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		811-22518

Nuveen Short Duration Credit Opportunities 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.

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ITEM 1. REPORTS TO STOCKHOLDERS.

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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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Life is Complex

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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

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Chairman’s Letter

to Shareholders

 

 

	4			NUVEEN

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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THIS PAGE INTENTIONALLY LEFT BLANK

 

NUVEEN			15

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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

 

 

	16			NUVEEN

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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.

 

 

 

NUVEEN			17

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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

 

 

	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.

 

 

 

NUVEEN			19

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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

 

 

	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.

 

 

 

NUVEEN			21

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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

 

 

	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.

 

 

NUVEEN			23

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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

 

 

	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.

 

 

NUVEEN			25

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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		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

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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

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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

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								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:

 

 

(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

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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

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								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:

 

 

(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

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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

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								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:

 

 

(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

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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

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(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:

 

 

See accompanying notes to financial statements.

 

NUVEEN			95

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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Reinvest Automatically,

Easily and Conveniently

 

 

NUVEEN			117

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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Notes

 

 

	130			NUVEEN

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Notes

 

 

NUVEEN			131

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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

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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 Short Duration Credit Opportunities 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		$	30,350			$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%			0	%
July 31, 2016		$	29,480			$	23,000			$	0			$	0
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.

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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	%

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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		$	0			$	0			$	0			$	0
July 31, 2016		$	0			$	0			$	0			$	0

“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.

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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.

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ITEM 8. PORTFOLIO MANAGERS OF 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 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

 

•

Jenny Rhee, 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.

Jenny Rhee, Co-Portfolio Manager of the Fund, joined Symphony in 2001. Her responsibilities include portfolio management for Symphony’s long-short credit strategy, credit trading, and research. Previously, Ms. Rhee was a Senior Vice President and Portfolio Manager at Basso Capital Management in London where she helped launch their European credit platform.

 

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		$	7.59 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
Non-performance fee accounts
Number of accounts			10
Assets		$	1.12 billion

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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		$	4.78 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
OTHER ACCOUNTS MANAGED BY Jenny Rhee as of 7/31/17
(a) Registered Investment Companies
Number of accounts			3
Assets		$	1.05 billion
(b) Other pooled accounts
Non-performance fee accounts
Number of accounts			1
Assets		$	754 million
Performance fee accounts
Number of accounts			1
Assets		$	50.7 million
(c) Other
Non-performance fee accounts
Number of accounts			8
Assets		$	3.9 million
Performance fee accounts
Number of accounts			0
Assets		$	0

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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 JSD 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

Jenny Rhee

X

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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.

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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.

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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 Short Duration Credit Opportunities 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