

    4.234%        3/31/22        N/R        2,788,485  
  1,174    

Freedom Mortgage Corporation, Initial Term Loan

    6.862%        2/23/22        BB–        1,193,441  
  1,481    

MGM Growth Properties, Term Loan B

    3.484%        4/25/23        BB+        1,489,034  
  1,424    

MJ Acquisition Corp., Term Loan, First Lien

    4.211%        6/01/22        B+        1,436,574  
  3,104    

Veritas US, Inc., Term Loan B1

    5.796%        1/27/23        B+        3,145,440  
  9,940    

Total Diversified Financial Services

                               10,052,974  
      Diversified Telecommunication Services – 9.4% (6.0% of Total Investments)                
  6,000    

CenturyLink, Inc., Term Loan B

    2.750%        1/31/25        BBB–        5,927,340  
  993    

DTI Holdings, Inc., Term Loan B, First Lien

    6.561%        10/02/23        B        971,409  
  5,807    

Frontier Communications Corporation, Term Loan B

    4.980%        1/14/20        BB        5,595,629  
  2,985    

Greeneden U.S. Holdings II LLC, Term Loan B

    5.007%        12/01/23        B2        3,011,134  
  9,504    

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    4.000%        6/30/19        B1        9,491,889  
  3,445    

Level 3 Financing, Inc., Tranche B, Term Loan

    3.479%        2/22/24        BBB–        3,463,868  
  609    

Presidio, Inc., Term Loan, First Lien

    4.548%        2/02/22        B+        614,426  
  5,801    

WideOpenWest Finance LLC, Term Loan B

    4.452%        8/18/23        B        5,812,937  
  9,000    

Ziggo B.V., Term Loan E

    3.726%        4/15/25        BB–        9,023,534  
  44,144    

Total Diversified Telecommunication Services

                               43,912,166  
      Electric Utilities – 1.5% (1.0% of Total Investments)                
  688    

EFS Cogen Holdings LLC, Term Loan B

    4.800%        6/28/23        BB        696,205  
  2,620    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.233%        7/02/18        BB        2,642,421  
  719    

Helix Generation, Term Loan B

    4.960%        3/10/24        BB        726,788  

 

  52     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electric Utilities (continued)                
$ 2,431    

Vistra Operations Co., Term Loan B

    3.982%        8/04/23        BB+      $ 2,442,346  
  557    

Vistra Operations Co., Term Loan C

    3.977%        8/04/23        Ba2        559,826  
  7,015    

Total Electric Utilities

                               7,067,586  
      Electrical Equipment – 0.5% (0.3% of Total Investments)                
  2,160    

Zebra Technologies Corporation, Term Loan B

    3.314%        10/24/21        BB        2,170,323  
      Electronic Equipment, Instruments & Components – 0.7% (0.5% of Total Investments)                
  1,540    

SMART Modular Technologies, Inc., Term Loan

    9.250%        8/26/19        B        1,536,191  
  1,749    

TTM Technologies, Inc., New Term Loan

    5.484%        5/31/21        BB–        1,777,612  
  3,289    

Total Electronic Equipment, Instruments & Components

                               3,313,803  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)                
  648    

Dynamic Energy Services International LLC, Term Loan

    14.679%        3/06/18        N/R        226,749  
  2,578    

Ocean Rigs, Inc., Term Loan B1, (5)

    8.250%        3/31/21        CCC–        1,804,406  
  3,226    

Total Energy Equipment & Services

                               2,031,155  
      Equity Real Estate Investment Trusts – 2.5% (1.6% of Total Investments)                
  4,451    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.234%        10/24/22        BB–        4,465,548  
  1,273    

Realogy Group LLC, Term Loan B

    3.484%        7/20/22        BB+        1,281,630  
  6,293    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.984%        12/18/20        Caa1        5,799,278  
  12,017    

Total Equity Real Estate Investment Trusts

                               11,546,456  
      Food & Staples Retailing – 4.8% (3.1% of Total Investments)                
  14,807    

Albertson’s LLC, Term Loan B4

    3.984%        8/25/21        BB        14,792,869  
  2,116    

Albertson’s LLC, Term Loan B6

    4.251%        6/22/23        BB        2,117,144  
  1,394    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien

    4.968%        2/03/24        B–        1,367,496  
  2,875    

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

    5.115%        6/21/21        BB–        2,894,766  
  995    

Save-A-Lot, Term Loan B

    7.234%        12/05/23        B        980,697  
  146    

Supervalu, Inc., Delayed Draw, Term Loan B

    4.734%        6/02/24        BB–        145,436  
  244    

Supervalu, Inc., Term Loan B

    4.734%        6/02/24        BB–        242,393  
  22,577    

Total Food & Staples Retailing

                               22,540,801  
      Food Products – 4.2% (2.6% of Total Investments)                
  1,000    

American Seafoods Group LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB–        1,004,380  
  1,455    

Hearthside Group Holdings LLC, Term Loan B

    4.234%        6/02/21        B1        1,463,184  
  3,437    

Jacobs Douwe Egberts, Term Loan B

    3.438%        7/02/22        BB        3,458,335  
  2,802    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    2.750%        3/03/21        BBB–        2,804,525  
  1,932    

Pinnacle Foods Finance LLC, Term Loan B

    3.227%        2/02/24        BB+        1,943,641  
  8,591    

US Foods, Inc., New Term Loan B

    3.990%        6/27/23        BB        8,666,878  
  19,217    

Total Food Products

                               19,340,943  
      Health Care Equipment & Supplies – 2.0% (1.3% of Total Investments)                
  837    

Acelity, Term Loan B

    4.546%        2/02/24        B1        840,623  
  872    

ConvaTec, Inc., Term Loan B

    3.796%        10/25/23        BB        877,329  
  1,329    

Greatbatch, Inc., Term Loan B

    4.730%        10/27/22        B        1,337,174  
  3,770    

Onex Carestream Finance LP, Term Loan, First Lien

    5.275%        6/07/19        B+        3,773,309  
  2,553    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.796%        12/09/19        B–        2,509,043  
  9,361    

Total Health Care Equipment & Supplies

                               9,337,478  
      Health Care Providers & Services – 3.8% (2.4% of Total Investments)                
  2,300    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.228%        4/28/22        B        2,289,949  
  974    

Community Health Systems, Inc., Term Loan G

    3.979%        12/31/19        BB–        975,262  
  1,955    

Community Health Systems, Inc., Term Loan H

    4.213%        1/27/21        BB–        1,954,913  
  1,688    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.300%        12/01/23        BB–        1,701,829  
  1,146    

Healogics, Inc., Term Loan, First Lien

    5.320%        7/01/21        B2        918,513  
  1,955    

Heartland Dental Care, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        B2        1,961,112  
  1,500    

Heartland Dental Care, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC        1,522,500  

 

NUVEEN     53  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services (continued)                
$ 2,724    

Millennium Laboratories, Inc., Term Loan B, First Lien

    7.734%        12/21/20        CCC+      $ 1,657,275  
  1,364    

MultiPlan, Inc., Term Loan B

    4.296%        6/07/23        B+        1,375,425  
  347    

Quorum Health Corp., Term Loan B

    7.984%        4/29/22        B2        348,128  
  2,426    

Select Medical Corporation, Tranche B, Term Loan

    4.810%        3/06/24        Ba2        2,468,417  
  660    

Vizient, Inc., New Term Loan B

    4.734%        2/13/23        B+        668,963  
  19,039    

Total Health Care Providers & Services

                               17,842,286  
      Health Care Technology – 1.7% (1.1% of Total Investments)                
  1,809    

Catalent Pharma Solutions, Inc., Term Loan B

    3.984%        5/20/21        BB        1,825,333  
  4,988    

Emdeon, Inc., Term Loan

    3.984%        3/01/24        Ba3        5,022,413  
  1,000    

Press Ganey Holdings, Inc., Term Loan, Second Lien

    8.484%        10/21/24        CCC+        1,026,875  
  7,797    

Total Health Care Technology

                               7,874,621  
      Hotels, Restaurants & Leisure – 6.3% (4.0% of Total Investments)                
  8,842    

Burger King Corporation, Term Loan B3

    3.508%        2/16/24        Ba3        8,848,935  
  3,500    

Caesars Entertainment Operating Company, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        3,521,333  
  1,847    

CCM Merger, Inc., Term Loan B

    3.984%        8/09/21        BB–        1,857,493  
  3,307    

CityCenter Holdings LLC, Term Loan B

    3.732%        4/18/24        BB–        3,324,196  
  1,703    

Intrawest Resorts Holdings, Inc., Term Loan B1, (WI/DD)

    TBD        TBD        B        1,714,395  
  899    

Intrawest Resorts Holdings, Inc., Term Loan B2, (WI/DD)

    TBD        TBD        B        905,355  
  1,715    

Life Time Fitness, Inc., Term Loan B

    4.234%        6/10/22        BB–        1,727,566  
  4,688    

Scientific Games Corporation, Term Loan B4, (WI/DD)

    TBD        TBD        Ba3        4,664,472  
  2,603    

Station Casino LLC, Term Loan B

    3.730%        6/08/23        BB        2,610,731  
  29,104    

Total Hotels, Restaurants & Leisure

                               29,174,476  
      Household Products – 0.5% (0.3% of Total Investments)                
  1,631    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.734%        11/16/20        B1        1,479,072  
  634    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.773%        11/08/23        B1        636,156  
  2,265    

Total Household Products

                               2,115,228  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)         
  1,038    

Dynegy, Inc., Tranche Term Loan C1

    4.484%        2/07/24        BB        1,043,927  
      Industrial Conglomerates – 0.8% (0.5% of Total Investments)                
  2,017    

Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien

    5.507%        6/16/24        B        2,036,215  
  1,746    

Foresight Energy LLC, Term Loan, First Lien

    7.046%        3/28/22        B        1,689,442  
  3,763    

Total Industrial Conglomerates

                               3,725,657  
      Insurance – 1.8% (1.1% of Total Investments)                
  748    

Acrisure LLC, Term Loan, First Lien

    6.296%        11/22/23        B        759,347  
  3,264    

Alliant Holdings I LLC, Term Loan B

    4.564%        8/14/22        B        3,278,754  
  4,336    

Hub International Holdings, Inc., Initial Term Loan

    4.422%        10/02/20        B+        4,371,131  
  8,348    

Total Insurance

                               8,409,232  
      Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)                
  2,385    

Travelport LLC, Term Loan B, (WI/DD)

    TBD        TBD        B+        2,389,994  
      Internet Software & Services – 2.4% (1.5% of Total Investments)                
  1,485    

Ancestry.com, Inc., Term Loan, First Lien

    4.480%        10/19/23        B1        1,500,548  
  675    

Ancestry.com, Inc., Term Loan B, Second Lien

    9.480%        10/19/24        CCC+        691,875  
  1,496    

Rackspace Hosting, Inc., Term Loan B

    4.172%        11/03/23        BB+        1,507,846  
  3,678    

Sabre, Inc., New Term Loan B

    3.984%        2/22/24        Ba2        3,712,885  
  1,913    

SkillSoft Corporation, Term Loan, Second Lien

    9.484%        4/28/22        CCC        1,588,004  
  1,500    

TierPoint LLC, Term Loan, First Lien

    4.984%        5/05/24        B+        1,509,060  
  500    

TierPoint LLC, Term Loan, Second Lien

    8.484%        5/05/25        CCC+        511,875  
  11,247    

Total Internet Software & Services

                               11,022,093  

 

  54     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      IT Services – 2.1% (1.4% of Total Investments)                           
$ 1,064    

Engility Corporation, Repriced Term Loan B2

    5.019%        8/14/23        BB–      $ 1,079,356  
  1,253    

Gartner, Inc., Term Loan A

    3.234%        3/21/22        BB+        1,260,416  
  748    

Gartner, Inc., Term Loan B

    3.234%        4/05/24        BB+        754,675  
  345    

Mitchell International, Inc., Initial Term Loan B, First Lien

    4.811%        10/13/20        B1        346,990  
  2,500    

Optiv Security, Inc., Term Loan, Second Lien

    8.438%        1/31/25        Caa1        2,493,750  
  750    

PEAK 10, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B        754,376  
  420    

PEAK 10, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        428,138  
  1,750    

Tempo Acquisition LLC, Term Loan B

    4.227%        5/01/24        B1        1,766,406  
  990    

WEX, Inc., Term Loan B

    3.984%        7/01/23        BB–        1,002,236  
  9,820    

Total IT Services

                               9,886,343  
      Leisure Products – 1.5% (1.0% of Total Investments)                
  1,551    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.046%        5/28/21        Ba3        1,549,671  
  2,040    

Academy, Ltd., Term Loan B

    5.242%        7/01/22        B2        1,609,843  
  1,845    

Equinox Holdings, Inc., Term Loan, First Lien

    4.484%        3/08/24        B+        1,861,950  
  995    

Four Seasons Holdings, Inc., Term Loan B

    3.734%        11/30/23        BB        1,004,562  
  1,000    

Zodiac Pool Solutions LLC, Term Loan, Second Lien

    10.296%        12/20/24        CCC+        1,013,755  
  7,431    

Total Leisure Products

                               7,039,781  
      Life Sciences Tools & Services – 0.8% (0.5% of Total Investments)                
  585    

Inventiv Health, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB+        589,522  
  2,918    

Patheon, Inc., New Term Loan, First Lien

    4.504%        4/22/24        B        2,929,535  
  3,503    

Total Life Sciences Tools & Services

                               3,519,057  
      Machinery – 0.4% (0.3% of Total Investments)                
  1,058    

Gates Global LLC, Initial Dollar Term Loan B1

    4.546%        4/01/24        B+        1,067,611  
  828    

Rexnord LLC, Term Loan B, First Lien

    4.046%        8/21/23        BB–        833,489  
  1,886    

Total Machinery

                               1,901,100  
      Marine – 0.2% (0.1% of Total Investments)                
  938    

American Commercial Lines LLC, Term Loan B, First Lien

    9.984%        11/12/20        B–        817,191  
      Media – 12.2% (7.8% of Total Investments)                
  1,160    

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.546%        7/23/21        B1        1,137,038  
  159    

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.796%        7/25/22        CCC+        151,220  
  1,496    

Affinion Group Holdings, Inc., Term Loan, First Lien

    8.935%        5/10/22        B2        1,505,138  
  3,343    

Catalina Marketing Corporation, Term Loan, First Lien

    4.734%        4/09/21        B1        2,735,285  
  1,500    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.984%        4/11/22        Caa1        848,753  
  5,430    

Cequel Communications LLC, Term Loan B

    3.483%        7/28/25        BB–        5,427,296  
  3,950    

Charter Communications Operating Holdings LLC, Term Loan I, First Lien

    3.484%        1/15/24        BBB–        3,981,284  
  3,360    

Clear Channel Communications, Inc., Tranche D, Term Loan

    7.984%        1/30/19        Caa1        2,727,844  
  1,646    

Clear Channel Communications, Inc., Term Loan E

    8.734%        7/30/19        Caa1        1,332,460  
  9,266    

Cumulus Media, Inc., Term Loan B

    4.490%        12/23/20        Caa1        7,475,038  
  1,807    

Emerald Expositions Holdings, Inc., Term Loan B

    4.296%        5/17/24        BB        1,834,260  
  1,604    

Getty Images, Inc., Term Loan B, First Lien

    4.796%        10/18/19        B3        1,498,477  
  594    

Gray Television, Inc., Term Loan B2

    3.551%        2/07/24        BB        597,467  
  1,940    

IMG Worldwide, Inc., Term Loan, First Lien

    4.490%        5/06/21        B+        1,956,849  
  881    

Lions Gate Entertainment Corporation, Term Loan B

    4.234%        12/08/23        Ba2        891,715  
  1,042    

LSC Communications, Term Loan

    7.234%        9/30/22        Ba3        1,052,083  
  4,455    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.234%        5/02/22        Ba3        4,406,953  
  416    

Nexstar Broadcasting Group, Term Loan, (DD1)

    3.732%        1/17/24        BB+        419,736  
  3,402    

Nexstar Broadcasting Group, Term Loan B, (DD1)

    3.738%        1/17/24        Ba3        3,435,187  
  1,959    

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.796%        8/14/20        B        1,968,646  
  8,228    

Univision Communications, Inc., Term Loan C5

    3.984%        3/15/24        BB–        8,208,792  
  1,250    

Virgin Media Investment Holdings, Limited Term Loan I

    3.976%        1/31/25        BB–        1,257,975  
  1,120    

WMG Acquisition Corporation, Term Loan, First Lien

    3.727%        11/01/23        Ba3        1,125,999  
  271    

Yell Group PLC, PIK Term Loan B2, First Lien

    8.500%        9/07/65        N/R        596,461  
  286    

Yell Group PLC, Term Loan A2, First Lien

    8.182%        9/07/21        N/R        296,881  
  60,565    

Total Media

                               56,868,837  

 

NUVEEN     55  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Metals & Mining – 1.2% (0.8% of Total Investments)                
$ 1,250    

CanAm Construction, Inc., Term Loan B

    6.799%        6/29/24        B      $ 1,243,750  
  1,898    

Fairmount Minerals, Ltd., Term Loan B1, First Lien

    4.796%        9/05/19        Caa1        1,776,693  
  1,266    

Fairmount Minerals, Ltd., Term Loan B2, First Lien

    4.796%        9/05/19        B–        1,191,983  
  1,388    

Zekelman Industries, Term Loan B

    4.789%        6/14/21        BB–        1,399,138  
  5,802    

Total Metals & Mining

                               5,611,564  
      Multiline Retail – 2.7% (1.7% of Total Investments)                
  2,279    

99 Cents Only Stores Tranche B2, Term Loan

    4.755%        1/11/19        CCC+        2,203,395  
  1,000    

Bass Pro Group LLC, Sale Facility, Term Loan, First Lien

    6.046%        6/08/18        B+        1,005,315  
  1,503    

Bass Pro Group LLC, Term Loan B, First Lien

    4.474%        6/05/20        B+        1,503,730  
  1,197    

Belk, Inc., Term Loan B, First Lien

    6.054%        12/12/22        B        1,000,676  
  5,650    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        5,739,468  
  922    

Hudson’s Bay Company, Term Loan B, First Lien

    4.546%        9/30/22        BB        881,051  
  12,551    

Total Multiline Retail

                               12,333,635  
      Oil, Gas & Consumable Fuels – 3.3% (2.1% of Total Investments)                
  1,250    

California Resources Corporation, Term Loan, (DD1)

    11.601%        12/31/21        B        1,350,625  
  599    

California Resources Corporation, Term Loan A, First Lien

    4.234%        9/24/19        B1        574,726  
  664    

Crestwood Holdings LLC, Term Loan B

    9.228%        6/19/19        B–        658,580  
  241    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        90,231  
  3,295    

Fieldwood Energy LLC, Term Loan, First Lien, (DD1)

    4.171%        10/01/18        B2        3,184,097  
  1,648    

Fieldwood Energy LLC, Term Loan, First Lien

    8.296%        8/31/20        B2        1,574,816  
  941    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        CCC–        551,610  
  2,109    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        B–        1,701,444  
  3,391    

Harvey Gulf International Marine, Inc., Term Loan B

    5.750%        6/18/20        CCC–        1,427,562  
  2,173    

Peabody Energy Corporation, Term Loan B

    5.734%        3/31/22        Ba3        2,197,573  
  2,867    

Seadrill Partners LLC, Initial Term Loan

    4.296%        2/21/21        CCC+        1,972,720  
  43    

Southcross Holdings Borrower L.P., Term Loan B, First Lien

    3.500%        4/13/23        CCC+        38,498  
  19,221    

Total Oil, Gas & Consumable Fuels

                               15,322,482  
      Pharmaceuticals – 2.2% (1.4% of Total Investments)                
  2,393    

Concordia Healthcare Corporation, Term Loan B, First Lien, (DD1)

    5.501%        10/21/21        CCC+        1,784,288  
  3,990    

Grifols, Inc., Term Loan B

    3.444%        1/31/25        BB        4,015,975  
  4,419    

Pharmaceutical Product Development, Inc., Term Loan, First Lien

    4.017%        8/18/22        Ba3        4,454,387  
  76    

Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan

    5.980%        4/01/22        BB–        77,836  
  10,878    

Total Pharmaceuticals

                               10,332,486  
      Professional Services – 0.6% (0.4% of Total Investments)                
  643    

Ceridian Corporation, Term Loan B2

    4.734%        9/15/20        Ba3        643,567  
  1,995    

Nielsen Finance LLC, Term Loan B4

    3.224%        10/04/23        BBB–        2,001,574  
  2,638    

Total Professional Services

                               2,645,141  
      Real Estate Management & Development – 1.0% (0.6% of Total Investments)                
  2,100    

Capital Automotive LP, Term Loan, First Lien

    4.240%        3/25/24        B1        2,124,568  
  2,482    

Capital Automotive LP, Term Loan, Second Lien

    7.240%        3/24/25        B3        2,533,130  
  4,582    

Total Real Estate Management & Development

                               4,657,698  
      Road & Rail – 0.3% (0.2% of Total Investments)                           
  1,478    

Quality Distribution, Incremental Term Loan, First Lien

    6.796%        8/18/22        B2        1,431,328  
      Semiconductors & Semiconductor Equipment – 1.5% (1.0% of Total Investments)                
  1,093    

Cypress Semiconductor Corp, Term Loan B, (DD1)

    3.980%        7/19/21        BB        1,101,274  
  1,063    

Lumileds, Term Loan, First Lien

    5.796%        3/17/24        Ba3        1,078,937  
  1,238    

Micron Technology, Inc., New Term Loan B

    3.800%        4/26/22        Baa2        1,250,655  
  1,474    

Microsemi Corporation, Term Loan B

    3.553%        1/17/23        BB        1,481,976  
  2,269    

On Semiconductor Corp., New Term Loan B

    3.484%        3/31/23        Ba1        2,281,163  
  7,137    

Total Semiconductors & Semiconductor Equipment

                               7,194,005  

 

  56     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software – 11.7% (7.5% of Total Investments)                
$ 3,412    

Blackboard, Inc., Term Loan B4

    6.304%        6/30/21        B+      $ 3,396,345  
  4,219    

BMC Software, Inc., Initial Term Loan B1, (DD1)

    5.234%        9/10/22        B+        4,255,165  
  933    

Computer Sciences Government Services, Term Loan B

    3.296%        11/30/23        BB+        936,001  
  3,976    

Compuware Corporation, Term Loan B2, First Lien

    5.550%        12/15/21        B        4,000,651  
  924    

Compuware Corporation, Term Loan, Second Lien

    9.550%        12/15/22        B–        935,230  
  2,297    

Ellucian, Term Loan B, First Lien

    4.546%        9/30/22        B        2,305,040  
  9,346    

Infor (US), Inc., Term Loan B

    4.046%        2/01/22        B1        9,366,217  
  1,976    

Informatica Corp., Term Loan B

    4.796%        8/05/22        B        1,986,076  
  1,244    

Kronos Incorporated, Term Loan, First Lien

    4.680%        11/01/23        B        1,260,088  
  903    

Micro Focus International PLC, New Term Loan

    3.979%        6/21/24        BB–        904,965  
  6,097    

Micro Focus International PLC, Term Loan B

    4.030%        4/21/24        BB–        6,111,450  
  2,943    

Micro Focus International PLC, Term Loan B2

    3.811%        11/19/21        BB–        2,948,813  
  1,500    

Misys, New Term Loan, Second Lien

    8.459%        4/28/25        CCC+        1,544,112  
  2,499    

Misys, New Term Loan, First Lien

    4.736%        6/13/24        B        2,522,483  
  1,493    

RP Crown Parent LLC, Term Loan B, First Lien

    4.734%        10/12/23        B1        1,512,559  
  1,656    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1

    3.484%        7/08/22        BB+        1,667,898  
  94    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2

    3.484%        7/08/22        BB+        94,460  
  6,458    

Tibco Software, Inc., Term Loan, First Lien

    4.730%        12/04/20        B        6,508,098  
  1,117    

Vertafore, Inc., Term Loan, First Lien

    4.546%        6/30/23        B        1,124,239  
  1,210    

Vertiv Co., New Term Loan B

    5.234%        11/30/23        Ba3        1,222,823  
  54,297    

Total Software

                               54,602,713  
      Specialty Retail – 1.0% (0.6% of Total Investments)                
  1,985    

Gardner Denver, Inc., Term Loan

    4.546%        7/30/20        B+        1,997,235  
  1,956    

Petco Animal Supplies, Inc., Term Loan B1

    4.311%        1/26/23        B1        1,777,566  
  692    

Petsmart Inc., Term Loan B, First Lien

    4.230%        3/11/22        Ba3        656,140  
  4,633    

Total Specialty Retail

                               4,430,941  
      Technology Hardware, Storage & Peripherals – 6.6% (4.2% of Total Investments)                
  978    

Conduent, Inc., Term Loan B

    5.234%        12/07/23        BB+        991,672  
  10,554    

Dell International LLC, New Term Loan B

    3.740%        9/07/23        BBB–        10,629,525  
  5,534    

Dell International LLC, Term Loan A2, First Lien

    3.490%        9/07/21        BBB–        5,555,129  
  3,500    

Dell International LLC, Term Loan A3, First Lien

    3.240%        12/31/18        BBB–        3,506,563  
  1,215    

Dell Software Group, Term Loan B

    7.257%        10/31/22        B1        1,237,740  
  8,529    

Western Digital, Inc., New Term Loan B

    3.983%        4/29/23        BBB–        8,604,666  
  30,310    

Total Technology Hardware, Storage & Peripherals

                               30,525,295  
      Textiles, Apparel & Luxury Goods – 0.2% (0.1% of Total Investments)                
  160    

Gymboree Corporation, DIP Term Loan

    5.000%        12/12/17        N/R        59,016  
  80    

Gymboree Corporation, DIP Term Loan, (21)

    13.226%        12/12/17        D        79,953  
  1,596    

Gymboree Corporation, Term Loan, (5)

    3.500%        2/23/18        N/R        589,103  
  1,836    

Total Textiles, Apparel & Luxury Goods

                               728,072  
      Trading Companies & Distributors – 2.1% (1.3% of Total Investments)                
  5,909    

Avolon, Term Loan B2

    3.978%        3/21/22        BBB–        5,916,386  
  730    

HD Supply Waterworks, Ltd., Term Loan B, (WI/DD)

    TBD        TBD        B+        735,931  
  1,761    

HD Supply, Inc., Term Loan B

    4.046%        8/13/21        BB        1,770,766  
  1,210    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.664%        6/09/21        B–        1,218,286  
  9,610    

Total Trading Companies & Distributors

                               9,641,369  
      Transportation Infrastructure – 0.3% (0.2% of Total Investments)                
  84    

Ceva Group PLC, Canadian Term Loan

    6.814%        3/19/21        B–        78,588  
  485    

Ceva Group PLC, Dutch B.V., Term Loan

    6.814%        3/19/21        B–        455,811  
  475    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B–        446,743  
  669    

Ceva Group PLC, US Term Loan

    6.814%        3/19/21        B–        628,705  
  1,713    

Total Transportation Infrastructure

                               1,609,847  

 

NUVEEN     57  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Wireless Telecommunication Services – 3.3% (2.1% of Total Investments)                
$ 2,074    

Asurion LLC, Term Loan B4

    3.989%        8/04/22        Ba3      $ 2,073,882  
  1,900    

Asurion LLC, Term Loan B5

    4.234%        11/03/23        Ba3        1,917,859  
  6,982    

Sprint Corporation, Term Loan, First Lien

    3.750%        2/02/24        Ba2        7,015,667  
  1,542    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.311%        4/23/19        B        1,492,152  
  857    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.296%        4/23/19        B        826,792  
  2,000    

UPC Financing Partnership, Term Loan, First Lien

    3.976%        4/15/25        BB        2,012,920  
  15,355    

Total Wireless Telecommunication Services

                               15,339,272  
$ 589,691    

Total Variable Rate Senior Loan Interests (cost $582,267,431)

 

              574,947,151  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.8% (1.1% of Total Investments)

 

     
      Banks – 0.6% (0.4% of Total Investments)                
  30,811    

BLB Worldwide Holdings Inc., (6)

                             $ 2,749,883  
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)                
  71,949    

Cengage Learning Holdings II LP, (6)

             545,589  
  3,124,035    

Education Management Corporation, (6), (7)

                               312  
 

Total Diversified Consumer Services

                               545,901  
      Energy Equipment & Services – 0.5% (0.3% of Total Investments)                
  60,418    

C&J Energy Services Inc., (6)

             1,953,918  
  2,534    

Vantage Drill International, (6)

                               428,246  
 

Total Energy Equipment & Services

                               2,382,164  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  54,276    

Millenium Health LLC, (6)

                               81,414  
      Media – 0.5% (0.3% of Total Investments)                
  963,320    

Hibu PLC, (6), (8)

             1  
  23,363    

Metro-Goldwyn-Mayer, (6)

             2,198,061  
  36,087    

Tribune Media Company, (8)

                                
 

Total Media

                               2,198,062  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  109    

Energy and Exploration Partners, Inc., (6), (8)

              
  46    

Southcross Holdings Borrower LP, (6)

                               31,740  
 

Total Oil, Gas & Consumable Fuels

                               31,740  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)                
  15,675    

Smart Global Holdings, Inc., (6), (8)

                               239,451  
 

Total Common Stocks (cost $12,375,743)

                               8,228,615  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

 

     
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                
  3,476    

Education Management Corporation, (7)

    7.500%                 N/R      $  
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

                                
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)

 

     
      Communications Equipment – 0.0% (0.0% of Total Investments)                
$ 550    

Nortel Networks Limited

    1.750%        4/15/12        N/R      $ 121,000  
$ 550    

Total Convertible Bonds (cost $117,755)

                               121,000  

 

  58     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 21.6% (13.7% of Total Investments)

 

     
      Communications Equipment – 0.1% (0.1% of Total Investments)                
$ 155    

Avaya Inc., 144A, (5)

    7.000%        4/01/19        N/R      $ 127,875  
  3,830    

Avaya Inc., 144A, (5)

    10.500%        3/01/21        N/R        344,700  
  3,985    

Total Communications Equipment

                               472,575  
      Diversified Telecommunication Services – 3.3% (2.1% of Total Investments)                
  2,462    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CCC–        2,360,443  
  4,760    

IntelSat Jackson Holdings

    5.500%        8/01/23        CCC+        4,105,500  
  1,005    

IntelSat Limited

    6.750%        6/01/18        CCC–        984,900  
  6,862    

IntelSat Limited

    7.750%        6/01/21        CCC–        4,391,680  
  4,630    

IntelSat Limited

    8.125%        6/01/23        CCC–        2,865,970  
  750    

Level 3 Financing Inc.

    5.375%        8/15/22        BB        770,625  
  20,469    

Total Diversified Telecommunication Services

                               15,479,118  
      Equity Real Estate Investment Trusts – 1.0% (0.6% of Total Investments)                
  1,250    

iStar Inc.

    4.000%        11/01/17        BB        1,251,563  
  3,250    

Realogy Group LLC / Realogy Co-Issuer Corporation, 144A

    5.250%        12/01/21        B+        3,388,125  
  125    

Walter Investment Management Corporation

    7.875%        12/15/21        Caa3        71,875  
  4,625    

Total Equity Real Estate Investment Trusts

                               4,711,563  
      Health Care Equipment & Supplies – 0.7% (0.4% of Total Investments)                
  3,000    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,213,750  
      Health Care Providers & Services – 1.3% (0.8% of Total Investments)                
  4,500    

HCA Inc.

    6.500%        2/15/20        BBB–        4,916,250  
  900    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        903,375  
  5,400    

Total Health Care Providers & Services

                               5,819,625  
      Hotels, Restaurants & Leisure – 1.9% (1.2% of Total Investments)                
  1,000    

MGM Resorts International Inc.

    5.250%        3/31/20        BB        1,061,000  
  2,750    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        2,928,750  
  4,200    

Scientific Games International Inc.

    10.000%        12/01/22        B–        4,683,000  
  7,950    

Total Hotels, Restaurants & Leisure

                               8,672,750  
      Household Durables – 1.1% (0.7% of Total Investments)                
  4,900    

Lennar Corporation

    4.125%        12/01/18        Ba1        5,007,188  
      Media – 4.4% (2.8% of Total Investments)                
  150    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        154,758  
  11,043    

Clear Channel Communications Inc., (5), (8)

    12.000%        8/01/21        N/R         
  2,000    

Dish DBS Corporation

    5.125%        5/01/20        Ba3        2,099,600  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,085,000  
  1,325    

Hughes Satellite Systems Corporation

    6.500%        6/15/19        BBB–        1,426,031  
  1,714    

iHeartCommunications, Inc., 144A

    11.250%        3/01/21        Caa1        1,276,930  
  6,412    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        5,177,690  
  13,403    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        Ca        3,216,793  
  7,850    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        5,848,250  
  44,897    

Total Media

                               20,285,052  
      Oil, Gas & Consumable Fuels – 1.1% (0.7% of Total Investments)                
  2,000    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        1,277,500  
  500    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        291,250  
  1,275    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        688,500  
  600    

Everest Acquisition LLC Finance

    9.375%        5/01/20        Caa2        510,750  
  2,400    

FTS International Inc., 144A

    8.463%        6/15/20        B        2,436,000  
  6,775    

Total Oil, Gas & Consumable Fuels

                               5,204,000  

 

NUVEEN     59  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                
$ 600    

Concordia Healthcare Corporation, 144A

    7.000%        4/15/23        CCC–      $ 108,000  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)                
  1,394    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        1,568,250  
      Software – 1.7% (1.1% of Total Investments)                
  3,120    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        3,221,400  
  1,100    

Boxer Parent Company Inc./BMC Software, 144A, PIK

    9.000%        10/15/19        CCC+        1,102,750  
  3,500    

Infor Us Inc., 144A

    5.750%        8/15/20        BB        3,605,000  
  7,720    

Total Software

                               7,929,150  
      Technology Hardware, Storage & Peripherals – 2.2% (1.4% of Total Investments)                
  7,330    

EMC Corporation

    2.650%        6/01/20        Ba2        7,231,631  
  2,750    

Western Digital Corporation, 144A

    7.375%        4/01/23        BBB–        3,018,125  
  10,080    

Total Technology Hardware, Storage & Peripherals

                               10,249,756  
      Trading Companies & Distributors – 0.4% (0.2% of Total Investments)                
  1,500    

HD Supply Inc., 144A

    5.250%        12/15/21        BB        1,574,063  
      Wireless Telecommunication Services – 2.1% (1.4% of Total Investments)                
  1,450    

Sprint Communications Inc.

    7.000%        8/15/20        B+        1,584,125  
  6,000    

Sprint Corporation

    7.875%        9/15/23        B+        6,810,000  
  500    

Sprint Corporation

    7.125%        6/15/24        B+        548,125  
  800    

Syniverse Foreign Holdings Corporation, 144A

    9.125%        1/15/22        B        802,000  
  175    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        185,719  
  8,925    

Total Wireless Telecommunication Services

                               9,929,969  
$ 132,220    

Total Corporate Bonds (cost $110,370,635)

 

              100,224,809  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES – 2.0% (1.3% of Total Investments)                
$ 675    

Bristol Park CLO Limited, Series 2016-1A, 144A

    8.554%        4/15/29        Ba3      $ 689,135  
  800    

Dryden Senior Loan Fund, Series 2017-50A, 144A, (WI/DD)

    7.517%        7/15/30        Ba3        792,240  
  250    

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    6.304%        4/15/24        BB        250,820  
  1,800    

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    7.056%        10/19/22        BB        1,800,383  
  1,250    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.807%        4/20/26        Ba3        1,248,581  
  500    

North End CLO Limited, Loan Pool, 144A

    5.904%        7/17/25        BB        486,153  
  2,000    

Octagon Investment Partners, Series 2015-1A, 144A

    7.157%        10/20/26        Ba3        2,001,706  
  750    

OZLM Funding Limited, Series 2012-2A, 144A

    8.611%        10/30/27        BB        758,231  
  1,200    

Race Point Collateralized Loan Obkigation Series 2012-7A, 144A

    6.179%        11/08/24        BB–        1,201,712  
$ 9,225    

Total Asset-Backed Securities (cost $8,772,311)

                               9,228,961  
Shares     Description (1)                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)                
  19,646    

Smart Modular Technology, Inc., (8)

                             $  
 

Total Warrants (cost $0)

                                
 

Total Long-Term Investments (cost $713,912,312)

                               692,750,536  

 

  60     NUVEEN


Shares     Description (1)                           Value  
 

SHORT-TERM INVESTMENTS – 8.2% (5.2% of Total Investments)

          
      INVESTMENT COMPANIES – 8.2% (5.2% of Total Investments)                           
  38,348,703    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                             $ 38,348,703  
 

Total Short-Term Investments (cost $38,348,703)

                               38,348,703  
 

Total Investments (cost $752,261,015) – 157.2%

                               731,099,239  
 

Borrowings – (38.4)% (10), (11)

                               (178,800,000
 

Term Preferred Shares, net of deferred offering costs – (17.8)% (12)

 

              (82,669,803
 

Other Assets Less Liabilities – (1.0)% (13)

                               (4,468,506
 

Net Assets Applicable to Common Shares – 100%

 

            $ 465,160,930  

Investments in Derivatives as of July 31, 2017

Interest Rate Swaps (OTC Uncleared)

 

Counterparty   Notional
Amount
    Fund
Pay/Receive
Floating Rate
    Floating Rate Index     Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC

  $ 8,000,000       Pay       1-Month USD-LIBOR-ICE       2.250 % (14)      Monthly       12/01/23  (15)    $ (23,475

Morgan Stanley Capital Services LLC

    10,000,000       Pay       1-Month USD-LIBOR-ICE       2.500  (16)      Monthly       1/01/22  (17)      23,806  

Morgan Stanley Capital Services LLC

    21,000,000       Pay       1-Month USD-LIBOR-ICE       2.500  (18)      Monthly       4/01/22  (19)      66,785  

Morgan Stanley Capital Services LLC

    45,000,000       Pay       1-Month USD-LIBOR-ICE       4.000       Monthly       1/01/27  (20)      453,054  
    $ 84,000,000                                             $ 520,170  

 

NUVEEN     61  


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2017

 

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(6) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(7) For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(8) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(9) A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

 

(10) Borrowings as a percentage of Total Investments is 24.5%.

 

(11) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings.

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.3%.

 

(13) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(14) Effective December 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every two years on specific dates through the swap contract’s termination date.

 

(15) This interest rate swap has an optional early termination date beginning on December 1, 2018 and monthly thereafter through the termination date as specified in the swap contract.

 

(16) Effective January 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18) Effective April 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(19) This interest rate swap has an optional early termination date beginning on July 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(20) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

(21) Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

(WI/DD) Purchased on a when-issued or delayed delivery basis.

 

PIK All or a portion of this security is payment-in-kind.

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

  62     NUVEEN


JSD

 

Nuveen Short Duration Credit Opportunities Fund

  

Portfolio of Investments

   July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
 

LONG-TERM INVESTMENTS – 155.3% (97.8% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 133.4% (84.0% of Total Investments) (4)

 

      Aerospace & Defense – 3.2% (2.0% of Total Investments)  
$ 3,084    

Sequa Corporation, Term Loan, First Lien

    6.814%        11/28/21        B–      $ 3,116,145  
  1,062    

Sequa Corporation, Term Loan, Second Lien

    10.314%        4/26/22        CCC        1,088,414  
  1,675    

Transdigm, Inc., Extend Term Loan F

    4.234%        6/07/23        Ba2        1,686,092  
  5,821    

Total Aerospace & Defense

                               5,890,651  
      Air Freight & Logistics – 1.4% (0.9% of Total Investments)  
  884    

Americold Realty Operating Partnership, Term Loan B

    4.984%        12/01/22        BB        897,000  
  872    

PAE Holding Corporation, Term Loan B

    6.734%        10/20/22        B+        881,756  
  722    

XPO Logistics, Inc., Refinanced Term Loan

    3.554%        11/01/21        Ba1        725,769  
  2,478    

Total Air Freight & Logistics

                               2,504,525  
      Airlines – 2.3% (1.4% of Total Investments)  
  960    

American Airlines, Inc., Replacement Term Loan

    3.233%        6/27/20        BB+        963,059  
  1,715    

American Airlines, Inc., Replacement Term Loan

    3.226%        10/10/21        BB+        1,720,599  
  1,467    

American Airlines, Inc., Term Loan B

    3.726%        12/14/23        BB+        1,476,830  
  4,142    

Total Airlines

                               4,160,488  
      Auto Components – 0.7% (0.4% of Total Investments)  
  750    

DexKo Global, Inc., Term Loan, First Lien

    5.313%        7/13/24        B1        760,313  
  500    

Superior Industries International, Inc., Term Loan B

    5.787%        6/14/24        B1        503,750  
  1,250    

Total Auto Components

                               1,264,063  
      Automobiles – 1.7% (1.1% of Total Investments)  
  3,127    

Formula One Group, Term Loan B, (DD1)

    4.504%        2/01/24        B        3,147,015  
      Building Products – 0.5% (0.3% of Total Investments)  
  995    

Quikrete Holdings, Inc., Term Loan B

    3.984%        11/15/23        BB–        999,806  
      Capital Markets – 0.4% (0.3% of Total Investments)  
  750    

RPI Finance Trust, Term Loan B6

    3.296%        3/27/23        Baa2        754,688  
      Chemicals – 1.4% (0.9% of Total Investments)  
  205    

Ineos US Finance LLC, New 2022 Dollar Term Loan

    4.007%        3/31/22        Ba2        206,847  
  229    

Ineos US Finance LLC, New 2024 Dollar Term Loan

    4.007%        4/01/24        Ba2        231,073  
  399    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        404,225  
  741    

OM Group, Inc., Term Loan B, First Lien

    6.296%        2/21/24        B        751,753  
  983    

Univar, Inc., Term Loan B

    3.984%        7/01/22        BB        989,318  
  2,557    

Total Chemicals

                               2,583,216  
      Commercial Services & Supplies – 4.0% (2.5% of Total Investments)  
  498    

Fort Dearborn Holding Company, Inc., Term Loan, First Lien

    5.298%        10/19/23        B2        499,677  
  1,798    

iQor US, Inc., Term Loan, First Lien

    6.299%        4/01/21        B        1,794,493  
  167    

iQor US, Inc., Term Loan, Second Lien

    10.049%        4/01/22        CCC+        161,250  
  777    

KAR Auction Services, Inc., Term Loan B5

    3.813%        3/09/23        Ba2        782,998  
  1,489    

Monitronics International, Inc., Term Loan B2, First Lien

    6.796%        9/30/22        B2        1,508,134  
  587    

Protection One, Inc., Term Loan

    3.984%        5/02/22        BB–        591,386  
  1,041    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.984%        4/28/21        B–        980,349  
  988    

Universal Services of America, Initial Term Loan, First Lien

    5.046%        7/28/22        B+        990,897  
  7,345    

Total Commercial Services & Supplies

                               7,309,184  

 

NUVEEN     63  


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Communications Equipment – 3.6% (2.3% of Total Investments)  
$ 729    

Avaya, Inc., DIP Term Loan

    8.729%        1/24/18        Baa3      $ 751,129  
  2,024    

Avaya, Inc., Term Loan B3, (5)

    6.460%        10/26/17        N/R        1,653,407  
  326    

Avaya, Inc., Term Loan B6

    6.500%        3/31/18        N/R        266,270  
  946    

Avaya, Inc., Term Loan B7, (5)

    6.460%        5/29/20        N/R        776,420  
  794    

Colorado Buyer, Inc., Term Loan, First Lien

    4.170%        5/01/24        Ba3        802,388  
  365    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.420%        5/01/25        B3        370,659  
  950    

CommScope, Inc., Term Loan B

    3.296%        12/29/22        Baa3        955,874  
  966    

Riverbed Technology, Inc., Term Loan B, First Lien

    4.490%        4/24/22        B+        954,438  
  7,100    

Total Communications Equipment

                               6,530,585  
      Consumer Finance – 2.9% (1.9% of Total Investments)  
  5,363    

First Data Corporation, Term Loan B

    3.727%        4/26/24        BB        5,398,972  
      Containers & Packaging – 1.3% (0.8% of Total Investments)  
  744    

Berry Plastics Holding Corporation, Term Loan I

    3.730%        10/01/22        BB        748,228  
  1,657    

Reynolds Group Holdings, Inc., Term Loan, First Lien

    4.234%        2/05/23        B+        1,665,779  
  2,401    

Total Containers & Packaging

                               2,414,007  
      Diversified Consumer Services – 1.7% (1.1% of Total Investments)  
  1,825    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.474%        6/07/23        B+        1,731,271  
  597    

Houghton Mifflin, Term Loan B, First Lien

    4.234%        5/28/21        B+        579,541  
  748    

Laureate Education, Inc., New Term Loan

    5.734%        4/20/24        B        758,412  
  3,170    

Total Diversified Consumer Services

                               3,069,224  
      Diversified Financial Services – 1.5% (0.9% of Total Investments)  
  587    

Freedom Mortgage Corporation, Initial Term Loan

    6.862%        2/23/22        BB–        596,720  
  2,069    

Veritas US, Inc., Term Loan B1

    5.796%        1/27/23        B+        2,096,960  
  2,656    

Total Diversified Financial Services

                               2,693,680  
      Diversified Telecommunication Services – 9.3% (5.8% of Total Investments)  
  3,000    

CenturyLink, Inc., Term Loan B

    2.750%        1/31/25        BBB–        2,963,670  
  496    

DTI Holdings, Inc., Term Loan B, First Lien

    6.561%        10/02/23        B        485,705  
  3,307    

Frontier Communications Corporation, Term Loan B

    4.980%        1/14/20        BB        3,187,514  
  1,990    

Greeneden U.S. Holdings II LLC, Term Loan B

    5.007%        12/01/23        B2        2,007,422  
  4,044    

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    4.000%        6/30/19        B1        4,038,812  
  2,253    

WideOpenWest Finance LLC, Term Loan B

    4.452%        8/18/23        B        2,257,411  
  2,000    

Ziggo B.V., Term Loan E

    3.726%        4/15/25        BB–        2,005,230  
  17,090    

Total Diversified Telecommunication Services

                               16,945,764  
      Electric Utilities – 3.1% (1.9% of Total Investments)  
  459    

EFS Cogen Holdings LLC, Term Loan B

    4.800%        6/28/23        BB        464,137  
  2,620    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.233%        7/02/18        BB        2,642,421  
  479    

Helix Generation, Term Loan B

    4.960%        3/10/24        BB        484,526  
  1,620    

Vistra Operations Co., Term Loan B

    3.982%        8/04/23        BB+        1,628,231  
  371    

Vistra Operations Co., Term Loan C

    3.977%        8/04/23        Ba2        373,217  
  5,549    

Total Electric Utilities

                               5,592,532  
      Electronic Equipment, Instruments & Components – 1.0% (0.6% of Total Investments)  
  703    

SMART Modular Technologies, Inc., Term Loan

    9.250%        8/26/19        B        701,419  
  1,050    

TTM Technologies, Inc., New Term Loan

    5.484%        5/31/21        BB–        1,066,567  
  1,753    

Total Electronic Equipment, Instruments & Components

                               1,767,986  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)  
  1,160    

Ocean Rigs, Inc., Term Loan B1, (5)

    8.250%        3/31/21        CCC–        811,782  
      Equity Real Estate Investment Trusts – 3.0% (1.9% of Total Investments)  
  2,393    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.234%        10/24/22        BB–        2,401,251  
  3,257    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.984%        12/18/20        Caa1        3,000,871  
  5,650    

Total Equity Real Estate Investment Trusts

                               5,402,122  

 

  64     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Food & Staples Retailing – 6.4% (4.0% of Total Investments)  
$ 7,203    

Albertson’s LLC, Term Loan B4

    3.984%        8/25/21        BB      $ 7,196,530  
  1,511    

Albertson’s LLC, Term Loan B6

    4.251%        6/22/23        BB        1,512,029  
  209    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien

    4.968%        2/03/24        B–        204,928  
  965    

Del Monte Foods Company, Term Loan, First Lien

    4.430%        2/18/21        CCC+        758,128  
  1,125    

Rite Aid Corporation, Tranche 2, Term Loan, Second Lien

    5.115%        6/21/21        BB–        1,132,734  
  746    

Save-A-Lot, Term Loan B

    7.234%        12/05/23        B        735,523  
  54    

Supervalu, Inc., Delayed Draw, Term Loan B

    4.734%        6/02/24        BB–        53,786  
  90    

Supervalu, Inc., Term Loan B

    4.734%        6/02/24        BB–        89,644  
  11,903    

Total Food & Staples Retailing

                               11,683,302  
      Food Products – 2.7% (1.7% of Total Investments)  
  625    

American Seafoods Group LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB–        627,738  
  1,718    

Jacobs Douwe Egberts, Term Loan B

    3.438%        7/02/22        BB        1,729,167  
  451    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    2.750%        3/03/21        BBB–        451,253  
  2,056    

US Foods, Inc., New Term Loan B

    3.990%        6/27/23        BB        2,073,840  
  4,850    

Total Food Products

                               4,881,998  
      Health Care Equipment & Supplies – 3.5% (2.2% of Total Investments)  
  708    

Acelity, Term Loan B

    4.546%        2/02/24        B1        711,093  
  386    

Ardent Medical Services, Inc., Term Loan B, First Lien

    6.796%        8/04/21        B1        388,391  
  781    

ConvaTec, Inc., Term Loan B

    3.796%        10/25/23        BB        785,293  
  886    

Greatbatch, Inc., Term Loan B

    4.730%        10/27/22        B        891,449  
  2,639    

Onex Carestream Finance LP, Term Loan, First Lien

    5.275%        6/07/19        B+        2,641,316  
  973    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.796%        12/09/19        B–        955,826  
  6,373    

Total Health Care Equipment & Supplies

                               6,373,368  
      Health Care Providers & Services – 5.7% (3.6% of Total Investments)  
  1,000    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.228%        4/28/22        B        995,630  
  398    

Community Health Systems, Inc., Term Loan G

    3.979%        12/31/19        BB–        398,428  
  799    

Community Health Systems, Inc., Term Loan H

    4.213%        1/27/21        BB–        798,649  
  1,688    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.300%        12/01/23        BB–        1,701,829  
  1,523    

Heartland Dental Care, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        B2        1,528,250  
  500    

Heartland Dental Care, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC        507,500  
  976    

IASIS Healthcare LLC, Term Loan B

    5.296%        2/16/21        Ba3        983,608  
  662    

Millennium Laboratories, Inc., Term Loan B, First Lien

    7.734%        12/21/20        CCC+        402,718  
  682    

MultiPlan, Inc., Term Loan B

    4.296%        6/07/23        B+        687,713  
  201    

Quorum Health Corp., Term Loan B

    7.984%        4/29/22        B2        201,470  
  1,695    

Select Medical Corporation, Tranche B, Term Loan

    4.810%        3/06/24        Ba2        1,724,422  
  440    

Vizient, Inc., New Term Loan B

    4.734%        2/13/23        B+        445,975  
  10,564    

Total Health Care Providers & Services

                               10,376,192  
      Health Care Technology – 1.2% (0.8% of Total Investments)  
  676    

Catalent Pharma Solutions, Inc., Term Loan B

    3.984%        5/20/21        BB        681,589  
  1,496    

Emdeon, Inc., Term Loan

    3.984%        3/01/24        Ba3        1,506,724  
  2,172    

Total Health Care Technology

                               2,188,313  
      Hotels, Restaurants & Leisure – 5.5% (3.5% of Total Investments)  
  1,323    

Burger King Corporation, Term Loan B3

    3.508%        2/16/24        Ba3        1,323,862  
  500    

Caesars Entertainment Operating Company, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        503,048  
  1,648    

CCM Merger, Inc., Term Loan B

    3.984%        8/09/21        BB–        1,657,076  
  1,653    

CityCenter Holdings LLC, Term Loan B

    3.732%        4/18/24        BB–        1,662,194  
  980    

Life Time Fitness, Inc., Term Loan B

    4.234%        6/10/22        BB–        987,181  
  2,184    

Scientific Games Corporation, Term Loan B4, (WI/DD)

    TBD        TBD        Ba3        2,172,736  
  1,735    

Station Casino LLC, Term Loan B

    3.730%        6/08/23        BB        1,740,488  
  10,023    

Total Hotels, Restaurants & Leisure

                               10,046,585  
      Household Products – 0.5% (0.3% of Total Investments)  
  1,087    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.734%        11/16/20        B1        986,048  

 

NUVEEN     65  


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Independent Power & Renewable Electricity Producers – 0.2% (0.2% of Total Investments)  
$ 445    

Dynegy, Inc., Tranche Term Loan C1

    4.484%        2/07/24        BB      $ 447,397  
      Industrial Conglomerates – 1.4% (0.9% of Total Investments)  
  1,357    

Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien

    5.507%        6/16/24        B        1,370,163  
  1,197    

Foresight Energy LLC, Term Loan, First Lien

    7.046%        3/28/22        B        1,158,475  
  2,554    

Total Industrial Conglomerates

                               2,528,638  
      Insurance – 0.9% (0.6% of Total Investments)  
  499    

Acrisure LLC, Term Loan, First Lien

    6.296%        11/22/23        B        506,231  
  1,092    

Hub International Holdings, Inc., Initial Term Loan

    4.422%        10/02/20        B+        1,100,785  
  1,591    

Total Insurance

                               1,607,016  
      Internet and Direct Marketing Retail – 0.8% (0.5% of Total Investments)  
  1,431    

Travelport LLC, Term Loan B, (WI/DD)

    TBD        TBD        B+        1,433,996  
      Internet Software & Services – 2.9% (1.8% of Total Investments)  
  990    

Ancestry.com Inc., Term Loan, First Lien

    4.480%        10/19/23        B1        1,000,365  
  998    

Rackspace Hosting, Inc., Term Loan B

    4.172%        11/03/23        BB+        1,005,231  
  1,286    

Sabre, Inc., New Term Loan B

    3.984%        2/22/24        Ba2        1,297,621  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    9.484%        4/28/22        CCC        920,582  
  750    

TierPoint LLC, Term Loan, First Lien

    4.984%        5/05/24        B+        754,530  
  250    

TierPoint LLC, Term Loan, Second Lien

    8.484%        5/05/25        CCC+        255,938  
  5,383    

Total Internet Software & Services

                               5,234,267  
      IT Services – 2.1% (1.3% of Total Investments)  
  703    

Gartner, Inc., Term Loan A

    3.234%        3/21/22        BB+        706,597  
  499    

Gartner, Inc., Term Loan B

    3.234%        4/05/24        BB+        503,117  
  500    

PEAK 10, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B        502,918  
  280    

PEAK 10, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        285,425  
  1,000    

Tempo Acquisition LLC, Term Loan B

    4.227%        5/01/24        B1        1,009,375  
  743    

WEX, Inc., Term Loan B

    3.984%        7/01/23        BB–        751,677  
  3,725    

Total IT Services

                               3,759,109  
      Leisure Products – 1.7% (1.1% of Total Investments)  
  1,034    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.046%        5/28/21        Ba3        1,033,114  
  1,076    

Academy, Ltd., Term Loan B

    5.242%        7/01/22        B2        849,272  
  1,258    

Equinox Holdings, Inc., Term Loan, First Lien

    4.484%        3/08/24        B+        1,269,512  
  3,368    

Total Leisure Products

                               3,151,898  
      Life Sciences Tools & Services – 0.5% (0.3% of Total Investments)  
  973    

Patheon, Inc., New Term Loan, First Lien

    4.504%        4/22/24        B        976,512  
      Machinery – 0.6% (0.4% of Total Investments)  
  635    

Gates Global LLC, Initial Dollar Term Loan B1

    4.546%        4/01/24        B+        640,567  
  585    

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    5.796%        11/27/20        B3        549,025  
  1,220    

Total Machinery

                               1,189,592  
      Marine – 0.3% (0.2% of Total Investments)  
  703    

American Commercial Lines LLC, Term Loan B, First Lien

    9.984%        11/12/20        B–        612,893  
      Media – 10.5% (6.6% of Total Investments)  
  841    

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.546%        7/23/21        B1        824,809  
  82    

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.796%        7/25/22        CCC+        78,217  
  998    

Affinion Group Holdings, Inc., Term Loan, First Lien

    8.935%        5/10/22        B2        1,003,425  
  478    

Catalina Marketing Corporation, Term Loan, First Lien

    4.734%        4/09/21        B1        390,755  
  500    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.984%        4/11/22        Caa1        282,918  
  2,812    

Clear Channel Communications, Inc., Tranche D, Term Loan

    7.984%        1/30/19        Caa1        2,283,228  
  1,633    

Clear Channel Communications, Inc., Term Loan E

    8.734%        7/30/19        Caa1        1,321,588  
  2,821    

Cumulus Media, Inc., Term Loan B

    4.490%        12/23/20        Caa1        2,275,398  

 

  66     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Media (continued)  
$ 904    

Emerald Expositions Holdings, Inc., Term Loan B

    4.296%        5/17/24        BB      $ 917,130  
  963    

Getty Images, Inc., Term Loan B, First Lien

    4.796%        10/18/19        B3        899,086  
  445    

Gray Television, Inc., Term Loan B2

    3.551%        2/07/24        BB        448,101  
  728    

IMG Worldwide, Inc., Term Loan, First Lien

    4.490%        5/06/21        B+        733,819  
  588    

Lions Gate Entertainment Corporation, Term Loan B

    4.234%        12/08/23        Ba2        594,477  
  833    

LSC Communications, Term Loan

    7.234%        9/30/22        Ba3        841,667  
  1,980    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.234%        5/02/22        Ba3        1,958,646  
  250    

Nexstar Broadcasting Group, Term Loan, (DD1)

    3.732%        1/17/24        BB+        252,356  
  2,045    

Nexstar Broadcasting Group, Term Loan B, (DD1)

    3.738%        1/17/24        Ba3        2,065,145  
  980    

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.796%        8/14/20        B        984,323  
  1,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.976%        1/31/25        BB–        1,006,380  
  20,881    

Total Media

                               19,161,468  
      Metals & Mining – 2.0% (1.3% of Total Investments)  
  875    

CanAm Construction, Inc., Term Loan B

    6.799%        6/29/24        B        870,625  
  1,265    

Fairmount Minerals, Ltd., Term Loan B1, First Lien

    4.796%        9/05/19        Caa1        1,184,462  
  844    

Fairmount Minerals, Ltd., Term Loan B2, First Lien

    4.796%        9/05/19        B–        794,656  
  833    

Zekelman Industries, Term Loan B

    4.789%        6/14/21        BB–        839,483  
  3,817    

Total Metals & Mining

                               3,689,226  
      Multiline Retail – 1.5% (1.0% of Total Investments)  
  750    

Bass Pro Group LLC, Sale Facility, Term Loan, First Lien

    6.046%        6/08/18        B+        753,986  
  859    

Bass Pro Group LLC, Term Loan B, First Lien

    4.474%        6/05/20        B+        859,274  
  897    

Belk, Inc., Term Loan B, First Lien

    6.054%        12/12/22        B        750,507  
  461    

Hudson’s Bay Company, Term Loan B, First Lien

    4.546%        9/30/22        BB        440,525  
  2,967    

Total Multiline Retail

                               2,804,292  
      Oil, Gas & Consumable Fuels – 3.6% (2.2% of Total Investments)  
  750    

California Resources Corporation, Term Loan, (DD1)

    11.601%        12/31/21        B        810,375  
  299    

California Resources Corporation, Term Loan A, First Lien

    4.234%        9/24/19        B1        287,363  
  391    

Crestwood Holdings LLC, Term Loan B

    9.228%        6/19/19        B–        388,293  
  90    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        33,837  
  500    

Fieldwood Energy LLC, Term Loan, First Lien, (WI/DD)

    TBD        TBD        B2        483,125  
  786    

Fieldwood Energy LLC, Term Loan, First Lien

    8.296%        8/31/20        B2        751,706  
  508    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        CCC–        297,701  
  1,463    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        B–        1,179,938  
  1,637    

Harvey Gulf International Marine, Inc., Term Loan B

    5.750%        6/18/20        CCC–        689,153  
  941    

Peabody Energy Corporation, Term Loan B

    5.734%        3/31/22        Ba3        951,427  
  907    

Seadrill Partners LLC, Initial Term Loan

    4.296%        2/21/21        CCC+        624,371  
  17    

Southcross Holdings Borrower L.P., Term Loan B, First Lien

    3.500%        4/13/23        CCC+        15,399  
  8,289    

Total Oil, Gas & Consumable Fuels

                               6,512,688  
      Pharmaceuticals – 3.2% (2.0% of Total Investments)  
  1,367    

Concordia Healthcare Corporation, Term Loan B, First Lien, (DD1)

    5.501%        10/21/21        CCC+        1,019,592  
  1,995    

Grifols, Inc., Term Loan B

    3.444%        1/31/25        BB        2,007,987  
  2,738    

Pharmaceutical Product Development, Inc., Term Loan, First Lien

    4.017%        8/18/22        Ba3        2,759,587  
  88    

Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan

    5.980%        4/01/22        BB–        89,483  
  6,188    

Total Pharmaceuticals

                               5,876,649  
      Professional Services – 1.1% (0.7% of Total Investments)  
  955    

Ceridian Corporation, Term Loan B2

    4.734%        9/15/20        Ba3        956,362  
  998    

Nielsen Finance LLC, Term Loan B4

    3.224%        10/04/23        BBB–        1,000,787  
  1,953    

Total Professional Services

                               1,957,149  
      Real Estate Management & Development – 1.7% (1.1% of Total Investments)  
  1,131    

Capital Automotive LP, Term Loan, First Lien

    4.240%        3/25/24        B1        1,144,527  
  1,861    

Capital Automotive LP, Term Loan, Second Lien

    7.240%        3/24/25        B3        1,899,847  
  2,992    

Total Real Estate Management & Development

                               3,044,374  

 

NUVEEN     67  


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Road & Rail – 0.5% (0.3% of Total Investments)  
$ 985    

Quality Distribution, Incremental Term Loan, First Lien

    6.796%        8/18/22        B2      $ 954,219  
      Semiconductors & Semiconductor Equipment – 2.0% (1.2% of Total Investments)  
  708    

Lumileds, Term Loan, First Lien

    5.796%        3/17/24        Ba3        719,291  
  990    

Micron Technology, Inc., New Term Loan B

    3.800%        4/26/22        Baa2        1,000,524  
  737    

Microsemi Corporation, Term Loan B

    3.553%        1/17/23        BB        740,988  
  1,135    

On Semiconductor Corp., New Term Loan B

    3.484%        3/31/23        Ba1        1,140,581  
  3,570    

Total Semiconductors & Semiconductor Equipment

                               3,601,384  
      Software – 12.7% (8.0% of Total Investments)  
  925    

Blackboard, Inc., Term Loan B4

    6.304%        6/30/21        B+        920,489  
  1,948    

BMC Software, Inc., Initial Term Loan B1, (DD1)

    5.234%        9/10/22        B+        1,964,928  
  622    

Computer Sciences Government Services, Term Loan B

    3.296%        11/30/23        BB+        624,000  
  1,502    

Compuware Corporation, Term Loan B2, First Lien

    5.550%        12/15/21        B        1,511,509  
  402    

Compuware Corporation, Term Loan, Second Lien

    9.550%        12/15/22        B–        406,622  
  726    

Ellucian, Term Loan B, First Lien

    4.546%        9/30/22        B        728,548  
  2,051    

Infor (US), Inc., Term Loan B

    4.046%        2/01/22        B1        2,055,497  
  1,481    

Informatica Corp., Term Loan B

    4.796%        8/05/22        B        1,488,616  
  995    

Kronos Incorporated, Term Loan, First Lien

    4.680%        11/01/23        B        1,008,071  
  322    

Micro Focus International PLC, New Term Loan

    3.979%        6/21/24        BB–        323,202  
  2,178    

Micro Focus International PLC, Term Loan B

    4.030%        4/21/24        BB–        2,182,661  
  1,261    

Micro Focus International PLC, Term Loan B2

    3.811%        11/19/21        BB–        1,263,777  
  868    

Misys, New Term Loan, Second Lien

    8.459%        4/28/25        CCC+        893,959  
  1,447    

Misys, New Term Loan, First Lien

    4.736%        6/13/24        B        1,460,385  
  746    

RP Crown Parent LLC, Term Loan B, First Lien

    4.734%        10/12/23        B1        756,280  
  554    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1

    3.484%        7/08/22        BB+        558,137  
  31    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2

    3.484%        7/08/22        BB+        31,610  
  3,229    

Tibco Software, Inc., Term Loan, First Lien

    4.730%        12/04/20        B        3,254,048  
  744    

Vertafore, Inc., Term Loan, First Lien

    4.546%        6/30/23        B        749,493  
  968    

Vertiv Co., New Term Loan B

    5.234%        11/30/23        Ba3        978,259  
  23,000    

Total Software

                               23,160,091  
      Specialty Retail – 1.0% (0.6% of Total Investments)                           
  632    

Gardner Denver, Inc., Term Loan

    4.546%        7/30/20        B+        636,447  
  978    

Petco Animal Supplies, Inc., Term Loan B1

    4.311%        1/26/23        B1        888,783  
  275    

Petsmart Inc., Term Loan B, First Lien

    4.230%        3/11/22        Ba3        260,965  
  1,885    

Total Specialty Retail

                               1,786,195  
      Technology Hardware, Storage & Peripherals – 7.5% (4.7% of Total Investments)                
  652    

Conduent, Inc., Term Loan B

    5.234%        12/07/23        BB+        661,115  
  4,060    

Dell International LLC, New Term Loan B

    3.740%        9/07/23        BBB–        4,088,279  
  1,925    

Dell International LLC, Term Loan A2, First Lien

    3.490%        9/07/21        BBB–        1,932,219  
  500    

Dell International LLC, Term Loan A3, First Lien

    3.240%        12/31/18        BBB–        500,938  
  972    

Dell Software Group, Term Loan B

    7.257%        10/31/22        B1        990,192  
  5,453    

Western Digital, Inc., New Term Loan B

    3.983%        4/29/23        BBB–        5,500,882  
  13,562    

Total Technology Hardware, Storage & Peripherals

                               13,673,625  
      Textiles, Apparel & Luxury Goods – 0.3% (0.2% of Total Investments)                
  107    

Gymboree Corporation, DIP Term Loan

    5.000%        12/12/17        N/R        39,344  
  53    

Gymboree Corporation, DIP Term Loan, (15)

    13.226%        12/12/17        D        53,302  
  1,064    

Gymboree Corporation, Term Loan, (5)

    3.500%        2/23/18        N/R        392,735  
  1,224    

Total Textiles, Apparel & Luxury Goods

                               485,381  
      Trading Companies & Distributors – 2.5% (1.6% of Total Investments)                       
  2,364    

Avolon, Term Loan B2

    3.978%        3/21/22        BBB–        2,366,955  
  485    

HD Supply Waterworks, Ltd., Term Loan B, (WI/DD)

    TBD        TBD        B+        488,941  
  1,162    

HD Supply, Inc., Term Loan B

    4.046%        8/13/21        BB        1,168,994  
  605    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.664%        6/09/21        B–        609,143  
  4,616    

Total Trading Companies & Distributors

                               4,634,033  

 

  68     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Transportation Infrastructure – 0.7% (0.4% of Total Investments)         
$ 65    

Ceva Group PLC, Canadian Term Loan

    6.814%        3/19/21        B–      $ 61,443  
  379    

Ceva Group PLC, Dutch B.V., Term Loan

    6.814%        3/19/21        B–        356,367  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B–        349,277  
  523    

Ceva Group PLC, US Term Loan

    6.814%        3/19/21        B–        491,541  
  1,338    

Total Transportation Infrastructure

                               1,258,628  
      Wireless Telecommunication Services – 2.3% (1.4% of Total Investments)                
  2,992    

Sprint Corporation, Term Loan, First Lien

    3.750%        2/02/24        Ba2        3,006,713  
  782    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.311%        4/23/19        B        756,584  
  434    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.296%        4/23/19        B        419,219  
  4,208    

Total Wireless Telecommunication Services

                               4,182,516  
$ 250,197    

Total Variable Rate Senior Loan Interests (cost $245,431,675)

                               243,499,332  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.1% (0.7% of Total Investments)

 

     
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)                           
  39,749    

Cengage Learning Holdings II LP, (6)

                             $ 301,417  
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)                
  39,988    

C&J Energy Services Inc., (6)

             1,293,212  
  1,318    

Vantage Drill International, (6)

                               222,742  
 

Total Energy Equipment & Services

                               1,515,954  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  13,189    

Millenium Health LLC, (6)

                               19,784  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  41    

Energy and Exploration Partners, Inc., (6), (7)

              
  18    

Southcross Holdings Borrower LP, (6)

                               12,420  
 

Total Oil, Gas & Consumable Fuels

                               12,420  
      Semiconductors & Semiconductor Equipment – 0.1% (0.1% of Total Investments)                
  7,157    

Smart Global Holdings, Inc., (6), (7)

                               109,330  
 

Total Common Stocks (cost $4,304,438)

                               1,958,905  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 20.8% (13.1% of Total Investments)

 

     
      Communications Equipment – 0.1% (0.1% of Total Investments)                
$ 85    

Avaya Inc., 144A, (5)

    7.000%        4/01/19        N/R      $ 70,125  
  2,085    

Avaya Inc., 144A, (5)

    10.500%        3/01/21        N/R        187,650  
  2,170    

Total Communications Equipment

                               257,775  
      Diversified Telecommunication Services – 4.5% (2.8% of Total Investments)                
  1,094    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CCC–        1,048,873  
  2,815    

IntelSat Jackson Holdings

    5.500%        8/01/23        CCC+        2,427,937  
  215    

IntelSat Limited

    6.750%        6/01/18        CCC–        210,700  
  3,290    

IntelSat Limited

    7.750%        6/01/21        CCC–        2,105,600  
  2,100    

IntelSat Limited

    8.125%        6/01/23        CCC–        1,299,900  
  1,000    

Neptune Finco Corporation, 144A

    10.125%        1/15/23        B+        1,163,750  
  10,514    

Total Diversified Telecommunication Services

                               8,256,760  
      Equity Real Estate Investment Trusts – 0.0% (0.0% of Total Investments)                
  90    

Walter Investment Management Corporation

    7.875%        12/15/21        Caa3        51,750  

 

NUVEEN     69  


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Health Care Providers & Services – 1.9% (1.2% of Total Investments)                
$ 2,000    

HCA Inc.

    6.500%        2/15/20        BBB–      $ 2,185,000  
  1,350    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,355,063  
  3,350    

Total Health Care Providers & Services

                               3,540,063  
      Hotels, Restaurants & Leisure – 2.1% (1.3% of Total Investments)                
  1,250    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        1,331,250  
  2,150    

Scientific Games International Inc.

    10.000%        12/01/22        B–        2,397,250  
  3,400    

Total Hotels, Restaurants & Leisure

                               3,728,500  
      Household Durables – 0.8% (0.5% of Total Investments)                
  1,410    

Lennar Corporation

    4.125%        12/01/18        Ba1        1,440,844  
      Media – 4.6% (2.9% of Total Investments)                           
  100    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        103,172  
  3,214    

Clear Channel Communications Inc., (5), (7)

    12.000%        8/01/21        N/R         
  1,400    

Dish DBS Corporation

    5.125%        5/01/20        Ba3        1,469,720  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,085,000  
  1,000    

Hughes Satellite Systems Corporation

    6.500%        6/15/19        BBB–        1,076,250  
  3,585    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        2,894,887  
  3,997    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        Ca        959,184  
  1,000    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        745,000  
  15,296    

Total Media

                               8,333,213  
      Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)                
  895    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        571,681  
  400    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        233,000  
  1,000    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        540,000  
  400    

Everest Acquisition LLC Finance

    9.375%        5/01/20        Caa2        340,500  
  1,200    

FTS International Inc., 144A

    8.463%        6/15/20        B        1,218,000  
  3,895    

Total Oil, Gas & Consumable Fuels

                               2,903,181  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)                
  106    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        119,250  
      Software – 1.6% (1.0% of Total Investments)                           
  1,580    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        1,631,350  
  450    

Boxer Parent Company Inc./BMC Software, 144A, PIK

    9.000%        10/15/19        CCC+        451,125  
  725    

Infor Us Inc., 144A

    5.750%        8/15/20        BB        746,750  
  2,755    

Total Software

                               2,829,225  
      Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)                
  1,475    

Western Digital Corporation, 144A

    7.375%        4/01/23        BBB–        1,618,813  
      Wireless Telecommunication Services – 2.6% (1.7% of Total Investments)                
  850    

Sprint Communications Inc.

    7.000%        8/15/20        B+        928,624  
  2,750    

Sprint Corporation

    7.875%        9/15/23        B+        3,121,250  
  250    

Sprint Corporation

    7.125%        6/15/24        B+        274,063  
  400    

Syniverse Foreign Holdings Corporation, 144A

    9.125%        1/15/22        B        401,000  
  75    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        79,594  
  4,325    

Total Wireless Telecommunication Services

                               4,804,531  
$ 48,786    

Total Corporate Bonds (cost $40,149,492)

                               37,883,905  

 

  70     NUVEEN


Shares     Description (1)                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  8,970    

Smart Modular Technology, Inc., (7)

                             $  
 

Total Warrants (cost $0)

                                
 

Total Long-Term Investments (cost $289,885,605)

                               283,342,142  
Shares     Description (1)                           Value  
 

SHORT-TERM INVESTMENTS – 3.4% (2.2% of Total Investments)

 

      INVESTMENT COMPANIES – 3.4% (2.2% of Total Investments)  
  6,258,781    

BlackRock Liquidity Funds T-Fund Portfolio, (8)

                             $ 6,258,781  
 

Total Short-Term Investments (cost $6,258,781)

                               6,258,781  
 

Total Investments (cost $296,144,386) – 158.7%

                               289,600,923  
 

Borrowings – (39.5)% (9), (10)

                               (72,000,000
 

Term Preferred Shares, net of deferred offering costs – (18.8)% (11)

 

                       (34,371,495
 

Other Assets Less Liabilities – (0.4)% (12)

                               (761,812
 

Net Assets Applicable to Common Shares – 100%

                             $ 182,467,616  

Investments in Derivatives as of July 31, 2017

Interest Rate Swaps (OTC Uncleared)

 

Counterparty   Notional
Amount
    Fund
Pay/Receive
Floating Rate
    Floating Rate Index     Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Termination
Date
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC

  $ 17,500,000       Receive       1-Month USD-LIBOR-ICE       1.659     Monthly       9/15/18     $ (52,777

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month USD-LIBOR-ICE       1.500  (13)      Monthly       11/01/20  (14)      (58,123
    $ 52,500,000                                             $ (110,900

 

NUVEEN     71  


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2017

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(6) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(7) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(8) A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

 

(9) Borrowings as a percentage of Total Investments is 24.9%.

 

(10) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings.

 

(11) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.9%.

 

(12) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(13) Effective November 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(14) This interest rate swap has an optional early termination date beginning on November 1, 2018 and monthly thereafter through the termination date as specified in the swap contract.

 

(15) Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

(WI/DD) Purchased on a when-issued or delayed delivery basis.

 

PIK All or a portion of this security is payment-in-kind.

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange.

 

See accompanying notes to financial statements.

 

  72     NUVEEN


JQC

 

Nuveen Credit Strategies Income Fund

  

Portfolio of Investments

   July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
 

LONG-TERM INVESTMENTS – 150.9% (96.0% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 113.8% (72.4% of Total Investments) (4)

 

      Airlines – 4.5% (2.9% of Total Investments)                           
$ 19,122    

American Airlines, Inc., Replacement Term Loan, (DD1)

    3.233%        6/27/20        BB+      $ 19,175,004  
  3,000    

American Airlines, Inc., Replacement Term Loan

    3.226%        10/10/21        BB+        3,009,795  
  7,920    

American Airlines, Inc., Term Loan B

    3.734%        4/28/23        BB+        7,969,500  
  8,559    

American Airlines, Inc., Term Loan B

    3.726%        12/14/23        BB+        8,613,532  
  17,955    

United Air Lines, Inc., Term Loan B

    3.561%        4/01/24        Baa3        18,098,640  
  56,556    

Total Airlines

                               56,866,471  
      Automobiles – 2.4% (1.5% of Total Investments)                           
  12,356    

Chrysler Group LLC, Term Loan

    3.230%        12/31/18        BBB–        12,440,974  
  17,208    

Formula One Group, Term Loan B, (DD1), (5)

    4.504%        2/01/24        B        17,319,749  
  29,564    

Total Automobiles

                               29,760,723  
      Building Products – 0.2% (0.1% of Total Investments)                           
  2,736    

Quikrete Holdings, Inc., Term Loan B

    3.984%        11/15/23        BB–        2,749,466  
      Capital Markets – 0.9% (0.6% of Total Investments)                           
  11,585    

RPI Finance Trust, Term Loan B6

    3.296%        3/27/23        Baa2        11,657,540  
      Chemicals – 4.6% (2.9% of Total Investments)                           
  11,060    

Axalta Coating Systems, Term Loan, First Lien

    3.300%        6/01/24        BBB–        11,121,578  
  5,304    

Ineos US Finance LLC, New 2022 Dollar Term Loan

    4.007%        3/31/22        Ba2        5,340,751  
  4,057    

Ineos US Finance LLC, New 2024 Dollar Term Loan

    4.007%        4/01/24        Ba2        4,086,795  
  36,798    

Univar, Inc., Term Loan B

    3.984%        7/01/22        BB        37,051,393  
  57,219    

Total Chemicals

                               57,600,517  
      Commercial Services & Supplies – 3.1% (2.0% of Total Investments)  
  19,226    

ADS Waste Holdings, Inc., Term Loan B, First Lien

    3.944%        11/10/23        BB        19,401,597  
  7,196    

Monitronics International, Inc., Term Loan B2, First Lien

    6.796%        9/30/22        B2        7,289,312  
  5,000    

Skillsoft Corporation, Initial Term Loan, First Lien, (WI/DD)

    TBD        TBD        B–        4,710,700  
  7,920    

West Corporation, Refinanced Term Loan B12

    3.756%        6/17/23        BB–        7,938,960  
  39,342    

Total Commercial Services & Supplies

                               39,340,569  
      Communications Equipment – 0.5% (0.3% of Total Investments)         
  912    

Avaya, Inc., DIP Term Loan

    8.729%        1/24/18        Baa3        939,480  
  3,296    

Avaya, Inc., Term Loan B3, (6)

    6.460%        10/26/17        N/R        2,692,758  
  826    

Avaya, Inc., Term Loan B7, (6)

    6.460%        5/29/20        N/R        677,880  
  1,663    

CommScope, Inc., Term Loan B

    3.296%        12/29/22        Baa3        1,672,780  
  6,697    

Total Communications Equipment

                               5,982,898  
      Consumer Finance – 3.7% (2.3% of Total Investments)                           
  18,771    

First Data Corporation, Term Loan B

    3.727%        4/26/24        BB        18,896,400  
  27,644    

First Data Corporation, Term Loan, First Lien

    3.477%        7/10/22        BB        27,757,792  
  46,415    

Total Consumer Finance

                               46,654,192  
      Containers & Packaging – 2.2% (1.4% of Total Investments)         
  1,488    

Berry Plastics Holding Corporation, Term Loan I

    3.730%        10/01/22        BB        1,496,456  
  26,595    

Reynolds Group Holdings, Inc., Term Loan, First Lien

    4.234%        2/05/23        B+        26,743,500  
  28,083    

Total Containers & Packaging

                               28,239,956  
      Diversified Consumer Services – 4.5% (2.9% of Total Investments)         
  7,487    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.474%        6/07/23        B+        7,097,210  

 

NUVEEN     73  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Diversified Consumer Services (continued)         
$ 25,123    

Hilton Hotels Corporation, Term Loan B2

    3.232%        10/25/23        BBB–      $ 25,270,399  
  24,583    

Laureate Education, Inc., New Term Loan

    5.734%        4/20/24        B        24,921,455  
  57,193    

Total Diversified Consumer Services

                               57,289,064  
      Diversified Financial Services – 0.4% (0.2% of Total Investments)         
  4,740    

MGM Growth Properties, Term Loan B

    3.484%        4/25/23        BB+        4,764,909  
      Diversified Telecommunication Services – 9.5% (6.1% of Total Investments)  
  25,000    

CenturyLink, Inc., Term Loan B, (DD1)

    2.750%        1/31/25        BBB–        24,697,250  
  6,468    

Greeneden U.S. Holdings II LLC, Term Loan B

    5.007%        12/01/23        B2        6,524,123  
  10,000    

Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan

    4.000%        6/30/19        B1        9,987,450  
  17,419    

Level 3 Financing, Inc., Tranche B, Term Loan, (5)

    3.479%        2/22/24        BBB–        17,514,301  
  20,585    

WideOpenWest Finance LLC, Term Loan B

    4.452%        8/18/23        B        20,627,991  
  41,000    

Ziggo B.V., Term Loan E

    3.726%        4/15/25        BB–        41,107,215  
  120,472    

Total Diversified Telecommunication Services

                               120,458,330  
      Electric Utilities – 0.2% (0.2% of Total Investments)                           
  2,431    

Vistra Operations Co., Term Loan B

    3.982%        8/04/23        BB+        2,442,346  
  557    

Vistra Operations Co., Term Loan C

    3.977%        8/04/23        Ba2        559,826  
  2,988    

Total Electric Utilities

                               3,002,172  
      Energy Equipment & Services – 0.3% (0.2% of Total Investments)         
  5,948    

Ocean Rigs, Inc., Term Loan B1, (6)

    8.250%        3/31/21        CCC–        4,163,801  
      Equity Real Estate Investment Trusts – 3.9% (2.5% of Total Investments)         
  20,523    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.234%        10/24/22        BB–        20,591,421  
  10,491    

Realogy Group LLC, Term Loan B

    3.484%        7/20/22        BB+        10,560,789  
  20,186    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien

    4.984%        12/18/20        Caa1        18,601,118  
  51,200    

Total Equity Real Estate Investment Trusts

                               49,753,328  
      Food & Staples Retailing – 2.9% (1.9% of Total Investments)         
  23,212    

Albertson’s LLC, Term Loan B4

    3.984%        8/25/21        BB        23,188,823  
  8,144    

Albertson’s LLC, Term Loan B6

    4.251%        6/22/23        BB        8,148,552  
  5,431    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (5)

    4.968%        2/03/24        B–        5,328,133  
  108    

Supervalu, Inc., Delayed Draw, Term Loan B

    4.734%        6/02/24        BB–        107,572  
  180    

Supervalu, Inc., Term Loan B

    4.734%        6/02/24        BB–        179,287  
  37,075    

Total Food & Staples Retailing

                               36,952,367  
      Food Products – 3.4% (2.1% of Total Investments)                           
  6,874    

Jacobs Douwe Egberts, Term Loan B

    3.438%        7/02/22        BB        6,916,670  
  6,154    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    2.750%        3/03/21        BBB–        6,159,607  
  29,101    

US Foods, Inc., New Term Loan B

    3.990%        6/27/23        BB        29,357,385  
  42,129    

Total Food Products

                               42,433,662  
      Health Care Equipment & Supplies – 3.0% (1.9% of Total Investments)         
  4,781    

Acelity, Term Loan B

    4.546%        2/02/24        B1        4,804,553  
  4,482    

ConvaTec, Inc., Term Loan B

    3.796%        10/25/23        BB        4,509,089  
  18,346    

Onex Carestream Finance LP, Term Loan, First Lien

    5.275%        6/07/19        B+        18,362,363  
  10,172    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.796%        12/09/19        B–        9,995,848  
  37,781    

Total Health Care Equipment & Supplies

                               37,671,853  
      Health Care Providers & Services – 4.7% (3.0% of Total Investments)         
  5,312    

Community Health Systems, Inc., Term Loan G

    3.979%        12/31/19        BB–        5,319,018  
  9,605    

Community Health Systems, Inc., Term Loan H

    4.213%        1/27/21        BB–        9,602,898  
  5,970    

DJO Finance LLC, Term Loan B, First Lien

    4.481%        6/08/20        B+        5,957,127  
  1,777    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.300%        12/01/23        BB–        1,791,175  
  6,207    

IASIS Healthcare LLC, Term Loan B, (WI/DD)

    TBD        TBD        Ba3        6,253,216  
  11,416    

Millennium Laboratories, Inc., Term Loan B, First Lien

    7.734%        12/21/20        CCC+        6,944,608  

 

  74     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services (continued)         
$ 16,821    

MultiPlan, Inc., Term Loan B

    4.296%        6/07/23        B+      $ 16,963,580  
  273    

Quorum Health Corp., Term Loan B

    7.984%        4/29/22        B2        274,059  
  5,882    

U.S. Renal Care, Inc., Term Loan, First Lien

    5.546%        12/30/22        B        5,790,299  
  63,263    

Total Health Care Providers & Services

                               58,895,980  
      Health Care Technology – 1.8% (1.2% of Total Investments)                
  22,943    

Emdeon, Inc., Term Loan

    3.984%        3/01/24        Ba3        23,103,098  
      Hotels, Restaurants & Leisure – 7.1% (4.5% of Total Investments)                
  34,913    

Burger King Corporation, Term Loan B3

    3.508%        2/16/24        Ba3        34,941,418  
  1,363    

CCM Merger, Inc., Term Loan B

    3.984%        8/09/21        BB–        1,370,646  
  20,413    

Life Time Fitness, Inc., Term Loan B

    4.234%        6/10/22        BB–        20,561,276  
  11,883    

Scientific Games Corporation, Term Loan B4, (WI/DD)

    TBD        TBD        Ba3        11,823,525  
  15,616    

Station Casino LLC, Term Loan B

    3.730%        6/08/23        BB        15,664,388  
  4,963    

YUM Brands, New Term Loan B

    3.226%        6/16/23        BBB–        4,995,340  
  89,151    

Total Hotels, Restaurants & Leisure

                               89,356,593  
      Household Products – 2.6% (1.7% of Total Investments)                           
  20,657    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.734%        11/16/20        B1        18,734,917  
  14,599    

Serta Simmons Holdings LLC, Term Loan, First Lien, (DD1)

    4.773%        11/08/23        B1        14,646,660  
  35,256    

Total Household Products

                               33,381,577  
      Independent Power & Renewable Electricity Producers – 0.4% (0.2% of Total Investments)  
  2,545    

Calpine Corporation, Term Loan B1, First Lien

    2.990%        11/30/17        BB        2,554,605  
  1,962    

Dynegy, Inc., Tranche Term Loan C1

    4.484%        2/07/24        BB        1,973,531  
  4,507    

Total Independent Power & Renewable Electricity Producers

 

              4,528,136  
      Insurance – 0.8% (0.5% of Total Investments)                           
  10,589    

Hub International Holdings, Inc., Initial Term Loan, (5)

    4.422%        10/02/20        B+        10,676,067  
      Internet and Direct Marketing Retail – 0.8% (0.5% of Total Investments)  
  10,554    

Travelport LLC, Term Loan B, (WI/DD)

    TBD        TBD        B+        10,577,157  
      Internet Software & Services – 3.4% (2.2% of Total Investments)         
  15,345    

Ancestry.com Inc., Term Loan, First Lien

    4.480%        10/19/23        B1        15,505,662  
  1,995    

Rackspace Hosting, Inc., Term Loan B

    4.172%        11/03/23        BB+        2,010,461  
  24,983    

Sabre, Inc., New Term Loan B

    3.984%        2/22/24        Ba2        25,217,619  
  42,323    

Total Internet Software & Services

                               42,733,742  
      IT Services – 1.1% (0.7% of Total Investments)                           
  1,600    

Neustar, Inc., Term Loan 2, (WI/DD)

    TBD        TBD        BB        1,623,664  
  1,000    

PEAK 10, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B        1,005,835  
  570    

PEAK 10, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        581,044  
  11,000    

Tempo Acquisition LLC, Term Loan B

    4.227%        5/01/24        B1        11,103,125  
  14,170    

Total IT Services

                               14,313,668  
      Leisure Products – 0.1% (0.1% of Total Investments)                           
  1,747    

Academy, Ltd., Term Loan B

    5.242%        7/01/22        B2        1,378,657  
      Machinery – 0.4% (0.3% of Total Investments)                           
  4,918    

Rexnord LLC, Term Loan B, First Lien

    4.046%        8/21/23        BB–        4,949,577  
      Media – 8.7% (5.5% of Total Investments)                           
  7,102    

Acquisitions Cogeco Cable II L.P., Term Loan B

    3.734%        11/30/19        BB        7,128,788  
  3,550    

Advantage Sales & Marketing, Inc., Term Loan, First Lien

    4.546%        7/23/21        B1        3,480,407  
  323    

Advantage Sales & Marketing, Inc., Term Loan, Second Lien

    7.796%        7/25/22        CCC+        307,655  
  1,235    

Clear Channel Communications, Inc., Tranche D, Term Loan

    7.984%        1/30/19        Caa1        1,003,061  
  1,358    

Clear Channel Communications, Inc., Term Loan E

    8.734%        7/30/19        Caa1        1,099,169  
  31,597    

Cumulus Media, Inc., Term Loan B

    4.490%        12/23/20        Caa1        25,489,663  

 

NUVEEN     75  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Media (continued)                           
$ 26,836    

EMI Music Publishing LLC, Term Loan, First Lien

    3.724%        8/20/23        BB–      $ 26,989,302  
  2,389    

Getty Images, Inc., Term Loan B, First Lien

    4.796%        10/18/19        B3        2,231,528  
  1,763    

Lions Gate Entertainment Corporation, Term Loan B

    4.234%        12/08/23        Ba2        1,783,430  
  421    

Nexstar Broadcasting Group, Term Loan

    3.732%        1/17/24        BB+        424,883  
  3,442    

Nexstar Broadcasting Group, Term Loan B

    3.738%        1/17/24        Ba3        3,475,514  
  5,878    

Springer Science & Business Media, Inc., Term Loan B9, First Lien

    4.796%        8/14/20        B        5,905,939  
  26,619    

Tribune Media Company, Term Loan C

    4.234%        1/27/24        BB+        26,752,073  
  4,189    

Univision Communications, Inc., Term Loan C5

    3.984%        3/15/24        BB–        4,179,021  
  116,702    

Total Media

                               110,250,433  
      Multiline Retail – 0.5% (0.3% of Total Investments)                           
  4,188    

Belk, Inc., Term Loan B, First Lien

    6.054%        12/12/22        B        3,502,365  
  2,840    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        2,884,971  
  7,028    

Total Multiline Retail

                               6,387,336  
      Oil, Gas & Consumable Fuels – 1.3% (0.8% of Total Investments)         
  4,969    

Fieldwood Energy LLC, Term Loan, First Lien

    8.296%        8/31/20        B2        4,749,576  
  3,209    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        CCC–        1,880,996  
  9,242    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.421%        9/30/20        B–        7,455,317  
  4,509    

Harvey Gulf International Marine, Inc., Term Loan B

    5.750%        6/18/20        CCC–        1,898,149  
  21,929    

Total Oil, Gas & Consumable Fuels

                               15,984,038  
      Pharmaceuticals – 2.6% (1.6% of Total Investments)                           
  30,618    

Pharmaceutical Product Development, Inc., Term Loan, First Lien

    4.017%        8/18/22        Ba3        30,861,522  
  1,800    

Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan

    5.980%        4/01/22        BB–        1,835,433  
  32,418    

Total Pharmaceuticals

                               32,696,955  
      Professional Services – 0.1% (0.0% of Total Investments)         
  910    

Ceridian Corporation, Term Loan B2

    4.734%        9/15/20        Ba3        910,970  
      Real Estate Management & Development – 1.2% (0.8% of Total Investments)  
  15,490    

Capital Automotive LP, Term Loan, First Lien

    4.240%        3/25/24        B1        15,670,533  
      Semiconductors & Semiconductor Equipment – 1.6% (1.0% of Total Investments)  
  6,417    

Lumileds, Term Loan, First Lien

    5.796%        3/17/24        Ba3        6,515,933  
  3,685    

Microsemi Corporation, Term Loan B

    3.553%        1/17/23        BB        3,704,940  
  10,023    

On Semiconductor Corp., New Term Loan B

    3.484%        3/31/23        Ba1        10,075,136  
  20,125    

Total Semiconductors & Semiconductor Equipment

                               20,296,009  
      Software – 14.8% (9.5% of Total Investments)                           
  4,051    

Blackboard, Inc., Term Loan B4

    6.304%        6/30/21        B+        4,032,183  
  26,828    

BMC Software, Inc., Initial Term Loan B1, (DD1)

    5.234%        9/10/22        B+        27,056,138  
  10,483    

Compuware Corporation, Term Loan B2, First Lien

    5.550%        12/15/21        B        10,548,243  
  27,466    

Ellucian, Term Loan B, First Lien

    4.546%        9/30/22        B        27,563,507  
  19,857    

Infor (US), Inc., Term Loan B

    4.046%        2/01/22        B1        19,897,646  
  6,386    

Informatica Corp., Term Loan B

    4.796%        8/05/22        B        6,418,068  
  15,169    

Kronos Incorporated, Term Loan B, Second Lien

    9.420%        11/01/24        CCC        15,778,945  
  2,985    

Kronos Incorporated, Term Loan, First Lien

    4.680%        11/01/23        B        3,024,212  
  1,935    

Micro Focus International PLC, New Term Loan

    3.979%        6/21/24        BB–        1,939,210  
  13,065    

Micro Focus International PLC, Term Loan B

    4.030%        4/21/24        BB–        13,095,965  
  10,312    

Micro Focus International PLC, Term Loan B2

    3.811%        11/19/21        BB–        10,331,814  
  4,958    

Misys, New Term Loan, Second Lien

    8.459%        4/28/25        CCC+        5,105,684  
  8,264    

Misys, New Term Loan, First Lien

    4.736%        6/13/24        B        8,340,719  
  4,000    

RP Crown Parent LLC, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B1        4,053,760  
  10,916    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1

    3.484%        7/08/22        BB+        10,995,901  
  618    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2

    3.484%        7/08/22        BB+        622,743  

 

  76     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 18,938    

Tibco Software, Inc., Term Loan, First Lien

    4.730%        12/04/20        B      $ 19,085,387  
  186,231    

Total Software

                               187,890,125  
      Specialty Retail – 3.2% (2.0% of Total Investments)                           
  7,447    

Burlington Coat Factory Warehouse Corporation, Term Loan B4

    3.980%        8/13/21        BB+        7,495,554  
  21,175    

Gardner Denver, Inc., Term Loan

    4.546%        7/30/20        B+        21,310,174  
  2,795    

Michaels Stores, Inc., Term Loan B1, First Lien

    3.981%        1/30/23        BB+        2,801,122  
  3,913    

Petco Animal Supplies, Inc., Term Loan B1

    4.311%        1/26/23        B1        3,555,132  
  4,964    

Petsmart Inc., Term Loan B, First Lien

    4.230%        3/11/22        Ba3        4,704,058  
  40,294    

Total Specialty Retail

                               39,866,040  
      Technology Hardware, Storage & Peripherals – 3.3% (2.1% of Total Investments)  
  33,172    

Dell International LLC, New Term Loan B

    3.740%        9/07/23        BBB–        33,405,414  
  8,712    

Western Digital, Inc., New Term Loan B

    3.983%        4/29/23        BBB–        8,789,367  
  41,884    

Total Technology Hardware, Storage & Peripherals

                               42,194,781  
      Trading Companies & Distributors – 2.4% (1.5% of Total Investments)  
  19,091    

Avolon, Term Loan B2

    3.978%        3/21/22        BBB–        19,114,864  
  10,782    

HD Supply, Inc., Term Loan B

    4.046%        8/13/21        BB        10,842,292  
  29,873    

Total Trading Companies & Distributors

                               29,957,156  
      Wireless Telecommunication Services – 0.7% (0.4% of Total Investments)  
  4,988    

Sprint Corporation, Term Loan, First Lien

    3.750%        2/02/24        Ba2        5,011,191  
  2,493    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.311%        4/23/19        B        2,411,541  
  1,498    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.296%        4/23/19        B        1,445,744  
  8,979    

Total Wireless Telecommunication Services

                               8,868,476  
$ 1,459,007    

Total Variable Rate Senior Loan Interests (cost $1,454,553,729)

 

              1,440,208,922  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 0.5% (0.3% of Total Investments)

 

     
      Diversified Consumer Services – 0.2% (0.2% of Total Investments)                
  403,319    

Cengage Learning Holdings II LP, (7)

                             $ 3,058,360  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)                
  10,935    

Vantage Drill International, (7)

                               1,848,015  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)         
  227,437    

Millenium Health LLC, (7)

                               341,156  
      Media – 0.1% (0.0% of Total Investments)                           
  51,720    

Affinion Group Holdings, Inc., (7)

             672,362  
  17,987    

Tribune Media Company, (8)

                                
 

Total Media

                               672,362  
 

Total Common Stocks (cost $23,733,817)

                               5,919,893  
Shares     Description (1), (9)                           Value  
 

EXCHANGE-TRADED FUNDS – 7.8% (4.9% of Total Investments)

 

     
  2,571,083    

PowerShares Senior Loan Portfolio

           $ 59,829,101  
  597,100    

SPDR® S&P® Bank ETF

             25,878,314  
  127,700    

SPDR® S&P® Oil & Gas Equipment & Services ETF

             1,956,364  
  417,900    

VanEck Vectors Oil Services ETF

                               10,376,457  
 

Total Exchange-Traded Funds (cost $102,242,318)

                               98,040,236  

 

NUVEEN     77  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 28.8% (18.4% of Total Investments)

          
      Communications Equipment – 2.1% (1.3% of Total Investments)                
$ 19,375    

Avaya Inc., 144A, (6)

    7.000%        4/01/19        N/R      $ 15,984,374  
  9,250    

Avaya Inc., 144A, (6)

    10.500%        3/01/21        N/R        832,500  
  8,510    

CommScope Technologies Finance LLC, 144A, (5)

    6.000%        6/15/25        BB–        9,148,250  
  37,135    

Total Communications Equipment

                               25,965,124  
      Diversified Telecommunication Services – 3.4% (2.2% of Total Investments)                
  7,000    

CenturyLink Inc., (5)

    5.625%        4/01/20        BB+        7,367,500  
  8,000    

CenturyLink Inc.

    6.450%        6/15/21        BB+        8,637,520  
  4,612    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CCC–        4,421,755  
  6,000    

IntelSat Jackson Holdings, 144A

    9.750%        7/15/25        CCC+        6,202,500  
  3,413    

IntelSat Limited

    7.750%        6/01/21        CCC–        2,184,320  
  23,355    

IntelSat Limited

    8.125%        6/01/23        CCC–        14,456,745  
  52,380    

Total Diversified Telecommunication Services

                               43,270,340  
      Electrical Equipment – 0.4% (0.3% of Total Investments)                           
  2,000    

Park Aerospace Holdings Limited, 144A

    5.250%        8/15/22        BB        2,035,000  
  3,000    

Park Aerospace Holdings Limited, 144A

    5.500%        2/15/24        BB        3,054,375  
  5,000    

Total Electrical Equipment

                               5,089,375  
      Equity Real Estate Investment Trusts – 1.1% (0.7% of Total Investments)                
  13,950    

Communications Sales & Leasing Inc., (5)

    8.250%        10/15/23        BB–        14,368,500  
      Food & Staples Retailing – 0.1% (0.0% of Total Investments)                       
  1,000    

Rite Aid Corporation, 144A

    6.125%        4/01/23        B        991,250  
      Health Care Equipment & Supplies – 0.9% (0.6% of Total Investments)                
  7,000    

Tenet Healthcare Corporation, 144A

    7.500%        1/01/22        Ba3        7,560,000  
  3,500    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,749,375  
  10,500    

Total Health Care Equipment & Supplies

                               11,309,375  
      Health Care Providers & Services – 1.3% (0.8% of Total Investments)         
  7,500    

DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A

    8.125%        6/15/21        CCC        7,068,750  
  6,000    

IMS Health Incorporated, 144A

    5.000%        10/15/26        BB+        6,285,000  
  1,000    

MPH Acquisition Holdings LLC, 144A

    7.125%        6/01/24        B–        1,082,500  
  2,000    

Wellcare Health Plans Inc.

    5.250%        4/01/25        BB        2,120,000  
  16,500    

Total Health Care Providers & Services

                               16,556,250  
      Hotels, Restaurants & Leisure – 2.4% (1.5% of Total Investments)                
  8,500    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        9,052,500  
  18,750    

Scientific Games International Inc., (5)

    10.000%        12/01/22        B–        20,906,250  
  27,250    

Total Hotels, Restaurants & Leisure

                               29,958,750  
      Media – 5.5% (3.5% of Total Investments)                           
  2,860    

Altice US Finance I Corporation, 144A

    5.375%        7/15/23        BB        3,003,000  
  4,000    

CCO Holdings LLC Finance Corporation, 144A, (5)

    5.125%        5/01/23        BB+        4,200,000  
  41,015    

Clear Channel Communications Inc., (6), (8)

    12.000%        8/01/21        N/R         
  7,000    

CSC Holdings Inc., 144A, (5)

    5.500%        4/15/27        Ba1        7,455,000  
  19,000    

Dish DBS Corporation, (5)

    5.125%        5/01/20        Ba3        19,946,200  
  3,000    

Dish DBS Corporation

    6.750%        6/01/21        Ba3        3,311,250  
  6,000    

Dish DBS Corporation, (5)

    7.750%        7/01/26        Ba3        7,185,000  
  6,000    

Hughes Satellite Systems Corporation

    5.250%        8/01/26        BBB–        6,292,500  
  10,609    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        8,566,768  
  41,426    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        Ca        9,942,124  
  300    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        223,500  
  141,210    

Total Media

                               70,125,342  

 

  78     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels – 1.9% (1.2% of Total Investments)                
$ 7,000    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+      $ 4,471,250  
  4,765    

Chesapeake Energy Corporation, 144A

    8.000%        12/15/22        B+        5,050,900  
  4,000    

Oasis Petroleum Inc.

    6.875%        3/15/22        B+        3,960,000  
  11,000    

Whiting Petroleum Corporation

    5.000%        3/15/19        BB–        10,890,000  
  26,765    

Total Oil, Gas & Consumable Fuels

                               24,372,150  
      Pharmaceuticals – 0.7% (0.5% of Total Investments)                           
  4,850    

Concordia Healthcare Corporation, 144A

    9.500%        10/21/22        CCC–        982,125  
  2,170    

Valeant Pharmaceuticals International, 144A

    7.000%        10/01/20        B–        2,142,875  
  4,400    

Valeant Pharmaceuticals International, 144A

    6.750%        8/15/21        B–        4,158,000  
  600    

Valeant Pharmaceuticals International, 144A

    7.250%        7/15/22        B–        565,500  
  930    

VP Escrow Corporation, 144A

    6.375%        10/15/20        B–        904,425  
  12,950    

Total Pharmaceuticals

                               8,752,925  
      Semiconductors & Semiconductor Equipment – 1.4% (0.9% of Total Investments)         
  3,167    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        B–        3,562,875  
  1,719    

Advanced Micro Devices, Inc.

    7.000%        7/01/24        B–        1,843,628  
  10,625    

Micron Technology, Inc.

    7.500%        9/15/23        Baa2        11,851,018  
  15,511    

Total Semiconductors & Semiconductor Equipment

                               17,257,521  
      Software – 0.2% (0.2% of Total Investments)                           
  2,830    

Balboa Merger Sub Inc., 144A

    11.375%        12/01/21        CCC+        3,109,463  
      Specialty Retail – 0.4% (0.3% of Total Investments)                           
  9,500    

Claires Stores, Inc., 144A

    9.000%        3/15/19        Caa3        4,821,250  
      Technology Hardware, Storage & Peripherals – 1.5% (0.9% of Total Investments)         
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (5)

    5.875%        6/15/21        BB+        5,243,750  
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (5)

    7.125%        6/15/24        BB+        5,564,340  
  7,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (5)

    6.020%        6/15/26        BBB–        7,816,536  
  17,000    

Total Technology Hardware, Storage & Peripherals

                               18,624,626  
      Wireless Telecommunication Services – 5.5% (3.5% of Total Investments)                
  7,000    

Altice Financing SA, 144A, (5)

    6.625%        2/15/23        BB–        7,415,625  
  1,000    

Hughes Satellite Systems Corporation

    6.625%        8/01/26        BB–        1,093,750  
  12,000    

Sprint Communications Inc., (5)

    7.000%        8/15/20        B+        13,110,000  
  2,500    

Sprint Corporation

    7.250%        9/15/21        B+        2,762,500  
  29,000    

Sprint Corporation, (5)

    7.875%        9/15/23        B+        32,915,000  
  12,000    

T-Mobile USA Inc., (5)

    6.375%        3/01/25        BB        12,915,000  
  63,500    

Total Wireless Telecommunication Services

                               70,211,875  
$ 452,981    

Total Corporate Bonds (cost $404,606,320)

                               364,784,116  
 

Total Long-Term Investments (cost $1,985,136,184)

                               1,908,953,167  
Shares     Description (1)                           Value  
 

SHORT-TERM INVESTMENTS – 6.3% (4.0% of Total Investments)

 

     
      INVESTMENT COMPANIES – 6.3% (4.0% of Total Investments)                
  79,754,419    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                             $ 79,754,419  
 

Total Short-Term Investments (cost $79,754,419)

                               79,754,419  
 

Total Investments (cost $2,064,890,603) – 157.2%

                               1,988,707,586  
 

Borrowings – (44.3)% (10), (11)

                               (561,000,000
 

Reverse Repurchase Agreements – (11.5)% (12)

 

              (145,000,000
 

Other Assets Less Liabilities – (1.4)% (13)

                               (17,260,880
 

Net Assets Applicable to Common Shares – 100%

                             $ 1,265,446,706  

 

NUVEEN     79  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    July 31, 2017

 

Investments in Derivatives as of July 31, 2017

Credit Default Swaps (OTC Cleared)

 

Clearing Broker   Referenced Entity     Buy/Sell
Protection (14)
    Current
Credit
Spread (15)
    Notional
Amount
    Fixed Rate
(Annualized)
    Termination
Date
    Value     Variation
Margin
Receivable/
(Payable)
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC*

    CDX.NA.HY.26       Sell       2.640   $ 19,800,000       5.000     6/20/21     $ 1,771,410     $ 5,302     $ 1,375,436  
* ICE Clear Credit LLC is the clearing house for this transaction.

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm.

 

(4) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(5) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $224,973,892 have been pledged as collateral for reverse repurchase agreements.

 

(6) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

 

(7) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

(8) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.

 

(9) A copy of the most recent financial statements for these exchange-traded funds can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

 

(10) Borrowings as a percentage of Total Investments is 28.2%.

 

(11) The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives or reverse repurchase agreements, when applicable) in the Portfolio of Investments as collateral for borrowings.

 

(12) Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

(13) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC-cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(14) The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(15) The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

(DD1) Portion of investment purchased on a delayed delivery basis.

 

(WI/DD) Purchased on a when-issued or delayed delivery basis.

 

PIK All or a portion of this security is payment-in-kind.

 

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

TBD Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

ETF Exchange-Traded Fund

 

S&P Standard & Poor’s

 

ICE International Exchange

 

See accompanying notes to financial statements.

 

  80     NUVEEN


Statement of

Assets and Liabilities

   July 31, 2017

 

    

NSL

   

JFR

   

JRO

   

JSD

   

JQC

 

Assets

         

Long-term investments, at value (cost $429,932,707, $1,024,347,031, $713,912,312, $289,885,605 and $1,985,136,184, respectively)

  $ 416,579,749     $ 997,537,033     $ 692,750,536     $ 283,342,142     $ 1,908,953,167  

Short-term investments, at value (cost approximates value)

    12,581,320       52,677,742       38,348,703       6,258,781       79,754,419  

Cash

    1,293       29,123       17,800       956       217,896  

Cash collateral at brokers(1)

    631,000                   270,000       797,630  

Credit default swaps premiums paid

                            395,974  

Unrealized appreciation on interest rate swaps, net

          594,153       520,170              

Receivable for:

         

Dividends

                            72  

Interest

    2,531,537       5,823,964       4,451,731       1,752,818       11,792,908  

Investments sold

    9,817,028       24,336,942       18,487,703       8,603,275       37,612,775  

Reclaims

                            32,656  

Shares sold

          60,354       637,360              

Variation margin on swap contracts

                            5,302  

Other assets

    112,415       252,628       97,891       113,899       339,317  

Total assets

    442,254,342       1,081,311,939       755,311,894       300,341,871       2,039,902,116  

Liabilities

         

Borrowings

    114,000,000       254,300,000       178,800,000       72,000,000       561,000,000  

Reverse repurchase agreements

                            145,000,000  

Cash overdraft denominated in foreign currencies (cost $968, $2,463, $1,646, $— and $—, respectively)

    1,050       2,674       1,786              

Unrealized depreciation on interest rate swaps

    548,335                   110,900        

Payable for:

         

Dividends

    1,495,563       3,770,142       2,771,499       999,349       7,055,198  

Investments purchased

    14,335,338       34,300,151       24,837,694       10,060,687       57,597,731  

Offering costs

          74,579                    

Unfunded senior loans

    22,844       45,687       34,266       22,844        

Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $125,200,000, $84,000,000, $35,000,000 and $—, respectively)

    42,224,191       123,994,729       82,669,803       34,371,495        

Accrued expenses:

         

Interest

    143       24       301,890       1,702       1,755,429  

Management fees

    291,862       702,391       492,880       198,377       1,341,245  

Trustees fees

    68,398       127,979       81,342       15,623       335,874  

Other

    183,372       130,498       159,804       93,278       369,933  

Total liabilities

    173,171,096       417,448,854       290,150,964       117,874,255       774,455,410  

Net assets applicable to common shares

  $ 269,083,246     $ 663,863,085     $ 465,160,930     $ 182,467,616     $ 1,265,446,706  

Common shares outstanding

    38,621,872       56,454,425       39,772,463       10,095,648       135,766,990  

Net asset value (“NAV”) per common share outstanding

  $ 6.97     $ 11.76     $ 11.70     $ 18.07     $ 9.32  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,219     $ 564,544     $ 397,725     $ 100,956     $ 1,357,670  

Paid-in surplus

    317,264,020       770,722,177       540,934,862       192,058,055       1,396,532,977  

Undistributed (Over-distribution of) net investment income

    1,414,437       (2,196,740     (965,676     (11,416     (12,939,539

Accumulated net realized gain (loss)

    (36,080,055     (79,010,840     (54,564,235     (3,025,616     (44,697,831

Net unrealized appreciation (depreciation)

    (13,901,375     (26,216,056     (20,641,746     (6,654,363     (74,806,571

Net assets applicable to common shares

  $ 269,083,246     $ 663,863,085     $ 465,160,930     $ 182,467,616     $ 1,265,446,706  

Authorized shares:

         

Common

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

Preferred

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

NUVEEN     81  


Statement of

Operations

   Year Ended July 31, 2017

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 23,954,307        $ 55,355,808        $ 40,102,377        $ 16,956,840        $ 99,274,156  

Fees

     1,012,007          2,193,013          1,587,221          652,496          3,957,379  

Total investment income

     24,966,314          57,548,821          41,689,598          17,609,336          103,231,535  

Expenses

                      

Management fees

     3,401,307          8,105,587          5,682,143          2,299,256          15,877,817  

Interest expense and amortization of offering costs

     3,184,873          8,033,010          5,722,904          1,935,123          15,547,730  

Custodian fees

     155,648          300,788          219,581          123,459          407,903  

Trustees fees

     12,893          31,072          21,663          8,680          59,075  

Professional fees

     142,822          206,100          201,388          99,262          105,006  

Shareholder reporting expenses

     48,610          104,560          74,042          26,886          210,977  

Shareholder servicing agent fees

     23,765          36,150          37,594          21,436          4,774  

Stock exchange listing fees

     11,582          16,548          11,540          7,315          40,742  

Investor relations expenses

     42,549          99,947          69,877          32,709          196,384  

Other

     30,990          51,004          48,566          28,043          40,864  

Total expenses

     7,055,039          16,984,766          12,089,298          4,582,169          32,491,272  

Net investment income (loss)

     17,911,275          40,564,055          29,600,300          13,027,167          70,740,263  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     (4,031,259        (8,532,524        (5,253,292        (394,906        (10,861,280

Swaps

     91,003          613,807          551,837          (219,417        773,240  

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     12,529,108          32,737,753          21,359,115          6,049,708          33,609,756  

Swaps

     (548,335        594,153          520,170          36,637          921,111  

Net realized and unrealized gain (loss)

     8,040,517          25,413,189          17,177,830          5,472,022          24,442,827  

Net increase (decrease) in net assets applicable to common shares from operations

   $ 25,951,792        $ 65,977,244        $ 46,778,130        $ 18,499,189        $ 95,183,090  

 

See accompanying notes to financial statements.

 

  82     NUVEEN


Statement of

Changes in Net Assets

  

 

     NSL        JFR  
     

Year
Ended

7/31/17

       Year
Ended
7/31/16
      

Year
Ended

7/31/17

      

Year
Ended

7/31/16

 

Operations

                 

Net investment income (loss)

   $ 17,911,275        $ 17,534,487        $ 40,564,055        $ 40,039,909  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (4,031,259        (1,495,922        (8,532,524        (2,197,879

Swaps

     91,003                   613,807           

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     12,529,108          (15,170,917        32,737,753          (34,129,400

Swaps

     (548,335                 594,153           

Net increase (decrease) in net assets applicable to common shares from operations

     25,951,792          867,648          65,977,244          3,712,630  

Distributions to Common Shareholders

                 

From net investment income

     (17,939,860        (16,299,305        (43,953,958        (39,887,343

From accumulated net realized gains

                                 

Decrease in net assets applicable to common shares from distributions to common shareholders

     (17,939,860        (16,299,305        (43,953,958        (39,887,343

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

                       15,091,303           

Net proceeds from shares issued to shareholders due to reinvestment of distributions

                       121,767           

Cost of shares repurchased and retired

              (27,250                  

Net increase (decrease) in net assets applicable to common shares from capital share transactions

              (27,250        15,213,070           

Net increase (decrease) in net assets applicable to common shares

     8,011,932          (15,458,907        37,236,356          (36,174,713

Net assets applicable to common shares at the beginning of period

     261,071,314          276,530,221          626,626,729          662,801,442  

Net assets applicable to common shares at the end of period

   $ 269,083,246        $ 261,071,314        $ 663,863,085        $ 626,626,729  

Undistributed (Over-distribution of) net investment income at the end of period

   $ 1,414,437        $ 1,135,413        $ (2,196,740      $ (275,469

 

See accompanying notes to financial statements.

 

NUVEEN     83  


Statement of Changes in Net Assets (continued)

 

 

     JRO        JSD  
     

Year
Ended

7/31/17

      

Year
Ended
7/31/16

      

Year
Ended

7/31/17

      

Year
Ended
7/31/16

 

Operations

                 

Net investment income (loss)

   $ 29,600,300        $ 29,495,341        $ 13,027,167        $ 12,262,579  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (5,253,292        (2,403,022        (394,906        (2,399,349

Swaps

     551,837                   (219,417        (411,245

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     21,359,115          (26,311,460        6,049,708          (8,940,636

Swaps

     520,170                   36,637          50,691  

Net increase (decrease) in net assets applicable to common shares from operations

     46,778,130          780,859          18,499,189          562,040  

Distributions to Common Shareholders

                 

From net investment income

     (32,191,923        (29,320,832        (12,568,708        (11,750,913

From accumulated net realized gains

                                (311,944

Decrease in net assets applicable to common shares from distributions to common shareholders

     (32,191,923        (29,320,832        (12,568,708        (12,062,857

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

     15,230,348                   6,592           

Net proceeds from shares issued to shareholders due to reinvestment of distributions

     155,546       

 

 

                 

Cost of shares repurchased and retired

                                 

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     15,385,894                   6,592           

Net increase (decrease) in net assets applicable to common shares

     29,972,101          (28,539,973        5,937,073          (11,500,817

Net assets applicable to common shares at the beginning of period

     435,188,829          463,728,802          176,530,543          188,031,360  

Net assets applicable to common shares at the end of period

   $ 465,160,930        $ 435,188,829        $ 182,467,616        $ 176,530,543  

Undistributed (Over-distribution of) net investment income at the end of period

   $ (965,676      $ 406,098        $ (11,416      $ (527,708

 

See accompanying notes to financial statements.

 

  84     NUVEEN


     JQC  
     

Year
Ended

7/31/17

      

Year
Ended
7/31/16

 

Operations

       

Net investment income (loss)

   $ 70,740,263        $ 78,359,710  

Net realized gain (loss) from:

       

Investments and foreign currency

     (10,861,280        (19,197,503

Swaps

     773,240          115,868  

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     33,609,756          (63,796,853

Swaps

     921,111          454,325  

Net increase (decrease) in net assets applicable to common shares from operations

     95,183,090          (4,064,453

Distributions to Common Shareholders

       

From net investment income

     (84,990,137        (83,158,181

From accumulated net realized gains

               

Decrease in net assets applicable to common shares from distributions to common shareholders

     (84,990,137        (83,158,181

Capital Share Transactions

       

Common shares:

       

Proceeds from shelf offering, net of offering costs

               

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

               

Cost of shares repurchased and retired

              (2,286,458

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

              (2,286,458

Net increase (decrease) in net assets applicable to common shares

     10,192,953          (89,509,092

Net assets applicable to common shares at the beginning of period

     1,255,253,753          1,344,762,845  

Net assets applicable to common shares at the end of period

   $ 1,265,446,706        $ 1,255,253,753  

Undistributed (Over-distribution of) net investment income at the end of
period

   $ (12,939,539      $ (729,773

 

See accompanying notes to financial statements.

 

NUVEEN     85  


Statement of

Cash Flows

   Year Ended July 31, 2017

 

     NSL     JFR     JRO     JSD     JQC  

Cash Flows from Operating Activities:

         

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ 25,951,792     $ 65,977,244     $ 46,778,130     $ 18,499,189     $ 95,183,090  

Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:

         

Purchases of investments

    (210,946,717     (526,289,963     (358,548,215     (151,440,303     (877,744,473

Proceeds from sales and maturities of investments

    202,393,306       513,673,942       347,792,931       145,770,374       888,661,868  

Proceeds from (Purchases of) short-term investments, net

    3,305,687       (20,974,904     (13,931,828     1,291,930       24,783,535  

Proceeds from (Payments for) swap contracts, net

    91,003       613,807       551,837       (219,417     773,240  

Proceeds from (Payments for) cash denominated in foreign currencies, net

    8,596       21,885       14,621              

Proceeds from (Payments for) closed foreign currency spot contracts

    (277     (706     (472            

Premiums received (paid) for credit default swaps

                      191,609       107,228  

Payment-in-kind distributions

    (175,919     (387,093     (303,643     (72,218     (581,274

Taxes paid

    (56,580     (101,412     (73,708            

Proceeds from litigation settlement

                      15,388       191,155  

Amortization (Accretion) of premiums and discounts, net

    (2,363,186     (3,641,557     (3,092,373     (1,850,895     (27,893

Amortization of deferred offering costs

    161,061       293,954       125,533       192,944        

(Increase) Decrease in:

         

Cash collateral at brokers

    (631,000                 (270,000     (147,635

Receivable for dividends

                            (72

Receivable for interest

    613,985       1,300,938       1,094,116       246,482       4,378,110  

Receivable for investments sold

    770,661       1,663,493       (3,351,305     (87,773     22,941,169  

Receivable for reclaims

                            2,189  

Receivable for shares sold

          (60,354     (637,360            

Receivable for variation margin on swap contracts

                            70,146  

Other assets

    75,262       133,557       146,768       (91,837     (5,949

Increase (Decrease) in:

         

Payable for investments purchased

    (3,352,918     (7,241,146     (2,368,235     (2,162,627     (50,705,419

Payable for offering costs

          74,579                    

Payable for unfunded senior loans

    22,844       45,687       34,266       22,844        

Accrued interest

    (136,307     (320,591     75,308       (126,272     640,135  

Accrued management fees

    13,825       47,415       35,271       10,166       11,347  

Accrued Trustees fees

    4,815       12,204       8,589       4,198       17,972  

Accrued other expenses

    (51,703     (234,592     (148,867     18,012       37,250  

Net realized (gain) loss from:

         

Investments and foreign currency

    4,031,259       8,532,524       5,253,292       394,906       10,861,280  

Paydowns

          (217,215     (191,160            

Swaps

    (91,003     (613,807     (551,837     219,417       (773,240

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    (12,529,108     (32,737,753     (21,359,115     (6,049,708     (33,609,756

Swaps(1)

    548,335       (594,153     (520,170     (36,637      

Net cash provided by (used in) operating activities

    7,657,713       (1,024,017     (3,167,626     4,469,772       85,064,003  

Cash Flows from Financing Activities:

         

Proceeds from borrowings

    28,000,000       103,100,000       74,800,000       8,000,000        

Repayments of borrowings

    (15,000,000     (89,600,000     (62,800,000            

(Payments for) VRTP Shares redeemed, at liquidation preference

    (45,000,000     (108,000,000     (75,000,000            

Proceeds from Term Preferred Shares issued, at liquidation preference

    43,000,000       125,200,000       84,000,000              

(Payments for) deferred offering costs

    (850,000     (1,310,000     (1,320,000            

Proceeds from shelf offering, net of offering costs

          15,091,303       15,230,348       6,592        

Cash distributions paid to common shareholders

    (17,806,420     (43,428,163     (31,724,922     (12,475,408     (84,846,107

Net cash provided by (used in) financing activities

    (7,656,420     1,053,140       3,185,426       (4,468,816     (84,846,107

Net Increase (Decrease) in Cash

    1,293       29,123       17,800       956       217,896  

Cash at the beginning of period

                             

Cash at the end of period

  $ 1,293     $ 29,123     $ 17,800     $ 956     $ 217,896  
Supplemental Disclosure of Cash Flow Information   NSL     JFR     JRO     JSD     JQC  

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 2,969,415     $ 7,775,077     $ 5,210,446     $ 1,786,235     $ 14,907,595  

Non-cash financing activities not included herein consists of reinvestments of common share distributions

          121,767       155,546              
(1) Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

  86     NUVEEN


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NUVEEN     87  


Financial

Highlights

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Invest
ment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Total     Offering
Costs
    Discount
from
Shares
Repurchased
and Retired
    Premium
from
Shares
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

NSL

 

Year Ended 7/31:

 

2017

  $ 6.76     $ 0.46      $ 0.21      $ 0.67     $ (0.46   $   —     $ (0.46   $     $   —     $   —     $ 6.97     $ 6.83  

2016

    7.16       0.45        (0.43      0.02       (0.42           (0.42                     6.76       6.25  

2015

    7.51       0.45        (0.38      0.07       (0.42           (0.42                       7.16       6.34  

2014

    7.46       0.44        0.05        0.49       (0.44           (0.44                       7.51       6.98  

2013

    7.07       0.54        0.35        0.89       (0.56           (0.56     (0.01           0.07       7.46       7.45  

JFR

 

Year Ended 7/31:

 

2017

    11.36       0.73        0.46        1.19       (0.79           (0.79                     11.76       11.83  

2016

    12.01       0.73        (0.66      0.07       (0.72           (0.72                       11.36       10.68  

2015

    12.59       0.75        (0.61      0.14       (0.72           (0.72                       12.01       10.67  

2014

    12.54       0.75        0.06        0.81       (0.76           (0.76                   12.59       11.72  

2013

    11.87       0.90        0.68        1.58       (0.97           (0.97               0.06       12.54       12.72  

 

  88     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  10.22     17.00   $ 269,083       2.64     6.70     55
  0.61       5.89       261,071       2.53       6.84       29  
  0.96       (3.25     276,530       2.37       6.08       34  
  6.78       (0.29     290,088       2.15       5.89       58  
  13.89       10.23       288,025       1.74       7.32       76  
                                             
         
  10.76       18.63       663,863       2.63       6.28       59  
  0.93       7.50       626,627       2.46       6.52       26  
  1.15       (2.88     662,801       2.29       6.08       33  
  6.62       (1.84     694,584       2.05       5.94       52  
  14.26       16.76       691,312       1.71       7.34       69  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

NSL

 

Year Ended 7/31:

 

2017

    1.19

2016

    1.08  

2015

    0.89  

2014

    0.72  

2013

    0.47  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2017

    1.24

2016

    1.08  

2015

    0.88  

2014

    0.71  

2013

    0.48  
 

 

(d) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* Rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

NUVEEN     89  


Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

           Investment Operations     Less Distributions to
Common Shareholders
     Common Share  
     Beginning
Common
Share
NAV
     Net
Investment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
     Total      Offering
Costs
     Premium
from
Shares
Sold
through
Shelf
Offering
     Ending
NAV
     Ending
Share
Price
 

JRO

 

Year Ended 7/31:

                             

2017

  $ 11.31      $ 0.76      $ 0.45      $ 1.21     $ (0.83   $      $ (0.83    $      $ 0.01      $ 11.70      $ 11.87  

2016

    12.05        0.77        (0.75      0.02       (0.76            (0.76                    11.31        10.72  

2015

    12.68        0.79        (0.66      0.13       (0.76            (0.76                    12.05        10.82  

2014

    12.55        0.78        0.14        0.92       (0.79            (0.79                12.68        12.40  

2013

    11.84        0.95        0.68        1.63       (1.04            (1.04      (0.01      0.13        12.55        12.73  

JSD

 

Year Ended 7/31:

                             

2017

    17.49        1.29        0.54        1.83       (1.25            (1.25                  18.07        17.75  

2016

    18.63        1.21        (1.16      0.05       (1.16     (0.03      (1.19                    17.49        16.16  

2015

    19.48        1.22        (0.87      0.35       (1.16     (0.04      (1.20                    18.63        16.41  

2014

    19.91        1.29        (0.02      1.27       (1.37     (0.33      (1.70                  19.48        18.20  

2013

    19.49        1.61        0.49        2.10       (1.61     (0.07      (1.68                  19.91        19.89  

 

  90     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  11.06     18.92   $ 465,161       2.68     6.57     57
  0.53       6.91       435,189       2.49       6.91       27  
  1.03       (6.74     463,729       2.31       6.41       34  
  7.54       3.91       487,784       2.07       6.16       55  
  15.27       14.42       482,204       1.71       7.73       72  
                                             
         
  10.68       17.91       182,468       2.52       7.18       58  
  0.62       6.52       176,531       2.27       7.05       34  
  1.87       (3.27     188,031       1.78       6.43       31  
  6.59       0.16       196,613       1.88       6.52       45  
  11.17       10.77       201,031       1.80       8.12       82  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
  Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JRO

 

Year Ended 7/31:

 

2017

    1.27

2016

    1.08  

2015

    0.89  

2014

    0.71  

2013

    0.46  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2017

    1.07

2016

    0.82  

2015

    0.45  

2014

    0.50  

2013

    0.50  
 

 

(d) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* Rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

NUVEEN     91  


Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From
Accumulated
Net Realized
Gains
    Total     Discount
from
Shares
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

JQC

 

Year Ended 7/31:

 

2017

  $ 9.25     $ 0.52     $ 0.18     $ 0.70     $ (0.63   $   —     $ (0.63   $     $ 9.32     $ 8.69  

2016

    9.88       0.58       (0.60     (0.02     (0.61           (0.61         9.25       8.43  

2015

    10.25       0.62       (0.43     0.19       (0.56           (0.56         9.88       8.59  

2014

    10.13       0.60       0.16       0.76       (0.64           (0.64         10.25       9.05  

2013(i)

    9.88       0.42       0.29       0.71       (0.46           (0.46           10.13       10.03  

Year Ended 12/31:

 

           

2012

    9.18       0.78       0.72       1.50       (0.80           (0.80           9.88       9.65  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable (as described in Note 9 – Fund Leverage).
    Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC

  Ratios of Dividends Expense
on Securities Sold Short
to Average Net Assets Applicable
to Common Shares(h)
    Ratios of Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

 

2017

        1.23

2016

          1.01  

2015

          0.66  

2014

          0.52  

2013(i)

          0.55 *** 

Year Ended 12/31:

 

2012

    **      0.58  

 

  92     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income Loss(e)
    Expenses     Net
Investment
Income Loss(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  7.70     10.75   $ 1,265,447       2.57     5.59     N/A       N/A       46
  0.11       5.98       1,255,254       2.41       6.32       N/A       N/A       46  
  1.82       1.02       1,344,763       1.95       6.16       N/A       N/A       61  
  7.74       (3.44     1,396,303       1.77       5.84       1.76 %(d)      5.85 %(d)      65  
  7.32       8.80       1,380,261       1.77 ***      7.22 ***      N/A       N/A       44  
             
  16.80       30.55       1,345,657       1.86       8.07       N/A       N/A       127  

 

(d) During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with a common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares reflect the voluntary expense reimbursement from Adviser.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) to
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Year Ended 7/31:

 

2017

   

2016

     

2015

     

2014

     

2013(i)

     

Year Ended 12/31:

 

2012

    ** 
 

 

(f) The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(h) Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.
(i) For the seven months ended July 31, 2013.
* Rounds to less than $0.01 per share.
** Rounds to less than 0.01%.
*** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     93  


Financial Highlights (continued)

 

 

    Borrowings
at the End of Period
       VRTP Shares
at the End of Period
       Term Preferred
at the End of Period
       Borrowings,
VRTP Shares and/or
Term Preferred
at the End of Period
 
     Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share(b)
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $100,000
Share
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share
       Asset
Coverage
Per $1
Liquidation
Preference
 

NSL

 

                                                      

Year Ended 7/31:

 

                        

2017

  $ 114,000        $ 3,738        $        $        $ 43,000        $ 2,714        $ 2.71  

2016

    101,000          4,030          45,000          278,816                            2.79  

2015

    112,500          3,974          58,000          262,188                            2.62  

2014

    112,000          4,108          58,000          270,640                            2.71  

2013

    123,000          3,342                                               

JFR

 

                                                      

Year Ended 7/31:

 

                        

2017

    254,300          4,103                            125,200          2,749          2.75  

2016

    240,800          4,051          108,000          279,652                            2.80  

2015

    270,300          3,966          139,000          261,935                            2.62  

2014

    269,000          4,099          139,000          270,241                            2.70  

2013

    295,200          3,342                                               

JRO

 

                                                      

Year Ended 7/31:

 

                        

2017

    178,800          4,071                            84,000          2,770          2.77  

2016

    166,800          4,059          75,000          279,979                            2.80  

2015

    188,800          3,975          98,000          261,691                            2.62  

2014

    188,000          4,116          98,000          270,554                            2.71  

2013

    201,900          3,388                                               

JSD

 

                                                      

Year Ended 7/31:

 

                        

2017

    72,000          4,020                            35,000          2,705          2.71  

2016

    64,000          4,305                            35,000          2,783          2.78  

2015

    85,200          3,207                                               

2014

    85,000          3,313                                               

2013

    85,000          3,365                                               

JQC

 

                                                      

Year Ended 7/31:

 

                        

2017

    561,000          3,256                                               

2016

    561,000          3,238                                               

2015

    640,000          3,101                                               

2014

    606,000          3,304                                               

2013(a)

    561,000          3,460                                               

Year Ended 12/31:

 

                        

2012

    561,000          3,399                                               

 

  94     NUVEEN


(a) For the seven months ended July 31, 2013.
(b) Beginning with the fiscal year ended July 31, 2017, the Funds are calculating Asset Coverage Per $1,000 of Borrowings as defined under the 1940 Act and not as defined for financial reporting purposes. For purposes of calculating Asset Coverage as defined under the 1940 Act, the outstanding preferred shares are excluded because they are treated as to be equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

NSL

                  

Year Ended 7/31:

 

    

2016

  $ 101,000        $ 2,788  

2015

    112,500          2,622  

2014

    112,000          2,706  
    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JFR

               

Year Ended 7/31:

 

 

2016

  $ 240,800     $ 2,797  

2015

    270,300       2,619  

2014

    269,000       2,702  
 

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

JRO

                  

Year Ended 7/31:

 

    

2016

  $ 166,800        $ 2,800  

2015

    188,800          2,617  

2014

    188,000          2,706  

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JSD

               

Year Ended 7/31:

 

 

2016

  $ 64,000     $ 2,783  

 

 

See accompanying notes to financial statements.

 

NUVEEN     95  


Notes to

Financial Statements

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

The funds covered in this report and their corresponding New York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):

 

    Nuveen Senior Income Fund (NSL)

 

    Nuveen Floating Rate Income Fund (JFR)

 

    Nuveen Floating Rate Income Opportunity Fund (JRO)

 

    Nuveen Short Duration Credit Opportunities Fund (JSD)

 

    Nuveen Credit Strategies Income Fund (JQC)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NSL, JFR, JRO, JSD and JQC were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004, January 3, 2011 and May 17, 2003, respectively.

The end of the reporting period for the Funds is July 31, 2017, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2017 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

NSL’s investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees) in adjustable rate senior loans. Senior loans that satisfy the 80% requirement may be secured or unsecured so long as any unsecured senior loans are investment grade quality. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JFR’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JRO’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.

JSD’s investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality.

 

  96     NUVEEN


 

The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

JQC’s investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

The Funds can invest up to 5% in iBOXX Loan Total Return Swaps.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

    

NSL

     JFR      JRO      JSD     

JQC

 

Outstanding when-issued/delayed delivery purchase commitments

  $ 14,284,174      $ 34,172,617      $ 24,751,571      $ 10,032,002      $ 57,597,731  

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.

Dividends and Distributions to Common Shareholders

Dividends from net investment income to common shareholders, if any, are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Compensation

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

 

NUVEEN     97  


Notes to Financial Statements (continued)

 

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the current fiscal period. Actual results may differ from those estimates.

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2.

Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Like most fixed-income securities, the senior and subordinated loans in which the Funds invest are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

Exchange-traded funds are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1.

 

  98     NUVEEN


 

Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:

 

NSL

   Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 358,463,115      $      $ 358,463,115  

Common Stocks**

     5,376,064        156        153,601        5,529,821  

$25 Par (or similar) Retail Preferred**

            ***               

Corporate Bonds**

            52,586,813        ***       52,586,813  

Warrants**

                   ***        

Short-Term Investments:

           

Investment Companies

     12,581,320                      12,581,320  

Investments in Derivatives:

           

Interest Rate Swaps****

            (548,335 )               (548,335

Total

   $ 17,957,384      $ 410,501,749      $ 153,601      $ 428,612,734  

JFR

                               

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 814,383,119      $      $ 814,383,119  

Common Stocks**

     9,009,596        988        416,532        9,427,116  

$25 Par (or similar) Retail Preferred**

            1               1  

Convertible Bonds

            187,000               187,000  

Corporate Bonds**

            143,700,676        ***       143,700,676  

Asset-Backed Securities

            17,964,920               17,964,920  

Investment Companies

     11,874,201                      11,874,201  

Warrants**

                   ***        

Short-Term Investments:

           

Investment Companies

     52,677,742                      52,677,742  

Investments in Derivatives:

           

Interest Rate Swaps****

            594,153               594,153  

Total

   $ 73,561,539      $ 976,830,857      $ 416,532      $ 1,050,808,928  

 

NUVEEN     99  


Notes to Financial Statements (continued)

 

JRO

   Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 574,947,151      $      $ 574,947,151  

Common Stocks**

     7,988,851        312        239,452        8,228,615  

$25 Par (or similar) Retail Preferred**

            ***               

Convertible Bonds

            121,000               121,000  

Corporate Bonds**

            100,224,809        ***       100,224,809  

Asset-Backed Securities

            9,228,961               9,228,961  

Warrants**

                   ***        

Short-Term Investments:

           

Investment Companies

     38,348,703                      38,348,703  

Investments in Derivatives:

           

Interest Rate Swaps****

            520,170               520,170  

Total

   $ 46,337,554      $ 685,042,403      $ 239,452      $ 731,619,409  
JSD                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 243,499,332      $      $ 243,499,332  

Common Stocks**

     1,849,575               109,330        1,958,905  

Corporate Bonds**

            37,883,905        ***       37,883,905  

Warrants**

                   ***        

Short-Term Investments:

           

Investment Companies

     6,258,781                      6,258,781  

Investments in Derivatives:

           

Interest Rate Swaps****

            (110,900             (110,900

Total

   $ 8,108,356      $ 281,272,337      $ 109,330      $ 289,490,023  
JQC                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 1,440,208,922      $      $ 1,440,208,922  

Common Stocks**

     5,919,893               ***       5,919,893  

Exchange-Traded Funds

     98,040,236                      98,040,236  

Corporate Bonds**

            364,784,116        ***       364,784,116  

Short-Term Investments:

           

Investment Companies

     79,754,419                      79,754,419  

Investments in Derivatives:

           

Credit Default Swaps****

            1,375,436               1,375,436  

Total

   $ 183,714,548      $ 1,806,368,474      $      $ 1,990,083,022  
* Refer to the Fund’s Portfolio of Investments for industry classifications, where applicable.
** Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3.
*** Value equals zero as of the end of the reporting period.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:

 

  (i) If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.

 

  (ii) If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

 

  100     NUVEEN


 

The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds may invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Zero Coupon Securities

A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Investments in Derivatives

Each Fund is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).

The amount of the payment obligation is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

 

NUVEEN     101  


Notes to Financial Statements (continued)

 

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net)” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.

During the current fiscal period, NSL, JFR, JRO and JSD used interest rate swaps in which each Fund received payments based upon floating (one- or three-month) LIBOR rates, and paid a fixed rate of interest. The purpose of the interest rate swaps is to convert some portion of a Fund’s floating rate leverage (bank borrowings) to fixed rate through the maturity date of the swap. The Funds also entered into a cancellable interest rate swap in which the Funds received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue.

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

     NSL     JFR     JRO     JSD  

Average notional amount of interest rate swap contracts outstanding*

  $ 34,400,000     $ 61,120,000     $ 46,200,000     $ 52,500,000  
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

Credit Default Swap Contracts

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When a Fund has bought (sold) protection in a credit default swap upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

 

  102     NUVEEN


 

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps (, net)” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, JSD and JQC invested in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

 

    

JSD

   

JQC

 

Average notional amount of credit default swap contracts outstanding*

  $ 1,300,000     $ 19,920,000  
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

The following table presents the fair value of all swap contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative Instrument  

Asset Derivatives

         

(Liability) Derivatives

 
     Location    Value            Location    Value  
NSL               
Interest rate        Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (548,335
JFR               
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net    $ (31,898        $  
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net      626,051                   
Total             $ 594,153                  $  
JRO               
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net    $ (23,475        $  
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net      543,645                   
Total             $ 520,170                  $  
JSD               
Interest rate    Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (110,900

 

NUVEEN     103  


Notes to Financial Statements (continued)

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative Instrument  

Asset Derivatives

         

(Liability) Derivatives

 
     Location    Value            Location    Value  
JQC               
Credit    Swaps (OTC Cleared)   Receivable for variation margin on swap contracts**^    $ 1,375,436            

   $         —  
** Value represents the unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability amount as described above.
^ Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.

The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund    Counterparty   Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
    Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
    Amounts
Netted on
Statement
of Assets and
Liabilities
    Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
NSL   

Morgan Stanley Capital Services LLC

  $     $ (548,335   $     $ (548,335   $ 548,335     $  
JFR   

Morgan Stanley Capital Services LLC

    626,051       (31,898     (31,898     594,153       (594,153      
JRO   

Morgan Stanley Capital Services LLC

    543,645       (23,475     (23,475     520,170       (353,281     166,889  
JSD   

Morgan Stanley Capital Services LLC

          (110,900           (110,900     110,900        
*** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund      Underlying
Risk Exposure
     Derivative
Instrument
     Net Realized
Gain (Loss) from
Swaps
       Change in Net
Unrealized
Appreciation
(Depreciation) of
Swaps
 
NSL      Interest rate      Swaps      $ 91,003        $ (548,335
JFR      Interest rate      Swaps      $ 613,807        $ 594,153  
JRO      Interest rate      Swaps      $ 551,837        $ 520,170  
JSD                    
     Credit      Swaps      $ (170,121      $ 158,625  
       Interest rate      Swaps        (49,296        (121,988
Total                    $ (219,417      $ 36,637  
JQC      Credit      Swaps      $ 773,240        $ 921,111  

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

 

  104     NUVEEN


 

4. Fund Shares

Common Shares

Common Shares Equity Shelf Programs and Offering Costs

The following Funds have each filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing each Fund to issue additional common shares through one or more equity shelf program (“Shelf Offering”), which became effective with the SEC during the current fiscal period.

Under these Shelf Offerings, the Funds, subject to market conditions, may raise additional equity capital by issuing additional common shares from time to time in varying amounts and by different offering methods at a net price at or above the Fund’s NAV per common share. In the event a Fund’s Shelf Offering registration statement is no longer current, the Fund may not issue additional common shares until a post-effective amendment to the registration statement has been filed with the SEC.

Additional authorized common shares, common shares sold and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the Fund’s current fiscal period were as follows:

 

    NSL        JFR        JRO        JSD  
     Year Ended
7/31/17*
       Year Ended
7/31/17**
       Year Ended
7/31/17**
       Year Ended
7/31/17*
 

Additional authorized common shares

    8,800,000          12,900,000          8,500,000          1,000,000  

Common shares sold

             1,274,890          1,280,410          362  

Offering proceeds, net of offering costs

           $ 15,091,303        $ 15,230,348        $ 6,592  
* Represents additional authorized shares for the period March 8, 2017 through July 31, 2017.
** Represents additional authorized shares for the period February 22, 2017 through July 31, 2017.

Costs incurred by the Funds in connection with their initial Shelf Offerings were recorded as a deferred charge and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities. The deferred assets are reduced during the one-year period that additional shares are sold by reducing the proceeds from such sales and recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any remaining deferred charges at the end of the one-year life of the Shelf Offering period will be expensed accordingly, as well as any additional Shelf Offering costs the Funds may incur. As Shelf Offering costs are expensed they are recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares for the Funds during the current and prior fiscal period, where applicable, were as follows:

 

     NSL      JFR      JRO  
      Year Ended
7/31/17
     Year Ended
7/31/16
     Year Ended
7/31/17
     Year Ended
7/31/16
     Year Ended
7/31/17
     Year Ended
7/31/16
 

Common shares:

                 

Sold through shelf offering

                   1,274,890               1,280,410         

Issued to shareholders due to reinvestment of distributions

                   10,319               13,271         

Repurchased and retired

            (5,000                            

Weighted average common share:

                 

Premium to NAV per shelf offering share sold

                   1.62             2.17       

Price per share repurchased and retired

          $ 5.43                              

Discount per share repurchased and retired

            15.42                            
            JSD      JQC  
                      Year Ended
7/31/17
     Year Ended
7/31/16
     Year Ended
7/31/17
     Year Ended
7/31/16
 

Common shares:

                 

Sold through shelf offering

           362                       

Issued to shareholders due to reinvestment of distributions

                                 

Repurchased and retired

                                            (304,100

Weighted average common share:

                 

Premium to NAV per shelf offering share sold

           1.34                     

Price per share repurchased and retired

                              $ 7.50  

Discount per share repurchased and retired

                                            16.69

 

NUVEEN     105  


Notes to Financial Statements (continued)

 

Preferred Shares

Term Preferred Shares

The following Funds have issued and have outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting period, the outstanding Term Preferred, at liquidation preference, for each Fund were as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 

NSL

    2021          43,000        $ 43,000,000  

JFR

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
    2024          35,000          35,000,000  
      2027          55,000          55,000,000  

JRO

    2022          10,000        $ 10,000,000  
    2022-1          21,000          21,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

JSD

    2020          35,000        $ 35,000,000  

Each Fund is obligated to redeem its Term Preferred by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. The Term Preferred are subject to redemption at the option of each Fund, subject to payment of a premium for approximately one year following the date of issuance (“Optional Redemption Premium Expiration Date”), and at liquidation preference per share plus accumulated but unpaid dividends. Term Preferred are subject to mandatory redemption in certain circumstances. Each Fund may be obligated to redeem a certain amount of the Term Preferred if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share (plus any premium) plus any accumulated but unpaid dividends. The Term Redemption Date and Optional Redemption Premium Expiration Date for each Fund’s series of Term Preferred are as follows:

 

Fund   Series        Term
Redemption Date
       Optional
Redemption Premium
Expiration Date
 

NSL

    2021          November 1, 2021          October 31, 2017  

JFR

    2019          December 1, 2019          November 30, 2017  
    2022          January 1, 2022          December 31, 2017  
    2024          June 1, 2024          N/A  
      2027          January 1, 2027          December 31, 2017  

JRO

    2022          January 1, 2022          December 31, 2017  
    2022-1          April 1, 2022          March 31, 2018  
    2023          December 1, 2023          November 30, 2017  
      2027          January 1, 2027          December 31, 2017  

JSD

    2020          November 1, 2020          October 31, 2016  
N/A – Not applicable

The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for each Fund during the current fiscal period were as follows:

 

     NSL*        JFR**        JRO**        JSD  

Average liquidation preference of Term Preferred outstanding

  $ 43,000,000        $ 91,972,908        $ 66,896,414        $ 35,000,000  

Annualized dividend rate

    2.01        3.28        3.36        1.50
* For the period October 31, 2016 (first issuance of shares) through July 31, 2017.
** For the period November 23, 2016 (first issuance of shares) through July 31, 2017.

Term Preferred generally do not trade, and market quotations are generally not available. Term Preferred are short-term instruments that pay a dividend rate, subject to adjustment as set forth in accordance with the offering documents. The fair value of Term Preferred is expected to be approximately its liquidation preference so long as the fixed “spread” on the Term Preferred remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Fund’s Adviser has determined that the fair value of

 

  106     NUVEEN


 

Term Preferred is approximately its liquidation preference, but its fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of Term Preferred is a liability and is recognized as “Term Preferred Shares (“Term Preferred”), net of deferred offering cost” on the Statement of Assets and Liabilities.

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

NSL incurred offering costs of $850,000 in connection with its issuance of Series 2021 Term Preferred, JFR incurred offering costs of $1,310,000 in connection with its issuance of Series 2019, Series 2022, Series 2024 and Series 2027 Term Preferred and JRO incurred offering costs of $1,320,000 in connection with its issuance of Series 2022, Series 2022-1, Series 2023 and Series 2027 Term Preferred, which were recorded as a deferred charge and is being amortized over the life of the shares. These offering costs are recognized as a component of “Term Preferred Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Variable Rate Term Preferred Shares

During the current fiscal period, NSL, JFR and JRO had issued and had outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation preference per share. VRTP Shares were issued via private placement and were not publicly available.

On November 22, 2016, December 20, 2016 and December 28, 2016, NSL, JFR and JRO redeemed all of its outstanding Series C-4 VRTP Shares, respectively. Each Fund’s VRTP Shares were redeemed at their $100,000 liquidation preference per share, plus dividend amounts owed, using proceeds from its issuance of Term Preferred (as described above in Term Preferred Shares).

The average liquidation preference of VRTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

 

    

NSL*

       JFR**       

JRO***

 

Average liquidation preference of VRTP Shares outstanding

  $ 45,000,000        $ 102,090,141        $ 68,380,000  

Annualized dividend rate

    2.23        2.28        2.28
* For the period August 1, 2016 through November 22, 2016.
** For the period August 1, 2016 through December 20, 2016.
*** For the period August 1, 2016 through December 28, 2016.

VRTP Shares were subject to restrictions on transfer, generally do not trade, and market quotations were generally not available. VRTP Shares were short-term or short/intermediate-term instruments that paid a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VRTP Shares was expected to be approximately their liquidation preference so long as the fixed “spread” on the VRTP Shares remained roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser had determined that the fair value of VRTP Shares was approximately their liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of VRTP Shares was a liability and was recognized as “Variable Rate Term Preferred (“VRTP”) Shares, net of deferred offering cost” on the Statement of Assets and Liabilities.

Dividends on VRTP Shares (which were treated as interest payments for financial reporting purposes) were set monthly. Unpaid dividends on VRTP Shares were recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRTP Shares were recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

In conjunction with NSL, JFR and JRO redemption of VRTP Shares, the remaining deferred offering costs of $33,808, $51,448 and $35,561, respectively, were fully expensed during the current fiscal period, as the redemptions were deemed an extinguishment of debt.

Preferred Share Transactions

Transactions in preferred shares for the Funds during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.

Transactions in Term Preferred for the Funds, where applicable, were as follows:

 

    Year Ended
July 31, 2017
 
NSL   Series        Shares        Amount  

Term Preferred issued

    2021          43,000        $ 43,000,000  

 

NUVEEN     107  


Notes to Financial Statements (continued)

 

    Year Ended
July 31, 2017
 
JFR   Series        Shares        Amount  

Term Preferred issued

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
    2024          35,000          35,000,000  
      2027          55,000          55,000,000  

Total

               125,200        $ 125,200,000  
    Year Ended
July 31, 2017
 
JRO   Series        Shares        Amount  

Term Preferred issued

    2022          10,000        $ 10,000,000  
    2022-1          21,000          21,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

Total

               84,000        $ 84,000,000  
    Year Ended
July 31, 2016
 

JSD

    Series          Shares          Amount  

Term Preferred issued

    2020          35,000        $ 35,000,000  

Transactions in VRTP Shares for the Funds, where applicable, were as follows:

    Year Ended
July 31, 2017
       Year Ended
July 31, 2016
 
NSL   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (450      $ (45,000,000        C-4          (130      $ (13,000,000
    Year Ended
July 31, 2017
       Year Ended
July 31, 2016
 
JFR   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (1,080      $ (108,000,000        C-4          (310      $ (31,000,000
    Year Ended
July 31, 2017
       Year Ended
July 31, 2016
 
JRO   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (750      $ (75,000,000        C-4          (230      $ (23,000,000

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:

 

    

NSL

      

JFR

      

JRO

      

JSD

      

JQC

 

Purchases

  $ 210,946,717        $ 526,289,963        $ 358,548,215        $ 151,440,303        $ 877,744,473  

Sales and maturities

    202,393,306          513,673,942          347,792,931          145,770,374          888,661,868  

6. Income Tax Information

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gain to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last

 

  108     NUVEEN


 

four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization (except for NSL). To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.

As of July 31, 2017, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives, where applicable), as determined on a federal income tax basis, were as follows:

 

    

NSL

      

JFR

      

JRO

      

JSD

      

JQC

 

Cost of investments

  $ 444,890,803        $ 1,086,163,442        $ 758,426,328        $ 298,121,747        $ 2,076,529,163  

Gross unrealized:

                     

Appreciation

  $ 11,959,935        $ 24,469,053        $ 18,464,961        $ 7,078,394        $ 36,497,095  

Depreciation

    (27,689,669        (60,417,720        (45,792,050        (15,599,218        (124,318,672

Net unrealized appreciation (depreciation) of investments

  $ (15,729,734      $ (35,948,667      $ (27,327,089      $ (8,520,824      $ (87,821,577

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2017, the Funds’ tax year end, as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Paid-in-surplus

     $ (7,199,110    $ (10,215,386    $ (814,834    $ (192,952    $ (289,143,715

Undistributed (Over-distribution of) net investment income

       307,609        1,468,632        1,219,849        57,833        2,040,108  

Accumulated net realized gain (loss)

       6,891,501        8,746,754        (405,015      135,119        287,103,607  

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2017, the Funds’ tax year end, were as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Undistributed net ordinary income1

     $ 3,293,810      $ 6,885,628      $ 5,076,968      $ 1,797,316      $ 6,125,241  

Undistributed net long-term capital gains

                                    

1      Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 3, 2017, paid on August 1, 2017. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

       

The tax character of distributions paid during the Funds’ tax years ended July 31, 2017 and July 31, 2016, was designated for purposes of the dividends paid deduction as follows:

 

2017      NSL      JFR      JRO      JSD      JQC  

Distributions from net ordinary income2

     $ 18,847,638      $ 46,717,216      $ 34,204,030      $ 13,046,562      $ 84,784,370  

Distributions from net long-term capital gains

                                    

 

2016     

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Distributions from net ordinary income2

     $ 17,339,780      $ 42,391,135      $ 31,080,403      $ 12,297,700      $ 83,039,736  

Distributions from net long-term capital gains

                            93,282         
2  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

 

NUVEEN     109  


Notes to Financial Statements (continued)

 

As of July 31, 2017, the Funds’ tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Expiration:

                

July 31, 2018

     $ 29,264,459      $ 67,020,214      $ 46,332,843      $      $ 8,513,146  

Not subject to expiration

       4,797,932        7,999,822        5,175,330        1,782,858        35,107,702  

Total

     $ 34,062,391      $ 75,020,036      $ 51,508,173      $ 1,782,858      $ 43,620,848  

As of July 31, 2017, the Funds’ tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

 

      NSL      JFR      JRO      JQC  

Expired capital loss carryforwards

   $ 6,925,213      $ 9,819,992      $ 503,687      $ 289,143,715  

During the Funds’ tax year ended, July 31, 2017, JSD utilized $578,749 of its capital loss carryforward.

7. Management Fees

Management Fees

Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:

 

Average Daily Managed Assets*  

NSL

JFR

JRO

JSD
Fund-Level Fee

   

JQC
Fund-Level Fee

 

For the first $500 million

    0.6500     0.6800

For the next $500 million

    0.6250       0.6550  

For the next $500 million

    0.6000       0.6300  

For the next $500 million

    0.5750       0.6050  

For managed assets over $2 billion

    0.5500       0.5800  

 

  110     NUVEEN


 

The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily managed assets:

 

Complex-Level Managed Asset Breakpoint Level*      Effective Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996  

$57 billion

       0.1989  

$60 billion

       0.1961  

$63 billion

       0.1931  

$66 billion

       0.1900  

$71 billion

       0.1851  

$76 billion

       0.1806  

$80 billion

       0.1773  

$91 billion

       0.1691  

$125 billion

       0.1599  

$200 billion

       0.1505  

$250 billion

       0.1469  

$300 billion

       0.1445  
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of July 31, 2017, the complex-level fee for each Fund was 0.1602%.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the following Funds’ outstanding unfunded senior loan commitments were as follows:

 

     NSL        JFR       

JRO

       JSD  

Outstanding unfunded senior loan commitments

  $ 22,844        $ 45,687        $ 34,266        $ 22,844  

Participation Commitments

With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, the Funds had no such outstanding participation commitments.

9. Fund Leverage

Borrowings

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

     NSL        JFR       

JRO

 

Maximum commitment amount

  $ 115,000,000        $ 290,000,000        $ 195,000,000  

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

     NSL        JFR       

JRO

 

Outstanding balance on Borrowings

  $ 114,000,000        $ 254,300,000        $ 178,800,000  

 

NUVEEN     111  


Notes to Financial Statements (continued)

 

For the period August 1, 2016 through January 30, 2017 for NSL and the period August 1, 2016 through December 23, 2016 for JFR and JRO, interest was charged on these Borrowings based on the bank’s commercial paper issuance rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount. The Funds also accrued an upfront fee of 0.15% per annum on the maximum commitment amount. Beginning on January 30, 2017 for NSL and December 23, 2016 for JFR and JRO, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if less than 50% of the maximum commitment amount, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR       

JRO

 

Average daily balance outstanding

  $ 108,484,932        $ 268,223,288        $ 183,432,877  

Average annual interest rate

    1.70        1.67        1.66

Borrowings Information for JSD

The Fund has outstanding a 364-day revolving line of credit. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JSD

 

Maximum commitment amount

  $ 75,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JSD

 

Outstanding balance on Borrowings

  $ 72,000,000  

On August 4, 2016, JSD renewed its Borrowings through August 3, 2017. The interest charged on these Borrowings is at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrues an amendment fee of 0.10% per annum on the maximum commitment amount of the Borrowings and a 0.15% per annum on the undrawn portion if less than 50% of the maximum commitment, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue a 0.25% per annum on the undrawn portion of the Borrowings.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JSD

 

Average daily balance outstanding

  $ 67,002,740  

Average annual interest rate

    1.65

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JQC

 

Maximum commitment amount

  $ 640,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JQC

 

Outstanding balance on Borrowings

  $ 561,000,000  

Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.15%. The Fund also accrues a 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JQC

 

Average daily balance outstanding

  $ 561,000,000  

Average annual interest rate

    2.10

 

  112     NUVEEN


 

Reverse Repurchase Agreements

During the current fiscal period, JQC entered into reverse repurchase agreements as a means of leverage.

In a reverse repurchase agreement, the Fund sells to the counterparty a security or securities that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will pledge assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Counterparty      Rate       

Principal
Amount

       Maturity*        Value        Value and
Accrued Interest
 

Societe Generale

       3-Month LIBOR plus 1.15      $ (145,000,000        4/15/20        $ (145,000,000      $ (145,311,678
* The Fund may repurchase the reverse repurchase agreement prior to the maturity date.

During the current fiscal period, the average daily balance outstanding and weighted average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

      

JQC

 

Average daily balance outstanding

       $145,000,000  

Weighted average interest rate

       2.10

The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.

 

Counterparty    Reverse Repurchase
Agreements*
       Collateral Pledged
to Counterparty**
       Net
Exposure
 

Societe Generale

   $ (145,311,678      $ 145,311,678        $  
* Represents gross value and accrued interest for the counterparty as reported in the preceding table.
** As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements.

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest charged on the amount borrowed and other fees incurred on the Borrowings are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Inter-Fund Borrowing and Lending

The SEC has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund

 

NUVEEN     113  


Notes to Financial Statements (continued)

 

may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.

The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.

During May 2017, the Board approved the Nuveen funds participation in the Inter-Fund Program. During the current reporting period, none of the Funds have entered into any inter-fund loan activity.

10. New Accounting Pronouncements

Amendments to Regulation S-X

In October 2016, the SEC adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date of the amendments to Regulation S-X is August 1, 2017. Management is still evaluating the impact of the final rules, if any.

Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities

During March 2017, the Financial Accounting Standards Board (“FASB”) issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.

11. Subsequent Events

Borrowings Arrangements

On August 3, 2017, JSD renewed its Borrowings through November 1, 2017. All other terms remain unchanged.

 

  114     NUVEEN


Additional

Fund Information (Unaudited)

 

Board of Trustees          

Margo Cook*

 

Jack B. Evans

 

William C. Hunter

 

David J. Kundert

 

Albin F. Moschner

 

John K. Nelson

William J. Schneider

 

Judith M. Stockdale

 

Carole E. Stone

 

Terence J. Toth

 

Margaret L Wolff

  Robert L. Young

 

* Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Drive

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

Computershare Trust Company, N.A.

250 Royall Street

Canton, MA 02021

(800) 257-8787

 

 

Distribution Information

The following Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentage as qualified dividend income (“QDI”) for individuals under Section 1 (h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

 

     JQC  

% QDI

    2.1%  

% DRD

    0.0%  

The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2017:

 

     NSL        JFR        JRO        JSD        JQC  

% of Interest-Related Dividends

    77.8%          63.2%          66.9%          83.3%          73.4%  

Quarterly Form N-Q Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

Nuveen Funds’ Proxy Voting Information

You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common Share Repurchases

Each Fund intends to repurchase, through its open market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased

                                         

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

NUVEEN     115  


Glossary of Terms

Used in this Report (Unaudited)

 

  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

 

  Collateralized Loan Obligation (CLO): A security backed by a pool of debt, often low rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

 

  Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

 

  Credit Suisse Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

  Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund’s portfolio.

 

  Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.

 

  Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

  Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

  Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

  116     NUVEEN


Reinvest Automatically,

Easily and Conveniently

 

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

 

 

NUVEEN     117  


Annual Investment

Management Agreement Approval Process (Unaudited)

 

The Board of Trustees (each, a “Board,” and each Trustee, a “Board Member”) of each Fund, including the Board Members who are not parties to the applicable advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), oversees the management of its respective Fund, including the performance of Nuveen Fund Advisors, LLC, the Funds’ investment adviser (the “Adviser”), and Symphony Asset Management LLC, the Funds’ sub-adviser (the “Sub-Adviser”). As required by applicable law, after the initial term of the respective Fund following commencement of its operations, the Board is required to consider annually whether to renew the Fund’s management agreement with the Adviser (the “Investment Management Agreement”) and its sub-advisory agreement with the Sub-Adviser (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”). Accordingly, the Board met in person on April 11-12, 2017 (the “April Meeting”) and May 23-25, 2017 (the “May Meeting”) to consider the approval of each Advisory Agreement that was up for renewal for an additional one-year period.

The Board considered its review of the Advisory Agreements as an ongoing process encompassing the information received and the deliberations the Board and its committees have had throughout the year. The Board met regularly during the year and received materials and discussed topics that were relevant to the annual consideration of the renewal of the Advisory Agreements, including, among other things, overall market performance and developments; fund investment performance; investment team review; valuation of securities; compliance, regulatory and risk management matters; and other developments. The Board had also established several standing committees, including the Open-end Fund Committee and Closed-end Fund Committee, which met regularly throughout the year to permit the Board Members to delve deeper into the topics particularly relevant to the respective product line. The Board further continued its practice of seeking to meet periodically with the sub-advisers and their investment teams. The accumulated information, knowledge, and experience the Board Members had gained during their tenure on the Board governing the Funds and working with the Fund Advisers (as defined below) were taken into account in their review of the Advisory Agreements.

In addition to the materials received by the Board or its committees throughout the year, the Board reviewed extensive additional materials prepared specifically for its annual review of the Advisory Agreements in response to a request by independent legal counsel on behalf of the Independent Board Members. The materials addressed a variety of topics, including, but not limited to, a description of the services provided by the Adviser and Sub-Adviser (the Adviser and the Sub-Adviser are each a “Fund Adviser”); an analysis of fund performance including comparative industry data and a detailed focus on performance outliers; an analysis of the Sub-Adviser; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and in comparison to the fees and expenses of peers with a focus on any expense outliers; an assessment of shareholder services for the Nuveen funds and of the performance of certain service providers; a review of initiatives instituted or continued during the past year; a review of premium/discount trends and leverage management for the closed-end funds; and information regarding the profitability of the Fund Advisers, the compensation of portfolio managers, and compliance and risk matters. The materials provided in connection with the annual review included information compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data, comparing, in relevant part, each Fund’s fees and expenses with those of a comparable universe of funds (the “Peer Universe”), as selected by Broadridge (the “Broadridge Report”). The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements.

As part of its annual review, the Board met at the April Meeting to review the investment performance of the Funds and to consider the Adviser’s analysis of the Sub-Adviser evaluating, among other things, the Sub-Adviser’s assets under management, investment team, performance, organizational stability, and investment approach. During the review, the Independent Board Members requested and received additional information from management. At the May Meeting, the Board, including the Independent Board Members, continued its review and ultimately approved the continuation of the Advisory Agreements for an additional year. Throughout the year and throughout their review of the Advisory Agreements, the Independent Board Members were assisted by independent legal counsel and met with counsel separately without management present. In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the

 

  118     NUVEEN


 

decision reflected the comprehensive consideration of all the information presented, and each Board Member may have attributed different weights to the various factors and information considered in connection with the approval process. The following summarizes the principal factors, but not all the factors, the Board considered in its review of the Advisory Agreements and its conclusions.

 

A.   Nature, Extent and Quality of Services

In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund and the resulting performance of each Fund. The Board recognized the myriad of services the Adviser and its affiliates provided to manage and operate the Nuveen funds, including (a) product management (such as managing distributions, positioning the product in the marketplace, maintaining and enhancing shareholder communications and reporting to the Board); (b) investment oversight, risk management and securities valuation (such as overseeing the sub-advisers and other service providers, analyzing investment performance and risks, overseeing risk management and disclosure, executing the daily valuation of securities, and analyzing trade execution); (c) fund administration (such as helping to prepare fund tax returns and complete other tax compliance matters and helping to prepare regulatory filings and shareholder reports); (d) fund board administration (such as preparing board materials and organizing and providing assistance for board meetings); (e) compliance (such as helping to devise and maintain the Nuveen funds’ compliance program and test for adherence); (f) legal support (such as helping to prepare registration statements and proxy statements, interpreting regulations and policies and overseeing fund activities); (g) with respect to certain closed-end funds, providing leverage, capital and distribution management services; and (h) with respect to certain open-end funds with portfolios that have a leverage component, providing such leverage management services.

The Board further noted the Adviser’s continued dedication to investing in its business to enhance the quality and breadth of the services provided to the Funds. The Board recognized the Adviser’s investment in staffing over recent years to support the services provided to the Nuveen funds in key areas, including in investment services, product management, retail distribution and information technology, closed-end funds and structured products, as well as in fund administration, operations and risk management. The Board further noted the Adviser’s continued commitment to enhancing its compliance program by, among other things, restructuring the compliance organization, developing a unified compliance program, adding compliance staff, and developing and/or revising policies and procedures as well as building further infrastructure to address new regulatory requirements or guidance and the growth of the complex. The Board also considered the enhancements to Nuveen’s cybersecurity capabilities, systems and processes to value securities, stress test reporting and risk and control self-assessments.

In addition, the Independent Board Members considered information highlighting the various initiatives that the Adviser had implemented or continued over recent years to benefit the open-end fund and closed-end fund product lines and/or particular Nuveen funds. The Board noted the Adviser’s continued efforts to rationalize the open-end fund and closed-end fund product lines through, among other things, mergers, liquidations and repositionings in seeking to provide enhanced shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches that are more relevant to current shareholder needs. With respect to closed-end Nuveen funds, such initiatives included (a) an increased level of leverage management activities in 2016 and 2017 resulting from the rollover of existing facilities, the negotiation of improved terms and pricing to reduce leverage costs, the innovation of new leverage structures, the rebalancing of leverage of various funds as a result of mergers or new investment mandates, and the restructuring of tender option bonds to be compliant with new regulatory requirements; (b) an increased level of capital management activities (i.e., the management of the issuance and repurchase of shares of certain closed-end funds) during 2016 as a result of market demand as well as an implementation of a cross department review system for shares trading at certain discount levels; (c) continued refinements to a database to permit further analysis of the closed-end fund marketplace and shareholder base; (d) the development of enhanced secondary market board reporting and commentary; (e) the reconfiguration of the framework for determining and maintaining closed-end fund benchmarks to permit more consistency across the complex; and (f) the development of product innovations for new closed-end offerings, including target term funds. The Board also recognized the Adviser’s continued commitment to supporting the closed-end product line through its award winning investor relations support program through which Nuveen seeks to educate investors and financial advisers regarding closed-end funds.

 

NUVEEN     119  


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

In its review, the Board recognized that initiatives that attracted assets to the Nuveen family of funds generally benefited the Nuveen funds in the complex as fixed costs would be spread over a larger asset base and, as described below, through the complex-wide fee arrangement which generally provides that the management fees of the Nuveen funds (subject to limited exceptions) are reduced as asset levels in the complex reach certain breakpoints in the fee schedule.

Similarly, the Board considered the sub-advisory services provided by the Sub-Adviser to the Funds. The Sub-Adviser generally provided portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment team and any changes thereto, the stability and history of the organization, the assets under management, the investment approach and the performance of the Nuveen funds it sub-advises. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements.

Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement.

 

B.   The Investment Performance of the Funds and Fund Advisers

As part of its evaluation of the services provided by the Fund Advisers, the Board reviewed Fund performance over the quarter, one-, three- and five-year periods ending December 31, 2016 as well as performance data for the first quarter of 2017 ending March 31, 2017. The Board reviewed performance on an absolute basis and in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). For closed-end funds, the Board (or the Closed-end Fund Committee) also reviewed, among other things, the premium or discount to net asset value of the Nuveen closed-end funds as of a specified date and over various periods as well as in comparison to the premium/discount average in their respective Lipper peer category. The Independent Board Members continued to recognize the importance of secondary market trading for the shares of the closed-end funds and the evaluation of the premium and discount levels was a continuing priority for them. The review and analysis of performance information during the annual review of Advisory Agreements incorporated the discussions and performance information the Board Members have had at each of their quarterly meetings throughout the year.

In evaluating performance data, the Independent Board Members recognized some of the limitations of such data and the difficulty in establishing appropriate peer groups and benchmarks for certain of the Nuveen funds. They recognized that each fund operates pursuant to its own investment objective(s), parameters and restrictions which may differ from that of the Performance Peer Group or benchmark. Certain funds may also utilize leverage which may provide benefits or risks to their portfolio compared to an unlevered benchmark. The Independent Board Members had noted that management had classified the Performance Peer Groups as low, medium and high in relevancy to the applicable fund as a result of these differences or other factors. The Independent Board Members recognized that the variations between the Performance Peer Group or benchmark and the applicable Fund will lead to differing performance results and may limit the value of the comparative performance data in assessing the particular Fund’s performance.

In addition, the Independent Board Members recognized that the performance data is a snapshot in time, in this case as of the end of the 2016 calendar year or end of the first quarter of 2017. A different period may generate significantly different results and longer term performance can be adversely affected by even one period of significant underperformance. Further, a shareholder’s experience in a Fund depends on his or her own holding period which may differ from that reviewed by the Independent Board Members.

In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers and the factors contributing to the respective fund’s performance and any efforts to address performance concerns. With respect to any Nuveen funds for which the Board has identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers any steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board, however, acknowledged that shareholders chose to invest or remain invested in a fund knowing that the Adviser and applicable sub-adviser manage the fund, knowing the fund’s investment strategy and seeking exposure to that strategy (even if the strategy was “out of favor” in the marketplace) and knowing the fund’s fee structure.

 

  120     NUVEEN


 

For Nuveen Senior Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the three-year period, the second quartile in the one-year period and the first quartile in the five-year period. In addition, although the Fund underperformed its benchmark in the three-year period, the Fund outperformed its benchmark in the one- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the three-year period, the second quartile in the one-year period and the first quartile in the five-year period. In addition, although the Fund underperformed its benchmark in the three-year period, the Fund outperformed its benchmark in the one- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Opportunity Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the three-year period and the first quartile in the one- and five-year periods. In addition, the Fund outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Short Duration Credit Opportunities Fund, the Board noted that the Fund had performed well against its Performance Peer Group, ranking in the second quartile over the one-, three- and five-year periods. The Fund also outperformed its benchmark over such periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Credit Strategies Income Fund, the Board noted that, although the Fund ranked in the fourth quartile of its Performance Peer Group in the three-year period, the Fund performed in the third quartile in the one-year period and the first quartile in the five-year period. Similarly, although the Fund underperformed its benchmark in the three-year period, the Fund outperformed its benchmark in the one- and five-year periods. The Board was satisfied with the Fund’s overall performance.

 

C.   Fees, Expenses and Profitability
  1.   Fees and Expenses

The Board evaluated the management fees and other fees and expenses of each Fund. The Board reviewed and considered, among other things, the gross and net management fees paid by the Funds. The Board further considered the net total expense ratio of each Fund (expressed as a percentage of average net assets) as the expense ratio is most reflective of the investors’ net experience in a Fund as it directly reflected the costs of investing in the respective Fund.

In addition, the Board reviewed the Broadridge Report comparing, in relevant part, each Fund’s gross and net advisory fees and net total expense ratio with those of a Peer Universe. The Independent Board Members also reviewed the methodology regarding the construction of the applicable Peer Universe by Broadridge. In reviewing the comparative data, the Board was aware that various factors may limit some of the usefulness of the data, such as differences in size of the peers; the composition of the Peer Universe; changes each year of funds comprising the Peer Universe; levels of expense reimbursements and fee waivers; and differences in the type and use of leverage. Nevertheless, in reviewing a fund’s fees and expenses compared to the fees and expenses of its peers (excluding leverage costs and leveraged assets), the Board generally considered a fund’s expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. The Board noted that the substantial majority of the Nuveen funds had a net expense ratio that was near or below their respective peer average.

The Independent Board Members noted that the Funds had net management fees and net expense ratios below their respective peer averages.

In their evaluation of the management fee schedule, the Independent Board Members also reviewed the fund-level and complex-wide breakpoint schedules, as described in further detail below. With respect to closed-end funds, the Board considered the effects of leverage on fees and expenses, including the calculation of management fees for funds with tender option bonds.

Based on their review of the information provided, the Board determined that each Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund.

 

NUVEEN     121  


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

 

2.   Comparisons with the Fees of Other Clients

The Board also reviewed information regarding the respective Fund Adviser’s fee rates for providing advisory services to other types of clients. For the Adviser and/or the Sub-Adviser, such other clients may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds and other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers. The Board further noted that the Adviser also advises certain exchange-traded funds (“ETFs”) sponsored by Nuveen.

In reviewing the fee rates assessed to other clients, the Board reviewed, among other things, the range of fees assessed for managed accounts and hedge funds. With respect to hedge funds, the Board noted that the Sub-Adviser also assessed a performance fee for advising a hedge fund or account. The Board also reviewed the average fee rate for certain strategies offered by the Sub-Adviser.

The Board recognized the inherent differences between the Nuveen funds and the other types of clients. The Board considered information regarding these various differences which included, among other things, the services required, average account sizes, types of investors targeted, legal structure and operations, and applicable laws and regulations. The Independent Board Members recognized that the foregoing variations resulted in different economics among the product structures and culminated in varying management fees among the types of clients and the Nuveen funds. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. The Board recognized the breadth of services the Adviser provided to support the Nuveen funds as summarized above and noted that many of such administrative services may not be required to the same extent or at all for the institutional clients or other clients. The Board further recognized the passive management of ETFs compared to the active management required of other Nuveen funds would contribute to differing fee levels.

The Independent Board Members noted that the sub-advisory fees paid by the Adviser to the Sub-Adviser, however, were generally for portfolio management services. The Board noted such sub-advisory fees were more comparable to the fees of retail wrap accounts and other external sub-advisory mandates.

Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Board concluded that such facts justify the different levels of fees.

 

3.   Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members also considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2016 and 2015. In considering profitability, the Independent Board Members considered the level of profitability realized by Nuveen before the imposition of any distribution and marketing expenses incurred by the firm from its own resources. In evaluating the profitability, the Independent Board Members evaluated the analysis employed in developing the profitability figures, including the assumptions and methodology employed in allocating expenses. The Independent Board Members recognized the inherent limitations to any cost allocation methodology as different and reasonable approaches may be used and yet yield differing results. The Independent Board Members further reviewed an analysis of the history of the profitability methodology used explaining any changes to the methodology over the years. The Board has appointed two Independent Board Members, who along with independent legal counsel, helped to review and discuss the methodology employed to develop the profitability analysis each year and any proposed changes thereto and to keep the Board apprised of such changes during the year.

In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, the gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax) of Nuveen for each of the last two calendar years. The Independent Board Members also reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2016 versus 2015. The Board, however, observed that Nuveen’s operating margins for its advisory activities in 2016 were similar to that of 2015.

 

  122     NUVEEN


 

In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also reviewed the adjusted total company margins of other advisory firms that had publicly available information and comparable assets under management (based on asset size and asset composition). The Independent Board Members, however, noted that the usefulness of the comparative data may be limited as the other firms may have a different business mix and their profitability data may be affected by numerous other factors such as the types of funds managed, the cost allocation methodology used, and their capital structure. Nevertheless, the Board noted that Nuveen’s adjusted operating margins appeared comparable to the adjusted margins of the peers.

Further, the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). To have a fuller picture of the financial condition and strength of the TIAA complex, together with Nuveen, the Board reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2016 and 2015 calendar years.

In addition to the Adviser’s profitability, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationship with the Nuveen funds. The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2016.

In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser for its services to the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.

Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.

 

D.   Economies of Scale and Whether Fee Levels Reflect These Economies of Scale

When evaluating the level of the advisory fees, the Independent Board Members considered whether there will be any economies of scale that may be realized by the Fund Adviser as a Fund grows and the extent to which these economies were shared with the Funds and shareholders. The Board recognized that economies of scale are difficult to measure with precision; however, the Board considered that there were several ways the Fund Adviser may share the benefits of economies of scale with the Nuveen funds, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waivers and/or expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the Nuveen funds. With respect to the fee structure, the Independent Board Members have recognized that economies of scale may be realized when a particular fund grows, but also when the total size of the fund complex grows (even if the assets of a particular fund in the complex have not changed or have decreased). Accordingly, subject to certain exceptions, the funds in the Nuveen complex pay a management fee to the Adviser which is generally comprised of a fund-level component and complex-level component, each of which has a breakpoint schedule. Subject to certain exceptions, the fund-level fee component declines as the assets of the particular fund grow and the complex-level fee component declines when eligible assets of all the Nuveen funds (except for Nuveen ETFs which are subject to a unitary fee) in the Nuveen complex combined grow. In addition, with respect to closed-end funds, the Independent Board Members noted that, although such funds may from time-to-time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios.

The Independent Board Members reviewed the breakpoint and complex-wide schedules and any savings achieved from fee reductions as a result of the fund-level and complex-level breakpoints for the 2016 calendar year.

In addition, the Independent Board Members recognized the Adviser’s ongoing investment in its business to expand or enhance the services provided to the benefit of all of the Nuveen funds.

Based on their review, the Board concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.

 

NUVEEN     123  


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

 

E.   Indirect Benefits

The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds, including compensation paid to affiliates of a Fund Adviser for services rendered to the funds and research services received by a Fund Adviser from broker-dealers that execute fund trades. The Independent Board Members noted that affiliates of the Adviser may receive compensation for serving as a co-manager for initial public offerings of new Nuveen closed-end funds and as underwriter on shelf offerings for certain existing funds. The Independent Board Members considered the compensation paid for such services in 2016.

In addition to the above, the Independent Board Members considered that the Funds’ portfolio transactions are allocated by the Sub-Adviser and the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board noted, however, that with respect to transactions in fixed income securities, such securities generally trade on a principal basis and do not generate soft dollar credits. Although the Board recognized the Sub-Adviser may benefit from a soft dollar arrangement if it does not have to pay for this research out of its own assets, the Board also recognized that the research may benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds.

Based on their review, the Board concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.

 

F.   Other Considerations

The Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.

 

  124     NUVEEN


Board

Members & Officers (Unaudited)

 

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is set at twelve. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent trustees”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

  

Number

of Portfolios
in Fund Complex
Overseen by
Board Member

                     
Independent Board Members:          

  WILLIAM J. SCHNEIDER

         Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition.   

1944

333 W. Wacker Drive Chicago, IL 6o6o6

   Chairman and Board Member   

1996 Class III

     

176

           

  JACK B. EVANS

         President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, Public Member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.   

1948

333 W. Wacker Drive Chicago, IL 6o6o6

  

Board Member

  

1999 Class III

     

176

           

  WILLIAM C.  HUNTER

         Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; past Director (2005- 2015), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.   

1948

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2003

Class I

     

176

           

  DAVID J. KUNDERT

         Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013), retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible; Board member of Milwaukee Repertory Theatre (since 2016).   

1942

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2005 Class II

     

176

           

 

NUVEEN     125  


Board Members & Officers (continued)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

  

Number

of Portfolios
in Fund Complex
Overseen by
Board Member

                     
Independent Board Members (continued):          

  ALBIN F. MOSCHNER(2)

         Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999- 2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions with Zenith Electronics Corporation (1991- 1996). Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016).   

1952

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2016

Class III

     

176

           

  JOHN K. NELSON

         Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012- 2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.   

1962

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2013

Class II

     

176

           

  JUDITH M.  STOCKDALE

         Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994- 2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).   

1947

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

1997

Class I

     

176

  CAROLE E. STONE

         Director, Chicago Board Options Exchange, Inc. (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc.(since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).   

1947

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2007

Class I

     

176

  TERENCE J. TOTH

         Co-Founding Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its Investment Committee; formerly, Director, Legal & General Investment Management America, Inc.(2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).   

1959

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2008

Class II

     

176

           

 

  126     NUVEEN


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

  

Number

of Portfolios
in Fund Complex
Overseen by
Board Member

                     
Independent Board Members (continued):          

  MARGARET L. WOLFF

         Member of the Board of Directors (since 2013) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College.   

1955

333 W. Wacker Drive Chicago, IL 6o6o6

  

Board Member

  

2016

Class I

     

176

           

  ROBERT L. YOUNG(3)

         Formerly, Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P. Morgan Funds; formerly, Director and various officer positions for J.P. Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly, One Group Dealer Services, Inc.) (1999-2017).   

1963

333 W. Wacker Drive Chicago, IL 60606

  

Board Member

  

2017

Class II

     

174

           
Interested Board Member:        

  MARGO L. COOK(2)(4)

         President (since April 2017), formerly, Co-Chief Executive Officer and Co-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc.; President, Global Products and Solutions (since July 2017), and, Co-Chief Executive Officer, formerly, Executive Vice President (2013-2015), of Nuveen Securities, LLC; Executive Vice President (since February 2017) of Nuveen, LLC; President (since August 2017), formerly, Co-President (since October 2016), formerly Senior Executive Vice President of Nuveen Fund Advisors, LLC (Executive Vice President since 2011); formerly, Managing Director of Nuveen Commodities Asset Management, LLC (2011-2016); Chartered Financial Analyst.   

1964

333 W. Wacker Drive

Chicago, IL 60606

  

Board Member

  

2006

Class III

     

176

           
                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(5)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex
Overseen by
Officer

                     
Officers of the Funds:          

  CEDRIC H.  ANTOSIEWICZ

         Senior Managing Director (since January 2017), formerly, Managing Director (2004-2017) of Nuveen Securities, LLC; Senior Managing Director (since February 2017), formerly, Managing Director (2014-2017) of Nuveen Fund Advisors, LLC.   

1962

333 W. Wacker Drive

Chicago, IL 60606

  

Chief Administrative Officer

  

2007

     

75

  LORNA C. FERGUSON

         Senior Managing Director (since February 2017), formerly, Managing Director (2004-2017) of Nuveen.   

1945

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

1998

     

177

 

NUVEEN     127  


Board Members & Officers (continued)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(5)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex
Overseen by
Officer

                     
Officers of the Funds (continued):          

  STEPHEN D. FOY

         Managing Director (since 2014), formerly, Senior Vice President (2013- 2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Managing Director (since 2016) of Nuveen Securities, LLC; Certified Public Accountant.   

1954

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President and Controller

  

1998

     

177

           

  NATHANIEL T. JONES

         Managing Director (since January 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011-2016) of Nuveen.; Chartered Financial Analyst.   

1979

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

and Treasurer

  

2016

     

177

  WALTER M. KELLY

         Managing Director (since January 2017), formerly, Senior Vice President (2008-2017) of Nuveen.   

1970

333 W. Wacker Drive

Chicago, IL 60606

  

Chief Compliance Officer and Vice President

  

2003

     

177

  DAVID J. LAMB

         Managing Director (since January 2017), formerly, Senior Vice President of Nuveen Investments Holdings, Inc. (since 2006), Vice President prior to 2006.   

1963

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2015

     

75

  TINA M. LAZAR

         Managing Director (since January 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC.   

1961

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2002

     

177

  KEVIN J. MCCARTHY

         Senior Managing Director (since February 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since January 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since February 2017), Secretary (since 2016) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since February 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011-2016); Senior Managing Director (since February 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010); Vice President (since 2010) and Secretary (since 2016) of Nuveen Commodities Asset Management, LLC, formerly Assistant Secretary (2010-2016).   

1966

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President and Assistant Secretary

  

2007

     

177

           

  MICHAEL A.  PERRY

         Executive Vice President since February 2017, previously Managing Director from October 2016), of Nuveen Fund Advisors, LLC; Executive Vice President (since 2017), formerly, Managing Director (2015-2017), of Nuveen Securities, LLC; formerly, Managing Director (2010-2015) of UBS Securities, LLC.   

1967

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2017

     

74

           

 

  128     NUVEEN


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(5)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex
Overseen by
Officer

                     
Officers of the Funds (continued):          

  KATHLEEN L. PRUDHOMME

      Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).   

1953

9o1 Marquette Avenue

Minneapolis, MN 55402

  

Vice President and Assistant Secretary

  

2011

     

177

           

  CHRISTOPHER M. ROHRBACHER

      Managing Director (since January 2017) of Nuveen Securities, LLC; Managing Director (since January 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since October 2016) of Nuveen Fund Advisors, LLC; Vice President and Assistant Secretary (since 2010) of Nuveen Commodities Asset Management, LLC.   

1971

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President and Assistant Secretary

  

2008

     

177

           

  WILLIAM A.  SIFFERMANN

        

Managing Director (since February 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen.

  

1975

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2017

     

176

           

  JOEL T. SLAGER

         Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013).   

1978

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President and Assistant Secretary

  

2013

     

177

  GIFFORD R.  ZIMMERMAN

         Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since February 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst.   

1956

333 W. Wacker Drive Chicago, IL 60606

  

Vice President and Secretary

  

1988

     

177

           

 

(1) The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares, when applicable, to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.
(2) On June 22, 2016, Ms. Cook and Mr. Moschner were appointed as Board members, effective July 1, 2016.
(3) On May 25, 2017, Mr. Young was appointed as a Board Member, effective July 1, 2017. He is a Board Member of each of the Nuveen Funds, except Nuveen Diversified Dividend and Income Fund and Nuveen Real Estate Income Fund.
(4) “Interested person” as defined in the 1940 Act, by reason of her position with Nuveen, LLC. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.
(5) Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

 

NUVEEN     129  


Notes

 

 

  130     NUVEEN


Notes

 

 

NUVEEN     131  


LOGO

 

    

 

     

 

           
  Nuveen:   
     Serving Investors for Generations      
    

 

     Since 1898, financial advisors and their clients have relied on Nuveen to provide
dependable investment solutions through continued adherence to proven, long-term investing
principles. Today, we offer a range of high quality solutions designed to
be integral components of a well-diversified core portfolio.
  
       

 

       

Focused on meeting investor needs.

 

Nuveen is the investment management arm of TIAA. We have grown into one of the world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.

  
    

 

        
       

Find out how we can help you.

To learn more about how the products and services of Nuveen
may be able to help you meet your financial goals, talk to your
financial advisor, or call us at (800) 257-8787. Please read the information
provided carefully before you invest. Investors should consider the
investment objective and policies, risk considerations, charges and
expenses of any investment carefully. Where applicable, be sure to obtain a
prospectus, which contains this and other relevant information. To obtain
a prospectus, please contact your securities representative or Nuveen,
333 W. Wacker Dr., Chicago, IL 60606. Please read the
prospectus carefully before you invest or send money.

 

Learn more about Nuveen Funds at: www.nuveen.com/cef

  

 

                 
  Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com   

 

EAN-A-0717D        258847-INV-Y-09/18


ITEM 2. CODE OF ETHICS.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone and Jack B. Evans, who are “independent” for purposes of Item 3 of Form N-CSR.

Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.

Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Floating Rate Income Opportunity Fund

The following tables show the amount of fees that KPMG LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with KPMG LLP the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended

  Audit Fees Billed
to Fund 1
    Audit-Related Fees
Billed to Fund 2
    Tax Fees
Billed to Fund 3
    All Other Fees
Billed to Fund 4
 

July 31, 2017

  $ 32,850     $ 51,000     $ 0     $ 18,000  
 

 

 

   

 

 

   

 

 

   

 

 

 
       

Percentage approved pursuant to pre-approval exception

    0     0     0     0
 

 

 

   

 

 

   

 

 

   

 

 

 
       

July 31, 2016

  $ 29,480     $ 0     $ 0     $ 18,000  
 

 

 

   

 

 

   

 

 

   

 

 

 
       

Percentage approved pursuant to pre-approval exception

    0     0     0     0
 

 

 

   

 

 

   

 

 

   

 

 

 

 

1 “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.

2 “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.

3 “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.

4 “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage.

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

The following tables show the amount of fees billed by KPMG LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.


The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to KPMG LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.

 

Fiscal Year Ended

  Audit-Related Fees
    Billed to Adviser and     
    Affiliated Fund Service    

Providers
        Tax Fees Billed to    
Adviser and

Affiliated Fund
Service Providers
    All Other Fees
Billed to Adviser
    and Affiliated Fund    
Service Providers
 

July 31, 2017

  $ 0     $ 0     $ 0  
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 
     

July 31, 2016

  $ 0     $ 0     $ 0  
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 


NON-AUDIT SERVICES

The following table shows the amount of fees that KPMG LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that KPMG LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from KPMG LLP about any non-audit services that KPMG LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating KPMG LLP ’s independence.

 

Fiscal Year Ended

      Total Non-Audit Fees    
Billed to Fund
    Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
    Providers (engagements    
related directly to the
operations and financial
reporting of the Fund)
    Total Non-Audit Fees
billed to Adviser and
    Affiliated Fund Service    
Providers (all other
engagements)
    Total  

July 31, 2017

  $ 69,000     $ 0     $ 0     $ 69,000  

July 31, 2016

  $ 18,000     $ 0     $ 0     $ 18,000  

“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.

Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Jack B. Evans, David J. Kundert, John K. Nelson, Carole E. Stone and Terence J. Toth.

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.


ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC, formerly known as Nuveen Fund Advisors, Inc., is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management, LLC (“Symphony” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser’s policies and procedures. The Adviser periodically monitors the Sub-Adviser’s voting to ensure that it is carrying out its duties. The Sub-Adviser’s proxy voting policies and procedures are summarized as follows:

SYMPHONY

Symphony has adopted and implemented proxy voting guidelines to ensure that proxies are voted in the best interest of its Clients. These are merely guidelines and specific situations may call for a vote which does not follow the guidelines. In determining how to vote proxies, Symphony will follow the Proxy Voting Guidelines of the independent third party which Symphony has retained to provide proxy voting services (“Symphony’s Proxy Guidelines”).

Symphony has created a Proxy Voting Subcommittee to periodically review Symphony’s Proxy Guidelines, address conflicts of interest, specific situations and any portfolio manager’s decision to deviate from Symphony’s Proxy Guideline, (including the third party’s guidelines). Under certain circumstances, Symphony may vote one way for some Clients and another way for other Clients. For example, votes for a Client who provides specific voting instructions may differ from votes for Clients who do not provide proxy voting instructions. However, when Symphony has discretion, proxies will generally be voted the same way for all Clients. In addition, conflicts of interest in voting proxies may arise between Clients, between Symphony and its employees, or a lending or other material relationship. As a general rule, conflicts will be resolved by Symphony voting in accordance with Symphony’s Proxy Guidelines when:

 

    Symphony manages the account of a corporation or a pension fund sponsored by a corporation in which Clients of Symphony also own stock. Symphony will vote the proxy for its other Clients in accordance with Symphony’s Proxy Guidelines and will follow any directions from the corporation or the pension plan, if different than Symphony’s Proxy Guidelines;

 

    An employee or a member of his/her immediate family is on the Board of Directors or a member of senior management of the company that is the issuer of securities held in Client’s account;

 

    Symphony has a borrowing or other material relationship with a corporation whose securities are the subject of the proxy.

Proxies will always be voted in the best interest of Symphony’s Clients. Those situations that do not fit within the general rules for the resolution of conflicts of interest will be reviewed by the Proxy Voting Subcommittee. The Proxy Voting Subcommittee, after consulting with senior management, if appropriate, will determine how the proxy should be voted. For example, when a portfolio manager decides not to follow Symphony’s Proxy Guidelines, the Proxy Voting Subcommittee will review a portfolio manager’s recommendation and determine how to vote the proxy. Decisions by the Proxy Voting Subcommittee will be documented and kept with records related to the voting of proxies. A summary of specific votes will be retained in accordance with Symphony’s Books and Records Requirements which are set forth Symphony’s Compliance Manual and Code of Ethics.


ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the selection and on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management LLC (“Symphony”, also referred to as “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio managers of the Sub-Adviser.

 

Item 8(a)(1). PORTFOLIO MANAGER BIOGRAPHIES

The following individuals have primary responsibility for the day-to-day implementation of the registrant’s investment strategies:

 

    Gunther Stein, Chief Investment Officer and Chief Executive Officer, Portfolio Manager

 

    Scott Caraher, Portfolio Manager

Gunther Stein, Chief Executive Officer and Chief Investment Officer at Symphony, is responsible for leading Symphony’s fixed-income and equity investments strategies and research efforts. Mr. Stein has over 30 years of investment experience. Mr. Stein was named Chief Investment Officer of Symphony in 2009 and Chief Executive Officer in 2010. Prior to joining Symphony in 1999, Mr. Stein spent six years at Wells Fargo where he managed a high-yield portfolio, was responsible for investing in public high yield bonds and bank loans and managed a team of credit analysts.

Scott Caraher, Co-Portfolio Manager of the Fund, is a member of Symphony’s fixed-income team and his responsibilities include portfolio management and trading for Symphony’s bank loan strategies and research for its fixed-income strategies. Prior to joining Symphony in 2002, Mr. Caraher was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.

 

Item 8(a)(2). OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

 

OTHER ACCOUNTS MANAGED BY Gunther Stein as of 7/31/17

  

(a) Registered Investment Companies

  

Number of accounts

     17  

Assets

   $ 7.31 billion  

(b) Other Pooled Accounts

  

Non-performance fee Accounts

  

Number of Accounts

     39  

Assets

   $ 8.07 billion  

Performance fee Accounts

  

Number of Accounts

     5  

Assets

   $ 877 million  

(c) Other Accounts

  

Non-performance fee Accounts

  

Number of accounts

     10  

Assets

   $ 1.12 billion  

Performance fee Accounts

  

Number of Accounts

     0  

Assets

   $ 0  


OTHER ACCOUNTS MANAGED BY Scott Caraher as of 7/31/17

  

(a) Registered Investment Companies

  

Number of accounts

     6  

Assets

   $ 4.49 billion  

(b) Other pooled accounts

  

Non-performance fee accounts

  

Number of accounts

     4  

Assets

   $ 1.28 billion  

Performance fee accounts

  

Number of accounts

     0  

Assets

   $ 0  

(c) Other

  

Non-performance fee accounts

  

Number of accounts

     6  

Assets

   $ 1.04 billion  

Performance fee accounts

  

Number of accounts

     0  

Assets

   $ 0  

POTENTIAL MATERIAL CONFLICTS OF INTEREST

As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts. Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors. In addition, the Sub-adviser has adopted trade allocation procedures so that accounts with like investment strategies are treated fairly and equitably over time.

 

Item 8(a)(3). FUND MANAGER COMPENSATION

Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.

Each portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. Bonus compensation for each individual is based on a variety of factors, including the performance of Symphony, the Fund, the team and the individual. Fund performance is assessed on a pre-tax total return risk-adjusted basis, and generally measured relative to the Fund’s primary benchmark and/or industry peer group for one, three or five year periods as applicable.


Finally, certain key employees of Symphony, including the portfolio managers, have received profits interests in Symphony which entitle their holders to participate in the firm’s growth over time.

 

Item 8(a)(4). OWNERSHIP OF JRO SECURITIES AS OF JULY 31, 2017

 

Name of Portfolio
Manager

         None          $1 -
$10,000
     $10,001-
$50,000
   $50,001-
$100,000
     $100,001-
$500,000
     $500,001-
$1,000,000
     Over $1,000,000  

Gunther Stein

              X           

Scott Caraher

                                                                   X        


ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

ITEM 11. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15 (b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15 (b)).

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.)

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.


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.

(Registrant) Nuveen Floating Rate Income Opportunity Fund

 

By (Signature and Title)   

/s/ Gifford R. Zimmerman

  
  

Gifford R. Zimmerman

  
   Vice President and Secretary   
Date: October 6, 2017   

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 (Signature and Title)   

/s/ Cedric H. Antosiewicz

  
  

Cedric H. Antosiewicz

  
   Chief Administrative Officer   
   (principal executive officer)   
Date: October 6, 2017   
By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   
Date: October 6, 2017