Nuveen Floating Rate Income Opportunity Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

  

811-21579

Nuveen Floating Rate Income Opportunity Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:    July 31                                

Date of reporting period:    July 31, 2018                   

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

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.


ITEM 1. REPORTS TO STOCKHOLDERS.


LOGO

 

Closed-End Funds

 

31 July 2018

 

Nuveen

Closed-End Funds

 

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

 

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LOGO


Table of Contents

 

Chairman’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     9  

Common Share Information

     11  

Risk Considerations

     13  

Performance Overview and Holding Summaries

     16  

Shareholder Meeting Report

     26  

Report of Independent Registered Public Accounting Firm

     27  

Portfolios of Investments

     28  

Statement of Assets and Liabilities

     83  

Statement of Operations

     84  

Statement of Changes in Net Assets

     85  

Statement of Cash Flows

     88  

Financial Highlights

     90  

Notes to Financial Statements

     98  

Additional Fund Information

     116  

Glossary of Terms Used in this Report

     117  

Reinvest Automatically, Easily and Conveniently

     118  

Annual Investment Management Agreement Approval Process

     119  

Board Members & Officers

     127  

 

3


Chairman’s Letter to Shareholders

 

LOGO

Dear Shareholders,

I am honored to serve as the new independent chairman of the Nuveen Fund Board, effective July 1, 2018. I’d like to gratefully acknowledge the stewardship of my predecessor William J. Schneider and, on behalf of my fellow Board members, reinforce our commitment to the legacy of strong, independent oversight of your Funds.

The increase in market turbulence this year reflects greater uncertainty among investors. The global economic outlook is less clear cut than it was in 2017. U.S. growth is again decoupling from that of the rest of the world, and the U.S. dollar and interest rates have risen in response. Trade war rhetoric and the imposition of tariffs between the U.S. and its major trading partners has recently dampened business sentiment and could pose a risk to growth expectations going forward. Downside risks for some emerging markets have increased. A host of other geopolitical concerns, including the ongoing Brexit and North American Free Trade Agreement negotiations, North Korea relations and rising populism around the world, remain on the horizon.

Despite these risks, global growth remains intact, albeit at a slower pace, providing support to corporate earnings. Fiscal stimulus, an easing regulatory environment and robust consumer spending recently helped boost the U.S. economy’s momentum. Growth estimates for Europe, the U.K. and Japan pointed to a rebound in their economies during the second quarter. Subdued inflation pressures have kept central bank policy accommodative, even as Europe moves closer to winding down its monetary stimulus and the Federal Reserve remains on a moderate tightening course.

Headlines and political noise will continue to obscure underlying fundamentals at times and cause temporary bouts of volatility. We encourage you to work with your financial advisor to evaluate your goals, timeline and risk tolerance if short-term market fluctuations are a concern. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

Terence J. Toth

Chairman of the Board

September 24, 2018

 

 

4


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. During the reporting period, Gunther Stein and Scott Caraher managed NSL, JFR and JRO, Gunther, Scott and Jenny Rhee managed JSD, and Gunther and Sutanto Widjaja managed JQC. On October 1, 2018, Gunther Stein ceased serving as a portfolio manager for each of the Funds.

Effective April 12, 2018, the Board of Trustees for both JQC and JSD has approved an additional investment policy for each Fund. Under normal circumstances, the Fund will invest at least 80% of “Assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities. This new policy is separate from and in addition to the Fund’s existing policy that it will invest at least 70% of Managed Assets in adjustable rate senior loans and second lien loans for JQC and adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments for JSD.

Here the team discusses U.S. economic and market conditions, their management strategies and the performance of the Funds for the twelve-month reporting period ended July 31, 2018.

What factors affected the U.S. economic and financial markets during the twelve-month reporting period ended July 31, 2018?

After maintaining a moderate pace of growth for most of the twelve-month reporting period, the U.S. economy accelerated in the second quarter of 2018. In the April to June period, economic stimulus from tax cuts and deregulation helped lift the economy to its fastest pace since 2014. The “second” estimate by the Bureau of Economic Analysis reported U.S. gross domestic product (GDP) grew at an annualized rate of 4.2% in the second quarter, up from 2.2% in the first quarter, 2.3% in the fourth quarter of 2017 and 2.8% in the third quarter of 2017. GDP 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. The boost in economic activity during the second quarter of 2018 was attributed to robust spending by

 

 

 

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. 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.

 

5


Portfolio Managers’ Comments (continued)

 

consumers, businesses and the government, as well as a temporary increase in exports, as farmers rushed soybean shipments ahead of China’s retaliatory tariffs.

Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and, in the second quarter, tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.9% in July 2018 from 4.3% in July 2017 and job gains averaged around 200,000 per month for the past twelve months. The Consumer Price Index (CPI) increased 2.9% over the twelve-month reporting period ended July 31, 2018 on a seasonally adjusted basis, as reported by the Bureau of Labor Statistics.

Low mortgage rates and low inventory continued to drive home prices higher. Although mortgage rates have started to nudge higher, they remained relatively low by historical standards. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, rose 6.2% in June 2018 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over- year increases of 6.0% and 6.3%, respectively.

With the U.S. economy delivering a sustainable growth rate and employment strengthening, the Fed’s policy making committee continued to incrementally raise its main benchmark interest rate. The most recent increase, in June 2018, was the seventh rate hike since December 2015. Fed Chair Janet Yellen’s term expired in February 2018, and incoming Chairman Jerome Powell indicated he would likely maintain the Fed’s gradual pace of interest rate hikes. At the June meeting, the Fed increased its projection to four interest rate increases in 2018, from three increases projected at the March meeting, indicating its confidence in the economy’s health. In line with expectations, the Fed left rates unchanged at its July meeting and continued to signal another increase in September. Additionally, the Fed continued reducing its balance sheet by allowing a small amount of maturing Treasury and mortgage securities to roll off without reinvestment. The market expects the pace to remain moderate and predictable, with minimal market disruption.

Geopolitical news remained a prominent market driver. Protectionist rhetoric had been garnering attention across Europe, as anti-European Union (EU) sentiment featured prominently (although did not win a majority) in the Dutch, French and German elections in 2017. Italy’s 2018 elections resulted in a hung parliament, and several months of negotiations resulted in a populist, euro-skeptic coalition government. The U.S. moved forward with tariffs on imported goods from China, as well as on steel and aluminum from Canada, Mexico and Europe. These countries announced retaliatory measures in kind, intensifying concerns about a trade war, although the U.S. and the EU announced in July they would refrain from further tariffs while they negotiate trade terms. Meanwhile, in March the U.K. and EU agreed in principle to the Brexit transition terms, but political instability in the U.K. in July has clouded the outlook. The U.S. Treasury issued additional sanctions on Russia in April, and re-imposed sanctions on Iran after President Trump withdrew from the 2015 nuclear agreement. The threat of a nuclear North Korea eased somewhat as the leaders of South Korea and North Korea met during April and jointly announced a commitment toward peace, while the U.S.-North Korea summit yielded an agreement with few additional details.

The loan market exhibited positive performance throughout the reporting period based on a number of factors. Fundamentally, earnings have been strong and issuers have benefited from a move to lower their cost of financing via the repricing of existing debt, which lowers the effective coupon. Further, companies have taken advantage of strong conditions to extend debt repayment periods, which at this point has made the maturity schedule quite manageable. Credit metrics also continue to be generally strong. All of this has led to a low level of defaults. From a positioning perspective, the loan market has little retail exposure (an area of concern for investors), and issuers generally have little exposure to ongoing trade negotiations which have caused volatility in other markets. In particular, loans in the portfolio are USD-denominated and have less risk to a rising U.S. dollar. From a technical perspective, loans have seen consistent demand coming from the institutional market, in particular collateralized loan obligations (or CLOs). CLOs are the primary buyer in the loan asset class. Adding to that demand has been fairly consistent demand coming from retail mutual

 

6


 

funds and exchange-traded funds. On the supply side, while the new issue markets have been active, incremental supply has been more than met by incremental demand over the reporting period.

What strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2018?

NSL seeks 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.

JFR seeks 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 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, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities and 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, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities 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, 2018?

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, 2018. 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, 2018, NSL, JFR, JRO and JSD outperformed the Credit Suisse Leveraged Loan Index, while JQC underperformed 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 consumer staples sector in JQC. The telecommunication services, information technology, consumer discretionary and energy sectors were the strongest contributors to absolute performance.

 

7


Portfolio Managers’ Comments (continued)

 

Specific holdings that contributed positively to performance were the bonds of Intelsat Jackson Holdings, S.A. Intelsat operates the world’s largest satellite services operation. A number of positive catalysts drove Intelsat’s bonds higher, including a strong earnings announcement and a capital expenditure reduction earlier in 2018 as well as a successful contract win to expand 4G LTE services within the United States. Most recently, the company has garnered positive support from the Federal Communications Commission (FCC) regarding their plan to support the deployment of 5G wireless connectivity by monetizing some of their spectrum rights. The market has attributed meaningful value to Intelsat’s spectrum rights, allowing the company to raise equity recently to refinance some of its capital structure. Also contributing to performance were the bonds of California Resources Corporation (CRC). CRC has successfully improved its liquidity profile via a number of financing transactions, and has also benefitted from a backdrop of higher energy prices. Lastly, contributing to performance were the loans of Cumulus Media. Cumulus is the third largest radio operator in the U.S. and filed for bankruptcy in 2017. Following its emergence from bankruptcy, the company now has an improved capital structure that should assist the issuer going forward.

Detracting from performance were the bonds of Dish DBS Corp. Dish has been suffering from revenue pressure amid lower subscribership trends. Lastly, exposure to Petco Animal Supplies, Inc. term loans hurt performance as the retailer has seen downgrades amid declining sales numbers.

JSD and JQC invested in credit default swaps, which were used to provide a benefit if particular bonds’ credit quality worsened. These contracts had a negligible impact on performance during the reporting period.

 

8


Fund Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through bank borrowings, 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, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments in recent years have been much lower than the interest the Fund has been earning on its portfolio securities that it has bought with the proceeds of that leverage.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage decline in value, which will make the shares’ net asset value more volatile, and total return performance more variable, over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. Over the last few quarters, short-term interest rates have indeed increased from their extended lows after the 2007-09 financial crisis. This increase has reduced common share net income, and also reduced potential for long-term total returns. Nevertheless, the ability to effectively borrow at current short-term rates is still resulting in enhanced common share income, and management believes that the advantages of continuation of leverage outweigh the associated increase in risk and volatility described above.

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 had a negligible impact to overall Fund performance during the period.

As of July 31, 2018, the Funds’ percentages of leverage are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    37.05        36.61        36.09        37.17        36.33

Regulatory Leverage*

    37.05        36.61        36.09        37.17        31.20
*

Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of reverse repurchase agreements, certain derivatives 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.

 

9


 

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, 2017     Draws     Paydowns     July 31, 2018     Average Balance
Outstanding
           Draws     Paydowns     September 27, 2018  

NSL

  $ 114,000,000     $     —     $     —     $ 114,000,000     $ 114,000,000             $     —     $     —     $ 114,000,000  

JFR

  $ 254,300,000     $     $     $ 254,300,000     $ 254,300,000             $     $     $ 254,300,000  

JRO

  $ 178,800,000     $     $     $ 178,800,000     $ 178,800,000             $     $     $ 178,800,000  

JSD

  $ 72,000,000     $     $     $ 72,000,000     $ 72,000,000             $     $     $ 72,000,000  

JQC

  $ 561,000,000     $     $     $ 561,000,000     $ 561,000,000             $     $ (55,000,000   $ 506,000,000  

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

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, 2017      Purchases      Sales      July 31, 2018      Average Balance
Outstanding
             Purchases      Sales      September 27, 2018  
  $145,000,000        $    —        $    —        $145,000,000        $145,000,000                 $55,000,000        $    —        $200,000,000  

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

Term Preferred Shares

As noted previously, in addition to bank borrowings, the following 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, 2017     Issuance     Redemptions     July 31, 2018     Average Balance
Outstanding
           Issuance     Redemptions     September 27, 2018  

NSL

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

JFR

  $ 125,200,000     $     $     $ 125,200,000     $ 125,200,000             $     $     $ 125,200,000  

JRO

  $ 84,000,000     $     $     $ 84,000,000     $ 84,000,000             $     $     $ 84,000,000  

JSD

  $ 35,000,000     $     $     $ 35,000,000     $ 35,000,000             $     $     $ 35,000,000  

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

 

10


Common Share Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2018. 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 2017

  $ 0.0395        $ 0.0675        $ 0.0705        $ 0.1060        $ 0.0525  

September

    0.0395          0.0675          0.0705          0.1060          0.0475  

October

    0.0395          0.0675          0.0705          0.1060          0.0475  

November

    0.0395          0.0675          0.0705          0.1060          0.0475  

December

    0.0395          0.0675          0.0705          0.1060          0.0475  

January

    0.0395          0.0675          0.0705          0.1060          0.0475  

February

    0.0395          0.0675          0.0705          0.1060          0.0475  

March

    0.0370          0.0620          0.0620          0.1060          0.0410  

April

    0.0370          0.0620          0.0620          0.1060          0.0410  

May

    0.0370          0.0620          0.0620          0.1060          0.0410  

June

    0.0335          0.0575          0.0580          0.1005          0.0370  

July 2018

    0.0335          0.0575          0.0580          0.1005          0.0370  

Total Monthly Per Share Distributions

    0.4545          0.7735          0.7955          1.2610          0.5345  

Ordinary Income Distribution*

                               0.0364           

Total Distributions from Net Investment Income

  $ 0.4545        $ 0.7735        $ 0.7955        $ 1.2974        $ 0.5345  
                                                     

Current Distribution Rate**

    6.56        6.70        6.80        7.23        5.63
*

Distribution paid in December 2017.

**

Current distribution rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. 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, 2018, the Funds had positive UNII balances for tax purposes. NSL had a positive UNII balance 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.

 

11


Common Share Information (continued)

 

COMMON SHARE EQUITY SHELF PROGRAMS

During the current reporting period, the following Funds were authorized by the Securities and Exchange Commission 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. The total amount of common shares authorized under these Shelf Offerings are 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
*

Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.

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

 

     JFR        JRO  

Common shares sold through shelf offering

    452,068          783,600  

Weighted average premium to NAV per common share sold

    1.38        1.71

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 2018 (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, 2018, 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                   5,315,700  

Common shares authorized for repurchase

    3,860,000          5,645,000          3,975,000          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, 2018, 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

    $6.91          $11.55          $11.47          $17.92          $9.11  

Common share price

    $6.13          $10.30          $10.23          $16.67          $7.89  

Premium/(Discount) to NAV

    (11.29 )%         (10.82 )%         (10.81 )%         (6.98 )%         (13.39 )% 

12-month average premium/(discount) to NAV

    (5.11 )%         (3.83 )%         (3.26 )%         (4.13 )%         (10.31 )% 

 

12


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.

 

13


Risk Considerations (continued)

 

Nuveen Credit Strategies Income Fund (JQC)

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

 

14


THIS PAGE INTENTIONALLY LEFT BLANK

 

15


NSL     

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2018

 

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, 2018

 

       Average Annual  
        1-Year        5-Year        10-Year  
NSL at Common Share NAV        5.91%          4.83%          6.90%  
NSL at Common Share Price        (3.78)%          2.84%          7.59%  
Credit Suisse Leveraged Loan Index        4.72%          4.19%          5.19%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

16


 

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. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     135.5%  
Corporate Bonds     18.9%  
Common Stocks     3.1%  
Common Stock Rights     0.2%  
Warrants     0.0%  
Investment Companies     3.8%  
Other Assets Less Liabilities     (2.9)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     158.6%  
Borrowings     (42.7)%  
Term Preferred Shares, net of deferred offering costs     (15.9)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term
investments)

 

IntelSat Jackson Holdings, S.A.     4.1%  
Albertson’s LLC     3.2%  
Sprint Corporation     2.4%  
Dell International LLC     2.1%  
Scientific Games Corporation     1.7%  

Portfolio Composition

(% of total investments)

 

Media     12.3%  
Software     11.1%  
Diversified Telecommunication Services     8.2%  
Hotels, Restaurants & Leisure     7.4%  
Health Care Providers & Services     4.5%  
Wireless Telecommunication Services     3.8%  
Oil, Gas & Consumable Fuels     3.7%  
Technology Hardware, Storage & Peripherals     3.6%  
Food & Staples Retailing     3.4%  
Commercial Services & Supplies     2.7%  
IT Services     2.2%  
Aerospace & Defense     1.9%  
Equity Real Estate Investment Trusts     1.8%  
Food Products     1.8%  
Diversified Consumer Services     1.7%  
Professional Services     1.5%  
Airlines     1.4%  
Semiconductors & Semiconductor Equipment     1.3%  
Health Care Equipment & Supplies     1.3%  

Building Products

    1.1%  
Insurance     1.1%  
Other     19.9%  
Investment Companies     2.3%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     12.8%  
BB or Lower     85.2%  
N/R (not rated)     2.0%  

Total

    100%  
 

 

17


JFR     

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2018

 

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, 2018

 

    Average Annual  
     1-Year        5-Year        10-Year  
JFR at Common Share NAV     5.01%          4.83%          6.69%  
JFR at Common Share Price     (6.64)%          2.56%          7.45%  
Credit Suisse Leveraged Loan Index     4.72%          4.19%          5.19%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

18


 

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. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     130.6%  
Corporate Bonds     19.6%  
Common Stocks     2.9%  
Long-Term Investment Companies     1.7%  
Asset-Backed Securities     1.6%  
Common Stock Rights     0.1%  
Warrants     0.0%  
Convertible Bonds     0.0%  

Short-Term Investment Companies

    3.6%  
Other Assets Less Liabilities     (2.5)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     157.6%  
Borrowings     (38.7)%  
Term Preferred Shares, net of deferred offering costs     (18.9)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Jackson Holdings, S.A.     3.4%  
Albertson’s LLC     3.1%  
Dell International LLC     2.4%  
Sprint Corporation     2.3%  
Burger King Corporation     1.8%  

Portfolio Composition

(% of total investments)

 

Media     12.7%  
Software     9.9%  
Hotels, Restaurants & Leisure     8.0%  
Diversified Telecommunication Services     7.5%  
Health Care Providers & Services     4.7%  
Wireless Telecommunication Services     4.2%  
Technology Hardware, Storage & Peripherals     3.5%  
Food & Staples Retailing     3.2%  
Oil, Gas & Consumable Fuels     3.0%  
Commercial Services & Supplies     2.5%  
IT Services     2.1%  
Equity Real Estate Investment Trusts     1.9%  
Food Products     1.9%  
Real Estate Management & Development     1.5%  
Aerospace & Defense     1.5%  
Professional Services     1.3%  
Diversified Consumer Services     1.3%  
Specialty Retail     1.2%  
Airlines     1.2%  
Semiconductors & Semiconductor Equipment     1.2%  
Internet Software & Services     1.2%  
Health Care Equipment & Supplies     1.1%  
Other     17.9%  
Long-Term Investment Companies     1.1%  
Asset-Backed Securities     1.0%  
Short-Term Investment Companies     3.3%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.3%  
BB or Lower     84.6%  
N/R (not rated)     2.1%  

Total

    100%  
 

 

19


JRO     

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2018

 

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, 2018

 

    Average Annual  
     1-Year        5-Year        10-Year  
JRO at Common Share NAV     5.06%          4.97%          7.32%  
JRO at Common Share Price     (7.38)%          2.68%          8.13%  
Credit Suisse Leveraged Loan Index     4.72%          4.19%          5.19%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

20


 

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. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     130.6%  
Corporate Bonds     19.9%  
Common Stocks     3.2%  
Asset-Backed Securities     1.0%  
Common Stock Rights     0.2%  
Warrants     0.0%  
Convertible Bonds     0.0%  

Investment Companies

    3.7%  
Other Assets Less Liabilities     (2.4)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     156.2%  
Borrowings     (38.4)%  
Term Preferred Shares, net of deferred offering costs     (17.8)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Jackson Holdings, S.A.     3.7%  
Albertson’s LLC     2.6%  
Dell International LLC     2.5%  
Sprint Corporation     2.1%  
Burger King Corporation     2.1%  

Portfolio Composition

(% of total investments)

 

Media     12.4%  
Software     10.7%  
Hotels, Restaurants & Leisure     8.1%  
Diversified Telecommunication Services     8.1%  
Health Care Providers & Services     4.5%  
Wireless Telecommunication Services     3.8%  
Technology Hardware, Storage & Peripherals     3.6%  
Oil, Gas & Consumable Fuels     3.3%  
Commercial Services & Supplies     2.8%  
Food & Staples Retailing     2.8%  
IT Services     2.5%  
Equity Real Estate Investment Trusts     1.9%  
Food Products     1.8%  
Aerospace & Defense     1.6%  
Diversified Consumer Services     1.5%  
Internet Software & Services     1.3%  
Real Estate Management & Development     1.3%  
Building Products     1.3%  
Professional Services     1.3%  
Airlines     1.2%  
Specialty Retail     1.2%  
Health Care Equipment & Supplies     1.1%  
Other     18.9%  
Asset-Backed Securities     0.6%  
Investment Companies     2.3%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.4%  
BB or Lower     84.4%  
N/R (not rated)     2.2%  

Total

    100%  
 

 

 

21


JSD     

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2018

 

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, 2018

 

    Average Annual  
     1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV     6.66%          5.22%          6.62%  
JSD at Common Share Price     1.33%          4.28%          5.29%  
Credit Suisse Leveraged Loan Index     4.72%          4.19%          4.55%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

22


 

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. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     133.5%  
Corporate Bonds     20.5%  
Common Stocks     2.9%  
Common Stock Rights     0.2%  
Warrants     0.0%  
Investment Companies     4.5%  
Other Assets Less Liabilities     (2.7)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     158.9%  
Borrowings     (39.8)%  
Term Preferred Shares, net of deferred offering costs     (19.1)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Jackson Holdings, S.A.     4.3%  
Albertson’s LLC     3.5%  
Sprint Corporation     2.5%  
Scientific Games Corporation     2.0%  
Clear Channel Communications Inc.     1.9%  

Portfolio Composition

(% of total investments)

 

Software     11.2%  
Media     10.7%  
Diversified Telecommunication Services     8.1%  
Hotels, Restaurants & Leisure     5.8%  
Health Care Providers & Services     4.9%  
Oil, Gas & Consumable Fuels     4.4%  
Food & Staples Retailing     3.8%  
Technology Hardware, Storage & Peripherals     3.4%  
Wireless Telecommunication Services     3.4%  
Commercial Services & Supplies     3.1%  
IT Services     2.9%  
Aerospace & Defense     2.0%  
Health Care Equipment & Supplies     1.8%  
Equity Real Estate Investment Trusts     1.8%  
Real Estate Management & Development     1.7%  
Professional Services     1.6%  
Internet Software & Services     1.5%  
Diversified Consumer Services     1.3%  
Containers & Packaging     1.3%  
Airlines     1.3%  
Food Products     1.3%  
Other     19.9%  
Investment Companies     2.8%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.2%  
BB or Lower     87.4%  
N/R (not rated)     2.4%  

Total

    100%  
 

 

23


JQC     

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2018

 

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, 2018

 

    Average Annual  
     1-Year        5-Year        10-Year  
JQC at Common Share NAV     3.64%          4.16%          5.77%  
JQC at Common Share Price     (3.09)%          2.10%          6.99%  
Credit Suisse Leveraged Loan Index     4.72%          4.19%          5.19%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

24


 

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. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     125.9%  
Corporate Bonds     22.5%  
Exchange-Traded Funds     4.2%  
Common Stocks     2.3%  
Common Stock Rights     0.2%  
Warrants     0.0%  
Investment Companies     5.4%  
Other Assets Less Liabilities     (3.5)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     157.0%  
Borrowings     (45.3)%  
Reverse Repurchase Agreements     (11.7)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term
investments)

 

Scientific Games Corporation     1.9%  
Burger King Corporation     1.8%  
IntelSat Jackson Holdings, S.A.     1.7%  
Sprint Corporation     1.6%  
Albertson’s LLC     1.6%  

Portfolio Composition

(% of total investments)

 

Media     10.5%  
Hotels, Restaurants & Leisure     9.8%  
Software     9.0%  
Health Care Providers & Services     8.8%  
Diversified Telecommunication Services     4.6%  
Commercial Services & Supplies     2.8%  
Internet Software & Services     2.7%  
Household Products     2.5%  
Wireless Telecommunication Services     2.5%  
IT Services     2.5%  
Oil, Gas & Consumable Fuels     2.4%  
Airlines     2.3%  
Chemicals     2.2%  
Technology Hardware, Storage & Peripherals     1.9%  
Health Care Equipment & Supplies     1.9%  
Professional Services     1.8%  
Semiconductors & Semiconductor Equipment     1.8%  
Equity Real Estate Investment Trusts     1.8%  
Food & Staples Retailing     1.7%  
Machinery     1.7%  
Other     18.8%  
Exchange-Traded Funds     2.6%  
Investment Companies     3.4%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

AA     0.3%  
A     0.3%  
BBB     13.3%  
BB or Lower     86.0%  
N/R (not rated)     0.1%  

Total

    100%  
 

 

25


Shareholder Meeting Report

 

The annual meeting of shareholders was held in the offices of Nuveen on April 11, 2018 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:

                 

Margo L. Cook

                 

For

    32,433,917             49,049,987             35,393,057             8,773,654             114,811,090  

Withhold

    925,218             945,078             1,224,719             357,048             3,319,902  

Total

    33,359,135             49,995,065             36,617,776             9,130,702             118,130,992  

Jack B. Evans

                 

For

    32,067,944             48,655,758             35,336,182             8,744,619             114,339,128  

Withhold

    1,291,191             1,339,307             1,281,594             386,083             3,791,864  

Total

    33,359,135             49,995,065             36,617,776             9,130,702             118,130,992  

Albin F. Moschner

                 

For

    32,424,917             49,053,568             35,363,701             8,773,943             114,471,840  

Withhold

    934,218             941,497             1,254,075             356,759             3,659,152  

Total

    33,359,135             49,995,065             36,617,776             9,130,702             118,130,992  

William C. Hunter

                 

For

          23,419             62,194             69,597             1,178        

Withhold

          290             1,419             1,016             23,454        

Total

          23,709             63,613             70,613             24,632        

William J. Schneider

                 

For

          23,419             62,194             69,597             1,178       114,316,682  

Withhold

          290             1,419             1,016             23,454       3,814,310  

Total

          23,709             63,613             70,613             24,632       118,130,992  

 

26


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees 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:

Opinion on the Financial Statements

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, 2018, 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 related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the four-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2018, the results of their operations and their 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 four-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the year ended July 31, 2014 were audited by other independent registered public accountants whose report, dated September 25, 2014, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

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. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2018, by correspondence with the custodian and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more Nuveen investment companies since 2014.

Chicago, Illinois

September 27, 2018

 

27


NSL   

Nuveen Senior Income Fund

 

Portfolio of Investments    July 31, 2018

 

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

LONG-TERM INVESTMENTS – 157.7% (97.7% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 135.5% (84.0% of Total Investments) (2)

 

  
      Aerospace & Defense – 3.1% (1.9% of Total Investments)                       
$ 4,118    

Sequa Corporation, Term Loan B

    7.067%        1-Month LIBOR        5.000%        11/28/21        B–      $ 4,125,682  
  1,432    

Sequa Corporation, Term Loan, Second Lien

    11.072%        1-Month LIBOR        9.000%        4/28/22        CCC        1,437,557  
  1,938    

Transdigm, Inc., Term Loan E

    4.577%        1-Month LIBOR        2.500%        5/30/25        Ba2        1,939,461  
  490    

Transdigm, Inc., Term Loan F

    4.577%        1-Month LIBOR        2.500%        6/09/23        Ba2        490,901  
  320    

Transdigm, Inc., Term Loan G, First Lien

    4.577%        1-Month LIBOR        2.500%        8/22/24        Ba2        320,610  
  8,298    

Total Aerospace & Defense

                                                 8,314,211  
      Air Freight & Logistics – 1.1% (0.7% of Total Investments)  
  1,000    

Ceva Group PLC, Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        1,001,250  
  837    

PAE Holding Corporation, Term Loan B

    7.577%        1-Month LIBOR        5.500%        10/20/22        B+        841,557  
  1,083    

XPO Logistics, Inc., Term Loan B

    4.064%        1-Month LIBOR        2.000%        2/24/25        BB+        1,086,503  
  2,920    

Total Air Freight & Logistics

                                                 2,929,310  
      Airlines – 2.3% (1.4% of Total Investments)  
  1,940    

American Airlines, Inc., Replacement Term Loan

    4.086%        1-Month LIBOR        2.000%        10/10/21        BB+        1,941,562  
  1,433    

American Airlines, Inc., Term Loan 2025

    3.827%        1-Month LIBOR        1.750%        6/27/25        BB+        1,411,532  
  2,893    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        12/14/23        BB+        2,882,039  
  6,266    

Total Airlines

                                                 6,235,133  
      Auto Components – 0.6% (0.4% of Total Investments)  
  703    

Horizon Global Corporation, Term Loan B, (DD1)

    6.572%        1-Month LIBOR        4.500%        6/30/21        B2        681,787  
  990    

Superior Industries International, Inc., Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/22/24        B        994,660  
  1,693    

Total Auto Components

                                                 1,676,447  
      Automobiles – 0.9% (0.5% of Total Investments)  
  1,430    

Chrysler Group LLC, Term Loan

    4.070%        1-Month LIBOR        2.000%        12/31/18        BBB–        1,434,510  
  103    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        103,383  
  746    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        750,221  
  2,279    

Total Automobiles

                                                 2,288,114  
      Biotechnology – 1.1% (0.7% of Total Investments)  
  2,963    

Grifols, Inc., Term Loan B

    4.200%        1-Week LIBOR        2.250%        1/31/25        BB        2,974,617  
      Building Products – 1.7% (1.1% of Total Investments)  
  1,750    

Fairmount, Initial Term Loan

    6.050%        3-Month LIBOR        3.750%        6/01/25        BB        1,753,465  
  489    

Ply Gem Industries, Inc., Term Loan B

    6.087%        3-Month LIBOR        3.750%        4/12/25        B        490,740  
  2,381    

Quikrete Holdings, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        11/15/23        BB–        2,382,290  
  4,620    

Total Building Products

                                                 4,626,495  
      Capital Markets – 0.4% (0.2% of Total Investments)  
  968    

RPI Finance Trust, Term Loan B6

    4.334%        3-Month LIBOR        2.000%        3/27/23        BBB–        971,208  
      Chemicals – 1.3% (0.8% of Total Investments)  
  680    

Ineos US Finance LLC, Term Loan

    4.169%        2-Month LIBOR        2.000%        4/01/24        BB+        679,545  
  1,595    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        1,592,975  
  1,254    

Univar, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/01/24        BB        1,259,064  
  3,529    

Total Chemicals

                                                 3,531,584  
      Commercial Services & Supplies – 4.4% (2.7% of Total Investments)  
  739    

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

    6.342%        2-Month LIBOR        4.000%        10/19/23        B–        732,286  
  2,226    

iQor US, Inc., Term Loan, First Lien

    7.337%        3-Month LIBOR        5.000%        4/01/21        B        2,214,831  
  250    

iQor US, Inc., Term Loan, Second Lien

    11.087%        3-Month LIBOR        8.750%        4/01/22        CCC+        239,500  
  769    

KAR Auction Services, Inc., Term Loan B5

    4.625%        1-Month LIBOR        2.500%        3/09/23        BB–        771,536  
  767    

LSC Communications, Refinancing Term Loan

    7.577%        1-Month LIBOR        5.500%        9/30/22        B        768,587  

 

28


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)  
$ 1,719    

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

    7.834%        3-Month LIBOR        5.500%        9/30/22        B–      $ 1,614,063  
  1,305    

Protection One, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        5/02/22        BB–        1,308,390  
  2,229    

Skillsoft Corporation, Initial Term Loan, First Lien, (DD1)

    6.827%        1-Month LIBOR        4.750%        4/28/21        B–        2,168,061  
  978    

Universal Services of America, Initial Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        7/28/22        B–        965,281  
  171    

West Corporation, Incremental Term Loan B1

    5.577%        1-Month LIBOR        3.500%        10/10/24        Ba3        170,511  
  753    

West Corporation, Term Loan B

    6.077%        1-Month LIBOR        4.000%        10/10/24        Ba3        754,040  
  11,906    

Total Commercial Services & Supplies

 

                                         11,707,086  
      Communications Equipment – 0.8% (0.5% of Total Investments)  
  935    

Mitel US Holdings, Inc., Incremental Term Loan

    5.827%        1-Month LIBOR        3.750%        9/25/23        B+        937,665  
  1,130    

Plantronics, Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/02/25        BB        1,130,904  
  2,065    

Total Communications Equipment

                                                 2,068,569  
      Construction & Engineering – 0.8% (0.5% of Total Investments)  
  1,000    

KBR, Inc., Term Loan B

    5.814%        1-Month LIBOR        3.750%        4/25/25        B+        1,008,130  
  1,204    

Traverse Midstream Partners, Term Loan B

    6.340%        3-Month LIBOR        4.000%        9/27/24        B+        1,210,587  
  2,204    

Total Construction & Engineering

                                                 2,218,717  
      Containers & Packaging – 0.5% (0.3% of Total Investments)  
  699    

Berry Global, Inc., Term Loan Q

    4.080%        1-Month LIBOR        2.000%        10/01/22        BBB–        700,990  
  741    

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

    4.827%        1-Month LIBOR        2.750%        2/05/23        B+        743,879  
  1,440    

Total Containers & Packaging

                                                 1,444,869  
      Distributors – 0.6% (0.4% of Total Investments)  
  607    

American Seafoods Group LLC, Term Loan B

    4.830%        1-Month LIBOR        2.750%        8/21/23        BB–        606,204  
  1,000    

SRS Distribution, Inc., Term Loan B

    5.580%        3-Month LIBOR        3.250%        5/23/25        B        984,750  
  1,607    

Total Distributors

 

                                         1,590,954  
      Diversified Consumer Services – 2.6% (1.6% of Total Investments)  
  3,537    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        6/07/23        B        3,355,322  
  110    

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

    10.000%        N/A        N/A        7/02/20        N/R        18,715  
  248    

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

    13.250%        N/A        N/A        7/02/20        N/R        7,849  
  2,037    

Houghton Mifflin, Term Loan B, First Lien

    5.077%        1-Month LIBOR        3.000%        5/28/21        B        1,909,741  
  967    

Laureate Education, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        4/26/24        B+        970,679  
  663    

Vertiv Co., Term Loan B

    6.100%        1-Month LIBOR        4.000%        11/30/23        B+        660,311  
  7,562    

Total Diversified Consumer Services

 

                                         6,922,617  
      Diversified Financial Services – 1.2% (0.7% of Total Investments)  
  572    

Freedom Mortgage Corporation, Term Loan B

    6.817%        1-Month LIBOR        4.750%        2/23/22        B+        576,820  
  767    

Travelport LLC, Term Loan B

    4.830%        3-Month LIBOR        2.500%        3/17/25        B+        766,635  
  2,048    

Veritas US, Inc., Term Loan B1

    6.641%        1-Month LIBOR        4.500%        1/27/23        B        1,907,896  
  3,387    

Total Diversified Financial Services

 

                                         3,251,351  
      Diversified Telecommunication Services – 7.6% (4.7% of Total Investments)  
  1,073    

CenturyLink, Inc., Initial Term A Loan

    4.827%        1-Month LIBOR        2.750%        11/01/22        BBB–        1,072,366  
  4,831    

CenturyLink, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        1/31/25        BBB–        4,762,379  
  2,924    

Frontier Communications Corporation, Term Loan B

    5.830%        1-Month LIBOR        3.750%        1/14/22        B+        2,887,675  
  1,542    

Intelsat Jackson Holdings, S.A., Term Loan B

    5.827%        1-Month LIBOR        3.750%        11/30/23        B        1,548,694  
  236    

Intelsat Jackson Holdings, S.A., Term Loan B4

    6.577%        1-Month LIBOR        4.500%        1/02/24        B1        248,493  
  378    

Intelsat Jackson Holdings, S.A., Term Loan B5

    6.625%        N/A        N/A        1/02/24        B1        396,758  
  1,552    

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

    4.331%        1-Month LIBOR        2.250%        2/22/24        BBB–        1,556,693  
  2,376    

WideOpenWest Finance LLC, Term Loan B

    5.329%        1-Month LIBOR        3.250%        8/18/23        B        2,283,844  
  435    

Windstream Corporation, Term Loan B6

    6.080%        1-Month LIBOR        4.000%        3/29/21        B+        411,054  
  5,000    

Ziggo B.V., Term Loan E

    4.572%        1-Month LIBOR        2.500%        4/15/25        BB–        4,975,325  
  20,347    

Total Diversified Telecommunication Services

 

                                         20,143,281  

 

29


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Electric Utilities – 1.1% (0.7% of Total Investments)  
$ 436    

EFS Cogen Holdings LLC, Term Loan B

    5.590%        3-Month LIBOR        3.250%        6/28/23        BB      $ 437,336  
  1,604    

Vistra Operations Co., Term Loan B1

    4.077%        1-Month LIBOR        2.000%        8/01/23        BBB–        1,603,365  
  825    

Vistra Operations Co., Term Loan B3

    4.074%        1-Month LIBOR        2.000%        12/31/25        BBB–        824,235  
  2,865    

Total Electric Utilities

 

                                         2,864,936  
      Electrical Equipment – 0.6% (0.4% of Total Investments)  
  1,041    

TTM Technologies, Inc., Term Loan B

    4.592%        1-Month LIBOR        2.500%        9/28/24        BB+        1,044,427  
  546    

Zebra Technologies Corporation, Term Loan B

    4.057%        3-Month LIBOR        1.750%        10/27/21        BB+        548,497  
  1,587    

Total Electrical Equipment

 

                                         1,592,924  
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)  
  392    

Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)

    15.870%        3-Month LIBOR        13.500%        5/06/19        N/R        103,984  
  162    

Ocean Rig UDW, Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        170,634  
  554    

Total Energy Equipment & Services

 

                                         274,618  
      Equity Real Estate Investment Trusts – 2.9% (1.8% of Total Investments)  
  3,252    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.077%        1-Month LIBOR        3.000%        10/24/22        B        3,119,322  
  745    

Realogy Group LLC, Term Loan A

    4.317%        1-Month LIBOR        2.250%        2/08/23        N/R        746,479  
  991    

Realogy Group LLC, Term Loan B

    4.317%        1-Month LIBOR        2.250%        2/08/25        BB+        994,090  
  2,983    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)

    8.077%        1-Month LIBOR        6.000%        6/30/22        CCC+        2,847,324  
  7,971    

Total Equity Real Estate Investment Trusts

 

                                         7,707,215  
      Food & Staples Retailing – 5.5% (3.4% of Total Investments)  
  714    

Albertson’s LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        713,839  
  11,883    

Albertson’s LLC, Term Loan B4

    4.827%        1-Month LIBOR        2.750%        8/25/21        BB–        11,852,868  
  946    

Albertson’s LLC, Term Loan B6

    5.319%        3-Month LIBOR        3.000%        6/22/23        BB–        941,565  
  786    

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

    5.597%        1-Month LIBOR        3.500%        2/03/24        B        788,285  
  442    

Save-A-Lot, Term Loan B

    8.077%        1-Month LIBOR        6.000%        12/05/23        B–        343,354  
  14,771    

Total Food & Staples Retailing

 

                                         14,639,911  
      Food Products – 2.9% (1.8% of Total Investments)  
  836    

Hearthside Group Holdings LLC, Term Loan B

    5.064%        1-Month LIBOR        3.000%        5/23/25        B        830,589  
  1,919    

Jacobs Douwe Egberts, Term Loan B

    4.625%        3-Month LIBOR        2.250%        7/04/22        BB        1,929,515  
  328    

Pinnacle Foods Finance LLC, Term Loan B

    3.840%        1-Month LIBOR        1.750%        2/02/24        BB+        328,755  
  4,518    

US Foods, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        6/27/23        BBB–        4,521,109  
  7,601    

Total Food Products

 

                                         7,609,968  
      Health Care Equipment & Supplies – 2.0% (1.3% of Total Investments)  
  945    

Acelity, Term Loan B

    5.584%        3-Month LIBOR        3.250%        2/02/24        B        949,459  
  432    

ConvaTec, Inc., Term Loan B

    4.584%        3-Month LIBOR        2.250%        10/25/23        BB        432,974  
  676    

Greatbatch, New Term Loan B

    5.330%        1-Month LIBOR        3.250%        10/27/22        B+        680,665  
  500    

LifeScan, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        487,500  
  1,489    

Onex Carestream Finance LP, Term Loan, First Lien

    6.077%        1-Month LIBOR        4.000%        6/07/19        B        1,490,446  
  929    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        12/07/19        B–        929,247  
  500    

Vyaire Medical, Inc., Term Loan B

    7.232%        6-Month LIBOR        4.750%        4/16/25        B–        491,250  
  5,471    

Total Health Care Equipment & Supplies

 

                                         5,461,541  
      Health Care Providers & Services – 5.9% (3.6% of Total Investments)  
  1,091    

Air Medical Group Holdings, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        4/28/22        B        1,061,025  
  1,035    

Air Medical Group Holdings, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        3/14/25        B        1,022,288  
  500    

Ardent Health, Term Loan, First Lien

    6.572%        1-Month LIBOR        4.500%        6/30/25        B        504,375  
  546    

Community Health Systems, Inc., Term Loan H

    5.557%        3-Month LIBOR        3.250%        1/27/21        B–        537,294  
  949    

Concentra, Inc., Term Loan B

    4.850%        1-Month LIBOR        2.750%        6/01/22        B+        951,981  
  639    

Envision Healthcare Corporation, Term Loan B, First Lien

    5.080%        1-Month LIBOR        3.000%        12/01/23        BB–        639,497  
  756    

Healogics, Inc., Term Loan, First Lien

    6.570%        3-Month LIBOR        4.250%        7/01/21        B–        716,197  
  62    

Heartland Dental Care, Inc., Delay Draw Facility, (6)

    1.875%        N/A        N/A        4/30/25        B–        61,457  
  412    

Heartland Dental Care, Inc., Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        4/30/25        B–        409,715  

 

30


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)  
$ 1,710    

Kindred at Home Hospice, Term Loan B, (DD1)

    6.125%        3-Month LIBOR        3.750%        6/21/25        B      $ 1,726,442  
  500    

Kindred at Home Hospice, Term Loan, Second Lien

    9.375%        3-Month LIBOR        7.000%        6/21/26        CCC+        510,625  
  1,900    

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

    8.577%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,051,362  
  341    

MultiPlan, Inc., Term Loan B

    5.084%        3-Month LIBOR        2.750%        6/07/23        B+        341,905  
  2,707    

Pharmaceutical Product Development, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        8/18/22        Ba3        2,711,699  
  748    

PharMerica, Term Loan, First Lien

    5.578%        1-Month LIBOR        3.500%        12/06/24        B        752,217  
  748    

Prospect Medical Holdings, Term Loan B1

    7.625%        1-Month LIBOR        5.500%        2/22/24        B        752,337  
  119    

Quorum Health Corp., Term Loan B

    8.827%        1-Month LIBOR        6.750%        4/29/22        B1        120,809  
  1,678    

Select Medical Corporation, Term Loan B

    4.831%        1-Month LIBOR        2.750%        3/01/21        BB–        1,686,170  
  148    

Vizient, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/13/23        BB–        148,963  
  16,589    

Total Health Care Providers & Services

                                                 15,706,358  
      Health Care Technology – 1.4% (0.8% of Total Investments)  
  714    

Catalent Pharma Solutions, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        5/20/24        BB        715,422  
  2,963    

Emdeon, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        3/01/24        B+        2,961,478  
  3,677    

Total Health Care Technology

                                                 3,676,900  
      Hotels, Restaurants & Leisure – 10.8% (6.7% of Total Investments)  
  748    

Aramark Corporation, Term Loan

    4.084%        3-Month LIBOR        1.750%        3/11/25        BBB–        750,149  
  4,602    

Burger King Corporation, Term Loan B3

    4.327%        1-Month LIBOR        2.250%        2/16/24        B+        4,604,860  
  1,406    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        10/06/24        BB        1,405,539  
  1,990    

Caesars Resort Collection, Term Loan, First Lien

    4.827%        1-Month LIBOR        2.750%        12/23/24        BB        2,000,418  
  1,626    

CCM Merger, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        8/09/21        BB–        1,633,265  
  2,179    

CityCenter Holdings LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        4/18/24        BB–        2,184,872  
  2,418    

Hilton Hotels, Term Loan B

    3.814%        1-Month LIBOR        1.750%        10/25/23        BBB–        2,428,656  
  2,207    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.077%        1-Month LIBOR        3.000%        7/31/24        B        2,207,993  
  1,676    

Life Time Fitness, Inc., Term Loan B

    5.057%        3-Month LIBOR        2.750%        6/10/22        BB–        1,680,701  
  1,075    

MGM Growth Properties, Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/25/25        BB+        1,077,605  
  4,316    

Scientific Games Corp., Initial Term Loan B5

    4.903%        2-Month LIBOR        2.750%        8/14/24        B+        4,323,937  
  886    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    5.077%        1-Month LIBOR        3.000%        4/01/24        B        884,993  
  750    

Stars Group Holdings, Term Loan B

    5.831%        3-Month LIBOR        3.500%        7/10/25        B+        757,774  
  1,731    

Station Casino LLC, Term Loan B

    4.580%        1-Month LIBOR        2.500%        6/08/23        BB        1,737,439  
  1,000    

Wyndham International, Inc., Term Loan B

    3.827%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,003,595  
  28,610    

Total Hotels, Restaurants & Leisure

                                                 28,681,796  
      Household Products – 0.9% (0.5% of Total Investments)  
  2,196    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.577%        1-Month LIBOR        3.500%        11/16/20        CCC+        1,624,413  
  759    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.591%        1-Month LIBOR        3.500%        11/08/23        B–        638,914  
  2,955    

Total Household Products

                                                 2,263,327  
      Industrial Conglomerates – 1.0% (0.6% of Total Investments)  
  1,903    

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

    6.596%        3-Month LIBOR        4.250%        6/16/24        B        1,914,846  
  748    

Education Advisory Board, Term Loan, First Lien

    6.252%        3-Month LIBOR        3.750%        11/15/24        B        744,384  
  2,651    

Total Industrial Conglomerates

                                                 2,659,230  
      Insurance – 1.8% (1.1% of Total Investments)  
  494    

Acrisure LLC, Term Loan B

    6.592%        3-Month LIBOR        4.250%        11/22/23        B        495,620  
  2,694    

Alliant Holdings I LLC, Term Loan B

    5.078%        1-Month LIBOR        3.000%        5/09/25        B        2,697,577  
  1,659    

Hub International Holdings, Inc., Term Loan B

    5.335%        3-Month LIBOR        3.000%        4/25/25        B        1,659,633  
  4,847    

Total Insurance

                                                 4,852,830  
      Internet and Direct Marketing Retail – 0.4% (0.2% of Total Investments)  
  1,000    

Uber Technologies, Inc., Term Loan

    6.100%        1-Month LIBOR        4.000%        4/04/25        N/R        1,007,030  
      Internet Software & Services – 1.8% (1.1% of Total Investments)  
  978    

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

    5.330%        1-Month LIBOR        3.250%        10/19/23        B        980,706  
  750    

GTT Communications, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        2.750%        6/02/25        B        743,438  

 

31


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Internet Software & Services (continued)  
$ 948    

Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien

    5.363%        3-Month LIBOR        3.000%        11/03/23        BB–      $ 944,488  
  1,103    

Sabre, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        2/22/24        BB        1,105,298  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    10.327%        1-Month LIBOR        8.250%        4/28/22        CCC        997,312  
  4,888    

Total Internet Software & Services

                                                 4,771,242  
      IT Services – 3.5% (2.2% of Total Investments)  
  275    

DigiCert, Term Loan, First Lien

    7.327%        1-Month LIBOR        5.250%        10/31/24        B        276,104  
  553    

Engility Corporation, Term Loan B2

    4.827%        1-Month LIBOR        2.750%        8/11/23        BB–        555,456  
  1,279    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        7/10/22        BB        1,280,729  
  3,712    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        4/26/24        BB        3,715,479  
  667    

Gartner, Inc., Term Loan A

    4.077%        1-Month LIBOR        2.000%        3/21/22        BB+        668,735  
  209    

PEAK 10, Inc., Term Loan B

    5.834%        3-Month LIBOR        3.500%        8/01/24        B        208,572  
  1,238    

Tempo Acquisition LLC, Term Loan B

    5.077%        1-Month LIBOR        3.000%        5/01/24        B        1,240,154  
  748    

Vantiv LLC, Repriced Term Loan B4

    3.824%        1-Month LIBOR        1.750%        8/09/24        BBB–        748,421  
  735    

WEX, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/01/23        BB–        736,551  
  9,416    

Total IT Services

                                                 9,430,201  
      Leisure Products – 1.2% (0.8% of Total Investments)  
  1,026    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.572%        1-Month LIBOR        3.500%        5/30/25        B+        1,030,687  
  875    

Academy, Ltd., Term Loan B, (DD1)

    6.092%        1-Month LIBOR        4.000%        7/01/22        CCC+        725,655  
  996    

Equinox Holdings, Inc., Term Loan B1

    5.077%        1-Month LIBOR        3.000%        3/08/24        B+        1,001,521  
  493    

Four Seasons Holdings, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        11/30/23        BB        493,160  
  3,390    

Total Leisure Products

                                                 3,251,023  
      Life Sciences Tools & Services – 0.1% (0.1% of Total Investments)  
  357    

Inventiv Health, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        8/01/24        BB–        357,131  
      Machinery – 1.7% (1.0% of Total Investments)  
  1,236    

Gardner Denver, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        7/30/24        BB        1,239,884  
  838    

Gates Global LLC, Term Loan B

    5.084%        3-Month LIBOR        2.750%        4/01/24        B+        841,009  
  746    

Navistar, Inc., Tranche B, Term Loan

    5.600%        1-Month LIBOR        3.500%        11/06/24        B+        748,116  
  500    

NN, Inc., Term Loan, Second Lien

    10.097%        1-Month LIBOR        8.000%        4/19/23        CCC+        495,000  
  208    

Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien

    4.314%        1-Month LIBOR        2.250%        8/21/24        BB+        208,628  
  499    

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    6.834%        3-Month LIBOR        4.500%        11/27/20        CCC+        479,852  
  500    

TNT Crane and Rigging, Inc., Term Loan, Second Lien

    11.334%        3-Month LIBOR        9.000%        11/26/21        CCC-        422,500  
  4,527    

Total Machinery

                                                 4,434,989  
      Marine – 0.6% (0.4% of Total Investments)  
  666    

American Commercial Lines LLC, Term Loan B, First Lien

    10.827%        1-Month LIBOR        8.750%        11/12/20        CCC+        545,979  
  1,024    

Harvey Gulf International Marine, Inc., Exit Term Loan

    10.000%        N/A        N/A        6/06/23        B3        1,032,552  
  1,690    

Total Marine

                                                 1,578,531  
      Media – 15.9% (9.8% of Total Investments)  
  1,251    

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

    5.327%        1-Month LIBOR        3.250%        7/23/21        B        1,186,348  
  988    

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

    9.822%        1-Month LIBOR        7.750%        5/10/22        B2        1,028,234  
  2,418    

Catalina Marketing Corporation, Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        4/09/21        B2        1,542,018  
  1,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.827%        1-Month LIBOR        6.750%        4/11/22        Caa2        270,500  
  3,421    

Cequel Communications LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/28/25        BB        3,411,721  
  2,940    

Charter Communications Operating Holdings LLC, Term Loan B

    4.080%        1-Month LIBOR        2.000%        4/30/25        BBB–        2,945,238  
  1,495    

Cineworld Group PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/28/25        BB–        1,492,115  
  3,064    

Clear Channel Communications, Inc., Tranche D, Term Loan, (5)

    8.827%        N/A        N/A        1/30/19        N/R        2,390,923  
  4,961    

Clear Channel Communications, Inc.,
Term Loan E, (5)

    9.580%        N/A        N/A        7/30/19        N/R        3,858,833  

 

32


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)  
$ 998    

CSC Holdings LLC, Term Loan B

    4.572%        1-Month LIBOR        2.500%        1/25/26        BB–      $ 998,123  
  3,989    

Cumulus Media, Inc., Exit Term Loan

    6.580%        1-Month LIBOR        4.500%        5/15/22        B        3,945,469  
  1,270    

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

    5.572%        1-Month LIBOR        3.500%        10/18/19        B3        1,247,426  
  415    

Gray Television, Inc., Term Loan B2

    4.340%        2-Month LIBOR        2.250%        2/07/24        BB        415,328  
  963    

IMG Worldwide, Inc., Term Loan B

    4.930%        2-Month LIBOR        2.750%        5/18/25        B        960,570  
  423    

Lions Gate Entertainment Corp., Term Loan B

    4.314%        1-Month LIBOR        2.250%        3/24/25        BB–        424,749  
  1,966    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/02/22        B+        1,937,958  
  1,663    

Meredith, Term Loan B

    5.077%        1-Month LIBOR        3.000%        1/31/25        BB        1,669,890  
  1,000    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        7/03/25        BB        1,002,190  
  750    

Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien

    6.580%        1-Month LIBOR        4.500%        7/03/26        B–        750,000  
  247    

Nexstar Broadcasting Group, Term Loan

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        248,024  
  1,856    

Nexstar Broadcasting Group, Term Loan B

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        1,860,148  
  3,500    

Numericable Group S.A, Term Loan B13, (WI/DD)

    TBD        TBD        TBD        TBD        B        3,429,720  
  499    

Sinclair Television Group, Term Loan B2

    4.330%        1-Month LIBOR        2.250%        1/31/24        BB+        499,203  
  1,442    

Springer Science & Business Media, Inc., Term Loan B13, First Lien

    5.577%        1-Month LIBOR        3.500%        8/15/22        B        1,442,307  
  3,480    

Univision Communications, Inc., Term Loan C5

    4.827%        1-Month LIBOR        2.750%        3/15/24        BB–        3,383,386  
  45,999    

Total Media

                                                 42,340,421  
      Metals & Mining – 0.3% (0.2% of Total Investments)  
  866    

CanAm Construction, Inc., Term Loan B

    7.577%        1-Month LIBOR        5.500%        7/01/24        B        877,078  
      Multiline Retail – 0.8% (0.5% of Total Investments)  
  887    

Belk, Inc., Term Loan B, First Lien

    6.836%        1-Month LIBOR        4.750%        12/12/22        B–        702,882  
  873    

EG America LLC, Term Loan, First Lien

    6.334%        3-Month LIBOR        4.000%        2/07/25        B        870,722  
  691    

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

    5.419%        2-Month LIBOR        3.250%        9/30/22        BB        655,531  
  2,451    

Total Multiline Retail

                                                 2,229,135  
      Oil, Gas & Consumable Fuels – 3.9% (2.4% of Total Investments)  
  1,091    

BCP Renaissance Parent, Term Loan B

    5.842%        3-Month LIBOR        3.500%        10/31/24        B+        1,096,669  
  750    

California Resources Corporation, Term Loan

    12.439%        1-Month LIBOR        10.375%        12/31/21        B        829,219  
  750    

California Resources Corporation, Term Loan B

    6.831%        1-Month LIBOR        4.750%        12/31/22        B        764,374  
  126    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)

    0.000%        N/A        N/A        5/13/22        N/R        1,895  
  1,546    

Fieldwood Energy LLC, Exit Term Loan

    7.327%        1-Month LIBOR        5.250%        4/11/22        B+        1,551,413  
  643    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.327%        1-Month LIBOR        7.250%        4/11/23        B+        625,778  
  2,494    

McDermott International, Term Loan

    7.077%        1-Month LIBOR        5.000%        5/12/25        BB–        2,512,927  
  828    

Peabody Energy Corporation, Term Loan B

    4.827%        1-Month LIBOR        2.750%        3/31/25        BB        830,309  
  2,374    

Seadrill Partners LLC, Initial Term Loan

    8.334%        3-Month LIBOR        6.000%        2/21/21        CCC+        2,225,791  
  27    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        23,733  
  10,629    

Total Oil, Gas & Consumable Fuels

                                                 10,462,108  
      Personal Products – 0.7% (0.5% of Total Investments)  
  1,000    

Coty, Inc., Term Loan A

    3.847%        1-Month LIBOR        1.750%        4/05/23        BB+        991,250  
  1,000    

Coty, Inc., Term Loan B

    4.347%        1-Month LIBOR        2.250%        4/07/25        BB+        977,815  
  2,000    

Total Personal Products

                                                 1,969,065  
      Pharmaceuticals – 1.3% (0.8% of Total Investments)  
  589    

Alphabet Holding Company, Inc., Initial Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        9/26/24        B–        553,574  
  2,574    

Concordia Healthcare Corporation, Term Loan B, First Lien, (5)

    6.327%        1-Month LIBOR        4.250%        10/21/21        Caa2        2,327,518  
  541    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

    5.092%        1-Month LIBOR        3.000%        6/02/25        BB–        541,950  
  3,704    

Total Pharmaceuticals

                                                 3,423,042  
      Professional Services – 2.4% (1.5% of Total Investments)  
  1,193    

Ceridian HCM Holding, Inc., Term Loan B

    5.327%        1-Month LIBOR        3.250%        4/30/25        B–        1,195,523  
  3,318    

Formula One Group, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/01/24        B+        3,303,629  
  1,262    

Nielsen Finance LLC, Term Loan B4

    4.097%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,258,164  

 

33


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Professional Services (continued)  
$ 718    

On Assignment, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/02/25        BB      $ 719,233  
  6,491    

Total Professional Services

                                                 6,476,549  
      Real Estate Management & Development – 1.8% (1.1% of Total Investments)  
  500    

Altisource Solutions S.A R.L., Term Loan B

    6.334%        3-Month LIBOR        4.000%        3/29/24        B+        497,309  
  1,741    

Capital Automotive LP, Term Loan, Second Lien

    8.080%        1-Month LIBOR        6.000%        3/24/25        CCC+        1,771,293  
  1,500    

GGP, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,489,845  
  994    

Trico Group LLC, Term Loan, First Lien

    8.807%        3-Month LIBOR        6.500%        2/02/24        B        996,234  
  4,735    

Total Real Estate Management & Development

                                                 4,754,681  
      Road & Rail – 0.7% (0.5% of Total Investments)  
  975    

Quality Distribution, Incremental Term Loan, First Lien

    7.834%        3-Month LIBOR        5.500%        8/18/22        B–        982,717  
  1,000    

Savage Enterprises LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        1,004,380  
  1,975    

Total Road & Rail

                                                 1,987,097  
      Semiconductors & Semiconductor Equipment – 1.7% (1.1% of Total Investments)  
  706    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.250%        7/05/21        BB        710,405  
  602    

Lumileds, Term Loan B

    5.751%        1-Month LIBOR        3.500%        6/30/24        B+        598,635  
  1,250    

Microchip Technology., Inc., Term Loan B

    4.080%        1-Month LIBOR        2.000%        5/29/25        BB+        1,254,688  
  980    

Micron Technology, Inc., Term Loan B

    3.830%        1-Month LIBOR        1.750%        4/10/22        BBB–        984,288  
  1,089    

ON Semiconductor Corporation, Term Loan B3

    3.827%        1-Month LIBOR        1.750%        3/31/23        Baa3        1,091,386  
  4,627    

Total Semiconductors & Semiconductor Equipment

                                                 4,639,402  
      Software – 15.3% (9.5% of Total Investments)  
  2,587    

Avaya, Inc., Tranche B Term Loan

    6.322%        1-Month LIBOR        4.250%        12/15/24        B        2,602,095  
  1,000    

Blackboard, Inc., Term Loan B4, (DD1)

    7.333%        3-Month LIBOR        5.000%        6/30/21        B–        950,007  
  3,066    

BMC Software, Inc., Term Loan B

    4.250%        1-Month LIBOR        3.250%        6/28/25        B        3,068,556  
  2,151    

Compuware Corporation, Term Loan B3

    5.580%        1-Month LIBOR        3.500%        12/15/21        B        2,159,070  
  737    

DTI Holdings, Inc., Replacement Term Loan B1

    6.827%        1-Month LIBOR        4.750%        9/29/23        B        735,054  
  1,588    

Ellucian, Term Loan B, First Lien

    5.584%        3-Month LIBOR        3.250%        9/30/22        B        1,592,382  
  2,463    

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

    5.577%        1-Month LIBOR        3.500%        12/01/23        B        2,478,510  
  4,767    

Infor (US), Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/01/22        B        4,779,809  
  1,254    

Informatica, Term Loan B

    5.327%        1-Month LIBOR        3.250%        8/05/22        B        1,261,254  
  988    

Kronos Incorporated, Term Loan B

    5.358%        3-Month LIBOR        3.000%        11/20/23        B        991,696  
  500    

McAfee Holdings International, Inc., Term Loan, Second Lien

    10.572%        1-Month LIBOR        8.500%        9/29/25        B–        513,125  
  2,024    

McAfee LLC, Term Loan

    6.572%        1-Month LIBOR        4.500%        9/30/24        B        2,040,509  
  642    

Micro Focus International PLC, New Term Loan

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        640,162  
  4,333    

Micro Focus International PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        4,323,172  
  1,883    

Micro Focus International PLC, Term Loan B2

    4.327%        1-Month LIBOR        2.500%        11/19/21        BB–        1,878,186  
  429    

Misys, New Term Loan, Second Lien

    9.557%        3-Month LIBOR        7.250%        6/13/25        CCC+        415,205  
  499    

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

    5.327%        1-Month LIBOR        3.250%        11/29/24        B1        498,393  
  450    

Mitchell International, Inc., Initial Term Loan, Second Lien

    9.327%        1-Month LIBOR        7.250%        12/01/25        CCC        452,297  
  985    

RP Crown Parent LLC, Term Loan B

    4.827%        1-Month LIBOR        2.750%        10/15/23        B        988,388  
  3,391    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        3,404,405  
  1,301    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        1,305,860  
  3,653    

Tibco Software, Inc., Term Loan, First Lien

    5.580%        1-Month LIBOR        3.500%        12/04/20        B        3,668,585  
  40,691    

Total Software

                                                 40,746,720  
      Specialty Retail – 1.6% (1.0% of Total Investments)  
  884    

Neiman Marcus Group, Inc., Term Loan

    5.336%        1-Month LIBOR        3.250%        10/25/20        CCC        782,950  
  2,690    

Petco Animal Supplies, Inc., Term Loan B1

    5.590%        3-Month LIBOR        3.250%        1/26/23        B2        1,941,803  
  1,789    

Petsmart Inc., Term Loan B, First Lien

    5.100%        1-Month LIBOR        3.000%        3/11/22        B3        1,491,171  
  5,363    

Total Specialty Retail

                                                 4,215,924  
      Technology Hardware, Storage & Peripherals – 5.8% (3.6% of Total Investments)  
  2,225    

Dell International LLC, Replacement Term Loan A2

    3.830%        1-Month LIBOR        1.750%        9/07/21        BBB–        2,225,557  
  6,642    

Dell International LLC, Refinancing Term Loan B

    4.080%        1-Month LIBOR        2.000%        9/07/23        BBB–        6,650,578  

 

34


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Technology Hardware, Storage & Peripherals (continued)  
$ 900    

Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B      $ 905,769  
  5,727    

Western Digital, Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/29/23        BBB–        5,735,732  
  15,494    

Total Technology Hardware, Storage & Peripherals

                                                 15,517,636  
      Transportation Infrastructure – 1.8% (1.1% of Total Investments)  
  4,692    

Avolon LLC, Term Loan B

    4.086%        1-Month LIBOR        2.000%        1/15/25        BBB–        4,664,594  
      Wireless Telecommunication Services – 4.3% (2.7% of Total Investments)  
  731    

Asurion LLC, Term Loan B6

    5.077%        1-Month LIBOR        3.000%        11/03/23        B+        730,549  
  797    

Asurion LLC, Term Loan B4

    5.077%        1-Month LIBOR        3.000%        8/04/22        B+        798,035  
  5,431    

Sprint Corporation, Term Loan, First Lien

    4.625%        1-Month LIBOR        2.500%        2/02/24        BB–        5,439,396  
  1,696    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.078%        1-Month LIBOR        5.000%        3/09/23        B        1,700,337  
  2,000    

Syniverse Holdings, Inc., Initial Term Loan, Second Lien

    11.078%        1-Month LIBOR        9.000%        3/11/24        CCC+        1,989,000  
  920    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.572%        1-Month LIBOR        2.500%        1/15/26        BB        917,512  
  11,575    

Total Wireless Telecommunication Services

                                                 11,574,829  
$ 370,763    

Total Variable Rate Senior Loan Interests (cost $368,258,118)

 

                       361,594,545  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 18.9% (11.7% of Total Investments)

 

      Containers & Packaging – 0.8% (0.5% of Total Investments)  
$ 2,277    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+      $ 2,281,502  
      Diversified Telecommunication Services – 5.7% (3.5% of Total Investments)  
  3,995    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        3,680,394  
  4,050    

Intelsat Jackson Holdings SA, 144A

          9.750%        7/15/25        CCC+        4,328,438  
  5,009    

Intelsat Luxembourg SA

          7.750%        6/01/21        Ca        4,758,550  
  2,830    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC–        2,426,725  
  15,884    

Total Diversified Telecommunication Services

 

                                15,194,107  
      Health Care Providers & Services – 1.4% (0.9% of Total Investments)  
  3,500    

HCA Inc.

                      6.500%        2/15/20        BBB–        3,642,800  
      Hotels, Restaurants & Leisure – 1.1% (0.7% of Total Investments)  
  2,650    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,828,875  
      Household Durables – 0.8% (0.5% of Total Investments)  
  1,410    

Lennar Corporation

          4.125%        12/01/18        BB+        1,412,129  
  850    

Lennar Corporation

                      4.500%        11/15/19        BB+        859,562  
  2,260    

Total Household Durables

 

                                2,271,691  
      Media – 3.4% (2.1% of Total Investments)  
  100    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        100,147  
  820    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B2        902,000  
  347    

DISH DBS Corporation

          5.125%        5/01/20        BB        344,397  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB        833,750  
  1,000    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        1,020,000  
  2,122    

iHeartCommunications Inc., (5)

          9.000%        12/15/19        CC        1,655,160  
  9,172    

iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (5)

          14.000%        2/01/21        C        1,215,273  
  1,524    

iHeartCommunications Inc., 144A, (5)

          11.250%        3/01/21        C        1,104,900  
  2,430    

iHeartCommunications Inc., (5)

                      9.000%        3/01/21        CC        1,858,950  
  18,515    

Total Media

 

                                9,034,577  
      Oil, Gas & Consumable Fuels – 2.0% (1.2% of Total Investments)  
  3,765    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        3,369,675  
  400    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        376,000  

 

35


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)  
$ 1,404    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B      $ 1,488,240  
  115    

EP Energy LLC, 144A

                      9.375%        5/01/24        Caa2        94,588  
  5,684    

Total Oil, Gas & Consumable Fuels

 

                                5,328,503  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)  
  300    

Concordia International Corporation, 144A, (5)

                      7.000%        4/15/23        C        18,000  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
  761    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B        846,613  
      Software – 1.7% (1.0% of Total Investments)  
  115    

Avaya Holdings Corporation, 144A, (5), (9)

          7.000%        4/01/19        N/R         
  2,895    

Avaya Holdings Corporation, 144A, (5), (9)

          10.500%        3/01/21        N/R         
  2,840    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        2,907,450  
  1,475    

Infor Us Inc., 144A

                      5.750%        8/15/20        BB        1,495,281  
  7,325    

Total Software

 

                                4,402,731  
      Wireless Telecommunication Services – 1.7% (1.1% of Total Investments)  
  1,000    

Sprint Capital Corporation

          6.900%        5/01/19        B+        1,021,250  
  500    

Sprint Capital Corporation

          7.875%        9/15/23        B+        533,125  
  2,000    

Sprint Capital Corporation

          7.125%        6/15/24        B+        2,055,000  
  850    

Sprint Communications Inc.

                      7.000%        8/15/20        B+        888,250  
  4,350    

Total Wireless Telecommunication Services

 

                                         4,497,625  
$ 63,506    

Total Corporate Bonds (cost $53,579,776)

 

                                         50,347,024  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 3.1% (1.9% of Total Investments)

 

      Diversified Consumer Services – 0.2% (0.1% of Total Investments)  
  53,514    

Cengage Learning Holdings II Inc., (7), (8)

                                               $ 516,999  
      Energy Equipment & Services – 0.9% (0.6% of Total Investments)  
  37,968    

C&J Energy Services Inc., (7)

                   883,136  
  36,361    

Ocean Rig UDW Inc., (7)

                   1,019,562  
  1,961    

Vantage Drilling International, (7), (8)

                                                 578,495  
 

Total Energy Equipment & Services

                                                 2,481,193  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  38,382    

Millennium Health LLC, (7), (8)

                   1,650  
  35,750    

Millennium Health LLC, (7), (9)

                    
  33,563    

Millennium Health LLC, (7), (9)

                                                  
 

Total Health Care Providers & Services

 

                                         1,650  
      Marine – 0.3% (0.1% of Total Investments)  
  10,768    

HGIM Corporation, (8)

                   500,712  
  2,409    

HGIM Corporation, (7), (8)

                                                 112,018  
 

Total Marine

                                                 612,730  
      Media – 0.6% (0.4% of Total Investments)  
  51,248    

Cumulus Media Inc., (7), (8)

                   828,526  
  775,233    

Hibu PLC, (7), (8)

                   244,198  
  6,268    

Metro-Goldwyn-Mayer Inc., (7), (8)

                   581,752  
  14,825    

Tribune Media Company, (8)

                                                 5,189  
 

Total Media

                                                 1,659,665  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  27    

Southcross Holdings Borrower LP, (7), (8)

                                                 5,738  
      Software – 1.0% (0.6% of Total Investments)                
  132,029    

Avaya Holdings Corporation, (7)

                                                 2,717,157  

 

36


Shares     Description (1)                                           Value  
      Specialty Retail – 0.1% (0.1% of Total Investments)                
  5,454    

Gymboree Holding Corporation, (7), (9)

                 $ 61,451  
  14,849    

Gymboree Holding Corporation, (7), (8)

                                                 174,476  
 

Total Specialty Retail

                                                 235,927  
 

Total Common Stocks (cost $12,285,900)

 

                                8,231,059  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)

 

           
      Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)                
  1,655    

Fieldwood Energy LLC, (7), (8)

                 $ 87,164  
  7,562    

Fieldwood Energy LLC, (7), (9)

                                                 328,980  
 

Total Common Stock Right (cost $221,258)

 

                                416,144  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)                
  11,806    

Avaya Holdings Corporation

                                               $ 45,453  
 

Total Warrants (cost $1,103,821)

                                                 45,453  
 

Total Long-Term Investments (cost $435,448,873)

 

                                420,634,225  
Shares     Description (1)                   Coupon                      Value  
      SHORT-TERM INVESTMENTS – 3.8% (2.3% of Total Investments)                
      INVESTMENT COMPANIES – 3.8% (2.3% of Total Investments)                       
  10,121,429    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

                      1.809% (11)                        $ 10,121,429  
 

Total Short-Term Investments (cost $10,121,429)

 

              10,121,429  
 

Total Investments (cost $445,570,302) – 161.5%

 

              430,755,654  
 

Borrowings – (42.7)% (12), (13)

 

              (114,000,000
 

Term Preferred Shares, net of deferred offering costs – (15.9)% (14)

 

              (42,401,767
 

Other Assets Less Liabilities – (2.9)% (15)

 

              (7,601,469
 

Net Assets Applicable to Common Shares – 100%

 

            $ 266,752,418  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 43,000,000       Pay       1-Month-LIBOR       2.000 %(16)      Monthly       11/01/21 (17)    $ (1,198,980   $ (1,198,980

 

37


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

 

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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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.

 

(3)

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.

 

(4)

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.

 

(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)

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.

 

(7)

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

 

(8)

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.

 

(9)

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.

 

(10)

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.

 

(11)

The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)

Borrowings as a percentage of Total Investments is 26.5%.

 

(13)

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.

 

(14)

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

 

(15)

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.

 

(16)

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.

 

(17)

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.

 

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.

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

38


JFR   

Nuveen Floating Rate Income Fund

 

Portfolio of Investments    July 31, 2018

 

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

LONG-TERM INVESTMENTS – 156.5% (97.8% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 130.6% (81.6% of Total Investments) (2)

 

      Aerospace & Defense – 2.4% (1.5% of Total Investments)                
$ 7,630    

Sequa Corporation, Term Loan B

    7.067%        1-Month LIBOR        5.000%        11/28/21        B–      $ 7,644,584  
  2,654    

Sequa Corporation, Term Loan, Second Lien

    11.072%        1-Month LIBOR        9.000%        4/28/22        CCC        2,663,687  
  2,907    

Transdigm, Inc., Term Loan E

    4.577%        1-Month LIBOR        2.500%        5/30/25        Ba2        2,909,192  
  980    

Transdigm, Inc., Term Loan F

    4.577%        1-Month LIBOR        2.500%        6/09/23        Ba2        981,802  
  1,310    

Transdigm, Inc., Term Loan G, First Lien

    4.577%        1-Month LIBOR        2.500%        8/22/24        Ba2        1,312,010  
  15,481    

Total Aerospace & Defense

                                                 15,511,275  
      Air Freight & Logistics – 0.9% (0.6% of Total Investments)                
  2,000    

Ceva Group PLC, Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        2,002,500  
  1,674    

PAE Holding Corporation, Term Loan B

    7.577%        1-Month LIBOR        5.500%        10/20/22        B+        1,683,114  
  2,166    

XPO Logistics, Inc., Term Loan B

    4.064%        1-Month LIBOR        2.000%        2/24/25        BB+        2,173,007  
  5,840    

Total Air Freight & Logistics

                                                 5,858,621  
      Airlines – 1.9% (1.2% of Total Investments)                                         
  4,098    

American Airlines, Inc., Replacement Term Loan

    4.086%        1-Month LIBOR        2.000%        10/10/21        BB+        4,101,054  
  3,354    

American Airlines, Inc., Term Loan 2025

    3.827%        1-Month LIBOR        1.750%        6/27/25        BB+        3,303,105  
  5,311    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        12/14/23        BB+        5,290,769  
  12,763    

Total Airlines

                                                 12,694,928  
      Auto Components – 0.5% (0.3% of Total Investments)                
  1,271    

Horizon Global Corporation, Term Loan B, (DD1)

    6.572%        1-Month LIBOR        4.500%        6/30/21        B2        1,233,312  
  1,979    

Superior Industries International, Inc., Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/22/24        B        1,989,321  
  3,250    

Total Auto Components

                                                 3,222,633  
      Automobiles – 0.9% (0.6% of Total Investments)                
  4,588    

Chrysler Group LLC, Term Loan

    4.070%        1-Month LIBOR        2.000%        12/31/18        BBB–        4,600,983  
  172    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        172,305  
  1,244    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        1,250,368  
  6,004    

Total Automobiles

                                                 6,023,656  
      Biotechnology – 0.8% (0.5% of Total Investments)                
  5,431    

Grifols, Inc., Term Loan B

    4.200%        1-Week LIBOR        2.250%        1/31/25        BB        5,453,464  
      Building Products – 1.5% (0.9% of Total Investments)                
  2,500    

Fairmount, Initial Term Loan

    6.050%        3-Month LIBOR        3.750%        6/01/25        BB        2,504,950  
  652    

Ply Gem Industries, Inc., Term Loan B

    6.087%        3-Month LIBOR        3.750%        4/12/25        B        654,320  
  6,561    

Quikrete Holdings, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        11/15/23        BB–        6,563,992  
  9,713    

Total Building Products

                                                 9,723,262  
      Capital Markets – 0.8% (0.5% of Total Investments)                
  4,911    

RPI Finance Trust, Term Loan B6

    4.334%        3-Month LIBOR        2.000%        3/27/23        BBB–        4,927,966  
      Chemicals – 1.1% (0.7% of Total Investments)                              
  1,212    

Ineos US Finance LLC, Term Loan

    4.169%        2-Month LIBOR        2.000%        4/01/24        BB+        1,211,186  
  2,319    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        2,315,959  
  3,392    

Univar, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/01/24        BB        3,405,344  
  6,923    

Total Chemicals

                                                 6,932,489  
      Commercial Services & Supplies – 4.0% (2.5% of Total Investments)                
  718    

ADS Waste Holdings, Inc., Term Loan B

    4.193%        1-Week LIBOR        2.250%        11/10/23        BB+        719,752  
  1,478    

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

    6.342%        2-Month LIBOR        4.000%        10/19/23        B–        1,464,572  

 

39


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                
$ 4,452    

iQor US, Inc., Term Loan, First Lien

    7.337%        3-Month LIBOR        5.000%        4/01/21        B      $ 4,429,662  
  500    

iQor US, Inc., Term Loan, Second Lien

    11.087%        3-Month LIBOR        8.750%        4/01/22        CCC+        479,000  
  1,154    

KAR Auction Services, Inc., Term Loan B5

    4.625%        1-Month LIBOR        2.500%        3/09/23        BB–        1,157,305  
  1,342    

LSC Communications, Refinancing Term Loan

    7.577%        1-Month LIBOR        5.500%        9/30/22        B        1,345,028  
  3,439    

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

    7.834%        3-Month LIBOR        5.500%        9/30/22        B–        3,228,127  
  3,298    

Protection One, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        5/02/22        BB–        3,307,116  
  4,756    

Skillsoft Corporation, Initial Term Loan, First Lien, (DDI)

    6.827%        1-Month LIBOR        4.750%        4/28/21        B–        4,625,112  
  1,955    

Universal Services of America, Initial Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        7/28/22        B–        1,930,563  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        7/28/23        CCC        1,739,798  
  342    

West Corporation, Incremental Term Loan B1

    5.577%        1-Month LIBOR        3.500%        10/10/24        Ba3        341,022  
  1,506    

West Corporation, Term Loan B

    6.077%        1-Month LIBOR        4.000%        10/10/24        Ba3        1,508,081  
  26,690    

Total Commercial Services & Supplies

                                                 26,275,138  
      Communications Equipment – 0.6% (0.4% of Total Investments)                
  1,637    

Mitel US Holdings, Inc., Incremental Term Loan

    5.827%        1-Month LIBOR        3.750%        9/25/23        B+        1,640,914  
  2,261    

Plantronics, Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/02/25        BB        2,261,808  
  3,898    

Total Communications Equipment

                                                 3,902,722  
      Construction & Engineering – 0.6% (0.3% of Total Investments)                
  2,000    

KBR, Inc., Term Loan B

    5.814%        1-Month LIBOR        3.750%        4/25/25        B+        2,016,260  
  1,594    

Traverse Midstream Partners, Term Loan B

    6.340%        3-Month LIBOR        4.000%        9/27/24        B+        1,602,388  
  3,594    

Total Construction & Engineering

                                                 3,618,648  
      Containers & Packaging – 0.8% (0.5% of Total Investments)                
  1,397    

Berry Global, Inc., Term Loan Q

    4.080%        1-Month LIBOR        2.000%        10/01/22        BBB–        1,401,979  
  3,803    

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

    4.827%        1-Month LIBOR        2.750%        2/05/23        B+        3,819,768  
  5,200    

Total Containers & Packaging

                                                 5,221,747  
      Distributors – 0.5% (0.3% of Total Investments)                
  1,335    

American Seafoods Group LLC, Term Loan B

    4.830%        1-Month LIBOR        2.750%        8/21/23        BB–        1,333,648  
  2,000    

SRS Distribution, Inc., Term Loan B

    5.580%        3-Month LIBOR        3.250%        5/23/25        B        1,969,500  
  3,335    

Total Distributors

                                                 3,303,148  
      Diversified Consumer Services – 2.0% (1.2% of Total Investments)                
  5,813    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        6/07/23        B        5,514,759  
  696    

Education Management LLC, Tranche A, Term Loan, (6)

    10.000%        N/A        N/A        7/02/20        N/R        118,323  
  1,567    

Education Management LLC, Tranche B, Term Loan, (6)

    13.250%        N/A        N/A        7/02/20        N/R        49,622  
  4,074    

Houghton Mifflin, Term Loan B, First Lien

    5.077%        1-Month LIBOR        3.000%        5/28/21        B        3,819,483  
  2,321    

Laureate Education, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        4/26/24        B+        2,329,630  
  1,161    

Vertiv Co.,Term Loan B

    6.100%        1-Month LIBOR        4.000%        11/30/23        B+        1,155,543  
  15,632    

Total Diversified Consumer Services

                                                 12,987,360  
      Diversified Financial Services – 1.6% (1.0% of Total Investments)                
  2,730    

Citco III Limited, Term Loan

    5.077%        1-Month LIBOR        3.000%        3/31/22        N/R        2,741,776  
  1,717    

Freedom Mortgage Corporation, Term Loan B

    6.817%        1-Month LIBOR        4.750%        2/23/22        B+        1,730,460  
  2,043    

Travelport LLC, Term Loan B

    4.830%        3-Month LIBOR        2.500%        3/17/25        B+        2,042,949  
  4,097    

Veritas US, Inc., Term Loan B1

    6.641%        1-Month LIBOR        4.500%        1/27/23        B        3,815,792  
  10,587    

Total Diversified Financial Services

                                                 10,330,977  
      Diversified Telecommunication Services – 7.4% (4.6% of Total Investments)                
  2,194    

CenturyLink, Inc., Initial Term A Loan

    4.827%        1-Month LIBOR        2.750%        11/01/22        BBB–        2,193,476  
  9,651    

CenturyLink, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        1/31/25        BBB–        9,514,298  
  5,811    

Frontier Communications Corporation, Term Loan B

    5.830%        1-Month LIBOR        3.750%        1/14/22        B+        5,739,331  

 

40


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)                
$ 3,033    

Intelsat Jackson Holdings, S.A., Term Loan B

    5.827%        1-Month LIBOR        3.750%        11/30/23        B      $ 3,045,922  
  465    

Intelsat Jackson Holdings, S.A., Term Loan B4

    6.577%        1-Month LIBOR        4.500%        1/02/24        B1        488,728  
  744    

Intelsat Jackson Holdings, S.A., Term Loan B5

    6.625%        N/A        N/A        1/02/24        B1        780,332  
  5,683    

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

    4.331%        1-Month LIBOR        2.250%        2/22/24        BBB–        5,698,594  
  566    

Presidio, Inc., Term Loan B

    5.082%        1-Month LIBOR        2.750%        2/02/24        B+        567,817  
  8,270    

WideOpenWest Finance LLC, Term Loan B

    5.329%        1-Month LIBOR        3.250%        8/18/23        B        7,949,860  
  725    

Windstream Corporation, Term Loan B6

    6.080%        1-Month LIBOR        4.000%        3/29/21        B+        685,089  
  12,000    

Ziggo B.V., Term Loan E

    4.572%        1-Month LIBOR        2.500%        4/15/25        BB–        11,940,780  
  49,142    

Total Diversified Telecommunication Services

                                                 48,604,227  
      Electric Utilities – 0.9% (0.6% of Total Investments)                
  872    

EFS Cogen Holdings LLC, Term Loan B

    5.590%        3-Month LIBOR        3.250%        6/28/23        BB        874,673  
  3,208    

Vistra Operations Co., Term Loan B1

    4.077%        1-Month LIBOR        2.000%        8/01/23        BBB–        3,206,730  
  1,718    

Vistra Operations Co., Term Loan B3

    4.074%        1-Month LIBOR        2.000%        12/31/25        BBB–        1,715,826  
  5,798    

Total Electric Utilities

                                                 5,797,229  
      Electrical Equipment – 0.4% (0.3% of Total Investments)                
  1,823    

TTM Technologies, Inc., Term Loan B

    4.592%        1-Month LIBOR        2.500%        9/28/24        BB+        1,827,747  
  982    

Zebra Technologies Corporation, Term Loan B

    4.057%        3-Month LIBOR        1.750%        10/27/21        BB+        985,447  
  2,805    

Total Electrical Equipment

                                                 2,813,194  
      Energy Equipment & Services – 0.3% (0.2% of Total Investments)                
  1,244    

Diversey, Inc., Term Loan B

    5.077%        1-Month LIBOR        3.000%        9/06/24        B        1,221,984  
  741    

Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)

    15.870%        3-Month LIBOR        13.500%        5/06/19        N/R        196,414  
  337    

Ocean Rig UDW, Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        354,969  
  2,322    

Total Energy Equipment & Services

                                                 1,773,367  
      Equity Real Estate Investment Trusts – 2.5% (1.5% of Total Investments)                
  6,659    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.077%        1-Month LIBOR        3.000%        10/24/22        B        6,387,292  
  1,491    

Realogy Group LLC, Term Loan A

    4.317%        1-Month LIBOR        2.250%        2/08/23        N/R        1,492,958  
  1,853    

Realogy Group LLC, Term Loan B

    4.317%        1-Month LIBOR        2.250%        2/08/25        BB+        1,858,450  
  6,694    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (6)

    8.077%        1-Month LIBOR        6.000%        6/30/22        CCC+        6,388,959  
  16,697    

Total Equity Real Estate Investment Trusts

                                                 16,127,659  
      Food & Staples Retailing – 5.1% (3.2% of Total Investments)                
  1,429    

Albertson’s LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        1,427,679  
  25,225    

Albertson’s LLC, Term Loan B4

    4.827%        1-Month LIBOR        2.750%        8/25/21        BB–        25,161,523  
  2,948    

Albertson’s LLC, Term Loan B5

    5.337%        3-Month LIBOR        3.000%        12/21/22        BB–        2,939,954  
  1,892    

Albertson’s LLC, Term Loan B6

    5.319%        3-Month LIBOR        3.000%        6/22/23        BB–        1,883,129  
  1,079    

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

    5.597%        1-Month LIBOR        3.500%        2/03/24        B        1,082,455  
  718    

Del Monte Foods Company, Term Loan, First Lien

    5.584%        3-Month LIBOR        3.250%        2/18/21        CCC+        628,509  
  883    

Save-A-Lot, Term Loan B

    8.077%        1-Month LIBOR        6.000%        12/05/23        B–        686,708  
  34,174    

Total Food & Staples Retailing

                                                 33,809,957  
      Food Products – 3.1% (1.9% of Total Investments)                
  1,671    

Hearthside Group Holdings LLC, Term Loan B

    5.064%        1-Month LIBOR        3.000%        5/23/25        B        1,661,178  
  3,358    

Jacobs Douwe Egberts, Term Loan B

    4.625%        3-Month LIBOR        2.250%        7/04/22        BB        3,376,651  
  2,359    

Pinnacle Foods Finance LLC, Term Loan B

    3.840%        1-Month LIBOR        1.750%        2/02/24        BB+        2,363,414  
  12,632    

US Foods, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        6/27/23        BBB–        12,641,472  
  20,020    

Total Food Products

                                                 20,042,715  
      Health Care Equipment & Supplies – 1.7% (1.1% of Total Investments)                
  2,056    

Acelity, Term Loan B

    5.584%        3-Month LIBOR        3.250%        2/02/24        B        2,064,771  
  1,079    

ConvaTec, Inc., Term Loan B

    4.584%        3-Month LIBOR        2.250%        10/25/23        BB        1,082,434  
  1,353    

Greatbatch, New Term Loan B

    5.330%        1-Month LIBOR        3.250%        10/27/22        B+        1,361,329  
  1,000    

LifeScan, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        975,000  

 

41


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Equipment & Supplies (continued)                
$ 2,234    

Onex Carestream Finance LP, Term Loan, First Lien

    6.077%        1-Month LIBOR        4.000%        6/07/19        B      $ 2,235,669  
  2,328    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        12/07/19        B–        2,329,500  
  1,000    

Vyaire Medical, Inc., Term Loan B

    7.232%        6-Month LIBOR        4.750%        4/16/25        B–        982,500  
  11,050    

Total Health Care Equipment & Supplies

                                                 11,031,203  
      Health Care Providers & Services – 6.3% (4.0% of Total Investments)                
  1,884    

Acadia Healthcare, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        2/11/22        BB–        1,894,860  
  2,069    

Air Medical Group Holdings, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        3/14/25        B        2,044,576  
  2,328    

Air Medical Group Holdings, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        4/28/22        B        2,263,519  
  1,000    

Ardent Health, Term Loan, First Lien

    6.572%        1-Month LIBOR        4.500%        6/30/25        B        1,008,750  
  1,801    

Community Health Systems, Inc., Term Loan H

    5.557%        3-Month LIBOR        3.250%        1/27/21        B–        1,772,852  
  1,424    

Concentra, Inc., Term Loan B

    4.850%        1-Month LIBOR        2.750%        6/01/22        B+        1,427,972  
  675    

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

    4.827%        1-Month LIBOR        2.750%        6/24/21        BBB–        680,201  
  1,008    

Envision Healthcare Corporation, Term Loan B, First Lien

    5.080%        1-Month LIBOR        3.000%        12/01/23        BB–        1,009,606  
  2,597    

HCA, Inc., Term Loan A5

    3.577%        1-Month LIBOR        1.500%        6/10/20        BBB–        2,605,339  
  3,301    

HCA, Inc., Term Loan B11

    3.827%        1-Month LIBOR        1.750%        3/17/23        BBB–        3,319,225  
  1,891    

Healogics, Inc., Term Loan, First Lien

    6.570%        3-Month LIBOR        4.250%        7/01/21        B–        1,790,492  
  132    

Heartland Dental Care, Inc., Delay Draw Facility, (5)

    1.875%        N/A        N/A        4/30/25        B–        131,086  
  879    

Heartland Dental Care, Inc., Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        4/30/25        B–        873,905  
  3,421    

Kindred at Home Hospice, Term Loan B, (DD1)

    6.125%        3-Month LIBOR        3.750%        6/21/25        B        3,452,885  
  1,000    

Kindred at Home Hospice, Term Loan, Second Lien

    9.375%        3-Month LIBOR        7.000%        6/21/26        CCC+        1,021,250  
  3,666    

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

    8.577%        1-Month LIBOR        6.500%        12/21/20        CCC+        2,028,635  
  762    

MultiPlan, Inc., Term Loan B

    5.084%        3-Month LIBOR        2.750%        6/07/23        B+        763,155  
  6,885    

Pharmaceutical Product Development, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        8/18/22        Ba3        6,896,820  
  1,496    

PharMerica, Term Loan, First Lien

    5.578%        1-Month LIBOR        3.500%        12/06/24        B        1,504,434  
  1,496    

Prospect Medical Holdings, Term Loan B1

    7.625%        1-Month LIBOR        5.500%        2/22/24        B        1,504,674  
  270    

Quorum Health Corp., Term Loan B

    8.827%        1-Month LIBOR        6.750%        4/29/22        B1        274,482  
  2,882    

Select Medical Corporation, Term Loan B

    4.831%        1-Month LIBOR        2.750%        3/01/21        BB–        2,896,395  
  371    

Vizient, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/13/23        BB–        372,408  
  43,238    

Total Health Care Providers & Services

                                                 41,537,521  
      Health Care Technology – 1.5% (0.9% of Total Investments)                
  2,761    

Catalent Pharma Solutions, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        5/20/24        BB        2,767,182  
  6,913    

Emdeon, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        3/01/24        B+        6,910,115  
  9,674    

Total Health Care Technology

                                                 9,677,297  
      Hotels, Restaurants & Leisure – 11.5% (7.2% of Total Investments)                
  1,247    

Aramark Corporation, Term Loan

    4.084%        3-Month LIBOR        1.750%        3/11/25        BBB–        1,250,248  
  998    

Arby’s Restaurant Group, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        2/05/25        B        1,004,981  
  18,598    

Burger King Corporation, Term Loan B3

    4.327%        1-Month LIBOR        2.250%        2/16/24        B+        18,609,188  
  2,530    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        10/06/24        BB        2,529,970  
  4,975    

Caesars Resort Collection, Term Loan, First Lien

    4.827%        1-Month LIBOR        2.750%        12/23/24        BB        5,001,044  
  2,077    

CCM Merger, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        8/09/21        BB–        2,086,084  
  4,606    

CityCenter Holdings LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        4/18/24        BB–        4,617,688  
  9,579    

Hilton Hotels, Term Loan B

    3.814%        1-Month LIBOR        1.750%        10/25/23        BBB–        9,622,790  
  3,678    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.077%        1-Month LIBOR        3.000%        7/31/24        B        3,679,989  
  2,514    

Life Time Fitness, Inc., Term Loan B

    5.057%        3-Month LIBOR        2.750%        6/10/22        BB–        2,521,052  
  3,338    

MGM Growth Properties, Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/25/25        BB+        3,345,659  
  11,299    

Scientific Games Corp., Initial Term Loan B5

    4.903%        2-Month LIBOR        2.750%        8/14/24        B+        11,320,547  
  3,190    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    5.077%        1-Month LIBOR        3.000%        4/01/24        B        3,186,553  
  1,500    

Stars Group Holdings, Term Loan B

    5.831%        3-Month LIBOR        3.500%        7/10/25        B+        1,515,548  
  3,461    

Station Casino LLC, Term Loan B

    4.580%        1-Month LIBOR        2.500%        6/08/23        BB        3,474,879  
  2,000    

Wyndham International, Inc., Term Loan B

    3.827%        1-Month LIBOR        1.750%        5/30/25        BBB–        2,007,190  
  75,590    

Total Hotels, Restaurants & Leisure

                                                 75,773,410  

 

42


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Household Products – 0.9% (0.6% of Total Investments)                
$ 1,000    

Energizer Holdings, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+      $ 1,004,065  
  4,392    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.577%        1-Month LIBOR        3.500%        11/16/20        CCC+        3,248,825  
  2,297    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.591%        1-Month LIBOR        3.500%        11/08/23        B–        1,932,400  
  7,689    

Total Household Products

                                                 6,185,290  
      Independent Power & Renewable Electricity Producers – 1.0% (0.6% of Total Investments)                
  6,483    

NRG Energy, Inc., Term Loan B

    4.084%        3-Month LIBOR        1.750%        6/30/23        BB+        6,477,685  
      Industrial Conglomerates – 0.8% (0.5% of Total Investments)                
  3,470    

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

    6.596%        3-Month LIBOR        4.250%        6/16/24        B        3,490,956  
  1,496    

Education Advisory Board, Term Loan, First Lien

    6.252%        3-Month LIBOR        3.750%        11/15/24        B        1,488,769  
  4,966    

Total Industrial Conglomerates

                                                 4,979,725  
      Insurance – 1.6% (1.0% of Total Investments)                                         
  988    

Acrisure LLC, Term Loan B

    6.592%        3-Month LIBOR        4.250%        11/22/23        B        991,241  
  6,149    

Alliant Holdings I LLC, Term Loan B

    5.078%        1-Month LIBOR        3.000%        5/09/25        B        6,156,606  
  3,369    

Hub International Holdings, Inc., Term Loan B

    5.335%        3-Month LIBOR        3.000%        4/25/25        B        3,370,476  
  10,506    

Total Insurance

                                                 10,518,323  
      Internet and Direct Marketing Retail – 0.4% (0.3% of Total Investments)                
  748    

Uber Technologies, Inc., Term Loan

    5.574%        1-Month LIBOR        3.500%        7/13/23        N/R        751,762  
  2,000    

Uber Technologies, Inc., Term Loan

    6.100%        1-Month LIBOR        4.000%        4/04/25        N/R        2,014,060  
  2,748    

Total Internet and Direct Marketing Retail

                                                 2,765,822  
      Internet Software & Services – 1.9% (1.2% of Total Investments)                
  1,955    

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

    5.330%        1-Month LIBOR        3.250%        10/19/23        B        1,961,412  
  3,000    

GTT Communications, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        2.750%        6/02/25        B        2,973,750  
  1,516    

Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien

    5.363%        3-Month LIBOR        3.000%        11/03/23        BB–        1,511,181  
  3,642    

Sabre, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        2/22/24        BB        3,649,101  
  2,448    

SkillSoft Corporation, Term Loan, Second Lien

    10.327%        1-Month LIBOR        8.250%        4/28/22        CCC        2,201,624  
  12,561    

Total Internet Software & Services

                                                 12,297,068  
      IT Services – 3.4% (2.1% of Total Investments)                
  550    

DigiCert, Term Loan, First Lien

    7.327%        1-Month LIBOR        5.250%        10/31/24        B        552,209  
  1,107    

Engility Corporation, Term Loan B2

    4.827%        1-Month LIBOR        2.750%        8/11/23        BB–        1,110,911  
  987    

First Data Corporation, Term Loan A

    3.819%        1-Month LIBOR        1.750%        6/02/20        BB        987,777  
  2,132    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        7/10/22        BB        2,134,548  
  9,528    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        4/26/24        BB        9,536,391  
  1,713    

Gartner, Inc., Term Loan A

    4.077%        1-Month LIBOR        2.000%        3/21/22        BB+        1,717,022  
  626    

PEAK 10, Inc., Term Loan B

    5.834%        3-Month LIBOR        3.500%        8/01/24        B        625,715  
  2,475    

Tempo Acquisition LLC, Term Loan B

    5.077%        1-Month LIBOR        3.000%        5/01/24        B        2,480,309  
  1,496    

Vantiv LLC, Repriced Term Loan B4

    3.824%        1-Month LIBOR        1.750%        8/09/24        BBB–        1,496,841  
  1,470    

WEX, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/01/23        BB–        1,473,102  
  22,084    

Total IT Services

                                                 22,114,825  
      Leisure Products – 1.2% (0.7% of Total Investments)                
  2,565    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.572%        1-Month LIBOR        3.500%        5/30/25        B+        2,576,718  
  1,796    

Academy, Ltd., Term Loan B, (DD1)

    6.092%        1-Month LIBOR        4.000%        7/01/22        CCC+        1,489,831  
  2,698    

Equinox Holdings, Inc., Term Loan B1

    5.077%        1-Month LIBOR        3.000%        3/08/24        B+        2,712,454  
  985    

Four Seasons Holdings, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        11/30/23        BB        986,320  
  8,044    

Total Leisure Products

                                                 7,765,323  
      Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)                
  714    

Inventiv Health, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        8/01/24        BB–        714,262  
  1,489    

Parexel International Corp., Term Loan B

    4.827%        1-Month LIBOR        2.750%        9/27/24        B        1,485,959  
  2,203    

Total Life Sciences Tools & Services

                                                 2,200,221  

 

43


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Machinery – 1.4% (0.9% of Total Investments)                
$ 2,978    

Gardner Denver, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        7/30/24        BB      $ 2,988,033  
  1,466    

Gates Global LLC, Term Loan B

    5.084%        3-Month LIBOR        2.750%        4/01/24        B+        1,471,767  
  1,493    

Navistar, Inc., Tranche B, Term Loan

    5.600%        1-Month LIBOR        3.500%        11/06/24        B+        1,496,231  
  1,000    

NN, Inc., Term Loan, Second Lien

    10.097%        1-Month LIBOR        8.000%        4/19/23        CCC+        990,000  
  765    

Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien

    4.314%        1-Month LIBOR        2.250%        8/21/24        BB+        767,565  
  898    

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    6.834%        3-Month LIBOR        4.500%        11/27/20        CCC+        863,731  
  850    

TNT Crane and Rigging, Inc., Term Loan, Second Lien

    11.334%        3-Month LIBOR        9.000%        11/26/21        CCC–        718,250  
  9,450    

Total Machinery

                                                 9,295,577  
      Marine – 0.6% (0.4% of Total Investments)                
  1,331    

American Commercial Lines LLC, Term Loan B, First Lien

    10.827%        1-Month LIBOR        8.750%        11/12/20        CCC+        1,091,958  
  3,119    

Harvey Gulf International Marine, Inc., Exit Term Loan

    10.000%        N/A        N/A        6/06/23        B3        3,144,139  
  4,450    

Total Marine

                                                 4,236,097  
      Media – 15.4% (9.6% of Total Investments)                
  2,062    

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

    5.327%        1-Month LIBOR        3.250%        7/23/21        B        1,955,140  
  1,975    

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

    9.822%        1-Month LIBOR        7.750%        5/10/22        B2        2,056,469  
  8,286    

Catalina Marketing Corporation, Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        4/09/21        B2        5,285,382  
  2,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.827%        1-Month LIBOR        6.750%        4/11/22        Caa2        541,000  
  7,331    

Cequel Communications LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/28/25        BB        7,310,830  
  4,900    

Charter Communications Operating Holdings LLC, Term Loan B

    4.080%        1-Month LIBOR        2.000%        4/30/25        BBB–        4,908,730  
  2,990    

Cineworld Group PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/28/25        BB–        2,984,229  
  6,897    

Clear Channel Communications, Inc., Tranche D, Term Loan, (6)

    8.827%        N/A        N/A        1/30/19        N/R        5,382,275  
  9,868    

Clear Channel Communications, Inc., Term Loan E, (6)

    9.580%        N/A        N/A        7/30/19        N/R        7,674,967  
  2,244    

CSC Holdings LLC, Term Loan B

    4.572%        1-Month LIBOR        2.500%        1/25/26        BB–        2,245,778  
  9,362    

Cumulus Media, Inc., Exit Term Loan

    6.580%        1-Month LIBOR        4.500%        5/15/22        B        9,258,888  
  2,381    

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

    5.572%        1-Month LIBOR        3.500%        10/18/19        B3        2,338,924  
  830    

Gray Television, Inc., Term Loan B2

    4.340%        2-Month LIBOR        2.250%        2/07/24        BB        830,655  
  2,888    

IMG Worldwide, Inc., Term Loan B

    4.930%        2-Month LIBOR        2.750%        5/18/25        B        2,881,710  
  846    

Lions Gate Entertainment Corp., Term Loan B

    4.314%        1-Month LIBOR        2.250%        3/24/25        BB–        849,497  
  3,932    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/02/22        B+        3,875,916  
  3,990    

Meredith, Term Loan B

    5.077%        1-Month LIBOR        3.000%        1/31/25        BB        4,007,736  
  2,000    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        7/03/25        BB        2,004,380  
  1,250    

Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien

    6.580%        1-Month LIBOR        4.500%        7/03/26        B–        1,250,000  
  615    

Nexstar Broadcasting Group, Term Loan

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        616,306  
  4,612    

Nexstar Broadcasting Group, Term Loan B

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        4,622,379  
  7,000    

Numericable Group S.A, Term Loan B13, (WI/DD)

    TBD        TBD        TBD        TBD        B        6,859,440  
  533    

Red Ventures, Term Loan B

    6.077%        1-Month LIBOR        4.000%        11/08/24        B+        538,799  
  2,743    

Sinclair Television Group, Term Loan B2

    4.330%        1-Month LIBOR        2.250%        1/31/24        BB+        2,745,616  
  2,884    

Springer Science & Business Media, Inc., Term Loan B13, First Lien

    5.577%        1-Month LIBOR        3.500%        8/15/22        B        2,884,615  
  16,008    

Univision Communications, Inc., Term Loan C5

    4.827%        1-Month LIBOR        2.750%        3/15/24        BB–        15,563,575  
  110,427    

Total Media

                                                 101,473,236  
      Metals & Mining – 0.2% (0.1% of Total Investments)                
  1,485    

CanAm Construction, Inc., Term Loan B

    7.577%        1-Month LIBOR        5.500%        7/01/24        B        1,503,563  

 

44


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Multiline Retail – 0.7% (0.4% of Total Investments)                
$ 1,775    

Belk, Inc., Term Loan B, First Lien

    6.836%        1-Month LIBOR        4.750%        12/12/22        B–      $ 1,405,764  
  1,995    

EG America LLC, Term Loan, First Lien

    6.334%        3-Month LIBOR        4.000%        2/07/25        B        1,990,222  
  1,382    

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

    5.419%        2-Month LIBOR        3.250%        9/30/22        BB        1,311,062  
  5,152    

Total Multiline Retail

                                                 4,707,048  
      Oil, Gas & Consumable Fuels – 3.2% (2.0% of Total Investments)                
  1,455    

BCP Renaissance Parent, Term Loan B

    5.842%        3-Month LIBOR        3.500%        10/31/24        B+        1,462,225  
  1,750    

California Resources Corporation, Term Loan

    12.439%        1-Month LIBOR        10.375%        12/31/21        B        1,934,844  
  2,350    

California Resources Corporation, Term Loan B

    6.831%        1-Month LIBOR        4.750%        12/31/22        B        2,395,038  
  316    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK
5.000%), (6)

    0.000%        N/A        N/A        5/13/22        N/R        4,737  
  3,333    

Fieldwood Energy LLC, Exit Term Loan

    7.327%        1-Month LIBOR        5.250%        4/11/22        B+        3,344,022  
  1,158    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.327%        1-Month LIBOR        7.250%        4/11/23        B+        1,127,229  
  4,988    

McDermott International, Term Loan

    7.077%        1-Month LIBOR        5.000%        5/12/25        BB–        5,025,854  
  1,457    

Peabody Energy Corporation, Term Loan B

    4.827%        1-Month LIBOR        2.750%        3/31/25        BB        1,460,218  
  4,731    

Seadrill Partners LLC, Initial Term Loan

    8.334%        3-Month LIBOR        6.000%        2/21/21        CCC+        4,435,166  
  64    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        55,377  
  21,602    

Total Oil, Gas & Consumable Fuels

                                                 21,244,710  
      Personal Products – 1.2% (0.8% of Total Investments)                
  6,250    

Coty, Inc., Term Loan A

    3.847%        1-Month LIBOR        1.750%        4/05/23        BB+        6,195,313  
  2,000    

Coty, Inc., Term Loan B

    4.347%        1-Month LIBOR        2.250%        4/07/25        BB+        1,955,630  
  8,250    

Total Personal Products

                                                 8,150,943  
      Pharmaceuticals – 1.3% (0.8% of Total Investments)                
  1,317    

Alphabet Holding Company, Inc., Initial Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        9/26/24        B–        1,238,505  
  6,866    

Concordia Healthcare Corporation, Term Loan B, First Lien, (6)

    6.327%        1-Month LIBOR        4.250%        10/21/21        Caa2        6,208,457  
  1,081    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

    5.092%        1-Month LIBOR        3.000%        6/02/25        BB–        1,083,946  
  9,264    

Total Pharmaceuticals

                                                 8,530,908  
      Professional Services – 2.1% (1.3% of Total Investments)                
  2,256    

Ceridian HCM Holding, Inc., Term Loan B

    5.327%        1-Month LIBOR        3.250%        4/30/25        B–        2,262,064  
  7,673    

Formula One Group, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/01/24        B+        7,639,753  
  2,963    

Nielsen Finance LLC, Term Loan B4

    4.097%        1-Month LIBOR        2.000%        10/04/23        BBB–        2,952,976  
  1,197    

On Assignment, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/02/25        BB        1,198,721  
  14,089    

Total Professional Services

                                                 14,053,514  
      Real Estate Management & Development – 2.4% (1.5% of Total Investments)                
  999    

Altisource Solutions S.A R.L., Term Loan B

    6.334%        3-Month LIBOR        4.000%        3/29/24        B+        994,619  
  4,384    

Capital Automotive LP, Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        3/25/24        B        4,391,184  
  3,482    

Capital Automotive LP, Term Loan, Second Lien

    8.080%        1-Month LIBOR        6.000%        3/24/25        CCC+        3,542,586  
  5,000    

GGP, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        4,966,150  
  1,988    

Trico Group LLC, Term Loan, First Lien

    8.807%        3-Month LIBOR        6.500%        2/02/24        B        1,992,469  
  15,853    

Total Real Estate Management & Development

 

                       15,887,008  
      Road & Rail – 0.6% (0.4% of Total Investments)                
  1,950    

Quality Distribution, Incremental Term Loan, First Lien

    7.834%        3-Month LIBOR        5.500%        8/18/22        B–        1,965,434  
  2,000    

Savage Enterprises LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        2,008,760  
  3,950    

Total Road & Rail

                                                 3,974,194  
      Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)                
  1,412    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.250%        7/05/21        BB        1,420,810  
  1,630    

Lumileds, Term Loan B

    5.751%        1-Month LIBOR        3.500%        6/30/24        B+        1,620,915  

 

45


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment (continued)                
$ 3,000    

Microchip Technology., Inc., Term Loan B

    4.080%        1-Month LIBOR        2.000%        5/29/25        BB+      $ 3,011,250  
  1,715    

Micron Technology, Inc., Term Loan B

    3.830%        1-Month LIBOR        1.750%        4/10/22        BBB–        1,722,503  
  2,057    

ON Semiconductor Corporation, Term Loan B3

    3.827%        1-Month LIBOR        1.750%        3/31/23        Baa3        2,061,506  
  9,814    

Total Semiconductors & Semiconductor Equipment

 

                       9,836,984  
      Software – 13.2% (8.2% of Total Investments)                
  5,572    

Avaya, Inc., Tranche B Term Loan

    6.322%        1-Month LIBOR        4.250%        12/15/24        B        5,604,513  
  3,323    

Blackboard, Inc., Term Loan B4, (DD1)

    7.333%        3-Month LIBOR        5.000%        6/30/21        B–        3,155,837  
  7,340    

BMC Software, Inc., Term Loan B

    4.250%        1-Month LIBOR        3.250%        6/28/25        B        7,347,645  
  4,192    

Compuware Corporation, Term Loan B3

    5.580%        1-Month LIBOR        3.500%        12/15/21        B        4,208,370  
  1,474    

DTI Holdings, Inc., Replacement Term Loan B1

    6.827%        1-Month LIBOR        4.750%        9/29/23        B        1,470,108  
  3,632    

Ellucian, Term Loan B, First Lien

    5.584%        3-Month LIBOR        3.250%        9/30/22        B        3,642,500  
  4,433    

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

    5.577%        1-Month LIBOR        3.500%        12/01/23        B        4,461,318  
  11,045    

Infor (US), Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/01/22        B        11,073,495  
  2,511    

Informatica, Term Loan B

    5.327%        1-Month LIBOR        3.250%        8/05/22        B        2,525,695  
  1,481    

Kronos Incorporated, Term Loan B

    5.358%        3-Month LIBOR        3.000%        11/20/23        B        1,487,545  
  1,000    

McAfee Holdings International, Inc., Term Loan, Second Lien

    10.572%        1-Month LIBOR        8.500%        9/29/25        B–        1,026,250  
  4,338    

McAfee LLC, Term Loan

    6.572%        1-Month LIBOR        4.500%        9/30/24        B        4,372,520  
  1,155    

Micro Focus International PLC, New Term Loan

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        1,152,292  
  7,800    

Micro Focus International PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        7,781,709  
  5,463    

Micro Focus International PLC, Term Loan B2

    4.327%        1-Month LIBOR        2.500%        11/19/21        BB–        5,449,606  
  893    

Misys, New Term Loan, Second Lien

    9.557%        3-Month LIBOR        7.250%        6/13/25        CCC+        864,041  
  998    

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

    5.327%        1-Month LIBOR        3.250%        11/29/24        B1        996,786  
  1,000    

Mitchell International, Inc., Initial Term Loan, Second Lien

    9.327%        1-Month LIBOR        7.250%        12/01/25        CCC        1,005,105  
  1,970    

RP Crown Parent LLC, Term Loan B

    4.827%        1-Month LIBOR        2.750%        10/15/23        B        1,976,776  
  5,839    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        5,863,314  
  2,240    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        2,249,047  
  8,676    

Tibco Software, Inc., Term Loan, First Lien

    5.580%        1-Month LIBOR        3.500%        12/04/20        B        8,712,889  
  86,375    

Total Software

                                                 86,427,361  
      Specialty Retail – 1.9% (1.2% of Total Investments)                
  3,093    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 7.991%, PIK 1.500%)

    7.991%        1-Week LIBOR        5.000%        1/13/22        CCC+        2,930,414  
  1,867    

Neiman Marcus Group, Inc., Term Loan

    5.336%        1-Month LIBOR        3.250%        10/25/20        CCC        1,654,251  
  6,415    

Petco Animal Supplies, Inc., Term Loan B1

    5.590%        3-Month LIBOR        3.250%        1/26/23        B2        4,631,163  
  3,865    

Petsmart Inc., Term Loan B, First Lien

    5.100%        1-Month LIBOR        3.000%        3/11/22        B3        3,221,778  
  15,240    

Total Specialty Retail

                                                 12,437,606  
      Technology Hardware, Storage & Peripherals – 5.6% (3.5% of Total Investments)                
  5,783    

Dell International LLC, Replacement Term Loan A2

    3.830%        1-Month LIBOR        1.750%        9/07/21        BBB–        5,785,238  
  3,032    

Dell International LLC, Replacement Term Loan A3

    3.580%        1-Month LIBOR        1.500%        12/31/18        BBB–        3,034,082  
  16,010    

Dell International LLC, Refinancing Term Loan B

    4.080%        1-Month LIBOR        2.000%        9/07/23        BBB–        16,031,468  
  1,600    

Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        1,610,256  
  10,633    

Western Digital, Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/29/23        BBB–        10,649,726  
  37,058    

Total Technology Hardware, Storage & Peripherals

 

              37,110,770  
      Trading Companies & Distributors – 0.0% (0.0% of Total Investments)                
  285    

HD Supply Waterworks, Ltd., Term Loan B

    5.253%        6-Month LIBOR        3.000%        8/01/24        B+        286,116  
      Transportation Infrastructure – 1.4% (0.9% of Total Investments)                
  9,452    

Avolon LLC, Term Loan B

    4.086%        1-Month LIBOR        2.000%        1/15/25        BBB–        9,397,278  
      Wireless Telecommunication Services – 4.8% (3.0% of Total Investments)                
  4,385    

Asurion LLC, Term Loan B4

    5.077%        1-Month LIBOR        3.000%        8/04/22        B+        4,389,196  
  4,018    

Asurion LLC, Term Loan B6

    5.077%        1-Month LIBOR        3.000%        11/03/23        B+        4,018,024  

 

46


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Wireless Telecommunication Services (continued)                
$ 11,356    

Sprint Corporation, Term Loan, First Lien

    4.625%        1-Month LIBOR        2.500%        2/02/24        BB–      $ 11,373,284  
  3,500    

Syniverse Holdings, Inc., Initial Term Loan, Second Lien

    11.078%        1-Month LIBOR        9.000%        3/11/24        CCC+        3,480,750  
  4,688    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.078%        1-Month LIBOR        5.000%        3/09/23        B        4,700,931  
  3,682    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.572%        1-Month LIBOR        2.500%        1/15/26        BB        3,670,048  
  31,629    

Total Wireless Telecommunication Services

 

              31,632,233  
$ 880,871    

Total Variable Rate Senior Loan Interests (cost $870,907,218)

 

              858,465,241  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CORPORATE BONDS – 19.6% (12.2% of Total Investments)                
      Containers & Packaging – 0.9% (0.5% of Total Investments)                
$ 5,718    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+      $ 5,728,027  
      Diversified Telecommunication Services – 4.7% (2.9% of Total Investments)                
  8,702    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        8,016,717  
  7,080    

Intelsat Jackson Holdings SA, 144A

          9.750%        7/15/25        CCC+        7,566,750  
  11,064    

Intelsat Luxembourg SA

          7.750%        6/01/21        Ca        10,510,800  
  4,960    

Intelsat Luxembourg SA

          8.125%        6/01/23        CCC–        4,253,200  
  750    

Level 3 Financing Inc.

                      5.375%        8/15/22        BB        751,875  
  32,556    

Total Diversified Telecommunication Services

 

              31,099,342  
      Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)                
  4,250    

Realogy Group LLC, 144A

                      5.250%        12/01/21        B1        4,260,625  
      Health Care Providers & Services – 1.1% (0.7% of Total Investments)                
  7,000    

HCA Inc.

                      6.500%        2/15/20        BBB–        7,285,600  
      Hotels, Restaurants & Leisure – 1.2% (0.8% of Total Investments)                
  2,000    

MGM Resorts International

          5.250%        3/31/20        BB        2,045,000  
  5,500    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        5,871,250  
  7,500    

Total Hotels, Restaurants & Leisure

                                                 7,916,250  
      Household Durables – 1.4% (0.8% of Total Investments)                
  6,780    

Lennar Corporation

          4.125%        12/01/18        BB+        6,790,238  
  2,100    

Lennar Corporation

                      4.500%        11/15/19        BB+        2,123,625  
  8,880    

Total Household Durables

                                                 8,913,863  
      Media – 4.1% (2.6% of Total Investments)                
  1,000    

CCO Holdings LLC

          5.750%        9/01/23        BB+        1,012,500  
  200    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        200,293  
  1,730    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B2        1,903,000  
  3,350    

CSC Holdings LLC, 144A

          10.875%        10/15/25        B2        3,886,000  
  645    

DISH DBS Corporation

          5.125%        5/01/20        BB        640,163  
  2,000    

DISH DBS Corporation

          5.875%        7/15/22        BB        1,870,000  
  2,500    

DISH DBS Corporation

          5.875%        11/15/24        BB        2,084,375  
  2,000    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        2,040,000  
  4,812    

iHeartCommunications Inc., (6)

          9.000%        12/15/19        CC        3,753,360  
  16,459    

iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (6)

          14.000%        2/01/21        C        2,180,862  
  1,762    

iHeartCommunications Inc., 144A, (6)

          11.250%        3/01/21        C        1,277,450  
  8,250    

iHeartCommunications Inc., (6)

                      9.000%        3/01/21        CC        6,311,250  
  44,708    

Total Media

                                                 27,159,253  
      Oil, Gas & Consumable Fuels – 1.5% (0.9% of Total Investments)                
  6,905    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        6,179,975  
  700    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        658,000  
  2,547    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B        2,699,820  
  225    

EP Energy LLC, 144A

                      9.375%        5/01/24        Caa2        185,063  
  10,377    

Total Oil, Gas & Consumable Fuels

                                                 9,722,858  

 

47


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                
$ 850    

Concordia International Corporation, 144A, (6)

                      7.000%        4/15/23        C      $ 51,000  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)                
  1,564    

Advanced Micro Devices Inc.

          7.500%        8/15/22        B        1,739,950  
  930    

Advanced Micro Devices Inc.

                      7.000%        7/01/24        B        983,475  
  2,494    

Total Semiconductors & Semiconductor Equipment

 

              2,723,425  
      Software – 1.7% (1.1% of Total Investments)                
  210    

Avaya Holdings Corporation, 144A, (6), (9)

          7.000%        4/01/19        N/R         
  5,150    

Avaya Holdings Corporation, 144A, (6), (9)

          10.500%        3/01/21        N/R         
  5,480    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        5,610,150  
  3,650    

Infor Us Inc., 144A

          5.750%        8/15/20        BB        3,700,188  
  2,000    

TIBCO Software Inc., 144A

                      11.375%        12/01/21        CCC+        2,160,000  
  16,490    

Total Software

                                                 11,470,338  
      Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)                
  2,250    

Sprint Communications Inc.

          7.000%        8/15/20        B+        2,351,250  
  7,750    

Sprint Corporation

          7.875%        9/15/23        B+        8,263,437  
  1,750    

Sprint Corporation

                      7.125%        6/15/24        B+        1,798,125  
  11,750    

Total Wireless Telecommunication Services

 

              12,412,812  
$ 152,573    

Total Corporate Bonds (cost $133,678,429)

 

              128,743,393  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.9% (1.8% of Total Investments)

 

     
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)                
  78,490    

Cengage Learning Holdings II Inc., (7), (8)

                                               $ 758,292  
      Energy Equipment & Services – 0.7% (0.4% of Total Investments)                
  76,353    

C&J Energy Services Inc., (7)

                   1,775,971  
  75,644    

Ocean Rig UDW Inc., (7)

                   2,121,058  
  2,712    

Vantage Drilling International, (7), (8)

                                                 800,040  
 

Total Energy Equipment & Services

 

                       4,697,069  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  74,059    

Millennium Health LLC, (7), (8)

                   3,184  
  68,990    

Millennium Health LLC, (7), (9)

                    
  64,762    

Millennium Health LLC, (7), (9)

                                                  
 

Total Health Care Providers & Services

 

                                3,184  
      Marine – 0.3% (0.2% of Total Investments)                
  32,786    

HGIM Corporation, (8)

                   1,524,549  
  7,338    

HGIM Corporation, (7), (8)

                                                 341,217  
 

Total Marine

                                                 1,865,766  
      Media – 0.8% (0.5% of Total Investments)                
  120,264    

Cumulus Media Inc., (7), (8)

                   1,944,308  
  1,973,746    

Hibu PLC, (7), (8)

                   621,730  
  26,045    

Metro-Goldwyn-Mayer Inc., (7), (8)

                   2,417,315  
  45,941    

Tribune Media Company, (8)

                                                 16,080  
 

Total Media

 

                                4,999,433  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  64    

Southcross Holdings Borrower LP, (7), (8)

                                                 13,600  
      Software – 0.9% (0.6% of Total Investments)                
  282,937    

Avaya Holdings Corporation, (7)

                                                 5,822,843  

 

48


Shares     Description (1)                                           Value  
      Specialty Retail – 0.1% (0.0% of Total Investments)                
  10,908    

Gymboree Holding Corporation, (7), (9)

                 $ 122,902  
  29,698    

Gymboree Holding Corporation, (7), (8)

                                                 348,951  
 

Total Specialty Retail

 

                                471,853  
 

Total Common Stocks (cost $25,481,246)

 

                                18,632,040  
Shares     Description (1), (10)                                           Value  
      INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)  
  353,668    

Eaton Vance Floating-Rate Income Trust Fund

                 $ 5,145,869  
  968,586    

Eaton Vance Senior Income Trust

                                                 6,198,950  
 

Total Investment Companies (cost $11,981,509)

 

                                11,344,819  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 1.6% (1.0% of Total Investments)  
$ 1,200    

Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (11)

          9.589%        4/15/29        Ba3      $ 1,230,600  
  500    

Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A

          1.000%        1/18/29        BB–        498,523  
  1,200    

Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (11)

          8.599%        7/15/30        Ba3        1,211,705  
  1,250    

Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (11)

          8.739%        10/15/30        Ba3        1,265,835  
  1,500    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A, (3-Month LIBOR reference rate + 7.620% spread), (11)

          9.968%        1/20/29        BB        1,522,116  
  2,750    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-10A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (11)

          7.848%        4/20/26        Ba3        2,751,444  
  600    

Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (11)

          7.655%        4/20/30        BB–        583,828  
  1,250    

OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread), (11)

                      9.639%        10/30/27        BB        1,260,256  
$ 10,250    

Total Asset-Backed Securities (cost $10,014,934)

 

                                         10,324,307  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.1% (0.1% of Total Investments)

 

      Oil, Gas & Consumable Fuels – 0.1% (0.1% of Total Investments)  
  3,063    

Fieldwood Energy LLC, (7), (8)

                 $ 161,319  
  13,997    

Fieldwood Energy LLC, (7), (9)

                                                 608,931  
 

Total Common Stock Right (cost $409,515)

 

                                770,250  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)  
  21,002    

Avaya Holdings Corporation

                                               $ 80,858  
 

Total Warrants (cost $1,915,310)

 

                                         80,858  

 

49


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

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

CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)

 

      Communications Equipment – 0.0% (0.0% of Total Investments)  
$ 850    

Nortel Networks Limited, (6)

                      1.750%       4/15/12        N/R      $ 26,775  
  850    

Total Convertible Bonds (cost $13,960)

 

                                        26,775  
 

Total Long-Term Investments (cost $1,054,402,121)

 

                               1,028,387,683  
Shares     Description (1)                   Coupon                     Value  
 

SHORT-TERM INVESTMENTS – 3.6% (2.2% of Total Investments)

 

      INVESTMENT COMPANIES – 3.6% (2.2% of Total Investments)  
  23,541,090    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

 

              1.809% (12)                      $ 23,541,090  
 

Total Short-Term Investments (cost $23,541,090)

 

                               23,541,090  
 

Total Investments (cost $1,077,943,211) – 160.1%

 

                               1,051,928,773  
 

Borrowings – (38.7)% (13), (14)

                                                (254,300,000
 

Term Preferred Shares, net of deferred offering costs – (18.9)% (15)

 

                      (124,022,961
 

Other Assets Less Liabilities – (2.5)% (16)

                                                (16,448,966
 

Net Assets Applicable to Common Shares – 100%

 

                             $ 657,156,846  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 25,000,000       Pay       1-Month LIBOR       3.250 %(17)      Monthly       1/01/22 (18)    $ (433,230   $ (433,230

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month LIBOR       5.750       Monthly       6/01/24 (19)      2,861       2,861  

Morgan Stanley Capital Services LLC

    55,000,000       Pay       1-Month LIBOR       4.000       Monthly       1/01/27 (20)      (2,000,216     (2,000,216

Total

  $ 115,000,000                                             $ (2,430,585   $ (2,430,585

Total unrealized appreciation on interest rate swaps

 

                                  $ 2,861  

Total unrealized depreciation on interest rate swaps

 

                                  $ (2,433,446

 

50


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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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.

 

(3)

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.

 

(4)

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.

 

(5)

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.

 

(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)

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.

 

(9)

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.

 

(10)

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.

 

(11)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(12)

The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(13)

Borrowings as a percentage of Total Investments is 24.2%.

 

(14)

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.

 

(15)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(16)

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.

 

(17)

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.

 

(18)

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.

 

(19)

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.

 

(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.

 

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.

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

51


JRO   

Nuveen Floating Rate Income
Opportunity Fund

 

Portfolio of Investments    July 31, 2018

 

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

LONG-TERM INVESTMENTS – 154.9% (97.7% of Total Investments)

 

     
 

VARIABLE RATE SENIOR LOAN INTERESTS – 130.6% (82.4% of Total Investments) (2)

 

     
      Aerospace & Defense – 2.6% (1.6% of Total Investments)                
$ 5,709    

Sequa Corporation, Term Loan B

    7.067%        1-Month LIBOR        5.000%        11/28/21        B–      $ 5,719,500  
  1,985    

Sequa Corporation, Term Loan, Second Lien

    11.072%        1-Month LIBOR        9.000%        4/28/22        CCC        1,992,908  
  3,308    

Transdigm, Inc., Term Loan E

    4.577%        1-Month LIBOR        2.500%        5/30/25        Ba2        3,311,058  
  735    

Transdigm, Inc., Term Loan F

    4.577%        1-Month LIBOR        2.500%        6/09/23        Ba2        736,351  
  399    

Transdigm, Inc., Term Loan G, First Lien

    4.577%        1-Month LIBOR        2.500%        8/22/24        Ba2        399,503  
  12,136    

Total Aerospace & Defense

                                                 12,159,320  
      Air Freight & Logistics – 0.8% (0.5% of Total Investments)                
  1,250    

Ceva Group PLC, Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        1,251,563  
  1,116    

PAE Holding Corporation, Term Loan B

    7.577%        1-Month LIBOR        5.500%        10/20/22        B+        1,122,076  
  1,444    

XPO Logistics, Inc., Term Loan B

    4.064%        1-Month LIBOR        2.000%        2/24/25        BB+        1,448,671  
  3,810    

Total Air Freight & Logistics

                                                 3,822,310  
      Airlines – 1.9% (1.2% of Total Investments)                
  2,732    

American Airlines, Inc., Replacement Term Loan

    4.086%        1-Month LIBOR        2.000%        10/10/21        BB+        2,734,036  
  2,394    

American Airlines, Inc., Term Loan 2025

    3.827%        1-Month LIBOR        1.750%        6/27/25        BB+        2,357,318  
  3,623    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        12/14/23        BB+        3,609,359  
  8,749    

Total Airlines

                                                 8,700,713  
      Auto Components – 0.5% (0.3% of Total Investments)                
  937    

Horizon Global Corporation, Term Loan B, (DD1)

    6.572%        1-Month LIBOR        4.500%        6/30/21        B2        909,049  
  1,485    

Superior Industries International, Inc., Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/22/24        B        1,491,991  
  2,422    

Total Auto Components

                                                 2,401,040  
      Automobiles – 1.2% (0.8% of Total Investments)                
  4,588    

Chrysler Group LLC, Term Loan

    4.070%        1-Month LIBOR        2.000%        12/31/18        BBB–        4,600,983  
  137    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        137,844  
  995    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        1,000,295  
  5,720    

Total Automobiles

                                                 5,739,122  
      Biotechnology – 0.9% (0.5% of Total Investments)                
  3,950    

Grifols, Inc., Term Loan B

    4.200%        1-Week LIBOR        2.250%        1/31/25        BB        3,966,156  
      Building Products – 2.0% (1.3% of Total Investments)                
  2,500    

Fairmount, Initial Term Loan

    6.050%        3-Month LIBOR        3.750%        6/01/25        BB        2,504,950  
  652    

Ply Gem Industries, Inc., Term Loan B

    6.087%        3-Month LIBOR        3.750%        4/12/25        B        654,320  
  6,322    

Quikrete Holdings, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        11/15/23        BB–        6,325,100  
  9,474    

Total Building Products

                                                 9,484,370  
      Capital Markets – 0.7% (0.5% of Total Investments)                
  3,435    

RPI Finance Trust, Term Loan B6

    4.334%        3-Month LIBOR        2.000%        3/27/23        BBB–        3,447,178  
      Chemicals – 0.6% (0.4% of Total Investments)                
  892    

Ineos US Finance LLC, Term Loan

    4.169%        2-Month LIBOR        2.000%        4/01/24        BB+        892,201  
  1,521    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        1,519,472  
  571    

Univar, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/01/24        BB        573,357  
  2,984    

Total Chemicals

                                                 2,985,030  
      Commercial Services & Supplies – 4.4% (2.8% of Total Investments)                
  720    

ADS Waste Holdings, Inc., Term Loan B

    4.193%        1-Week LIBOR        2.250%        11/10/23        BB+        721,565  
  985    

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

    6.342%        2-Month LIBOR        4.000%        10/19/23        B–        976,381  

 

52


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

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

    10.843%        3-Month LIBOR        8.500%        10/07/24        CCC      $ 940,000  
  3,116    

iQor US, Inc., Term Loan, First Lien

    7.337%        3-Month LIBOR        5.000%        4/01/21        B        3,100,763  
  333    

iQor US, Inc., Term Loan, Second Lien

    11.087%        3-Month LIBOR        8.750%        4/01/22        CCC+        319,333  
  961    

KAR Auction Services, Inc., Term Loan B5

    4.625%        1-Month LIBOR        2.500%        3/09/23        BB–        964,421  
  958    

LSC Communications, Refinancing Term Loan

    7.577%        1-Month LIBOR        5.500%        9/30/22        B        960,734  
  2,948    

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

    7.834%        3-Month LIBOR        5.500%        9/30/22        B–        2,766,966  
  2,258    

Protection One, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        5/02/22        BB–        2,264,778  
  3,157    

Skillsoft Corporation, Initial Term Loan, First Lien, (DD1)

    6.827%        1-Month LIBOR        4.750%        4/28/21        B–        3,070,291  
  1,466    

Universal Services of America, Initial Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        7/28/22        B–        1,447,922  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        7/28/23        CCC        1,739,798  
  257    

West Corporation, Incremental Term Loan B1

    5.577%        1-Month LIBOR        3.500%        10/10/24        Ba3        255,767  
  1,130    

West Corporation, Term Loan B

    6.077%        1-Month LIBOR        4.000%        10/10/24        Ba3        1,131,061  
  21,039    

Total Commercial Services & Supplies

 

                                20,659,780  
      Communications Equipment – 0.7% (0.4% of Total Investments)                
  1,403    

Mitel US Holdings, Inc., Incremental Term Loan

    5.827%        1-Month LIBOR        3.750%        9/25/23        B+        1,406,498  
  1,696    

Plantronics, Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/02/25        BB        1,696,356  
  3,099    

Total Communications Equipment

 

                                3,102,854  
      Construction & Engineering – 0.7% (0.4% of Total Investments)                
  1,500    

KBR, Inc., Term Loan B

    5.814%        1-Month LIBOR        3.750%        4/25/25        B+        1,512,195  
  1,594    

Traverse Midstream Partners, Term Loan B

    6.340%        3-Month LIBOR        4.000%        9/27/24        B+        1,602,388  
  3,094    

Total Construction & Engineering

 

                                3,114,583  
      Containers & Packaging – 0.4% (0.3% of Total Investments)                
  1,048    

Berry Global, Inc., Term Loan Q

    4.080%        1-Month LIBOR        2.000%        10/01/22        BBB–        1,051,484  
  987    

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

    4.827%        1-Month LIBOR        2.750%        2/05/23        B+        991,838  
  2,035    

Total Containers & Packaging

                                                 2,043,322  
      Distributors – 0.5% (0.3% of Total Investments)  
  971    

American Seafoods Group LLC, Term Loan B

    4.830%        1-Month LIBOR        2.750%        8/21/23        BB–        969,926  
  1,250    

SRS Distribution, Inc., Term Loan B

    5.580%        3-Month LIBOR        3.250%        5/23/25        B        1,230,938  
  2,221    

Total Distributors

                                                 2,200,864  
      Diversified Consumer Services – 2.2% (1.4% of Total Investments)  
  4,967    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        6/07/23        B        4,712,055  
  220    

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

    10.000%        N/A        N/A        7/02/20        N/R        37,430  
  496    

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

    13.250%        N/A        N/A        7/02/20        N/R        15,697  
  3,395    

Houghton Mifflin, Term Loan B, First Lien

    5.077%        1-Month LIBOR        3.000%        5/28/21        B        3,182,902  
  1,354    

Laureate Education, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        4/26/24        B+        1,358,951  
  829    

Vertiv Co., Term Loan B

    6.100%        1-Month LIBOR        4.000%        11/30/23        B+        825,388  
  11,261    

Total Diversified Consumer Services

 

                                         10,132,423  
      Diversified Financial Services – 1.7% (1.1% of Total Investments)  
  2,730    

Citco III Limited, Term Loan

    5.077%        1-Month LIBOR        3.000%        3/31/22        N/R        2,741,776  
  1,145    

Freedom Mortgage Corporation, Term Loan B

    6.817%        1-Month LIBOR        4.750%        2/23/22        B+        1,153,640  
  1,194    

Travelport LLC, Term Loan B

    4.830%        3-Month LIBOR        2.500%        3/17/25        B+        1,194,392  
  3,072    

Veritas US, Inc., Term Loan B1

    6.641%        1-Month LIBOR        4.500%        1/27/23        B        2,861,844  
  8,141    

Total Diversified Financial Services

 

                                         7,951,652  
      Diversified Telecommunication Services – 7.6% (4.8% of Total Investments)  
  1,463    

CenturyLink, Inc., Initial Term A Loan

    4.827%        1-Month LIBOR        2.750%        11/01/22        BBB–        1,462,317  
  7,267    

CenturyLink, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        1/31/25        BBB–        7,164,527  
  4,459    

Frontier Communications Corporation, Term Loan B

    5.830%        1-Month LIBOR        3.750%        1/14/22        B+        4,403,682  

 

53


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)  
$ 2,502    

Intelsat Jackson Holdings, S.A., Term Loan B

    5.827%        1-Month LIBOR        3.750%        11/30/23        B      $ 2,512,466  
  383    

Intelsat Jackson Holdings, S.A., Term Loan B4

    6.577%        1-Month LIBOR        4.500%        1/02/24        B1        403,133  
  614    

Intelsat Jackson Holdings, S.A., Term Loan B5

    6.625%        N/A        N/A        1/02/24        B1        643,666  
  3,193    

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

    4.331%        1-Month LIBOR        2.250%        2/22/24        BBB–        3,201,701  
  543    

Presidio, Inc., Term Loan B

    5.082%        1-Month LIBOR        2.750%        2/02/24        B+        545,104  
  5,757    

WideOpenWest Finance LLC, Term Loan B

    5.329%        1-Month LIBOR        3.250%        8/18/23        B        5,534,101  
  580    

Windstream Corporation, Term Loan B6

    6.080%        1-Month LIBOR        4.000%        3/29/21        B+        548,071  
  9,000    

Ziggo B.V., Term Loan E

    4.572%        1-Month LIBOR        2.500%        4/15/25        BB–        8,955,585  
  35,761    

Total Diversified Telecommunication Services

 

                                         35,374,353  
      Electric Utilities – 1.0% (0.6% of Total Investments)  
  654    

EFS Cogen Holdings LLC, Term Loan B

    5.590%        3-Month LIBOR        3.250%        6/28/23        BB        656,005  
  2,406    

Vistra Operations Co., Term Loan B1

    4.077%        1-Month LIBOR        2.000%        8/01/23        BBB–        2,405,047  
  1,373    

Vistra Operations Co., Term Loan B3

    4.074%        1-Month LIBOR        2.000%        12/31/25        BBB–        1,371,063  
  4,433    

Total Electric Utilities

 

                                         4,432,115  
      Electrical Equipment – 0.6% (0.3% of Total Investments)  
  1,302    

TTM Technologies, Inc., Term Loan B

    4.592%        1-Month LIBOR        2.500%        9/28/24        BB+        1,305,534  
  1,312    

Zebra Technologies Corporation, Term Loan B

    4.057%        3-Month LIBOR        1.750%        10/27/21        BB+        1,317,449  
  2,614    

Total Electrical Equipment

                                                 2,622,983  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)  
  1,599    

Diversey, Inc., Term Loan B

    5.077%        1-Month LIBOR        3.000%        9/06/24        B        1,571,460  
  741    

Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)

    15.870%        3-Month LIBOR        13.500%        5/06/19        N/R        196,414  
  258    

Ocean Rig UDW, Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        272,365  
  2,598    

Total Energy Equipment & Services

 

                                         2,040,239  
      Equity Real Estate Investment Trusts – 2.4% (1.5% of Total Investments)  
  4,616    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.077%        1-Month LIBOR        3.000%        10/24/22        B        4,427,860  
  994    

Realogy Group LLC, Term Loan A

    4.317%        1-Month LIBOR        2.250%        2/08/23        N/R        995,305  
  1,260    

Realogy Group LLC, Term Loan B

    4.317%        1-Month LIBOR        2.250%        2/08/25        BB+        1,264,207  
  4,672    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)

    8.077%        1-Month LIBOR        6.000%        6/30/22        CCC+        4,458,667  
  11,542    

Total Equity Real Estate Investment Trusts

 

                                         11,146,039  
      Food & Staples Retailing – 4.4% (2.8% of Total Investments)  
  952    

Albertson’s LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        951,786  
  16,796    

Albertson’s LLC, Term Loan B4

    4.827%        1-Month LIBOR        2.750%        8/25/21        BB–        16,753,739  
  1,325    

Albertson’s LLC, Term Loan B6

    5.319%        3-Month LIBOR        3.000%        6/22/23        BB–        1,318,380  
  1,097    

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

    5.597%        1-Month LIBOR        3.500%        2/03/24        B        1,100,006  
  589    

Save-A-Lot, Term Loan B

    8.077%        1-Month LIBOR        6.000%        12/05/23        B–        457,805  
  20,759    

Total Food & Staples Retailing

 

                                         20,581,716  
      Food Products – 2.9% (1.8% of Total Investments)  
  1,253    

Hearthside Group Holdings LLC, Term Loan B

    5.064%        1-Month LIBOR        3.000%        5/23/25        B        1,245,883  
  2,878    

Jacobs Douwe Egberts, Term Loan B

    4.625%        3-Month LIBOR        2.250%        7/04/22        BB        2,894,272  
  289    

Pinnacle Foods Finance LLC, Term Loan B

    3.840%        1-Month LIBOR        1.750%        2/02/24        BB+        289,260  
  8,851    

US Foods, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        6/27/23        BBB–        8,857,519  
  13,271    

Total Food Products

 

                                         13,286,934  
      Health Care Equipment & Supplies – 1.8% (1.1% of Total Investments)  
  828    

Acelity, Term Loan B

    5.584%        3-Month LIBOR        3.250%        2/02/24        B        831,741  
  863    

ConvaTec, Inc., Term Loan B

    4.584%        3-Month LIBOR        2.250%        10/25/23        BB        865,947  
  1,015    

Greatbatch, New Term Loan B

    5.330%        1-Month LIBOR        3.250%        10/27/22        B+        1,020,997  
  750    

LifeScan, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        731,250  
  1,861    

Onex Carestream Finance LP, Term Loan, First Lien

    6.077%        1-Month LIBOR        4.000%        6/07/19        B        1,863,057  
  2,240    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        12/07/19        B–        2,241,680  
  750    

Vyaire Medical, Inc., Term Loan B

    7.232%        6-Month LIBOR        4.750%        4/16/25        B–        736,875  
  8,307    

Total Health Care Equipment & Supplies

                                                 8,291,547  

 

54


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services – 5.6% (3.6% of Total Investments)  
$ 1,673    

Air Medical Group Holdings, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        4/28/22        B      $ 1,626,904  
  1,478    

Air Medical Group Holdings, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        3/14/25        B        1,460,411  
  750    

Ardent Health, Term Loan, First Lien

    6.572%        1-Month LIBOR        4.500%        6/30/25        B        756,563  
  1,441    

Community Health Systems, Inc., Term Loan H

    5.557%        3-Month LIBOR        3.250%        1/27/21        B–        1,418,282  
  1,424    

Concentra, Inc., Term Loan B

    4.850%        1-Month LIBOR        2.750%        6/01/22        B+        1,427,972  
  958    

Envision Healthcare Corporation, Term Loan B, First Lien

    5.080%        1-Month LIBOR        3.000%        12/01/23        BB–        959,246  
  1,539    

HCA, Inc., Term Loan A5

    3.577%        1-Month LIBOR        1.500%        6/10/20        BBB–        1,544,255  
  1,657    

HCA, Inc., Term Loan B11

    3.827%        1-Month LIBOR        1.750%        3/17/23        BBB–        1,666,353  
  1,135    

Healogics, Inc., Term Loan, First Lien

    6.570%        3-Month LIBOR        4.250%        7/01/21        B–        1,074,295  
  79    

Heartland Dental Care, Inc., Delay Draw Facility, (6)

    1.875%        N/A        N/A        4/30/25        B–        78,864  
  529    

Heartland Dental Care, Inc., Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        4/30/25        B–        525,762  
  2,443    

Kindred at Home Hospice, Term Loan B, (DD1)

    6.125%        3-Month LIBOR        3.750%        6/21/25        B        2,466,346  
  750    

Kindred at Home Hospice, Term Loan, Second Lien

    9.375%        3-Month LIBOR        7.000%        6/21/26        CCC+        765,938  
  2,686    

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

    8.577%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,486,724  
  262    

MultiPlan, Inc., Term Loan B

    5.084%        3-Month LIBOR        2.750%        6/07/23        B+        262,560  
  3,626    

Pharmaceutical Product Development, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        8/18/22        Ba3        3,632,259  
  1,247    

PharMerica, Term Loan, First Lien

    5.578%        1-Month LIBOR        3.500%        12/06/24        B        1,253,695  
  998    

Prospect Medical Holdings, Term Loan B1

    7.625%        1-Month LIBOR        5.500%        2/22/24        B        1,003,116  
  205    

Quorum Health Corp., Term Loan B

    8.827%        1-Month LIBOR        6.750%        4/29/22        B1        208,748  
  2,402    

Select Medical Corporation, Term Loan B

    4.831%        1-Month LIBOR        2.750%        3/01/21        BB–        2,413,663  
  223    

Vizient, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/13/23        BB–        223,445  
  27,505    

Total Health Care Providers & Services

                                                 26,255,401  
      Health Care Technology – 1.4% (0.9% of Total Investments)  
  1,139    

Catalent Pharma Solutions, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        5/20/24        BB        1,141,761  
  4,938    

Emdeon, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        3/01/24        B+        4,935,797  
  449    

Press Ganey Holdings, Inc., Term Loan, Second Lien

    8.577%        1-Month LIBOR        6.500%        10/21/24        CCC+        455,620  
  6,526    

Total Health Care Technology

                                                 6,533,178  
      Hotels, Restaurants & Leisure – 11.8% (7.4% of Total Investments)  
  998    

Aramark Corporation, Term Loan

    4.084%        3-Month LIBOR        1.750%        3/11/25        BBB–        1,000,198  
  748    

Arby’s Restaurant Group, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        2/05/25        B        753,736  
  14,792    

Burger King Corporation, Term Loan B3

    4.327%        1-Month LIBOR        2.250%        2/16/24        B+        14,801,001  
  3,936    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        10/06/24        BB        3,935,508  
  2,985    

Caesars Resort Collection, Term Loan, First Lien

    4.827%        1-Month LIBOR        2.750%        12/23/24        BB        3,000,626  
  1,557    

CCM Merger, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        8/09/21        BB–        1,563,529  
  3,274    

CityCenter Holdings LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        4/18/24        BB–        3,282,066  
  5,115    

Hilton Hotels, Term Loan B

    3.814%        1-Month LIBOR        1.750%        10/25/23        BBB–        5,138,021  
  2,943    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.077%        1-Month LIBOR        3.000%        7/31/24        B        2,943,991  
  1,955    

Life Time Fitness, Inc., Term Loan B

    5.057%        3-Month LIBOR        2.750%        6/10/22        BB–        1,960,818  
  2,258    

MGM Growth Properties, Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/25/25        BB+        2,263,094  
  7,691    

Scientific Games Corp., Initial Term Loan B5

    4.903%        2-Month LIBOR        2.750%        8/14/24        B+        7,705,399  
  2,250    

Stars Group Holdings, Term Loan B, (DD1)

    5.831%        3-Month LIBOR        3.500%        7/10/25        B+        2,273,321  
  2,596    

Station Casino LLC, Term Loan B

    4.580%        1-Month LIBOR        2.500%        6/08/23        BB        2,606,159  
  1,500    

Wyndham International, Inc., Term Loan B

    3.827%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,505,393  
  54,598    

Total Hotels, Restaurants & Leisure

                                                 54,732,860  
      Household Products – 0.7% (0.5% of Total Investments)  
  3,164    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.577%        1-Month LIBOR        3.500%        11/16/20        CCC+        2,340,342  
  1,187    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.591%        1-Month LIBOR        3.500%        11/08/23        B–        998,788  
  4,351    

Total Household Products

                                                 3,339,130  
      Independent Power & Renewable Electricity Producers – 1.1% (0.7% of Total Investments)  
  5,239    

NRG Energy, Inc., Term Loan B, (DD1)

    4.084%        3-Month LIBOR        1.750%        6/30/23        BB+        5,234,518  
      Industrial Conglomerates – 0.6% (0.4% of Total Investments)  
  1,996    

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

    6.596%        3-Month LIBOR        4.250%        6/16/24        B        2,008,407  

 

55


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Industrial Conglomerates (continued)  
$ 998    

Education Advisory Board, Term Loan, First Lien

    6.252%        3-Month LIBOR        3.750%        11/15/24        B      $ 992,513  
  2,994    

Total Industrial Conglomerates

                                                 3,000,920  
      Insurance – 1.5% (0.9% of Total Investments)  
  741    

Acrisure LLC, Term Loan B

    6.592%        3-Month LIBOR        4.250%        11/22/23        B        743,431  
  3,835    

Alliant Holdings I LLC, Term Loan B

    5.078%        1-Month LIBOR        3.000%        5/09/25        B        3,839,754  
  2,225    

Hub International Holdings, Inc., Term Loan B

    5.335%        3-Month LIBOR        3.000%        4/25/25        B        2,226,156  
  6,801    

Total Insurance

                                                 6,809,341  
      Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)  
  748    

Uber Technologies, Inc., Term Loan

    5.574%        1-Month LIBOR        3.500%        7/13/23        N/R        751,762  
  1,500    

Uber Technologies, Inc., Term Loan

    6.100%        1-Month LIBOR        4.000%        4/04/25        N/R        1,510,545  
  2,248    

Total Internet and Direct Marketing Retail

                                                 2,262,307  
      Internet Software & Services – 2.1% (1.3% of Total Investments)  
  1,466    

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

    5.330%        1-Month LIBOR        3.250%        10/19/23        B        1,471,059  
  2,000    

GTT Communications, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        2.750%        6/02/25        B        1,982,500  
  1,137    

Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien

    5.363%        3-Month LIBOR        3.000%        11/03/23        BB–        1,133,386  
  3,642    

Sabre, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        2/22/24        BB        3,649,101  
  1,913    

SkillSoft Corporation, Term Loan, Second Lien

    10.327%        1-Month LIBOR        8.250%        4/28/22        CCC        1,720,363  
  10,158    

Total Internet Software & Services

                                                 9,956,409  
      IT Services – 4.0% (2.5% of Total Investments)  
  367    

DigiCert, Term Loan, First Lien

    7.327%        1-Month LIBOR        5.250%        10/31/24        B        368,139  
  922    

Engility Corporation, Term Loan B2

    4.827%        1-Month LIBOR        2.750%        8/11/23        BB–        925,759  
  987    

First Data Corporation, Term Loan A

    3.819%        1-Month LIBOR        1.750%        6/02/20        BB        987,777  
  1,706    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        7/10/22        BB        1,707,638  
  7,170    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        4/26/24        BB        7,176,099  
  1,190    

Gartner, Inc., Term Loan A

    4.077%        1-Month LIBOR        2.000%        3/21/22        BB+        1,192,879  
  2,500    

Optiv Security, Inc., Term Loan, Second Lien

    9.313%        1-Month LIBOR        7.250%        1/31/25        CCC        2,425,000  
  313    

PEAK 10, Inc., Term Loan B

    5.834%        3-Month LIBOR        3.500%        8/01/24        B        312,858  
  1,733    

Tempo Acquisition LLC, Term Loan B

    5.077%        1-Month LIBOR        3.000%        5/01/24        B        1,736,216  
  998    

Vantiv LLC, Repriced Term Loan B4

    3.824%        1-Month LIBOR        1.750%        8/09/24        BBB–        997,894  
  980    

WEX, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/01/23        BB–        982,068  
  18,866    

Total IT Services

                                                 18,812,327  
      Leisure Products – 1.2% (0.8% of Total Investments)                              
  1,539    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.572%        1-Month LIBOR        3.500%        5/30/25        B+        1,546,031  
  1,455    

Academy, Ltd., Term Loan B, (DD1)

    6.092%        1-Month LIBOR        4.000%        7/01/22        CCC+        1,207,087  
  1,826    

Equinox Holdings, Inc., Term Loan B1

    5.077%        1-Month LIBOR        3.000%        3/08/24        B+        1,836,122  
  985    

Four Seasons Holdings, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        11/30/23        BB        986,320  
  5,805    

Total Leisure Products

                                                 5,575,560  
      Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)                              
  993    

Parexel International Corp., Term Loan B

    4.827%        1-Month LIBOR        2.750%        9/27/24        B        990,639  
  535    

Inventiv Health, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        8/01/24        BB–        535,696  
  1,528    

Total Life Sciences Tools & Services

 

                                1,526,335  
      Machinery – 1.4% (0.9% of Total Investments)  
  2,203    

Gardner Denver, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        7/30/24        BB        2,210,396  
  1,047    

Gates Global LLC, Term Loan B

    5.084%        3-Month LIBOR        2.750%        4/01/24        B+        1,051,262  
  995    

Navistar, Inc., Tranche B, Term Loan

    5.600%        1-Month LIBOR        3.500%        11/06/24        B+        997,488  
  600    

NN, Inc., Term Loan, Second Lien

    10.097%        1-Month LIBOR        8.000%        4/19/23        CCC+        594,000  
  415    

Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien

    4.314%        1-Month LIBOR        2.250%        8/21/24        BB+        415,832  
  698    

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    6.834%        3-Month LIBOR        4.500%        11/27/20        CCC+        671,790  
  650    

TNT Crane and Rigging, Inc., Term Loan, Second Lien

    11.334%        3-Month LIBOR        9.000%        11/26/21        CCC–        549,250  
  6,608    

Total Machinery

                                                 6,490,018  

 

56


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Marine – 0.6% (0.4% of Total Investments)                
$ 888    

American Commercial Lines LLC, Term Loan B, First Lien

    10.827%        1-Month LIBOR        8.750%        11/12/20        CCC+      $ 727,972  
  2,007    

Harvey Gulf International Marine, Inc., Exit Term Loan

    10.000%        N/A        N/A        6/06/23        B3        2,023,126  
  2,895    

Total Marine

                                                 2,751,098  
      Media – 15.0% (9.5% of Total Investments)                
  1,148    

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

    5.327%        1-Month LIBOR        3.250%        7/23/21        B        1,088,194  
  1,481    

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

    9.822%        1-Month LIBOR        7.750%        5/10/22        B2        1,542,352  
  5,641    

Catalina Marketing Corporation, Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        4/09/21        B2        3,598,043  
  1,500    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.827%        1-Month LIBOR        6.750%        4/11/22        Caa2        405,750  
  5,376    

Cequel Communications LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/28/25        BB        5,361,276  
  3,920    

Charter Communications Operating Holdings LLC, Term Loan B

    4.080%        1-Month LIBOR        2.000%        4/30/25        BBB–        3,926,984  
  1,993    

Cineworld Group PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/28/25        BB–        1,988,654  
  5,014    

Clear Channel Communications, Inc., Tranche D, Term Loan, (5)

    8.827%        N/A        N/A        1/30/19        N/R        3,913,172  
  7,296    

Clear Channel Communications, Inc., Term
Loan E, (5)

    9.580%        N/A        N/A        7/30/19        N/R        5,674,621  
  1,496    

CSC Holdings LLC, Term Loan B

    4.572%        1-Month LIBOR        2.500%        1/25/26        BB–        1,497,185  
  6,654    

Cumulus Media, Inc., Exit Term Loan

    6.580%        1-Month LIBOR        4.500%        5/15/22        B        6,580,938  
  1,588    

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

    5.572%        1-Month LIBOR        3.500%        10/18/19        B3        1,559,283  
  553    

Gray Television, Inc., Term Loan B2

    4.340%        2-Month LIBOR        2.250%        2/07/24        BB        553,770  
  1,926    

IMG Worldwide, Inc., Term Loan B

    4.930%        2-Month LIBOR        2.750%        5/18/25        B        1,921,140  
  634    

Lions Gate Entertainment Corp., Term Loan B

    4.314%        1-Month LIBOR        2.250%        3/24/25        BB–        637,123  
  5,154    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/02/22        B+        5,080,262  
  2,328    

Meredith, Term Loan B

    5.077%        1-Month LIBOR        3.000%        1/31/25        BB        2,337,846  
  1,500    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        7/03/25        BB        1,503,285  
  1,000    

Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien

    6.580%        1-Month LIBOR        4.500%        7/03/26        B–        1,000,000  
  456    

Nexstar Broadcasting Group, Term Loan

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        456,710  
  3,418    

Nexstar Broadcasting Group, Term Loan B

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        3,425,382  
  4,500    

Numericable Group S.A, Term Loan B13, (WI/DD)

    TBD        TBD        TBD        TBD        B        4,409,640  
  400    

Red Ventures, Term Loan B

    6.077%        1-Month LIBOR        4.000%        11/08/24        B+        404,099  
  1,746    

Sinclair Television Group, Term Loan B2

    4.330%        1-Month LIBOR        2.250%        1/31/24        BB+        1,747,210  
  1,923    

Springer Science & Business Media, Inc., Term Loan B13, First Lien

    5.577%        1-Month LIBOR        3.500%        8/15/22        B        1,923,077  
  7,656    

Univision Communications, Inc., Term Loan C5

    4.827%        1-Month LIBOR        2.750%        3/15/24        BB–        7,443,449  
  76,301    

Total Media

                                                 69,979,445  
      Metals & Mining – 0.3% (0.2% of Total Investments)                
  1,238    

CanAm Construction, Inc., Term Loan B

    7.577%        1-Month LIBOR        5.500%        7/01/24        B        1,252,969  
      Multiline Retail – 0.7% (0.4% of Total Investments)                
  1,183    

Belk, Inc., Term Loan B, First Lien

    6.836%        1-Month LIBOR        4.750%        12/12/22        B–        937,176  
  1,496    

EG America LLC, Term Loan, First Lien

    6.334%        3-Month LIBOR        4.000%        2/07/25        B        1,492,666  
  922    

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

    5.419%        2-Month LIBOR        3.250%        9/30/22        BB        874,041  
  3,601    

Total Multiline Retail

                                                 3,303,883  
      Oil, Gas & Consumable Fuels – 3.5% (2.2% of Total Investments)  
  1,455    

BCP Renaissance Parent, Term Loan B

    5.842%        3-Month LIBOR        3.500%        10/31/24        B+        1,462,225  
  1,250    

California Resources Corporation, Term Loan

    12.439%        1-Month LIBOR        10.375%        12/31/21        B        1,382,031  
  1,400    

California Resources Corporation, Term Loan B

    6.831%        1-Month LIBOR        4.750%        12/31/22        B        1,426,831  
  253    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)

    0.000%        N/A        N/A        5/13/22        N/R        3,789  
  2,551    

Fieldwood Energy LLC, Exit Term Loan

    7.327%        1-Month LIBOR        5.250%        4/11/22        B+        2,559,072  
  1,657    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.327%        1-Month LIBOR        7.250%        4/11/23        B+        1,613,443  
  2,993    

McDermott International, Term Loan

    7.077%        1-Month LIBOR        5.000%        5/12/25        BB–        3,015,512  
  1,212    

Peabody Energy Corporation, Term Loan B

    4.827%        1-Month LIBOR        2.750%        3/31/25        BB        1,214,457  
  3,770    

Seadrill Partners LLC, Initial Term Loan

    8.334%        3-Month LIBOR        6.000%        2/21/21        CCC+        3,534,393  

 

57


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)  
$ 46    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+      $ 39,555  
  16,587    

Total Oil, Gas & Consumable Fuels

                                                 16,251,308  
      Personal Products – 0.7% (0.4% of Total Investments)  
  1,750    

Coty, Inc., Term Loan A

    3.847%        1-Month LIBOR        1.750%        4/05/23        BB+        1,734,688  
  1,500    

Coty, Inc., Term Loan B

    4.347%        1-Month LIBOR        2.250%        4/07/25        BB+        1,466,723  
  3,250    

Total Personal Products

                                                 3,201,411  
      Pharmaceuticals – 1.2% (0.8% of Total Investments)  
  968    

Alphabet Holding Company, Inc., Initial Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        9/26/24        B–        910,114  
  4,319    

Concordia Healthcare Corporation, Term Loan B, First Lien, (5)

    6.327%        1-Month LIBOR        4.250%        10/21/21        Caa2        3,904,732  
  794    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

    5.092%        1-Month LIBOR        3.000%        6/02/25        BB–        795,677  
  6,081    

Total Pharmaceuticals

                                                 5,610,523  
      Professional Services – 2.0% (1.3% of Total Investments)  
  1,066    

Ceridian HCM Holding, Inc., Term Loan B

    5.327%        1-Month LIBOR        3.250%        4/30/25        B–        1,069,151  
  5,496    

Formula One Group, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/01/24        B+        5,471,691  
  1,975    

Nielsen Finance LLC, Term Loan B4

    4.097%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,968,650  
  957    

On Assignment, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/02/25        BB        958,977  
  9,494    

Total Professional Services

                                                 9,468,469  
      Real Estate Management & Development – 2.1% (1.3% of Total Investments)  
  750    

Altisource Solutions S.A R.L., Term Loan B

    6.334%        3-Month LIBOR        4.000%        3/29/24        B+        745,964  
  2,018    

Capital Automotive LP, Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        3/25/24        B        2,021,633  
  2,321    

Capital Automotive LP, Term Loan, Second Lien

    8.080%        1-Month LIBOR        6.000%        3/24/25        CCC+        2,361,724  
  3,000    

GGP, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        2,979,690  
  1,491    

Trico Group LLC, Term Loan, First Lien

    8.807%        3-Month LIBOR        6.500%        2/02/24        B        1,494,352  
  9,580    

Total Real Estate Management & Development

                                                 9,603,363  
      Road & Rail – 0.6% (0.4% of Total Investments)  
  1,463    

Quality Distribution, Incremental Term Loan, First Lien

    7.834%        3-Month LIBOR        5.500%        8/18/22        B–        1,474,076  
  1,250    

Savage Enterprises LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        1,255,475  
  2,713    

Total Road & Rail

                                                 2,729,551  
      Semiconductors & Semiconductor Equipment – 1.3% (0.8% of Total Investments)  
  1,059    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.250%        7/05/21        BB        1,065,607  
  278    

Lumileds, Term Loan B

    5.751%        1-Month LIBOR        3.500%        6/30/24        B+        276,312  
  2,000    

Microchip Technology., Inc., Term Loan B

    4.080%        1-Month LIBOR        2.000%        5/29/25        BB+        2,007,500  
  1,225    

Micron Technology, Inc., Term Loan B

    3.830%        1-Month LIBOR        1.750%        4/10/22        BBB–        1,230,359  
  1,452    

ON Semiconductor Corporation, Term Loan B3

    3.827%        1-Month LIBOR        1.750%        3/31/23        Baa3        1,455,181  
  6,014    

Total Semiconductors & Semiconductor Equipment

                                                 6,034,959  
      Software – 14.4% (9.1% of Total Investments)  
  4,577    

Avaya, Inc., Tranche B Term Loan

    6.322%        1-Month LIBOR        4.250%        12/15/24        B        4,603,707  
  2,560    

Blackboard, Inc., Term Loan B4, (DD1)

    7.333%        3-Month LIBOR        5.000%        6/30/21        B–        2,431,702  
  5,680    

BMC Software, Inc., Term Loan B

    4.250%        1-Month LIBOR        3.250%        6/28/25        B        5,685,808  
  3,686    

Compuware Corporation, Term Loan B3

    5.580%        1-Month LIBOR        3.500%        12/15/21        B        3,700,401  
  983    

DTI Holdings, Inc., Replacement Term Loan B1

    6.827%        1-Month LIBOR        4.750%        9/29/23        B        980,072  
  2,151    

Ellucian, Term Loan B, First Lien

    5.584%        3-Month LIBOR        3.250%        9/30/22        B        2,157,034  
  2,955    

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

    5.577%        1-Month LIBOR        3.500%        12/01/23        B        2,974,212  
  9,996    

Infor (US), Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/01/22        B        10,021,675  
  1,673    

Informatica, Term Loan B

    5.327%        1-Month LIBOR        3.250%        8/05/22        B        1,682,734  
  1,234    

Kronos Incorporated, Term Loan B

    5.358%        3-Month LIBOR        3.000%        11/20/23        B        1,239,620  
  750    

McAfee Holdings International, Inc., Term Loan, Second Lien

    10.572%        1-Month LIBOR        8.500%        9/29/25        B–        769,688  
  3,181    

McAfee LLC, Term Loan

    6.572%        1-Month LIBOR        4.500%        9/30/24        B        3,206,515  
  898    

Micro Focus International PLC, New Term Loan

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        896,227  

 

58


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)  
$ 6,067    

Micro Focus International PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–      $ 6,052,440  
  2,929    

Micro Focus International PLC, Term Loan B2

    4.327%        1-Month LIBOR        2.500%        11/19/21        BB–        2,921,622  
  636    

Misys, New Term Loan, Second Lien

    9.557%        3-Month LIBOR        7.250%        6/13/25        CCC+        615,035  
  748    

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

    5.327%        1-Month LIBOR        3.250%        11/29/24        B1        747,590  
  1,000    

Mitchell International, Inc., Initial Term Loan, Second Lien

    9.327%        1-Month LIBOR        7.250%        12/01/25        CCC        1,005,105  
  1,478    

RP Crown Parent LLC, Term Loan B

    4.827%        1-Month LIBOR        2.750%        10/15/23        B        1,482,583  
  4,332    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        4,349,900  
  1,662    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        1,668,532  
  7,827    

Tibco Software, Inc., Term Loan, First Lien

    5.580%        1-Month LIBOR        3.500%        12/04/20        B        7,859,852  
  67,003    

Total Software

                                                 67,052,054  
      Specialty Retail – 1.8% (1.1% of Total Investments)  
  2,049    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 7.991%, PIK 1.500%)

    7.991%        1-Week LIBOR        5.000%        1/13/22        CCC+        1,941,191  
  1,414    

Neiman Marcus Group, Inc., Term Loan

    5.336%        1-Month LIBOR        3.250%        10/25/20        CCC        1,252,720  
  3,869    

Petco Animal Supplies, Inc., Term Loan B1

    5.590%        3-Month LIBOR        3.250%        1/26/23        B2        2,793,234  
  2,719    

Petsmart Inc., Term Loan B, First Lien

    5.100%        1-Month LIBOR        3.000%        3/11/22        B3        2,266,001  
  10,051    

Total Specialty Retail

                                                 8,253,146  
      Technology Hardware, Storage & Peripherals – 5.7% (3.6% of Total Investments)                       
  4,340    

Dell International LLC, Replacement Term Loan A2

    3.830%        1-Month LIBOR        1.750%        9/07/21        BBB–        4,341,023  
  2,358    

Dell International LLC, Replacement Term Loan A3

    3.580%        1-Month LIBOR        1.500%        12/31/18        BBB–        2,359,842  
  11,411    

Dell International LLC, Refinancing Term Loan B

    4.080%        1-Month LIBOR        2.000%        9/07/23        BBB–        11,426,599  
  1,400    

Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        1,408,974  
  7,033    

Western Digital, Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/29/23        BBB–        7,043,940  
  26,542    

Total Technology Hardware, Storage & Peripherals

 

                                26,580,378  
      Transportation Infrastructure – 1.5% (0.9% of Total Investments)                              
  6,857    

Avolon LLC, Term Loan B

    4.086%        1-Month LIBOR        2.000%        1/15/25        BBB–        6,817,788  
      Wireless Telecommunication Services – 4.1% (2.6% of Total Investments)                       
  1,993    

Asurion LLC, Term Loan B4

    5.077%        1-Month LIBOR        3.000%        8/04/22        B+        1,995,089  
  1,826    

Asurion LLC, Term Loan B6

    5.077%        1-Month LIBOR        3.000%        11/03/23        B+        1,826,375  
  6,913    

Sprint Corporation, Term Loan, First Lien

    4.625%        1-Month LIBOR        2.500%        2/02/24        BB–        6,922,868  
  3,500    

Syniverse Holdings, Inc., Initial Term Loan, Second Lien

    11.078%        1-Month LIBOR        9.000%        3/11/24        CCC+        3,480,750  
  2,793    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.078%        1-Month LIBOR        5.000%        3/09/23        B        2,800,555  
  1,841    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.572%        1-Month LIBOR        2.500%        1/15/26        BB        1,835,024  
  18,866    

Total Wireless Telecommunication Services

 

                                18,860,661  
$ 623,155    

Total Variable Rate Senior Loan Interests (cost $615,929,961)

 

                                607,965,953  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CORPORATE BONDS – 19.9% (12.6% of Total Investments)                              
      Containers & Packaging – 0.9% (0.6% of Total Investments)                              
$ 4,070    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+      $ 4,077,579  
      Diversified Telecommunication Services – 5.2% (3.3% of Total Investments)                
  6,472    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        5,962,330  
  5,580    

Intelsat Jackson Holdings SA, 144A

          9.750%        7/15/25        CCC+        5,963,625  
  8,012    

Intelsat Luxembourg SA

          7.750%        6/01/21        Ca        7,611,400  
  4,370    

Intelsat Luxembourg SA

          8.125%        6/01/23        CCC–        3,747,275  
  750    

Level 3 Financing Inc.

                      5.375%        8/15/22        BB        751,875  
  25,184    

Total Diversified Telecommunication Services

 

                                24,036,505  

 

59


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)                       
$ 3,250    

Realogy Group LLC, 144A

                      5.250%        12/01/21        B1      $ 3,258,125  
      Health Care Providers & Services – 1.5% (0.9% of Total Investments)                
  4,500    

HCA Inc.

          6.500%        2/15/20        BBB–        4,683,600  
  2,000    

HCA Inc.

                      5.875%        3/15/22        BBB–        2,102,500  
  6,500    

Total Health Care Providers & Services

 

                                6,786,100  
      Hotels, Restaurants & Leisure – 1.2% (0.7% of Total Investments)                
  1,000    

MGM Resorts International

          5.250%        3/31/20        BB        1,022,500  
  4,200    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        4,483,500  
  5,200    

Total Hotels, Restaurants & Leisure

                                                 5,506,000  
      Household Durables – 1.4% (0.9% of Total Investments)                
  4,900    

Lennar Corporation

          4.125%        12/01/18        BB+        4,907,399  
  1,500    

Lennar Corporation

                      4.500%        11/15/19        BB+        1,516,875  
  6,400    

Total Household Durables

                                                 6,424,274  
      Media – 3.8% (2.4% of Total Investments)                              
  150    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        150,220  
  1,365    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B2        1,501,500  
  1,650    

CSC Holdings LLC, 144A

          10.875%        10/15/25        B2        1,914,000  
  495    

DISH DBS Corporation

          5.125%        5/01/20        BB        491,287  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB        833,750  
  1,325    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        1,351,500  
  4,662    

iHeartCommunications Inc., (5)

          9.000%        12/15/19        CC        3,636,360  
  14,960    

iHeartCommunications Inc., (cash 12.000%,
PIK 2.000%), (5)

 

        14.000%        2/01/21        C        1,982,228  
  1,714    

iHeartCommunications Inc., 144A, (5)

          11.250%        3/01/21        C        1,242,650  
  6,250    

iHeartCommunications Inc., (5)

                      9.000%        3/01/21        CC        4,781,250  
  33,571    

Total Media

                                                 17,884,745  
      Oil, Gas & Consumable Fuels – 1.5% (1.0% of Total Investments)                       
  5,170    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        4,627,150  
  500    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        470,000  
  1,814    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B        1,922,840  
  180    

EP Energy LLC, 144A

                      9.375%        5/01/24        Caa2        148,050  
  7,664    

Total Oil, Gas & Consumable Fuels

                                                 7,168,040  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                              
  600    

Concordia International Corporation, 144A, (5)

                      7.000%        4/15/23        C        36,000  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)                
  1,394    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B        1,550,825  
      Software – 1.6% (1.0% of Total Investments)  
  155    

Avaya Holdings Corporation, 144A, (5), (9)

          7.000%        4/01/19        N/R         
  3,830    

Avaya Holdings Corporation, 144A, (5), (9)

          10.500%        3/01/21        N/R         
  3,925    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        4,018,219  
  3,500    

Infor Us Inc., 144A

                      5.750%        8/15/20        BB        3,548,125  
  11,410    

Total Software

                                                 7,566,344  
      Wireless Telecommunication Services – 1.8% (1.2% of Total Investments)  
  1,450    

Sprint Communications Inc.

          7.000%        8/15/20        B+        1,515,250  
  6,000    

Sprint Corporation

          7.875%        9/15/23        B+        6,397,500  
  500    

Sprint Corporation

                      7.125%        6/15/24        B+        513,750  
  7,950    

Total Wireless Telecommunication Services

                                                 8,426,500  
$ 113,193    

Total Corporate Bonds (cost $98,878,277)

                                                 92,721,037  

 

60


Shares     Description (1)                                           Value  
 

COMMON STOCKS – 3.2% (2.0% of Total Investments)

 

      Diversified Consumer Services – 0.1% (0.1% of Total Investments)  
  71,949    

Cengage Learning Holdings II Inc., (7), (8)

                                               $ 695,099  
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)  
  57,368    

C&J Energy Services Inc., (7)

                   1,334,380  
  58,041    

Ocean Rig UDW Inc., (7)

                   1,627,470  
  2,534    

Vantage Drilling International, (7), (8)

                                                 747,530  
 

Total Energy Equipment & Services

                                                 3,709,380  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  54,276    

Millennium Health LLC, (7), (8)

                   2,334  
  50,560    

Millennium Health LLC, (7), (9)

                    
  47,462    

Millennium Health LLC, (7), (9)

                                                  
 

Total Health Care Providers & Services

                                                 2,334  
      Marine – 0.3% (0.2% of Total Investments)  
  21,097    

HGIM Corporation, (8)

                   981,010  
  4,721    

HGIM Corporation, (7), (8)

                                                 219,526  
 

Total Marine

                                                 1,200,536  
      Media – 0.9% (0.5% of Total Investments)  
  85,480    

Cumulus Media Inc., (7), (8)

                   1,381,955  
  1,318,561    

Hibu PLC, (7), (8)

                   415,347  
  23,363    

Metro-Goldwyn-Mayer Inc., (7), (8)

                   2,168,390  
  36,087    

Tribune Media Company, (8)

                                                 12,631  
 

Total Media

                                                 3,978,323  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  46    

Southcross Holdings Borrower LP, (7), (8)

                                                 9,775  
      Software – 1.0% (0.6% of Total Investments)  
  229,425    

Avaya Holdings Corporation, (7)

                                                 4,721,567  
      Specialty Retail – 0.1% (0.1% of Total Investments)  
  8,181    

Gymboree Holding Corporation, (7), (9)

                   92,176  
  22,273    

Gymboree Holding Corporation, (7), (8)

                                                 261,708  
 

Total Specialty Retail

                                                 353,884  
 

Total Common Stocks (cost $20,000,429)

                                                 14,670,898  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 1.0% (0.6% of Total Investments)  
$ 675    

Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (10)

          9.589%        4/15/29        Ba3      $ 692,213  
  800    

Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (10)

          8.599%        7/15/30        Ba3        807,803  
  750    

Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (10)

          8.739%        10/15/30        Ba3        759,501  
  1,250    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (10)

          7.848%        4/20/26        Ba3        1,250,656  
  400    

Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (10)

          7.655%        4/20/30        BB–        389,219  
  750    

OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread), (10)

                      9.639%        10/30/27        BB        756,154  
$ 4,625    

Total Asset-Backed Securities (cost $4,518,115)

                                                 4,655,546  

 

61


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Shares     Description (1)                                          Value  
 

COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)

 

      Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)  
  3,160    

Fieldwood Energy LLC, (7), (8)

                $ 166,428  
  14,441    

Fieldwood Energy LLC, (7), (9)

                                                628,247  
 

Total Common Stock Right (cost $422,499)

                                                794,675  
Shares     Description (1)                                          Value  
      WARRANTS – 0.0% (0.0% of Total Investments)  
  15,619    

Avaya Holdings Corporation

                                              $ 60,133  
 

Total Warrants (cost $1,460,830)

                                                60,133  
Principal
Amount (000)
    Description (1)                   Coupon     Maturity      Ratings (4)      Value  
 

CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)

 

 

Communications Equipment – 0.0% (0.0% of Total Investments)

 

$ 550    

Nortel Networks Limited, (5)

                      1.750%       4/15/12        N/R      $ 17,325  
  550    

Total Convertible Bonds (cost $9,033)

 

                               17,325  
 

Total Long-Term Investments (cost $741,219,144)

 

                               720,885,567  
Shares     Description (1)                   Coupon                     Value  
      SHORT-TERM INVESTMENTS – 3.7% (2.3% of Total Investments)  
      INVESTMENT COMPANIES – 3.7% (2.3% of Total Investments)  
  17,156,361    

BlackRock Liquidity Funds T-Fund Portfolio, (11)

                      1.809%  (12)                      $ 17,156,361  
 

Total Short-Term Investments (cost $17,156,361)

 

              17,156,361  
 

Total Investments (cost $758,375,505) – 158.6%

 

              738,041,928  
 

Borrowings – (38.4)% (13), (14)

                                                (178,800,000
 

Term Preferred Shares, net of deferred offering costs – (17.8)% (15)

 

              (82,913,025
 

Other Assets Less Liabilities – (2.4)% (16)

 

                      (10,950,479
 

Net Assets Applicable to Common Shares – 100%

 

                    $ 465,378,424  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 8,000,000     Pay   1-Month LIBOR     2.250 %(17)      Monthly       12/01/23 (18)    $ (147,373)     $ (147,373)  

Morgan Stanley Capital Services LLC

    10,000,000     Pay   1-Month LIBOR     2.500 (19)      Monthly       1/01/22 (20)      (156,637)       (156,637)  

Morgan Stanley Capital Services LLC

    21,000,000     Pay   1-Month LIBOR     2.500 (21)      Monthly       4/01/22 (22)      (390,537)       (390,537)  

Morgan Stanley Capital Services LLC

    45,000,000     Pay   1-Month LIBOR     4.000       Monthly       1/01/27 (23)      (1,636,540)       (1,636,540)  

Total

  $ 84,000,000                                     $ (2,331,087)     $ (2,331,087)  

Total unrealized appreciation on interest rate swaps

 

          $  

Total unrealized depreciation on interest rate swaps

 

          $ (2,331,087)  

 

62


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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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.

 

(3)

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.

 

(4)

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.

 

(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)

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.

 

(7)

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

 

(8)

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.

 

(9)

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.

 

(10)

Variable rate security. The rate shown is the coupon as of the end of the period.

 

(11)

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.

 

(12)

The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(13)

Borrowings as a percentage of Total Investments is 24.2%.

 

(14)

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.

 

(15)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.2%.

 

(16)

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.

 

(17)

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.

 

(18)

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.

 

(19)

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.

 

(20)

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.

 

(21)

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.

 

(22)

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.

 

(23)

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.

 

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.

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

63


JSD   

Nuveen Short Duration Credit
Opportunities Fund

 

Portfolio of Investments    July 31, 2018

 

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

LONG-TERM INVESTMENTS – 157.1% (97.2% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 133.5% (82.6% of Total Investments) (2)

 

  
      Aerospace & Defense – 3.2% (2.0% of Total Investments)                       
$ 3,053    

Sequa Corporation, Term Loan B

    7.067%        1-Month LIBOR        5.000%        11/28/21        B–      $ 3,058,910  
  1,062    

Sequa Corporation, Term Loan, Second Lien

    11.072%        1-Month LIBOR        9.000%        4/28/22        CCC        1,065,849  
  1,659    

Transdigm, Inc., Term Loan F

    4.577%        1-Month LIBOR        2.500%        6/09/23        Ba2        1,661,570  
  5,774    

Total Aerospace & Defense

                                                 5,786,329  
      Air Freight & Logistics – 1.4% (0.9% of Total Investments)                       
  1,000    

Ceva Group PLC, Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        1,001,250  
  837    

PAE Holding Corporation, Term Loan B

    7.577%        1-Month LIBOR        5.500%        10/20/22        B+        841,557  
  722    

XPO Logistics, Inc., Term Loan B

    4.064%        1-Month LIBOR        2.000%        2/24/25        BB+        724,336  
  2,559    

Total Air Freight & Logistics

                                                 2,567,143  
      Airlines – 2.1% (1.3% of Total Investments)                       
  1,698    

American Airlines, Inc., Replacement Term Loan

    4.086%        1-Month LIBOR        2.000%        10/10/21        BB+        1,698,866  
  960    

American Airlines, Inc., Term Loan 2025

    3.827%        1-Month LIBOR        1.750%        6/27/25        BB+        945,786  
  618    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        12/14/23        BB+        615,651  
  500    

American Airlines, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        498,438  
  3,776    

Total Airlines

                                                 3,758,741  
      Auto Components – 0.3% (0.2% of Total Investments)                              
  495    

Superior Industries International, Inc., Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/22/24        B        497,330  
      Automobiles – 0.5% (0.3% of Total Investments)                              
  103    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        103,383  
  746    

DexKo Global, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        7/24/24        B        750,221  
  849    

Total Automobiles

                                                 853,604  
      Biotechnology – 1.1% (0.7% of Total Investments)                              
  1,975    

Grifols, Inc., Term Loan B

    4.200%        1-Week LIBOR        2.250%        1/31/25        BB        1,983,078  
      Building Products – 1.4% (0.9% of Total Investments)                              
  1,000    

Fairmount, Initial Term Loan

    6.050%        3-Month LIBOR        3.750%        6/01/25        BB        1,001,980  
  326    

Ply Gem Industries, Inc., Term Loan B

    6.087%        3-Month LIBOR        3.750%        4/12/25        B        327,160  
  1,299    

Quikrete Holdings, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        11/15/23        BB–        1,299,826  
  2,625    

Total Building Products

                                                 2,628,966  
      Capital Markets – 0.4% (0.2% of Total Investments)                              
  726    

RPI Finance Trust, Term Loan B6

    4.334%        3-Month LIBOR        2.000%        3/27/23        BBB–        728,406  
      Chemicals – 0.9% (0.5% of Total Investments)                              
  425    

Ineos US Finance LLC, Term Loan

    4.169%        2-Month LIBOR        2.000%        4/01/24        BB+        425,312  
  399    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        398,244  
  750    

Univar, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/01/24        BB        753,033  
  1,574    

Total Chemicals

                                                 1,576,589  
      Commercial Services & Supplies – 5.1% (3.1% of Total Investments)                       
  493    

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

    6.342%        2-Month LIBOR        4.000%        10/19/23        B–        488,191  
  1,781    

iQor US, Inc., Term Loan, First Lien

    7.337%        3-Month LIBOR        5.000%        4/01/21        B        1,771,865  
  167    

iQor US, Inc., Term Loan, Second Lien

    11.087%        3-Month LIBOR        8.750%        4/01/22        CCC+        159,667  
  769    

KAR Auction Services, Inc., Term Loan B5

    4.625%        1-Month LIBOR        2.500%        3/09/23        BB–        771,536  
  767    

LSC Communications, Refinancing Term Loan

    7.577%        1-Month LIBOR        5.500%        9/30/22        B        768,587  
  1,474    

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

    7.834%        3-Month LIBOR        5.500%        9/30/22        B–        1,383,483  

 

64


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                       
$ 581    

Protection One, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        5/02/22        BB–      $ 583,126  
  1,387    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.827%        1-Month LIBOR        4.750%        4/28/21        B–        1,348,829  
  978    

Universal Services of America, Initial Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        7/28/22        B–        965,281  
  171    

West Corporation, Incremental Term Loan B1

    5.577%        1-Month LIBOR        3.500%        10/10/24        Ba3        170,511  
  753    

West Corporation, Term Loan B

    6.077%        1-Month LIBOR        4.000%        10/10/24        Ba3        754,040  
  9,321    

Total Commercial Services & Supplies

 

                                9,165,116  
      Communications Equipment – 1.1% (0.7% of Total Investments)                       
  421    

CommScope, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        12/29/22        BB+        423,256  
  935    

Mitel US Holdings, Inc., Incremental Term Loan

    5.827%        1-Month LIBOR        3.750%        9/25/23        B+        937,665  
  565    

Plantronics, Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/02/25        BB        565,452  
  1,921    

Total Communications Equipment

 

                                1,926,373  
      Construction & Engineering – 1.1% (0.7% of Total Investments)                       
  750    

KBR, Inc., Term Loan B

    5.814%        1-Month LIBOR        3.750%        4/25/25        B+        756,098  
  1,204    

Traverse Midstream Partners, Term Loan B

    6.340%        3-Month LIBOR        4.000%        9/27/24        B+        1,210,587  
  1,954    

Total Construction & Engineering

                                                 1,966,685  
      Containers & Packaging – 1.3% (0.8% of Total Investments)                       
  699    

Berry Global, Inc., Term Loan Q

    4.080%        1-Month LIBOR        2.000%        10/01/22        BBB–        700,990  
  1,640    

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

    4.827%        1-Month LIBOR        2.750%        2/05/23        B+        1,647,160  
  2,339    

Total Containers & Packaging

                                                 2,348,150  
      Distributors – 0.7% (0.5% of Total Investments)                              
  607    

American Seafoods Group LLC, Term Loan B

    4.830%        1-Month LIBOR        2.750%        8/21/23        BB–        606,204  
  750    

SRS Distribution, Inc., Term Loan B

    5.580%        3-Month LIBOR        3.250%        5/23/25        B        738,563  
  1,357    

Total Distributors

                                                 1,344,767  
      Diversified Consumer Services – 1.9% (1.2% of Total Investments)                       
  1,826    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        6/07/23        B        1,732,860  
  591    

Houghton Mifflin, Term Loan B, First Lien

    5.077%        1-Month LIBOR        3.000%        5/28/21        B        553,934  
  580    

Laureate Education, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        4/26/24        B+        582,407  
  663    

Vertiv Co.,Term Loan B

    6.100%        1-Month LIBOR        4.000%        11/30/23        B+        660,311  
  3,660    

Total Diversified Consumer Services

                                                 3,529,512  
      Diversified Financial Services – 1.4% (0.8% of Total Investments)                       
  572    

Freedom Mortgage Corporation, Term Loan B

    6.817%        1-Month LIBOR        4.750%        2/23/22        B+        576,820  
  2,048    

Veritas US, Inc., Term Loan B1

    6.641%        1-Month LIBOR        4.500%        1/27/23        B        1,907,896  
  2,620    

Total Diversified Financial Services

                                                 2,484,716  
      Diversified Telecommunication Services – 7.3% (4.5% of Total Investments)                
  731    

CenturyLink, Inc., Initial Term A Loan

    4.827%        1-Month LIBOR        2.750%        11/01/22        BBB–        731,159  
  3,724    

CenturyLink, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        1/31/25        BBB–        3,671,327  
  2,540    

Frontier Communications Corporation, Term Loan B

    5.830%        1-Month LIBOR        3.750%        1/14/22        B+        2,508,529  
  1,272    

Intelsat Jackson Holdings, S.A., Term Loan B

    5.827%        1-Month LIBOR        3.750%        11/30/23        B        1,277,311  
  195    

Intelsat Jackson Holdings, S.A., Term Loan B4

    6.577%        1-Month LIBOR        4.500%        1/02/24        B1        204,949  
  312    

Intelsat Jackson Holdings, S.A., Term Loan B5

    6.625%        N/A        N/A        1/02/24        B1        327,233  
  2,236    

WideOpenWest Finance LLC, Term Loan B

    5.329%        1-Month LIBOR        3.250%        8/18/23        B        2,149,127  
  290    

Windstream Corporation, Term Loan B6

    6.080%        1-Month LIBOR        4.000%        3/29/21        B+        274,036  
  2,000    

Ziggo B.V., Term Loan E

    4.572%        1-Month LIBOR        2.500%        4/15/25        BB–        1,990,130  
  13,300    

Total Diversified Telecommunication Services

 

                                13,133,801  
      Electric Utilities – 1.5% (0.9% of Total Investments)                              
  436    

EFS Cogen Holdings LLC, Term Loan B

    5.590%        3-Month LIBOR        3.250%        6/28/23        BB        437,336  
  1,604    

Vistra Operations Co., Term Loan B1

    4.077%        1-Month LIBOR        2.000%        8/01/23        BBB–        1,603,365  
  690    

Vistra Operations Co., Term Loan B3

    4.074%        1-Month LIBOR        2.000%        12/31/25        BBB–        689,525  
  2,730    

Total Electric Utilities

                                                 2,730,226  

 

65


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Electrical Equipment – 0.4% (0.3% of Total Investments)                              
$ 781    

TTM Technologies, Inc., Term Loan B

    4.592%        1-Month LIBOR        2.500%        9/28/24        BB+      $ 783,320  
      Energy Equipment & Services – 0.1% (0.0% of Total Investments)                       
  116    

Ocean Rig UDW, Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        122,534  
      Equity Real Estate Investment Trusts – 2.9% (1.8% of Total Investments)                
  2,482    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.077%        1-Month LIBOR        3.000%        10/24/22        B        2,380,985  
  497    

Realogy Group LLC, Term Loan A

    4.317%        1-Month LIBOR        2.250%        2/08/23        N/R        497,653  
  2,417    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)

    8.077%        1-Month LIBOR        6.000%        6/30/22        CCC+        2,307,164  
  5,396    

Total Equity Real Estate Investment Trusts

 

                                5,185,802  
      Food & Staples Retailing – 6.2% (3.8% of Total Investments)                       
  298    

Albertson’s LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        297,433  
  8,647    

Albertson’s LLC, Term Loan B4

    4.827%        1-Month LIBOR        2.750%        8/25/21        BB–        8,625,286  
  946    

Albertson’s LLC, Term Loan B6

    5.319%        3-Month LIBOR        3.000%        6/22/23        BB–        941,565  
  164    

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

    5.597%        1-Month LIBOR        3.500%        2/03/24        B        164,843  
  958    

Del Monte Foods Company, Term Loan, First Lien

    5.584%        3-Month LIBOR        3.250%        2/18/21        CCC+        840,206  
  442    

Save-A-Lot, Term Loan B

    8.077%        1-Month LIBOR        6.000%        12/05/23        B–        343,354  
  11,455    

Total Food & Staples Retailing

                                                 11,212,687  
      Food Products – 2.0% (1.3% of Total Investments)                              
  1,439    

Jacobs Douwe Egberts, Term Loan B

    4.625%        3-Month LIBOR        2.250%        7/04/22        BB        1,447,136  
  2,233    

U.S. Foods, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        6/27/23        BBB–        2,234,621  
  3,672    

Total Food Products

                                                 3,681,757  
      Health Care Equipment & Supplies – 2.9% (1.8% of Total Investments)                
  701    

Acelity, Term Loan B

    5.584%        3-Month LIBOR        3.250%        2/02/24        B        703,579  
  773    

ConvaTec, Inc., Term Loan B

    4.584%        3-Month LIBOR        2.250%        10/25/23        BB        775,105  
  676    

Greatbatch, New Term Loan B

    5.330%        1-Month LIBOR        3.250%        10/27/22        B+        680,665  
  500    

LifeScan, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        487,500  
  1,303    

Onex Carestream Finance LP, Term Loan, First Lien

    6.077%        1-Month LIBOR        4.000%        6/07/19        B        1,304,140  
  841    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        12/07/19        B–        841,428  
  500    

Vyaire Medical, Inc., Term Loan B

    7.232%        6-Month LIBOR        4.750%        4/16/25        B–        491,250  
  5,294    

Total Health Care Equipment & Supplies

 

                                5,283,667  
      Health Care Providers & Services – 6.8% (4.2% of Total Investments)                       
  727    

Air Medical Group Holdings, Inc., Term Loan B

    5.347%        1-Month LIBOR        3.250%        4/28/22        B        707,350  
  887    

Air Medical Group Holdings, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        3/14/25        B        876,247  
  500    

Ardent Health, Term Loan, First Lien

    6.572%        1-Month LIBOR        4.500%        6/30/25        B        504,375  
  589    

Community Health Systems, Inc., Term Loan H

    5.557%        3-Month LIBOR        3.250%        1/27/21        B–        579,417  
  958    

Envision Healthcare Corporation, Term Loan B, First Lien

    5.080%        1-Month LIBOR        3.000%        12/01/23        BB–        959,246  
  62    

Heartland Dental Care, Inc., Delay Draw Facility, (6)

    1.875%        N/A        N/A        4/30/25        B–        61,457  
  412    

Heartland Dental Care, Inc., Term Loan, First Lien

    5.827%        1-Month LIBOR        3.750%        4/30/25        B–        409,715  
  1,466    

Kindred at Home Hospice, Term Loan B, (DD1)

    6.125%        3-Month LIBOR        3.750%        6/21/25        B        1,479,808  
  400    

Kindred at Home Hospice, Term Loan, Second Lien

    9.375%        3-Month LIBOR        7.000%        6/21/26        CCC+        408,500  
  653    

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

    8.577%        1-Month LIBOR        6.500%        12/21/20        CCC+        361,274  
  2,461    

Pharmaceutical Product Development, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        8/18/22        Ba3        2,464,713  
  748    

PharMerica, Term Loan, First Lien

    5.578%        1-Month LIBOR        3.500%        12/06/24        B        752,217  
  748    

Prospect Medical Holdings, Term Loan B1

    7.625%        1-Month LIBOR        5.500%        2/22/24        B        752,337  
  119    

Quorum Health Corp., Term Loan B

    8.827%        1-Month LIBOR        6.750%        4/29/22        B1        120,808  
  1,678    

Select Medical Corporation, Term Loan B

    4.831%        1-Month LIBOR        2.750%        3/01/21        BB–        1,686,170  
  148    

Vizient, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/13/23        BB–        148,963  
  12,556    

Total Health Care Providers & Services

 

                                12,272,597  
      Health Care Technology – 1.1% (0.6% of Total Investments)                       
  425    

Catalent Pharma Solutions, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        5/20/24        BB        426,340  

 

66


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Technology (continued)                       
$ 1,481    

Emdeon, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        3/01/24        B+      $ 1,480,739  
  1,906    

Total Health Care Technology

                                                 1,907,079  
      Hotels, Restaurants & Leisure – 8.0% (5.0% of Total Investments)                       
  1,953    

Burger King Corporation, Term Loan B3

    4.327%        1-Month LIBOR        2.250%        2/16/24        B+        1,954,205  
  562    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        10/06/24        BB        562,215  
  1,990    

Caesars Resort Collection, Term Loan, First Lien

    4.827%        1-Month LIBOR        2.750%        12/23/24        BB        2,000,418  
  1,389    

CCM Merger, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        8/09/21        BB–        1,394,830  
  1,637    

CityCenter Holdings LLC, Term Loan B

    4.327%        1-Month LIBOR        2.250%        4/18/24        BB–        1,641,128  
  1,117    

Life Time Fitness, Inc., Term Loan B

    5.057%        3-Month LIBOR        2.750%        6/10/22        BB–        1,120,468  
  3,380    

Scientific Games Corporation, Initial Term Loan B5

    4.903%        2-Month LIBOR        2.750%        8/14/24        B+        3,386,063  
  750    

Stars Group Holdings, Term Loan B

    5.831%        3-Month LIBOR        3.500%        7/10/25        B+        757,774  
  1,731    

Station Casino LLC, Term Loan B

    4.580%        1-Month LIBOR        2.500%        6/08/23        BB        1,737,439  
  14,509    

Total Hotels, Restaurants & Leisure

 

                                14,554,540  
      Household Products – 1.0% (0.6% of Total Investments)                       
  1,936    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.577%        1-Month LIBOR        3.500%        11/16/20        CCC+        1,431,858  
  445    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.591%        1-Month LIBOR        3.500%        11/08/23        B–        374,829  
  2,381    

Total Household Products

                                                 1,806,687  
      Industrial Conglomerates – 1.2% (0.7% of Total Investments)                       
  1,343    

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

    6.596%        3-Month LIBOR        4.250%        6/16/24        B        1,351,450  
  748    

Education Advisory Board, Term Loan, First Lien

    6.252%        3-Month LIBOR        3.750%        11/15/24        B        744,384  
  2,091    

Total Industrial Conglomerates

 

                                         2,095,834  
      Insurance – 0.8% (0.5% of Total Investments)                              
  494    

Acrisure LLC, Term Loan B

    6.592%        3-Month LIBOR        4.250%        11/22/23        B        495,620  
  1,014    

Hub International Holdings, Inc., Term Loan B

    5.335%        3-Month LIBOR        3.000%        4/25/25        B        1,014,555  
  1,508    

Total Insurance

                                                 1,510,175  
      Internet and Direct Marketing Retail – 0.4% (0.3% of Total Investments)                
  750    

Uber Technologies, Inc., Term Loan

    6.100%        1-Month LIBOR        4.000%        4/04/25        N/R        755,273  
      Internet Software & Services – 2.5% (1.5% of Total Investments)                              
  978    

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

    5.330%        1-Month LIBOR        3.250%        10/19/23        B        980,706  
  500    

GTT Communications, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        2.750%        6/02/25        B        495,625  
  758    

Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien

    5.363%        3-Month LIBOR        3.000%        11/03/23        BB–        755,591  
  1,273    

Sabre, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        2/22/24        BB        1,275,329  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    10.327%        1-Month LIBOR        8.250%        4/28/22        CCC        997,312  
  4,618    

Total Internet Software & Services

                                                 4,504,563  
      IT Services – 4.7% (2.9% of Total Investments)                              
  275    

DigiCert, Term Loan, First Lien

    7.327%        1-Month LIBOR        5.250%        10/31/24        B        276,104  
  4,950    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        4/26/24        BB        4,953,972  
  667    

Gartner, Inc., Term Loan A

    4.077%        1-Month LIBOR        2.000%        3/21/22        BB+        668,735  
  209    

PEAK 10, Inc., Term Loan B

    5.834%        3-Month LIBOR        3.500%        8/01/24        B        208,572  
  990    

Tempo Acquisition LLC, Term Loan B

    5.077%        1-Month LIBOR        3.000%        5/01/24        B        992,124  
  748    

Vantiv LLC, Repriced Term Loan B4

    3.824%        1-Month LIBOR        1.750%        8/09/24        BBB–        748,421  
  735    

WEX, Inc., Term Loan B

    4.327%        1-Month LIBOR        2.250%        7/01/23        BB–        736,551  
  8,574    

Total IT Services

                                                 8,584,479  
      Leisure Products – 1.6% (1.0% of Total Investments)                              
  1,026    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.572%        1-Month LIBOR        3.500%        5/30/25        B+        1,030,687  
  724    

Academy, Ltd., Term Loan B, (DD1)

    6.092%        1-Month LIBOR        4.000%        7/01/22        CCC+        600,492  
  1,245    

Equinox Holdings, Inc., Term Loan B1

    5.077%        1-Month LIBOR        3.000%        3/08/24        B+        1,251,902  
  2,995    

Total Leisure Products

                                                 2,883,081  

 

67


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Machinery – 1.6% (1.0% of Total Investments)                              
$ 879    

Gardner Denver, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        7/30/24        BB      $ 881,978  
  628    

Gates Global LLC, Term Loan B

    5.084%        3-Month LIBOR        2.750%        4/01/24        B+        630,757  
  250    

NN, Inc., Term Loan, Second Lien

    10.097%        1-Month LIBOR        8.000%        4/19/23        CCC+        247,500  
  828    

TNT Crane and Rigging Inc., Initial Term Loan, First Lien

    6.834%        3-Month LIBOR        4.500%        11/27/20        CCC+        796,829  
  400    

TNT Crane and Rigging, Inc., Term Loan, Second Lien

    11.334%        3-Month LIBOR        9.000%        11/26/21        CCC–        338,000  
  2,985    

Total Machinery

                                                 2,895,064  
      Marine – 0.8% (0.5% of Total Investments)  
  666    

American Commercial Lines LLC, Term Loan B, First Lien

    10.827%        1-Month LIBOR        8.750%        11/12/20        CCC+        545,979  
  969    

Harvey Gulf International Marine, Inc., Exit Term Loan

    10.000%        N/A        N/A        6/06/23        B3        976,661  
  1,635    

Total Marine

                                                 1,522,640  
      Media – 12.7% (7.9% of Total Investments)                              
  833    

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

    5.327%        1-Month LIBOR        3.250%        7/23/21        B        789,377  
  988    

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

    9.822%        1-Month LIBOR        7.750%        5/10/22        B2        1,028,234  
  806    

Catalina Marketing Corporation, Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        4/09/21        B2        514,006  
  500    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.827%        1-Month LIBOR        6.750%        4/11/22        Caa2        135,250  
  499    

Cineworld Group PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/28/25        BB–        497,787  
  2,998    

Clear Channel Communications, Inc., Tranche D, Term Loan, (5)

    8.827%        N/A        N/A        1/30/19        N/R        2,340,020  
  3,945    

Clear Channel Communications, Inc., Term
Loan E, (5)

    9.580%        N/A        N/A        7/30/19        N/R        3,068,678  
  499    

CSC Holdings LLC, Term Loan B

    4.572%        1-Month LIBOR        2.500%        1/25/26        BB–        499,062  
  2,026    

Cumulus Media, Inc., Exit Term Loan

    6.580%        1-Month LIBOR        4.500%        5/15/22        B        2,003,235  
  953    

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

    5.572%        1-Month LIBOR        3.500%        10/18/19        B3        935,570  
  415    

Gray Television, Inc., Term Loan B2

    4.340%        2-Month LIBOR        2.250%        2/07/24        BB        415,328  
  722    

IMG Worldwide, Inc., Term Loan B

    4.930%        2-Month LIBOR        2.750%        5/18/25        B        720,427  
  423    

Lions Gate Entertainment Corp., Term Loan B

    4.314%        1-Month LIBOR        2.250%        3/24/25        BB–        424,749  
  2,456    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.077%        1-Month LIBOR        4.000%        5/02/22        B+        2,420,919  
  998    

Meredith, Term Loan B

    5.077%        1-Month LIBOR        3.000%        1/31/25        BB        1,001,934  
  750    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        7/03/25        BB        751,642  
  400    

Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien

    6.580%        1-Month LIBOR        4.500%        7/03/26        B–        400,000  
  247    

Nexstar Broadcasting Group, Term Loan

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        248,024  
  1,856    

Nexstar Broadcasting Group, Term Loan B

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        1,822,265  
  2,000    

Numericable Group S.A, Term Loan B13, (WI/DD)

    TBD        TBD        TBD        TBD        B        1,959,840  
  133    

Red Ventures, Term Loan B

    6.077%        1-Month LIBOR        4.000%        11/08/24        B+        134,700  
  961    

Springer Science & Business Media, Inc., Term Loan B13, First Lien

    5.577%        1-Month LIBOR        3.500%        8/15/22        B        961,538  
  25,408    

Total Media

                                                 23,072,585  
      Metals & Mining – 0.5% (0.3% of Total Investments)                       
  866    

CanAm Construction, Inc., Term Loan B

    7.577%        1-Month LIBOR        5.500%        7/01/24        B        877,078  
      Multiline Retail – 1.0% (0.6% of Total Investments)                              
  887    

Belk, Inc., Term Loan B, First Lien

    6.836%        1-Month LIBOR        4.750%        12/12/22        B–        702,882  
  623    

EG America LLC, Term Loan, First Lien

    6.334%        3-Month LIBOR        4.000%        2/07/25        B        621,944  
  461    

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

    5.419%        2-Month LIBOR        3.250%        9/30/22        BB        437,021  
  1,971    

Total Multiline Retail

                                                 1,761,847  
      Oil, Gas & Consumable Fuels – 4.8% (2.9% of Total Investments)                       
  1,091    

BCP Renaissance Parent, Term Loan B

    5.842%        3-Month LIBOR        3.500%        10/31/24        B+        1,096,669  
  750    

California Resources Corporation, Term Loan

    12.439%        1-Month LIBOR        10.375%        12/31/21        B        829,219  
  750    

California Resources Corporation, Term Loan B

    6.831%        1-Month LIBOR        4.750%        12/31/22        B        764,374  
  95    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)

    0.000%        N/A        N/A        5/13/22        N/R        1,421  
  923    

Fieldwood Energy LLC, Exit Term Loan

    7.327%        1-Month LIBOR        5.250%        4/11/22        B+        926,483  
  1,149    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.327%        1-Month LIBOR        7.250%        4/11/23        B+        1,118,910  

 

68


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)                       
$ 1,995    

McDermott International, Term Loan

    7.077%        1-Month LIBOR        5.000%        5/12/25        BB–      $ 2,010,342  
  525    

Peabody Energy Corporation, Term Loan B

    4.827%        1-Month LIBOR        2.750%        3/31/25        BB        525,792  
  1,415    

Seadrill Partners LLC, Initial Term Loan

    8.334%        3-Month LIBOR        6.000%        2/21/21        CCC+        1,326,366  
  18    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        15,822  
  8,711    

Total Oil, Gas & Consumable Fuels

                                                 8,615,398  
      Personal Products – 0.5% (0.3% of Total Investments)                       
  1,000    

Coty, Inc., Term Loan B

    4.347%        1-Month LIBOR        2.250%        4/07/25        BB+        977,815  
      Pharmaceuticals – 1.2% (0.8% of Total Investments)                              
  1,829    

Concordia Healthcare Corporation, Term Loan B, First Lien, (5)

    6.327%        1-Month LIBOR        4.250%        10/21/21        Caa2        1,653,811  
  550    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

    5.092%        1-Month LIBOR        3.000%        6/02/25        BB–        551,573  
  2,379    

Total Pharmaceuticals

                                                 2,205,384  
      Professional Services – 2.6% (1.6% of Total Investments)                              
  990    

Ceridian HCM Holding, Inc., Term Loan B

    5.327%        1-Month LIBOR        3.250%        4/30/25        B–        992,895  
  2,748    

Formula One Group, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/01/24        B+        2,735,845  
  988    

Nielsen Finance LLC, Term Loan B4

    4.097%        1-Month LIBOR        2.000%        10/04/23        BBB–        984,325  
  4,726    

Total Professional Services

                                                 4,713,065  
      Real Estate Management & Development – 2.7% (1.7% of Total Investments)                
  500    

Altisource Solutions S.A R.L., Term Loan B

    6.334%        3-Month LIBOR        4.000%        3/29/24        B+        497,309  
  1,087    

Capital Automotive LP, Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        3/25/24        B        1,089,075  
  1,741    

Capital Automotive LP, Term Loan, Second Lien

    8.080%        1-Month LIBOR        6.000%        3/24/25        CCC+        1,771,293  
  1,500    

GGP, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,489,845  
  4,828    

Total Real Estate Management & Development

 

                                4,847,522  
      Road & Rail – 1.0% (0.6% of Total Investments)                              
  975    

Quality Distribution, Incremental Term Loan, First Lien

    7.834%        3-Month LIBOR        5.500%        8/18/22        B–        982,717  
  750    

Savage Enterprises LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        753,285  
  1,725    

Total Road & Rail

                                                 1,736,002  
      Semiconductors & Semiconductor Equipment – 1.6% (1.0% of Total Investments)                
  602    

Lumileds, Term Loan B

    5.751%        1-Month LIBOR        3.500%        6/30/24        B+        598,635  
  500    

Microchip Technology., Inc., Term Loan B

    4.080%        1-Month LIBOR        2.000%        5/29/25        BB+        501,875  
  980    

Micron Technology, Inc., Term Loan B

    3.830%        1-Month LIBOR        1.750%        4/10/22        BBB–        984,288  
  726    

ON Semiconductor Corporation, Term Loan B3

    3.827%        1-Month LIBOR        1.750%        3/31/23        Baa3        727,590  
  2,808    

Total Semiconductors & Semiconductor Equipment

 

                                2,812,388  
      Software – 15.5% (9.6% of Total Investments)                       
  1,791    

Avaya, Inc., Tranche B Term Loan

    6.322%        1-Month LIBOR        4.250%        12/15/24        B        1,801,450  
  1,059    

Blackboard, Inc., Term Loan B4, (DD1)

    7.333%        3-Month LIBOR        5.000%        6/30/21        B–        1,006,274  
  2,680    

BMC Software, Inc., Term Loan B

    4.250%        1-Month LIBOR        3.250%        6/28/25        B        2,682,670  
  1,426    

Compuware Corporation, Term Loan B3

    5.580%        1-Month LIBOR        3.500%        12/15/21        B        1,431,561  
  491    

DTI Holdings, Inc., Replacement Term Loan B1

    6.827%        1-Month LIBOR        4.750%        9/29/23        B        490,036  
  680    

Ellucian, Term Loan B, First Lien

    5.584%        3-Month LIBOR        3.250%        9/30/22        B        681,768  
  1,970    

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

    5.577%        1-Month LIBOR        3.500%        12/01/23        B        1,982,808  
  2,031    

Infor (US), Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        2/01/22        B        2,035,977  
  1,254    

Informatica, Term Loan B

    5.327%        1-Month LIBOR        3.250%        8/05/22        B        1,261,254  
  988    

Kronos Incorporated, Term Loan B

    5.358%        3-Month LIBOR        3.000%        11/20/23        B        991,696  
  500    

McAfee Holdings International, Inc., Term Loan, Second Lien

    10.572%        1-Month LIBOR        8.500%        9/29/25        B–        513,125  
  1,446    

McAfee LLC, Term Loan

    6.572%        1-Month LIBOR        4.500%        9/30/24        B        1,457,507  
  321    

Micro Focus International PLC, New Term Loan

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        320,081  
  2,167    

Micro Focus International PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        2,161,586  
  1,255    

Micro Focus International PLC, Term Loan B2

    4.327%        1-Month LIBOR        2.500%        11/19/21        BB–        1,252,124  
  371    

Misys, New Term Loan, Second Lien

    9.557%        3-Month LIBOR        7.250%        6/13/25        CCC+        359,186  
  249    

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

    5.327%        1-Month LIBOR        3.250%        11/29/24        B1        249,197  

 

69


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                       
$ 200    

Mitchell International, Inc., Initial Term Loan, Second Lien

    9.327%        1-Month LIBOR        7.250%        12/01/25        CCC      $ 201,021  
  739    

RP Crown Parent LLC, Term Loan B

    4.827%        1-Month LIBOR        2.750%        10/15/23        B        741,291  
  2,342    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        2,351,575  
  898    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        902,016  
  3,197    

Tibco Software, Inc., Term Loan, First Lien

    5.580%        1-Month LIBOR        3.500%        12/04/20        B        3,210,012  
  28,055    

Total Software

                                                 28,084,215  
      Specialty Retail – 1.7% (1.1% of Total Investments)                
  757    

Neiman Marcus Group, Inc., Term Loan

    5.336%        1-Month LIBOR        3.250%        10/25/20        CCC        670,536  
  1,977    

Petco Animal Supplies, Inc., Term Loan B1

    5.590%        3-Month LIBOR        3.250%        1/26/23        B2        1,427,062  
  1,245    

Petsmart Inc., Term Loan B, First Lien

    5.100%        1-Month LIBOR        3.000%        3/11/22        B3        1,037,719  
  3,979    

Total Specialty Retail

                                                 3,135,317  
      Technology Hardware, Storage & Peripherals – 5.5% (3.4% of Total Investments)                
  1,853    

Dell International LLC, Replacement Term Loan A2

    3.830%        1-Month LIBOR        1.750%        9/07/21        BBB–        1,853,396  
  2,697    

Dell International LLC, Refinancing Term Loan B

    4.080%        1-Month LIBOR        2.000%        9/07/23        BBB–        2,700,921  
  900    

Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        905,769  
  4,496    

Western Digital, Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/29/23        BBB–        4,503,125  
  9,946    

Total Technology Hardware, Storage & Peripherals

 

              9,963,211  
      Transportation Infrastructure – 1.3% (0.8% of Total Investments)                       
  2,346    

Avolon LLC, Term Loan B

    4.086%        1-Month LIBOR        2.000%        1/15/25        BBB–        2,332,791  
      Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)                
  2,963    

Sprint Corporation, Term Loan, First Lien

    4.625%        1-Month LIBOR        2.500%        2/02/24        BB–        2,966,944  
  1,500    

Syniverse Holdings, Inc., Initial Term Loan, Second Lien

    11.078%        1-Month LIBOR        9.000%        3/11/24        CCC+        1,491,750  
  1,297    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.078%        1-Month LIBOR        5.000%        3/09/23        B        1,300,258  
  5,760    

Total Wireless Telecommunication Services

 

              5,758,952  
$ 247,285    

Total Variable Rate Senior Loan Interests (cost $243,490,974)

 

              241,464,881  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 20.5% (12.7% of Total Investments)

 

     
      Containers & Packaging – 0.8% (0.5% of Total Investments)                
$ 1,502    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+      $ 1,504,821  
      Diversified Telecommunication Services – 5.8% (3.6% of Total Investments)                
  3,509    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        3,232,666  
  1,790    

Intelsat Jackson Holdings SA, 144A

          9.750%        7/15/25        CCC+        1,913,062  
  3,840    

Intelsat Luxembourg SA

          7.750%        6/01/21        Ca        3,648,000  
  1,985    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC–        1,702,137  
  11,124    

Total Diversified Telecommunication Services

 

              10,495,865  
      Health Care Providers & Services – 1.1% (0.7% of Total Investments)                
  2,000    

HCA Inc.

                      6.500%        2/15/20        BBB–        2,081,600  
      Hotels, Restaurants & Leisure – 1.3% (0.8% of Total Investments)                
  2,150    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,295,125  
      Household Durables – 1.1% (0.7% of Total Investments)                
  1,410    

Lennar Corporation

          4.125%        12/01/18        BB+        1,412,129  
  550    

Lennar Corporation

                      4.500%        11/15/19        BB+        556,187  
  1,960    

Total Household Durables

                                                 1,968,316  

 

70


Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Media – 4.3% (2.7% of Total Investments)                
$ 100    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–      $ 100,147  
  1,635    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B2        1,798,500  
  345    

DISH DBS Corporation

          5.125%        5/01/20        BB        342,412  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB        833,750  
  1,000    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        1,020,000  
  2,835    

iHeartCommunications Inc., (5)

          9.000%        12/15/19        CC        2,211,300  
  6,046    

iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (5)

          14.000%        2/01/21        C        801,152  
  795    

iHeartCommunications Inc., (5)

                      9.000%        3/01/21        CC        608,175  
  13,756    

Total Media

                                                 7,715,436  
      Oil, Gas & Consumable Fuels – 2.2% (1.4% of Total Investments)                       
  2,425    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        2,170,375  
  400    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        376,000  
  1,340    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B        1,420,400  
  115    

EP Energy LLC, 144A

                      9.375%        5/01/24        Caa2        94,588  
  4,280    

Total Oil, Gas & Consumable Fuels

                                                 4,061,363  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)                
  106    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B        117,925  
      Software – 1.5% (0.9% of Total Investments)                
  85    

Avaya Holdings Corporation, 144A, (5), (9)

          7.000%        4/01/19        N/R         
  2,085    

Avaya Holdings Corporation, 144A, (5), (9)

          10.500%        3/01/21        N/R         
  1,910    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        1,955,363  
  725    

Infor Us Inc., 144A

                      5.750%        8/15/20        BB        734,969  
  4,805    

Total Software

                                                 2,690,332  
      Wireless Telecommunication Services – 2.3% (1.4% of Total Investments)                
  850    

Sprint Communications Inc.

          7.000%        8/15/20        B+        888,250  
  2,750    

Sprint Corporation

          7.875%        9/15/23        B+        2,932,188  
  250    

Sprint Corporation

                      7.125%        6/15/24        B+        256,875  
  3,850    

Total Wireless Telecommunication Services

 

              4,077,313  
$ 45,533    

Total Corporate Bonds (cost $37,375,011)

 

              37,008,096  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.9% (1.8% of Total Investments)

 

      Diversified Consumer Services – 0.2% (0.1% of Total Investments)  
  39,749    

Cengage Learning Holdings II Inc., (7), (8)

                                               $ 384,015  
      Energy Equipment & Services – 1.0% (0.6% of Total Investments)  
  24,673    

C&J Energy Services Inc., (7)

                   573,894  
  26,111    

Ocean Rig UDW Inc., (7)

                   732,152  
  1,318    

Vantage Drilling International, (7), (8)

                                                 388,810  
 

Total Energy Equipment & Services

                                                 1,694,856  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                
  13,189    

Millennium Health LLC, (7), (8)

                   567  
  12,290    

Millennium Health LLC, (7), (9)

                    
  11,533    

Millennium Health LLC, (7), (9)

                                                  
 

Total Health Care Providers & Services

                                                 567  
      Marine – 0.3% (0.2% of Total Investments)                                         
  10,185    

HGIM Corporation, (8)

                   473,603  
  2,279    

HGIM Corporation, (7), (8)

                                                 105,974  
 

Total Marine

                                                 579,577  
      Media – 0.2% (0.1% of Total Investments)                                         
  26,020    

Cumulus Media Inc., (7), (8)

                                                 420,665  

 

71


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Shares     Description (1)                                           Value  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                
  18    

Southcross Holdings Borrower LP, (7), (8)

                                               $ 3,825  
      Software – 1.1% (0.7% of Total Investments)                                         
  93,741    

Avaya Holdings Corporation, (7)

                                                 1,929,190  
      Specialty Retail – 0.1% (0.1% of Total Investments)                
  5,454    

Gymboree Holding Corporation, (7), (9)

                   61,451  
  14,849    

Gymboree Holding Corporation, (7), (8)

                                                 174,476  
 

Total Specialty Retail

                                                 235,927  
 

Total Common Stocks (cost $7,476,823)

                                                 5,248,622  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)

 

     
      Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)                
  1,705    

Fieldwood Energy LLC, (7), (8)

                 $ 89,797  
  7,794    

Fieldwood Energy LLC, (7), (9)

                                                 339,073  
 

Total Common Stock Right (cost $228,024)

                                                 428,870  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

     
  8,503    

Avaya Holdings Corporation

                                               $ 32,737  
 

Total Warrants (cost $565,168)

                                                 32,737  
 

Total Long-Term Investments (cost $289,136,000)

 

              284,183,206  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 4.5% (2.8% of Total Investments)

 

     
 

INVESTMENT COMPANIES – 4.5% (2.8% of Total Investments)

 

     
  8,118,505    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

                      1.809% (11)                        $ 8,118,505  
 

Total Short-Term Investments (cost $8,118,505)

 

              8,118,505  
 

Total Investments (cost $297,254,505) – 161.6%

 

              292,301,711  
 

Borrowings – (39.8)% (12), (13)

 

              (72,000,000
 

Term Preferred Shares, net of deferred offering costs – (19.1)% (14)

 

              (34,564,434
 

Other Assets Less Liabilities – (2.7)% (15)

 

              (4,853,251
 

Net Assets Applicable to Common Shares – 100%

 

            $ 180,884,026  

Investments in Derivatives

Credit Default Swaps – OTC Cleared

 

Referenced Entity    Buy/Sell
Protection (16)
     Notional
Amount
     Fixed Rate
(Annualized)
     Fixed Rate
Payment
Frequency
     Maturity
Date
     Premiums
Paid
(Received)
     Value      Unrealized
Appreciation
(Depreciation)
     Variation
Margin
Receivable/
(Payable)
 

Kroger Co.

     Buy      $ 2,000,000        1.00      Quarterly        12/20/22      $ 10,980      $ (31,007    $ (41,987    $ (529

 

72


Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 17,500,000       Receive       1-Month LIBOR       1.659     Monthly       9/15/18     $ 16,275     $ 16,275  

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month LIBOR       2.000 (17)      Monthly       11/01/20 (18)      (189,879     (189,879

Total

  $ 52,500,000                                             $ (173,604   $ (173,604

Total unrealized appreciation on interest rate swaps

 

                                  $ 16,275  

Total unrealized depreciation on interest rate swaps

 

                                  $ (189,879

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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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.

 

(3)

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.

 

(4)

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.

 

(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)

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.

 

(7)

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

 

(8)

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.

 

(9)

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.

 

(10)

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.

 

(11)

The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)

Borrowings as a percentage of Total Investments is 24.6%.

 

(13)

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.

 

(14)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(15)

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.

 

(16)

The Fund entered into the credit default swaps to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning the referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(17)

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.

 

(18)

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.

 

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.

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

73


JQC   

Nuveen Credit Strategies Income Fund

 

Portfolio of Investments    July 31, 2018

 

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

LONG-TERM INVESTMENTS – 155.1% (96.6% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 125.9% (78.4% of Total Investments) (2)

 

      Aerospace & Defense – 1.0% (0.6% of Total Investments)  
$ 11,970    

Transdigm, Inc., Term Loan E

    4.577%        1-Month LIBOR        2.500%        5/30/25        Ba2      $ 11,980,354  
      Airlines – 3.5% (2.2% of Total Investments)                                         
  2,969    

American Airlines, Inc., Replacement Term Loan

    4.086%        1-Month LIBOR        2.000%        10/10/21        BB+        2,971,778  
  14,122    

American Airlines, Inc., Term Loan 2025

    3.827%        1-Month LIBOR        1.750%        6/27/25        BB+        13,907,146  
  3,473    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        12/14/23        BB+        3,459,920  
  7,840    

American Airlines, Inc., Term Loan B

    4.072%        1-Month LIBOR        2.000%        4/28/23        BB+        7,815,500  
  14,783    

United Air Lines, Inc., Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/01/24        BBB–        14,754,858  
  43,187    

Total Airlines

                                                 42,909,202  
      Automobiles – 1.0% (0.6% of Total Investments)  
  12,356    

Chrysler Group LLC, Term Loan

    4.070%        1-Month LIBOR        2.000%        12/31/18        BBB–        12,392,045  
      Biotechnology – 0.2% (0.2% of Total Investments)                              
  2,992    

Grifols, Inc., Term Loan B

    4.200%        1-Week LIBOR        2.250%        1/31/25        BB        3,004,663  
      Building Products – 0.2% (0.1% of Total Investments)                              
  2,378    

Quikrete Holdings, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        11/15/23        BB–        2,379,030  
      Capital Markets – 1.3% (0.8% of Total Investments)                              
  16,092    

RPI Finance Trust, Term Loan B6, (5)

    4.334%        3-Month LIBOR        2.000%        3/27/23        BBB–        16,146,928  
      Chemicals – 3.5% (2.2% of Total Investments)                              
  10,785    

Axalta Coating Systems, Term Loan, First Lien

    4.084%        3-Month LIBOR        1.750%        6/01/24        BBB–        10,796,874  
  9,159    

Ineos US Finance LLC, Term Loan

    4.169%        2-Month LIBOR        2.000%        4/01/24        BB+        9,156,596  
  23,676    

Univar, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        7/01/24        BB        23,766,755  
  43,620    

Total Chemicals

                                                 43,720,225  
      Commercial Services & Supplies – 4.3% (2.7% of Total Investments)                       
  18,734    

ADS Waste Holdings, Inc., Term Loan B

    4.193%        1-Week LIBOR        2.250%        11/10/23        BB+        18,774,393  
  10,108    

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

    7.834%        3-Month LIBOR        5.500%        9/30/22        B–        9,488,824  
  8,977    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.827%        1-Month LIBOR        4.750%        4/28/21        B–        8,729,940  
  4,489    

Trans Union LLC, Term Loan B3

    4.077%        1-Month LIBOR        2.000%        4/10/23        BB+        4,504,583  
  2,150    

West Corporation, Incremental Term Loan B1

    5.577%        1-Month LIBOR        3.500%        10/10/24        Ba3        2,143,268  
  9,466    

West Corporation, Term Loan B

    6.077%        1-Month LIBOR        4.000%        10/10/24        Ba3        9,478,031  
  53,924    

Total Commercial Services & Supplies

 

                                53,119,039  
      Communications Equipment – 1.2% (0.7% of Total Investments)                              
  737    

CommScope, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        12/29/22        BB+        740,698  
  13,976    

Plantronics, Term Loan B, (DD1)

    4.577%        1-Month LIBOR        2.500%        7/02/25        BB        13,981,887  
  14,713    

Total Communications Equipment

                                                 14,722,585  
      Containers & Packaging – 2.1% (1.3% of Total Investments)  
  1,397    

Berry Global, Inc., Term Loan Q

    4.080%        1-Month LIBOR        2.000%        10/01/22        BBB–        1,401,979  
  5,500    

Crown Americas, Inc., Term Loan B, (DD1)

    4.077%        1-Month LIBOR        2.000%        4/03/25        Baa2        5,522,688  
  19,363    

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

    4.827%        1-Month LIBOR        2.750%        2/05/23        B+        19,449,110  
  26,260    

Total Containers & Packaging

                                                 26,373,777  
      Diversified Consumer Services – 2.1% (1.3% of Total Investments)                              
  7,487    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.329%        1-Month LIBOR        4.250%        6/07/23        B        7,103,724  
  19,069    

Laureate Education, Inc., Term Loan B

    5.577%        1-Month LIBOR        3.500%        4/26/24        B+        19,137,943  
  26,556    

Total Diversified Consumer Services

                                                 26,241,667  

 

74


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Financial Services – 0.6% (0.4% of Total Investments)                              
$ 7,499    

Travelport LLC, Term Loan B

    4.830%        3-Month LIBOR        2.500%        3/17/25        B+      $ 7,498,700  
      Diversified Telecommunication Services – 5.4% (3.4% of Total Investments)                       
  11,848    

CenturyLink, Inc., Initial Term A Loan

    4.827%        1-Month LIBOR        2.750%        11/01/22        BBB–        11,846,620  
  1,960    

CenturyLink, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        1/31/25        BBB–        1,932,389  
  5,000    

Intelsat Jackson Holdings, S.A., Term Loan B

    5.827%        1-Month LIBOR        3.750%        11/30/23        B        5,021,100  
  766    

Intelsat Jackson Holdings, S.A., Term Loan B4

    6.577%        1-Month LIBOR        4.500%        1/02/24        B1        805,651  
  1,226    

Intelsat Jackson Holdings, S.A., Term Loan B5

    6.625%        N/A        N/A        1/02/24        B1        1,286,350  
  11,144    

Level 3 Financing, Inc., Tranche B, Term Loan, (5)

    4.331%        1-Month LIBOR        2.250%        2/22/24        BBB–        11,174,815  
  12,251    

WideOpenWest Finance LLC, Term Loan B

    5.329%        1-Month LIBOR        3.250%        8/18/23        B        11,776,059  
  23,000    

Ziggo B.V., Term Loan E

    4.572%        1-Month LIBOR        2.500%        4/15/25        BB–        22,886,495  
  67,195    

Total Diversified Telecommunication Services

                                                 66,729,479  
      Electric Utilities – 1.4% (0.8% of Total Investments)                              
  12,381    

Vistra Operations Co., Term Loan B1

    4.077%        1-Month LIBOR        2.000%        8/01/23        BBB–        12,374,893  
  4,512    

Vistra Operations Co., Term Loan B3, (DD1)

    4.074%        1-Month LIBOR        2.000%        12/31/25        BBB–        4,506,755  
  16,893    

Total Electric Utilities

                                                 16,881,648  
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)                              
  597    

Ocean Rig UDW, Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        628,504  
      Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)         
  10,636    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.077%        1-Month LIBOR        3.000%        10/24/22        B        10,201,446  
  10,386    

Realogy Group LLC, Term Loan B

    4.317%        1-Month LIBOR        2.250%        2/08/25        BB+        10,417,219  
  14,985    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (6)

    8.077%        1-Month LIBOR        6.000%        6/30/22        CCC+        14,301,123  
  36,007    

Total Equity Real Estate Investment Trusts

 

                       34,919,788  
      Food & Staples Retailing – 2.8% (1.7% of Total Investments)                              
  25,212    

Albertson’s LLC, Term Loan B4

    4.827%        1-Month LIBOR        2.750%        8/25/21        BB–        25,149,171  
  5,098    

Albertson’s LLC, Term Loan B6

    5.319%        3-Month LIBOR        3.000%        6/22/23        BB–        5,074,234  
  4,273    

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

    5.597%        1-Month LIBOR        3.500%        2/03/24        B        4,285,919  
  34,583    

Total Food & Staples Retailing

                                                 34,509,324  
      Food Products – 2.2% (1.3% of Total Investments)                       
  5,756    

Jacobs Douwe Egberts, Term Loan B

    4.625%        3-Month LIBOR        2.250%        7/04/22        BB        5,788,545  
  3,000    

Pinnacle Foods Finance LLC, Term Loan B

    3.840%        1-Month LIBOR        1.750%        2/02/24        BB+        3,005,625  
  17,954    

U.S. Foods, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        6/27/23        BBB–        17,967,933  
  26,710    

Total Food Products

                                                 26,762,103  
      Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)  
  4,734    

Acelity, Term Loan B

    5.584%        3-Month LIBOR        3.250%        2/02/24        B        4,753,785  
  4,437    

ConvaTec, Inc., Term Loan B

    4.584%        3-Month LIBOR        2.250%        10/25/23        BB        4,450,593  
  12,180    

Onex Carestream Finance LP, Term Loan, First Lien

    6.077%        1-Month LIBOR        4.000%        6/07/19        B        12,190,910  
  7,875    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.577%        1-Month LIBOR        8.500%        12/07/19        B–        7,881,086  
  29,226    

Total Health Care Equipment & Supplies

                                                 29,276,374  
      Health Care Providers & Services – 7.2% (4.5% of Total Investments)                       
  3,000    

Ardent Health, Term Loan, First Lien, (DD1)

    6.572%        1-Month LIBOR        4.500%        6/30/25        B        3,026,250  
  7,079    

Community Health Systems, Inc., Term Loan H

    5.557%        3-Month LIBOR        3.250%        1/27/21        B–        6,966,865  
  5,909    

DJO Finance LLC, Term Loan B, First Lien

    5.458%        3-Month LIBOR        3.250%        6/08/20        B+        5,908,629  
  1,008    

Envision Healthcare Corporation, Term Loan B, First Lien

    5.080%        1-Month LIBOR        3.000%        12/01/23        BB–        1,009,606  
  11,970    

HCA, Inc., Term Loan B11

    3.827%        1-Month LIBOR        1.750%        3/17/23        BBB–        12,037,391  
  12,706    

Kindred at Home Hospice, Term Loan B, (DD1)

    6.125%        3-Month LIBOR        3.750%        6/21/25        B        12,825,000  
  11,257    

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

    8.577%        1-Month LIBOR        6.500%        12/21/20        CCC+        6,229,936  
  15,568    

MultiPlan, Inc., Term Loan B

    5.084%        3-Month LIBOR        2.750%        6/07/23        B+        15,586,249  

 

75


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)                       
$ 14,388    

Pharmaceutical Product Development, Inc., Term Loan B

    4.577%        1-Month LIBOR        2.500%        8/18/22        Ba3      $ 14,412,241  
  7,980    

PharMerica, Term Loan, First Lien

    5.578%        1-Month LIBOR        3.500%        12/06/24        B        8,023,651  
  162    

Quorum Health Corp., Term Loan B

    8.827%        1-Month LIBOR        6.750%        4/29/22        B1        164,336  
  2,985    

Select Medical Corporation, Term Loan B

    4.831%        1-Month LIBOR        2.750%        3/01/21        BB–        2,999,826  
  94,012    

Total Health Care Providers & Services

 

                                89,189,980  
      Health Care Technology – 1.8% (1.1% of Total Investments)                              
  22,713    

Emdeon, Inc., Term Loan

    4.827%        1-Month LIBOR        2.750%        3/01/24        B+        22,704,664  
      Hotels, Restaurants & Leisure – 14.3% (8.9% of Total Investments)  
  3,000    

Aramark Corporation, Term Loan

    4.084%        3-Month LIBOR        1.750%        3/11/25        BBB–        3,008,115  
  34,563    

Burger King Corporation, Term Loan B3

    4.327%        1-Month LIBOR        2.250%        2/16/24        B+        34,584,347  
  12,686    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        10/06/24        BB        12,686,250  
  18,408    

Caesars Resort Collection, Term Loan, First Lien

    4.827%        1-Month LIBOR        2.750%        12/23/24        BB        18,503,863  
  1,149    

CCM Merger, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        8/09/21        BB–        1,153,731  
  16,093    

Hilton Hotels, Term Loan B

    3.814%        1-Month LIBOR        1.750%        10/25/23        BBB–        16,166,554  
  5,486    

Las Vegas Sands Corporation, Term Loan B

    3.827%        1-Month LIBOR        1.750%        3/27/25        BBB–        5,481,971  
  22,107    

Life Time Fitness, Inc., Term Loan B

    5.057%        3-Month LIBOR        2.750%        6/10/22        BB–        22,171,160  
  4,692    

MGM Growth Properties, Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/25/25        BB+        4,702,275  
  20,028    

Scientific Games Corporation, Initial Term Loan B5

    4.903%        2-Month LIBOR        2.750%        8/14/24        B+        20,065,590  
  5,000    

Stars Group Holdings, Term Loan B, (DD1)

    5.831%        3-Month LIBOR        3.500%        7/10/25        B+        5,051,825  
  15,576    

Station Casino LLC, Term Loan B

    4.580%        1-Month LIBOR        2.500%        6/08/23        BB        15,636,954  
  2,500    

Wyndham International, Inc., Term Loan B

    3.827%        1-Month LIBOR        1.750%        5/30/25        BBB–        2,508,988  
  14,803    

YUM Brands, Term Loan B

    3.829%        1-Month LIBOR        1.750%        4/03/25        BBB–        14,810,275  
  176,091    

Total Hotels, Restaurants & Leisure

                                                 176,531,898  
      Household Products – 4.1% (2.5% of Total Investments)                              
  11,750    

Energizer Holdings, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        11,797,764  
  26,389    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.577%        1-Month LIBOR        3.500%        11/16/20        CCC+        19,521,698  
  22,965    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.591%        1-Month LIBOR        3.500%        11/08/23        B–        19,322,607  
  61,104    

Total Household Products

                                                 50,642,069  
      Independent Power & Renewable Electricity Producers – 1.0% (0.6% of Total Investments)                
  11,969    

NRG Energy, Inc., Term Loan B

    4.084%        3-Month LIBOR        1.750%        6/30/23        BB+        11,958,808  
      Insurance – 0.8% (0.5% of Total Investments)                                         
  9,834    

Hub International Holdings, Inc., Term Loan B

    5.335%        3-Month LIBOR        3.000%        4/25/25        B        9,839,761  
      Internet Software & Services – 4.3% (2.7% of Total Investments)                       
  18,113    

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

    5.330%        1-Month LIBOR        3.250%        10/19/23        B        18,172,783  
  11,750    

GTT Communications, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        2.750%        6/02/25        B        11,647,188  
  1,516    

Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien

    5.363%        3-Month LIBOR        3.000%        11/03/23        BB–        1,511,181  
  18,764    

Sabre, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        2/22/24        BB        18,802,282  
  4,000    

SkillSoft Corporation, Term Loan, Second Lien, (WI/DD)

    TBD        TBD        TBD        TBD        CCC        3,597,500  
  54,143    

Total Internet Software & Services

                                                 53,730,934  
 

IT Services – 4.0% (2.5% of Total Investments)

 

           
  11,071    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        7/10/22        BB        11,084,442  
  17,324    

First Data Corporation, Term Loan, First Lien

    4.069%        1-Month LIBOR        2.000%        4/26/24        BB        17,338,901  
  3,933    

Neustar, Inc., Term Loan B3

    4.572%        1-Month LIBOR        2.500%        1/08/20        BB–        3,945,417  
  1,588    

Neustar, Inc., Term Loan B4, First Lien

    5.572%        1-Month LIBOR        3.500%        8/08/24        BB–        1,597,187  
  2,330    

PEAK 10, Inc., Term Loan B

    5.834%        3-Month LIBOR        3.500%        8/01/24        B        2,327,129  
  12,875    

Tempo Acquisition LLC, Term Loan B, (5)

    5.077%        1-Month LIBOR        3.000%        5/01/24        B        12,902,579  
  49,121    

Total IT Services

                                                 49,195,655  

 

76


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Leisure Products – 0.1% (0.0% of Total Investments)                              
$ 818    

Academy, Ltd., Term Loan B

    6.092%        1-Month LIBOR        4.000%        7/01/22        CCC+      $ 678,604  
      Life Sciences Tools & Services – 1.0% (0.7% of Total Investments)         
  5,000    

Quintiles Transnational, Dollar Term Loan B3

    4.084%        3-Month LIBOR        1.750%        6/11/25        BBB–        4,975,000  
  7,925    

Parexel International Corp., Term Loan B

    4.827%        1-Month LIBOR        2.750%        9/27/24        B        7,910,141  
  12,925    

Total Life Sciences Tools & Services

                                                 12,885,141  
      Machinery – 2.7% (1.7% of Total Investments)                              
  15,894    

Gardner Denver, Inc., Term Loan B

    4.827%        1-Month LIBOR        2.750%        7/30/24        BB        15,949,736  
  14,925    

Navistar, Inc., Tranche B, Term Loan

    5.600%        1-Month LIBOR        3.500%        11/06/24        B+        14,962,313  
  2,462    

Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien

    4.314%        1-Month LIBOR        2.250%        8/21/24        BB+        2,469,366  
  33,281    

Total Machinery

                                                 33,381,415  
      Marine – 0.2% (0.1% of Total Investments)                                         
  2,669    

Harvey Gulf International Marine, Inc., Exit Term Loan

    10.000%        N/A        N/A        6/06/23        B3        2,690,038  
      Media – 13.9% (8.6% of Total Investments)                              
  7,102    

Acquisitions Cogeco Cable II L.P., Term Loan, First Lien

    4.452%        1-Month LIBOR        2.375%        1/03/25        BB–        7,109,541  
  3,513    

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

    5.327%        1-Month LIBOR        3.250%        7/23/21        B        3,330,899  
  5,000    

Catalina Marketing Corporation, Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        4/09/21        B2        3,189,275  
  7,980    

Charter Communications Operating Holdings LLC, Term Loan B

    4.080%        1-Month LIBOR        2.000%        4/30/25        BBB–        7,993,556  
  14,963    

Cineworld Group PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/28/25        BB–        14,933,622  
  1,290    

Clear Channel Communications, Inc., Tranche D, Term Loan, (6)

    8.827%        N/A        N/A        1/30/19        N/R        1,006,684  
  1,358    

Clear Channel Communications, Inc., Term
Loan E, (6)

    9.580%        N/A        N/A        7/30/19        N/R        1,056,053  
  4,239    

CSC Holdings LLC, Term Loan B

    4.572%        1-Month LIBOR        2.500%        1/25/26        BB–        4,242,025  
  20,434    

Cumulus Media, Inc., Exit Term Loan, (DD1)

    6.580%        1-Month LIBOR        4.500%        5/15/22        B        20,209,483  
  25,177    

EMI Music Publishing, Term Loan

    4.329%        1-Month LIBOR        2.250%        8/20/23        BB–        25,226,857  
  4,354    

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

    5.572%        1-Month LIBOR        3.500%        10/18/19        B3        4,276,111  
  1,269    

Lions Gate Entertainment Corp., Term Loan B

    4.314%        1-Month LIBOR        2.250%        3/24/25        BB–        1,274,246  
  13,633    

Meredith, Term Loan B

    5.077%        1-Month LIBOR        3.000%        1/31/25        BB        13,693,096  
  417    

Nexstar Broadcasting Group, Term Loan

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        417,466  
  3,124    

Nexstar Broadcasting Group, Term Loan B

    4.592%        1-Month LIBOR        2.500%        1/17/24        BB+        3,130,664  
  9,000    

Numericable Group S.A, Term Loan B13, (WI/DD)

    TBD        TBD        TBD        TBD        B        8,819,280  
  4,987    

Sinclair Television Group, Term Loan B2

    4.330%        1-Month LIBOR        2.250%        1/31/24        BB+        4,992,030  
  5,769    

Springer Science & Business Media, Inc., Term Loan B13, First Lien

    5.577%        1-Month LIBOR        3.500%        8/15/22        B        5,769,230  
  25,238    

Tribune Media Company, Term Loan C

    5.077%        1-Month LIBOR        3.000%        1/27/24        BB+        25,259,113  
  3,898    

Univision Communications, Inc., Term Loan C5

    4.827%        1-Month LIBOR        2.750%        3/15/24        BB–        3,789,392  
  12,000    

Virgin Media Investment Holdings Limited, Term Loan K

    4.572%        1-Month LIBOR        2.500%        1/30/26        Ba3        11,999,700  
  174,745    

Total Media

                                                 171,718,323  
      Multiline Retail – 1.1% (0.7% of Total Investments)                              
  4,141    

Belk, Inc., Term Loan B, First Lien

    6.836%        1-Month LIBOR        4.750%        12/12/22        B–        3,280,115  
  9,975    

EG America LLC, Term Loan, First Lien

    6.334%        3-Month LIBOR        4.000%        2/07/25        B        9,951,110  
  14,116    

Total Multiline Retail

                                                 13,231,225  
      Oil, Gas & Consumable Fuels – 2.1% (1.3% of Total Investments)                              
  4,000    

California Resources Corporation, Term Loan B

    6.831%        1-Month LIBOR        4.750%        12/31/22        B        4,076,660  
  4,969    

Fieldwood Energy LLC, Exit Term Loan

    7.327%        1-Month LIBOR        5.250%        4/11/22        B+        4,985,183  
  7,260    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.327%        1-Month LIBOR        7.250%        4/11/23        B+        7,069,715  
  8,978    

McDermott International, Term Loan

    7.077%        1-Month LIBOR        5.000%        5/12/25        BB–        9,046,537  
  899    

Seadrill Partners LLC, Initial Term Loan

    8.334%        3-Month LIBOR        6.000%        2/21/21        CCC+        842,900  
  26,106    

Total Oil, Gas & Consumable Fuels

                                                 26,020,995  

 

77


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Personal Products – 0.9% (0.5% of Total Investments)  
$ 6,000    

Coty, Inc., Term Loan A

    3.847%        1-Month LIBOR        1.750%        4/05/23        BB+      $ 5,947,500  
  5,000    

Coty, Inc., Term Loan B

    4.347%        1-Month LIBOR        2.250%        4/07/25        BB+        4,889,075  
  11,000    

Total Personal Products

                                                 10,836,575  
      Pharmaceuticals – 1.5% (1.0% of Total Investments)                              
  12,927    

Alphabet Holding Company, Inc., Initial Term Loan, First Lien

    5.577%        1-Month LIBOR        3.500%        9/26/24        B–        12,159,812  
  6,770    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

    5.092%        1-Month LIBOR        3.000%        6/02/25        BB–        6,787,742  
  19,697    

Total Pharmaceuticals

                                                 18,947,554  
      Professional Services – 2.8% (1.8% of Total Investments)                              
  943    

Ceridian HCM Holding, Inc., Term Loan B

    5.327%        1-Month LIBOR        3.250%        4/30/25        B–        945,769  
  15,123    

Formula One Group, Term Loan B

    4.577%        1-Month LIBOR        2.500%        2/01/24        B+        15,056,858  
  19,148    

On Assignment, Inc., Term Loan B

    4.077%        1-Month LIBOR        2.000%        4/02/25        BB        19,179,535  
  35,214    

Total Professional Services

                                                 35,182,162  
      Real Estate Management & Development – 2.4% (1.5% of Total Investments)                       
  15,000    

GGP, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        14,898,450  
  14,886    

Capital Automotive LP, Term Loan, First Lien

    4.580%        1-Month LIBOR        2.500%        3/25/24        B        14,911,300  
  29,886    

Total Real Estate Management & Development

                                                 29,809,750  
      Semiconductors & Semiconductor Equipment – 2.4% (1.5% of Total Investments)  
  7,717    

Lumileds, Term Loan B

    5.751%        1-Month LIBOR        3.500%        6/30/24        B+        7,675,463  
  15,500    

Microchip Technology., Inc., Term Loan B

    4.080%        1-Month LIBOR        2.000%        5/29/25        BB+        15,558,125  
  6,413    

ON Semiconductor Corporation, Term Loan B3

    3.827%        1-Month LIBOR        1.750%        3/31/23        Baa3        6,427,048  
  29,630    

Total Semiconductors & Semiconductor Equipment

 

     29,660,636  
      Software – 13.4% (8.4% of Total Investments)                              
  6,965    

Avaya, Inc., Tranche B Term Loan

    6.322%        1-Month LIBOR        4.250%        12/15/24        B        7,005,641  
  3,108    

Blackboard, Inc., Term Loan B4

    7.333%        3-Month LIBOR        5.000%        6/30/21        B–        2,951,772  
  5,000    

BMC Software, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        5,004,900  
  11,697    

Compuware Corporation, Term Loan B3

    5.580%        1-Month LIBOR        3.500%        12/15/21        B        11,741,709  
  18,756    

Ellucian, Term Loan B, First Lien

    5.584%        3-Month LIBOR        3.250%        9/30/22        B        18,809,612  
  10,373    

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

    5.577%        1-Month LIBOR        3.500%        12/01/23        B        10,439,658  
  16,658    

Infor (US), Inc., Term Loan B, (5)

    4.827%        1-Month LIBOR        2.750%        2/01/22        B        16,700,918  
  5,406    

Informatica, Term Loan B

    5.327%        1-Month LIBOR        3.250%        8/05/22        B        5,437,809  
  2,963    

Kronos Incorporated, Term Loan B

    5.358%        3-Month LIBOR        3.000%        11/20/23        B        2,975,089  
  15,169    

Kronos Incorporated, Term Loan B, Second Lien

    10.608%        3-Month LIBOR        8.250%        11/01/24        CCC        15,695,213  
  1,925    

Micro Focus International PLC, New Term Loan

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        1,920,486  
  13,000    

Micro Focus International PLC, Term Loan B

    4.577%        1-Month LIBOR        2.500%        6/21/24        BB–        12,969,515  
  10,261    

Micro Focus International PLC, Term Loan B2

    4.327%        1-Month LIBOR        2.500%        11/19/21        BB–        10,236,546  
  1,213    

Misys, New Term Loan, Second Lien

    9.557%        3-Month LIBOR        7.250%        6/13/25        CCC+        1,173,123  
  3,960    

RP Crown Parent LLC, Term Loan B

    4.827%        1-Month LIBOR        2.750%        10/15/23        B        3,973,421  
  14,463    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        14,522,069  
  5,548    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

    4.577%        1-Month LIBOR        2.500%        4/16/25        BB        5,570,368  
  18,748    

Tibco Software, Inc., Term Loan, First Lien

    5.580%        1-Month LIBOR        3.500%        12/04/20        B        18,827,104  
  165,213    

Total Software

                                                 165,954,953  
      Specialty Retail – 0.8% (0.5% of Total Investments)                              
  3,680    

Petco Animal Supplies, Inc., Term Loan B1

    5.590%        3-Month LIBOR        3.250%        1/26/23        B2        2,656,537  
  8,706    

Petsmart Inc., Term Loan B, First Lien

    5.100%        1-Month LIBOR        3.000%        3/11/22        B3        7,257,043  
  12,386    

Total Specialty Retail

                                                 9,913,580  
      Technology Hardware, Storage & Peripherals – 2.2% (1.4% of Total Investments)                
  14,944    

Dell International LLC, Refinancing Term Loan B

    4.080%        1-Month LIBOR        2.000%        9/07/23        BBB–        14,963,958  
  5,000    

Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        5,032,050  
  7,184    

Western Digital, Term Loan B

    3.827%        1-Month LIBOR        1.750%        4/29/23        BBB–        7,195,140  
  27,128    

Total Technology Hardware, Storage & Peripherals

 

              27,191,148  

 

78


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Trading Companies & Distributors – 0.9% (0.6% of Total Investments)                       
$ 10,918    

HD Supply Waterworks, Ltd., Term Loan B

    5.253%        6-Month LIBOR        3.000%        8/01/24        B+      $ 10,978,910  
      Transportation Infrastructure – 1.1% (0.7% of Total Investments)  
  13,923    

Avolon LLC, Term Loan B, (DD1)

    4.086%        1-Month LIBOR        2.000%        1/15/25        BBB–        13,842,830  
      Wireless Telecommunication Services – 0.9% (0.5% of Total Investments)  
  4,938    

Sprint Corporation, Term Loan, First Lien

    4.625%        1-Month LIBOR        2.500%        2/02/24        BB–        4,944,906  
  5,586    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.078%        1-Month LIBOR        5.000%        3/09/23        B        5,601,110  
  10,524    

Total Wireless Telecommunication Services

                                                 10,546,016  
$ 1,581,924    

Total Variable Rate Senior Loan Interests (cost $1,581,632,324)

 

                       1,557,459,059  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 22.5% (14.0% of Total Investments)

 

      Airlines – 0.2% (0.1% of Total Investments)  
$ 2,000    

American Airlines Group Inc., 144A

                      4.625%        3/01/20        BB–      $ 2,007,500  
      Banks – 0.8% (0.5% of Total Investments)                       
  5,000    

JP Morgan Chase & Company, (5)

          2.161%        6/01/21        AA–        5,039,000  
  5,000    

Wells Fargo & Company, (5)

                      3.661%        3/04/21        A+        5,118,595  
  10,000    

Total Banks

                                                 10,157,595  
      Commercial Services & Supplies – 0.1% (0.1% of Total Investments)  
  1,179    

West Corporation, 144A

                      8.500%        10/15/25        B3        1,025,730  
      Communications Equipment – 0.7% (0.4% of Total Investments)  
  8,510    

CommScope Technologies LLC, 144A, (5)

                      6.000%        6/15/25        BB–        8,765,300  
      Diversified Financial Services – 0.2% (0.1% of Total Investments)  
  3,000    

Park Aerospace Holdings Ltd, 144A, (5)

                      5.500%        2/15/24        BB        2,962,500  
      Diversified Telecommunication Services – 2.0% (1.2% of Total Investments)  
  3,612    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        3,327,555  
  6,000    

Intelsat Jackson Holdings SA, 144A, (5)

          9.750%        7/15/25        CCC+        6,412,500  
  5,413    

Intelsat Luxembourg SA

          7.750%        6/01/21        Ca        5,142,350  
  11,395    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC-        9,771,212  
  26,420    

Total Diversified Telecommunication Services

                                                 24,653,617  
      Food Products – 0.2% (0.1% of Total Investments)                                     
  3,000    

B&G Foods Inc.

                      5.250%        4/01/25        B+        2,880,000  
      Health Care Equipment & Supplies – 0.6% (0.4% of Total Investments)  
  6,965    

Kinetic Concepts Inc., 144A, (5)

                      7.875%        2/15/21        B1        7,126,379  
      Health Care Providers & Services – 7.0% (4.3% of Total Investments)  
  5,000    

Centene Corporation

          4.750%        5/15/22        BB+        5,056,250  
  4,000    

Centene Corporation, 144A

          5.375%        6/01/26        BB+        4,095,000  
  9,500    

DJO Finance LLC, 144A, (5)

          8.125%        6/15/21        CCC        9,761,250  
  2,282    

Envision Healthcare Corporation, 144A

          5.125%        7/01/22        B        2,313,377  
  4,000    

HCA Inc.

          6.500%        2/15/20        BBB–        4,163,200  
  4,000    

HCA Inc.

          5.250%        6/15/26        BBB–        4,060,000  
  6,000    

Molina Healthcare Inc.

          5.375%        11/15/22        BB–        6,120,000  
  5,000    

Molina Healthcare Inc., 144A

          4.875%        6/15/25        BB–        4,881,250  
  12,650    

Polaris Intermediate Corporation, 144A, (5)

          8.500%        12/01/22        B–        13,076,938  
  5,200    

Select Medical Corporation, (5)

          6.375%        6/01/21        B–        5,252,000  
  1,500    

Tenet Healthcare Corporation

          4.750%        6/01/20        BB–        1,518,750  
  17,000    

Tenet Healthcare Corporation, (5)

          6.000%        10/01/20        BB–        17,658,750  
  8,000    

WellCare Health Plans Inc., (5)

                      5.250%        4/01/25        BB        8,050,000  
  84,132    

Total Health Care Providers & Services

 

                                         86,006,765  

 

79


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Hotels, Restaurants & Leisure – 1.4% (0.9% of Total Investments)         
$ 16,080    

Scientific Games International Inc., (5)

                      10.000%        12/01/22        B–      $ 17,165,400  
      Media – 2.7% (1.7% of Total Investments)                                     
  2,860    

Altice US Finance I Corporation, 144A, (5)

          5.375%        7/15/23        BB        2,885,025  
  4,000    

CCO Holdings LLC, 144A, (5)

          5.125%        5/01/23        BB+        3,990,000  
  7,000    

CSC Holdings LLC, 144A, (5)

          5.500%        4/15/27        Ba2        6,737,500  
  6,000    

Hughes Satellite Systems Corporation, (5)

          5.250%        8/01/26        BBB–        5,730,000  
  10,609    

iHeartCommunications Inc., (6)

          9.000%        12/15/19        CC        8,275,020  
  42,258    

iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (6)

          14.000%        2/01/21        C        5,599,207  
  240    

iHeartCommunications Inc., (6)

                      9.000%        3/01/21        CC        183,600  
  72,967    

Total Media

                                                 33,400,352  
      Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)                                     
  16,000    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        14,320,000  
  5,000    

Mcdermott Escrow 1, 144A

                      10.625%        5/01/24        B2        5,187,500  
  21,000    

Total Oil, Gas & Consumable Fuels

                                                 19,507,500  
      Pharmaceuticals – 0.6% (0.4% of Total Investments)                
  7,000    

Bausch Health Companies Inc., 144A, (5)

          6.500%        3/15/22        BB–        7,298,900  
  4,850    

Concordia International Corporation, 144A, (6)

                      9.500%        10/21/22        C        291,000  
  11,850    

Total Pharmaceuticals

                                                 7,589,900  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)                
  3,167    

Advanced Micro Devices Inc., (5)

          7.500%        8/15/22        B        3,523,288  
  1,719    

Advanced Micro Devices Inc.

                      7.000%        7/01/24        B        1,817,843  
  4,886    

Total Semiconductors & Semiconductor Equipment

 

                                5,341,131  
      Software – 0.0% (0.0% of Total Investments)  
  19,375    

Avaya Holdings Corporation, 144A, (6), (9)

          7.000%        4/01/19        N/R         
  9,250    

Avaya Holdings Corporation, 144A, (6), (9)

                      10.500%        3/01/21        N/R         
  28,625    

Total Software

                                                  
      Technology Hardware, Storage & Peripherals – 0.8% (0.5% of Total Investments)                
  5,000    

Dell International LLC, 144A, (5)

          5.875%        6/15/21        BB+        5,118,374  
  5,000    

Dell International LLC, 144A, (5)

                      7.125%        6/15/24        BB+        5,375,000  
  10,000    

Total Technology Hardware, Storage & Peripherals

 

                                         10,493,374  
      Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)  
  1,000    

Hughes Satellite Systems Corporation

          6.625%        8/01/26        BB–        952,500  
  2,500    

Sprint Corporation

          7.250%        9/15/21        B+        2,628,125  
  22,000    

Sprint Corporation, (5)

          7.875%        9/15/23        B+        23,457,500  
  12,000    

T-Mobile USA Inc., (5)

                      6.375%        3/01/25        BB+        12,510,000  
  37,500    

Total Wireless Telecommunication Services

 

                       39,548,125  
$ 348,114    

Total Corporate Bonds (cost $311,438,326)

 

                       278,631,168  
Shares     Description (1), (9)                                           Value  
 

EXCHANGE-TRADED FUNDS – 4.2% (2.6% of Total Investments)

 

  2,259,313    

Invesco Senior Loan ETF

                                               $ 52,009,385  
 

Total Exchange-Traded Funds (cost $52,264,894)

 

                                         52,009,385  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.3% (1.5% of Total Investments)

 

      Diversified Consumer Services – 0.3% (0.2% of Total Investments)  
  403,318    

Cengage Learning Holdings II Inc., (7), (8)

                                               $ 3,896,455  

 

80


Shares     Description (1)                                           Value  
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)  
  133,936    

Ocean Rig UDW Inc., (7)

                 $ 3,755,565  
  10,935    

Vantage Drilling International, (7), (8)

                                                 3,225,825  
 

Total Energy Equipment & Services

 

                                6,981,390  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  227,437    

Millennium Health LLC, (7), (8)

                   9,780  
  211,860    

Millennium Health LLC, (7), (9)

                    
  198,883    

Millennium Health LLC, (7), (9)

                                                  
 

Total Health Care Providers & Services

 

                                         9,780  
      Marine – 0.1% (0.1% of Total Investments)                                     
  28,051    

HGIM Corporation, (8)

                   1,304,372  
  6,278    

HGIM Corporation, (7), (8)

                                                 291,927  
 

Total Marine

                                                 1,596,299  
      Media – 0.4% (0.2% of Total Investments)                                     
  51,719    

Affinion Group Holdings Inc., (7), (8)

                   715,429  
  262,501    

Cumulus Media Inc., (7), (8)

                   4,243,854  
  17,987    

Tribune Media Company, (8)

                                                 6,296  
 

Total Media

                                                 4,965,579  
      Software – 0.9% (0.6% of Total Investments)  
  545,726    

Avaya Holdings Corporation, (7)

                                                 11,231,041  
 

Total Common Stocks (cost $49,657,180)

 

                                         28,680,544  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)

 

      Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)  
  10,775    

Fieldwood Energy LLC, (7), (8)

                 $ 567,487  
  49,247    

Fieldwood Energy LLC, (7), (9)

                                                 2,142,460  
 

Total Common Stock Rights (cost $1,440,786)

                                                 2,709,947  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  37,723    

Avaya Holdings Corporation

                                                 145,234  
 

Total Warrants (cost $4,921,202)

                                                 145,234  
 

Total Long-Term Investments (cost $2,001,354,712)

 

                                         1,919,635,337  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 5.4% (3.4% of Total Investments)

 

 

INVESTMENT COMPANIES – 5.4% (3.4% of Total Investments)

 

  66,713,030    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

                      1.809% (11)                        $ 66,713,030  
 

Total Short-Term Investments (cost $66,713,030)

 

                       66,713,030  
 

Total Investments (cost $2,068,067,742) – 160.5%

 

                       1,986,348,367  
 

Borrowings – (45.3)% (12), (13)

 

                       (561,000,000
 

Reverse Repurchase Agreements – (11.7)% (14)

 

                       (145,000,000
 

Other Assets Less Liabilities – (3.5)% (15)

 

                       (43,086,262
 

Net Assets Applicable to Common Shares – 100%

 

                     $ 1,237,262,105  

 

81


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    July 31, 2018

 

 

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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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.

 

(3)

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.

 

(4)

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.

 

(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 $234,592,563 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)

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.

 

(9)

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.

 

(10)

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

 

(11)

The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)

Borrowings as a percentage of Total Investments is 28.2%.

 

(13)

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.

 

(14)

Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

(15)

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.

 

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.

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

ETF

Exchange-Traded Fund

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

82


Statement of Assets and Liabilities

July 31, 2018

 

     NSL     JFR     JRO     JSD     JQC  

Assets

         

Long-term investments, at value (cost $435,448,873, $1,054,402,121, $741,219,144, $289,136,000 and $2,001,354,712, respectively)

  $ 420,634,225     $ 1,028,387,683     $ 720,885,567     $ 284,183,206     $ 1,919,635,337  

Short-term investments, at value (cost approximates value)

    10,121,429       23,541,090       17,156,361       8,118,505       66,713,030  

Cash

                43,750       37        

Cash collateral at brokers for investments in swaps(1)

    1,160,000       2,383,000       2,113,000       275,491       1,294  

Credit default swaps premiums paid

                      10,980        

Unrealized appreciation on interest rate swaps

   

 
   
2,861
 
   

 
   
16,275
 
   

 

Receivable for:

         

Interest

    1,740,640       4,399,178       3,074,619       1,276,560       9,725,394  

Investments sold

    3,281,163       8,123,791       7,366,486       3,456,168       35,343,300  

Reclaims

                            17,480  

Shares sold

          31,001                    

Other assets

    128,912       150,042       115,765       29,312       412,389  

Total assets

    437,066,369       1,067,018,646       750,755,548       297,366,534       2,031,848,224  

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, $55 and $18, respectively)

    1,038       2,642       1,765       53       18  

Unrealized depreciation on interest rate swaps

    1,198,980       2,433,446       2,331,087       189,879        

Payable for:

         

Dividends

    1,268,771       3,241,747       2,339,654       949,425       4,980,541  

Investments purchased

    10,844,216       24,632,406       17,683,936       8,403,470       79,229,498  

Unfunded senior loans

    61,505       131,189       78,926       61,505        

Variation margin on swaps contracts

                     
529
 
   

 

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)

    42,401,767       124,022,961       82,913,025       34,564,434        

Accrued expenses:

         

Interest

    584             430,927             2,182,634  

Management fees

    290,337       698,377       494,273       197,208       1,323,430  

Trustees fees

    84,820       156,418       99,088       18,416       409,407  

Other

    161,933       242,614       204,443       97,589       460,591  

Total liabilities

    170,313,951       409,861,800       285,377,124       116,482,508       794,586,119  

Net assets applicable to common shares

  $ 266,752,418     $ 657,156,846     $ 465,378,424     $ 180,884,026     $ 1,237,262,105  

Common shares outstanding

    38,621,872       56,918,468       40,561,218       10,095,648       135,766,990  

Net asset value (“NAV”) per common share outstanding

  $ 6.91     $ 11.55     $ 11.47     $ 17.92     $ 9.11  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,219     $ 569,185     $ 405,612     $ 100,956     $ 1,357,670  

Paid-in surplus

    287,799,483       708,896,922       503,528,297       191,865,113       1,388,019,831  

Undistributed (Over-distribution of) net investment income

    492,596       (6,939,292     (4,665,678     (1,022,611     (21,887,770

Accumulated net realized gain (loss)

    (5,912,182     (16,924,767     (11,225,024     (4,891,049     (48,508,929

Net unrealized appreciation (depreciation)

    (16,013,698     (28,445,202     (22,664,783     (5,168,383     (81,718,697

Net assets applicable to common shares

  $ 266,752,418     $ 657,156,846     $ 465,378,424     $ 180,884,026     $ 1,237,262,105  

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.

 

83


Statement of Operations

Year Ended July 31, 2018

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 23,740,502        $ 55,730,682        $ 39,691,202        $ 16,939,908        $ 94,569,602  

Fees

     460,734          1,165,689          924,760          365,260          2,427,962  

Foreign tax withheld on dividend income

                                         (6,057

Total investment income

     24,201,236          56,896,371          40,615,962          17,305,168          96,991,507  

Expenses

                      

Management fees

     3,414,347          8,243,070          5,822,784          2,318,385          15,597,131  

Interest expense and amortization of offering costs

     3,857,691          10,543,262          7,381,791          2,585,263          20,608,669  

Custodian fees

     130,124          279,608          196,702          103,577          407,375  

Trustees fees

     13,007          31,934          22,378          8,827          59,867  

Professional fees

     120,668          167,679          169,968          122,594          95,015  

Shareholder reporting expenses

     68,075          156,831          139,153          54,628          192,403  

Shareholder servicing agent fees

     14,302          35,952          29,238          13,174          2,711  

Stock exchange listing fees

     10,845          6,267          11,142          6,850          38,124  

Investor relations expenses

     29,263          68,777          49,101          21,702          126,268  

Other

     26,021          65,532          45,804          67,964          36,489  

Total expenses

     7,684,343          19,598,912          13,868,061          5,302,964          37,164,052  

Net investment income (loss)

     16,516,893          37,297,459          26,747,901          12,002,204          59,827,455  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     988,609          (3,918,156        (2,177,791        (1,771,955        (9,945,000

Swaps

     (170,366        710,097          661,463          (201,725        1,412,527  

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     (1,461,678        795,592          828,220          1,590,671          (5,536,690

Swaps

     (650,645        (3,024,738        (2,851,257        (104,691        (1,375,436

Net realized and unrealized gain (loss)

     (1,294,080        (5,437,205        (3,539,365        (487,700        (15,444,599

Net increase (decrease) in net assets applicable to common shares from operations

   $ 15,222,813        $ 31,860,254        $ 23,208,536        $ 11,514,504        $ 44,382,856  

 

See accompanying notes to financial statements.

 

84


Statement of Changes in Net Assets

 

     NSL        JFR  
     

Year

Ended

7/31/18

      

Year
Ended

7/31/17

      

Year

Ended

7/31/18

      

Year
Ended

7/31/17

 

Operations

                 

Net investment income (loss)

   $ 16,516,893        $ 17,911,275        $ 37,297,459        $ 40,564,055  

Net realized gain (loss) from:

                 

Investments and foreign currency

     988,609          (4,031,259        (3,918,156        (8,532,524

Swaps

     (170,366        91,003          710,097          613,807  

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (1,461,678        12,529,108          795,592          32,737,753  

Swaps

     (650,645        (548,335        (3,024,738        594,153  

Net increase (decrease) in net assets applicable to common shares from
operations

     15,222,813          25,951,792          31,860,254          65,977,244  

Distributions to Common Shareholders

                 

From net investment income

     (17,553,641        (17,939,860        (44,003,590        (43,953,958

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (17,553,641        (17,939,860        (44,003,590        (43,953,958

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

                       5,297,434          15,091,303  

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

                       139,663          121,767  

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

                       5,437,097          15,213,070  

Net increase (decrease) in net assets applicable to common shares

     (2,330,828        8,011,932          (6,706,239        37,236,356  

Net assets applicable to common shares at the beginning of period

     269,083,246          261,071,314          663,863,085          626,626,729  

Net assets applicable to common shares at the end of period

   $ 266,752,418        $ 269,083,246        $ 657,156,846        $ 663,863,085  

Undistributed (Over-distribution of) net investment income at the end of
period

   $ 492,596        $ 1,414,437        $ (6,939,292      $ (2,196,740

 

See accompanying notes to financial statements.

 

85


Statement of Changes in Net Assets (continued)

 

 

     JRO        JSD  
     

Year

Ended

7/31/18

      

Year
Ended

7/31/17

      

Year

Ended

7/31/18

      

Year
Ended

7/31/17

 

Operations

                 

Net investment income (loss)

   $ 26,747,901        $ 29,600,300        $ 12,002,204        $ 13,027,167  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (2,177,791        (5,253,292        (1,771,955        (394,906

Swaps

     661,463          551,837          (201,725        (219,417

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     828,220          21,359,115          1,590,671          6,049,708  

Swaps

     (2,851,257        520,170          (104,691        36,637  

Net increase (decrease) in net assets applicable to common shares from
operations

     23,208,536          46,778,130          11,514,504          18,499,189  

Distributions to Common Shareholders

                 

From net investment income

     (32,185,250        (32,191,923        (13,098,094        (12,568,708

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (32,185,250        (32,191,923        (13,098,094        (12,568,708

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

     9,134,335          15,230,348                   6,592  

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

     59,873          155,546                    

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     9,194,208          15,385,894                   6,592  

Net increase (decrease) in net assets applicable to common shares

     217,494          29,972,101          (1,583,590        5,937,073  

Net assets applicable to common shares at the beginning of period

     465,160,930          435,188,829          182,467,616          176,530,543  

Net assets applicable to common shares at the end of period

   $ 465,378,424        $ 465,160,930        $ 180,884,026        $ 182,467,616  

Undistributed (Over-distribution of) net investment income at the end of
period

   $ (4,665,678      $ (965,676      $ (1,022,611      $ (11,416

 

See accompanying notes to financial statements.

 

86


     JQC  
     

Year

Ended

7/31/18

      

Year
Ended

7/31/17

 

Operations

       

Net investment income (loss)

   $ 59,827,455        $ 70,740,263  

Net realized gain (loss) from:

       

Investments and foreign currency

     (9,945,000        (10,861,280

Swaps

     1,412,527          773,240  

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     (5,536,690        33,609,756  

Swaps

     (1,375,436        921,111  

Net increase (decrease) in net assets applicable to common shares from
operations

     44,382,856          95,183,090  

Distributions to Common Shareholders

       

From net investment income

     (72,567,457        (84,990,137

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (72,567,457        (84,990,137

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

               

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

               

Net increase (decrease) in net assets applicable to common shares

     (28,184,601        10,192,953  

Net assets applicable to common shares at the beginning of period

     1,265,446,706          1,255,253,753  

Net assets applicable to common shares at the end of period

   $ 1,237,262,105        $ 1,265,446,706  

Undistributed (Over-distribution of) net investment income at the end of
period

   $ (21,887,770      $ (12,939,539

 

See accompanying notes to financial statements.

 

87


Statement of Cash Flows

Year Ended July 31, 2018

 

     NSL     JFR     JRO     JSD     JQC  

Cash Flows from Operating Activities:

         

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ 15,222,813     $ 31,860,254     $ 23,208,536     $ 11,514,504     $ 44,382,856  

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

    (123,473,935     (317,870,164     (234,308,007     (82,502,625     (883,387,759

Proceeds from sales and maturities of investments

    121,364,217       287,964,525       208,129,580       83,305,125       857,737,464  

Proceeds from (Purchases of) short-term investments, net

    2,459,891       29,136,652       21,192,342       (1,859,724     13,041,389  

Proceeds from (Payments for) cash denominated in foreign currencies, net

                      55       18  

Premiums received (paid) for credit default swaps

                      (10,980     395,974  

Payment-in-kind distributions

    (108,806     (232,993     (238,542     (68,096     (437,796

Taxes paid

    (49,617     (35,669     (14,960            

Proceeds from litigation settlement

                      1,231       195,177  

Amortization (Accretion) of premiums and discounts, net

    (2,259,416     (3,685,479     (2,977,050     (1,757,985     (270,946

Amortization of deferred offering costs

    177,576       214,436       243,222       192,939        

(Increase) Decrease in:

         

Cash collateral at brokers for investments in swaps

    (529,000     (2,383,000     (2,113,000     (5,491     796,336  

Receivable for dividends

                            72  

Receivable for interest

    790,897       1,424,786       1,377,112       476,258       2,067,514  

Receivable for investments sold

    6,535,865       16,213,151       11,121,217       5,147,107       2,269,475  

Receivable for reclaims

                            15,176  

Receivable for shares sold

          29,353       637,360              

Receivable for variation margin on swap contracts

                            5,302  

Other assets

    (16,497     102,586       (17,874     84,587       (73,072

Increase (Decrease) in:

         

Payable for investments purchased

    (3,491,122     (9,667,745     (7,153,758     (1,657,217     21,631,767  

Payable for offering costs

          (74,579                  

Payable for unfunded senior loans

    38,661       85,502       44,660       38,661        

Payable for variation margin on swap contracts

                      529        

Accrued interest

    441       (24     129,037       (1,702     427,205  

Accrued management fees

    (1,525     (4,014     1,393       (1,169     (17,815

Accrued Trustees fees

    16,422       28,439       17,746       2,793       73,533  

Accrued other expenses

    (21,439     112,116       44,639       4,311       90,658  

Net realized (gain) loss from:

         

Investments and foreign currency

    (988,609     3,918,156       2,177,791       1,771,955       9,945,000  

Paydowns

          (113,466     (75,644            

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    1,461,678       (795,592     (828,220     (1,590,671     5,536,690  

Swaps(1)

    650,645       3,024,738       2,851,257       62,704        

Net cash provided by (used in) operating activities

    17,779,140       39,251,969       23,448,837       13,147,099       74,424,218  

Cash Flows from Financing Activities:

         

(Payments for) deferred offering costs

          (186,204                  

Proceeds from shelf offering, net of offering costs

          5,297,434       9,134,335              

Cash distributions paid to common shareholders

    (17,780,433     (44,392,322     (32,557,222     (13,148,018     (74,642,114

Net cash provided by (used in) financing activities

    (17,780,433     (39,281,092     (23,422,887     (13,148,018     (74,642,114

Net Increase (Decrease) in Cash

    (1,293     (29,123     25,950       (919     (217,896

Cash at the beginning of period

    1,293       29,123       17,800       956       217,896  

Cash at the end of period

  $     $     $ 43,750     $ 37     $  
Supplemental Disclosure of Cash Flow Information   NSL     JFR     JRO     JSD     JQC  

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 3,615,154     $ 10,372,959     $ 6,930,126     $ 2,365,965     $ 20,019,985  

Non-cash financing activities not included herein consists of reinvestments of common share distributions

          139,663       59,873              
(1)

Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

88


THIS PAGE INTENTIONALLY LEFT BLANK

 

89


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:

 

2018

  $ 6.97     $ 0.43      $ (0.04    $ 0.39     $ (0.45   $   —     $ (0.45   $   —     $   —     $   —     $ 6.91     $ 6.13  

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  

JFR

 

Year Ended 7/31:

 

2018

    11.76       0.66        (0.10      0.56       (0.77           (0.77                     11.55       10.30  

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  

 

90


            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)
 
                                             
         
  5.91     (3.78 )%    $ 266,752       2.90     6.24     29
  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  
                                             
         
  5.01       (6.64     657,157       2.99       5.68       29  
  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  

 

(a)

Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)

Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

NSL

 

Year Ended 7/31:

 

2018

    1.46

2017

    1.19  

2016

    1.08  

2015

    0.89  

2014

    0.72  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2018

    1.61

2017

    1.24  

2016

    1.08  

2015

    0.88  

2014

    0.71  
 

 

(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.

 

91


Financial Highlights (continued)

 

Selected data for a common share outstanding throughout each period:

 

           Investment Operations     Less Distributions to
Common Shareholders
     Common Share  
     Beginning
Common
Share
NAV
     Net
Investment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
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:

                             

2018

  $ 11.70      $ 0.66      $ (0.09    $ 0.57     $ (0.80   $        (0.80    $   —      $    $ 11.47      $ 10.23  

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  

JSD

 

Year Ended 7/31:

                             

2018

    18.07        1.19        (0.04      1.15       (1.30            (1.30                    17.92        16.67  

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  

 

92


            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)
 
                                             
         
  5.06     (7.38 )%    $ 465,378       2.99     5.77     30
  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  
                                             
         
  6.66       1.33       180,884       2.96       6.69       29  
  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  

 

(a)

Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)

Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

 

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JRO

 

Year Ended 7/31:

 

2018

    1.59

2017

    1.27  

2016

    1.08  

2015

    0.89  

2014

    0.71  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2018

    1.44

2017

    1.07  

2016

    0.82  

2015

    0.45  

2014

    0.50  
 

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.

*

Rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

93


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:

 

2018

  $ 9.32     $ 0.44     $ (0.12   $ 0.32     $ (0.53   $   —     $ (0.53   $   —     $ 9.11     $ 7.89  

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  

 

(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 (as described in Note 9 – Fund Leverage), where applicable.
    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 Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

 

2018

    1.67

2017

    1.23  

2016

    1.01  

2015

    0.66  

2014

    0.52  

 

94


            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)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(e)
 
                                                             
             
  3.64     (3.09 )%    $ 1,237,262       3.01     4.84     N/A       N/A       45
  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  

 

(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)

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.

N/A

Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

95


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(a)
       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:

 

                        

2018

  $ 114,000        $ 3,717        $        $        $ 43,000        $ 2,699        $ 2.70  

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  

JFR

 

                                                      

Year Ended 7/31:

 

                        

2018

    254,300          4,077                            125,200          2,732          2.73  

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  

JRO

 

                                                      

Year Ended 7/31:

 

                        

2018

    178,800          4,073                            84,000          2,771          2.77  

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  

JSD

 

                                                      

Year Ended 7/31:

 

                        

2018

    72,000          3,998                            35,000          2,691          2.69  

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                                               

JQC

 

                                                      

Year Ended 7/31:

 

                        

2018

    561,000          3,205                                               

2017

    561,000          3,256                                               

2016

    561,000          3,238                                               

2015

    640,000          3,101                                               

2014

    606,000          3,304                                               

 

96


(a)

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 equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

NSL

                  

Year Ended 7/31:

 

    

2016

  $ 101,000        $ 2,788  

2015

    112,500          2,622  

2014

    112,000          2,706  
    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JFR

               

Year Ended 7/31:

 

 

2016

  $ 240,800     $ 2,797  

2015

    270,300       2,619  

2014

    269,000       2,702  
 

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

JRO

                  

Year Ended 7/31:

 

    

2016

  $ 166,800        $ 2,800  

2015

    188,800          2,617  

2014

    188,000          2,706  

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JSD

               

Year Ended 7/31:

 

 

2016

  $ 64,000     $ 2,783  
 

 

See accompanying notes to financial statements.

 

97


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, 2018, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2018 (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.

 

98


 

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

  $ 10,841,094      $ 24,625,388      $ 17,678,933      $ 8,401,389      $ 72,049,172  

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (“PIK”) interest and fee income, if any. PIK interest represents income received in the form of securities in lien of cash. 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.

 

99


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.

 

100


 

Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

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

   $      $ 361,594,545      $      $ 361,594,545  

Corporate Bonds**

            50,347,024        ***       50,347,024  

Common Stocks**

     4,619,855        3,549,753        61,451        8,231,059  

Common Stocks Rights**

            87,164        328,980        416,144  

Warrants

     45,453                      45,453  

Short-Term Investments:

           

Investment Companies

     10,121,429                      10,121,429  

Investments in Derivatives:

           

Interest Rate Swaps****

            (1,198,980             (1,198,980

Total

   $ 14,786,737      $ 414,379,506      $ 390,431      $ 429,556,674  
JFR                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 858,465,241      $      $ 858,465,241  

Corporate Bonds**

            128,743,393        ***       128,743,393  

Common Stocks**

     9,719,872        8,789,266        122,902        18,632,040  

Investment Companies

     11,344,819                      11,344,819  

Asset-Backed Securities

            10,324,307               10,324,307  

Common Stock Rights**

            161,319        608,931        770,250  

Warrants

     80,858                      80,858  

Convertible Bonds

            26,775               26,775  

Short-Term Investments:

           

Investment Companies

     23,541,090                      23,541,090  

Investments in Derivatives:

           

Interest Rate Swaps****

            (2,430,585             (2,430,585

Total

   $ 44,686,639      $ 1,004,079,716      $ 731,833      $ 1,049,498,188  

 

101


Notes to Financial Statements (continued)

 

JRO    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 607,965,953      $      $ 607,965,953  

Corporate Bonds**

            92,721,037        ***       92,721,037  

Common Stocks**

     7,683,417        6,895,305        92,176        14,670,898  

Asset-Backed Securities

            4,655,546               4,655,546  

Common Stock Rights**

            166,428        628,247        794,675  

Warrants

     60,133                      60,133  

Convertible Bonds

            17,325               17,325  

Short-Term Investments:

           

Investment Companies

     17,156,361                      17,156,361  

Investments in Derivatives:

           

Interest Rate Swaps****

            (2,331,087             (2,331,087

Total

   $ 24,899,911      $ 710,090,507      $ 720,423      $ 735,710,841  
JSD                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 241,464,881      $      $ 241,464,881  

Corporate Bonds**

            37,008,096        ***       37,008,096  

Common Stocks**

     3,235,236        1,951,935        61,451        5,248,622  

Common Stock Rights**

            89,797        339,073        428,870  

Warrants

     32,737                      32,737  

Short-Term Investments:

           

Investment Companies

     8,118,505                      8,118,505  

Investments in Derivatives:

           

Credit Default Swaps****

            (41,987             (41,987

Interest Rate Swaps****

            (173,604             (173,604

Total

   $ 11,386,478      $ 280,299,118      $ 400,524      $ 292,086,120  
JQC                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 1,557,459,059      $      $ 1,557,459,059  

Corporate Bonds**

            278,631,168        ***       278,631,168  

Exchange-Traded Funds

     52,009,385                      52,009,385  

Common Stocks**

     14,986,606        13,693,938        ***       28,680,544  

Common Stock Rights**

            567,487        2,142,460        2,709,947  

Warrants**

     145,234                      145,234  

Short-Term Investments:

           

Investment Companies

     66,713,030                      66,713,030  

Total

   $ 133,854,255      $ 1,850,351,652      $ 2,142,460      $ 1,986,348,367  
*

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.

 

102


 

 

  (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.

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

 

103


Notes to Financial Statements (continued)

 

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 for an interest rate swap 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.

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 amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps.”

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 for investment in swaps” 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” 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 received and/or paid” 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*

  $ 43,000,000     $ 123,160,000     $ 84,000,000     $ 52,500,000  
*

The average notional amount is calculated based on the outstanding notional at the beginning of the current 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

 

104


 

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.

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” 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 for investments in swaps” 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. Conversely, if a 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 credit default swaps” 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*

  $ 2,200,000     $ 7,880,000  
*

The average notional amount is calculated based on the outstanding notional at the beginning of the current 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    $ (1,198,980
JFR               
Interest rate    Swaps (OTC Uncleared)  

Unrealized appreciation on interest rate swaps

   $ 2,861             Unrealized depreciation on interest rate swaps    $ (2,433,446
JRO               
Interest rate    Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (2,331,087

 

105


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  
JSD               
Credit    Swaps (OTC Cleared)      $             Payable for variation margin on swap contracts**^    $ (41,987
Interest Rate    Swaps (OTC Uncleared)  

Unrealized appreciation on interest rate swaps

   $ 16,275             Unrealized depreciation on interest rate swaps    $ (189,879
Total             $ 16,275                  $ (231,866
**

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***
     Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
     Collateral
Pledged
to (from)
Counterparty
     Net
Exposure
 
NSL   

Morgan Stanley Capital Services LLC

   $      $ (1,198,980    $ (1,198,980    $ 1,160,000      $ (38,980
JFR   

Morgan Stanley Capital Services LLC

     2,861        (2,433,446      (2,430,585      2,383,000        (47,585
JRO   

Morgan Stanley Capital Services LLC

            (2,331,087      (2,331,087      2,113,000        (218,087
JSD   

Morgan Stanley Capital Services LLC

     16,275        (189,879      (173,604      173,604         
***

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      $ (170,366      $ (650,645
JFR      Interest rate      Swaps      $ 710,097        $ (3,024,738
JRO      Interest rate      Swaps      $ 661,463        $ (2,851,257
JSD                    
     Credit      Swaps      $ (85,971      $ (41,987
       Interest rate      Swaps        (115,754        (62,704
Total                    $ (201,725      $ (104,691
JQC      Credit      Swaps      $ 1,412,527        $ (1,375,436

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

 

106


 

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.

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 prior 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 each 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 and prior fiscal period were as follows:

 

    NSL        JFR  
     Year Ended
7/31/18*
       Year Ended
7/31/17**
       Year Ended
7/31/18
       Year Ended
7/31/17***
 

Additional authorized common shares

    8,800,000          8,800,000          12,900,000          12,900,000  

Common shares sold

                      452,068          1,274,890  

Offering proceeds, net of offering costs

  $        $        $ 5,297,434        $ 15,091,303  
    JRO        JSD  
     Year Ended
7/31/18
       Year Ended
7/31/17***
       Year Ended
7/31/18*
       Year Ended
7/31/17**
 

Additional authorized common shares

    8,500,000          8,500,000          1,000,000          1,000,000  

Common shares sold

    783,600          1,280,410                   362  

Offering proceeds, net of offering costs

  $ 9,134,335        $ 15,230,348        $        $ 6,592  
*

Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.

**

Represents additional authorized common shares for the period March 8, 2017 through July 31, 2017.

***

Represents additional authorized common shares for the period February 22, 2017 through July 31, 2017.

Costs incurred by the Funds in connection with their initial shelf registrations were recorded as a prepaid expense and recognized as “Deferred offering costs” on the Statement of Assets and Liabilities. These costs are amortized pro rata as shares are sold and are recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any deferred offering costs remaining one year after effectiveness of the initial shelf registration will be expensed. Costs incurred by the Funds to keep the shelf registration current are expensed as incurred and recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares for the Funds during the Funds’ current and prior fiscal period, where applicable, were as follows:

 

     JFR      JRO  
      Year Ended
7/31/18
     Year Ended
7/31/17
     Year Ended
7/31/18
     Year Ended
7/31/17
 

Common shares:

           

Sold through shelf offering

     452,068        1,274,890        783,600        1,280,410  

Issued to shareholders due to reinvestment of distributions

     11,975        10,319        5,155        13,271  

Weighted average common share:

           

Premium to NAV per shelf offering share sold

     1.38      1.62      1.71      2.17

 

107


Notes to Financial Statements (continued)

 

                   JSD  
                      Year Ended
7/31/18
     Year Ended
7/31/17
 

Common shares:

           

Sold through shelf offering

                  362  

Issued to shareholders due to reinvestment of distributions

                               

Weighted average common share:

           

Premium to NAV per shelf offering share sold

                              1.34

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, NSL, JFR, JRO and JSD had $42,401,767, $124,022,961, $82,913,025 and $34,564,434 Term Preferred at liquidation preference, net of deferred offering costs, respectively. Further details of the Funds’ Term Preferred Shares outstanding as of the end of the reporting period, 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

 

108


 

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        $ 125,200,000        $ 84,000,000        $ 35,000,000  

Annualized dividend rate

    2.00        3.38        3.28        1.75

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 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 costs” 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.

Costs incurred in connection with each Fund’s offering of Term Preferred were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components 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.

JFR incurred offering costs of $17,767, $34,114, $48,328 and $85,995 in connection with their issuance of Series 2019, Series 2022, Series 2024 and Series 2027 Term Preferred, respectively, which were expensed as incurred and are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

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  
    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  

 

109


Notes to Financial Statements (continued)

 

Transactions in Variable Rate Term Preferred (“VRTP”) Shares for the Funds, where applicable, were as follows:

 

    Year Ended
July 31, 2017
 
NSL   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (450      $ (45,000,000
    Year Ended
July 31, 2017
 
JFR   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (1,080      $ (108,000,000
    Year Ended
July 31, 2017
 
JRO   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (750      $ (75,000,000

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

  $ 123,473,935        $ 317,870,164        $ 234,308,007        $ 82,502,625        $ 883,387,759  

Sales and maturities

  $ 121,364,217        $ 287,964,525        $ 208,129,580        $ 83,305,125        $ 857,737,464  

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 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.

The tables below present the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of July 31, 2018.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.

 

     NSL        JFR        JRO        JSD        JQC  

Tax cost of investments

  $ 448,641,948        $ 1,090,186,055        $ 766,704,800        $ 300,101,248        $ 2,085,912,656  

Gross unrealized:

                     

Appreciation

    7,483,662          17,517,187          12,980,933          5,818,494          17,827,036  

Depreciation

    (25,369,956        (55,774,469        (41,643,805        (13,618,031        (117,391,325

Net unrealized appreciation (depreciation) of investments

  $ (17,886,294      $ (38,257,282      $ (28,662,872      $ (7,799,537      $ (99,564,289
               NSL        JFR        JRO        JSD  

Tax cost of swaps

       $        $        $        $ (31,007

Net unrealized appreciation (depreciation) of swaps

               (1,198,980        (2,430,585        (2,331,087        (173,604

 

110


 

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, distressed PIK bond adjustments and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2018, the Funds’ tax year end, as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Paid-in-surplus

     $ (29,464,537)      $ (67,257,711)      $ (46,592,886)      $ (192,942)      $ (8,513,146)  

Undistributed (Over-distribution of) net investment income

       114,907        1,963,579        1,737,347        84,695        3,791,771  

Accumulated net realized gain (loss)

       29,349,630        65,294,132        44,855,539        108,247        4,721,375  

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2018, the Funds’ tax year end, were as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Undistributed net ordinary income1

     $ 2,985,455      $ 4,877,606      $ 3,199,983      $ 1,685,802      $ 857,230  

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 2, 2018, paid on August 1, 2018. 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, 2018 and July 31, 2017, was designated for purposes of the dividends paid deduction as follows:

 

2018      NSL      JFR      JRO      JSD      JQC  

Distributions from net ordinary income2

     $ 18,645,372      $ 48,769,652      $ 35,379,514      $ 13,766,120      $ 74,671,845  

Distributions from net long-term capital gains

                                    
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

                                    
2 

Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

As of July 31, 2018, the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.

 

        NSL      JFR      JRO      JSD      JQC  

Not subject to expiration:

                

Short-term

     $     —      $ 43,342      $ 304,388      $ 14,921      $ 9,492,644  

Long-term

       4,076,891        13,159,712        8,137,862        3,779,388        38,892,992  

Total

     $ 4,076,891      $ 13,203,054      $ 8,442,250      $ 3,794,309      $ 48,385,636  

As of July 31, 2018, the Funds’ tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

      NSL      JFR      JRO      JQC  

Expired capital loss carryforwards

   $ 29,264,459      $ 67,020,214      $ 46,332,843      $ 8,513,146  

During the Funds’ tax year ended, July 31, 2018, NSL utilized $721,041 of its capital loss carryforward.

7. 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.

 

111


Notes to Financial Statements (continued)

 

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 Rate

    JQC
Fund-Level Fee Rate
 

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  

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 Eligible Asset Breakpoint Level*      Effective Complex-Level Fee 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 open-end and closed-end 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, 2018, the complex-level fee for each Fund was 0.1588%.

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

  $ 61,505        $ 131,189        $ 78,926        $ 61,505  

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.

 

112


 

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. As of the end of the reporting period, 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  

For NSL, 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 it is 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.

On December 22, 2017, JFR and JRO renewed their Borrowings through December 21, 2018. On January 29, 2018, NSL renewed its Borrowings through January 28, 2019. All other items of the Borrowings remain unchanged.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR        JRO  

Average daily balance outstanding

  $ 114,000,000        $ 254,300,000        $ 178,800,000  

Average annual interest rate

    2.38        2.38        2.38

Borrowings Information for JSD

The Fund has outstanding a 364-day revolving line of credit. As of the end of the reporting period, 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  

For the period August 1, 2017 to October 31, 2017, the interest was charged on these Borrowings at a rate per annum equal to the greater of 1-Month LIBOR plus 0.85%. The Fund also accrued 0.15% per annum on the undrawn portion if it was less than 50% of the maximum commitment; however, if the undrawn portion of the Borrowings was greater than 50% of the maximum commitment amount the Fund accrued a 0.25% per annum on the undrawn portion of the Borrowings.

On November 1, 2017, JSD renewed its Borrowings through October 31, 2018. The interest charged on these Borrowings is at a rate per annum equal to 1-Month LIBOR plus 0.80%. The Fund also accrued an upfront fee of 0.05% per annum on the maximum commitment amount. All other items of the Borrowings remain unchanged.

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

  $ 72,000,000  

Average annual interest rate

    2.39

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

     JQC  

Maximum commitment amount

  $ 610,000,000  

 

113


Notes to Financial Statements (continued)

 

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 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 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

    2.89

Reverse Repurchase Agreements

During the current fiscal period, JQC used reverse repurchase agreements as a means of leverage.

In a reverse repurchase agreement, the Fund sells to the counterparty a security 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 as a liability 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. In periods of increased demand for the security, the Fund receives a fee for use of the security by the counterparty. This results in interest income to the Fund, which is recognized as a component of the “Interest and dividend income” 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      $ (145,370,675
*

The Fund may repurchase the reverse repurchase agreement prior to the maturity date and/or counterparty may accelerate maturity upon pre-specified advance notice.

During the current fiscal period, the average daily balance outstanding and average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

       JQC  

Average daily balance outstanding

       $145,000,000  

Average interest rate

       2.90

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

   $ (145,370,675      $ 145,370,675        $  
*

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 expense incurred on the borrowed amount, undrawn balance and initial fees are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

10. Inter-Fund 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

 

114


 

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 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 the current reporting period, the Funds did not enter into any inter-fund loan activity.

11. New Accounting Pronouncements

FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities

The FASB has 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.

FASB ASU 2016-18: Statement of Cash Flows – Restricted Cash (“ASU 2016-18”)

The FASB has issued ASU 2016-18, which will require entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is currently evaluating the implications of ASU 2016-18, if any.

12. Subsequent Events

Borrowings

On September 11, 2018, JQC renewed its Borrowing through January 28, 2019. The Fund decreased its maximum commitment amount to $550,000,000 and the interest charged on the Fund’s Borrowings was changed to the 3-Month LIBOR plus 1.10%. All other items of the Borrowings remain unchanged.

Reverse Repurchase Agreements

On September 11, 2018, JQC increased its outstanding balances on its reverse repurchase agreements to $200,000,000 and the interest charged was changed to the 3-Month LIBOR plus 0.75%.

 

115


Additional Fund Information

(Unaudited)

 

Board of Trustees          
Margo Cook*   Jack B. Evans   William C. Hunter   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 Street

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 Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interst-Related Dividends and/or short-term capital gain dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2018:

 

     NSL        JFR        JRO        JSD        JQC  

% of Interest-Related Dividends

    60.1%          58.9%          58.7%          63.2%          69.5%  

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.

 

 

 

116


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.

 

117


Reinvest Automatically, Easily and Conveniently

 

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

 

 

118


Annual Investment Management Agreement Approval Process

(Unaudited)

 

At a meeting held on May 22-24, 2018 (the “May Meeting”), the Board of Trustees (each, a “Board,” and each Trustee, a “Board Member”) of each Fund, including the Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved, for its respective Fund, the renewal of the management agreement (the “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (the “Sub-Advisory Agreement”) with Symphony Asset Management LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as investment sub-adviser to such Fund. Following an initial two-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.”

In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by each Fund Adviser; a review of the Sub-Adviser and the applicable investment teams; an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the secondary market for Nuveen closed-end funds (including, among other things an analysis of performance, distribution and valuation and capital raising trends in the broader closed-end fund market and in particular to Nuveen closed-end funds; a review of the leverage management actions taken on behalf of the Nuveen closed-end funds and the resulting impact on performance; and a description of the distribution management process and any capital management activities); a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued during the year for the benefit of particular Nuveen funds and/or the complex; a description of the profitability or financial data of Nuveen and the various sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Board Members held an in-person meeting on April 10-11, 2018 (the “April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the various sub-advisers to the Nuveen funds. Prior to the May Meeting, the Board Members also received and reviewed supplemental information provided in response to questions posed by the Board Members.

The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; the management of leveraging financing for the Nuveen closed-end funds; the secondary market trading of the Nuveen closed-end funds and any actions to address discounts; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers; valuation of securities; fund expenses; and overall market and regulatory developments. The Board further continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible. As a result, the Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Fund Advisers in their review of the Advisory Agreements. Throughout the year and during the annual review of Advisory Agreements, the Independent Board Members met in executive sessions with independent legal counsel and had the benefit of counsel’s advice.

 

119


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance 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 deciding to renew 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. With respect to the Adviser, the Board recognized the comprehensive set of management, oversight and administrative services the Adviser and its affiliates provided to manage and operate the Nuveen funds in a highly regulated industry. As illustrative, these services included, but were not limited to, product management; investment oversight, risk management and securities valuation services; fund accounting and administration services; board support and administration services; compliance and regulatory oversight services; legal support; and with respect to closed-end funds, leverage, capital and distribution management services.

In addition to the services necessary to operate and maintain the Nuveen funds, the Board recognized the Adviser’s continued program of improvements and innovations to make the Nuveen fund complex more relevant and attractive to existing and new investors and to accommodate the new and changing regulatory requirements in an increasingly complex regulatory environment. The Board noted that some of the initiatives the Adviser had taken over recent years to benefit the complex and particular Nuveen funds included, among other things:

 

   

Fund Rationalizations – continuing efforts to rationalize the product line through mergers, liquidations and repositionings in seeking to enhance shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches more relevant to current shareholder needs;

 

   

Product Innovations – developing product innovations and launching new products that will help the Nuveen fund complex offer a variety of products that will attract new investors and retain existing investors, such as launching the target term funds, exchange-traded funds (“ETFs”) and multi-asset class funds;

 

   

Risk Management Enhancements – continuing efforts to enhance risk management, including enhancing reporting to increase the efficiency of risk monitoring, implementing programs to strengthen the ability to detect and mitigate operational risks, dedicating resources and staffing necessary to create standards to help ensure compliance with new liquidity requirements, and implementing a price verification system;

 

   

Additional Compliance Services – the continuing investment of significant resources, time and additional staffing to meet the various new regulatory requirements affecting the Nuveen funds over the past several years, the further implementation of unified compliance policies and processes, the development of additional compliance training modules, and the reorganization of the compliance team adding further depth to its senior leadership;

 

   

Expanded Dividend Management Services – as the Nuveen fund complex has grown, the additional services necessary to manage the distributions of the varied funds offered and investing in automated systems to assist in this process; and

 

   

with respect specifically to closed-end funds, such initiatives also included:

 

 

Leverage Management Services – continuing activities to expand financing relationships and develop new product structures to lower fund leverage expenses and to manage associated risks, particularly in an interest rate increasing environment;

 

 

Capital Management Services – continuing capital management activities through the share repurchase program and additional equity offerings in seeking to increase net asset value and/or improve fund performance for the respective Nuveen funds;

 

 

Data and Market Analytics – continuing development of databases that help with obtaining and analyzing ownership data of closed-end funds;

 

120


 

 

 

Enhanced Secondary Market Reporting – providing enhanced reporting and commentary on the secondary market trading of closed-end funds which permit more efficient analysis of the performance of the Nuveen funds compared to peers and of trends in the marketplace; and

 

 

Tender Option Bond Services – providing the additional support services necessary for Nuveen funds that seek to use tender option bonds to meet new regulatory requirements.

The Board also recognized the Adviser’s investor relations program which seeks to advance the Nuveen closed-end funds through, among other things, raising awareness and delivering education regarding closed-end funds to investors and financial advisors and promoting the Nuveen closed-end funds with such investors.

In addition to the services provided by the Adviser, the Board also noted the business related risks the Adviser incurred in managing the Nuveen funds, including entrepreneurial, legal and litigation risks.

The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and the investment and compliance oversight over the Sub-Adviser provided by the Adviser. The Board recognized that the Sub-Adviser generally provided the portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment teams, the members’ experience and any changes to the team during the year, the team’s assets under management, the stability and history of the organization, the team’s investment approach and the performance of the Funds over various periods. 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 considered the investment performance of each Fund. In this regard, the Board reviewed fund performance over the quarter, one-, three- and five-year periods ending December 31, 2017, as well as performance data for the first quarter of 2018 ending March 31, 2018. The Independent Board Members noted that they reviewed and discussed fund performance over various time periods with management at their quarterly meetings throughout the year and their review and analysis of performance during the annual review of Advisory Agreements incorporated such discussions.

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). The Board considered the Adviser’s analysis of each Nuveen fund’s performance, including, in particular, an analysis of the Nuveen funds determined to be performance outliers and the factors contributing to their underperformance. In addition to the foregoing, in recognizing the importance of secondary market trading to shareholders of closed-end funds, the Board reviewed, among other things, the premium or discount to net asset value of the Nuveen closed-end funds as of a specified date as well as relative to the premiums or discounts of certain peers and the funds’ total return based on net asset value and market price over various periods. The Board considers the review of premiums and discounts of the closed-end funds to be a continuing priority and as such, the Board and/or its Closed-end Fund Committee also receives an update on the secondary closed-end fund market and evaluates the premiums and discounts of the Nuveen closed-end funds at each quarterly meeting, reviewing, among other things, the premium and discount trends in the broader closed-end fund market, by asset category and by closed-end fund; the historical total return performance data for the Nuveen closed-end funds based on net asset value and price over various periods; the volatility trends in the market; the distribution data of the Nuveen closed-end funds and as compared to peer averages; and a summary of the common share shelf offerings and share repurchase activity during the applicable quarter. As the Board’s Closed-end Fund Committee oversees matters particularly impacting the closed-end fund product line, the committee further engages in more in-depth discussions of the premiums and discounts of the Nuveen closed-end funds at each of its quarterly meetings.

 

121


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In reviewing performance data, the Independent Board Members appreciated some of the inherent limitations of such data. In this regard, the Independent Board Members recognized that there may be limitations with the comparative data of certain peer groups or benchmarks as they may pursue objective(s), strategies or have other characteristics that are different from the respective Nuveen fund and therefore the performance results necessarily are different and limit the value of the comparisons. As an example, some funds may utilize leverage which may add to or detract from performance compared to an unlevered benchmark. The Independent Board Members also noted that management had ranked the relevancy of the peer group as low, medium or high to help the Board evaluate the value of the comparative peer performance data. The Board was aware that the performance data was measured as of a specific date and a different time period may reflect significantly different results and a period of underperformance can significantly impact long term performance figures. The Board further recognized that 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. The Independent Board Members noted that only a limited number of the Nuveen funds appeared to be underperforming performance outliers at the end of 2017 and considered the factors contributing to the respective fund’s performance and whether there were any performance concerns that needed to be addressed. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.

For Nuveen Senior Income Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the second quartile in the five-year period. 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 Floating Rate Income Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the first quartile in the five-year period. 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 Floating Rate Income Opportunity Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the first quartile in the five-year period. 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 ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the second quartile in the five-year period. 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 Credit Strategies Income Fund, the Board noted that, although the Fund ranked in the third quartile of its Performance Peer Group and outperformed its benchmark in the five-year period, the Fund ranked in the fourth quartile and underperformed its benchmark in the one- and three-year periods. The Board recognized the Fund had experienced periods of challenged performance and had traded in the secondary market at a discount and discussed with the Adviser the factors that contributed to the Fund’s underperformance and discount. The Board considered the historic changes to the Fund’s mandate over the years which had provided the Fund with greater flexibility to invest in equities and high yield bonds. The Board noted that as the Fund had a broader mandate than its peers, the Fund’s Performance Peer Group was ranked low in relevancy. The Board discussed the rationale for the broader mandate and any steps the Adviser had taken or proposed to address performance concerns. The Board noted that it would continue to monitor the performance of this Fund.

 

122


 

 

C.   Fees, Expenses and Profitability
  1.   Fees and Expenses

In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Fund. More specifically, the Independent Board Members reviewed, among other things, each Fund’s gross and net management fee rates and net total expense ratio in relation to those of a comparable universe of funds (the “Peer Universe”) established by Broadridge. The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and recognized that differences between the applicable fund and its respective Peer Universe may limit some of the value of the comparative data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund. In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio (excluding investment-related costs of leverage for closed-end funds) of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”). The Board noted that the number of Nuveen funds classified as an Expense Outlier Fund pursuant to the foregoing criteria had decreased over the past few years with only a limited number of the Nuveen funds identified as Expense Outlier Funds in 2017. The Independent Board Members reviewed an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. In addition, although the Board reviewed a fund’s total net expenses both including and excluding investment-related expenses (i.e., leverage costs) and taxes for certain of the Nuveen closed-end funds, the Board recognized that leverage expenses will vary across funds and in comparison to peers because of differences in the forms and terms of leverage employed by the respective fund. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees (excluding leverage costs and leveraged assets for the closed-end funds) 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.

In their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, as applicable. The Board considered that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $47.4 million and fund-level breakpoints reduced fees by $54.6 million in 2017.

The Board considered the sub-advisory fees paid to the Sub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees the Sub-Adviser charges to other clients.

The Independent Board Members noted that each Fund had a net management fee and a net expense ratio below the respective peer averages.

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.

 

  2.   Comparisons with the Fees of Other Clients

In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged for certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, such other clients may include retail and institutional managed accounts, hedge funds and investment companies outside the Nuveen family. The Board further noted that the Adviser also advised certain ETFs sponsored by Nuveen.

The Board recognized that each Fund had an affiliated sub-adviser and reviewed, among other things, the range of fees assessed for managed accounts and hedge funds. With respect to hedge funds, the Board noted the performance fee the Sub-Adviser assesses for advising a hedge fund or account. The Board also reviewed the fee range and average fee rate of certain selected investment strategies offered in retail and institutional managed accounts by the Sub-Adviser, and the hedge funds advised by the Sub-Adviser (along with their performance fee) and of the non-Nuveen investment companies sub-advised by affiliated sub-advisers. In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to other clients compared to the services provided to the Nuveen funds as well as the differences in portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of

 

123


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

which contribute to variations in the fee schedules. With respect to ETFs, the Board considered the differences in the passive management of Nuveen’s Nushares ETFs compared to the active management of other Nuveen funds which also contributed to differing management fee levels compared to such other Nuveen funds. In general, the Board noted that the higher fee levels reflect higher levels of services provided by Nuveen, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial risks incurred in sponsoring and advising a registered investment company.

 

  3.   Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2017 and 2016. In considering profitability, the Independent Board Members reviewed the level of profitability realized by Nuveen including and excluding any distribution expenses incurred by Nuveen from its own resources. The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over the years. For comparability purposes, the Board recognized that a prior year’s profitability would be restated to reflect any refinements to the methodology. The Independent Board Members were aware of the inherent limitations in calculating profitability as the use of different reasonable allocation methodologies may lead to significantly different results and in reviewing profitability margins over extended periods given the refinements to the methodology over time. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review and discuss any proposed changes to the methodology prior to the full Board’s review.

In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, 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 and before distribution) of Nuveen for fund advisory services 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 2017 versus 2016. The Board noted that Nuveen recently launched its ETF product line in 2016 and reviewed the revenues, expenses and operating margin from this product line.

In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also examined comparative profitability data reviewing, among other things, the revenues, expenses and 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) for 2017 and as compared to their adjusted operating margins for 2016. The Independent Board Members, however, recognized the difficulty in comparing the profitability of various fund managers given the limited public information available and the subjective nature of calculating profitability which may be affected by numerous factors including the fund manager’s organizational structure, types of funds, other lines of business, methodology used to allocate expenses and cost of capital. Nevertheless, considering such limitations and based on the information provided, the Board noted that Nuveen’s adjusted operating margins appeared reasonable when compared to the adjusted margins of the peers.

Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2017 and 2016 calendar years to consider the financial strength of TIAA.

In reviewing profitability, the Independent Board Members also considered the profitability of the various sub-advisers from their relationships with the respective Nuveen fund(s). 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, 2017.

 

124


 

In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.

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

The Independent Board Members considered the extent to which economies of scale may be achieved as a Fund grows and whether these economies of scale have been shared with shareholders. Although the Board recognized that economies of scale are difficult to measure, the Independent Board Members noted that there are several methods that may be used in seeking to share economies of scale, 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 breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex level reduces fees on certain funds as the eligible assets in the complex pass certain thresholds. Subject to exceptions for certain Nuveen funds, the Independent Board Members reviewed the fund-level and complex-level fee schedules and any resulting savings in fees. 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. Further, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, improvements in technology, additional staffing, product innovations and other organizational changes designed to expand or enhance the services provided to the benefit of all of the Nuveen funds.

Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders.

 

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. The Independent Board Members reviewed the revenues that an affiliate of the Adviser received in 2017 as a result of serving as co-manager in the initial public offerings of new closed-end funds and as the underwriter on shelf offerings of existing closed-end funds.

In addition to the above, the Independent Board Members considered whether the Sub-Adviser uses commissions paid by the Funds on portfolio transactions to obtain research products and other services (“soft dollar transactions”). The Board recognized that the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board noted, however, that the benefits for sub-advisers transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although the Sub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds or is acquired through the commissions paid on portfolio transactions of other funds or clients.

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.

 

125


Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

 

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.

 

126


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 eleven. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent board members”) 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:

  TERENCE J. TOTH

         Formerly, a Co-Founding Partner, Promus Capital (2008-2017); 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 6o6o6

   Chairman and Board Member   

2008

Class II

  

166

        

  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 and The Gazette Company; 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

  

166

        

  WILLIAM C. HUNTER

         Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director of Wellmark, Inc. (since 2009); past Director (2005-2015), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; 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 6o6o6

  

Board Member

  

2003

Class I

  

166

        

  ALBIN F. MOSCHNER

         Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016); 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).   

1952

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Board Member

  

2016

Class III

  

166

        

 

127


Board Members & Officers (continued)

(Unaudited)

 

                     

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):

  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 6o6o6

  

Board Member

  

2013

Class II

  

166

        

  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

  

Board Member

  

1996

Class III

  

166

        

  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 6o6o6

  

Board Member

  

1997

Class I

  

166

  CAROLE E. STONE

         Former Director, Chicago Board Options Exchange, Inc. (2006-2017); and C2 Options Exchange, Incorporated (2009-2017); Director, CBOE Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).   

1947

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Board Member

  

2007

Class I

  

166

  MARGARET L. WOLFF

         Formerly, member of the Board of Directors (2013-2017) 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

  

166

        

 

128


 

                     

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):

  ROBERT L. YOUNG(2)

         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 6o6o6

  

Board Member

  

2017

Class II

  

164

        
Interested Board Member:

  MARGO L. COOK(3)(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 (since 2015), 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 (October 2016- August 2017), formerly, Senior Executive Vice President of Nuveen Fund Advisors, LLC (Executive Vice President since 2011); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst.   

1964

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Board Member

  

2016

Class III

  

166

        
                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(4)
  

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 2017), formerly, Managing Director (2004-2017) of Nuveen Securities, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2014-2017) of Nuveen Fund Advisors, LLC.   

1962

333 W. Wacker Drive

Chicago, IL 6o6o6

   Chief Administrative Officer   

2007

  

75

  STEPHEN D. FOY

         Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Managing Director (since 2016) of Nuveen Securities, LLC Managing Director (since 2016) of Nuveen Alternative Investments, LLC; Certified Public Accountant.   

1954

333 W. Wacker Drive

Chicago, IL 6o6o6

   Vice President and Controller   

1998

  

166

  NATHANIEL T. JONES

         Managing Director (since 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011-2016) of Nuveen.; Chartered Financial Analyst.   

1979

333 W. Wacker Drive

Chicago, IL 6o6o6

   Vice President and Treasurer   

2016

  

166

  WALTER M. KELLY

         Managing Director (since 2017), formerly, Senior Vice President (2008-2017) of Nuveen.   

1970

333 W. Wacker Drive

Chicago, IL 6o6o6

   Chief Compliance Officer and Vice President   

2003

  

166

 

129


Board Members & Officers (continued)

(Unaudited)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(4)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex

Overseen by

Officer

                     
Officers of the Funds (continued):

  DAVID J. LAMB

         Managing Director (since 2017), formerly, Senior Vice President of Nuveen (since 2006), Vice President prior to 2006.   

1963

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Vice President

  

2015

  

75

  TINA M. LAZAR

         Managing Director (since 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC.   

1961

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Vice President

  

2002

  

166

  KEVIN J. MCCARTHY

         Senior Managing Director (since 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 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 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 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 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). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC.   

1966

333 W. Wacker Drive

Chicago, IL 6o6o6

   Vice President and Assistant Secretary   

2007

  

166

        

  WILLIAM T. MEYERS

         Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen Securities, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen, has held various positions with Nuveen since 1991.   

1966

333 W. Wacker Drive

Chicago, IL 60606

  

Vice President

  

2018

  

75

        

  MICHAEL A. PERRY

         Executive Vice President since February 2017, previously Managing Director from 2016), of Nuveen Fund Advisors, LLC and Nuveen Alternative Investments, 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 6o6o6

  

Vice President

  

2017

  

75

        

  CHRISTOPHER M. ROHRBACHER

      Managing Director (since 2017) of Nuveen Securities, LLC; 2008 Managing Director (since 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since 2016) of Nuveen Fund Advisors, LLC.   

1971

333 W. Wacker Drive

Chicago, IL 6o6o6

   Vice President and Assistant Secretary   

2008

  

166

  WILLIAM A. SIFFERMANN

      Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen.   

1975

333 W. Wacker Drive

Chicago, IL 6o6o6

  

Vice President

  

2017

  

166

  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 6o6o6

   Vice President and Assistant Secretary   

2013

  

166

 

130


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed(4)
  

Principal

Occupation(s)

During Past 5 Years

  

Number

of Portfolios

in Fund Complex

Overseen by

Officer

                     
Officers of the Funds (continued):

  MARK L. WINGET

         Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2008); Vice President (since 2010) and Associate General Counsel (since 2008) of Nuveen.   

1968

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Assistant Secretary   

2008

  

166

  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 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 6o6o6

   Vice President Secretary   

1988

  

166

        

 

(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 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.

(3)

“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.

(4)

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.

 

131


LOGO

 

Nuveen:

Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen is the investment manager 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/closed-end-funds

 

Distributed by Nuveen Investments, LLC  | 
333 West Wacker Drive  | Chicago, IL 60606  | www.nuveen.com
     LOGO   EAN-A-0718D
        600788-INV-Y-09/19


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.

As of the end of the period covered by this report, 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, Jack B. Evans and William C. Hunter, 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.

Mr. Hunter was formerly a Senior Vice President at the Federal Reserve Bank of Chicago. As part of his role as Senior Vice President, Mr. Hunter was the senior officer responsible for all operations of each of the Economic Research, Statistics, and Community and Consumer Affairs units at the Federal Reserve Bank of Chicago. In such capacity, Mr. Hunter oversaw the subunits of the Statistics and Community and Consumer Affairs divisions responsible for the analysis and evaluation of bank and bank holding company financial statements and financial filings. Prior to serving as Senior Vice President at the Federal Reserve Bank of Chicago, Mr. Hunter was the Vice President of the Financial Markets unit at the Federal Reserve Bank of Atlanta where he supervised financial staff and bank holding company analysts who analyzed and evaluated bank and bank holding company financial statements. Mr. Hunter also currently serves on the Boards of Directors of Xerox Corporation and Wellmark, Inc. as well as on the Audit Committees of such Boards. As an Audit Committee member, Mr. Hunter’s responsibilities include, among other things, reviewing financial statements, internal audits and internal controls over financial reporting. Mr. Hunter also formerly was a Professor of Finance at the University of Connecticut School of Business and has authored numerous scholarly articles on the topics of finance, accounting and economics.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Floating Rate Income Opportunity Fund

The following tables show the amount of fees that KPMG LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with KPMG LLP the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended

   Audit Fees Billed
to Fund 1
    Audit-Related Fees
Billed to Fund 2
    Tax Fees
Billed to Fund 3
    All Other Fees
Billed to Fund 4
 

July 31, 2018

   $ 34,470     $ 15,500     $ 0     $ 0  
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval
exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 
        

July 31, 2017

   $ 32,850     $ 51,000     $ 0     $ 18,000  
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval
exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 

 

1 “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.

2 “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.

3 “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.

4 “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage.

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

The following tables show the amount of fees billed by KPMG LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.


The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to KPMG LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.

 

Fiscal Year Ended

  Audit-Related Fees
    Billed to Adviser and    
    Affiliated Fund Service    
Providers
        Tax Fees Billed to    
Adviser and

Affiliated Fund
Service Providers
    All Other Fees
Billed to Adviser
    and Affiliated Fund    
Service Providers
 

July 31, 2018

  $ 0     $ 0     $ 0  
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 
     

July 31, 2017

  $ 0     $ 0     $ 0  
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 


NON-AUDIT SERVICES

The following table shows the amount of fees that KPMG LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that KPMG LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from KPMG LLP about any non-audit services that KPMG LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating KPMG LLP ’s independence.

 

Fiscal Year Ended

      Total Non-Audit Fees    
Billed to Fund
    Total Non-Audit Fees
billed to Adviser and
Affiliated Fund Service
    Providers (engagements    
related directly to the
operations and financial
reporting of the Fund)
    Total Non-Audit Fees
billed to Adviser and
    Affiliated Fund Service    
Providers (all other
engagements)
    Total  

July 31, 2018

  $ 0     $ 0     $ 0     $ 0  

July 31, 2017

  $ 18,000     $ 0     $ 0     $ 18,000  

“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.

Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). As of the end of the period covered by this report, the members of the audit committee are Jack B. Evans, Chair, William C. Hunter, John K. Nelson, Carole E. Stone and Terence J. Toth.

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.


ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC 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 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 Committee 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 Committee. The Proxy Voting Committee, 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 Committee will review a portfolio manager’s recommendation and determine how to vote the proxy. Decisions by the Proxy Voting Committee will be documented and kept with records related to the voting of proxies. A summary of specific votes will be retained in accordance with Symphony’s Books and Records Requirements which are set forth Symphony’s Compliance Manual and Code of Ethics.


ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the selection and on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management LLC (“Symphony”, also referred to as “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio managers of the Sub-Adviser.

 

Item 8(a)(1).

PORTFOLIO MANAGER BIOGRAPHIES

As of the date of filing this report, the following individual had primary responsibility for the day-to-day implementation of the registrant’s investment strategies:

 

   

Scott Caraher, Portfolio Manager

Scott Caraher, 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.

 

Item8 (a)(2).

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

 

 

OTHER ACCOUNTS MANAGED by Scott Caraher as of 7/31/18

  

(a) Registered Investment Companies

  

Number of accounts

     6  

Assets

   $ 4.13 billion  

(b) Other pooled accounts

  

Non-performance fee accounts

  

Number of accounts

     4  

Assets

   $ 1.19 billion  

Performance fee accounts

  

Number of accounts

     0  

Assets

   $ 0  

(c) Other

  

Non-performance fee accounts

  

Number of accounts

     6  

Assets

   $ 1.21 billion  

Performance fee accounts

  

Number of accounts

     0  

Assets

   $ 0  

POTENTIAL MATERIAL CONFLICTS OF INTEREST

As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts. Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors. In addition, the Sub-adviser has adopted trade allocation procedures so that accounts with like investment strategies are treated fairly and equitably over time.

 

Item 8(a)(3).

FUND MANAGER COMPENSATION

As of the most recently completed fiscal year end, Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.

Each portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. Bonus compensation for each individual is based on a variety of factors, including the performance of Symphony, the Fund, the team and the individual. Fund performance is assessed on a pre-tax total return risk-adjusted basis, and generally measured relative to the Fund’s primary benchmark and/or industry peer group for one, three or five year periods as applicable.

Finally, certain key employees of Symphony, including the portfolio managers, have received profits interests in Symphony which entitle their holders to participate in the firm’s growth over time.

 

Item 8(a)(4).

OWNERSHIP OF JRO SECURITIES AS OF JULY 31, 2018

 

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  

Scott Caraher

                 X        


ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

ITEM 11. CONTROLS AND PROCEDURES.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15 (b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15 (b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 13. EXHIBITS.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.)

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Floating Rate Income Opportunity Fund

 

By (Signature and Title)   

/s/ Gifford R. Zimmerman

  
   Gifford R. Zimmerman   
   Vice President and Secretary   
Date: October 5, 2018   

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 5, 2018   
By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   
Date: October 5, 2018