Nuveen Senior Income 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  

  

811-09571

Nuveen Senior Income 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)

Kevin J. McCarthy

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, 2016                   

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

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


ITEM 1. REPORTS TO STOCKHOLDERS.


     LOGO
Closed-End Funds   

 

     Nuveen
     Closed-End Funds

 

 

 

 

       

 

 

Annual Report  July 31, 2016

 

     
           
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

     10   

Common Share Information

     12   

Risk Considerations

     14   

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

     77   

Statement of Operations

     78   

Statement of Changes in Net Assets

     79   

Statement of Cash Flows

     82   

Financial Highlights

     84   

Notes to Financial Statements

     91   

Additional Fund Information

     110   

Glossary of Terms Used in this Report

     111   

Reinvest Automatically, Easily and Conveniently

     112   

Annual Investment Management Agreement Approval Process

     113   

Board Members & Officers

     120   

 

NUVEEN     3   


Chairman’s Letter

to Shareholders

 

LOGO

Dear Shareholders,

The U.S. economy is now seven years into the recovery, but its pace remains stubbornly subpar compared to past recoveries. Economic data continues to be a mixed bag, as it has been throughout this expansion period. While the unemployment rate fell below its pre-recession level and wages have grown, a surprisingly weak jobs growth report in May cast doubt over the future strength of the labor market. Subsequent employment reports have been stronger, however, easing fears that a significant downtrend was emerging. The housing market has improved markedly but its contribution to the recovery has been lackluster. Deflationary pressures, including weaker commodity prices, have kept inflation much lower for longer than many expected.

The U.S.’s modest expansion and positive employment trends led the U.S. Federal Reserve (Fed) to begin its path toward policy “normalization” by raising its benchmark interest rate at its December 2015 meeting. However, since then, the Fed has remained on hold for reasons ranging from domestic to international, which helped continue to prop up asset prices despite bouts of short-term volatility.

Outside the U.S., optimism has been harder to come by. Investors continue to question whether China’s economy is finally stabilizing or still slowing. The U.K.’s June 23rd “Brexit” vote to leave the European Union introduced a new set of economic and political uncertainties to the already fragile conditions across Europe. Moreover, there are growing concerns that global central banks’ unprecedented efforts to revive growth may be showing signs of fatigue. Interest rates are currently negative in Europe and Japan and near or at zero in the U.S., U.K. and elsewhere. Yet, growth has remained subdued.

With global economic growth still looking fairly fragile, and few near-term catalysts for improvement, we anticipate that turbulence remains on the horizon for the time being. In this environment, Nuveen remains committed to both managing downside risks and seeking upside potential. If you’re concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor.

On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

William J. Schneider

Chairman of the Board

September 23, 2016

 

 

  4      NUVEEN


Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

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

Effective September 30, 2015, NSL, JFR, JRO, JSD and JQC can invest up to 5% in iBOXX Loan Total Return Swaps.

On October 18, 2015, the Board of Trustees of JSD approved a policy change regarding the Fund’s use of leverage. The new policy permits the Fund to use leverage to the extent permissible under the 1940 Act, which currently permits leverage in an amount up to 50% of the Fund’s managed assets. The Board of Trustees also authorized the Fund to incur additional leverage that would increase the Fund’s effective leverage ratio.

Here the team discusses the U.S. economic and financial market conditions, their management strategies and the performance of the Funds for the twelve-month reporting period ended July 31, 2016.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended July 31, 2016?

Over the twelve-month reporting period, U.S. economic data continued to point to subdued growth, rising employment and tame inflation. Economic activity has continued to hover around a 2% annualized growth rate since the end of the Great Recession in 2009, as measured by real gross domestic product (GDP), which is the value of the 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. For the second quarter of 2016, real GDP increased at an annual rate of 1.1%, as reported by the “second” estimate of the Bureau of Economic Analysis, up from 0.8% in the first quarter of 2016.

The labor and housing markets improved over the reporting period, although the momentum appeared to slow toward the end of the reporting period. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.9% in July 2016 from 5.3% in July 2015, and job gains averaged slightly above 200,000 per month for the past twelve months.

 

 

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

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

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

 

NUVEEN     5   


Portfolio Managers’ Comments (continued)

 

The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.1% annual gain in June 2016 (most recent data available at the time this report was prepared) (effective July 26, 2016, the S&P/Case-Shiller U.S. National Home Price Index was renamed the S&P CoreLogic Case-Shiller U.S. National Home Price Index). The 10-City and 20-City Composites reported year-over-year increases of 4.3% and 5.1%, respectively.

Consumers, whose purchases comprise the largest component of the U.S. economy, benefited from employment growth and firming wages over the twelve-month reporting period. Although consumer spending gains were rather muted in the latter half of 2015, a spending surge in the second quarter of 2016 helped offset weaker business investment. A backdrop of low inflation also contributed to consumers’ willingness to buy. The Consumer Price Index (CPI) rose 0.8% over the twelve-month reporting period ended July 2016 on a seasonally adjusted basis, as reported by the U.S. Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.2% during the same period, slightly above the Fed’s unofficial longer term inflation objective of 2.0%.

Business investment remained weak over the reporting period. Corporate earnings growth slowed during 2015, reflecting an array of factors ranging from weakening demand amid sluggish U.S. and global growth to the impact of falling commodity prices and a strong U.S. dollar. Although energy prices rebounded off their lows and the dollar pared some of its gains in the first half of 2016, caution prevailed. Financial market turbulence in early 2016 and political uncertainties surrounding the U.K.’s “Brexit” vote to leave the European Union (EU) and the upcoming U.S. presidential election dampened capital spending.

With the current expansion considered to be on solid footing, the U.S. Federal Reserve (Fed) prepared to raise one of its main interest rates, which had been held near zero since December 2008 to help stimulate the economy. After delaying the rate change for most of 2015 because of a weak global economic growth outlook, the Fed announced in December 2015 that it would raise the fed funds target rate by 0.25%. The news was widely expected and therefore had a relatively muted impact on the financial markets.

Although the Fed continued to emphasize future rate increases would be gradual, investors worried about the pace. This, along with uncertainties about the global macroeconomic backdrop, another downdraft in oil prices and a spike in stock market volatility triggered significant losses across assets that carry more risk and fueled demand for “safe haven” assets such as Treasury bonds and gold from January through mid-February, however, fear began to subside in March. The Fed held the rate steady at both the January and March policy meetings, as well as lowered its expectations to two rate increases in 2016 from four. Also boosting investor confidence were reassuring statements from the European Central Bank, some positive economic data in the U.S. and abroad, a retreat in the U.S. dollar and an oil price rally. At its April meeting, the Fed indicated its readiness to raise its benchmark rate at the next policy meeting in June. However, a very disappointing jobs growth report in May and the significant uncertainty surrounding the U.K.’s Brexit vote led the Fed to again hold rates steady at its June and July meetings.

The U.K.’s vote on June 23, 2016 to leave the EU caught investors off guard. In response, U.K. sterling fell precipitously, global equities were turbulent and safe-haven assets such as gold, the U.S. dollar and U.S. Treasuries saw notable inflows. However, the markets stabilized fairly quickly, buoyed by reassurances from global central banks and a perception that the temporary price rout presented an attractive buying opportunity. Although many political and economic uncertainties for the U.K. and the EU remain, market volatility was relatively subdued throughout July, as concerns of a Brexit-induced financial crisis abated.

During the reporting period, particularly throughout the fourth quarter of 2015 and briefly during the end of the reporting period when Brexit was announced, the technical sell-off in levered credit markets continued as corporate debt was re-priced across the quality spectrum with lower rated, more illiquid issues being the most adversely impacted. Growing concerns of a more pronounced economic slowdown in China and continued commodity related sector volatility resulted in deteriorating investor sentiment. This triggered a flight of capital from credit markets, particularly among retail investors, despite generally sound macroeconomic and corporate fundamentals (ex-commodity related sectors).

 

  6      NUVEEN


 

This created a self-reinforcing technical feedback loop where initial selling put downward pressure on credit prices, prompting further selling as many investors attempted to exit the market before the technical downdraft intensified. Investor fears were further stoked by news of the closure of several high profile high yield mutual funds.

During the second half of the reporting period, markets reversed markedly and finished on a positive note. Risk assets were buoyed by increased demand and risk appetite largely due to dovish Fed rhetoric and the ECB expanding their monetary policy. Fears around Chinese growth subsiding along with damping concerns of a domestic recession also helped support the rally. With regard to credit markets specifically, the ensuing influx of capital into the high yield asset class as well as uptick in collateralized loan obligation (CLO) issuance later in the reporting period helped drive prices.

Loan markets posted slightly positive returns for the entire reporting period. During the first half of the reporting period, the loan market traded off largely due to technical factors and in concert with general risk aversion across the broad capital markets. While overall loan mutual fund flows continued to be negative, institutional loan demand driven by CLO issuance more than offset retail outflows. This institutional demand provided support to the loan market, allowing it in large part to avoid the downward cycle experienced in lower quality risk assets. A late period uptick in new CLO issuance along with a modest reversal in mutual fund outflows allowed for continued support in the asset class recovering much of the technical weakness experienced late in 2015.

Moving down the capital structure, high yield markets posted positive returns during the reporting period, as they rebounded from fourth quarter 2015 lows. The technical “storm” impacted nearly every sector of the high yield market during the fourth quarter. Most notably, energy and other commodity related sectors continued their precipitous decline. In addition, many larger, more liquid issues spanning media to information technology and across consumer sectors experienced price weakness due to their ability to be more readily sold as investors exited the high yield market. These factors were offset by an influx of capital into the high yield market during the first quarter of 2016. As a result, by the second half of the reporting period market-wide concerns had begun to dissipate with net negative flows out of the high yield bond fund category being reversed and high yield bond prices recovered.

What strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2016?

NSL, JFR and JRO have similar investment objectives and strategies. Each Fund is designed to seek a high level of current income by primarily investing in a portfolio of adjustable rate, senior secured corporate loans. The Funds also may invest in unsecured senior loans, other debt securities, equity securities and warrants acquired in connection with an investment in senior loans. A significant portion of each Fund’s assets may be invested in instruments that, at the time of investment, are rated below investment grade or are unrated but judged by Symphony to be of comparable quality to below investment grade.

JSD seeks to provide current income and the potential for capital appreciation. The Fund invests primarily in a blended portfolio of below investment grade adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may also make limited tactical investments in other types of debt instruments and may enter into tactical short positions consisting of primarily high yield debt. Under normal market conditions the Fund maintains a portfolio with an average duration that does not exceed two years.

JQC invests at least 70% of its assets in senior secured and second lien loans, and up to 30% of its assets opportunistically over the credit cycle in other types of securities across a company’s capital structure. These other securities primarily include income-oriented securities such as high yield corporate and convertible bonds as well as common stocks. The Fund maintained exposure to senior loans during the reporting period, while tactically allocating between high yield corporate bonds, equity securities and convertible bonds. Exposure consisted of mainly U.S. issuers, and was focused on companies that, in general, had high levels of tangible assets, predictable revenue streams, significant market share within their respective industries and positive free cash flow.

 

NUVEEN     7   


Portfolio Managers’ Comments (continued)

 

How did the Funds perform during this twelve-month reporting period ended July 31, 2016?

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, 2016. 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, 2016, NSL, JFR, JRO, JSD and JQC underperformed the Credit Suisse Leveraged Loan Index.

As mentioned in the market commentary, during the reporting period, particularly throughout the fourth quarter of 2015 and briefly during the end of the reporting period when Brexit was announced, the technical sell-off in levered credit markets continued as corporate debt was re-priced across the quality spectrum with lower rated, more illiquid issues being the most adversely impacted. While markets reversed markedly and finished on a positive note, the Funds were not able to fully recover from the impact of the sell-off during the first half of the reporting period. As a result, the Funds underperformed their benchmarks.

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 information technology, consumer staples and health care sectors contributed positively to absolute performance. However, these could not offset the Funds’ exposures to energy and telecommunication services sectors, which contributed to the Funds’ underperformance.

Several individual positions detracted from performance. Our energy holdings detracted as well, including Energy and Exploration Partners and Fieldwood Energy LLC. Energy related securities performed poorly as oil prices declined given negative revisions of global oil demand, weaker macroeconomic news and a surging U.S. dollar. While we continued to maintain underweight benchmark exposures to the industry, these positions still detracted from overall performance. Telecommunication services holding Intelsat Limited also detracted from performance. This lower quality credit sold off due to weak earnings and a sell-off in the high yield markets during the first half of the reporting period. Lastly, Clear Channel Communications, Inc., a leading global media and entertainment company, detracted from performance.

Several positions contributed to performance including the Fund’s position in the loans of Albertson’s LLC. Symphony believes the food and drug industry has historically been more defensive during periods of volatility and believes these loans offer an attractive coupon relative to the rest of the industry and broad market. Both the sector and the company have performed well and we anticipate the loans will continue to be core positions in the Fund’s portfolio in the near term. The loans held in Communication Sales & Leasing, Inc. also contributed to performance. The loans of the telecommunications firm performed well as the company announced their first planned acquisition and noted a robust merger and acquisition (M&A) pipeline, which was well received by the market. In addition, Avago Technologies Limited loans positively impacted performance. The leading analog semiconductor manufacturer benefited from its acquisition of rival Broadcom Corp. The deal may be the largest of its kind in the semiconductor chip industry. Subsequent to the close of this reporting period, the combined company has been renamed Broadcom Limited.

In addition, the use of regulatory leverage was a factor affecting the performance of these Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

For JSD and JQC we invested in credit default swaps. JSD invested in single name credit default swaps, while JQC invested in high yield index credit default swaps. These contracts contributed to a positive effect on performance for JQC and a negative effect on performance for JSD during the twelve month reporting period.

All of these Funds have owned, or currently own, loans with the LIBOR floor feature. The coupon on most senior loans consists of both LIBOR (usually 90-day U.S. LIBOR) plus a spread. For example, a senior loan might have a coupon structure of “LIBOR plus 400 basis points (bp)” in which the coupon consists of 90-day LIBOR, plus 400bp. Given today’s relatively low LIBOR rate, however, many issuers have put in place LIBOR floors to enhance the yield (and satisfy demand from investors) for newly issued loans. LIBOR floors, as the name suggests, put a “floor” on the reference

 

  8      NUVEEN


 

LIBOR rate. LIBOR floors typically range from 150bp to 50bp. A loan with a LIBOR floor might have a structure of “LIBOR + 400bp with a 100bp LIBOR floor.” In this example, the effective coupon is 5% (100bp + 400bp as long as LIBOR is less than or equal to 100bp). As a result, as LIBOR rises from current levels, the yield on a senior loan with a LIBOR floor will not rise in lockstep until after the reference LIBOR rate exceeds the LIBOR floor. Although many loans have LIBOR floors (the asset class is one of the few that will float when interest rates begin to rise), we believe the senior loan asset class provides fixed income oriented investors with a potential safeguard from a secular rise in interest rates.

 

NUVEEN     9   


Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

JSD also used interest rate swap contracts to partially fix the interest cost of leverage, which as mentioned previously, is through bank borrowings and Term Preferred. Collectively, these interest rate swap contracts detracted from overall Fund performance during the period.

As of July 31, 2016, the Funds’ percentages of leverage are shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    35.87        35.76        35.72        35.93        36.00

Regulatory Leverage*

    35.87        35.76        35.72        35.93        30.89
* Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ LEVERAGE

Bank Borrowings

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

 

    Current Reporting Period            Subsequent to the Close of
the Reporting Period
 

Fund

 

August 1, 2015

   

Draws

   

Paydowns

   

July 31, 2016

   

Average Balance
Outstanding

           

Draws

   

Paydowns

   

September 28, 2016

 

NSL

  $ 112,500,000      $ 13,000,000      $ (24,500,000   $ 101,000,000      $ 99,435,792               $ 9,000,000      $     —      $ 110,000,000   

JFR

  $ 270,300,000      $ 31,000,000      $ (60,500,000   $ 240,800,000      $ 238,186,612               $ 21,600,000      $      $ 262,400,000   

JRO

  $ 188,800,000      $ 23,000,000      $ (45,000,000   $ 166,800,000      $ 164,933,880               $ 15,000,000      $      $ 181,800,000   

JSD

  $ 85,200,000      $      $ (21,200,000   $ 64,000,000      $ 71,279,781               $      $      $ 64,000,000   

JQC

  $ 640,000,000      $      $ (79,000,000   $ 561,000,000      $ 587,907,104               $      $      $ 561,000,000   

Refer to Notes to Financial Statements, Note 9 – Borrowing Arrangements for further details.

 

  10      NUVEEN


 

Reverse Repurchase Agreements

As noted above, 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, 2015     Purchases     Sales     July 31, 2016     Average Balance
Outstanding
           Purchases     Sales     September 27, 2016  
  $160,000,000        $    —        $(15,000,000)        $145,000,000        $153,196,721                $    —        $    —        $145,000,000   

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

Variable Rate Term Preferred Shares

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

 

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

August 1, 2015

   

Issuance

   

Redemptions

   

July 31, 2016

   

Average Balance
Outstanding

           

Issuance

   

Redemptions

   

September 27, 2016

 

NSL

  $ 58,000,000      $     —      $ (13,000,000   $ 45,000,000      $ 53,560,109               $     —      $     —      $ 45,000,000   

JFR

  $ 139,000,000      $      $ (31,000,000   $ 108,000,000      $ 128,412,568               $      $      $ 108,000,000   

JRO

  $ 98,000,000      $      $ (23,000,000   $ 75,000,000      $ 90,144,809               $      $      $ 75,000,000   

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

Term Preferred Shares

As noted above, in addition to bank borrowings, JSD also issued Term Preferred. The Fund’s 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,
2015
    Issuance     Redemptions     July 31,
2016
    Average Balance
Outstanding*
            Issuance     Redemptions     September 27,
2016
 

JSD

  $     —      $ 35,000,000      $     —      $ 35,000,000      $ 35,000,000               $     —      $     —      $ 35,000,000   
* For the period November 16, 2015 (first issuance of shares) through July 31, 2016.

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

 

NUVEEN     11   


Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 31, 2016. 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 2015

  $ 0.0350         $ 0.0600         $ 0.0630         $ 0.0970         $ 0.0500   

September

    0.0350           0.0600           0.0630           0.0970           0.0500   

October

    0.0350           0.0600           0.0630           0.0970           0.0500   

November

    0.0350           0.0600           0.0630           0.0970           0.0500   

December

    0.0350           0.0600           0.0630           0.0970           0.0515   

January

    0.0350           0.0600           0.0630           0.0970           0.0515   

February

    0.0350           0.0600           0.0630           0.0970           0.0515   

March

    0.0350           0.0600           0.0630           0.0970           0.0515   

April

    0.0350           0.0600           0.0630           0.0970           0.0515   

May

    0.0350           0.0600           0.0630           0.0970           0.0515   

June

    0.0360           0.0615           0.0645           0.0970           0.0515   

July 2016

    0.0360           0.0615           0.0645           0.0970           0.0515   

Total Monthly Per Share Distributions

  $ 0.4220         $ 0.7230         $ 0.7590         $ 1.1640         $ 0.6120   

Ordinary Income Distribution*

  $         $         $ 0.0030         $         $   

Total Distributions from Net Investment Income

  $ 0.4220         $ 0.7230         $ 0.7620         $ 1.1640         $ 0.6120   

Short-Term Capital Gain*

                                  0.0216             

Long-Term Capital Gain*

                                  0.0093             

Total Distributions from Accumulated Net Realized Gains

  $         $         $         $ 0.0309         $   

Total Distributions

  $ 0.4220         $ 0.7230         $ 0.7620         $ 1.1949         $ 0.6120   
                                                     

Current Distribution Rate**

    6.91        6.91        7.22        7.20        7.33
* Distribution paid in December 2015.
** 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, 2016, all of the Funds had positive UNII balances for tax purposes. NSL and JRO had positive UNII balances while JFR, JSD and JQC had negative UNII balances for financial reporting purposes.

 

  12      NUVEEN


 

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.

COMMON SHARE REPURCHASES

During August 2016 (subsequent to the close of this 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, 2016, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

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

Common shares authorized for repurchase

    3,865,000           5,515,000           3,850,000           1,010,000           13,605,000   

During the current reporting period, the following Funds repurchased and retired their common shares at a weighted average price per common share and a weighted average discount per common share as shown in the accompanying table.

 

     NSL        JQC  

Common shares repurchased and retired

    5,000           304,100   

Weighted average price per common share repurchased and retired

    $5.43           $7.50   

Weighted average discount per common share repurchased and retired

    15.42        16.69

OTHER COMMON SHARE INFORMATION

As of July 31, 2016, 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

    $6.76           $11.36           $11.31           $17.49           $9.25   

Common share price

    $6.25           $10.68           $10.72           $16.16           $8.43   

Premium/(Discount) to NAV

    (7.54 )%         (5.99 )%         (5.22 )%         (7.60 )%         (8.86 )% 

12-month average premium/(discount) to NAV

    (11.81 )%         (9.50 )%         (10.33 )%         (12.10 )%         (13.19 )% 

 

NUVEEN     13   


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.

 

  14      NUVEEN


 

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.

 

NUVEEN     15   


NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of July 31, 2016

 

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, 2016

 

    Average Annual  
     1-Year        5-Year        10-Year  
NSL at Common Share NAV     0.61%           5.80%           5.47%   
NSL at Common Share Price     5.89%           4.90%           5.23%   
Credit Suisse Leveraged Loan Index     2.26%           4.26%           4.26%   

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  16      NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     133.3%   
Common Stocks     2.0%   
$25 Par (or similar) Retail Preferred     0.0%   
Corporate Bonds     16.7%   
Repurchase Agreements     6.1%   
Other Assets Less Liabilities     (2.2)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Preference     155.9%   
Borrowings     (38.7)%   
VRTP Shares, at Liquidation Preference     (17.2)%   
Net Assets     100%   

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.6%   
Avago Technologies     2.7%   
Clear Channel Communications, Inc.     2.1%   
Dell, Inc.     1.9%   
Tenet Healthcare Corporation     1.6%   

Portfolio Composition

(% of total investments)

 

Media     10.5%   
Software     6.6%   
Semiconductors &
Semiconductor Equipment
    5.2%   
Food & Staples Retailing     5.0%   
Health Care Equipment & Supplies     5.0%   
Health Care Providers & Services     4.8%   
Diversified Telecommunication Services     4.6%   
Hotels, Restaurants & Leisure     4.5%   
Technology Hardware, Storage & Peripherals     3.6%   
Food Products     3.4%   
Diversified Consumer Services     3.2%   
Wireless Telecommunication Services     2.7%   
Pharmaceuticals     2.6%   
Real Estate Investment Trust     2.5%   
Commercial Services & Supplies     2.3%   
Oil, Gas & Consumable Fuels     1.8%   
Aerospace & Defense     1.7%   
Specialty Retail     1.5%   
Consumer Finance     1.5%   
Insurance     1.4%   
Airlines     1.4%   
Automobiles     1.4%   
Other     19.0%   
Repurchase Agreements     3.8%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.9%   
BB or Lower     86.7%   
N/R (not rated)     2.4%   

Total

    100%   
 

 

NUVEEN     17   


JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of July 31, 2016

 

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, 2016

 

    Average Annual  
     1-Year        5-Year        10-Year  
JFR at Common Share NAV     0.93%           5.86%           5.18%   
JFR at Common Share Price     7.50%           6.11%           5.56%   
Credit Suisse Leveraged Loan Index     2.26%           4.26%           4.26%   

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  18      NUVEEN


 

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

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s, 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, while BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     128.1%   
Common Stocks     1.5%   
$25 Par (or similar) Retail Preferred     0.0%   
Convertible Bonds     0.1%   
Corporate Bonds     14.7%   
Asset-Backed Securities     6.4%   
Investment Companies     1.7%   
Repurchase Agreements     5.1%   
Other Assets Less Liabilities     (2.0)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Preference     155.6%   
Borrowings     (38.4)%   
VRTP Shares, at Liquidation Preference     (17.2)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.5%   
Clear Channel Communications, Inc.     2.0%   
Avago Technologies     2.0%   
Univision Communications, Inc.     1.8%   
Dell, Inc.     1.5%   

Portfolio Composition

(% of total investments)

 

Media     10.9%   
Software     6.3%   
Health Care Providers & Services     5.0%   
Food & Staples Retailing     4.9%   
Diversified Telecommunication Services     4.8%   
Semiconductors & Semiconductor Equipment     4.4%   
Health Care Equipment & Supplies     3.8%   
Hotels, Restaurants & Leisure     3.8%   
Food Products     3.2%   
Diversified Consumer Services     3.2%   
Wireless Telecommunication Services     3.0%   
Technology Hardware, Storage & Peripherals     3.0%   
Pharmaceuticals     2.6%   
Commercial Services & Supplies     2.3%   
Real Estate Investment Trust     2.2%   
Oil, Gas & Consumable Fuels     1.7%   
Multiline Retail     1.6%   
Automobiles     1.4%   
Consumer Finance     1.4%   
Specialty Retail     1.4%   
Insurance     1.4%   
Other     19.3%   
Asset-Backed Securities     4.1%   
Investment Companies     1.1%   
Repurchase Agreements     3.2%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.5%   
BB or Lower     85.5%   
N/R (not rated)     5.0%   

Total

    100%   
 

 

NUVEEN     19   


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of July 31, 2016

 

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, 2016

 

    Average Annual  
     1-Year        5-Year        10-Year  
JRO at Common Share NAV     0.53%           6.34%           5.75%   
JRO at Common Share Price     6.91%           6.43%           6.11%   
Credit Suisse Leveraged Loan Index     2.26%           4.26%           4.26%   

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  20      NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     127.3%   
Common Stocks     1.9%   
$25 Par (or similar) Retail Preferred     0.0%   
Convertible Bonds     0.1%   
Corporate Bonds     16.7%   
Asset-Backed Securities     6.1%   
Repurchase Agreements     5.6%   
Other Assets Less Liabilities     (2.2)%   
Net Assets Plus Borrowings and VRTP Shares, at Liquidation Preference     155.5%   
Borrowings     (38.3)%   
VRTP Shares, at Liquidation Preference     (17.2)%   
Net Assets     100%   

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.0%   
Clear Channel Communications, Inc.     2.5%   
Avago Technologies     1.9%   
Dell, Inc.     1.6%   
Ziggo N.V.     1.4%   

Portfolio Composition

(% of total investments)

 

Media     11.4%   
Software     6.8%   
Diversified Telecommunication Services     5.3%   
Health Care Providers & Services     4.6%   
Food & Staples Retailing     4.5%   
Semiconductors &
Semiconductor Equipment
    4.2%   
Health Care Equipment & Supplies     3.9%   
Diversified Consumer Services     3.7%   
Hotels, Restaurants & Leisure     3.7%   
Food Products     3.3%   
Technology Hardware, Storage & Peripherals     3.1%   
Wireless Telecommunication Services     2.5%   
Commercial Services & Supplies     2.5%   
Pharmaceuticals     2.5%   
Real Estate Investment Trust     2.3%   
Oil, Gas & Consumable Fuels     2.0%   
Automobiles     1.7%   
Aerospace & Defense     1.6%   
Consumer Finance     1.6%   
Internet Software & Services     1.5%   
Other     19.9%   
Asset-Backed Securities     3.9%   
Repurchase Agreements     3.5%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.5%   
BB or Lower     87.9%   
N/R (not rated)     2.6%   

Total

    100%   
 

 

NUVEEN     21   


JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of July 31, 2016

 

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, 2016

 

    Average Annual  
     1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV     0.62%           5.96%           5.84%   
JSD at Common Share Price     6.52%           5.68%           3.78%   
Credit Suisse Leveraged Loan Index     2.26%           4.26%           4.08%   

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  22      NUVEEN


 

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

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investor 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, while BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     135.9%   
Common Stocks     0.6%   
Corporate Bonds     16.5%   
Repurchase Agreements     4.3%   
Other Assets Less Liabilities     (1.2)%   
Net Assets Plus Borrowings and Term Preferred, at Liquidation Preference     156.1%   
Borrowings     (36.3)%   
Term Preferred, at Liquidation Preference     (19.8)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term investments)1

 

Albertson’s LLC     3.9%   
Avago Technologies     2.4%   
First Date Corporation     2.2%   
Western Digital Inc.     1.9%   
Clear Channel Communications, Inc.     1.8%   

Portfolio Composition

(% of total investments)1

 

Media     7.9%   
Software     6.6%   
Health Care Providers & Services     5.6%   
Health Care Equipment & Supplies     5.5%   
Diversified Telecommunication Services     5.3%   
Food & Staples Retailing     5.1%   
Semiconductors &
Semiconductor Equipment
    4.9%   
Technology Hardware, Storage & Peripherals     3.6%   
Hotels, Restaurants & Leisure     3.1%   
Commercial Services & Supplies     3.0%   
Pharmaceuticals     2.7%   
Real Estate Investment Trust     2.7%   
Food Products     2.6%   
Electric Utilities     2.5%   
Wireless Telecommunication Services     2.5%   
Diversified Consumer Services     2.3%   
Consumer Finance     2.2%   
Communications Equipment     2.1%   
Internet Software & Services     2.1%   
Oil, Gas & Consumable Fuels     2.1%   
Aerospace & Defense     2.0%   
Specialty Retail     1.5%   
Other     19.4%   
Repurchase Agreements     2.7%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     8.4%   
BB or Lower     86.6%   
N/R (not rated)     5.0%   

Total

    100%   
 

 

1 Excluding investments in derivatives.

 

NUVEEN     23   


JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of July 31, 2016

 

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, 2016

 

    Average Annual  
     1-Year        5-Year        10-Year  
JQC at Common Share NAV     0.11%           5.29%           3.91%   
JQC at Common Share Price     5.98%           7.00%           4.74%   
Credit Suisse Leveraged Loan Index     2.26%           4.26%           4.26%   

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  24      NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     119.0%   
Common Stocks     1.0%   
Exchange-Traded Funds     5.4%   
Convertible Preferred Securities     0.7%   
Corporate Bonds     25.0%   
Repurchase Agreements     8.3%   
Other Assets Less Liabilities     (3.2)%   
Net Assets Plus Borrowings and Reverse Repurchase Agreements     156.2%   
Borrowings     (44.7)%   
Reverse Repurchase Agreements     (11.5)%   

Net Assets

    100%   

Top Five Issuers

(% of total long-term
investments)1

 

PowerShares Senior Loan Portfolio     2.6%   
Avago Technologies     2.2%   
Ziggo N.V.     2.2%   
Albertson’s LLC     2.1%   
Petsmart, Inc.     2.1%   

Portfolio Composition

(% of total investments)1

 

Software     9.6%   
Media     8.6%   
Hotels, Restaurants & Leisure     5.9%   
Health Care Providers & Services     4.9%   
Diversified Telecommunication Services     4.5%   
Semiconductors &
Semiconductor Equipment
    4.3%   
Health Care Equipment & Supplies     4.0%   
Wireless Telecommunication Services     3.7%   
Chemicals     3.5%   
Specialty Retail     3.3%   
Pharmaceuticals     3.2%   
Food & Staples Retailing     3.2%   
Technology Hardware, Storage & Peripherals     3.1%   
Diversified Consumer Services     3.0%   
Food Products     2.7%   
Consumer Finance     2.6%   
Diversified Other     2.5%   
Other     18.8%   
Exchange-Traded Funds     3.4%   
Repurchase Agreements     5.2%   

Total

    100%   

Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.7%   
BB or Lower     87.5%   
N/R (not rated)     1.8%   

Total

    100%   
 

 

1 Excluding investments in derivatives.

 

NUVEEN     25   


Shareholder

Meeting Report

 

The annual meeting of shareholders was held in the offices of Nuveen Investments on April 22, 2016 for NSL, JFR, JRO, JSD and JQC; at this meeting the shareholders were asked to elect Board Members.

 

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

Approval of the Board Members was reached as follows:

                 

William C. Hunter

                 

For

           580               1,390               980          32,405        107,149,233   

Withhold

                                                            4,565,354   

Total

           580               1,390               980               32,405        111,714,587   

William J. Schneider

                 

For

           580               1,390               980               32,405          

Withhold

                                                              

Total

           580               1,390               980               32,405          

Judith M. Stockdale

                 

For

    29,564,043               46,968,502               31,956,054               7,951,940               107,119,127   

Withhold

    3,200,841               902,188               954,973               784,915               4,595,460   

Total

    32,764,884               47,870,690               32,911,027               8,736,855               111,714,587   

Carole E. Stone

                 

For

    29,569,796               46,963,339               31,973,921               7,936,346               107,157,814   

Withhold

    3,195,088               907,351               937,106               800,509               4,556,773   

Total

    32,764,884               47,870,690               32,911,027               8,736,855               111,714,587   

Margaret L. Wolff

                 

For

    29,568,843               46,952,628               31,965,189               7,950,413               107,142,183   

Withhold

    3,196,041               918,062               945,838               786,442               4,572,404   

Total

    32,764,884               47,870,690               32,911,027               8,736,855               111,714,587   

 

  26      NUVEEN


Report of

Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund and Nuveen Credit Strategies Income Fund (the “Funds”) as of July 31, 2016, and the related statements of operations and cash flows for the year then ended and the statements of changes in net assets and the financial highlights for each of the years in the two-year period then ended. The financial highlights for the periods presented through July 31, 2014, were audited by other auditors whose report dated September 25, 2014, expressed an unqualified opinion on those financial highlights. 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 conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2016, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of July 31, 2016, the results of their operations and their cash flows for the year then ended and the changes in their net assets and the financial highlights for each of the years in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

Chicago, Illinois

September 28, 2016

 

NUVEEN     27   


NSL

 

Nuveen Senior Income Fund

  

Portfolio of Investments

   July 31, 2016

 

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

LONG-TERM INVESTMENTS – 152.0% (96.2% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 133.3% (84.3% of Total Investments) (4)

  

      Aerospace & Defense – 2.7% (1.7% of Total Investments)  
$ 1,829     

B/E Aerospace, Inc., Term Loan B, First Lien

    3.750%         12/16/21         BB+       $ 1,848,893   
  3,335     

Sequa Corporation, Term Loan B

    5.250%         6/19/17         CCC+         2,673,954   
  237     

Transdigm, Inc., Delayed Draw, Tranche F, Term Loan

    3.750%         6/09/23         Ba2         235,806   
  1,976     

Transdigm, Inc., Term Loan E, First Lien

    3.750%         5/14/22         Ba2         1,972,497   
  263     

Transdigm, Inc., Term Loan F

    3.750%         6/09/23         Ba2         262,007   
  7,640     

Total Aerospace & Defense

                               6,993,157   
      Air Freight & Logistics – 0.7% (0.5% of Total Investments)  
  400     

Americold Realty Operating Partnership, Term Loan B, (DD1)

    5.750%         12/01/22         BB         402,871   
  1,492     

XPO Logistics, Inc., Term Loan B

    5.500%         11/01/21         Ba1         1,509,291   
  1,892     

Total Air Freight & Logistics

                               1,912,162   
      Airlines – 2.2% (1.4% of Total Investments)                           
  1,448     

American Airlines, Inc., Term Loan B, First Lien

    3.250%         6/29/20         BB+         1,445,583   
  1,980     

American Airlines, Inc., Term Loan B, First Lien

    3.500%         10/08/21         BB+         1,980,000   
  2,425     

US Airways, Inc., Term Loan B1

    3.500%         5/23/19         BB+         2,427,597   
  5,853     

Total Airlines

                               5,853,180   
      Automobiles – 2.2% (1.4% of Total Investments)                           
  1,430     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%         12/31/18         BBB–         1,432,720   
  3,341     

Formula One Group, Term Loan, First Lien

    4.750%         7/30/21         B         3,313,764   
  1,000     

Formula One Group, Term Loan, Second Lien

    7.750%         7/29/22         CCC+         985,833   
  5,771     

Total Automobiles

                               5,732,317   
      Building Products – 1.0% (0.6% of Total Investments)  
  1,174     

Gates Global LLC, Term Loan

    4.250%         7/06/21         B+         1,152,853   
  1,418     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%         9/28/20         BB–         1,423,336   
  2,592     

Total Building Products

                               2,576,189   
      Capital Markets – 0.6% (0.4% of Total Investments)  
  1,459     

Guggenheim Partners LLC, Initial Term Loan

    4.250%         7/22/20         N/R         1,463,309   
      Chemicals – 2.1% (1.3% of Total Investments)                           
  1,526     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%         5/04/18         BB–         1,526,272   
  332     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%         3/31/22         BB–         331,693   
  1,595     

Mineral Technologies, Inc., Term Loan B2

    4.750%         5/07/21         BB+         1,609,921   
  746     

OM Group, Inc., Term Loan, First Lien

    7.000%         10/28/21         Ba3         727,594   
  1,156     

Univar, Inc., Term Loan B, First Lien

    4.250%         7/01/22         BB–         1,155,804   
  5,355     

Total Chemicals

                               5,351,284   
      Commercial Services & Supplies – 3.1% (2.0% of Total Investments)  
  497     

Acosta, Inc., Term Loan B

    4.250%         9/26/21         B1         488,255   
  794     

CCS Income Trust, Term Loan, First Lien

    6.250%         5/15/18         Caa3         759,313   
  130     

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

    5.500%         7/02/20         N/R         36,179   
  240     

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

    8.500%         7/02/20         N/R         12,587   
  2,272     

iQor US, Inc., Term Loan, First Lien

    6.000%         4/01/21         B         1,874,577   
  250     

iQor US, Inc., Term Loan, Second Lien

    9.750%         4/01/22         CCC+         175,000   
  997     

KAR Auction Services, Inc., Term Loan B3, First Lien

    4.250%         3/09/23         BB–         1,006,696   
  1,493     

Protection One, Inc., Term Loan, First Lien

    4.750%         7/01/21         Ba2         1,508,358   
  1,200     

Protection One, Inc., Term Loan B

    4.750%         5/02/22         B–         1,209,500   
  995     

Universal Services of America, Term Loan, First Lien

    4.750%         7/28/22         B+         978,831   
  8,868     

Total Commercial Services & Supplies

                               8,049,296   

 

  28      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Communications Equipment – 1.5% (1.0% of Total Investments)  
$ 3,163     

Avaya, Inc., Term Loan B3

    5.243%         10/26/17         B2       $ 2,647,331   
  326     

Avaya, Inc., Term Loan B6

    6.500%         3/31/18         B2         257,313   
  115     

Avaya, Inc., Term Loan B7

    6.250%         5/29/20         B2         86,565   
  21     

Commscope, Inc., Term Loan B, First Lien

    3.750%         12/29/22         Ba1         20,790   
  975     

Riverbed Technology, Inc., Term Loan B

    5.000%         4/24/22         B1         981,727   
  4,600     

Total Communications Equipment

                               3,993,726   
      Consumer Finance – 2.3% (1.5% of Total Investments)  
  1,500     

First Data Corporation, Term Loan B

    4.238%         7/08/22         BB         1,507,032   
  4,500     

First Data Corporation, Term Loan B, First Lien

    4.488%         3/24/21         BB         4,526,093   
  6,000     

Total Consumer Finance

                               6,033,125   
      Containers & Packaging – 0.8% (0.5% of Total Investments)  
  902     

Berry Plastics Holding Corporation, Term Loan H

    3.750%         10/01/22         BB         906,586   
  1,240     

BWAY Holding Company, Term Loan B, First Lien

    5.500%         8/14/20         B2         1,240,730   
  2,142     

Total Containers & Packaging

                               2,147,316   
      Diversified Consumer Services – 4.6% (2.9% of Total Investments)  
  992     

AlixPartners LLP, Term Loan B, First Lien

    4.500%         7/28/22         B+         994,981   
  3,285     

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%         6/07/23         BB–         3,283,447   
  1,562     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%         5/22/18         BB–         1,523,866   
  2,876     

Hilton Hotels Corporation, Term Loan B2

    3.500%         10/25/20         BBB         2,887,007   
  1,485     

Houghton Mifflin, Term Loan B, First Lien

    4.000%         5/28/21         BB         1,476,647   
  90     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B–         87,658   
  1,804     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB         1,813,395   
  12,094     

Total Diversified Consumer Services

                               12,067,001   
      Diversified Financial Services – 0.8% (0.5% of Total Investments)  
  1,097     

MGM Growth Properties, Term Loan B

    4.000%         4/25/23         BB         1,106,509   
  990     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%         6/01/22         BB–         988,132   
  2,087     

Total Diversified Financial Services

                               2,094,641   
      Diversified Telecommunication Services – 5.3% (3.4% of Total Investments)  
  1,880     

Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien

    3.000%         3/31/21         BB         1,790,225   
  849     

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

    4.000%         2/08/20         B         843,087   
  591     

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

    3.750%         6/30/19         B1         561,246   
  1,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%         8/01/19         BB+         1,674,792   
  1,000     

Verizon Communications, Inc., Term Loan

    1.737%         7/31/19         BBB+         1,000,000   
  3,087     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3         3,096,185   
  1,849     

Ziggo N.V., Term Loan B1

    3.652%         1/15/22         BB–         1,843,158   
  1,191     

Ziggo N.V., Term Loan B2

    3.656%         1/15/22         BB–         1,187,766   
  1,960     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.701%         1/15/22         BB–         1,953,451   
  14,074     

Total Diversified Telecommunication Services

                               13,949,910   
      Electric Utilities – 2.1% (1.3% of Total Investments)  
  500     

EFS Cogen Holdings LLC, Term Loan B

    5.250%         6/28/23         BB         501,875   
  3,000     

Energy Future Intermediate Holding Company, Term Loan

    4.250%         12/19/16         Ba3         3,008,439   
  1,629     

Texas Competitive Electric Holdings LLC, DIP Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB–         1,636,206   
  371     

Texas Competitive Electric Holdings LLC, DIP Term Loan C, First Lien, (WI/DD)

    TBD         TBD         BB–         373,170   
  5,500     

Total Electric Utilities

                               5,519,690   
      Electronic Equipment, Instruments & Components – 1.6% (1.0% of Total Investments)  
  1,453     

SMART Modular Technologies, Inc., Term Loan B

    8.250%         8/31/17         B         1,198,602   
  1,811     

TTM Technologies, Term Loan B

    6.000%         5/31/21         B+         1,806,325   
  1,203     

Zebra Technologies Corporation, Term Loan B

    4.000%         10/27/21         BB+         1,210,639   
  4,467     

Total Electronic Equipment, Instruments & Components

  

     4,215,566   

 

NUVEEN     29   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Energy Equipment & Services – 0.7% (0.4% of Total Investments)  
$ 316     

Dynamic Energy Services International LLC, Term Loan

    11.000%         3/06/18         N/R       $ 238,777   
  2,493     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         CCC+         916,281   
  796     

Seventy Seven Operating LLC, Term Loan B, (DD1)

    3.752%         6/25/21         D         692,082   
  3,605     

Total Energy Equipment & Services

                               1,847,140   
      Food & Staples Retailing – 7.9% (5.0% of Total Investments)  
  11,325     

Albertson’s LLC, Repriced Term Loan B4

    4.500%         8/25/21         BB         11,387,911   
  2,740     

Albertson’s LLC, Term Loan B6

    4.750%         6/22/23         BB         2,758,057   
  2,281     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%         9/26/19         B–         2,280,021   
  1,990     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC         1,979,900   
  1,375     

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

    4.875%         6/21/21         BB         1,380,371   
  904     

Supervalu, Inc., New Term Loan

    5.500%         3/21/19         BB         904,614   
  20,615     

Total Food & Staples Retailing

                               20,690,874   
      Food Products – 5.4% (3.4% of Total Investments)                           
  980     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%         6/02/21         B1         979,657   
  3,282     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         BB         3,296,580   
  2,367     

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

    5.250%         3/03/23         BB         2,387,848   
  4,918     

US Foods, Inc., Term Loan B

    4.000%         6/27/23         B+         4,948,771   
  2,816     

Wilton Products, Inc., Tranche B, Term Loan

    8.500%         8/30/18         CCC+         2,372,640   
  14,363     

Total Food Products

                               13,985,496   
      Health Care Equipment & Supplies – 4.3% (2.7% of Total Investments)                
  3,083     

Acelity, Term Loan F

    5.000%         8/03/18         Ba3         3,092,161   
  578     

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

    6.500%         8/04/21         B1         580,485   
  575     

CareCore National LLC, Term Loan

    5.500%         3/05/21         B         560,711   
  955     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2         956,957   
  995     

Greatbatch, Inc., Term Loan B

    5.250%         10/27/22         B1         995,155   
  3,204     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+         3,137,702   
  973     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–         943,464   
  858     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1         857,235   
  11,221     

Total Health Care Equipment & Supplies

                               11,123,870   
      Health Care Providers & Services – 5.9% (3.7% of Total Investments)                
  5     

Community Health Systems, Inc., Term Loan F

    3.924%         12/31/18         BB         4,966   
  522     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB         514,137   
  1,044     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB         1,032,148   
  2,279     

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

    3.500%         6/24/21         Ba1         2,291,550   
  2,096     

Drumm Investors LLC, Term Loan

    9.500%         5/04/18         B         2,060,215   
  985     

Healogics, Inc., Term Loan, First Lien

    5.250%         7/01/21         B         851,993   
  1,704     

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

    5.500%         12/21/18         B1         1,697,686   
  500     

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

    9.750%         6/21/19         CCC         479,687   
  438     

Kindred Healthcare, Inc., Term Loan B, First Lien

    4.250%         4/09/21         Ba2         436,492   
  2,004     

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

    7.500%         12/21/20         B–         1,422,649   
  1,000     

MultiPlan, Inc., Term Loan B

    5.000%         6/07/23         B+         1,010,313   
  590     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+         591,986   
  1,357     

Quorum Health Corp., Term Loan B, (DD1)

    6.750%         4/29/22         B1         1,366,774   
  740     

Select Medical Corporation, Term Loan E, First Lien

    6.000%         6/01/18         Ba2         742,183   
  964     

Select Medical Corporation, Term Loan F, First Lien

    6.001%         3/03/21         Ba2         974,503   
  16,228     

Total Health Care Providers & Services

                               15,477,282   
      Health Care Technology – 0.5% (0.3% of Total Investments)  
  1,316     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%         5/20/21         BB         1,322,360   
      Hotels, Restaurants & Leisure – 6.6% (4.2% of Total Investments)  
  3,535     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3         3,553,479   
  2,188     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–         2,195,815   
  1,826     

CityCenter Holdings LLC, Term Loan

    4.250%         10/16/20         BB         1,838,661   
  1,559     

Intrawest Resorts Holdings, Inc., Initial Term Loan

    5.000%         12/09/20         B+         1,564,819   
  1,485     

Life Time Fitness, Inc., Term Loan B

    4.250%         6/10/22         BB–         1,485,186   

 

  30      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Hotels, Restaurants & Leisure (continued)                           
$ 1,950     

Scientific Games Corporation, Term Loan

    6.000%         10/18/20         BB–       $ 1,951,624   
  1,972     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–         1,971,390   
  902     

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.000%         5/14/20         BB         884,238   
  1,748     

Station Casino LLC, Term Loan B

    3.750%         6/08/23         BB         1,748,874   
  17,165     

Total Hotels, Restaurants & Leisure

  

     17,194,086   
      Household Durables – 0.2% (0.1% of Total Investments)  
  443     

Serta Simmons Holdings LLC, Term Loan

    4.250%         10/01/19         BB–         445,029   
      Household Products – 0.4% (0.2% of Total Investments)  
  1,000     

Revlon Consumer Products Corporation, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         Ba3         1,000,125   
      Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)  
  2,000     

Dynegy, Inc., Term Loan B

    5.000%         6/27/23         BB         2,002,708   
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)  
  1,361     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%         11/26/20         B         1,347,416   
      Insurance – 2.3% (1.4% of Total Investments)  
  2,316     

Alliant Holdings I LLC, Initial Term Loan B, First Lien

    4.500%         8/12/22         B         2,306,067   
  995     

AssuredPartners Capital, Inc., Term Loan, First Lien

    5.750%         10/21/22         B         998,738   
  2,677     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         Ba3         2,670,937   
  5,988     

Total Insurance

                               5,975,742   
      Internet & Catalog Retail – 1.1% (0.7% of Total Investments)  
  2,955     

Travelport LLC, Term Loan B

    5.000%         9/02/21         B+         2,966,885   
      Internet Software & Services – 2.2% (1.4% of Total Investments)  
  993     

Ancestry.com, Inc., Term Loan B

    5.000%         8/29/22         Ba3         996,325   
  600     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba2         602,692   
  403     

Sabre Inc., Term Loan B2

    4.500%         2/19/19         Ba2         405,380   
  116     

Sabre Inc., Term Loan C

    4.000%         2/19/18         Ba2         116,271   
  3,292     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1         3,158,973   
  375     

Vertafore, Inc., Term Loan, First Lien

    4.750%         6/30/23         B2         376,306   
  5,779     

Total Internet Software & Services

                               5,655,947   
      IT Services – 1.4% (0.9% of Total Investments)  
  2,018     

EIG Investors Corp., Term Loan

    6.480%         11/09/19         B1         1,907,033   
  199     

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

    4.500%         10/13/20         B1         198,603   
  750     

WEX, Inc., Term Loan B

    4.250%         6/30/23         BB–         756,328   
  282     

VFH Parent LLC, New Term Loan

    5.250%         11/08/19         N/R         282,726   
  451     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         Ba2         451,192   
  3,700     

Total IT Services

                               3,595,882   
      Leisure Products – 1.6% (1.0% of Total Investments)  
  1,363     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%         5/28/21         Ba3         1,336,468   
  1,299     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B         1,257,579   
  1,161     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%         1/31/20         B1         1,164,167   
  500     

Four Seasons Holdings, Inc., Term Loan, Second Lien

    7.750%         12/27/20         B–         502,083   
  4,323     

Total Leisure Products

                               4,260,297   
      Machinery – 0.4% (0.2% of Total Investments)  
  468     

Rexnord LLC, Term Loan B

    4.000%         8/21/20         BB–         467,956   
  499     

Vizient, Inc., Term Loan B, First Lien

    6.250%         2/13/23         B1         505,608   
  967     

Total Machinery

                               973,564   
      Marine – 0.3% (0.2% of Total Investments)                           
  741     

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%         11/12/20         B         698,965   

 

NUVEEN     31   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Media – 12.6% (7.9% of Total Investments)                           
$ 1,277     

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

    4.250%         7/23/21         B1       $ 1,273,099   
  950     

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

    7.500%         7/25/22         CCC+         894,336   
  639     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%         10/31/18         Caa1         528,069   
  992     

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

    6.750%         4/30/18         B1         946,074   
  1,470     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%         4/09/21         B1         1,274,000   
  1,000     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%         4/11/22         Caa1         681,867   
  3,473     

Cequel Communications LLC, Extended Term Loan

    4.250%         12/14/22         BB–         3,487,609   
  2,992     

Charter Communications Operating Holdings LLC, Term Loan I

    3.500%         1/24/23         BBB         3,010,401   
  1,500     

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

    7.246%         1/30/19         Caa1         1,169,062   
  2,111     

Clear Channel Communications, Inc., Term Loan E

    7.996%         7/30/19         Caa1         1,636,315   
  5,555     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B3         3,947,680   
  1,175     

Emerald Expositions Holdings, Inc., Term Loan, First Lien

    4.750%         6/17/20         BB–         1,177,128   
  400     

Getty Images, Inc., Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B3         315,000   
  445     

Gray Television, Inc., Initial Term Loan

    3.938%         6/13/21         BB         447,042   
  980     

IMG Worldwide, Inc., First Lien

    5.250%         5/06/21         B1         982,200   
  750     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%         3/17/22         BB–         764,062   
  1,500     

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%         5/02/22         Ba3         1,509,750   
  995     

Numericable Group S.A., Term Loan

    4.752%         2/10/23         B+         998,006   
  1,637     

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

    4.500%         8/14/20         B         1,589,601   
  3,780     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%         3/01/20         B+         3,783,936   
  1,000     

UPC Financing Partnership, Term Loan, First Lien, (WI/DD)

    TBD         TBD         BB         995,000   
  992     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%         7/01/20         Ba3         989,983   
  113     

Yell Group PLC, Term Loan A2

    5.647%         3/01/19         CCC+         396,620   
  764     

Yell Group PLC, Term Loan B2, PIK, (6)

    0.000%         3/03/24         CCC–           
  36,490     

Total Media

                               32,796,840   
      Metals & Mining – 1.1% (0.7% of Total Investments)  
  359     

Fairmount Minerals, Ltd., Term Loan B1, First Lien, (WI/DD)

    TBD         TBD         Caa1         308,450   
  600     

Fairmount Minerals, Ltd., Term Loan B2, First Lien, (WI/DD)

    TBD         TBD         B–         530,250   
  1,120     

Fortescue Metals Group, Ltd., Term Loan B, First Lien

    4.250%         6/30/19         BBB–         1,098,995   
  1,000     

Zekelman Industries, Term Loan B

    6.000%         6/14/21         BB–         1,006,250   
  3,079     

Total Metals & Mining

                               2,943,945   
      Multiline Retail – 2.2% (1.4% of Total Investments)  
  987     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%         6/05/20         BB–         986,266   
  1,496     

Belk, Inc., Term Loan B, First Lien

    5.750%         12/12/22         B+         1,319,692   
  1,817     

Dollar Tree, Inc., Term Loan B1

    3.500%         7/06/22         BBB         1,827,681   
  830     

Dollar Tree, Inc., Term Loan B2

    4.250%         7/06/22         BBB         833,756   
  691     

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

    4.750%         9/30/22         BB         694,053   
  5,821     

Total Multiline Retail

                               5,661,448   
      Oil, Gas & Consumable Fuels – 2.4% (1.5% of Total Investments)  
  719     

California Resources Corporation, Term Loan A, First Lien, (WI/DD)

    TBD         TBD         B1         667,539   
  920     

C&J Holding Co., Term Loan B2, (DD1), (5)

    0.000%         3/24/22         D         669,300   
  335     

Crestwood Holdings LLC, Term Loan B

    9.000%         6/19/19         B3         300,673   
  114     

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%         5/13/22         N/R         63,008   
  1,664     

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

    3.875%         10/01/18         B2         1,434,805   
  444     

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%         8/31/20         B–         372,896   
  505     

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

    8.375%         9/30/20         CCC–         168,062   
  805     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         N/R         483,173   
  1,749     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         CCC+         1,027,303   
  1,832     

Seadrill Partners LLC, Initial Term Loan

    4.000%         2/21/21         B–         830,108   
  25     

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

    3.500%         4/13/23         CCC+         21,514   
  334     

Western Refining, Inc., Term Loan B

    5.250%         11/12/20         B+         324,327   
  9,446     

Total Oil, Gas & Consumable Fuels

                               6,362,708   
      Pharmaceuticals – 4.0% (2.6% of Total Investments)  
  598     

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%         10/21/21         B+         587,499   
  190     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         BB         188,399   
  2,000     

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5), (6)

    0.000%         5/03/13         N/R         200   
  980     

Patheon, Inc., Term Loan B

    4.250%         3/11/21         B1         976,325   
  2,771     

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

    4.250%         8/18/22         B1         2,773,443   

 

  32      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Pharmaceuticals (continued)                           
$ 2,322     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%         9/23/20         BB–       $ 2,337,714   
  1,279     

Valeant Pharmaceuticals International, Inc., Term Loan E

    4.750%         8/05/20         Ba2         1,264,525   
  2,456     

Valeant Pharmaceuticals International, Inc., Term Loan F

    5.000%         4/01/22         Ba2         2,440,506   
  12,596     

Total Pharmaceuticals

                               10,568,611   
      Professional Services – 0.4% (0.3% of Total Investments)  
  1,150     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3         1,111,411   
      Real Estate Investment Trust – 3.6% (2.3% of Total Investments)  
  5,427     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BB+         5,432,739   
  1,511     

Realogy Corporation, Term Loan B, First Lien

    3.750%         7/14/22         BB+         1,520,060   
  566     

Starwood Property Trust, Inc., Term Loan B

    3.500%         4/17/20         BB         566,275   
  2,342     

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

    4.750%         12/18/20         B+         1,928,404   
  9,846     

Total Real Estate Investment Trust

                               9,447,478   
      Real Estate Management & Development – 0.7% (0.5% of Total Investments)  
  1,861     

Capital Automotive LP, Term Loan, Second Lien

    6.000%         4/30/20         B1         1,877,207   
      Road & Rail – 0.3% (0.2% of Total Investments)                           
  995     

Quality Distribution, Term Loan, First Lien

    5.750%         8/18/22         B2         896,329   
      Semiconductors & Semiconductor Equipment – 7.4% (4.7% of Total Investments)  
  1,185     

Avago Technologies, Term Loan A

    2.231%         2/01/21         BBB         1,166,484   
  10,752     

Avago Technologies, Term Loan B, First Lien

    4.250%         2/01/23         BBB         10,789,846   
  654     

Cypress Semiconductor Corp, Term Loan B

    6.500%         7/05/21         BB–         658,069   
  1,000     

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

    6.640%         4/26/22         Baa2         1,012,500   
  1,305     

Microsemi Corporation, Term Loan B, First Lien

    3.750%         1/15/23         BB         1,315,552   
  1,066     

NXP Semiconductor LLC, Term Loan B, First Lien

    3.750%         12/07/20         Baa2         1,074,900   
  959     

NXP Semiconductor LLC, Term Loan D

    3.250%         1/11/20         Baa2         961,500   
  2,250     

On Semiconductor Corp., Term Loan B, First Lien

    5.250%         3/31/23         Ba1         2,278,125   
  19,171     

Total Semiconductors & Semiconductor Equipment

                               19,256,976   
      Software – 9.8% (6.2% of Total Investments)                           
  1,167     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+         1,139,353   
  2,069     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1         1,903,501   
  980     

Computer Sciences Government Services, Term Loan B, First Lien

    3.750%         11/28/22         BB+         985,638   
  750     

Compuware Corporation, Term Loan, Second Lien

    9.250%         12/15/22         CCC+         645,000   
  2,418     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B         2,325,337   
  1,739     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B2         1,742,523   
  1,034     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3         1,036,582   
  5,799     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%         6/03/20         BB         5,744,247   
  992     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B         979,916   
  783     

Micro Focus International PLC, Term Loan B

    4.500%         11/20/21         BB–         782,868   
  1,181     

Micro Focus International PLC, Term Loan C

    4.502%         11/20/19         BB–         1,185,680   
  3,369     

Misys PLC, Term Loan B, First Lien

    5.000%         12/12/18         B+         3,384,129   
  694     

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%         5/29/20         B1         671,406   
  1,325     

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

    4.000%         7/08/22         BB         1,334,205   
  172     

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

    4.000%         7/08/22         BB         172,862   
  1,500     

Uber Technologies, Inc., Term Loan B, First Lien

    5.000%         7/07/23         N/R         1,498,751   
  25,972     

Total Software

                               25,531,998   
      Specialty Retail – 2.4% (1.5% of Total Investments)                           
  499     

Gardner Denver, Inc., Term Loan, (DD1)

    4.250%         7/30/20         B         475,497   
  1,552     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3         1,544,976   
  2,838     

Petco Animal Supplies, Inc., Term Loan B1

    5.000%         1/26/23         B1         2,854,062   
  1,333     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–         1,337,064   
  6,222     

Total Specialty Retail

                               6,211,599   
      Technology Hardware, Storage & Peripherals – 5.7% (3.6% of Total Investments)  
  1,000     

Dell International LLC, Term Loan A2, First Lien, (WI/DD)

    TBD         TBD         BBB–         967,500   

 

NUVEEN     33   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Technology Hardware, Storage & Peripherals (continued)  
$ 1,500     

Dell International LLC, Term Loan A3, First Lien, (WI/DD)

    TBD         TBD         BBB–       $ 1,476,562   
  7,363     

Dell International LLC, Term Loan B, (WI/DD)

    TBD         TBD         BBB–         7,372,590   
  5,000     

Western Digital Inc., Term Loan B, First Lien

    6.250%         4/29/23         BBB–         5,058,750   
  14,863     

Total Technology Hardware, Storage & Peripherals

                               14,875,402   
      Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)                
  690     

Gymboree Corporation, Term Loan

    5.000%         2/23/18         CCC+         538,344   
  1,033     

J Crew Group, Term Loan B, First Lien

    4.000%         3/05/21         B2         737,727   
  1,723     

Total Textiles, Apparel & Luxury Goods

                               1,276,071   
      Trading Companies & Distributors – 1.5% (0.9% of Total Investments)  
  3,082     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB         3,097,812   
  827     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%         6/09/21         B–         814,295   
  3,909     

Total Trading Companies & Distributors

                               3,912,107   
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)  
  66     

Ceva Group PLC, Canadian Term Loan

    6.500%         3/19/21         B2         55,039   
  383     

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

    6.500%         3/19/21         B2         319,225   
  371     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%         3/19/21         B2         309,673   
  528     

Ceva Group PLC, US Term Loan

    6.500%         3/19/21         B2         440,310   
  1,348     

Total Transportation Infrastructure

                               1,124,247   
      Wireless Telecommunication Services – 2.2% (1.4% of Total Investments)  
  834     

Asurion LLC, Term Loan B1

    5.000%         5/24/19         Ba3         835,643   
  851     

Asurion LLC, Term Loan B4, First Lien

    5.000%         8/04/22         Ba3         853,488   
  2,943     

Fairpoint Communications, Inc., Term Loan B

    7.500%         2/14/19         B         2,949,370   
  270     

Syniverse Holdings, Inc., Initial Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B+         218,362   
  270     

Syniverse Holdings, Inc., Tranche B, Term Loan, (WI/DD)

    TBD         TBD         B+         218,362   
  672     

T-Mobile USA, Term Loan B

    3.500%         11/09/22         BBB–         676,557   
  5,840     

Total Wireless Telecommunication Services

                               5,751,782   
$ 364,496     

Total Variable Rate Senior Loan Interests (cost $360,494,686)

  

     348,121,696   
Shares     Description (1)                           Value  
 

COMMON STOCKS – 2.0% (1.3% of Total Investments)

  

  
      Banks – 0.9% (0.6% of Total Investments)                           
  33,301     

BLB Worldwide Holdings Inc., (7)

                             $ 2,467,048   
      Diversified Consumer Services – 0.5% (0.3% of Total Investments)  
  53,514     

Cengage Learning Holdings II LP, (7), (8)

             1,230,822   
  1,562,493     

Education Management Corporation, (7), (8)

                               156   
 

Total Diversified Consumer Services

                               1,230,978   
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)  
  1,961     

Vantage Drill International, (7), (8)

                               171,588   
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  58,830     

Millennium Health LLC, (7)

                               88,245   
      Media – 0.5% (0.3% of Total Investments)                           
  3,479     

Cumulus Media, Inc., (7)

             1,330   
  6,268     

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

             504,574   
  18,422     

Tribune Media Company

             682,535   
  14,825     

Tribune Media Company, (6)

               
  4,605     

tronc, Inc., (7)

                               69,029   
 

Total Media

                               1,257,468   

 

  34      NUVEEN


Shares     Description (1)                           Value  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  54     

Energy and Exploration Partners, Inc., (7), (8)

           $ 18,900   
  27     

Southcross Holdings Borrower LP, (7)

                               8,775   
 

Total Oil, Gas & Consumable Fuels

                               27,675   
      Software – 0.0% (0.0% of Total Investments)                           
  291,294     

Eagle Topco LP, (6), (7)

                                 
 

Total Common Stocks (cost $7,298,060)

                               5,243,002   
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

  

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

Education Management Corporation, (8)

    7.500%                  N/R       $ 435   
 

Total $25 Par (or similar) Retail Preferred (cost $4,219)

                               435   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 16.7% (10.6% of Total Investments)

  

      Commercial Services & Supplies – 0.5% (0.3% of Total Investments)  
$ 1,233     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–       $ 1,202,175   
      Communications Equipment – 0.3% (0.2% of Total Investments)  
  115     

Avaya Inc., 144A

    7.000%         4/01/19         B2         86,538   
  2,895     

Avaya Inc., 144A

    10.500%         3/01/21         Caa2         781,650   
  3,010     

Total Communications Equipment

                               868,188   
      Containers & Packaging – 0.3% (0.2% of Total Investments)                           
  776     

Reynolds Group

    9.875%         8/15/19         CCC+         797,340   
      Diversified Telecommunication Services – 1.8% (1.2% of Total Investments)  
  600     

Frontier Communications Corporation

    8.875%         9/15/20         BB         644,814   
  1,585     

Frontier Communications Corporation

    6.250%         9/15/21         BB         1,541,413   
  1,350     

Frontier Communications Corporation

    6.875%         1/15/25         BB         1,183,937   
  215     

IntelSat Limited

    6.750%         6/01/18         CC         132,225   
  3,050     

IntelSat Limited

    7.750%         6/01/21         CC         701,500   
  2,650     

IntelSat Limited

    8.125%         6/01/23         CC         616,125   
  9,450     

Total Diversified Telecommunication Services

                               4,820,014   
      Health Care Equipment & Supplies – 3.6% (2.3% of Total Investments)  
  2,025     

Kinetic Concepts

    10.500%         11/01/18         B–         2,068,031   
  1,000     

Kinetic Concepts

    12.500%         11/01/19         CCC+         980,000   
  3,500     

Tenet Healthcare Corporation

    6.000%         10/01/20         BB         3,701,250   
  1,100     

Tenet Healthcare Corporation

    8.125%         4/01/22         B–         1,135,750   
  1,560     

Tenet Healthcare Corporation

    6.750%         6/15/23         B–         1,501,500   
  9,185     

Total Health Care Equipment & Supplies

                               9,386,531   
      Health Care Providers & Services – 1.7% (1.1% of Total Investments)  
  1,020     

Community Health Systems, Inc.

    5.125%         8/01/21         BB         1,014,900   
  2,400     

Community Health Systems, Inc.

    6.875%         2/01/22         B+         2,064,000   
  600     

Iasis Healthcare Capital Corporation

    8.375%         5/15/19         CCC+         576,000   
  750     

Select Medical Corporation

    6.375%         6/01/21         B–         742,035   
  4,770     

Total Health Care Providers & Services

                               4,396,935   
      Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)  
  1,550     

Scientific Games International Inc.

    10.000%         12/01/22         B         1,377,562   

 

NUVEEN     35   


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Media – 3.6% (2.3% of Total Investments)                           
$ 100     

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A

    3.579%         7/23/20         BBB       $ 105,258   
  1,524     

Clear Channel Communications, Inc.

    10.000%         1/15/18         CC         979,170   
  2,872     

Clear Channel Communications, Inc.

    9.000%         12/15/19         Caa1         2,319,140   
  6,468     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CC         2,732,598   
  3,050     

Clear Channel Communications, Inc.

    9.000%         3/01/21         Caa1         2,279,875   
  1,000     

Dish DBS Corporation

    5.875%         11/15/24         Ba3         965,000   
  15,014     

Total Media

                               9,381,041   
      Oil, Gas & Consumable Fuels – 0.6% (0.3% of Total Investments)  
  400     

Denbury Resources Inc.

    6.375%         8/15/21         CCC+         266,000   
  1,500     

FTS International Inc., 144A

    8.134%         6/15/20         B1         1,214,353   
  1,900     

Total Oil, Gas & Consumable Fuels

                               1,480,353   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)  
  750     

iStar Inc.

    4.000%         11/01/17         B+         744,375   
      Semiconductors & Semiconductor Equipment – 0.9% (0.5% of Total Investments)  
  1,075     

Advanced Micro Devices, Inc.

    7.750%         8/01/20         CCC         1,061,562   
  1,200     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         CCC         1,161,000   
  2,275     

Total Semiconductors & Semiconductor Equipment

                               2,222,562   
      Software – 0.6% (0.4% of Total Investments)                           
  1,330     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+         1,083,950   
  700     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%         10/15/19         CCC+         591,500   
  2,030     

Total Software

                               1,675,450   
      Wireless Telecommunication Services – 2.0% (1.3% of Total Investments)  
  1,000     

Sprint Capital Corporation

    6.900%         5/01/19         B+         988,750   
  500     

Sprint Corporation

    7.875%         9/15/23         B+         456,565   
  2,000     

Sprint Corporation

    7.125%         6/15/24         B+         1,780,000   
  1,750     

T-Mobile USA Inc.

    6.250%         4/01/21         BB         1,830,938   
  75     

T-Mobile USA Inc.

    6.731%         4/28/22         BB         78,562   
  75     

T-Mobile USA Inc.

    6.836%         4/28/23         BB         80,063   
  5,400     

Total Wireless Telecommunication Services

                               5,214,878   
$ 57,343     

Total Corporate Bonds (cost $55,017,628)

                               43,567,404   
 

Total Long-Term Investments (cost $422,814,593)

                               396,932,537   
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
      SHORT-TERM INVESTMENTS – 6.1% (3.8% of Total Investments)  
      REPURCHASE AGREEMENTS – 6.1% (3.8% of Total Investments)  
$ 15,887     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/29/16, repurchase price $15,887,047,
collateralized by $14,885,000 U.S. Treasury Notes,
2.500%, due 8/15/23, value $16,206,044

    0.030%         8/01/16                $ 15,887,007   
 

Total Short-Term Investments (cost $15,887,007)

                               15,887,007   
 

Total Investments (cost $438,701,600) – 158.1%

                               412,819,544   
 

Borrowings – (38.7)% (9), (10)

                               (101,000,000
 

Variable Rate Term Preferred Shares, at Liquidation Preference – (17.2)% (11)

  

     (45,000,000
 

Other Assets Less Liabilities – (2.2)%

                               (5,748,230
 

Net Assets Applicable to Common Shares – 100%

                             $ 261,071,314   

 

  36      NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

(6) 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.

 

(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) Borrowings as a percentage of Total Investments is 24.5%.

 

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

 

(11) Variable Rate Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 10.9%.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     37   


JFR

 

Nuveen Floating Rate Income Fund

  

Portfolio of Investments

   July 31, 2016

 

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

LONG-TERM INVESTMENTS – 152.5% (96.8% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 128.1% (81.3% of Total Investments) (4)

  

      Aerospace & Defense – 2.1% (1.3% of Total Investments)  
$ 4,269     

B/E Aerospace, Inc., Term Loan B, First Lien

    3.750%         12/16/21         BB+       $ 4,314,082   
  5,724     

Sequa Corporation, Term Loan B

    5.250%         6/19/17         CCC+         4,589,888   
  474     

Transdigm, Inc., Delayed Draw, Tranche F, Term Loan

    3.750%         6/09/23         Ba2         471,612   
  2,964     

Transdigm, Inc., Term Loan E, First Lien

    3.750%         5/14/22         Ba2         2,958,745   
  526     

Transdigm, Inc., Term Loan F

    3.750%         6/09/23         Ba2         524,013   
  13,957     

Total Aerospace & Defense

                               12,858,340   
      Air Freight & Logistics – 0.6% (0.4% of Total Investments)                           
  799     

Americold Realty Operating Partnership, Term Loan B, (DD1)

    5.750%         12/01/22         BB         805,742   
  2,985     

XPO Logistics, Inc., Term Loan B

    5.500%         11/01/21         Ba1         3,018,581   
  3,784     

Total Air Freight & Logistics

                               3,824,323   
      Airlines – 1.7% (1.1% of Total Investments)                           
  3,388     

American Airlines, Inc., Term Loan B, First Lien

    3.250%         6/29/20         BB+         3,382,785   
  2,970     

American Airlines, Inc., Term Loan B, First Lien

    3.500%         10/08/21         BB+         2,970,000   
  4,365     

US Airways, Inc., Term Loan B1

    3.500%         5/23/19         BB+         4,369,675   
  10,723     

Total Airlines

                               10,722,460   
      Automobiles – 2.3% (1.4% of Total Investments)                           
  4,588     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%         12/31/18         BBB–         4,595,240   
  7,795     

Formula One Group, Term Loan, First Lien

    4.750%         7/30/21         B         7,732,116   
  2,000     

Formula One Group, Term Loan, Second Lien

    7.750%         7/29/22         CCC+         1,971,666   
  14,383     

Total Automobiles

                               14,299,022   
      Building Products – 0.7% (0.4% of Total Investments)                           
  2,054     

Gates Global LLC, Term Loan

    4.250%         7/06/21         B+         2,017,494   
  2,115     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%         9/28/20         BB–         2,123,083   
  4,169     

Total Building Products

                               4,140,577   
      Capital Markets – 0.9% (0.6% of Total Investments)                           
  2,779     

Citco III Limited, Term Loan B

    4.250%         6/29/18         N/R         2,778,101   
  2,917     

Guggenheim Partners LLC, Initial Term Loan

    4.250%         7/22/20         N/R         2,926,617   
  5,696     

Total Capital Markets

                               5,704,718   
      Chemicals – 1.8% (1.1% of Total Investments)                           
  2,720     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%         5/04/18         BB–         2,720,347   
  591     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%         3/31/22         BB–         591,192   
  2,319     

Mineral Technologies, Inc., Term Loan B2

    4.750%         5/07/21         BB+         2,340,597   
  1,990     

OM Group, Inc., Term Loan, First Lien

    7.000%         10/28/21         Ba3         1,940,250   
  3,481     

Univar, Inc., Term Loan B, First Lien

    4.250%         7/01/22         BB–         3,481,106   
  11,101     

Total Chemicals

                               11,073,492   
      Commercial Services & Supplies – 3.4% (2.2% of Total Investments)  
  1,490     

Acosta, Inc., Term Loan B

    4.250%         9/26/21         B1         1,464,765   
  934     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%         10/09/19         B+         933,307   
  2,804     

CCS Income Trust, Term Loan, First Lien

    6.250%         5/15/18         Caa3         2,681,591   
  824     

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

    5.500%         7/02/20         N/R         228,737   
  1,516     

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

    8.500%         7/02/20         N/R         79,577   
  4,544     

iQor US, Inc., Term Loan, First Lien

    6.000%         4/01/21         B         3,749,154   
  500     

iQor US, Inc., Term Loan, Second Lien

    9.750%         4/01/22         CCC+         350,000   
  1,496     

KAR Auction Services, Inc., Term Loan B3, First Lien

    4.250%         3/09/23         BB–         1,510,044   
  3,856     

Protection One, Inc., Term Loan, First Lien

    4.750%         7/01/21         Ba2         3,896,591   

 

  38      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 2,950     

Protection One, Inc., Term Loan B

    4.750%         5/02/22         B–       $ 2,973,355   
  1,990     

Universal Services of America, Term Loan, First Lien

    4.750%         7/28/22         B+         1,957,662   
  1,750     

Universal Services of America, Term Loan, Second Lien

    9.500%         7/28/23         B–         1,701,875   
  24,654     

Total Commercial Services & Supplies

                               21,526,658   
      Communications Equipment – 1.4% (0.9% of Total Investments)  
  6,724     

Avaya, Inc., Term Loan B3

    5.243%         10/26/17         B2         5,626,922   
  1,060     

Avaya, Inc., Term Loan B6

    6.500%         3/31/18         B2         837,207   
  204     

Avaya, Inc., Term Loan B7

    6.250%         5/29/20         B2         154,311   
  2,274     

Riverbed Technology, Inc., Term Loan B

    5.000%         4/24/22         B1         2,289,057   
  10,262     

Total Communications Equipment

                               8,907,497   
      Consumer Finance – 2.3% (1.4% of Total Investments)                           
  2,500     

First Data Corporation, Term Loan B

    4.238%         7/08/22         BB         2,511,720   
  11,550     

First Data Corporation, Term Loan B, First Lien

    4.488%         3/24/21         BB         11,616,965   
  14,050     

Total Consumer Finance

                               14,128,685   
      Containers & Packaging – 1.3% (0.8% of Total Investments)                           
  1,805     

Berry Plastics Holding Corporation, Term Loan H

    3.750%         10/01/22         BB         1,813,171   
  4,172     

BWAY Holding Company, Term Loan B, First Lien

    5.500%         8/14/20         B2         4,174,792   
  2,363     

Reynolds Group Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD         TBD         B+         2,369,338   
  8,340     

Total Containers & Packaging

                               8,357,301   
      Diversified Consumer Services – 4.7% (3.0% of Total Investments)  
  1,737     

AlixPartners LLP, Term Loan B, First Lien

    4.500%         7/28/22         B+         1,741,217   
  5,400     

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%         6/07/23         BB–         5,396,625   
  1,778     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%         5/22/18         BB–         1,734,984   
  1,406     

Harland Clarke Holdings Corporation, Term Loan B4

    6.993%         8/04/19         BB–         1,375,488   
  8,569     

Hilton Hotels Corporation, Term Loan B2

    3.500%         10/25/20         BBB         8,600,655   
  2,970     

Houghton Mifflin, Term Loan B, First Lien

    4.000%         5/28/21         BB         2,953,294   
  180     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B–         176,439   
  7,732     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB         7,774,450   
  29,772     

Total Diversified Consumer Services

                               29,753,152   
      Diversified Financial Services – 0.6% (0.4% of Total Investments)                           
  2,194     

MGM Growth Properties, Term Loan B

    4.000%         4/25/23         BB         2,213,017   
  1,485     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%         6/01/22         BB–         1,482,198   
  3,679     

Total Diversified Financial Services

                               3,695,215   
      Diversified Telecommunication Services – 6.4% (4.0% of Total Investments)                       
  3,710     

Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien

    3.000%         3/31/21         BB         3,533,421   
  1,699     

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

    4.000%         2/08/20         B         1,686,174   
  1,181     

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

    3.750%         6/30/19         B1         1,122,493   
  2,435     

Level 3 Financing, Inc., Term Loan B2

    3.500%         5/31/22         BB+         2,447,293   
  3,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%         8/01/19         BB+         3,684,542   
  750     

Presidio, Inc., Refinancing Term Loan, First Lien, (WI/DD)

    TBD         TBD         B1         747,562   
  4,000     

Verizon Communications, Inc., Term Loan

    1.737%         7/31/19         BBB+         4,000,000   
  10,745     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3         10,777,550   
  4,437     

Ziggo N.V., Term Loan B1

    3.652%         1/15/22         BB–         4,423,580   
  2,860     

Ziggo N.V., Term Loan B2

    3.656%         1/15/22         BB–         2,850,638   
  4,703     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.701%         1/15/22         BB–         4,688,282   
  40,187     

Total Diversified Telecommunication Services

                               39,961,535   
      Electric Utilities – 1.8% (1.2% of Total Investments)                           
  1,000     

EFS Cogen Holdings LLC, Term Loan B

    5.250%         6/28/23         BB         1,003,750   
  6,500     

Energy Future Intermediate Holding Company, Term Loan

    4.250%         12/19/16         Ba3         6,518,285   
  3,257     

Texas Competitive Electric Holdings LLC, DIP Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB–         3,272,412   

 

NUVEEN     39   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electric Utilities (continued)                           
$ 743     

Texas Competitive Electric Holdings LLC, DIP Term Loan C, First Lien, (WI/DD)

    TBD         TBD         BB–       $ 746,340   
  11,500     

Total Electric Utilities

                               11,540,787   
      Electronic Equipment, Instruments & Components – 1.4% (0.9% of Total Investments)  
  3,940     

SMART Modular Technologies, Inc., Term Loan B

    8.250%         8/31/17         B         3,250,339   
  3,169     

TTM Technologies, Term Loan B

    6.000%         5/31/21         B+         3,161,068   
  2,161     

Zebra Technologies Corporation, Term Loan B

    4.000%         10/27/21         BB+         2,175,072   
  9,270     

Total Electronic Equipment, Instruments & Components

                               8,586,479   
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)                           
  5,187     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         CCC+         1,906,186   
  597     

Dynamic Energy Services International LLC, Term Loan

    11.000%         3/06/18         N/R         451,024   
  1,593     

Seventy Seven Operating LLC, Term Loan B, (DD1)

    3.752%         6/25/21         D         1,384,164   
  7,377     

Total Energy Equipment & Services

                               3,741,374   
      Food & Staples Retailing – 7.7% (4.9% of Total Investments)                           
  24,393     

Albertson’s LLC, Repriced Term Loan B4

    4.500%         8/25/21         BB         24,527,808   
  2,992     

Albertson’s LLC, Repriced Term Loan B5

    4.750%         12/21/22         BB         3,011,203   
  5,479     

Albertson’s LLC, Term Loan B6

    4.750%         6/22/23         BB         5,516,115   
  3,133     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%         9/26/19         B–         3,130,873   
  3,981     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC         3,959,800   
  731     

Del Monte Foods Company, Term Loan, First Lien

    4.250%         2/18/21         B–         678,844   
  1,500     

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

    5.750%         8/21/20         BB         1,507,812   
  2,975     

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

    4.875%         6/21/21         BB         2,986,620   
  2,896     

Supervalu, Inc., New Term Loan

    5.500%         3/21/19         BB         2,898,347   
  48,080     

Total Food & Staples Retailing

                               48,217,422   
      Food Products – 5.1% (3.2% of Total Investments)                           
  1,960     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%         6/02/21         B1         1,959,314   
  5,744     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         BB         5,769,014   
  6,153     

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

    5.250%         3/03/23         BB         6,208,406   
  3,866     

Pinnacle Foods Finance LLC, Term Loan G

    3.250%         4/29/20         BB+         3,876,151   
  10,369     

US Foods, Inc., Term Loan B

    4.000%         6/27/23         B+         10,434,246   
  4,224     

Wilton Products, Inc., Tranche B, Term Loan

    8.500%         8/30/18         CCC+         3,558,960   
  32,316     

Total Food Products

                               31,806,091   
      Health Care Equipment & Supplies – 3.5% (2.2% of Total Investments)  
  6,704     

Acelity, Term Loan F

    5.000%         8/03/18         Ba3         6,724,467   
  578     

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

    6.500%         8/04/21         B1         580,485   
  1,150     

CareCore National LLC, Term Loan

    5.500%         3/05/21         B         1,121,423   
  2,388     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2         2,392,392   
  1,990     

Greatbatch, Inc., Term Loan B

    5.250%         10/27/22         B1         1,990,310   
  4,807     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+         4,706,553   
  2,553     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–         2,476,592   
  1,717     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1         1,714,470   
  21,887     

Total Health Care Equipment & Supplies

                               21,706,692   
      Health Care Providers & Services – 6.2% (3.9% of Total Investments)  
  1,970     

Acadia Healthcare, Inc., Term Loan B, First Lien

    3.750%         2/11/22         Ba2         1,972,462   
  1,721     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB         1,696,445   
  3,444     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB         3,405,671   
  3,589     

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

    3.500%         6/24/21         Ba1         3,608,742   
  6,299     

Drumm Investors LLC, Term Loan

    9.500%         5/04/18         B         6,190,997   
  991     

HCA, Inc., Term Loan B6, First Lien

    3.746%         3/17/23         BBB–         1,000,394   
  2,462     

Healogics, Inc., Term Loan, First Lien

    5.250%         7/01/21         B         2,129,981   
  3,635     

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

    5.500%         12/21/18         B1         3,621,099   
  2,000     

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

    9.750%         6/21/19         CCC         1,918,750   
  766     

Kindred Healthcare, Inc., Term Loan B, First Lien

    4.250%         4/09/21         Ba2         763,862   
  3,866     

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

    7.500%         12/21/20         B–         2,745,047   

 

  40      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services (continued)  
$ 1,500     

MultiPlan, Inc., Term Loan B

    5.000%         6/07/23         B+       $ 1,515,470   
  2,358     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+         2,367,945   
  3,082     

Quorum Health Corp., Term Loan B, (DD1)

    6.750%         4/29/22         B1         3,105,392   
  1,480     

Select Medical Corporation, Term Loan E, First Lien

    6.000%         6/01/18         Ba2         1,484,367   
  1,446     

Select Medical Corporation, Term Loan F, First Lien

    6.001%         3/03/21         Ba2         1,461,754   
  40,609     

Total Health Care Providers & Services

                               38,988,378   
      Health Care Technology – 0.8% (0.5% of Total Investments)                           
  5,089     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%         5/20/21         BB         5,114,761   
      Hotels, Restaurants & Leisure – 5.4% (3.5% of Total Investments)  
  7,777     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3         7,817,653   
  2,795     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–         2,804,600   
  3,652     

CityCenter Holdings LLC, Term Loan

    4.250%         10/16/20         BB         3,677,128   
  2,598     

Intrawest Resorts Holdings, Inc., Initial Term Loan

    5.000%         12/09/20         B+         2,608,032   
  2,228     

Life Time Fitness, Inc., Term Loan B

    4.250%         6/10/22         BB–         2,227,778   
  3,900     

Scientific Games Corporation, Term Loan

    6.000%         10/18/20         BB–         3,903,249   
  4,436     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–         4,433,776   
  3,248     

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.000%         5/14/20         BB         3,183,835   
  3,497     

Station Casino LLC, Term Loan B

    3.750%         6/08/23         BB         3,497,748   
  34,131     

Total Hotels, Restaurants & Leisure

                               34,153,799   
      Household Durables – 0.4% (0.2% of Total Investments)                           
  2,435     

Serta Simmons Holdings LLC, Term Loan

    4.250%         10/01/19         BB–         2,447,659   
      Household Products – 0.3% (0.2% of Total Investments)                           
  2,000     

Revlon Consumer Products Corporation, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         Ba3         2,000,250   
      Independent Power & Renewable Electricity Producers – 0.7% (0.4% of Total Investments)  
  4,250     

Dynegy, Inc., Term Loan B

    5.000%         6/27/23         BB         4,255,755   
      Industrial Conglomerates – 0.4% (0.2% of Total Investments)                           
  2,268     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%         11/26/20         B         2,245,693   
      Insurance – 2.2% (1.4% of Total Investments)                           
  5,286     

Alliant Holdings I LLC, Initial Term Loan B, First Lien

    4.500%         8/12/22         B         5,263,074   
  2,488     

AssuredPartners Capital, Inc., Term Loan, First Lien

    5.750%         10/21/22         B         2,496,844   
  5,841     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         Ba3         5,828,384   
  13,615     

Total Insurance

                               13,588,302   
      Internet & Catalog Retail – 1.3% (0.9% of Total Investments)                           
  8,375     

Travelport LLC, Term Loan B

    5.000%         9/02/21         B+         8,408,654   
      Internet Software & Services – 2.1% (1.3% of Total Investments)                           
  992     

Ancestry.com, Inc., Term Loan B

    5.000%         8/29/22         Ba3         996,325   
  2,802     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba2         2,812,564   
  605     

Sabre Inc., Term Loan B2

    4.500%         2/19/19         Ba2         608,070   
  290     

Sabre Inc., Term Loan C

    4.000%         2/19/18         Ba2         290,678   
  7,818     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1         7,502,561   
  750     

Vertafore, Inc., Term Loan, First Lien

    4.750%         6/30/23         B2         752,611   
  13,257     

Total Internet Software & Services

                               12,962,809   
      IT Services – 1.1% (0.7% of Total Investments)                           
  3,677     

EIG Investors Corp., Term Loan

    6.480%         11/09/19         B1         3,475,160   
  448     

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

    4.500%         10/13/20         B1         446,856   
  1,500     

WEX, Inc., Term Loan B

    4.250%         6/30/23         BB–         1,512,657   
  564     

VFH Parent LLC, New Term Loan

    5.250%         11/08/19         N/R         565,451   
  1,127     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         Ba2         1,127,980   
  7,316     

Total IT Services

                               7,128,104   

 

NUVEEN     41   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Leisure Products – 1.6% (1.0% of Total Investments)                           
$ 3,407     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%         5/28/21         Ba3       $ 3,341,170   
  2,338     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B         2,263,642   
  3,145     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%         1/31/20         B1         3,152,952   
  1,000     

Four Seasons Holdings, Inc., Term Loan, Second Lien

    7.750%         12/27/20         B–         1,004,167   
  9,890     

Total Leisure Products

                               9,761,931   
      Machinery – 0.5% (0.3% of Total Investments)                           
  1,723     

Rexnord LLC, Term Loan B

    4.000%         8/21/20         BB–         1,721,666   
  1,247     

Vizient, Inc., Term Loan B, First Lien

    6.250%         2/13/23         B1         1,264,020   
  2,970     

Total Machinery

                               2,985,686   
      Marine – 0.2% (0.1% of Total Investments)                           
  1,481     

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%         11/12/20         B         1,397,930   
      Media – 12.6% (8.0% of Total Investments)                           
  2,105     

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

    4.250%         7/23/21         B1         2,098,109   
  2,200     

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

    7.500%         7/25/22         CCC+         2,071,093   
  1,743     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%         10/31/18         Caa1         1,440,810   
  992     

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

    6.750%         4/30/18         B1         946,074   
  7,443     

Cequel Communications LLC, Extended Term Loan

    4.250%         12/14/22         BB–         7,473,448   
  1,960     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%         4/09/21         B1         1,698,667   
  2,000     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%         4/11/22         Caa1         1,363,734   
  4,988     

Charter Communications Operating Holdings LLC, Term Loan I

    3.500%         1/24/23         BBB         5,017,335   
  2,718     

Clear Channel Communications, Inc., Term Loan E

    7.996%         7/30/19         Caa1         2,106,334   
  2,538     

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

    7.246%         1/30/19         Caa1         1,977,701   
  13,037     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B3         9,264,076   
  3,525     

Emerald Expositions Holdings, Inc., Term Loan, First Lien

    4.750%         6/17/20         BB–         3,531,384   
  615     

EMI Music Publishing LLC, Term Loan B3

    4.000%         8/19/22         BB–         616,046   
  750     

Getty Images, Inc., Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B3         590,625   
  890     

Gray Television, Inc., Initial Term Loan

    3.938%         6/13/21         BB         894,084   
  2,940     

IMG Worldwide, Inc., First Lien

    5.250%         5/06/21         B1         2,946,600   
  1,500     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%         3/17/22         BB–         1,528,125   
  3,000     

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%         5/02/22         Ba3         3,019,500   
  2,487     

Numericable Group S.A., Term Loan

    4.752%         2/10/23         B+         2,495,015   
  3,275     

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

    4.500%         8/14/20         B         3,179,203   
  17,390     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%         3/01/20         B+         17,406,107   
  4,000     

UPC Financing Partnership, Term Loan, First Lien, (WI/DD)

    TBD         TBD         BB         3,980,000   
  673     

Virgin Media Investment Holdings, Term Loan F, First Lien

    3.649%         6/30/23         BB+         671,338   
  1,520     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%         7/01/20         Ba3         1,517,117   
  288     

Yell Group PLC, Term Loan A2

    5.647%         3/01/19         CCC+         1,009,798   
  1,946     

Yell Group PLC, Term Loan B2, PIK, (6)

    0.000%         3/03/24         CCC–           
  86,523     

Total Media

                               78,842,323   
      Metals & Mining – 0.9% (0.6% of Total Investments)                           
  717     

Fairmount Minerals, Ltd., Term Loan B1, First Lien, (WI/DD)

    TBD         TBD         Caa1         616,900   
  1,200     

Fairmount Minerals, Ltd., Term Loan B2, First Lien, (WI/DD)

    TBD         TBD         B–         1,060,500   
  2,811     

Fortescue Metals Group, Ltd., Term Loan B, First Lien

    4.250%         6/30/19         BBB–         2,758,702   
  1,500     

Zekelman Industries, Term Loan B

    6.000%         6/14/21         BB–         1,509,375   
  6,228     

Total Metals & Mining

                               5,945,477   
      Multiline Retail – 2.5% (1.6% of Total Investments)                           
  3,482     

99 Cents Only Stores Tranche B2, Term Loan

    4.500%         1/11/19         CCC+         2,650,293   
  2,222     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%         6/05/20         BB–         2,219,098   
  2,992     

Belk, Inc., Term Loan B, First Lien

    5.750%         12/12/22         B+         2,639,385   
  4,417     

Dollar Tree, Inc., Term Loan B1

    3.500%         7/06/22         BBB         4,443,096   
  2,010     

Dollar Tree, Inc., Term Loan B2

    4.250%         7/06/22         BBB         2,019,095   
  1,382     

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

    4.750%         9/30/22         BB         1,388,106   
  16,505     

Total Multiline Retail

                               15,359,073   

 

  42      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels – 2.3% (1.5% of Total Investments)                           
$ 1,500     

California Resources Corporation, Term Loan A, First Lien, (WI/DD)

    TBD         TBD         B1       $ 1,393,125   
  1,850     

C&J Holding Co., Term Loan B2, (DD1), (5)

    0.000%         3/24/22         D         1,345,875   
  670     

Crestwood Holdings LLC, Term Loan B

    9.000%         6/19/19         B3         601,346   
  286     

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%         5/13/22         N/R         157,519   
  867     

EP Energy LLC, Term Loan B3, Second Lien

    3.500%         5/24/18         B         759,055   
  3,327     

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

    3.875%         10/01/18         B2         2,869,610   
  801     

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%         8/31/20         B–         672,832   
  935     

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

    8.375%         9/30/20         CCC–         310,981   
  1,450     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         N/R         870,149   
  5,325     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         CCC+         3,128,156   
  3,813     

Seadrill Partners LLC, Initial Term Loan

    4.000%         2/21/21         B–         1,727,881   
  57     

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

    3.500%         4/13/23         CCC+         50,200   
  668     

Western Refining, Inc., Term Loan B

    5.250%         11/12/20         B+         648,654   
  21,549     

Total Oil, Gas & Consumable Fuels

                               14,535,383   
      Pharmaceuticals – 4.1% (2.6% of Total Investments)                           
  1,746     

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%         10/21/21         B+         1,713,538   
  407     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         BB         403,676   
  5,625     

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5), (6)

    0.000%         5/03/13         N/R         563   
  3,920     

Patheon, Inc., Term Loan B

    4.250%         3/11/21         B1         3,905,300   
  6,541     

Pharmaceutical Product Development, Inc., Term Loan B, First Lien, (DD1)

    4.250%         8/18/22         B1         6,547,886   
  4,451     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%         9/23/20         BB–         4,480,619   
  2,559     

Valeant Pharmaceuticals International, Inc., Term Loan E

    4.750%         8/05/20         Ba2         2,530,502   
  6,258     

Valeant Pharmaceuticals International, Inc., Term Loan F

    5.000%         4/01/22         Ba2         6,219,355   
  31,507     

Total Pharmaceuticals

                               25,801,439   
      Professional Services – 0.2% (0.2% of Total Investments)                           
  1,597     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3         1,543,734   
      Real Estate Investment Trust – 3.3% (2.1% of Total Investments)                           
  11,112     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BB+         11,124,371   
  3,022     

Realogy Corporation, Term Loan B, First Lien

    3.750%         7/14/22         BB+         3,040,121   
  2,268     

Starwood Property Trust, Inc., Term Loan B

    3.500%         4/17/20         BB         2,270,842   
  5,466     

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

    4.750%         12/18/20         B+         4,500,162   
  21,868     

Total Real Estate Investment Trust

                               20,935,496   
      Real Estate Management & Development – 1.1% (0.7% of Total Investments)                       
  3,723     

Capital Automotive LP, Term Loan, Second Lien

    6.000%         4/30/20         B1         3,754,413   
  3,329     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%         4/10/19         Ba2         3,342,724   
  7,052     

Total Real Estate Management & Development

                               7,097,137   
      Road & Rail – 0.3% (0.2% of Total Investments)                           
  1,990     

Quality Distribution, Term Loan, First Lien

    5.750%         8/18/22         B2         1,792,658   
      Semiconductors & Semiconductor Equipment – 5.8% (3.7% of Total Investments)  
  2,419     

Avago Technologies, Term Loan A

    2.231%         2/01/21         BBB         2,381,572   
  18,699     

Avago Technologies, Term Loan B, First Lien

    4.250%         2/01/23         BBB         18,764,949   
  1,308     

Cypress Semiconductor Corp, Term Loan B

    6.500%         7/05/21         BB–         1,316,137   
  1,750     

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

    6.640%         4/26/22         Baa2         1,771,875   
  2,611     

Microsemi Corporation, Term Loan B, First Lien

    3.750%         1/15/23         BB         2,631,103   
  2,266     

NXP Semiconductor LLC, Term Loan B, First Lien

    3.750%         12/07/20         Baa2         2,284,162   
  2,876     

NXP Semiconductor LLC, Term Loan D

    3.250%         1/11/20         Baa2         2,884,500   
  4,250     

On Semiconductor Corp., Term Loan B, First Lien

    5.250%         3/31/23         Ba1         4,303,125   
  36,179     

Total Semiconductors & Semiconductor Equipment

                               36,337,423   
      Software – 9.4% (6.0% of Total Investments)                           
  3,058     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+         2,985,517   
  5,595     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1         5,147,459   

 

NUVEEN     43   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 2,451     

Computer Sciences Government Services, Term Loan B, First Lien

    3.750%         11/28/22         BB+       $ 2,464,095   
  1,600     

Compuware Corporation, Term Loan, Second Lien

    9.250%         12/15/22         CCC+         1,376,000   
  4,736     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B         4,554,752   
  3,977     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B2         3,985,941   
  4,636     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3         4,646,779   
  12,531     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%         6/03/20         BB         12,413,226   
  1,737     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B         1,714,853   
  2,784     

Micro Focus International PLC, Term Loan B

    4.500%         11/20/21         BB–         2,783,529   
  2,888     

Micro Focus International PLC, Term Loan C

    4.502%         11/20/19         BB–         2,898,328   
  6,256     

Misys PLC, Term Loan B, First Lien

    5.000%         12/12/18         B+         6,284,811   
  2,308     

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%         5/29/20         B1         2,233,206   
  2,141     

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

    4.000%         7/08/22         BB         2,155,809   
  277     

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

    4.000%         7/08/22         BB         279,311   
  3,000     

Uber Technologies, Inc., Term Loan B, First Lien

    5.000%         7/07/23         N/R         2,997,501   
  59,975     

Total Software

                               58,921,117   
      Specialty Retail – 2.2% (1.4% of Total Investments)                           
  1,247     

Gardner Denver, Inc., Term Loan, (DD1)

    4.250%         7/30/20         B         1,188,742   
  3,560     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3         3,544,312   
  6,621     

Petco Animal Supplies, Inc., Term Loan B1

    5.000%         1/26/23         B1         6,659,478   
  2,666     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–         2,674,129   
  14,094     

Total Specialty Retail

                               14,066,661   
      Technology Hardware, Storage & Peripherals – 4.7% (3.0% of Total Investments)                       
  2,000     

Dell International LLC, Term Loan A2, First Lien, (WI/DD)

    TBD         TBD         BBB–         1,935,000   
  3,000     

Dell International LLC, Term Loan A3, First Lien, (WI/DD)

    TBD         TBD         BBB–         2,953,125   
  14,725     

Dell International LLC, Term Loan B, (WI/DD)

    TBD         TBD         BBB–         14,745,181   
  10,000     

Western Digital Inc., Term Loan B, First Lien

    6.250%         4/29/23         BBB–         10,117,500   
  29,725     

Total Technology Hardware, Storage & Peripherals

                               29,750,806   
      Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)                       
  1,380     

Gymboree Corporation, Term Loan

    5.000%         2/23/18         CCC+         1,076,687   
  2,078     

J Crew Group, Term Loan B, First Lien

    4.000%         3/05/21         B2         1,483,928   
  3,458     

Total Textiles, Apparel & Luxury Goods

                               2,560,615   
      Trading Companies & Distributors – 1.6% (1.0% of Total Investments)  
  8,086     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB         8,126,080   
  1,654     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%         6/09/21         B–         1,628,589   
  9,740     

Total Trading Companies & Distributors

                               9,754,669   
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)                           
  150     

Ceva Group PLC, Canadian Term Loan

    6.500%         3/19/21         B2         125,436   
  873     

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

    6.500%         3/19/21         B2         727,528   
  846     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%         3/19/21         B2         705,759   
  1,204     

Ceva Group PLC, US Term Loan

    6.500%         3/19/21         B2         1,003,487   
  3,073     

Total Transportation Infrastructure

                               2,562,210   
      Wireless Telecommunication Services – 2.8% (1.7% of Total Investments)                       
  4,589     

Asurion LLC, Term Loan B1

    5.000%         5/24/19         Ba3         4,596,039   
  4,680     

Asurion LLC, Term Loan B4, First Lien

    5.000%         8/04/22         Ba3         4,694,182   
  4,837     

Fairpoint Communications, Inc., Term Loan B

    7.500%         2/14/19         B         4,847,780   
  535     

Syniverse Holdings, Inc., Initial Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B+         432,681   
  535     

Syniverse Holdings, Inc., Tranche B, Term Loan, (WI/DD)

    TBD         TBD         B+         432,681   
  2,239     

T-Mobile USA, Term Loan B

    3.500%         11/09/22         BBB–         2,255,191   
  17,415     

Total Wireless Telecommunication Services

                               17,258,554   
$ 841,351     

Total Variable Rate Senior Loan Interests (cost $832,115,179)

                               803,056,306   

 

  44      NUVEEN


Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.5% (0.9% of Total Investments)

          
      Banks – 0.4% (0.3% of Total Investments)                           
  34,173     

BLB Worldwide Holdings Inc., (7)

                             $ 2,531,649   
      Diversified Consumer Services – 0.3% (0.2% of Total Investments)  
  78,490     

Cengage Learning Holdings II LP, (7), (8)

             1,805,270   
  9,876,769     

Education Management Corporation, (7), (8)

                               988   
 

Total Diversified Consumer Services

                               1,806,258   
      Energy Equipment & Services – 0.1% (0.0% of Total Investments)                           
  2,712     

Vantage Drill International, (7), (8)

                               237,300   
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                       
  113,515     

Millennium Health LLC, (7)

                               170,273   
      Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments)                           
  2,670     

Buffets Term Loan, (7)

                                 
      Media – 0.7% (0.4% of Total Investments)                           
  6,597     

Cumulus Media, Inc., (7)

             2,523   
  26,045     

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

             2,096,622   
  57,088     

Tribune Media Company

             2,115,110   
  45,942     

Tribune Media Company, (6)

               
  14,272     

tronc, Inc., (7)

                               213,937   
 

Total Media

                               4,428,192   
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                           
  136     

Energy and Exploration Partners, Inc., (7), (8)

             47,600   
  64     

Southcross Holdings Borrower LP, (7)

                               20,800   
 

Total Oil, Gas & Consumable Fuels

                               68,400   
      Software – 0.0% (0.0% of Total Investments)                           
  743,286     

Eagle Topco LP, (6), (7)

                               1   
 

Total Common Stocks (cost $16,015,310)

                               9,242,073   
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

  

        
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  10,989     

Education Management Corporation, (8)

    7.500%                  N/R       $ 2,747   
 

Total $25 Par (or similar) Retail Preferred (cost $26,686)

                               2,747   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)

          
      Communications Equipment – 0.1% (0.1% of Total Investments)                           
$ 850     

Nortel Networks Corp., (5)

    1.750%         4/15/12         N/R       $ 752,250   
$ 850     

Total Convertible Bonds (cost $696,250)

                               752,250   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 14.7% (9.3% of Total Investments)

          
      Commercial Services & Supplies – 0.2% (0.1% of Total Investments)         
$ 1,034     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–       $ 1,008,150   

 

NUVEEN     45   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Communications Equipment – 0.2% (0.1% of Total Investments)                           
$ 210     

Avaya Inc., 144A

    7.000%         4/01/19         B2       $ 158,025   
  5,150     

Avaya Inc., 144A

    10.500%         3/01/21         Caa2         1,390,500   
  5,360     

Total Communications Equipment

                               1,548,525   
      Containers & Packaging – 0.3% (0.2% of Total Investments)                           
  1,715     

Reynolds Group

    9.875%         8/15/19         CCC+         1,762,163   
      Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)                       
  2,560     

Frontier Communications Corporation

    6.250%         9/15/21         BB         2,489,600   
  2,200     

Frontier Communications Corporation

    6.875%         1/15/25         BB         1,929,378   
  1,080     

IntelSat Limited

    6.750%         6/01/18         CC         664,200   
  5,750     

IntelSat Limited

    7.750%         6/01/21         CC         1,322,500   
  4,550     

IntelSat Limited

    8.125%         6/01/23         CC         1,057,875   
  16,140     

Total Diversified Telecommunication Services

                               7,463,553   
      Health Care Equipment & Supplies – 2.5% (1.6% of Total Investments)  
  3,250     

Kinetic Concepts

    10.500%         11/01/18         B–         3,319,063   
  2,000     

Kinetic Concepts

    12.500%         11/01/19         CCC+         1,960,000   
  1,000     

Tenet Healthcare Corporation

    6.750%         2/01/20         B–         1,000,000   
  4,000     

Tenet Healthcare Corporation

    6.000%         10/01/20         BB         4,230,000   
  1,650     

Tenet Healthcare Corporation

    8.125%         4/01/22         B–         1,703,625   
  3,335     

Tenet Healthcare Corporation

    6.750%         6/15/23         B–         3,209,937   
  15,235     

Total Health Care Equipment & Supplies

                               15,422,625   
      Health Care Providers & Services – 1.8% (1.1% of Total Investments)  
  2,710     

Community Health Systems, Inc.

    5.125%         8/01/21         BB         2,696,450   
  6,400     

Community Health Systems, Inc.

    6.875%         2/01/22         B+         5,504,000   
  1,200     

Iasis Healthcare Capital Corporation

    8.375%         5/15/19         CCC+         1,152,000   
  1,700     

Select Medical Corporation

    6.375%         6/01/21         B–         1,681,946   
  12,010     

Total Health Care Providers & Services

                               11,034,396   
      Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)                           
  3,200     

Scientific Games International Inc.

    10.000%         12/01/22         B         2,844,000   
      Media – 3.9% (2.5% of Total Investments)                           
  1,000     

CCO Holdings LLC Finance Corporation

    5.750%         9/01/23         BB+         1,045,000   
  200     

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A

    3.579%         7/23/20         BBB         210,517   
  1,762     

Clear Channel Communications, Inc.

    10.000%         1/15/18         CC         1,132,085   
  6,562     

Clear Channel Communications, Inc.

    9.000%         12/15/19         Caa1         5,298,815   
  10,950     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CC         4,626,342   
  10,350     

Clear Channel Communications, Inc.

    9.000%         3/01/21         Caa1         7,736,625   
  2,000     

Dish DBS Corporation

    5.875%         7/15/22         Ba3         1,998,760   
  2,500     

Dish DBS Corporation

    5.875%         11/15/24         Ba3         2,412,500   
  35,324     

Total Media

                               24,460,644   
      Oil, Gas & Consumable Fuels – 0.4% (0.2% of Total Investments)                           
  700     

Denbury Resources Inc.

    6.375%         8/15/21         CCC+         465,500   
  2,500     

FTS International Inc., 144A

    8.134%         6/15/20         B1         2,023,922   
  3,200     

Total Oil, Gas & Consumable Fuels

                               2,489,422   
      Real Estate Investment Trust – 0.2% (0.1% of Total Investments)                           
  1,500     

iStar Inc.

    4.000%         11/01/17         B+         1,488,750   
      Semiconductors & Semiconductor Equipment – 1.0% (0.7% of Total Investments)                       
  500     

Advanced Micro Devices, Inc.

    6.750%         3/01/19         CCC         497,970   
  2,800     

Advanced Micro Devices, Inc.

    7.750%         8/01/20         CCC         2,765,000   
  2,468     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         CCC         2,387,790   
  1,000     

Advanced Micro Devices, Inc.

    7.000%         7/01/24         CCC         917,500   
  6,768     

Total Semiconductors & Semiconductor Equipment

                               6,568,260   

 

  46      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Software – 0.5% (0.3% of Total Investments)                           
$ 2,500     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+       $ 2,037,500   
  1,500     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%         10/15/19         CCC+         1,267,500   
  4,000     

Total Software

                               3,305,000   
      Wireless Telecommunication Services – 2.0% (1.3% of Total Investments)                       
  7,750     

Sprint Corporation

    7.875%         9/15/23         B+         7,076,757   
  1,750     

Sprint Corporation

    7.125%         6/15/24         B+         1,557,500   
  3,750     

T-Mobile USA Inc.

    6.250%         4/01/21         BB         3,923,438   
  13,250     

Total Wireless Telecommunication Services

                               12,557,695   
$ 118,736     

Total Corporate Bonds (cost $114,447,507)

                               91,953,183   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES – 6.4% (4.1% of Total Investments)                           
$ 1,200     

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14, 144A

    5.736%         11/20/24         BB       $ 1,127,936   
  2,500     

Bluemountain Collateralized Loan Obligations Limited 2012-1A, 144A

    6.134%         7/20/23         BB         2,406,410   
  500     

Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A

    5.633%         4/18/25         BB         463,790   
  1,750     

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

    5.228%         7/15/25         BB         1,574,156   
  1,000     

Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A

    5.678%         12/24/23         BB         929,735   
  1,500     

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A, 144A

    5.028%         1/15/23         BB         1,462,458   
  500     

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    5.628%         4/15/24         BB         459,512   
  2,700     

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.383%         10/19/22         BB         2,642,306   
  6,000     

LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A

    5.662%         2/25/17         BB–         5,230,644   
  3,000     

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

    6.128%         4/15/22         BB         2,917,554   
  1,500     

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A, 144A

    5.783%         4/19/22         BB+         1,432,835   
  1,500     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A

    5.985%         4/22/22         BB         1,451,403   
  2,750     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.134%         4/20/26         Ba3         2,446,766   
  1,500     

Madison Park Funding Limited, Series 2012-10A, 144A

    5.884%         1/20/25         BB         1,429,704   
  500     

North End CLO Limited, Loan Pool, 144A

    5.233%         7/17/25         BB         441,772   
  750     

Northwoods Capital Corporation, Collateralized Loan Obligations 2012-9A, 144A

    5.733%         1/18/24         BB–         692,987   
  800     

Oak Hill Credit Partners Series 2013-9A, 144A

    5.634%         10/20/25         BB–         743,522   
  3,360     

Oak Hill Credit Partners, Series 2012-7A, 144A

    5.636%         11/20/23         BB         3,142,376   
  3,000     

Octagon Investment Partners, Series 2015-1A, 144A

    6.484%         10/20/26         Ba3         2,732,031   
  3,000     

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

    5.632%         11/08/24         BB–         2,768,766   
  1,000     

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.337%         12/15/22         BB         990,806   
  3,000     

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

    6.411%         5/24/23         BB         2,904,147   
$ 43,310     

Total Asset-Backed Securities (cost $40,633,110)

                               40,391,616   
Shares     Description (1), (9)                           Value  
      INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)                           
  353,668     

Eaton Vance Floating-Rate Income Trust Fund

           $ 4,915,985   
  968,586     

Eaton Vance Senior Income Trust

                               6,053,663   
 

Total Investment Companies (cost $11,981,509)

                               10,969,648   
 

Total Long-Term Investments (cost $1,015,915,551)

                               956,367,823   

 

NUVEEN     47   


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    July 31, 2016

 

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

SHORT-TERM INVESTMENTS – 5.1% (3.2% of Total Investments)

          
      REPURCHASE AGREEMENTS – 5.1% (3.2% of Total Investments)                           
$ 31,703     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/29/16, repurchase price $31,702,917,
collateralized by $31,820,000 U.S. Treasury Notes,
1.500%, due 3/31/23, value $32,337,075

    0.030%         8/01/16                $ 31,702,838   
 

Total Short-Term Investments (cost $31,702,838)

                               31,702,838   
 

Total Investments (cost $1,047,618,389) – 157.6%

                               988,070,661   
 

Borrowings – (38.4)% (10), (11)

                               (240,800,000
 

Variable Rate Term Preferred Shares, at Liquidation Preference – (17.2)% (12)

  

                       (108,000,000
 

Other Assets Less Liabilities – (2.0)%

                               (12,643,932
 

Net Assets Applicable to Common Shares – 100%

                             $ 626,626,729   

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

 

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

 

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

 

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

 

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

 

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

 

(6) 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.

 

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

 

(10) Borrowings as a percentage of total investments is 24.4%.

 

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

 

(12) Variable Rate Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 10.9%.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  48      NUVEEN


JRO

 

Nuveen Floating Rate Income Opportunity Fund

  

Portfolio of Investments

   July 31, 2016

 

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

LONG-TERM INVESTMENTS – 152.1% (96.5% of Total Investments)

  

  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 127.3% (80.7% of Total Investments) (4)

  

      Aerospace & Defense – 2.5% (1.6% of Total Investments)                           
$ 3,049     

B/E Aerospace, Inc., Term Loan B, First Lien

    3.750%         12/16/21         BB+       $ 3,081,488   
  4,529     

Sequa Corporation, Term Loan B

    5.250%         6/19/17         CCC+         3,631,409   
  355     

Transdigm, Inc., Delayed Draw, Tranche F, Term Loan

    3.750%         6/09/23         Ba2         353,709   
  3,374     

Transdigm, Inc., Term Loan E, First Lien

    3.750%         5/14/22         Ba2         3,367,456   
  395     

Transdigm, Inc., Term Loan F

    3.750%         6/09/23         Ba2         393,010   
  11,702     

Total Aerospace & Defense

                               10,827,072   
      Air Freight & Logistics – 0.7% (0.5% of Total Investments)                           
  1,199     

Americold Realty Operating Partnership, Term Loan B, (DD1)

    5.750%         12/01/22         BB         1,208,613   
  1,990     

XPO Logistics, Inc., Term Loan B

    5.500%         11/01/21         Ba1         2,012,388   
  3,189     

Total Air Freight & Logistics

                               3,221,001   
      Airlines – 1.7% (1.1% of Total Investments)                           
  2,418     

American Airlines, Inc., Term Loan B, First Lien

    3.250%         6/29/20         BB+         2,414,184   
  1,980     

American Airlines, Inc., Term Loan B, First Lien

    3.500%         10/08/21         BB+         1,980,000   
  2,910     

US Airways, Inc., Term Loan B1

    3.500%         5/23/19         BB+         2,913,117   
  7,308     

Total Airlines

                               7,307,301   
      Automobiles – 2.7% (1.7% of Total Investments)                           
  4,588     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%         12/31/18         BBB–         4,595,240   
  5,568     

Formula One Group, Term Loan, First Lien

    4.750%         7/30/21         B         5,522,940   
  1,500     

Formula One Group, Term Loan, Second Lien

    7.750%         7/29/22         CCC+         1,478,749   
  11,656     

Total Automobiles

                               11,596,929   
      Building Products – 0.6% (0.4% of Total Investments)                           
  1,467     

Gates Global LLC, Term Loan

    4.250%         7/06/21         B+         1,441,067   
  1,170     

Quikrete Holdings, Inc., Term Loan, First Lien

    4.000%         9/28/20         BB–         1,174,192   
  2,637     

Total Building Products

                               2,615,259   
      Capital Markets – 1.1% (0.7% of Total Investments)                           
  2,779     

Citco III Limited, Term Loan B

    4.250%         6/29/18         N/R         2,778,101   
  1,945     

Guggenheim Partners LLC, Initial Term Loan

    4.250%         7/22/20         N/R         1,951,078   
  4,724     

Total Capital Markets

                               4,729,179   
      Chemicals – 1.2% (0.8% of Total Investments)                           
  2,004     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%         5/04/18         BB–         2,003,902   
  435     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%         3/31/22         BB–         435,492   
  1,521     

Mineral Technologies, Inc., Term Loan B2

    4.750%         5/07/21         BB+         1,535,636   
  1,493     

OM Group, Inc., Term Loan, First Lien

    7.000%         10/28/21         Ba3         1,455,188   
  5,453     

Total Chemicals

                               5,430,218   
      Commercial Services & Supplies – 3.6% (2.3% of Total Investments)         
  993     

Acosta, Inc., Term Loan B

    4.250%         9/26/21         B1         976,510   
  936     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2

    3.750%         10/09/19         B+         935,658   
  1,799     

CCS Income Trust, Term Loan, First Lien

    6.250%         5/15/18         Caa3         1,720,452   
  261     

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

    5.500%         7/02/20         N/R         72,359   
  479     

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

    8.500%         7/02/20         N/R         25,173   
  3,181     

iQor US, Inc., Term Loan, First Lien

    6.000%         4/01/21         B         2,624,408   
  333     

iQor US, Inc., Term Loan, Second Lien

    9.750%         4/01/22         CCC+         233,333   
  1,247     

KAR Auction Services, Inc., Term Loan B3, First Lien

    4.250%         3/09/23         BB–         1,258,370   
  2,861     

Protection One, Inc., Term Loan, First Lien

    4.750%         7/01/21         Ba2         2,891,019   
  1,800     

Protection One, Inc., Term Loan B

    4.750%         5/02/22         B–         1,814,251   

 

NUVEEN     49   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)                           
$ 1,492     

Universal Services of America, Term Loan, First Lien

    4.750%         7/28/22         B+       $ 1,468,247   
  1,750     

Universal Services of America, Term Loan, Second Lien

    9.500%         7/28/23         B–         1,701,875   
  17,132     

Total Commercial Services & Supplies

                               15,721,655   
      Communications Equipment – 1.6% (1.0% of Total Investments)                           
  5,418     

Avaya, Inc., Term Loan B3

    5.243%         10/26/17         B2         4,534,020   
  155     

Avaya, Inc., Term Loan B7

    6.250%         5/29/20         B2         116,674   
  1,060     

Avaya, Inc., Term Loan B6

    6.500%         3/31/18         B2         837,207   
  1,299     

Riverbed Technology, Inc., Term Loan B

    5.000%         4/24/22         B1         1,307,329   
  7,932     

Total Communications Equipment

                               6,795,230   
      Consumer Finance – 2.5% (1.6% of Total Investments)                           
  8,691     

First Data Corporation, Term Loan B, First Lien

    4.488%         3/24/21         BB         8,741,723   
  2,000     

First Data Corporation, Term Loan B

    4.238%         7/08/22         BB         2,009,376   
  10,691     

Total Consumer Finance

                               10,751,099   
      Containers & Packaging – 1.0% (0.7% of Total Investments)                           
  1,353     

Berry Plastics Holding Corporation, Term Loan H

    3.750%         10/01/22         BB         1,359,878   
  3,169     

BWAY Holding Company, Term Loan B, First Lien

    5.500%         8/14/20         B2         3,170,861   
  4,522     

Total Containers & Packaging

                               4,530,739   
      Diversified Consumer Services – 5.6% (3.5% of Total Investments)                           
  1,241     

AlixPartners LLP, Term Loan B, First Lien

    4.500%         7/28/22         B+         1,243,727   
  4,614     

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%         6/07/23         BB–         4,611,116   
  1,270     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%         5/22/18         BB–         1,239,274   
  1,406     

Harland Clarke Holdings Corporation, Term Loan B4

    6.993%         8/04/19         BB–         1,375,488   
  5,312     

Hilton Hotels Corporation, Term Loan B2

    3.500%         10/25/20         BBB         5,332,234   
  2,475     

Houghton Mifflin, Term Loan B, First Lien

    4.000%         5/28/21         BB         2,461,078   
  129     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B–         126,648   
  7,905     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB         7,948,073   
  24,352     

Total Diversified Consumer Services

                               24,337,638   
      Diversified Financial Services – 0.9% (0.5% of Total Investments)                           
  1,496     

MGM Growth Properties, Term Loan B

    4.000%         4/25/23         BB         1,508,875   
  1,485     

MJ Acquisition Corp., Term Loan, First Lien

    4.000%         6/01/22         BB–         1,482,198   
  779     

Protection One, Inc., Term Loan, Second Lien

    9.750%         7/01/22         B–         789,231   
  3,760     

Total Diversified Financial Services

                               3,780,304   
      Diversified Telecommunication Services – 6.5% (4.1% of Total Investments)  
  2,918     

Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien

    3.000%         3/31/21         BB         2,779,569   
  1,062     

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

    4.000%         2/08/20         B         1,053,859   
  738     

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

    3.750%         6/30/19         B1         701,787   
  761     

Level 3 Financing, Inc., Term Loan B2

    3.500%         5/31/22         BB+         765,220   
  2,667     

Level 3 Financing, Inc., Term Loan, Tranche B3

    4.000%         8/01/19         BB+         2,679,667   
  720     

Presidio, Inc., Refinancing Term Loan, First Lien, (WI/DD)

    TBD         TBD         B1         717,660   
  3,000     

Verizon Communications, Inc., Term Loan

    1.737%         7/31/19         BBB+         3,000,000   
  7,480     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3         7,502,528   
  3,328     

Ziggo N.V., Term Loan B1

    3.652%         1/15/22         BB–         3,317,685   
  2,145     

Ziggo N.V., Term Loan B2

    3.656%         1/15/22         BB–         2,137,979   
  3,527     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.701%         1/15/22         BB–         3,516,211   
  28,346     

Total Diversified Telecommunication Services

                               28,172,165   
      Electric Utilities – 1.9% (1.2% of Total Investments)                           
  750     

EFS Cogen Holdings LLC, Term Loan B

    5.250%         6/28/23         BB         752,812   
  4,500     

Energy Future Intermediate Holding Company, Term Loan

    4.250%         12/19/16         Ba3         4,512,659   
  2,443     

Texas Competitive Electric Holdings LLC, DIP Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB–         2,454,309   

 

  50      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electric Utilities (continued)                           
$ 557     

Texas Competitive Electric Holdings LLC, DIP Term Loan C, First Lien, (WI/DD)

    TBD         TBD         BB–       $ 559,755   
  8,250     

Total Electric Utilities

                               8,279,535   
      Electronic Equipment, Instruments & Components – 1.6% (1.0% of Total Investments)  
  2,265     

SMART Modular Technologies, Inc., Term Loan B

    8.250%         8/31/17         B         1,868,464   
  2,264     

TTM Technologies, Term Loan B

    6.000%         5/31/21         B+         2,257,906   
  2,889     

Zebra Technologies Corporation, Term Loan B

    4.000%         10/27/21         BB+         2,907,864   
  7,418     

Total Electronic Equipment, Instruments & Components

                               7,034,234   
      Energy Equipment & Services – 0.7% (0.4% of Total Investments)                           
  3,991     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         CCC+         1,466,722   
  597     

Dynamic Energy Services International LLC, Term Loan

    11.000%         3/06/18         N/R         451,024   
  1,194     

Seventy Seven Operating LLC, Term Loan B, (DD1)

    3.752%         6/25/21         D         1,038,123   
  5,782     

Total Energy Equipment & Services

                               2,955,869   
      Food & Staples Retailing – 7.1% (4.5% of Total Investments)                           
  16,116     

Albertson’s LLC, Repriced Term Loan B4

    4.500%         8/25/21         BB         16,205,873   
  3,836     

Albertson’s LLC, Term Loan B6

    4.750%         6/22/23         BB         3,861,834   
  3,183     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%         9/26/19         B–         3,181,637   
  2,488     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC         2,474,875   
  2,875     

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

    4.875%         6/21/21         BB         2,886,230   
  2,444     

Supervalu, Inc., New Term Loan

    5.500%         3/21/19         BB         2,446,040   
  30,942     

Total Food & Staples Retailing

                               31,056,489   
      Food Products – 5.3% (3.3% of Total Investments)                           
  1,470     

Hearthside Group Holdings, Term Loan, First Lien

    4.500%         6/02/21         B1         1,469,485   
  4,923     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         BB         4,944,869   
  3,787     

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

    5.250%         3/03/23         BB         3,820,557   
  1,013     

Pinnacle Foods Finance LLC, Term Loan G

    3.250%         4/29/20         BB+         1,015,314   
  8,678     

US Foods, Inc., Term Loan B

    4.000%         6/27/23         B+         8,732,077   
  3,520     

Wilton Products, Inc., Tranche B, Term Loan

    8.500%         8/30/18         CCC+         2,965,800   
  23,391     

Total Food Products

                               22,948,102   
      Health Care Equipment & Supplies – 3.5% (2.2% of Total Investments)         
  2,700     

Acelity, Term Loan F

    5.000%         8/03/18         Ba3         2,708,783   
  863     

CareCore National LLC, Term Loan

    5.500%         3/05/21         B         841,067   
  1,910     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2         1,913,913   
  1,492     

Greatbatch, Inc., Term Loan B

    5.250%         10/27/22         B1         1,492,733   
  4,006     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+         3,922,128   
  2,553     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–         2,476,592   
  1,717     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1         1,714,470   
  15,241     

Total Health Care Equipment & Supplies

                               15,069,686   
      Health Care Providers & Services – 5.4% (3.4% of Total Investments)         
  1,377     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB         1,357,156   
  2,755     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB         2,724,537   
  3,779     

Drumm Investors LLC, Term Loan

    9.500%         5/04/18         B         3,714,137   
  1,477     

Healogics, Inc., Term Loan, First Lien

    5.250%         7/01/21         B         1,277,989   
  2,187     

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

    5.500%         12/21/18         B1         2,178,540   
  1,500     

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

    9.750%         6/21/19         CCC         1,439,063   
  547     

Kindred Healthcare, Inc., Term Loan B, First Lien

    4.250%         4/09/21         Ba2         545,615   
  2,833     

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

    7.500%         12/21/20         B–         2,011,759   
  1,500     

MultiPlan, Inc., Term Loan B

    5.000%         6/07/23         B+         1,515,470   
  1,769     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+         1,775,959   
  2,344     

Quorum Health Corp., Term Loan B, (DD1)

    6.750%         4/29/22         B1         2,361,706   
  1,233     

Select Medical Corporation, Term Loan E, First Lien

    6.000%         6/01/18         Ba2         1,236,972   
  1,205     

Select Medical Corporation, Term Loan F, First Lien

    6.001%         3/03/21         Ba2         1,218,129   
  24,506     

Total Health Care Providers & Services

                               23,357,032   

 

NUVEEN     51   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Technology – 0.5% (0.3% of Total Investments)                           
$ 2,100     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%         5/20/21         BB       $ 2,110,391   
      Hotels, Restaurants & Leisure – 5.3% (3.4% of Total Investments)                           
  5,656     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3         5,685,566   
  2,095     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–         2,102,061   
  2,557     

CityCenter Holdings LLC, Term Loan

    4.250%         10/16/20         BB         2,574,048   
  2,079     

Intrawest Resorts Holdings, Inc., Initial Term Loan

    5.000%         12/09/20         B+         2,086,426   
  1,732     

Life Time Fitness, Inc., Term Loan B

    4.250%         6/10/22         BB–         1,732,717   
  2,925     

Scientific Games Corporation, Term Loan

    6.000%         10/18/20         BB–         2,927,437   
  3,451     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–         3,449,315   
  2,622     

Station Casino LLC, Term Loan B

    3.750%         6/08/23         BB         2,623,311   
  23,117     

Total Hotels, Restaurants & Leisure

                               23,180,881   
      Household Durables – 0.2% (0.1% of Total Investments)                           
  886     

Serta Simmons Holdings LLC, Term Loan

    4.250%         10/01/19         BB–         890,058   
      Household Products – 0.3% (0.2% of Total Investments)                           
  1,500     

Revlon Consumer Products Corporation, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         Ba3         1,500,188   
      Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)  
  3,500     

Dynegy, Inc., Term Loan B

    5.000%         6/27/23         BB         3,504,739   
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)                           
  884     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%         11/26/20         B         875,707   
      Insurance – 2.1% (1.3% of Total Investments)                           
  3,297     

Alliant Holdings I LLC, Initial Term Loan B, First Lien

    4.500%         8/12/22         B         3,282,476   
  1,493     

AssuredPartners Capital, Inc., Term Loan, First Lien

    5.750%         10/21/22         B         1,498,106   
  4,380     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         Ba3         4,371,288   
  9,170     

Total Insurance

                               9,151,870   
      Internet & Catalog Retail – 1.1% (0.7% of Total Investments)                           
  4,925     

Travelport LLC, Term Loan B

    5.000%         9/02/21         B+         4,944,809   
      Internet Software & Services – 2.4% (1.5% of Total Investments)                           
  2,802     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba2         2,812,564   
  605     

Sabre Inc., Term Loan B2

    4.500%         2/19/19         Ba2         608,070   
  290     

Sabre Inc., Term Loan C

    4.000%         2/19/18         Ba2         290,678   
  5,760     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1         5,528,203   
  1,125     

Vertafore, Inc., Term Loan, First Lien

    4.750%         6/30/23         B2         1,128,917   
  10,582     

Total Internet Software & Services

                               10,368,432   
      IT Services – 1.3% (0.8% of Total Investments)                           
  3,151     

EIG Investors Corp., Term Loan

    6.480%         11/09/19         B1         2,977,906   
  348     

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

    4.500%         10/13/20         B1         347,555   
  1,000     

WEX, Inc., Term Loan B

    4.250%         6/30/23         BB–         1,008,438   
  244     

VFH Parent LLC, New Term Loan

    5.250%         11/08/19         N/R         244,503   
  1,127     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         Ba2         1,127,980   
  5,870     

Total IT Services

                               5,706,382   
      Leisure Products – 1.6% (1.0% of Total Investments)                           
  2,044     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%         5/28/21         Ba3         2,004,702   
  2,078     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B         2,012,127   
  2,129     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%         1/31/20         B1         2,134,306   
  1,000     

Four Seasons Holdings, Inc., Term Loan, Second Lien

    7.750%         12/27/20         B–         1,004,167   
  7,251     

Total Leisure Products

                               7,155,302   

 

  52      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Machinery – 0.4% (0.2% of Total Investments)                           
$ 933     

Rexnord LLC, Term Loan B

    4.000%         8/21/20         BB–       $ 932,720   
  748     

Vizient, Inc., Term Loan B, First Lien

    6.250%         2/13/23         B1         758,412   
  1,681     

Total Machinery

                               1,691,132   
      Marine – 0.2% (0.1% of Total Investments)                           
  988     

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%         11/12/20         B         931,953   
      Media – 12.5% (8.0% of Total Investments)                           
  1,172     

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

    4.250%         7/23/21         B1         1,167,768   
  1,450     

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

    7.500%         7/25/22         CCC+         1,365,039   
  1,743     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%         10/31/18         Caa1         1,440,811   
  992     

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

    6.750%         4/30/18         B1         946,074   
  5,458     

Cequel Communications LLC, Extended Term Loan

    4.250%         12/14/22         BB–         5,480,529   
  3,430     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%         4/09/21         B1         2,972,668   
  1,500     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%         4/11/22         Caa1         1,022,800   
  3,990     

Charter Communications Operating Holdings LLC, Term Loan I

    3.500%         1/24/23         BBB         4,013,868   
  1,646     

Clear Channel Communications, Inc., Term Loan E

    7.996%         7/30/19         Caa1         1,275,624   
  1,860     

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

    7.246%         1/30/19         Caa1         1,449,358   
  9,266     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B3         6,584,625   
  2,350     

Emerald Expositions Holdings, Inc., Term Loan, First Lien

    4.750%         6/17/20         BB–         2,354,256   
  183     

EMI Music Publishing LLC, Term Loan B3

    4.000%         8/19/22         BB–         183,445   
  500     

Getty Images, Inc., Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B3         393,750   
  594     

Gray Television, Inc., Initial Term Loan

    3.938%         6/13/21         BB         596,056   
  1,960     

IMG Worldwide, Inc., First Lien

    5.250%         5/06/21         B1         1,964,400   
  1,125     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%         3/17/22         BB–         1,146,094   
  4,500     

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%         5/02/22         Ba3         4,529,250   
  1,493     

Numericable Group S.A., Term Loan

    4.752%         2/10/23         B+         1,497,009   
  2,183     

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

    4.500%         8/14/20         B         2,119,469   
  8,317     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%         3/01/20         B+         8,324,660   
  2,000     

UPC Financing Partnership, Term Loan, First Lien, (WI/DD)

    TBD         TBD         BB         1,990,000   
  1,120     

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

    3.750%         7/01/20         Ba3         1,118,553   
  193     

Yell Group PLC, Term Loan A2

    5.647%         3/01/19         CCC+         674,595   
  1,300     

Yell Group PLC, Term Loan B2, PIK, (6)

    0.000%         3/03/24         CCC–           
  60,325     

Total Media

                               54,610,701   
      Metals & Mining – 1.0% (0.6% of Total Investments)                           
  538     

Fairmount Minerals, Ltd., Term Loan B1, First Lien, (WI/DD)

    TBD         TBD         Caa1         462,675   
  900     

Fairmount Minerals, Ltd., Term Loan B2, First Lien, (WI/DD)

    TBD         TBD         B–         795,375   
  1,683     

Fortescue Metals Group, Ltd., Term Loan B, First Lien

    4.250%         6/30/19         BBB–         1,652,231   
  1,250     

Zekelman Industries, Term Loan B

    6.000%         6/14/21         BB–         1,257,813   
  4,371     

Total Metals & Mining

                               4,168,094   
      Multiline Retail – 2.2% (1.4% of Total Investments)                           
  2,304     

99 Cents Only Stores Tranche B2, Term Loan

    4.500%         1/11/19         CCC+         1,754,207   
  1,728     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%         6/05/20         BB–         1,725,965   
  1,995     

Belk, Inc., Term Loan B, First Lien

    5.750%         12/12/22         B+         1,759,590   
  1,655     

Dollar Tree, Inc., Term Loan B1

    3.500%         7/06/22         BBB         1,665,090   
  1,650     

Dollar Tree, Inc., Term Loan B2

    4.250%         7/06/22         BBB         1,657,466   
  922     

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

    4.750%         9/30/22         BB         925,404   
  10,254     

Total Multiline Retail

                               9,487,722   
      Oil, Gas & Consumable Fuels – 2.6% (1.7% of Total Investments)                           
  1,000     

California Resources Corporation, Term Loan A, First Lien, (WI/DD)

    TBD         TBD         B1         928,750   
  1,390     

C&J Holding Co., Term Loan B2, (DD1), (5)

    0.000%         3/24/22         D         1,011,225   
  679     

Crestwood Holdings LLC, Term Loan B

    9.000%         6/19/19         B3         609,321   
  229     

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%         5/13/22         N/R         126,015   
  173     

EP Energy LLC, Term Loan B3, Second Lien

    3.500%         5/24/18         B         151,811   
  2,495     

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

    3.875%         10/01/18         B2         2,152,208   
  1,127     

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%         8/31/20         B–         946,288   
  969     

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

    8.375%         9/30/20         CCC–         322,301   
  2,081     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         N/R         1,248,483   

 

NUVEEN     53   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels (continued)                           
$ 3,426     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         CCC+       $ 2,012,841   
  2,897     

Seadrill Partners LLC, Initial Term Loan

    4.000%         2/21/21         B–         1,312,482   
  41     

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

    3.500%         4/13/23         CCC+         35,857   
  501     

Western Refining, Inc., Term Loan B

    5.250%         11/12/20         B+         486,490   
  17,008     

Total Oil, Gas & Consumable Fuels

                               11,344,072   
      Pharmaceuticals – 3.9% (2.5% of Total Investments)                           
  1,047     

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%         10/21/21         B+         1,028,123   
  286     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         BB         283,116   
  3,125     

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5), (6)

    0.000%         5/03/13         N/R         312   
  2,940     

Patheon, Inc., Term Loan B

    4.250%         3/11/21         B1         2,928,975   
  2,454     

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

    4.250%         8/18/22         B1         2,456,681   
  3,677     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%         9/23/20         BB–         3,701,381   
  1,376     

Valeant Pharmaceuticals International, Inc., Term Loan E

    4.750%         8/05/20         Ba2         1,360,299   
  5,149     

Valeant Pharmaceuticals International, Inc., Term Loan F

    5.000%         4/01/22         Ba2         5,117,190   
  20,054     

Total Pharmaceuticals

                               16,876,077   
      Professional Services – 0.1% (0.1% of Total Investments)                           
  643     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3         621,143   
      Real Estate Investment Trust – 3.4% (2.1% of Total Investments)                           
  7,703     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BB+         7,711,743   
  2,418     

Realogy Corporation, Term Loan B, First Lien

    3.750%         7/14/22         BB+         2,432,097   
  1,412     

Starwood Property Trust, Inc., Term Loan B

    3.500%         4/17/20         BB         1,413,797   
  3,812     

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

    4.750%         12/18/20         B+         3,138,492   
  15,345     

Total Real Estate Investment Trust

                               14,696,129   
      Real Estate Management & Development – 0.9% (0.6% of Total Investments)                       
  2,482     

Capital Automotive LP, Term Loan, Second Lien

    6.000%         4/30/20         B1         2,502,942   
  1,357     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%         4/10/19         Ba2         1,362,786   
  3,839     

Total Real Estate Management & Development

                               3,865,728   
      Road & Rail – 0.3% (0.2% of Total Investments)                           
  1,492     

Quality Distribution, Term Loan, First Lien

    5.750%         8/18/22         B2         1,344,493   
      Semiconductors & Semiconductor Equipment – 5.7% (3.6% of Total Investments)                       
  1,629     

Avago Technologies, Term Loan A

    2.231%         2/01/21         BBB         1,603,916   
  12,622     

Avago Technologies, Term Loan B, First Lien

    4.250%         2/01/23         BBB         12,666,340   
  981     

Cypress Semiconductor Corp, Term Loan B

    6.500%         7/05/21         BB–         987,103   
  1,250     

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

    6.640%         4/26/22         Baa2         1,265,625   
  1,740     

Microsemi Corporation, Term Loan B, First Lien

    3.750%         1/15/23         BB         1,754,069   
  1,466     

NXP Semiconductor LLC, Term Loan B, First Lien

    3.750%         12/07/20         Baa2         1,477,987   
  1,918     

NXP Semiconductor LLC, Term Loan D

    3.250%         1/11/20         Baa2         1,923,000   
  3,000     

On Semiconductor Corp., Term Loan B, First Lien

    5.250%         3/31/23         Ba1         3,037,500   
  24,606     

Total Semiconductors & Semiconductor Equipment

                               24,715,540   
      Software – 10.3% (6.5% of Total Investments)                           
  2,000     

Ascend Learning LLC, Term Loan, Second Lien

    9.500%         11/30/20         CCC+         1,947,500   
  3,447     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+         3,364,800   
  4,185     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1         3,849,876   
  1,470     

Computer Sciences Government Services, Term Loan B, First Lien

    3.750%         11/28/22         BB+         1,478,457   
  1,150     

Compuware Corporation, Term Loan, Second Lien

    9.250%         12/15/22         CCC+         989,000   
  4,047     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B         3,891,550   
  2,355     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B2         2,360,414   
  2,877     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3         2,883,529   
  8,853     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%         6/03/20         BB         8,769,527   
  1,241     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B         1,224,895   
  1,218     

Micro Focus International PLC, Term Loan B

    4.500%         11/20/21         BB–         1,217,794   
  1,838     

Micro Focus International PLC, Term Loan C

    4.502%         11/20/19         BB–         1,844,391   

 

  54      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 4,572     

Misys PLC, Term Loan B, First Lien

    5.000%         12/12/18         B+       $ 4,592,747   
  1,543     

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%         5/29/20         B1         1,492,494   
  750     

MSC Software Corporation, Initial Term Loan, Second Lien

    8.500%         5/31/21         CCC         682,500   
  1,835     

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

    4.000%         7/08/22         BB         1,846,806   
  238     

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

    4.000%         7/08/22         BB         239,276   
  2,000     

Uber Technologies, Inc., Term Loan B, First Lien

    5.000%         7/07/23         N/R         1,998,334   
  45,619     

Total Software

                               44,673,890   
      Specialty Retail – 2.0% (1.3% of Total Investments)                           
  748     

Gardner Denver, Inc., Term Loan, (DD1)

    4.250%         7/30/20         B         713,245   
  1,917     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3         1,908,514   
  3,783     

Petco Animal Supplies, Inc., Term Loan B1

    5.000%         1/26/23         B1         3,805,416   
  2,222     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–         2,228,441   
  8,670     

Total Specialty Retail

                               8,655,616   
      Technology Hardware, Storage & Peripherals – 4.9% (3.1% of Total Investments)  
  1,500     

Dell International LLC, Term Loan A2, First Lien, (WI/DD)

    TBD         TBD         BBB–         1,451,250   
  2,000     

Dell International LLC, Term Loan A3, First Lien, (WI/DD)

    TBD         TBD         BBB–         1,968,750   
  10,635     

Dell International LLC, Term Loan B, (WI/DD)

    TBD         TBD         BBB–         10,649,297   
  7,000     

Western Digital Inc., Term Loan B, First Lien

    6.250%         4/29/23         BBB–         7,082,250   
  21,135     

Total Technology Hardware, Storage & Peripherals

                               21,151,547   
      Textiles, Apparel & Luxury Goods – 0.4% (0.3% of Total Investments)                       
  1,035     

Gymboree Corporation, Term Loan

    5.000%         2/23/18         CCC+         807,515   
  1,549     

J Crew Group, Term Loan B, First Lien

    4.000%         3/05/21         B2         1,106,580   
  2,584     

Total Textiles, Apparel & Luxury Goods

                               1,914,095   
      Trading Companies & Distributors – 0.9% (0.6% of Total Investments)                       
  2,776     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB         2,789,547   
  1,241     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%         6/09/21         B–         1,221,442   
  4,017     

Total Trading Companies & Distributors

                               4,010,989   
      Transportation Infrastructure – 0.3% (0.2% of Total Investments)                           
  84     

Ceva Group PLC, Canadian Term Loan

    6.500%         3/19/21         B2         70,397   
  490     

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

    6.500%         3/19/21         B2         408,304   
  475     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%         3/19/21         B2         396,086   
  675     

Ceva Group PLC, US Term Loan

    6.500%         3/19/21         B2         563,177   
  1,724     

Total Transportation Infrastructure

                               1,437,964   
      Wireless Telecommunication Services – 1.8% (1.2% of Total Investments)                       
  2,086     

Asurion LLC, Term Loan B1

    5.000%         5/24/19         Ba3         2,089,109   
  2,127     

Asurion LLC, Term Loan B4, First Lien

    5.000%         8/04/22         Ba3         2,133,719   
  3,144     

Fairpoint Communications, Inc., Term Loan B

    7.500%         2/14/19         B         3,151,057   
  355     

Syniverse Holdings, Inc., Initial Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B+         287,106   
  355     

Syniverse Holdings, Inc., Tranche B, Term Loan, (WI/DD)

    TBD         TBD         B+         287,106   
  8,067     

Total Wireless Telecommunication Services

                               7,948,097   
$ 581,141     

Total Variable Rate Senior Loan Interests (cost $573,075,362)

                               554,050,477   
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.9% (1.2% of Total Investments)

          
      Banks – 0.6% (0.4% of Total Investments)                           
  34,173     

BLB Worldwide Holdings Inc., (7)

                             $ 2,531,649   
      Diversified Consumer Services – 0.4% (0.2% of Total Investments)                           
  71,949     

Cengage Learning Holdings II LP, (7), (8)

             1,654,827   
  3,124,035     

Education Management Corporation, (7), (8)

                               312   
 

Total Diversified Consumer Services

                               1,655,139   

 

NUVEEN     55   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Shares     Description (1)                           Value  
      Energy Equipment & Services – 0.0% (0.0% of Total Investments)                           
  2,534     

Vantage Drill International, (7), (8)

                             $ 221,725   
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                       
  83,191     

Millennium Health LLC, (7)

                               124,786   
      Media – 0.9% (0.6% of Total Investments)                           
  5,752     

Cumulus Media, Inc., (7)

             2,200   
  23,363     

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

             1,880,721   
  44,843     

Tribune Media Company

             1,661,433   
  36,087     

Tribune Media Company, (6)

               
  11,210     

tronc, Inc., (7)

                               168,038   
 

Total Media

                               3,712,392   
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                           
  109     

Energy and Exploration Partners, Inc., (7), (8)

             38,150   
  46     

Southcross Holdings Borrower LP, (7)

                               14,950   
 

Total Oil, Gas & Consumable Fuels

                               53,100   
      Software – 0.0% (0.0% of Total Investments)                           
  496,552     

Eagle Topco LP, (6), (7)

                               1   
 

Total Common Stocks (cost $13,014,981)

                               8,298,792   
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

  

        
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                           
  3,476     

Education Management Corporation, (8)

    7.500%                  N/R       $ 869   
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

                               869   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)

          
      Communications Equipment – 0.1% (0.1% of Total Investments)                           
$ 550     

Nortel Networks Corp., (5)

    1.750%         4/15/12         N/R       $ 486,750   
$ 550     

Total Convertible Bonds (cost $440,000)

                               486,750   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 16.7% (10.6% of Total Investments)

          
      Commercial Services & Supplies – 0.3% (0.2% of Total Investments)                           
$ 1,233     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–       $ 1,202,175   
      Communications Equipment – 0.3% (0.2% of Total Investments)                           
  155     

Avaya Inc., 144A

    7.000%         4/01/19         B2         116,637   
  3,830     

Avaya Inc., 144A

    10.500%         3/01/21         Caa2         1,034,100   
  3,985     

Total Communications Equipment

                               1,150,737   
      Containers & Packaging – 0.3% (0.2% of Total Investments)                           
  1,178     

Reynolds Group

    9.875%         8/15/19         CCC+         1,210,395   
      Diversified Telecommunication Services – 1.9% (1.2% of Total Investments)                
  1,800     

Frontier Communications Corporation

    8.875%         9/15/20         BB         1,934,442   
  2,415     

Frontier Communications Corporation

    6.250%         9/15/21         BB         2,348,588   
  1,700     

Frontier Communications Corporation

    6.875%         1/15/25         BB         1,490,883   
  1,005     

IntelSat Limited

    6.750%         6/01/18         CC         618,075   

 

  56      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Diversified Telecommunication Services (continued)                
$ 4,300     

IntelSat Limited

    7.750%         6/01/21         CC       $ 989,000   
  4,100     

IntelSat Limited

    8.125%         6/01/23         CC         953,250   
  15,320     

Total Diversified Telecommunication Services

                               8,334,238   
      Health Care Equipment & Supplies – 2.6% (1.7% of Total Investments)         
  3,000     

Kinetic Concepts

    10.500%         11/01/18         B–         3,063,750   
  2,000     

Kinetic Concepts

    12.500%         11/01/19         CCC+         1,960,000   
  3,000     

Tenet Healthcare Corporation

    6.000%         10/01/20         BB         3,172,500   
  1,100     

Tenet Healthcare Corporation

    8.125%         4/01/22         B–         1,135,750   
  2,225     

Tenet Healthcare Corporation

    6.750%         6/15/23         B–         2,141,562   
  11,325     

Total Health Care Equipment & Supplies

                               11,473,562   
      Health Care Providers & Services – 1.9% (1.2% of Total Investments)         
  2,040     

Community Health Systems, Inc.

    5.125%         8/01/21         BB         2,029,800   
  4,800     

Community Health Systems, Inc.

    6.875%         2/01/22         B+         4,128,000   
  900     

Iasis Healthcare Capital Corporation

    8.375%         5/15/19         CCC+         864,000   
  1,200     

Select Medical Corporation

    6.375%         6/01/21         B–         1,187,256   
  8,940     

Total Health Care Providers & Services

                               8,209,056   
      Hotels, Restaurants & Leisure – 0.5% (0.3% of Total Investments)                           
  2,550     

Scientific Games International Inc.

    10.000%         12/01/22         B         2,266,312   
      Machinery – 0.1% (0.0% of Total Investments)                           
  330     

Xerium Technologies

    8.875%         6/15/18         B         338,580   
      Media – 4.4% (2.8% of Total Investments)                           
  150     

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A

    3.579%         7/23/20         BBB         157,887   
  1,714     

Clear Channel Communications, Inc.

    10.000%         1/15/18         CC         1,101,245   
  6,412     

Clear Channel Communications, Inc.

    9.000%         12/15/19         Caa1         5,177,690   
  10,934     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CC         4,619,423   
  7,850     

Clear Channel Communications, Inc.

    9.000%         3/01/21         Caa1         5,867,875   
  1,000     

Dish DBS Corporation

    5.875%         11/15/24         Ba3         965,000   
  1,200     

Expo Event Transco Inc., 144A

    9.000%         6/15/21         B–         1,233,000   
  29,260     

Total Media

                               19,122,120   
      Oil, Gas & Consumable Fuels – 0.4% (0.3% of Total Investments)                           
  500     

Denbury Resources Inc.

    6.375%         8/15/21         CCC+         332,500   
  2,000     

FTS International Inc., 144A

    8.134%         6/15/20         B1         1,619,138   
  2,500     

Total Oil, Gas & Consumable Fuels

                               1,951,638   
      Real Estate Investment Trust – 0.3% (0.2% of Total Investments)                           
  1,250     

iStar Inc.

    4.000%         11/01/17         B+         1,240,625   
      Semiconductors & Semiconductor Equipment – 1.1% (0.7% of Total Investments)         
  500     

Advanced Micro Devices, Inc.

    6.750%         3/01/19         CCC         497,970   
  2,050     

Advanced Micro Devices, Inc.

    7.750%         8/01/20         CCC         2,024,375   
  2,200     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         CCC         2,128,500   
  4,750     

Total Semiconductors & Semiconductor Equipment

                               4,650,845   
      Software – 0.5% (0.3% of Total Investments)                           
  1,750     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+         1,426,250   
  1,100     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%         10/15/19         CCC+         929,500   
  2,850     

Total Software

                               2,355,750   
      Wireless Telecommunication Services – 2.1% (1.3% of Total Investments)         
  6,000     

Sprint Corporation

    7.875%         9/15/23         B+         5,478,780   
  500     

Sprint Corporation

    7.125%         6/15/24         B+         445,000   
  2,750     

T-Mobile USA Inc.

    6.250%         4/01/21         BB         2,877,188   

 

NUVEEN     57   


JRO    Nuveen Floating Rate Income Opportunity Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Wireless Telecommunication Services (continued)         
$ 175     

T-Mobile USA Inc.

    6.731%         4/28/22         BB       $ 183,313   
  175     

T-Mobile USA Inc.

    6.836%         4/28/23         BB         186,813   
  9,600     

Total Wireless Telecommunication Services

                               9,171,094   
$ 95,071     

Total Corporate Bonds (cost $91,480,042)

                               72,677,127   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES- 6.1% (3.9% of Total Investments)                           
$ 800     

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14, 144A

    5.736%         11/20/24         BB       $ 751,958   
  2,500     

Bluemountain Collateralized Loan Obligations Limited 2012-1A, 144A

    6.134%         7/20/23         BB         2,406,410   
  1,250     

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

    5.228%         7/15/25         BB         1,124,397   
  1,500     

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A, 144A

    5.028%         1/15/23         BB         1,462,458   
  250     

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    5.628%         4/15/24         BB         229,756   
  1,800     

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.383%         10/19/22         BB         1,761,538   
  4,000     

LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A

    5.662%         2/25/17         BB–         3,487,096   
  2,000     

LCM Limited Partnership, Collateralized Loan Obligation, Series 10AR, 144A

    6.128%         4/15/22         BB         1,945,036   
  1,500     

LCM Limited Partnership, Collateralized Loan Obligation, Series 11A, 144A

    5.783%         4/19/22         BB+         1,432,835   
  1,500     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-8A, 144A

    5.985%         4/22/22         BB         1,451,403   
  1,250     

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.134%         4/20/26         Ba3         1,112,166   
  500     

North End CLO Limited, Loan Pool, 144A

    5.233%         7/17/25         BB         441,772   
  450     

Oak Hill Credit Partners Series 2013-9A, 144A

    5.634%         10/20/25         BB–         418,231   
  2,240     

Oak Hill Credit Partners, Series 2012-7A, 144A

    5.636%         11/20/23         BB         2,094,917   
  2,000     

Octagon Investment Partners, Series 2015-1A, 144A

    6.484%         10/20/26         Ba3         1,821,354   
  2,000     

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

    5.632%         11/08/24         BB–         1,845,844   
  1,000     

Race Point Collateralized Loan Obligation Limited
2011-5AR, 144A

    6.337%         12/15/22         BB         990,806   
  2,000     

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

    6.411%         5/24/23         BB         1,936,098   
$ 28,540     

Total Asset-Backed Securities (cost $26,730,142)

                               26,714,075   
 

Total Long-Term Investments (cost $704,748,964)

                               662,228,090   
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 5.6% (3.5% of Total Investments)

          
      REPURCHASE AGREEMENTS – 5.6% (3.5% of Total Investments)                           
$ 24,417     

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 7/29/16, repurchase price $24,416,936,
collateralized by $24,510,000 U.S. Treasury Notes,
1.500%, due 3/31/23, value $24,908,288

    0.030%         8/01/16                $ 24,416,875   
 

Total Short-Term Investments (cost $24,416,875)

                               24,416,875   
 

Total Investments (cost $729,165,839) – 157.7%

                               686,644,965   
 

Borrowings – (38.3)% (9), (10)

                               (166,800,000
 

Variable Rate Term Preferred Shares, at Liquidation Preference – (17.2)% (11)

  

              (75,000,000
 

Other Assets Less Liabilities – (2.2)%

                               (9,656,136
 

Net Assets Applicable to Common Shares – 100%

                             $ 435,188,829   

 

  58      NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

(6) 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.

 

(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) Borrowings as a percentage of Total Investments is 24.3%.

 

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

 

(11) Variable Rate Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 10.9%.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     59   


JSD

 

Nuveen Short Duration Credit Opportunities Fund

  

Portfolio of Investments

   July 31, 2016

 

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

LONG-TERM INVESTMENTS – 153.0% (97.3% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 135.9% (86.4% of Total Investments) (4)

  

      Aerospace & Defense – 3.1% (2.0% of Total Investments)  
$ 1,829     

B/E Aerospace, Inc., Term Loan B, First Lien

  3.750%      12/16/21         BB+       $ 1,848,893   
  2,366     

Sequa Corporation, Term Loan B

  5.250%      6/19/17         CCC+        1,897,607   
  237     

Transdigm, Inc., Delayed Draw, Tranche F, Term Loan

  3.750%      6/09/23         Ba2        235,806   
  1,192     

Transdigm, Inc., Extend Term Loan F

 

3.750%

     5/14/22         Ba2        1,186,158   
  263     

Transdigm, Inc., Term Loan F

 

3.750%

     6/09/23         Ba2        262,007   
  5,887     

Total Aerospace & Defense

                           5,430,471   
      Air Freight & Logistics – 1.0% (0.7% of Total Investments)  
  799     

Americold Realty Operating Partnership, Term Loan B, (DD1)

  5.750%      12/01/22         BB         805,742   
  995     

XPO Logistics, Inc., Term Loan B

  5.500%      11/01/21         Ba1        1,006,194   
  1,794     

Total Air Freight & Logistics

                           1,811,936   
      Airlines – 2.1% (1.3% of Total Investments)                         
  970     

American Airlines, Inc., Term Loan B, First Lien

  3.250%      6/29/20         BB+        968,601   
  1,733     

American Airlines, Inc., Term Loan B, First Lien

  3.500%      10/08/21         BB+        1,732,500   
  970     

US Airways, Inc., Term Loan B1

  3.500%      5/23/19         BB+        971,039   
  3,673     

Total Airlines

                           3,672,140   
      Automobiles – 2.3% (1.5% of Total Investments)                         
  576     

Chrysler Group LLC, Tranche B, Term Loan

  3.250%      12/31/18         BBB–        576,600   
  2,784     

Formula One Group, Term Loan, First Lien

  4.750%      7/30/21         B        2,761,470   
  750     

Formula One Group, Term Loan, Second Lien

  7.750%      7/29/22         CCC+        739,375   
  4,110     

Total Automobiles

                           4,077,445   
      Building Products – 0.5% (0.3% of Total Investments)  
  880     

Gates Global LLC, Term Loan

  4.250%      7/06/21         B+        864,640   
      Chemicals – 1.9% (1.2% of Total Investments)                         
  955     

Ineos US Finance LLC, Cash Dollar, Term Loan

  3.750%      5/04/18         BB–        955,260   
  208     

Ineos US Finance LLC, Term Loan B, First Lien

  4.250%      3/31/22         BB–        207,599   
  399     

Mineral Technologies, Inc., Term Loan B2

  4.750%      5/07/21         BB+        402,480   
  746     

OM Group, Inc., Term Loan, First Lien

  7.000%      10/28/21         Ba3        727,594   
  992     

Univar, Inc., Term Loan B, First Lien

  4.250%      7/01/22         BB–        992,624   
  3,300     

Total Chemicals

                           3,285,557   
      Commercial Services & Supplies – 3.7% (2.3% of Total Investments)  
  497     

Acosta, Inc., Term Loan B

  4.250%      9/26/21         B1        488,255   
  1,206     

CCS Income Trust, Term Loan, First Lien

  6.250%      5/15/18         Caa3        1,153,367   
  1,818     

iQor US, Inc., Term Loan, First Lien

  6.000%      4/01/21         B        1,499,662   
  167     

iQor US, Inc., Term Loan, Second Lien

  9.750%      4/01/22         CCC+        116,667   
  997     

KAR Auction Services, Inc., Term Loan B3, First Lien

  4.250%      3/09/23         BB–        1,006,696   
  1,200     

Protection One, Inc., Term Loan B

  4.750%      5/02/22         B–        1,209,500   
  995     

Universal Services of America, Term Loan, First Lien

  4.750%      7/28/22         B+        978,831   
  6,880     

Total Commercial Services & Supplies

                           6,452,978   
      Communications Equipment – 2.9% (1.9% of Total Investments)  
  2,024     

Avaya, Inc., Term Loan B3

  5.243%      10/26/17         B2        1,693,463   
  326     

Avaya, Inc., Term Loan B6

  6.500%      3/31/18         B2        257,313   
  85     

Avaya, Inc., Term Loan B7

  6.250%      5/29/20         B2        63,983   
  1,075     

Commscope, Inc., Term Loan B, First Lien

  3.750%      12/29/22         Ba1        1,081,089   
  975     

Riverbed Technology, Inc., Term Loan B

  5.000%      4/24/22         B1        981,727   
  1,128     

Telesat Canada Inc., Term Loan B

  3.500%      3/28/19         BB        1,127,944   
  5,613     

Total Communications Equipment

                           5,205,519   

 

  60      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Consumer Finance – 3.4% (2.2% of Total Investments)  
$ 6,000     

First Data Corporation, Term Loan B, First Lien

    4.488%         3/24/21         BB      $ 6,034,790   
      Containers & Packaging – 1.6% (1.0% of Total Investments)  
  902     

Berry Plastics Holding Corporation, Term Loan H

    3.750%         10/01/22         BB        906,586   
  1,049     

BWAY Holding Company, Term Loan B, First Lien

    5.500%         8/14/20         B2        1,049,848   
  915     

Reynolds Group Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD         TBD         B+        917,739   
  2,866     

Total Containers & Packaging

                               2,874,173   
      Diversified Consumer Services – 3.2% (2.0% of Total Investments)  
  744     

AlixPartners LLP, Term Loan B, First Lien

    4.500%         7/28/22         B+        746,236   
  1,697     

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%         6/07/23         BB–        1,695,740   
  1,357     

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%         5/22/18         BB–        1,324,198   
  78     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B–        75,899   
  1,804     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB        1,813,395   
  5,680     

Total Diversified Consumer Services

                               5,655,468   
      Diversified Telecommunication Services – 5.0% (3.2% of Total Investments)  
  1,880     

Frontier Communications Corporation, Term Loan A, Delayed Draw, First Lien

    3.000%         3/31/21         BB        1,790,225   
  849     

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

    4.000%         2/08/20         B        843,087   
  296     

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

    3.750%         6/30/19         B1        281,081   
  974     

Level 3 Financing, Inc., Term Loan B2

    3.500%         5/31/22         BB+        978,917   
  2,905     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3        2,913,551   
  740     

Ziggo N.V., Term Loan B1

    3.652%         1/15/22         BB–        737,263   
  477     

Ziggo N.V., Term Loan B2

    3.656%         1/15/22         BB–        475,106   
  784     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.701%         1/15/22         BB–        781,380   
  8,905     

Total Diversified Telecommunication Services

                               8,800,610   
      Electric Utilities – 4.0% (2.5% of Total Investments)  
  500     

EFS Cogen Holdings LLC, Term Loan B

    5.250%         6/28/23         BB        501,875   
  4,500     

Energy Future Intermediate Holding Company, Term Loan

    4.250%         12/19/16         N/R        4,512,659   
  1,629     

Texas Competitive Electric Holdings LLC, DIP Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB–        1,636,206   
  371     

Texas Competitive Electric Holdings LLC, DIP Term Loan C, First Lien, (WI/DD)

    TBD         TBD         BB–        373,170   
  7,000     

Total Electric Utilities

                               7,023,910   
      Electronic Equipment, Instruments & Components – 1.3% (0.8% of Total Investments)  
  1,034     

SMART Modular Technologies, Inc., Term Loan B

    8.250%         8/31/17         B        853,134   
  1,358     

TTM Technologies, Term Loan B

    6.000%         5/31/21         B+        1,354,744   
  2,392     

Total Electronic Equipment, Instruments & Components

                               2,207,878   
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)  
  1,791     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         CCC+        658,081   
  796     

Seventy Seven Operating LLC, Term Loan B, (DD1)

    3.752%         6/25/21         D        692,082   
  2,587     

Total Energy Equipment & Services

                               1,350,163   
      Food & Staples Retailing – 8.1% (5.1% of Total Investments)  
  7,840     

Albertson’s LLC, Repriced Term Loan B4

    4.500%         8/25/21         BB        7,883,938   
  2,740     

Albertson’s LLC, Term Loan B6

    4.750%         6/22/23         BB        2,758,057   
  477     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%         9/26/19         B–        476,789   
  249     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC        247,487   
  975     

Del Monte Foods Company, Term Loan, First Lien

    4.250%         2/18/21         B–        905,125   
  1,125     

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

    4.875%         6/21/21         BB        1,129,394   
  904     

Supervalu, Inc., New Term Loan

    5.500%         3/21/19         BB        904,614   
  14,310     

Total Food & Staples Retailing

                               14,305,404   

 

NUVEEN     61   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Food Products – 4.2% (2.6% of Total Investments)  
$ 2,462     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         BB      $ 2,472,435   
  1,893     

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

    5.250%         3/03/23         BB        1,910,279   
  2,076     

US Foods, Inc., Term Loan B

    4.000%         6/27/23         B+        2,089,441   
  1,056     

Wilton Products, Inc., Tranche B, Term Loan

    8.500%         8/30/18         CCC+        889,740   
  7,487     

Total Food Products

                               7,361,895   
      Health Care Equipment & Supplies – 5.6% (3.6% of Total Investments)  
  2,284     

Acelity, Term Loan F

    5.000%         8/03/18         Ba3        2,291,390   
  391     

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

    6.500%         8/04/21         B1        392,883   
  1,710     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2        1,713,134   
  995     

Greatbatch, Inc., Term Loan B

    5.250%         10/27/22         B1        995,155   
  2,804     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+        2,745,489   
  973     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–        943,464   
  858     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1        857,235   
  10,015     

Total Health Care Equipment & Supplies

                               9,938,750   
      Health Care Providers & Services – 7.7% (4.9% of Total Investments)  
  1,568     

Amsurg Corporation, Term Loan, First Lien

    3.500%         7/16/21         Ba2        1,571,431   
  44     

Community Health Systems, Inc., Term Loan F

    3.924%         12/31/18         BB        43,433   
  563     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB        554,445   
  1,125     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB        1,113,067   
  1,533     

Drumm Investors LLC, Term Loan

    9.500%         5/04/18         B        1,506,621   
  1,704     

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

    5.500%         12/21/18         B1        1,697,686   
  500     

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

    9.750%         6/21/19         CCC        479,687   
  1,188     

IASIS Healthcare LLC, Term Loan B2, First Lien

    4.500%         5/03/18         Ba3        1,188,358   
  438     

Kindred Healthcare, Inc., Term Loan B, First Lien

    4.250%         4/09/21         Ba2        436,492   
  689     

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

    7.500%         12/21/20         B–        488,858   
  750     

MultiPlan, Inc., Term Loan B

    5.000%         6/07/23         B+        757,735   
  590     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+        591,986   
  1,357     

Quorum Health Corp., Term Loan B, (DD1)

    6.750%         4/29/22         B1        1,366,774   
  740     

Select Medical Corporation, Term Loan E, First Lien

    6.000%         6/01/18         Ba2        742,183   
  964     

Select Medical Corporation, Term Loan F, First Lien

    6.001%         3/03/21         Ba2        974,503   
  13,753     

Total Health Care Providers & Services

                               13,513,259   
      Health Care Technology – 0.4% (0.3% of Total Investments)  
  784     

Catalent Pharma Solutions, Inc., Term Loan

    4.250%         5/20/21         BB        788,031   
      Hotels, Restaurants & Leisure – 4.9% (3.1% of Total Investments)  
  833     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3        837,467   
  1,869     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–        1,875,256   
  1,278     

CityCenter Holdings LLC, Term Loan

    4.250%         10/16/20         BB        1,287,121   
  990     

Life Time Fitness, Inc., Term Loan B

    4.250%         6/10/22         BB–        990,124   
  1,970     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–        1,968,922   
  1,748     

Station Casino LLC, Term Loan B

    3.750%         6/08/23         BB        1,748,874   
  8,688     

Total Hotels, Restaurants & Leisure

                               8,707,764   
      Household Products – 0.6% (0.4% of Total Investments)  
  1,000     

Revlon Consumer Products Corporation, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         Ba3        1,000,125   
      Independent Power & Renewable Electricity Producers – 0.9% (0.5% of Total Investments)  
  1,500     

Dynegy, Inc., Term Loan B

    5.000%         6/27/23         BB        1,502,031   
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)  
  907     

Brand Energy & Infrastructure Services, Inc., Initial Term Loan

    4.750%         11/26/20         B        898,277   
      Insurance – 0.9% (0.6% of Total Investments)  
  995     

AssuredPartners Capital, Inc., Term Loan, First Lien

    5.750%         10/21/22         B        998,738   
  601     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         Ba3        599,301   
  1,596     

Total Insurance

                               1,598,039   

 

  62      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Internet & Catalog Retail – 1.7% (1.1% of Total Investments)  
$ 2,955     

Travelport LLC, Term Loan B

    5.000%         9/02/21         B+      $ 2,966,885   
      Internet Software & Services – 3.3% (2.1% of Total Investments)  
  993     

Ancestry.com, Inc., Term Loan B

    5.000%         8/29/22         Ba3        996,325   
  1,176     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba2        1,180,531   
  116     

Sabre Inc., Term Loan C

    4.000%         2/19/18         Ba2        116,271   
  2,880     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1        2,764,101   
  750     

Vertafore, Inc., Term Loan, First Lien

    4.750%         6/30/23         B2        752,611   
  5,915     

Total Internet Software & Services

                               5,809,839   
      IT Services – 2.0% (1.3% of Total Investments)                           
  1,687     

EIG Investors Corp., Term Loan

    6.480%         11/09/19         B1        1,594,487   
  320     

VFH Parent LLC, New Term Loan

    5.250%         11/08/19         N/R        320,621   
  750     

WEX, Inc., Term Loan B

    4.250%         6/30/23         BB–        756,329   
  876     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         Ba2        876,880   
  3,633     

Total IT Services

                               3,548,317   
      Leisure Products – 2.2% (1.4% of Total Investments)  
  1,363     

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%         5/28/21         Ba3        1,336,468   
  1,039     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B        1,006,063   
  1,452     

Equinox Holdings, Inc., New Initial Term Loan, First Lien

    5.000%         1/31/20         B1        1,455,209   
  3,854     

Total Leisure Products

                               3,797,740   
      Machinery – 0.5% (0.3% of Total Investments)  
  591     

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

    5.500%         11/27/20         B3        459,056   
  499     

Vizient, Inc., Term Loan B, First Lien

    6.250%         2/13/23         B1        505,608   
  1,090     

Total Machinery

                               964,664   
      Marine – 0.4% (0.2% of Total Investments)                           
  741     

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%         11/12/20         B        698,965   
      Media – 8.7% (5.5% of Total Investments)  
  850     

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

    4.250%         7/23/21         B1        847,100   
  750     

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

    7.500%         7/25/22         CCC+        706,054   
  392     

Affinion Group Holdings, Inc., Initial Term Loan, Second Lien

    8.500%         10/31/18         Caa1        324,294   
  490     

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%         4/09/21         B1        424,667   
  500     

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%         4/11/22         Caa1        340,933   
  1,633     

Clear Channel Communications, Inc., Term Loan E

    7.996%         7/30/19         Caa1        1,265,217   
  2,562     

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

    7.246%         1/30/19         Caa1        1,996,796   
  2,821     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B3        2,004,357   
  1,175     

Emerald Expositions Holdings, Inc., Term Loan, First Lien

    4.750%         6/17/20         BB–        1,177,128   
  300     

Getty Images, Inc., Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B3        236,250   
  445     

Gray Television, Inc., Initial Term Loan

    3.938%         6/13/21         BB        447,042   
  735     

IMG Worldwide, Inc., First Lien

    5.250%         5/06/21         B1        736,650   
  750     

Lions Gate Entertainment Corporation, Term Loan B, Second Lien

    5.000%         3/17/22         BB–        764,063   
  2,000     

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%         5/02/22         Ba3        2,013,000   
  995     

Numericable Group S.A., Term Loan

    4.752%         2/10/23         B+        998,006   
  1,092     

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

    4.500%         8/14/20         B        1,059,734   
  17,490     

Total Media

                               15,341,291   
      Metals & Mining – 1.5% (1.0% of Total Investments)  
  359     

Fairmount Minerals, Ltd., Term Loan B1, First Lien, (WI/DD)

    TBD         TBD         Caa1        308,450   
  600     

Fairmount Minerals, Ltd., Term Loan B2, First Lien, (WI/DD)

    TBD         TBD         B–        530,250   
  1,120     

Fortescue Metals Group, Ltd., Term Loan B, First Lien

    4.250%         6/30/19         BBB–        1,098,995   
  750     

Zekelman Industries, Term Loan B

    6.000%         6/14/21         BB–        754,688   
  2,829     

Total Metals & Mining

                               2,692,383   
      Multiline Retail – 1.6% (1.0% of Total Investments)  
  987     

Bass Pro Group LLC, Term Loan B, First Lien

    4.000%         6/05/20         BB–        986,266   
  1,496     

Belk, Inc., Term Loan B, First Lien

    5.750%         12/12/22         B+        1,319,692   
  461     

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

    4.750%         9/30/22         BB        462,702   
  2,944     

Total Multiline Retail

                               2,768,660   

 

NUVEEN     63   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels – 2.6% (1.7% of Total Investments)  
$ 500     

California Resources Corporation, Term Loan A, First Lien, (WI/DD)

    TBD         TBD         B1      $ 464,375   
  920     

C&J Holding Co., Term Loan B2, (DD1), (5)

    0.000%         3/24/22         D        669,300   
  400     

Crestwood Holdings LLC, Term Loan B

    9.000%         6/19/19         B3        359,251   
  86     

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%         5/13/22         N/R        47,256   
  773     

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%         8/31/20         B–        649,586   
  526     

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

    8.375%         9/30/20         CCC–        174,736   
  1,445     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         N/R        867,007   
  1,654     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         CCC+        971,696   
  917     

Seadrill Partners LLC, Initial Term Loan

    4.000%         2/21/21         B–        415,404   
  16     

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

    3.500%         4/13/23         CCC+        14,343   
  7,237     

Total Oil, Gas & Consumable Fuels

                               4,632,954   
      Pharmaceuticals – 4.2% (2.7% of Total Investments)  
  598     

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%         10/21/21         B+        587,499   
  117     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         BB        116,005   
  980     

Patheon, Inc., Term Loan B

    4.250%         3/11/21         B1        976,325   
  2,515     

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

    4.250%         8/18/22         B1        2,517,668   
  774     

Pharmaceutical Research Associates, Inc., Term Loan

    4.500%         9/23/20         BB–        779,238   
  1,581     

Valeant Pharmaceuticals International, Inc., Term Loan E

    4.750%         8/05/20         Ba2        1,563,843   
  942     

Valeant Pharmaceuticals International, Inc., Term Loan F

    5.000%         4/01/22         Ba2        935,825   
  7,507     

Total Pharmaceuticals

                               7,476,403   
      Professional Services – 0.5% (0.3% of Total Investments)  
  955     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3        923,039   
      Real Estate Investment Trust – 4.2% (2.7% of Total Investments)  
  4,142     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BB+        4,146,821   
  1,209     

Realogy Corporation, Term Loan B, First Lien

    3.750%         7/14/22         BB+        1,216,048   
  283     

Starwood Property Trust, Inc., Term Loan B

    3.500%         4/17/20         BB        283,464   
  2,148     

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

    4.750%         12/18/20         B+        1,768,147   
  7,782     

Total Real Estate Investment Trust

                               7,414,480   
      Real Estate Management & Development – 1.7% (1.1% of Total Investments)  
  1,861     

Capital Automotive LP, Term Loan, Second Lien

    6.000%         4/30/20         B1        1,877,207   
  1,137     

Capital Automotive LP, Term Loan, Tranche B1

    4.000%         4/10/19         Ba2        1,141,961   
  2,998     

Total Real Estate Management & Development

                               3,019,168   
      Road & Rail – 0.5% (0.3% of Total Investments)  
  995     

Quality Distribution, Term Loan, First Lien

    5.750%         8/18/22         B2        896,329   
      Semiconductors & Semiconductor Equipment – 7.5% (4.7% of Total Investments)  
  1,185     

Avago Technologies, Term Loan A

    2.231%         2/01/21         BBB        1,166,484   
  6,545     

Avago Technologies, Term Loan B, First Lien

    4.250%         2/01/23         BBB        6,567,732   
  1,000     

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

    6.640%         4/26/22         Baa2        1,012,500   
  870     

Microsemi Corporation, Term Loan B, First Lien

    3.750%         1/15/23         BB        877,034   
  1,066     

NXP Semiconductor LLC, Term Loan B, First Lien

    3.750%         12/07/20         Baa2        1,074,900   
  959     

NXP Semiconductor LLC, Term Loan D

    3.250%         1/11/20         Baa2        961,500   
  1,500     

On Semiconductor Corp., Term Loan B, First Lien

    5.250%         3/31/23         Ba1        1,518,750   
  13,125     

Total Semiconductors & Semiconductor Equipment

                               13,178,900   
      Software – 9.9% (6.3% of Total Investments)  
  934     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+        911,940   
  1,932     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1        1,777,775   
  980     

Computer Sciences Government Services, Term Loan B, First Lien

    3.750%         11/28/22         BB+         985,638   
  500     

Compuware Corporation, Term Loan, Second Lien

    9.250%         12/15/22         CCC+        430,000   
  1,529     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B        1,470,289   
  744     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B2        746,050   
  949     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3        951,188   
  2,470     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5

    3.750%         6/03/20         BB        2,446,783   

 

  64      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 992     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B      $ 979,916   
  522     

Micro Focus International PLC, Term Loan B

    4.500%         11/20/21         BB–        521,912   
  787     

Micro Focus International PLC, Term Loan C

    4.502%         11/20/19         BB–        790,453   
  2,647     

Misys PLC, Term Loan B, First Lien

    5.000%         12/12/18         B+        2,658,959   
  694     

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%         5/29/20         B1        671,406   
  614     

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

    4.000%         7/08/22         BB        618,006   
  80     

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

    4.000%         7/08/22         BB        80,070   
  1,500     

Uber Technologies, Inc., Term Loan B, First Lien

    5.000%         7/07/23         N/R        1,498,751   
  17,874     

Total Software

                               17,539,136   
      Specialty Retail – 2.4% (1.5% of Total Investments)  
  499     

Gardner Denver, Inc., Term Loan, (DD1)

    4.250%         7/30/20         B        475,497   
  985     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3        980,612   
  1,892     

Petco Animal Supplies, Inc., Term Loan B1

    5.000%         1/26/23         B1        1,902,708   
  889     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–        891,376   
  4,265     

Total Specialty Retail

                               4,250,193   
      Technology Hardware, Storage & Peripherals – 5.7% (3.6% of Total Investments)  
  1,000     

Dell International LLC, Term Loan A2, First Lien, (WI/DD)

    TBD         TBD         BBB–        967,500   
  4,090     

Dell International LLC, Term Loan B, (WI/DD)

    TBD         TBD         BBB–        4,095,884   
  5,000     

Western Digital Inc., Term Loan B, First Lien

    6.250%         4/29/23         BBB–        5,058,750   
  10,090     

Total Technology Hardware, Storage & Peripherals

                               10,122,134   
      Textiles, Apparel & Luxury Goods – 0.7% (0.5% of Total Investments)  
  690     

Gymboree Corporation, Term Loan

    5.000%         2/23/18         CCC+        538,344   
  1,033     

J Crew Group, Term Loan B, First Lien

    4.000%         3/05/21         B2        737,727   
  1,723     

Total Textiles, Apparel & Luxury Goods

                               1,276,071   
      Trading Companies & Distributors – 1.4% (0.9% of Total Investments)  
  1,832     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB        1,841,555   
  620     

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.250%         6/09/21         B–        610,721   
  2,452     

Total Trading Companies & Distributors

                               2,452,276   
      Transportation Infrastructure – 0.6% (0.4% of Total Investments)  
  66     

Ceva Group PLC, Canadian Term Loan

    6.500%         3/19/21         B2        55,039   
  383     

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

    6.500%         3/19/21         B2        319,225   
  371     

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%         3/19/21         B2        309,673   
  528     

Ceva Group PLC, US Term Loan

    6.500%         3/19/21         B2        440,310   
  1,348     

Total Transportation Infrastructure

                               1,124,247   
      Wireless Telecommunication Services – 1.5% (1.0% of Total Investments)  
  2,419     

Fairpoint Communications, Inc., Term Loan B

    7.500%         2/14/19         B        2,423,890   
  180     

Syniverse Holdings, Inc., Initial Term Loan B, First Lien, (WI/DD)

    TBD         TBD         B+        145,575   
  180     

Syniverse Holdings, Inc., Tranche B, Term Loan, (WI/DD)

    TBD         TBD         B+        145,575   
  2,779     

Total Wireless Telecommunication Services

                               2,715,040   
$ 250,188     

Total Variable Rate Senior Loan Interests (cost $244,441,876)

                               239,970,367   
Shares     Description (1)                           Value  
 

COMMON STOCKS – 0.6% (0.4% of Total Investments)

  

      Diversified Consumer Services – 0.5% (0.3% of Total Investments)  
  39,749     

Cengage Learning Holdings II LP, (6), (7)

                             $ 914,227   
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)  
  1,318     

Vantage Drill International, (6), (7)

                               115,325   
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  20,216     

Millennium Health LLC, (6)

                               30,324   

 

NUVEEN     65   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Shares     Description (1)                           Value  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  41     

Energy and Exploration Partners, Inc., (6), (7)

           $ 14,350   
  18     

Southcross Holdings Borrower LP, (6)

                               5,850   
 

Total Oil, Gas & Consumable Fuels

                               20,200   
 

Total Common Stocks (cost $3,720,581)

                               1,080,076   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 16.5% (10.5% of Total Investments)

  

      Commercial Services & Supplies – 1.1% (0.7% of Total Investments)  
$ 2,050     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–      $ 1,998,750   
      Communications Equipment – 0.4% (0.2% of Total Investments)  
  85     

Avaya Inc., 144A

    7.000%         4/01/19         B2        63,963   
  2,085     

Avaya Inc., 144A

    10.500%         3/01/21         Caa2        562,950   
  2,170     

Total Communications Equipment

                               626,913   
      Containers & Packaging – 0.1% (0.1% of Total Investments)  
  209     

Reynolds Group

    9.875%         8/15/19         CCC+        214,747   
      Diversified Telecommunication Services – 3.2% (2.1% of Total Investments)  
  1,600     

Frontier Communications Corporation

    8.875%         9/15/20         BB        1,719,504   
  1,210     

Frontier Communications Corporation

    6.250%         9/15/21         BB        1,176,725   
  750     

Frontier Communications Corporation

    6.875%         1/15/25         BB        657,743   
  215     

IntelSat Limited

    6.750%         6/01/18         CC        132,225   
  1,800     

IntelSat Limited

    7.750%         6/01/21         CC        414,000   
  1,750     

IntelSat Limited

    8.125%         6/01/23         CC        406,875   
  1,000     

Neptune Finco Corporation, 144A

    10.125%         1/15/23         B+        1,146,250   
  8,325     

Total Diversified Telecommunication Services

                               5,653,322   
      Health Care Equipment & Supplies – 3.0% (1.9% of Total Investments)  
  2,700     

Kinetic Concepts

    10.500%         11/01/18         B–        2,757,375   
  2,660     

Tenet Healthcare Corporation

    6.750%         6/15/23         B–        2,560,250   
  5,360     

Total Health Care Equipment & Supplies

                               5,317,625   
      Health Care Providers & Services – 1.2% (0.7% of Total Investments)  
  1,350     

Iasis Healthcare Capital Corporation

    8.375%         5/15/19         CCC+        1,296,000   
  750     

Select Medical Corporation

    6.375%         6/01/21         B–        742,035   
  2,100     

Total Health Care Providers & Services

                               2,038,035   
      Media – 3.8% (2.4% of Total Investments)                           
  100     

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation, 144A

    3.579%         7/23/20         BBB        105,258   
  3,585     

Clear Channel Communications, Inc.

    9.000%         12/15/19         Caa1        2,894,887   
  3,183     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CC        1,344,662   
  1,000     

Clear Channel Communications, Inc.

    9.000%         3/01/21         Caa1        747,500   
  1,000     

Dish DBS Corporation

    5.875%         11/15/24         Ba3        965,000   
  600     

Expo Event Transco Inc., 144A

    9.000%         6/15/21         B–        616,500   
  9,468     

Total Media

                               6,673,807   
      Oil, Gas & Consumable Fuels – 0.6% (0.4% of Total Investments)  
  400     

Denbury Resources Inc.

    6.375%         8/15/21         CCC+        266,000   
  1,000     

FTS International Inc., 144A

    8.134%         6/15/20         B1        809,569   
  1,400     

Total Oil, Gas & Consumable Fuels

                               1,075,569   
      Semiconductors & Semiconductor Equipment – 0.2% (0.2% of Total Investments)         
  250     

Advanced Micro Devices, Inc.

    7.750%         8/01/20         CCC        246,875   
  166     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         CCC        160,605   
  416     

Total Semiconductors & Semiconductor Equipment

                               407,480   

 

  66      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Software – 0.5% (0.3% of Total Investments)                           
$ 580     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+      $ 472,700   
  450     

Boxer Parent Company Inc./BMC Software, 144A

    9.000%         10/15/19         CCC+        380,250   
  1,030     

Total Software

                               852,950   
      Wireless Telecommunication Services – 2.4% (1.5% of Total Investments)  
  2,750     

Sprint Corporation

    7.875%         9/15/23         B+        2,511,107   
  250     

Sprint Corporation

    7.125%         6/15/24         B+        222,500   
  1,250     

T-Mobile USA Inc.

    6.250%         4/01/21         BB        1,307,813   
  75     

T-Mobile USA Inc.

    6.731%         4/28/22         BB        78,562   
  75     

T-Mobile USA Inc.

    6.836%         4/28/23         BB        80,063   
  4,400     

Total Wireless Telecommunication Services

                               4,200,045   
$ 36,928     

Total Corporate Bonds (cost $34,540,400)

                               29,059,243   
 

Total Long-Term Investments (cost $282,702,857)

                               270,109,686   
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 4.3% (2.7% of Total Investments)

  

      REPURCHASE AGREEMENTS – 4.3% (2.7% of Total Investments)  
$ 7,551     

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 7/29/16, repurchase price $7,550,730,
collateralized by $7,075,000 U.S. Treasury Notes,
2.500%, due 8/15/23, value $7,702,906

    0.030%         8/01/16                $ 7,550,711   
 

Total Short-Term Investments (cost $7,550,711)

                               7,550,711   
 

Total Investments (cost $290,253,568) – 157.3%

                               277,660,397   
 

Borrowings – (36.3)% (8), (9)

                               (64,000,000
 

Term Preferred Shares, at Liquidation Preference – (19.8)% (10)

  

     (35,000,000
 

Other Assets Less Liabilities – (1.2)% (11)

                               (2,129,854
 

Net Assets Applicable to Common Shares – 100%

                             $ 176,530,543   

Investments in Derivatives as of July 31, 2016

Interest Rate Swaps

 

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

Morgan Stanley Capital Services LLC

  $ 17,500,000        Receive        1-Month USD-LIBOR-ICE        1.659     Monthly        9/15/18      $ (371,936

Morgan Stanley Capital Services LLC

    35,000,000        Pay        1-Month USD-LIBOR-ICE        1.500  (12)      Monthly        11/1/20  (13)      383,024  (14) 
    $ 52,500,000                                              $ 11,088   

Credit Default Swaps

 

Counterparty   Referenced Entity     Buy/Sell
Protection (15)
    Current Credit
Spread (16)
    Notional
Amount
    Fixed Rate
(Annualized)
    Termination
Date
    Value     Unrealized
Appreciation
(Depreciation)
 

Citibank, National Association

    Darden Restaurants, Inc.        Buy        0.95   $ 2,000,000        1.000     6/20/21      $ (20,901   $ (15,952

Goldman Sachs Bank USA

    Barrick Gold
Corporation
       Buy        1.91     2,000,000        1.000        6/20/21        16,778        (64,316

JPMorgan Chase Bank, N.A.

    Avon Products        Buy        9.30     500,000        5.000        6/20/21        41,557        (31,186

JPMorgan Chase Bank, N.A.

    Newmont Mining
Corporation
       Buy        1.47     2,000,000        1.000        6/20/21        (4,450     (47,171
                            $ 6,500,000                      $ 32,984      $ (158,625

 

NUVEEN     67   


JSD    Nuveen Short Duration Credit Opportunities Fund
   Portfolio of Investments (continued)    July 31, 2016

 

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(8) Borrowings as a percentage of Total Investments is 23.0%.

 

(9) 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.

 

(10) Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 12.6%.

 

(11) 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 the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.

 

(12) Effective November 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined scheduled 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.

 

(13) 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.

 

(14) 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.

 

(15) The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(16) The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  68      NUVEEN


JQC

 

Nuveen Credit Strategies Income Fund

  

Portfolio of Investments

   July 31, 2016

 

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

LONG-TERM INVESTMENTS – 151.1% (94.8% of Total Investments)

  

 

VARIABLE RATE SENIOR LOAN INTERESTS – 119.0% (74.7% of Total Investments) (4)

  

      Aerospace & Defense – 0.3% (0.2% of Total Investments)  
$ 4,269     

B/E Aerospace, Inc., Term Loan B, First Lien

    3.750%         12/16/21         BB+       $ 4,314,082   
      Airlines – 0.6% (0.4% of Total Investments)                           
  7,277     

American Airlines, Inc., Term Loan B, First Lien

    3.250%         6/29/20         BB+        7,264,510   
      Automobiles – 2.6% (1.6% of Total Investments)  
  2,641     

Chrysler Group LLC, Term Loan B

    3.500%         5/24/17         BBB–        2,649,254   
  12,356     

Chrysler Group LLC, Tranche B, Term Loan

    3.250%         12/31/18         BBB–        12,376,575   
  15,795     

Formula One Group, Term Loan, First Lien

    4.750%         7/30/21         B        15,667,116   
  2,000     

Formula One Group, Term Loan, Second Lien

    7.750%         7/29/22         CCC+        1,971,666   
  32,792     

Total Automobiles

                               32,664,611   
      Capital Markets – 1.0% (0.7% of Total Investments)  
  12,869     

RPI Finance Trust, Term Loan B4

    3.500%         11/09/20         Baa2        12,925,650   
      Chemicals – 5.6% (3.5% of Total Investments)  
  13,859     

US Coatings Acquisition, Term Loan B

    3.750%         2/01/20         BB+        13,917,150   
  16,892     

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%         5/04/18         BB–        16,894,858   
  5,358     

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%         3/31/22         BB–        5,360,177   
  34,155     

Univar, Inc., Term Loan B, First Lien

    4.250%         7/01/22         BB–        34,159,658   
  70,264     

Total Chemicals

                               70,331,843   
      Commercial Services & Supplies – 1.8% (1.1% of Total Investments)  
  14,364     

ADS Waste Holdings, Inc., Initial Term Loan, Tranche B2, (DD1)

    3.750%         10/09/19         B+        14,352,671   
  8,000     

West Corporation, Term Loan B12

    3.750%         6/17/23         BB        8,011,000   
  22,364     

Total Commercial Services & Supplies

                               22,363,671   
      Communications Equipment – 1.6% (1.0% of Total Investments)  
  3,296     

Avaya, Inc., Term Loan B3

    5.243%         10/26/17         B2        2,757,994   
  374     

Avaya, Inc., Term Loan B7

    6.250%         5/29/20         B2        282,276   
  1,882     

Commscope, Inc., Term Loan B, First Lien

    3.750%         12/29/22         Ba1        1,891,905   
  14,668     

Telesat Canada Inc., Term Loan B

    3.500%         3/28/19         BB        14,665,858   
  20,220     

Total Communications Equipment

                               19,598,033   
      Consumer Finance – 4.1% (2.6% of Total Investments)  
  30,173     

First Data Corporation, Term Loan B

    4.238%         7/08/22         BB        30,314,364   
  21,000     

First Data Corporation, Term Loan B, First Lien

    4.488%         3/24/21         BB        21,121,765   
  51,173     

Total Consumer Finance

                               51,436,129   
      Containers & Packaging – 1.3% (0.8% of Total Investments)  
  1,805     

Berry Plastics Holding Corporation, Term Loan H

    3.750%         10/01/22         BB        1,813,171   
  14,748     

Reynolds Group Holdings, Inc., Term Loan, First Lien, (WI/DD)

    TBD         TBD         B+         14,787,890   
  16,553     

Total Containers & Packaging

                               16,601,061   
      Diversified Consumer Services – 4.0% (2.5% of Total Investments)  
  6,956     

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%         6/07/23         BB–        6,951,553   
  25,879     

Hilton Hotels Corporation, Term Loan B2

    3.500%         10/25/20         BBB        25,976,130   
  539     

Laureate Education, Inc., Term Loan B

    5.000%         6/15/18         B–        527,415   
  17,057     

ServiceMaster Company, Term Loan

    4.250%         7/01/21         BB        17,150,090   
  50,431     

Total Diversified Consumer Services

                               50,605,188   

 

NUVEEN     69   


JQC    Nuveen Credit Strategies Income Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Diversified Financial Services – 0.4% (0.2% of Total Investments)  
$ 4,788     

MGM Growth Properties, Term Loan B

    4.000%         4/25/23         BB      $ 4,828,401   
      Diversified Telecommunication Services – 5.2% (3.2% of Total Investments)  
  7,382     

Level 3 Financing, Inc., Term Loan B2

    3.500%         5/31/22         BB+        7,420,877   
  16,305     

WideOpenWest Finance LLC, Term Loan B

    4.500%         4/01/19         Ba3        16,354,266   
  15,161     

Ziggo N.V., Term Loan B1

    3.652%         1/15/22         BB–        15,113,898   
  9,770     

Ziggo N.V., Term Loan B2

    3.656%         1/15/22         BB–        9,739,681   
  16,069     

Ziggo N.V., Term Loan B3, Delayed Draw

    3.701%         1/15/22         BB–        16,018,297   
  64,687     

Total Diversified Telecommunication Services

                               64,647,019   
      Electric Utilities – 0.2% (0.2% of Total Investments)  
  2,443     

Texas Competitive Electric Holdings LLC, DIP Term Loan B, First Lien, (WI/DD)

    TBD         TBD         BB–        2,454,309   
  557     

Texas Competitive Electric Holdings LLC, DIP Term Loan C, First Lien, (WI/DD)

    TBD         TBD         BB–        559,755   
  3,000     

Total Electric Utilities

                               3,014,064   
      Electronic Equipment, Instruments & Components – 0.4% (0.2% of Total Investments)  
  4,811     

Zebra Technologies Corporation, Term Loan B

    4.000%         10/27/21         BB+        4,842,556   
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)  
  5,979     

Drill Rigs Holdings, Inc., Tranche B1, Term Loan

    6.000%         3/31/21         CCC+        2,197,322   
      Food & Staples Retailing – 4.9% (3.1% of Total Investments)  
  25,264     

Albertson’s LLC, Repriced Term Loan B4

    4.500%         8/25/21         BB        25,403,801   
  14,764     

Albertson’s LLC, Term Loan B6

    4.750%         6/22/23         BB        14,863,588   
  12,403     

BJ’s Wholesale Club, Inc., Replacement Loan, First Lien

    4.500%         9/26/19         B–        12,396,514   
  7,464     

BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien

    8.500%         3/26/20         CCC        7,424,625   
  1,808     

Supervalu, Inc., New Term Loan

    5.500%         3/21/19         BB        1,809,227   
  61,703     

Total Food & Staples Retailing

                               61,897,755   
      Food Products – 4.4% (2.7% of Total Investments)  
  9,847     

Jacobs Douwe Egberts, Term Loan B

    4.250%         7/02/22         BB        9,889,739   
  7,000     

Keurig Green Mountain, Inc., Term Loan A, First Lien, (WI/DD)

    TBD         TBD         BB        6,816,250   
  8,500     

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

    5.250%         3/03/23         BB        8,576,075   
  29,395     

US Foods, Inc., Term Loan B, (DD1)

    4.000%         6/27/23         B+        29,578,233   
  54,742     

Total Food Products

                               54,860,297   
      Health Care Equipment & Supplies – 4.5% (2.9% of Total Investments)  
  15,434     

Acelity, Term Loan F

    5.000%         8/03/18         Ba3        15,481,949   
  9,818     

ConvaTec Healthcare, Term Loan B

    4.250%         6/15/20         Ba2         9,836,682   
  8,983     

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%         6/07/19         B+        8,796,082   
  11,672     

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%         12/09/19         B–        11,321,565   
  11,587     

Sterigenics International, Inc., Term Loan B

    4.250%         5/16/22         B1        11,572,671   
  57,494     

Total Health Care Equipment & Supplies

                               57,008,949   
      Health Care Providers & Services – 6.1% (3.8% of Total Investments)         
  386     

Community Health Systems, Inc., Term Loan F

    3.924%         12/31/18         BB        383,236   
  7,510     

Community Health Systems, Inc., Term Loan G

    3.750%         12/31/19         BB        7,401,839   
  13,533     

Community Health Systems, Inc., Term Loan H

    4.000%         1/27/21         BB        13,383,435   
  11,065     

Drumm Investors LLC, Term Loan

    9.500%         5/04/18         B        10,875,690   
  11,873     

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

    7.500%         12/21/20         B–        8,430,033   
  18,500     

MultiPlan, Inc., Term Loan B

    5.000%         6/07/23         B+        18,690,790   
  8,254     

National Mentor Holdings, Inc., Term Loan B

    4.250%         1/31/21         B+        8,287,687   
  1,845     

Quorum Health Corp., Term Loan B

    6.750%         4/29/22         B1        1,859,215   
  7,101     

U.S. Renal Care, Inc., Term Loan, First Lien

    5.250%         12/30/22         B1        7,055,854   
  80,067     

Total Health Care Providers & Services

                               76,367,779   

 

  70      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Hotels, Restaurants & Leisure – 7.7% (4.8% of Total Investments)  
$ 34,246     

Burger King Corporation, Term Loan B

    3.750%         12/10/21         Ba3      $ 34,424,624   
  1,546     

CCM Merger, Inc., Term Loan B

    4.500%         8/08/21         BB–        1,551,114   
  6,114     

Landry’s Restaurants, Inc., Term Loan B

    4.000%         4/24/18         BB–        6,132,547   
  17,620     

Life Time Fitness, Inc., Term Loan B, (DD1)

    4.250%         6/10/22         BB–        17,622,202   
  8,775     

Scientific Games Corporation, Term Loan

    6.000%         10/18/20         BB–        8,782,310   
  7,388     

Scientific Games Corporation, Term Loan B2

    6.000%         10/01/21         BB–        7,383,459   
  15,734     

Station Casino LLC, Term Loan B

    3.750%         6/08/23         BB        15,739,866   
  5,000     

YUM Brands, Term Loan B, (WI/DD)

    TBD         TBD         BBB–        5,026,565   
  96,423     

Total Hotels, Restaurants & Leisure

                               96,662,687   
      Household Durables – 1.0% (0.6% of Total Investments)  
  11,956     

Serta Simmons Holdings LLC, Term Loan

    4.250%         10/01/19         BB–        12,015,782   
      Household Products – 0.9% (0.6% of Total Investments)  
  11,000     

Revlon Consumer Products Corporation, Term Loan B, First Lien, (WI/DD)

    TBD         TBD         Ba3        11,001,375   
      Independent Power & Renewable Electricity Producers – 0.7% (0.5% of Total Investments)  
  9,000     

Dynegy, Inc., Term Loan B

    5.000%         6/27/23         BB        9,012,186   
      Insurance – 0.9% (0.5% of Total Investments)                           
  10,699     

Hub International Holdings, Inc., Initial Term Loan

    4.000%         10/02/20         Ba3        10,676,452   
      Internet & Catalog Retail – 2.4% (1.5% of Total Investments)  
  29,569     

Travelport LLC, Term Loan B

    5.000%         9/02/21         B+        29,688,682   
      Internet Software & Services – 3.2% (2.0% of Total Investments)  
  30,109     

Sabre Inc., Term Loan

    4.000%         2/19/19         Ba2        30,224,985   
  9,875     

Tibco Software, Inc., Term Loan B

    6.500%         12/04/20         B1        9,476,919   
  39,984     

Total Internet Software & Services

                               39,701,904   
      IT Services – 0.6% (0.4% of Total Investments)                           
  5,000     

Global Payments, Inc., Term Loan B, First Lien

    3.996%         4/22/23         BBB–        5,051,040   
  2,603     

Zayo Group LLC, Term Loan B

    3.750%         5/06/21         Ba2        2,605,587   
  7,603     

Total IT Services

                               7,656,627   
      Leisure Products – 0.2% (0.1% of Total Investments)                           
  2,338     

Academy, Ltd., Term Loan B

    5.000%         7/01/22         B        2,263,642   
      Machinery – 0.4% (0.3% of Total Investments)                           
  5,543     

Rexnord LLC, Term Loan B

    4.000%         8/21/20         BB–        5,538,846   
      Media – 10.1% (6.3% of Total Investments)                           
  3,586     

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

    4.250%         7/23/21         B1        3,574,470   
  2,950     

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

    7.500%         7/25/22         CCC+        2,777,148   
  7,246     

Acquisitions Cogeco Cable II L.P., Term Loan B

    3.250%         11/30/19         BB        7,253,477   
  1,358     

Clear Channel Communications, Inc., Term Loan E

    7.996%         7/30/19         Caa1        1,052,285   
  1,235     

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

    7.246%         1/30/19         Caa1        962,825   
  31,597     

Cumulus Media, Inc., Term Loan B

    4.250%         12/23/20         B3        22,453,381   
  28,370     

EMI Music Publishing LLC, Term Loan B3

    4.000%         8/19/22         BB–        28,430,101   
  11,940     

Numericable Group S.A., Term Loan

    4.752%         2/10/23         B+        11,976,071   
  6,549     

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

    4.500%         8/14/20         B        6,358,406   
  31,821     

Tribune Company, Term Loan B

    3.750%         12/27/20         BB+        31,960,370   
  4,234     

Univision Communications, Inc., Replacement Term Loan, First Lien

    4.000%         3/01/20         B+        4,238,009   
  5,190     

Virgin Media Investment Holdings, Term Loan F, First Lien

    3.649%         6/30/23         BB+        5,174,360   
  136,076     

Total Media

                               126,210,903   
      Metals & Mining – 1.1% (0.8% of Total Investments)                           
  15,922     

Fortescue Metals Group, Ltd., Term Loan B, First Lien, (DD1)

    4.250%         6/30/19         BBB–        15,627,658   

 

NUVEEN     71   


JQC    Nuveen Credit Strategies Income Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Multiline Retail – 1.0% (0.6% of Total Investments)  
$ 6,982     

Belk, Inc., Term Loan B, First Lien

    5.750%         12/12/22         B+      $ 6,158,565   
  3,462     

Dollar Tree, Inc., Term Loan B1

    3.500%         7/06/22         BBB        3,482,500   
  2,840     

Dollar Tree, Inc., Term Loan B2

    4.250%         7/06/22         BBB        2,852,851   
  13,284     

Total Multiline Retail

                               12,493,916   
      Oil, Gas & Consumable Fuels – 1.1% (0.7% of Total Investments)  
  1,128     

Crestwood Holdings LLC, Term Loan B

    9.000%         6/19/19         B3        1,012,053   
  4,886     

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%         8/31/20         B–        4,104,345   
  3,320     

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

    8.375%         9/30/20         CCC–        1,104,050   
  9,130     

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%         9/30/20         N/R        5,478,098   
  4,556     

Harvey Gulf International Marine, Inc., Term Loan B

    5.500%         6/18/20         CCC+        2,676,363   
  23,020     

Total Oil, Gas & Consumable Fuels

                               14,374,909   
      Pharmaceuticals – 4.5% (2.8% of Total Investments)  
  468     

Endo Health Solutions, Inc., Term Loan B

    3.750%         9/26/22         BB        464,021   
  35,931     

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

    4.250%         8/18/22         B1        35,966,775   
  10,631     

Valeant Pharmaceuticals International, Inc., Term Loan E

    4.750%         8/05/20         Ba2        10,513,389   
  2,197     

Valeant Pharmaceuticals International, Inc., Term Loan F

    5.000%         4/01/22         Ba2        2,183,592   
  7,015     

Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan C2

    4.750%         12/11/19         Ba2        6,949,327   
  56,242     

Total Pharmaceuticals

                               56,077,104   
      Professional Services – 0.1% (0.1% of Total Investments)  
  910     

Ceridian Corporation, Term Loan B2

    4.500%         9/15/20         Ba3        879,229   
      Real Estate Investment Trust – 2.8% (1.7% of Total Investments)  
  20,730     

Communications Sales & Leasing, Inc., Term Loan B, First Lien

    5.000%         10/24/22         BB+        20,752,830   
  10,597     

Realogy Corporation, Term Loan B, First Lien

    3.750%         7/14/22         BB+        10,658,801   
  4,161     

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

    4.750%         12/18/20         B+        3,425,587   
  35,488     

Total Real Estate Investment Trust

                               34,837,218   
      Real Estate Management & Development – 1.1% (0.8% of Total Investments)  
  15,571     

Capital Automotive LP, Term Loan, Tranche B1, (8)

    4.000%         4/10/19         Ba2        15,635,391   
      Semiconductors & Semiconductor Equipment – 5.2% (3.3% of Total Investments)  
  42,072     

Avago Technologies, Term Loan B, First Lien

    4.250%         2/01/23         BBB        42,221,135   
  4,351     

Microsemi Corporation, Term Loan B, First Lien

    3.750%         1/15/23         BB        4,385,172   
  5,732     

NXP Semiconductor LLC, Term Loan B, First Lien

    3.750%         12/07/20         Baa2        5,777,585   
  13,250     

On Semiconductor Corp., Term Loan B, First Lien

    5.250%         3/31/23         Ba1        13,415,625   
  65,405     

Total Semiconductors & Semiconductor Equipment

                               65,799,517   
      Software – 14.9% (9.3% of Total Investments)                           
  4,092     

Blackboard, Inc., Term Loan B3

    4.750%         10/04/18         B+        3,994,732   
  31,608     

BMC Software, Inc., Initial Term Loan

    5.000%         9/10/20         B1        29,079,133   
  10,670     

Compuware Corporation, Tranche B2, Term Loan, First Lien

    6.250%         12/15/21         B        10,260,582   
  28,162     

Ellucian, Term Loan B, First Lien

    4.750%         9/30/22         B2        28,225,673   
  16,763     

Emdeon Business Services LLC, Term Loan B2

    3.750%         11/02/18         Ba3        16,802,657   
  23,910     

Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5, (8)

    3.750%         6/03/20         BB        23,685,376   
  6,451     

Informatica Corp.,Term Loan B

    4.500%         8/05/22         B        6,369,455   
  18,169     

Kronos Incorporated, Initial Term Loan, Second Lien

    9.750%         4/30/20         CCC        18,593,277   
  9,003     

Micro Focus International PLC, Term Loan B

    4.500%         11/20/21         BB–        9,002,978   
  1,444     

Micro Focus International PLC, Term Loan C

    4.502%         11/20/19         BB–        1,449,164   
  15,000     

Misys PLC, Term Loan, Second Lien

    12.000%         6/12/19         CCC+        15,675,000   
  12,094     

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

    4.000%         7/08/22         BB        12,175,379   
  1,567     

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

    4.000%         7/08/22         BB        1,577,466   
  10,000     

Uber Technologies, Inc., Term Loan B, First Lien, (DD1)

    5.000%         7/07/23         N/R        9,991,670   
  188,933     

Total Software

                               186,882,542   

 

  72      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Specialty Retail – 4.7% (3.0% of Total Investments)         
$ 7,447     

Burlington Coat Factory Warehouse Corporation, Term Loan B4, (WI/DD)

    TBD         TBD         BB      $ 7,455,975   
  1,643     

Jo-Ann Stores, Inc., Term Loan, First Lien

    4.000%         3/16/18         Ba3        1,635,797   
  2,826     

Michaels Stores, Inc. Term Loan, First Lien

    3.750%         1/28/20         BB        2,838,368   
  7,567     

Petco Animal Supplies, Inc., Term Loan B1

    5.000%         1/26/23         B1        7,610,832   
  39,231     

Petsmart, Inc., Term Loan B

    4.250%         3/11/22         BB–        39,346,902   
  58,714     

Total Specialty Retail

                               58,887,874   
      Technology Hardware, Storage & Peripherals – 3.6% (2.2% of Total Investments)  
  33,422     

Dell International LLC, Term Loan B, (WI/DD)

    TBD         TBD         BBB–        33,467,552   
  11,000     

Western Digital Inc., Term Loan B, First Lien

    6.250%         4/29/23         BBB–        11,129,250   
  44,422     

Total Technology Hardware, Storage & Peripherals

                               44,596,802   
      Trading Companies & Distributors – 1.4% (0.9% of Total Investments)  
  16,995     

HD Supply, Inc., Term Loan B

    3.750%         8/13/21         BB        17,080,224   
      Wireless Telecommunication Services – 0.2% (0.1% of Total Investments)  
  2,686     

T-Mobile USA, Term Loan B

    3.500%         11/09/22         BBB–        2,706,230   
$ 1,523,266     

Total Variable Rate Senior Loan Interests (cost $1,521,487,574)

  

     1,494,076,620   
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.0% (0.6% of Total Investments)

  

      Diversified Consumer Services – 0.7% (0.5% of Total Investments)         
  403,318     

Cengage Learning Holdings II LP, (5), (6)

                             $ 9,276,314   
      Energy Equipment & Services – 0.1% (0.0% of Total Investments)  
  10,935     

Vantage Drill International, (5), (6)

                               956,813   
      Health Care Providers & Services – 0.1% (0.0% of Total Investments)  
  348,604     

Millennium Health LLC, (6)

                               522,906   
      Media – 0.1% (0.1% of Total Investments)                           
  51,720     

Affinion Group Holdings, Inc., (5), (6)

             400,831   
  2,174     

Cumulus Media, Inc., (6)

             831   
  22,352     

Tribune Media Company

             828,142   
  17,988     

Tribune Media Company, (7)

               
  5,588     

tronc, Inc., (6)

                               83,764   
 

Total Media

                               1,313,568   
 

Total Common Stocks (cost $26,732,959)

                               12,069,601   
Shares     Description (1), (9)                           Value  
      EXCHANGE-TRADED FUNDS – 5.4% (3.4% of Total Investments)  
  2,147,351     

PowerShares Senior Loan Portfolio

           $ 49,818,543   
  663,865     

SPDR Barclays Short Term High Yield Bond ETF

                               18,017,296   
 

Total Exchange-Traded Funds (cost $67,597,766)

                               67,835,839   
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

CONVERTIBLE PREFERRED SECURITIES – 0.7% (0.4% of Total Investments)

  

      Commercial Services & Supplies – 0.4% (0.2% of Total Investments)  
  60,200     

Stericycle, Inc.

    5.250%                  N/R      $ 4,490,318   

 

NUVEEN     73   


JQC    Nuveen Credit Strategies Income Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Shares     Description (1)   Coupon              Ratings (3)      Value  
      Pharmaceuticals – 0.3% (0.2% of Total Investments)  
  5,000     

Allergan PLC

    5.500%                  N/R      $ 4,481,700   
 

Total Convertible Preferred Securities (cost $10,299,331)

                               8,972,018   
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 25.0% (15.7% of Total Investments)

  

      Commercial Services & Supplies – 0.3% (0.1% of Total Investments)         
$ 3,900     

NES Rental Holdings Inc., 144A

    7.875%         5/01/18         B–      $ 3,802,500   
      Communications Equipment – 2.1% (1.3% of Total Investments)  
  19,375     

Avaya Inc., 144A, (8)

    7.000%         4/01/19         B2        14,579,687   
  9,250     

Avaya Inc., 144A

    10.500%         3/01/21         Caa2        2,497,500   
  8,510     

CommScope Technologies Finance LLC, 144A, (8)

    6.000%         6/15/25         B1        8,978,050   
  37,135     

Total Communications Equipment

                               26,055,237   
      Diversified Telecommunication Services – 2.1% (1.3% of Total Investments)  
  3,125     

CenturyLink Inc.

    6.450%         6/15/21         BB+        3,335,938   
  10,000     

Frontier Communications Corporation, (8)

    6.250%         9/15/21         BB        9,725,000   
  6,000     

Frontier Communications Corporation, (8)

    6.875%         1/15/25         BB        5,261,940   
  11,800     

IntelSat Limited

    7.750%         6/01/21         CC        2,714,000   
  23,355     

IntelSat Limited

    8.125%         6/01/23         CC        5,430,037   
  54,280     

Total Diversified Telecommunication Services

                               26,466,915   
      Food & Staples Retailing – 0.1% (0.1% of Total Investments)  
  1,000     

Rite Aid Corporation, 144A

    6.125%         4/01/23         B        1,061,250   
      Health Care Equipment & Supplies – 1.7% (1.1% of Total Investments)         
  15,460     

Tenet Healthcare Corporation, (8)

    8.125%         4/01/22         B–        15,962,450   
  5,600     

Tenet Healthcare Corporation, (8)

    6.750%         6/15/23         B–        5,390,000   
  21,060     

Total Health Care Equipment & Supplies

                               21,352,450   
      Health Care Providers & Services – 1.7% (1.1% of Total Investments)  
  10,000     

Community Health Systems, Inc., (8)

    6.875%         2/01/22         B+        8,600,000   
  12,500     

DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A, (8)

    8.125%         6/15/21         CCC+        11,375,000   
  1,000     

MPH Acquisition Holdings LLC, 144A

    7.125%         6/01/24         B–        1,067,500   
  23,500     

Total Health Care Providers & Services

                               21,042,500   
      Hotels, Restaurants & Leisure – 1.7% (1.1% of Total Investments)  
  4,250     

Scientific Games Corporation, 144A

    7.000%         1/01/22         BB–        4,420,000   
  18,750     

Scientific Games International Inc.

    10.000%         12/01/22         B        16,664,062   
  23,000     

Total Hotels, Restaurants & Leisure

                               21,084,062   
      Media – 3.6% (2.2% of Total Investments)                           
  592     

Affinion International Holdings Co, 144A

    7.500%         7/30/18         B–        512,509   
  2,860     

Altice US Finance I Corporation, 144A

    5.375%         7/15/23         BB–        2,952,950   
  4,000     

CCO Holdings LLC Finance Corporation, 144A, (8)

    5.125%         5/01/23         BB+        4,135,000   
  10,609     

Clear Channel Communications, Inc., (8)

    9.000%         12/15/19         Caa1        8,566,767   
  40,609     

Clear Channel Communications, Inc.

    14.000%         2/01/21         CC        17,157,417   
  300     

Clear Channel Communications, Inc.

    9.000%         3/01/21         Caa1        224,250   
  6,000     

Dish DBS Corporation, 144A

    7.750%         7/01/26         Ba3        6,221,250   
  5,000     

Dish DBS Corporation

    5.125%         5/01/20         Ba3        5,118,750   
  69,970     

Total Media

                               44,888,893   
      Multiline Retail – 0.6% (0.4% of Total Investments)  
  7,375     

Dollar Tree, Inc.

    5.750%         3/01/23         BB–        7,946,563   

 

  74      NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Pharmaceuticals – 0.4% (0.2% of Total Investments)  
$ 4,850     

Concordia Healthcare Corporation, 144A

    9.500%         10/21/22         CCC+      $ 4,425,625   
 

Real Estate Investment Trust – 1.1% (0.7% of Total Investments)

 

  13,950     

Communications Sales & Leasing Inc., (8)

    8.250%         10/15/23         BB–        14,246,438   
      Semiconductors & Semiconductor Equipment – 1.5% (1.0% of Total Investments)  
  5,000     

Advanced Micro Devices, Inc.

    7.500%         8/15/22         CCC        4,837,500   
  9,000     

Advanced Micro Devices, Inc., (8)

    7.000%         7/01/24         CCC        8,257,500   
  5,625     

Micron Technology, Inc., 144A

    7.500%         9/15/23         Baa2        6,150,600   
  19,625     

Total Semiconductors & Semiconductor Equipment

                               19,245,600   
      Software – 0.5% (0.3% of Total Investments)                           
  2,830     

Balboa Merger Sub Inc., 144A

    11.375%         12/01/21         CCC        2,440,875   
  5,000     

BMC Software Finance Inc., 144A

    8.125%         7/15/21         CCC+        4,075,000   
  7,830     

Total Software

                               6,515,875   
      Specialty Retail – 0.4% (0.3% of Total Investments)                           
  9,500     

Claires Stores, Inc., 144A, (8)

    9.000%         3/15/19         Caa2        5,225,000   
      Technology Hardware, Storage & Peripherals – 1.4% (0.9% of Total Investments)  
  5,000     

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

    5.875%         6/15/21         BB+        5,226,895   
  5,000     

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

    7.125%         6/15/24         BB+        5,381,075   
  7,000     

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

    6.020%         6/15/26         BBB–        7,510,013   
  17,000     

Total Technology Hardware, Storage & Peripherals

                               18,117,983   
      Wireless Telecommunication Services – 5.8% (3.6% of Total Investments)  
  7,000     

Altice Financing SA, 144A, (8)

    6.625%         2/15/23         BB–        7,013,160   
  1,000     

Hughes Satellite Systems Corporation, 144A

    6.625%         8/01/26         BB–        992,500   
  6,000     

Hughes Satellite Systems Corporation, 144A

    5.250%         8/01/26         BB+        5,985,000   
  12,000     

Sprint Communications Inc.

    7.000%         8/15/20         B+        11,397,600   
  2,500     

Sprint Corporation

    7.250%         9/15/21         B+        2,332,825   
  29,000     

Sprint Corporation, (8)

    7.875%         9/15/23         B+        26,480,770   
  5,000     

T-Mobile USA Inc., (8)

    6.250%         4/01/21         BB        5,231,250   
  12,000     

T-Mobile USA Inc., (8)

    6.375%         3/01/25         BB        12,840,000   
  74,500     

Total Wireless Telecommunication Services

                               72,273,105   
$ 388,475     

Total Corporate Bonds (cost $380,379,184)

                               313,749,996   
 

Total Long-Term Investments (cost $2,006,496,814)

                               1,896,704,074   
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 8.3% (5.2% of Total Investments)

  

      REPURCHASE AGREEMENTS – 8.3% (5.2% of Total Investments)  
$ 104,538     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/29/16, repurchase price $104,538,215, collateralized by $97,940,000 U.S. Treasury Notes, 2.500%, due 8/15/23, value $106,632,175

    0.030%         8/01/16                $ 104,537,954   
 

Total Short-Term Investments (cost $104,537,954)

                               104,537,954   
 

Total Investments (cost $2,111,034,768) – 159.4%

                               2,001,242,028   
 

Borrowings – (44.7)% (10), (11)

                               (561,000,000
 

Reverse Repurchase Agreements – (11.5)% (12)

                               (145,229,113
 

Other Assets Less Liabilities – (3.2)% (13)

                               (39,759,162
 

Net Assets Applicable to Common Shares – 100%

                             $ 1,255,253,753   

 

NUVEEN     75   


JQC    Nuveen Credit Strategies Income Fund
   Portfolio of Investments (continued)    July 31, 2016

 

Investments in Derivatives as of July 31, 2016

Credit Default Swaps

 

Counterparty   Referenced
Entity
  Buy/Sell
Protection (14)
    Current
Credit

Spread (15)
    Notional
Amount
    Fixed Rate
(Annualized)
    Termination
Date
    Value     Variation
Margin
Receivable/
(Payable)
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services LLC*

  CDX.NA.HY.26     Sell        0.47   $ 20,000,000       5.000     6/20/21      $ 957,527      $ 75,448      $ 454,325   
* Morgan Stanley Capital Services LLC is also the clearing broker for this transaction.

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

 

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

 

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

 

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

 

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

 

(5) 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.

 

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

 

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

 

(8) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements.

 

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

 

(10) Borrowings as a percentage of Total Investments is 28.0%.

 

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

 

(12) Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

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

 

(14) The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(15) The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  76      NUVEEN


Statement of

Assets and Liabilities

   July 31, 2016

 

     Senior
Income
(NSL)
    Floating Rate
Income
(JFR)
    Floating Rate
Income
Opportunity
(JRO)
    Short Duration
Credit
Opportunities
(JSD)
    Credit
Strategies
Income
(JQC)
 

Assets

         

Long-term investments, at value (cost $422,814,593, $1,015,915,551, $704,748,964, $282,702,857 and $2,006,496,814, respectively)

  $ 396,932,537      $ 956,367,823      $ 662,228,090      $ 270,109,686      $ 1,896,704,074   

Short-term investments, at value (cost approximates value)

    15,887,007        31,702,838        24,416,875        7,550,711        104,537,954   

Cash collateral at brokers(1)

                                649,995   

Cash denominated in foreign currencies (cost $7,628, $19,422, $12,975, $— and $—, respectively)

    7,536        19,188        12,818                 

Credit default swaps premiums paid

                         196,558        503,202   

Unrealized appreciation on interest rate swaps, net

                         11,088          

Receivable for:

         

Interest

    3,145,522        7,124,902        5,545,847        1,999,300        16,171,018   

Investments sold

    10,587,689        26,000,435        15,136,398        8,515,502        60,553,944   

Reclaims

                                34,845   

Variation margin on swaps

                                75,448   

Deferred offering costs

    86,870        189,225        135,730        821,449          

Other assets

    187,677        386,185        244,659        22,062        333,368   

Total assets

    426,834,838        1,021,790,596        707,720,417        289,226,356        2,079,563,848   

Liabilities

         

Borrowings

    101,000,000        240,800,000        166,800,000        64,000,000        561,000,000   

Reverse repurchase agreements (including accrued interest)

                                145,229,113   

Credit default swaps premiums received

                         4,949          

Unrealized depreciation on credit default swaps

                         158,625          

Payable for:

         

Dividends

    1,362,123        3,366,114        2,460,044        906,049        6,911,168   

Investments purchased

    17,688,256        41,541,297        27,205,929        12,223,314        108,303,150   

Term Preferred Shares (“Term Preferred”), at liquidation preference

                         35,000,000          

Variable Rate Term Preferred (“VRTP”) Shares, at liquidation preference

    45,000,000        108,000,000        75,000,000                 

Accrued expenses:

         

Interest

    136,450        320,615        226,582        127,974        886,181   

Management fees

    278,037        654,976        457,609        188,211        1,329,898   

Trustees fees

    63,583        115,775        72,753        11,425        317,902   

Other

    235,075        365,090        308,671        75,266        332,683   

Total liabilities

    165,763,524        395,163,867        272,531,588        112,695,813        824,310,095   

Net assets applicable to common shares

  $ 261,071,314      $ 626,626,729      $ 435,188,829      $ 176,530,543      $ 1,255,253,753   

Common shares outstanding

    38,621,872        55,169,216        38,478,782        10,095,286        135,766,990   

Net asset value (“NAV”) per common share outstanding

  $ 6.76      $ 11.36      $ 11.31      $ 17.49      $ 9.25   

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,219      $ 551,692      $ 384,788      $ 100,953      $ 1,357,670   

Paid-in surplus

    324,463,130        765,737,345        526,376,739        192,244,418        1,685,676,692   

Undistributed (Over-distribution of) net investment income

    1,135,413        (275,469     406,098        (527,708     (729,773

Accumulated net realized gain (loss)

    (39,031,300     (79,838,877     (49,457,765     (2,546,412     (321,713,398

Net unrealized appreciation (depreciation)

    (25,882,148     (59,547,962     (42,521,031     (12,740,708     (109,337,438

Net assets applicable to common shares

  $ 261,071,314      $ 626,626,729      $ 435,188,829      $ 176,530,543      $ 1,255,253,753   

Authorized shares:

         

Common

    Unlimited        Unlimited        Unlimited        Unlimited        Unlimited   

Preferred

    Unlimited        Unlimited        Unlimited        Unlimited        Unlimited   
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

NUVEEN     77   


Statement of

Operations

   Year Ended July 31, 2016

 

      Senior
Income
(NSL)
       Floating Rate
Income
(JFR)
       Floating Rate
Income
Opportunity
(JRO)
       Short Duration
Credit
Opportunities
(JSD)
       Credit
Strategies
Income
(JQC)
 

Investment Income

                      

Interest and dividends (net of foreign tax withheld of $—, $—, $—,$— and $49,026, respectively)

   $ 23,480,784         $ 54,032,224         $ 39,386,429         $ 15,889,974         $ 106,183,052   

Fees

     529,972           1,124,334           744,167           319,187           2,043,776   

Total investment income

     24,010,756           55,156,558           40,130,596           16,209,161           108,226,828   

Expenses

                      

Management fees

     3,331,690           7,858,476           5,504,011           2,197,363           15,974,811   

Interest expense and amortization of offering costs

     2,773,839           6,606,147           4,613,499           1,427,796           12,475,890   

Custodian fees

     140,666           278,585           203,118           108,779           486,280   

Trustees fees

     11,557           28,058           19,476           7,969           59,805   

Professional fees

     82,146           109,456           94,934           91,554           395,561   

Shareholder reporting expenses

     23,773           72,835           70,195           32,421           215,131   

Shareholder servicing agent fees

     18,564           17,028           16,600           13,847           5,056   

Stock exchange listing fees

     12,366           17,660           12,318           7,889           43,535   

Investor relations expenses

     40,080           75,848           53,532           34,754           169,170   

Other

     41,588           52,556           47,572           24,210           41,879   

Total expenses

     6,476,269           15,116,649           10,635,255           3,946,582           29,867,118   

Net investment income (loss)

     17,534,487           40,039,909           29,495,341           12,262,579           78,359,710   

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     (1,495,922        (2,197,879        (2,403,022        (2,399,349        (19,197,503

Swaps

                                   (411,245        115,868   

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     (15,170,917        (34,129,400        (26,311,460        (8,940,636        (63,796,853

Swaps

                                   50,691           454,325   

Net realized and unrealized gain (loss)

     (16,666,839        (36,327,279        (28,714,482        (11,700,539        (82,424,163

Net increase (decrease) in net assets applicable to common shares from operations

   $ 867,648         $ 3,712,630         $ 780,859         $ 562,040         $ (4,064,453

 

See accompanying notes to financial statements.

 

  78      NUVEEN


Statement of

Changes in Net Assets

  

 

     Senior Income (NSL)        Floating Rate Income (JFR)  
     

Year
Ended
7/31/16

       Year
Ended
7/31/15
      

Year
Ended

7/31/16

       Year
Ended
7/31/15
 

Operations

                 

Net investment income (loss)

   $ 17,534,487         $ 17,200,574         $ 40,039,909         $ 41,166,584   

Net realized gain (loss) from:

                 

Investments and foreign currency

     (1,495,922        (370,349        (2,197,879        1,075,483   

Swaps

               (607,114                  (1,623,403

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (15,170,917        (14,108,045        (34,129,400        (34,151,330

Swaps

               550,340                     1,471,592   

Net increase (decrease) in net assets applicable to common shares from operations

     867,648           2,665,406           3,712,630           7,938,926   

Distributions to Common Shareholders

                 

From net investment income

     (16,299,305        (16,223,287        (39,887,343        (39,721,836

From accumulated net realized gains

                                     

Decrease in net assets applicable to common shares from distributions to common shareholders

     (16,299,305        (16,223,287        (39,887,343        (39,721,836

Capital Share Transactions

                 

Cost of common shares repurchased and retired

     (27,250                              

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     (27,250                              

Net increase (decrease) in net assets applicable to common shares

     (15,458,907        (13,557,881        (36,174,713        (31,782,910

Net assets applicable to common shares at the beginning of period

     276,530,221           290,088,102           662,801,442           694,584,352   

Net assets applicable to common shares at the end of period

   $ 261,071,314         $ 276,530,221         $ 626,626,729         $ 662,801,442   

Undistributed (Over-distribution of) net investment income at the end of period

   $ 1,135,413         $ (342,112      $ (275,469      $ (1,108,914

 

See accompanying notes to financial statements.

 

NUVEEN     79   


Statement of Changes in Net Assets (continued)

 

 

     Floating Rate
Income Opportunity (JRO)
       Short Duration
Credit Opportunities (JSD)
 
      Year
Ended
7/31/16
       Year
Ended
7/31/15
       Year
Ended
7/31/16
       Year
Ended
7/31/15
 

Operations

                 

Net investment income (loss)

   $ 29,495,341         $ 30,408,679         $ 12,262,579         $ 12,327,386   

Net realized gain (loss) from:

                 

Investments and foreign currency

     (2,403,022        890,595           (2,399,349        401,299   

Swaps

               (962,762        (411,245        (438,439

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (26,311,460        (26,174,687        (8,940,636        (8,796,752

Swaps

               872,730           50,691           54,909   

Net increase (decrease) in net assets applicable to common shares from operations

     780,859           5,034,555           562,040           3,548,403   

Distributions to Common Shareholders

                 

From net investment income

     (29,320,832        (29,089,959        (11,750,913        (11,750,913

From accumulated net realized gains

                         (311,944        (379,583

Decrease in net assets applicable to common shares from distributions to common shareholders

     (29,320,832        (29,089,959        (12,062,857        (12,130,496

Capital Share Transactions

                 

Cost of common shares repurchased and retired

                                     

Net increase (decrease) in net assets applicable to common shares from capital share transactions

                                     

Net increase (decrease) in net assets applicable to common shares

     (28,539,973        (24,055,404        (11,500,817        (8,582,093

Net assets applicable to common shares at the beginning of period

     463,728,802           487,784,206           188,031,360           196,613,453   

Net assets applicable to common shares at the end of period

   $ 435,188,829         $ 463,728,802         $ 176,530,543         $ 188,031,360   

Undistributed (Over-distribution of) net investment income at the end of period

   $ 406,098         $ (282,189      $ (527,708      $ (899,188

 

See accompanying notes to financial statements.

 

  80      NUVEEN


     Credit Strategies Income (JQC)  
      Year
Ended
7/31/16
       Year
Ended
7/31/15
 

Operations

       

Net investment income (loss)

   $ 78,359,710         $ 84,707,962   

Net realized gain (loss) from:

       

Investments and foreign currency

     (19,197,503        22,176,347   

Swaps

     115,868           (3,031,192

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     (63,796,853        (81,354,562

Swaps

     454,325           2,744,568   

Net increase (decrease) in net assets applicable to common shares from
operations

     (4,064,453        25,243,123   

Distributions to Common Shareholders

       

From net investment income

     (83,158,181        (75,543,576

From accumulated net realized gains

                 

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (83,158,181        (75,543,576

Capital Share Transactions

       

Cost of common shares repurchased and retired

     (2,286,458        (1,239,262

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

     (2,286,458        (1,239,262

Net increase (decrease) in net assets applicable to common shares

     (89,509,092        (51,539,715

Net assets applicable to common shares at the beginning of period

     1,344,762,845           1,396,302,560   

Net assets applicable to common shares at the end of period

   $ 1,255,253,753         $ 1,344,762,845   

Undistributed (Over-distribution of) net investment income at the end of
period

   $ (729,773      $ 2,140,829   

 

See accompanying notes to financial statements.

 

NUVEEN     81   


Statement of

Cash Flows

   Year Ended July 31, 2016

 

     Senior
Income
(NSL)
    Floating Rate
Income
(JFR)
    Floating Rate
Income
Opportunity
(JRO)
    Short Duration
Credit
Opportunities
(JSD)
    Credit
Strategies
Income
(JQC)
 

Cash Flows from Operating Activities:

         

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ 867,648      $ 3,712,630      $ 780,859      $ 562,040      $ (4,064,453

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

    (119,477,501     (253,885,863     (182,804,758     (108,352,339     (861,055,362

Proceeds from sales and maturities of investments

    140,660,982        285,285,558        217,343,180        93,226,476        958,439,442   

Proceeds from (Purchases of) short-term investments, net

    23,392,317        67,241,064        37,384,279        8,306,294        (31,064,060

Proceeds from (Payments for) swap contracts, net

                         (411,245     115,868   

Proceeds from (Payments for) cash denominated in foreign currencies, net

    (5,823     (14,825     (9,904              

Proceeds from (Payments for) closed foreign currency spot contracts

    236        601        401               54   

Premiums received (paid) for credit default swaps

                         151,606        (503,202

Payment-in-kind distributions

    (151,073     (333,282     (260,170     (62,901     (820,658

Taxes paid

                  (6,287              

Proceeds from litigation settlement

                                447,111   

Amortization (Accretion) of premiums and discounts, net

    (1,052,919     (1,285,495     (1,318,554     (858,620     645,354   

Amortization of deferred offering costs

    246,606        536,128        392,497        77,500          

(Increase) Decrease in:

         

Cash collateral at brokers

                         650,000        (649,995

Receivable for dividends

    806        2,498        1,962               72,701   

Receivable for interest

    (255,208     (396,447     (368,741     (184,417     1,993,680   

Receivable for investments sold

    (7,516,431     (15,463,034     (9,116,078     (7,549,020     28,679,002   

Receivable for reclaims

                                (10,607

Receivable for variation margin on swaps

                                (75,448

Other assets

    10,391        34,339        18,872        (477     2,312   

Increase (Decrease) in:

         

Payable for investments purchased

    (12,554,150     (21,395,451     (16,454,852     1,860,057        4,235,068   

Accrued interest

    26,358        55,464        40,827        50,003        74,064   

Accrued management fees

    (31,981     (74,657     (57,666     (1,287     (134,941

Accrued Trustees fees

    (796     (21     263        1,422        (3,702

Accrued other expenses

    (34,545     (48,867     (28,431     (5,169     18,569   

Net realized (gain) loss from:

         

Investments and foreign currency

    1,495,922        2,197,879        2,403,022        2,399,349        19,197,503   

Swaps

                         411,245        (115,868

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    15,170,917        34,129,400        26,311,460        8,940,636        63,796,853   

Swaps(1)

                         (50,691       

Net cash provided by (used in) operating activities

    40,791,756        100,297,619        74,252,181        (839,538     179,219,285   

Cash Flows from Financing Activities:

         

Proceeds from borrowings

    13,000,000        31,000,000        23,000,000                 

Repayments of borrowings

    (24,500,000     (60,500,000     (45,000,000     (21,200,000     (79,000,000

Net borrowings through reverse repurchase agreements

                                (14,965,152

(Payments for) deferred offering costs

                         (898,949       

Increase (Decrease) in:

         

VRTP Shares, at liquidation preference

    (13,000,000     (31,000,000     (23,000,000              

Term Preferred, at liquidation preference

                         35,000,000          

Cash distributions paid to common shareholders

    (16,264,506     (39,797,619     (29,252,181     (12,061,513     (82,967,675

Cost of common shares repurchased and retired

    (27,250                          (2,286,458

Net cash provided by (used in) financing activities

    (40,791,756     (100,297,619     (74,252,181     839,538        (179,219,285

Net Increase (Decrease) in Cash

                                  

Cash at the beginning of period

                                  

Cash at the end of period

  $      $      $      $      $   
Supplemental Disclosure of Cash Flow Information   Senior
Income
(NSL)
    Floating Rate
Income
(JFR)
    Floating Rate
Income
Opportunity
(JRO)
    Short Duration
Credit
Opportunities
(JSD)
    Credit
Strategies
Income
(JQC)
 

Cash paid for interest on borrowings (excluding borrowing and amortization of offering costs)

  $ 2,317,072      $ 5,573,019      $ 3,872,640      $ 1,166,371      $ 12,401,826   
(1) Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

  82      NUVEEN


THIS PAGE INTENTIONALLY LEFT BLANK

 

NUVEEN     83   


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
 

Senior Income (NSL)

  

Year Ended 7/31:

  

2016

  $ 7.16      $ 0.45      $ (0.43   $ 0.02      $ (0.42   $   —      $ (0.42   $          $      $ 6.76      $ 6.25   

2015

    7.51        0.45        (0.38     0.07        (0.42            (0.42                          7.16        6.34   

2014

    7.46        0.44        0.05        0.49        (0.44            (0.44                          7.51        6.98   

2013

    7.07        0.54        0.35        0.89        (0.56            (0.56     (0.01            0.07        7.46        7.45   

2012

    7.12        0.57        (0.10     0.47        (0.54            (0.54                   0.02        7.07        7.29   

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2016

    12.01        0.73        (0.66     0.07        (0.72            (0.72                          11.36        10.68   

2015

    12.59        0.75        (0.61     0.14        (0.72            (0.72                          12.01        10.67   

2014

    12.54        0.75        0.06        0.81        (0.76            (0.76                    12.59        11.72   

2013

    11.87        0.90        0.68        1.58        (0.97            (0.97                0.06        12.54        12.72   

2012

    12.06        1.02        (0.25     0.77        (0.96            (0.96                       11.87        11.78   

 

(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 – Borrowing Arrangements), 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
 

Senior Income (NSL)

  

Year Ended 7/31:

  

2016

    1.08

2015

    0.89   

2014

    0.72   

2013

    0.47   

2012

    0.47   
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2016

    1.08

2015

    0.88   

2014

    0.71   

2013

    0.48   

2012

    0.51   
 

 

  84      NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  0.61     5.89   $ 261,071        2.53     6.84     N/A        N/A        29
  0.96        (3.25     276,530        2.37        6.08        N/A        N/A        34   
  6.78        (0.29     290,088        2.15        5.89        N/A        N/A        58   
  13.89        10.23        288,025        1.74        7.32        N/A        N/A        76   
  7.34        12.78        231,866        1.82        8.34        N/A        N/A        64   
                                                             
             
  0.93        7.50        626,627        2.46        6.52        N/A        N/A        26   
  1.15        (2.88     662,801        2.29        6.08        N/A        N/A        33   
  6.62        (1.84     694,584        2.05        5.94        N/A        N/A        52   
  14.26        16.76        691,312        1.71        7.34        N/A        N/A        69   
  6.91        12.43        572,118        1.79        8.72        1.72     8.80     57   

 

(d) After expense reimbursement from the Adviser, where applicable. As of March 31, 2012, the Adviser is no longer reimbursing Floating Rate Income (JFR) for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for the matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) of Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Senior Income (NSL)

  

Year Ended 7/31:

  

2016

   

2015

      

2014

      

2013

      

2012

    (0.01
Increase (Decrease) of
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Floating Rate Income (JFR)

  

Year Ended 7/31:

  

2016

   

2015

      

2014

      

2013

      

2012

    0.01   
 

 

(f) The Fund had no matured senior loans subsequent to the fiscal year ended July 31, 2012.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* 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.

 

NUVEEN     85   


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
 

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

                             

2016

  $ 12.05       $ 0.77       $ (0.75    $ 0.02      $ (0.76   $       $ (0.76    $       $       $ 11.31       $ 10.72   

2015

    12.68         0.79         (0.66      0.13        (0.76             (0.76                      12.05         10.82   

2014

    12.55         0.78         0.14         0.92        (0.79             (0.79                12.68         12.40   

2013

    11.84         0.95         0.68         1.63        (1.04             (1.04      (0.01      0.13         12.55         12.73   

2012

    11.96         1.13         (0.26      0.87        (1.01             (1.01              0.02         11.84         12.09   

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

                             

2016

    18.63         1.21         (1.16      0.05        (1.16     (0.03      (1.19                      17.49         16.16   

2015

    19.48         1.22         (0.87      0.35        (1.16     (0.04      (1.20                      18.63         16.41   

2014

    19.91         1.29         (0.02      1.27        (1.37     (0.33      (1.70                   19.48         18.20   

2013

    19.49         1.61         0.49         2.10        (1.61     (0.07      (1.68                   19.91         19.89   

2012

    19.08         1.56         0.25         1.81        (1.40             (1.40                      19.49         19.54   

 

(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 – Borrowing Arrangements), 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
 

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

  

2016

    1.08

2015

    0.89   

2014

    0.71   

2013

    0.46   

2012

    0.47   

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

  

2016

    0.82

2015

    0.45   

2014

    0.50   

2013

    0.50   

2012

    0.47   
 

 

  86      NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  0.53     6.91   $ 435,189        2.49     6.91     N/A        N/A        27
  1.03        (6.74     463,729        2.31        6.41        N/A        N/A        34   
  7.54        3.91        487,784        2.07        6.16        N/A        N/A        55   
  15.27        14.42        482,204        1.71        7.73        N/A        N/A        72   
  8.03        15.20        369,939        1.74        9.75        1.65     9.85     85   
                                                             
             
  0.62        6.52        176,531        2.27        7.05        N/A        N/A        34   
  1.87        (3.27     188,031        1.78        6.43        N/A        N/A        31   
  6.59        0.16        196,613        1.88        6.52        N/A        N/A        45   
  11.17        10.77        201,031        1.80        8.12        N/A        N/A        82   
  9.96        14.77        195,165        1.75        8.25        N/A        N/A        62   

 

(d) After expense reimbursement from the Adviser, where applicable. As of July 31, 2012, the Adviser is no longer reimbursing Floating Rate Income Opportunity (JRO) for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) to Ratios
of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Floating Rate Income Opportunity (JRO)

  

Year Ended 7/31:

  

2016

   

2015

      

2014

      

2013

      

2012

    0.01   
Increase (Decrease) to Ratios
of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

Short Duration Credit Opportunities (JSD)

  

Year Ended 7/31:

  

2016

   

2015

      

2014

      

2013

      

2012

      
 

 

(f) Floating Rate Income Opportunity (JRO) had no matured senior loans subsequent to the fiscal year ended July 31, 2012. Short Duration Credit Opportunities (JSD) has not had any matured senior loans since its commencement of operations on May 25, 2011.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
* Rounds to less than $0.01 per share.
N/A Fund does not have, or no longer has, a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     87   


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
    Return of
Capital
    Total     Discount
from
Shares
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

Credit Strategies Income (JQC)

  

       

Year Ended 7/31:

  

 

2016

  $ 9.88      $ 0.58      $ (0.60   $ (0.02   $ (0.61   $   —      $      $ (0.61   $   $ 9.25      $ 8.43   

2015

    10.25        0.62        (0.43     0.19        (0.56                   (0.56         9.88        8.59   

2014

    10.13        0.60        0.16        0.76        (0.64                   (0.64         10.25        9.05   

2013(j)

    9.88        0.42        0.29        0.71        (0.46                   (0.46            10.13        10.03   

Year Ended 12/31:

  

             

2012

    9.18        0.78        0.72        1.50        (0.80                   (0.80            9.88        9.65   

2011

    10.13        0.55        (0.72     (0.17     (0.79                   (0.79     0.01        9.18        8.05   

 

(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) After expense reimbursement from the Adviser, where applicable. As of June 30, 2011, the Adviser is no longer reimbursing the Fund for any fees or expenses.
(d)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable (as described in Note 9 – Borrowing Arrangements).
    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:

 

Credit Strategies Income (JQC)   Ratios of Dividends Expense
on Securities Sold Short
to Average Net Assets Applicable
to Common Shares(i)
    Ratios of Borrowings
Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

  

2016

        1.01

2015

           0.66   

2014

           0.52   

2013(j)

           0.55 *** 

Year Ended 12/31:

  

2012

    **      0.58   

2011

    **      0.43   

 

  88      NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(d)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income Loss(f)
    Expenses     Net
Investment
Income Loss(f)
    Portfolio
Turnover
Rate(h)
 
                                                             
             
  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 %(e)      5.85 %(e)      65   
  7.32        8.80        1,380,261        1.77 ***      7.22 ***      N/A        N/A        44   
             
  16.80        30.55        1,345,657        1.86        8.07        N/A        N/A        127   
  (1.70)        0.24        1,250,245        1.70        5.44        1.65     5.49     37   

 

(e) 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.
(f) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) to
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(g)
 

Year Ended 7/31:

  

2016

   

2015

      

2014

      

2013(j)

      

Year Ended 12/31:

 

2012

    ** 

2011

    ** 
 

 

(g) The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.
(h) 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.
(i) Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.
(j) For the seven months ended July 31, 2013.
* Rounds to less than $0.01 per share.
** Rounds to less than 0.01%.
*** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     89   


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
       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
 

Senior Income (NSL)

  

                                                      

Year Ended 7/31:

  

                        

2016

  $ 101,000         $ 2,788         $ 45,000         $ 278,816         $         $         $ 2.79   

2015

    112,500           2,622           58,000           262,188                               2.62   

2014

    112,000           2,706           58,000           270,640                               2.71   

2013

    123,000           3,342                                                     

2012

    100,000           3,319                                                     

Floating Rate Income (JFR)

  

                                                      

Year Ended 7/31:

  

                        

2016

    240,800           2,797           108,000           279,652                               2.80   

2015

    270,300           2,619           139,000           261,935                               2.62   

2014

    269,000           2,702           139,000           270,241                               2.70   

2013

    295,200           3,342                                                     

2012

    249,200           3,296                                                     

Floating Rate Income Opportunity (JRO)

  

                                                      

Year Ended 7/31:

  

                        

2016

    166,800           2,800           75,000           279,979                               2.80   

2015

    188,800           2,617           98,000           261,691                               2.62   

2014

    188,000           2,706           98,000           270,554                               2.71   

2013

    201,900           3,388                                                     

2012

    159,900           3,314                                                     

Short Duration Credit Opportunities (JSD)

  

                                                      

Year Ended 7/31:

  

                        

2016

    64,000           2,783                               35,000           2,783           2.78   

2015

    85,200           3,207                                                     

2014

    85,000           3,313                                                     

2013

    85,000           3,365                                                     

2012

    85,000           3,296                                                     

Credit Strategies Income (JQC)

  

                                                      

Year Ended 7/31:

  

                        

2016

    561,000           3,238                                                     

2015

    640,000           3,101                                                     

2014

    606,000           3,304                                                     

2013(a)

    561,000           3,460                                                     

Year Ended 12/31:

  

                        

2012

    561,000           3,399                                                     

2011

    517,000           3,418                                                     

 

(a) For the seven months ended July 31, 2013.

 

See accompanying notes to financial statements.

 

  90      NUVEEN


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) (“Senior Income (NSL)”)

 

    Nuveen Floating Rate Income Fund (JFR) (“Floating Rate Income (JFR)”)

 

    Nuveen Floating Rate Income Opportunity Fund (JRO) (“Floating Rate Income Opportunity (JRO)”)

 

    Nuveen Short Duration Credit Opportunities Fund (JSD) (“Short Duration Credit Opportunities (JSD)”)

 

    Nuveen Credit Strategies Income Fund (JQC) (“Credit Strategies Income (JQC)”)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO), Short Duration Credit Opportunities (JSD) and Credit Strategies Income (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, 2016, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31, 2016 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). Nuveen is an operating division of TIAA Global Asset Management. 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

Senior Income’s (NSL) 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 and Other Transactions with Affiliates) 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.

Floating Rate Income’s (JFR) 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.

Floating Rate Income Opportunity’s (JRO) 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.

Short Duration Credit Opportunities’ (JSD) 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

 

NUVEEN     91   


Notes to Financial Statements (continued)

 

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. 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.

Credit Strategies Income’s (JQC) 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.

Effective September 30, 2015, 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:

 

     Senior
Income
(NSL)
     Floating
Rate Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short
Duration Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Outstanding when-issued/delayed delivery purchase commitments

  $ 17,688,036       $ 41,540,783       $ 27,205,562       $ 12,223,168       $ 108,303,150   

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.

Dividends and Distributions to Common Shareholders

Dividends from net investment income to common shareholders 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.

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.

 

  92      NUVEEN


 

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 reporting 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 Funds’ Board of Trustees (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 an independent 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.

Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

 

NUVEEN     93   


Notes to Financial Statements (continued)

 

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:

 

Senior Income (NSL)    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 348,121,496       $ 200       $ 348,121,696   

Common Stocks**

     3,316,962         1,926,040         ***       5,243,002   

$25 Par (or similar) Retail Preferred**

             435                 435   

Corporate Bonds

             43,567,404                 43,567,404   

Short-Term Investments:

           

Repurchase Agreements

             15,887,007                 15,887,007   

Total

   $ 3,316,962       $ 409,502,382       $ 200       $ 412,819,544   
Floating Rate Income (JFR)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 803,055,743       $ 563       $ 803,056,306   

Common Stocks**

     5,054,292         4,187,780         1         9,242,073   

$25 Par (or similar) Retail Preferred**

             2,747                 2,747   

Convertible Bonds

             752,250                 752,250   

Corporate Bonds

             91,953,183                 91,953,183   

Asset-Backed Securities

             40,391,616                 40,391,616   

Investment Companies

     10,969,648                         10,969,648   

Short-Term Investments:

           

Repurchase Agreements

             31,702,838                 31,702,838   

Total

   $ 16,023,940       $ 972,046,157       $ 564       $ 988,070,661   
Floating Rate Income Opportunity (JRO)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests**

   $       $ 554,050,165       $ 312       $ 554,050,477   

Common Stocks**

     4,503,056         3,795,735         1         8,298,792   

$25 Par (or similar) Retail Preferred**

             869                 869   

Convertible Bonds

             486,750                 486,750   

Corporate Bonds

             72,677,127                 72,677,127   

Asset-Backed Securities

             26,714,075                 26,714,075   

Short-Term Investments:

           

Repurchase Agreements

             24,416,875                 24,416,875   

Total

   $ 4,503,056       $ 682,141,596       $ 313       $ 686,644,965   

 

  94      NUVEEN


 

Short Duration Credit Opportunities (JSD)    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $       $ 239,970,367       $       $ 239,970,367   

Common Stocks**

     36,174         1,043,902                 1,080,076   

Corporate Bonds

             29,059,243                 29,059,243   

Short-Term Investments:

           

Repurchase Agreements

             7,550,711                 7,550,711   

Investments in Derivatives:

           

Interest Rate Swaps****

             (371,936      383,024         11,088   

Credit Default Swaps****

             (158,625              (158,625

Total

   $ 36,174       $ 277,093,662       $ 383,024       $ 277,512,860   
Credit Strategies Income (JQC)                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $       $ 1,494,076,620       $       $ 1,494,076,620   

Common Stocks**

     1,435,643         10,633,958         ***       12,069,601   

Exchange-Traded Funds

     67,835,839                         67,835,839   

Convertible Preferred Securities

     8,972,018                         8,972,018   

Corporate Bonds

             313,749,996                 313,749,996   

Short-Term Investments:

           

Repurchase Agreements

             104,537,954                 104,537,954   

Investments in Derivatives:

           

Credit Default Swaps****

             454,325                 454,325   

Total

   $ 78,243,500       $ 1,923,452,853       $       $ 2,001,696,353   
* Refer to the Fund’s Portfolio of Investments for industry classifications.
** Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3.
*** Value equals zero as of the end of the reporting period.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:

 

  (i) If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.

 

  (ii) If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

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.

 

NUVEEN     95   


Notes to Financial Statements (continued)

 

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.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following table presents the repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

 

Fund    Counterparty    Short-Term
Investments, at Value
       Collateral
Pledged (From)
Counterparty*
       Net
Exposure
 
Senior Income (NSL)   

Fixed Income Clearing Corporation

   $ 15,887,007         $ (15,887,007      $   
Floating Rate Income (JFR)   

Fixed Income Clearing Corporation

     31,702,838           (31,702,838          
Floating Rate Income Opportunity (JRO)   

Fixed Income Clearing Corporation

     24,416,875           (24,416,875          
Short Duration Credit Opportunities (JSD)   

Fixed Income Clearing Corporation

     7,550,711           (7,550,711          
Credit Strategies Income (JQC)   

Fixed Income Clearing Corporation

     104,537,954           (104,537,954          
* As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements.

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.

 

  96      NUVEEN


 

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which 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 net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net)” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.

During the current fiscal period, Short Duration Credit Opportunities (JSD) used interest rate swaps in which the 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 the Fund’s floating rate leverage (bank borrowings) to fixed rate through the maturity date of the swap. The Fund also entered into a cancellable interest rate swap in which the Fund 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 Fund 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:

 

     Short
Duration Credit
Opportunities
(JSD)
 

Average notional amount of interest rate swap contracts outstanding*

  $ 38,500,000   
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

 

NUVEEN     97   


Notes to Financial Statements (continued)

 

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 the Fund has bought (sold) protection in a credit default swap, upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) or made 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 (, net)” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit a Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net)” as described in the preceding paragraph. The 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, Short Duration Credit Opportunities (JSD) and Credit Strategies Income (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:

 

     Short
Duration Credit
Opportunities
(JSD)
    Credit
Strategies
Income
(JQC)
 

Average notional amount of credit default swap contracts outstanding*

  $ 7,700,000      $ 6,000,000   
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

 

  98      NUVEEN


 

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  
Short Duration Credit Opportunities (JSD)   
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net    $ (371,936    

   $   
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net      383,024       

       
Credit    Swaps (OTC Uncleared)                     Unrealized depreciation on credit default swaps^      (158,625
Total             $ 11,088                   $ (158,625
Credit Strategies Income (JQC)   
Credit    Swaps (OTC Cleared)   Receivable for variation margin on swap contracts**^    $ 454,325                 $   
** 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 tables present the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund   Counterparty   Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
    Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
    Amounts
Netted on
Statement of
Assets and
Liabilities
    Net Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
Short Duration Credit              
Opportunities (JSD)  

Morgan Stanley Capital Services LLC

  $ 383,024      $ (371,936   $ (371,936   $ 11,088      $      $ 11,088   

 

Fund   Counterparty   Gross
Unrealized
Appreciation on
Credit Default
Swaps***
    Gross
Unrealized
(Depreciation) on
Credit Default
Swaps***
    Amounts
Netted on
Statement of
Assets and
Liabilities
    Net Unrealized
Appreciation
(Depreciation) on
Credit Default
Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
Short Duration Credit              
Opportunities (JSD)  

JPMorgan Chase Bank, N.A.

  $            —      $ (78,357   $          —      $ (78,357   $      $ (78,357
 

Citibank, National Association

           (15,952            (15,952            (15,952
   

Goldman Sachs Bank USA

           (64,316            (64,316            (64,316
Total       $      $ (158,625   $      $ (158,625   $      $ (158,625
*** 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
 
Short Duration Credit Opportunities (JSD)                    
     Credit      Swaps      $ (287,967      $ (262,425
       Interest rate      Swaps        (123,278        313,116   
Total                    $ (411,245      $ 50,691   
Credit Strategies Income (JQC)                    
       Credit      Swaps      $ 115,868         $ 454,325   

 

NUVEEN     99   


Notes to Financial Statements (continued)

 

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund 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 the Funds to issue additional common shares through an equity shelf program (“Shelf Offering”), which became effective with the SEC during a 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 the Fund’s NAV per common share. In the event each Fund’s Shelf Offering registration is no longer current, the Funds 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 current and prior fiscal periods were as follows:

 

     Short Duration
Credit Opportunities
(JSD)
     Credit Strategies
Income
(JQC)
 
      Year Ended
7/31/16
     Year Ended
7/31/15*
     Year Ended
7/31/16
     Year Ended
7/31/15*
 

Additional authorized common shares

             1,000,000                 13,600,000   

Common shares sold

                               

Offering proceeds, net of offering costs

   $       $       $       $   
* Represents authorized common shares for the period August 1, 2014 through November 30, 2014.

Costs incurred by the Funds in connection with their Shelf Offerings were recorded as a deferred charge and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities. The deferred asset is reduced during the one-year period that additional common shares are sold by reducing the proceeds from such sales and is recognized as a component of “Proceeds from shelf offering, net of offering costs and adjustments” on the Statement of Changes in Net Assets. Any remaining deferred charges at the end of the one-year life of the Shelf Offering period will be expensed accordingly, as well as any additional Shelf Offering costs the Funds may incur. As Shelf Offering costs are expensed they are recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares for the following Funds during the current and prior fiscal period were as follows:

 

     Senior Income
(NSL)
 
      Year Ended
7/31/16
     Year Ended
7/31/15
 

Common shares repurchased and retired

     (5,000        

Weighted average common share:

     

Price per share repurchased and retired

   $ 5.43       $     —   

Discount per share repurchased and retired

     15.42     

 

  100      NUVEEN


 

                   Credit Strategies
Income
(JQC)
 
                      Year Ended
7/31/16
     Year Ended
7/31/15
 

Common shares repurchased and retired

                       (304,100      (144,208

Weighted average common share:

           

Price per share repurchased and retired

         $ 7.50       $ 8.57   

Discount per share repurchased and retired

                       16.69      13.77

Preferred Shares

Term Preferred Shares

The following Fund has issued and has outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting period, the outstanding Term Preferred, at liquidation preference, for the Fund was as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 
Short Duration Credit Opportunities (JSD)     2020           35,000         $ 35,000,000   

The 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 the 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. The 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 the Fund’s series of Term Preferred are as follows:

 

Fund   Series        Term
Redemption Date
       Optional
Redemption Premium
Expiration Date
 
Short Duration Credit Opportunities (JSD)     2020           November 1, 2020           October 31, 2016   

The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for the Fund during the current fiscal period were as follows:

 

     Duration Credit
Opportunities
(JSD)*
 

Average liquidation preference of TPS outstanding

  $ 35,000,000   

Annualized dividend rate

    1.51
* For the period November 16, 2015 (first issuance of shares) through July 31, 2016.

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”), at liquidation preference” 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.

The Fund incurred offering costs of $898,949 in connection with its issuance of Series 2020 Term Preferred, which was recorded as a deferred charge and is being amortized over the life of the shares. These offering costs are recognized as components of “Deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

 

NUVEEN     101   


Notes to Financial Statements (continued)

 

Variable Rate Term Preferred Shares

The following Funds have issued and have outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation preference per share. VRTP Shares are issued via private placement and are not publicly available.

As of the end of the reporting period, VRTP Shares outstanding, at liquidation preference, for each Fund was as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 
Senior Income (NSL)     C-4           450         $ 45,000,000   
Floating Rate Income (JFR)     C-4           1,080         $ 108,000,000   
Floating Rate Income Opportunity (JRO)     C-4           750         $ 75,000,000   

Each Fund is obligated to redeem its VRTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed by the Fund. VRTP Shares are subject to optional and mandatory redemption in certain circumstances. The VRTP Shares may be redeemed at the option of each Fund, subject to payment of premium for approximately one year following the date of issuance (“Premium Expiration Date”), and at the redemption price per share thereafter. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends. The Term Redemption Date and Premium Expiration Date for each Fund’s VRTP Shares are as follows:

 

Fund   Series        Term
Redemption Date
       Premium
Expiration Date
 
Senior Income (NSL)     C-4           February 1, 2017           January 31, 2015   
Floating Rate Income (JFR)     C-4           February 1, 2017           January 31, 2015   
Floating Rate Income Opportunity (JRO)     C-4           February 1, 2017           January 31, 2015   

The average liquidation preference of VRTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

 

     Senior
Income
(NSL)
       Floating
Rate Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
 

Average liquidation preference of VRTP Shares outstanding

  $ 53,560,109         $ 128,412,568         $ 90,144,809   

Annualized dividend rate

    2.00        2.00        2.00

VRTP Shares are subject to restrictions on transfer, generally do not trade, and market quotations are generally not available. VRTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VRTP Shares is expected to be approximately their liquidation preference so long as the fixed “spread” on the VRTP Shares 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 Funds’ Adviser has determined that the fair value of VRTP Shares is approximately their liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of VRTP Shares is a liability and is recognized as “Variable Rate Term Preferred (“VRTP”) Shares, at liquidation preference” on the Statement of Assets and Liabilities.

Dividends on VRTP Shares (which are treated as interest payments for financial reporting purposes) are set monthly. Unpaid dividends on VRTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred by the Funds in connection with each Fund’s offering of VRTP Shares were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Deferred offering costs” on the Statement of Assets and Liabilities and “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:

 

    Fiscal Year Ended
July 31, 2016
 
Short Duration Credit Opportunities (JSD)     Series           Shares           Amount   

Term Preferred issued

    2020           35,000         $ 35,000,000   

 

  102      NUVEEN


 

Transactions in VRTP Shares for the Funds, where applicable, were as follows:

 

    Fiscal Year Ended
July 31, 2016
 
Senior Income (NSL)     Series           Shares           Amount   

VRTP Shares redeemed

    C-4           (130      $ (13,000,000
    Fiscal Year Ended
July 31, 2016
 
Floating Rate Income (JFR)     Series           Shares           Amount   

VRTP Shares redeemed

    C-4           (310      $ (31,000,000
    Fiscal Year Ended
July 31, 2016
 
Floating Rate Income Opportunity (JRO)     Series           Shares           Amount   

VRTP Shares redeemed

    C-4           (230      $ (23,000,000

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:

 

     Senior
Income
(NSL)
       Floating
Rate
Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
    Short Duration
Credit
Opportunities
(JSD)
       Credit
Strategies
Income
(JQC)
 

Purchases

  $ 119,477,501         $ 253,885,863         $ 182,804,758      $ 108,352,339         $ 861,055,362   

Sales and maturities

    140,660,982           285,285,558           217,343,180        93,226,476           958,439,442   

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 Senior Income (NSL)). To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.

As of July 31, 2016, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives, where applicable), as determined on a federal income tax basis, were as follows:

 

     Senior
Income
(NSL)
       Floating
Rate
Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
       Short Duration
Credit
Opportunities
(JSD)
       Credit
Strategies
Income
(JQC)
 

Cost of investments

  $ 438,901,501         $ 1,050,710,213         $ 731,038,069         $ 290,704,693         $ 2,116,587,857   

Gross unrealized:

                     

Appreciation

  $ 6,908,288         $ 12,938,840         $ 10,328,883         $ 3,425,625         $ 17,796,083   

Depreciation

    (32,990,245        (75,578,392        (54,721,987        (16,469,921        (133,141,912

Net unrealized appreciation (depreciation) of investments

  $ (26,081,957      $ (62,639,552      $ (44,393,104      $ (13,044,296      $ (115,345,829

 

NUVEEN     103   


Notes to Financial Statements (continued)

 

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and distribution reallocations, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2016, the Funds’ tax year end, as follows:

 

        Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Paid-in-surplus

     $ (246,607    $ (536,128    $ (398,785    $ (125,370    $ (150,044,569

Undistributed (Over-distribution of) net investment income

       242,343         680,879         513,778         (140,186      1,927,869   

Accumulated net realized gain (loss)

       4,264         (144,751      (114,993      265,556         148,116,700   

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2016, the Funds’ tax year end, were as follows:

 

        Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Undistributed net ordinary income1

     $ 2,607,282       $ 6,045,001       $ 4,531,811       $ 600,115       $ 11,101,941   

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 1, 2016, paid on August 1, 2016. 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, 2016 and July 31, 2015 was designated for purposes of the dividends paid deduction as follows:

 

2016      Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Distributions from net ordinary income2

     $ 17,339,780       $ 42,391,135       $ 31,080,403       $ 12,297,700       $ 83,039,736   

Distributions from net long-term capital gains3

                               93,282           

 

2015

     Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Distributions from net ordinary income2

     $ 17,229,072       $ 42,132,251       $ 30,789,389       $ 11,750,710       $ 74,666,039   

Distributions from net long-term capital gains

           —                         379,786           
2  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
3  The Funds designate as long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852 (b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended July 31, 2016.

As of July 31, 2016, the Funds’ tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

        Senior
Income
(NSL)
     Floating
Rate
Income
(JFR)
     Floating
Rate Income
Opportunity
(JRO)
     Short Duration
Credit
Opportunities
(JSD)
     Credit
Strategies
Income
(JQC)
 

Expiration:

                

July 31, 2017

     $ 6,925,213       $ 9,819,992       $ 503,687       $         $289,143,715   

July 31, 2018

       29,264,459         67,020,214         46,332,843                 8,513,146   

Not subject to expiration

       2,641,727         2,638,853         2,257,033         2,361,607         22,842,170   

Total

     $ 38,831,399       $ 79,479,059       $ 49,093,563       $ 2,361,607         $320,499,031   

As of July 31, 2016, the Funds’ tax year end, $150,044,543 of Credit Strategies Income’s (JQC) capital loss carryforward expired.

 

  104      NUVEEN


 

7. Management Fees and Other Transactions with Affiliates

Management Fees

Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:

 

Average Daily Managed Assets*      Senior Income (NSL)  

For the first $1 billion

       0.6500

For the next $1 billion

       0.6375   

For the next $3 billion

       0.6250   

For the next $5 billion

       0.6000   

For managed assets over $10 billion

       0.5750   

 

Average Daily Managed Assets*   Floating Rate Income (JFR)
Floating Rate Income Opportunity (JRO)
    Short Duration Credit Opportunities (JSD)     Credit Strategies Income (JQC)  

For the first $500 million

    0.6500     0.6500     0.6800

For the next $500 million

    0.6250        0.6375        0.6550   

For the next $500 million

    0.6000        0.6250        0.6300   

For the next $500 million

    0.5750        0.6125        0.6050   

For managed assets over $2 billion

    0.5500        0.6000        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 Managed Asset Breakpoint Level*      Effective Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996   

$57 billion

       0.1989   

$60 billion

       0.1961   

$63 billion

       0.1931   

$66 billion

       0.1900   

$71 billion

       0.1851   

$76 billion

       0.1806   

$80 billion

       0.1773   

$91 billion

       0.1691   

$125 billion

       0.1599   

$200 billion

       0.1505   

$250 billion

       0.1469   

$300 billion

       0.1445   
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of July 31, 2016, the complex-level fee rate for each Fund was 0.1610%.

Other Transactions with Affiliates

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 Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

 

NUVEEN     105   


Notes to Financial Statements (continued)

 

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 Funds had no such unfunded senior loan commitments.

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. Borrowing Arrangements

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

Borrowings Information for Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO)

The following Funds have entered into a revolving credit and security agreement with a bank and its affiliated conduit lenders through January 31, 2017. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

     Senior
Income
(NSL)
       Floating
Rate Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
 

Maximum commitment amount

  $ 116,000,000         $ 276,000,000         $ 192,000,000   

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

     Senior
Income
(NSL)
       Floating
Rate Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
 

Outstanding balance on Borrowings

  $ 101,000,000         $ 240,800,000         $ 166,800,000   

Interest charged on these Borrowings is based on the conduit’s commercial paper issuance rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount. The Funds also accrued an upfront fee of 0.15% per annum on the maximum commitment amount.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     Senior
Income
(NSL)
       Floating
Rate Income
(JFR)
       Floating
Rate Income
Opportunity
(JRO)
 

Average daily balance outstanding

  $ 99,435,792         $ 238,186,612         $ 164,933,880   

Average annual interest rate

    1.28%           1.28%           1.28%   

Borrowings Information for Short Duration Credit Opportunities (JSD)

The Fund has entered into a 364-day revolving line of credit. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Maximum commitment amount

  $ 85,200,000   

 

  106      NUVEEN


 

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Outstanding balance on Borrowings

  $ 64,000,000   

During the period August 1, 2015 through October 29, 2015, interest was charged on the these Borrowings at a rate per annum equal to the greater of Overnight LIBOR or the Federal Funds Rate, plus 0.75%. The Fund also accrued an upfront fee of 0.10% per annum on the maximum commitment amount of the Borrowings and a 0.10% per annum on the undrawn portion of the Borrowings of the maximum commitment amount.

Effective October 30, 2015, the interest charged on these Borrowings is at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrues an amendment fee of 0.10% per annum on the maximum commitment amount of the Borrowings and a 0.15% per annum on the undrawn portion if less than 50% of the maximum commitment, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue a 0.25% per annum on the portion of the Borrowings.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     Short
Duration
Credit
Opportunities
(JSD)
 

Average daily balance outstanding

  $ 71,279,781   

Average annual interest rate

    1.17%   

On August 6, 2015, Short Duration Credit Opportunities (JSD) renewed its Borrowings through September 3, 2015. On September 4, 2015, the Fund renewed its Borrowings through October 5, 2015. On October 5, 2015, the Fund renewed its Borrowings through October 30, 2015. On October 30, 2015 the Fund renewed its Borrowings through August 4, 2016. The Fund accrued a 0.10% amendment fee based on the maximum commitment amount of the Borrowings for each renewal, except for the renewal on October 5, 2015.

Borrowings Information for Credit Strategies Income (JQC)

The Fund has entered into a borrowing agreement with a bank and its affiliate. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

Credit

Strategies

Income

(JQC)

 

Maximum commitment amount

  $ 640,000,000   

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     Credit
Strategies
Income
(JQC)
 

Outstanding balance on Borrowings

  $ 561,000,000   

Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.15%. The Fund also accrues a 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

 

NUVEEN     107   


Notes to Financial Statements (continued)

 

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     Credit
Strategies
Income
(JQC)
 

Average daily balance outstanding

  $ 587,907,104   

Average annual interest rate

    1.64

Reverse Repurchase Agreements

During the current fiscal period, Credit Strategies Income (JQC) entered into reverse repurchase agreements as a means of leverage. In a reverse repurchase agreement, the Fund sells to the counterparty a security or securities that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will segregate assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Fund      Coupon       

Proceeds

Amount

       Maturity        Value        Value and
Accrued Interest
 
Credit Strategies Income (JQC)        1.78      $ (145,000,000        4/15/20         $ (145,000,000      $ (145,229,113

During the current fiscal period, the average daily balance outstanding and weighted average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

       Credit
Strategies
Income
(JQC)
 

Average daily balance outstanding

       $153,196,721   

Weighted average interest rate

       1.64

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

  $ (145,229,113      $ 145,229,113         $         —   
* Represents gross value and accrued interest for the counterparty as reported in the preceding table.
** As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements.

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest charged on the amount borrowed and other fees incurred on the Borrowings are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

 

  108      NUVEEN


 

10. Subsequent Events

Management Fees

Effective August 1, 2016, the annual fund-level fee for Senior Income (NSL) and Short Duration Credit Opportunities (JSD), payable monthly, will be calculated according to the following schedule:

 

Average Daily Managed Assets      Senior Income (NSL)
Fund-level Fee
     Short Durtion Credit Opportunities (JSD)
Fund-level Fee
 

For the first $500 million

       0.6500      0.6500

For the next $500 million

       0.6250         0.6250   

For the next $500 million

       0.6000         0.6000   

For the next $500 million

       0.5750         0.5750   

For managed assets over $2 billion

       0.5500         0.5500   

Borrowing Arrangements

On August 4, 2016, Short Duration Credit Opportunities (JSD) renewed its Borrowings through August 3, 2017. The Fund decreased its maximum commitment amount and accrued a 0.10% amendment fee based on the new maximum commitment amount of the Borrowings.

Subsequent to the current fiscal period, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) increased the outstanding balance on their Borrowings to $110,000,000, $262,400,000 and $181,800,000, respectively.

 

NUVEEN     109   


Additional

Fund Information (Unaudited)

 

Board of Trustees          
William Adams IV*  

Margo Cook*

  Jack B. Evans   William C. Hunter   David J. Kundert  

Albin F. Moschner

John K. Nelson   William J. Schneider   Judith M. Stockdale   Carole E. Stone   Terence J. Toth   Margaret L Wolff

 

* Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Drive

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

State Street Bank
& Trust Company

Nuveen Funds

P.O. Box 43071

Providence, RI 02940-3071

(800) 257-8787

Distribution Information: The following Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (“DRD”) for corporations and its percentage as qualified dividend income (“QDI”) for individuals under Section 1 (h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

 

     JQC  

% QDI

    3.84%   

% DRD

    3.18%   

The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2016:

 

     NSL        JFR        JRO        JSD        JQC  

% of Interest-Related Dividends

    95%           74%           78%           98%           82%   

 

 

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

    5,000                                         304,100   

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.

 

  110      NUVEEN


Glossary of Terms

Used in this Report (Unaudited)

 

n   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.

 

n   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.

 

n   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.

 

n   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.

 

n   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.

 

n   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.

 

n   Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

n   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.

 

n   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.

 

NUVEEN     111   


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.

 

 

  112      NUVEEN


Annual Investment

Management Agreement Approval Process (Unaudited)

 

The Board of Trustees of each Fund (the “Board,” and each Trustee a “Board Member”), including the Board Members who are not parties to the Funds’ advisory or sub-advisory agreements or “interested persons” of any such parties (the “Independent Board Members”), is responsible for overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Symphony Asset Management LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board reviews each Investment Management Agreement and Sub-Advisory Agreement on behalf of each Fund and votes to determine whether the respective Advisory Agreement should be renewed. Accordingly, at an in-person meeting held on May 24-26, 2016 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.

During the year, the Board and its Committees met regularly to receive materials and discuss a variety of topics impacting the Funds including, among other things, overall market conditions and market performance, Fund investment performance, brokerage execution, valuation of securities, compliance matters, securities lending, leverage matters, risk management and ongoing initiatives. The Board had established several standing Committees, including the Open-end Fund Committee and Closed-end Fund Committee which permit the Board Members to delve further into the topics particularly relevant to the respective product line and enhance the Board’s effectiveness and oversight of the Funds. The Board also seeks to meet with the Sub-Adviser and its investment team at least once over a multiple year rotation through site visits. The information and knowledge the Board gained throughout the year from the Board and Committee meetings, site visits and the related materials were relevant to the Board’s evaluation of the Advisory Agreements, and the Board took such information into account in its review of the Advisory Agreements.

In addition to the materials received throughout the year, the Board received additional materials prepared specifically for its annual review of the Advisory Agreements in response to a request by independent legal counsel on behalf of the Independent Board Members. The materials addressed a variety of topics, including a description of the services provided by the Adviser and the Sub-Adviser (each, a “Fund Adviser”); a review of fund performance with a detailed focus on any performance outliers; an analysis of the investment teams; an analysis of the fees and expense ratios of the Funds, including information comparing such fees and expenses to that of peer groups; an assessment of shareholder services for the Funds and of the performance of certain service providers; a review of initiatives instituted or continued during the past year; and a review of premium/discount trends and leverage management as well as information regarding the profitability of the Fund Advisers, the compensation of portfolio managers, and compliance and risk matters.

As part of its annual review, the Board held a separate meeting on April 12-13, 2016 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser examining, among other things, the team’s assets under management, investment performance, investment approach, and the stability and structure of the Sub-Adviser’s organization and investment team. During the review, the Independent Board Members requested and received additional information from management. Throughout the year and throughout their review of the Advisory Agreements, the Independent Board Members were assisted by independent legal counsel. The Independent Board Members met separately with independent legal counsel without management present and received a memorandum from such counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Independent Board Members’ review of the Advisory Agreements reflected an ongoing process that incorporated the information and considerations that occurred over the years, including the most recent year, as well as the information specifically furnished for the renewal process. In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as controlling, but rather the decision reflected the comprehensive consideration of all the information presented. The following summarizes the principal factors, but not all the factors, the Board considered in its review of the Advisory Agreements and its conclusions.

 

NUVEEN     113   


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

 

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 initiatives undertaken during the past year by the Adviser. The Board recognized the comprehensive set of services the Adviser provided to manage and operate the Nuveen funds, including (a) product management (such as setting dividends, positioning the product in the marketplace, maintaining and enhancing shareholder communications and reporting to the Board); (b) investment services (such as overseeing the Sub-Adviser and other service providers; analyzing investment performance and risks; overseeing risk management and disclosure; developing and interpreting investment policies; assisting in the development of products; helping to prepare financial statements and marketing disclosures; and overseeing trade execution); (c) fund administration (such as helping to prepare fund tax returns and complete other tax compliance matters; and helping to prepare regulatory filings and shareholder reports); (d) fund Board administration (such as preparing Board materials and organizing and providing assistance for Board meetings); (e) compliance (such as helping to devise and maintain the funds’ compliance program and related testing); (f) legal support (such as helping to prepare registration statements and proxy statements, interpreting regulations and policies and overseeing fund activities); and (g) providing leverage management.

The Board reviewed the continued investment the Adviser had made in its business to continue to strengthen the breadth and quality of its services to the benefit of the Nuveen funds. The Board noted the Adviser’s additional staffing in key areas that support the funds and the Board, including in investment services, operations, closed-end fund/structured products, fund governance, compliance, fund administration, product management, and information technology. Among the enhancements to its services, the Board recognized the Adviser’s (a) expanded activities and support required as a result of regulatory developments, including in areas of compliance and reporting; (b) expanded efforts to support leverage management with a goal of seeking the most effective structure for fund shareholders given appropriate risk levels and regulatory constraints; (c) increased support for dividend management; (d) continued investment in its technical capabilities as the Adviser continued to build out a centralized fund data platform, enhance mobility and remote access capabilities, rationalize and upgrade software platforms, and automate certain regulatory liquidity determinations; (e) continued efforts to rationalize the product line through mergers, liquidations and re-positioning of Nuveen funds with the goal of increasing efficiencies, reducing costs, improving performance and addressing shareholder needs; (f) continued efforts to develop new lines of business designed to enhance the Nuveen product line and meet investor demands; and (g) continued commitment to enhance risk oversight, including the formation of the operational risk group to provide operational risk assessment, the access to platforms which provide better risk reporting to support investment teams, and the development of a new team to initially review new products and major product initiatives. The Board also recognized the Adviser’s efforts to renegotiate certain fees of other service providers which culminated in reduced expenses for all funds for custody and accounting services without diminishing the breadth and quality of the services provided. The Board considered the Chief Compliance Officer’s report regarding the Adviser’s compliance program, the Adviser’s continued development, execution and management of its compliance program, and the additions to the compliance team to support the continued growth of the Nuveen fund family and address regulatory developments.

The Board also considered information highlighting the various initiatives that the Adviser had implemented or continued during the year to enhance or support the closed-end fund product line. The Board noted the Adviser’s continued efforts during 2015 (a) to rationalize the product line through mergers designed to help reduce product overlap, offer shareholders the potential for lower fees and enhanced investor acceptance, and address persistent discounts in the secondary market; (b) to oversee and manage leverage as the Adviser facilitated the rollover of existing facilities and conducted negotiations for improved terms and pricing to reduce leverage costs; (c) to conduct capital management services including share repurchases and/or share issuances throughout the year and monitoring market conditions to capitalize on such opportunities for the closed-end funds; and (d) to implement data-driven market analytics which, among other things, provided a better analysis of the shareholder base, enhanced the ability to monitor the closed-end funds versus peers and helped to understand trading discounts. The Board also considered the quality and breadth of Nuveen’s investment relations program through which Nuveen seeks to build awareness of, and educate investors and financial advisers with respect to, Nuveen closed-end funds which may help to build an active secondary market for the closed-end fund product line.

 

  114      NUVEEN


 

As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. The Board noted that the Adviser recommended the renewal of each Sub-Advisory Agreement.

Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.

 

B.   The Investment Performance of the Funds and Fund Advisers

The Board considered the long-term and short-term performance history of each Fund. As noted above, the Board reviewed fund performance at its quarterly meetings throughout the year and took into account the information derived from the discussions with representatives of the Adviser about fund performance at these meetings. The Board also considered the Adviser’s analysis of fund performance with particular focus on any performance outliers and the factors contributing to such performance and any steps the investment team had taken to address performance concerns. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2015 (or for such shorter periods available for Nuveen Short Duration Credit Opportunities Fund (the “Short Duration Fund”), which did not exist for part of the foregoing time frame), as well as performance information reflecting the first quarter of 2016.

In evaluating performance information, the Board recognized the following factors may impact the performance data as well as the consideration to be given to particular performance data:

 

    The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results.

 

    Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance.

 

    Shareholders evaluate performance based on their own holding period which may differ from the performance period reviewed by the Board, leading to different performance results.

 

    The Board recognized the difficulty in establishing appropriate peer groups and benchmarks for certain funds, including Nuveen Credit Strategies Income Fund (the “Credit Strategies Fund”). The Board noted that management classified the Performance Peer Groups as low, medium and high in relevancy and took the relevancy of the Performance Peer Group into account when considering the comparative performance data. If the Performance Peer Group differed somewhat from a fund, the Board recognized that the comparative performance data may be of limited value. The Board also recognized that each fund operated pursuant to its own investment objective(s), parameters and restrictions which may differ from that of the Performance Peer Group or benchmark and that these variations lead to differences in performance results. Further, for funds that utilized leverage, the Board understood that leverage during different periods could provide both benefits and risks to a portfolio as compared to an unlevered benchmark.

In addition to the foregoing, the Independent Board Members continued to recognize the importance of secondary market trading for the shares of closed-end funds. At the quarterly meetings as well as the May Meeting, the Independent Board Members (either at the Board level or through the Closed-end Fund Committee) reviewed, among other things, the premium or discount to net asset value of the Nuveen closed-end funds as of a specified date and over various periods as well as in comparison to the premium/discount average in their respective Lipper peer category. At the May Meeting and/or prior meetings, the Independent Board Members (either at the Board level or through the Closed-end Fund Committee) reviewed, among other things, an analysis by the Adviser of the key economic, market and competitive trends that affected the closed-end fund market and Nuveen closed-end funds and considered any actions proposed periodically by the Adviser to address trading discounts of certain closed-end funds, including, among other things, share repurchases, fund reorganizations, adjusting fund investment mandates and strategies, and increasing fund awareness to investors. The Independent Board Members considered the evaluation of the premium and discount levels of the closed-end funds to be a continuing priority in their oversight of the closed-end funds.

 

NUVEEN     115   


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board was aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser and the applicable sub-adviser manage the fund, knowing the fund’s investment strategy and seeking exposure to that strategy (even if the strategy was “out of favor” in the marketplace) and knowing the fund’s fee structure.

For Nuveen Senior Income Fund (the “Senior Income Fund”), the Board noted that, although the Fund ranked in its Performance Peer Group in the fourth quartile in the one-year period, the Fund ranked in the third quartile in the three-year period and first quartile in the five-year period. In addition, although the Fund underperformed its benchmark in the one- and three-year periods, the Fund outperformed its benchmark in the five-year period. The Board determined that the Fund’s performance had been satisfactory.

For Nuveen Floating Rate Income Fund, the Board noted that the Fund ranked in its Performance Peer Group in the third quartile in the one-year period and second quartile in the three- and five-year periods and, although the Fund underperformed its benchmark in the one- and three-year periods, the Fund outperformed its benchmark in the five-year period. The Board determined that the Fund’s performance had been satisfactory.

For Nuveen Floating Rate Income Opportunity Fund, the Board noted that, although the Fund ranked in its Performance Peer Group in the fourth quartile in the one-year period, the Fund ranked in the second quartile in the three-year period and first quartile in the five-year period. In addition, although the Fund underperformed its benchmark in the one-year period, the Fund outperformed its benchmark in the three- and five-year periods. The Board determined that the Fund’s performance had been satisfactory.

For the Short Duration Fund, the Board noted that, although the Fund underperformed its benchmark in the one- and three-year periods, the Fund ranked in its Performance Peer Group in the third quartile in such periods. The Board determined that the Fund’s performance had been satisfactory.

For the Credit Strategies Fund, the Board noted that, although the Fund ranked in the fourth quartile of its Performance Peer Group and underperformed its benchmark in the one-year period, the Fund ranked in the second quartile and outperformed its benchmark in the three- and five-year periods. The Board determined that the Fund’s performance had been satisfactory.

 

C.   Fees, Expenses and Profitability
  1.   Fees and Expenses

The Board evaluated the management fees and other fees and expenses of each Fund. The Board reviewed, among other things, the gross and net management fees and net total expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and also in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) selected by an independent third-party fund data provider. The Independent Board Members also reviewed the methodology regarding the construction of the applicable Peer Universe.

In their evaluation of the management fee schedule, the Independent Board Members considered the fund-level and complex-wide breakpoint schedules, as described in further detail below. In this regard, the Board considered that management recently reviewed the breakpoint schedules for the closed-end funds which resulted in reduced breakpoints and/or new breakpoints at certain asset thresholds for numerous closed-end funds, including the Senior Income Fund and the Short Duration Fund.

In reviewing the comparative fee and expense information, the Independent Board Members recognized that various factors such as the limited size and particular composition of the Peer Universe (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe from year to year; levels of reimbursement or fee waivers; the timing of information used; the differences in the type and use of leverage; and differences in services provided can impact the usefulness of the comparative data in helping to assess the appropriateness of a fund’s fees and expenses. In addition, in reviewing a fund’s fees and expenses compared to the fees and expenses of its peers (excluding leverage costs and leveraged assets), the Board generally considered a fund’s expenses and fees to be higher if

 

  116      NUVEEN


 

they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. The Board reviewed the net expense ratio in recognition that the net expense ratio generally best represented the net experience of the shareholders of a fund as it directly reflected the costs of investing in the respective fund. The Board noted that the majority of the Nuveen funds had a net expense ratio near or below the average of the respective peers. For funds with a net expense ratio of 6 basis points or higher than their respective peer average, the Independent Board Members reviewed the reasons for the outlier status and were satisfied with the explanation for the difference or with any steps taken to address the difference.

The Independent Board Members noted that the Funds each had a net management fee and net expense ratio below their respective peer averages.

Based on their review of the fee and expense information provided, the Independent Board Members 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

The Board also reviewed information regarding the fee rates for other types of clients advised or sub-advised by the respective Fund Adviser. For the Adviser and/or its affiliated sub-advisers, such other clients may include: separately managed accounts (such as retail, institutional or wrap accounts), hedge funds, other investment companies that are not offered by Nuveen but are sub-advised by one of Nuveen’s affiliated sub-advisers, foreign investment companies offered by Nuveen, and collective investment trusts.

The Board recognized that each Fund had an affiliated sub-adviser. With respect to affiliated sub-advisers, the Board reviewed, among other things, the range of advisory fee rates and average fee rate assessed for the different types of clients. With respect to the Sub-Adviser, such other clients included equity and taxable fixed-income hedge funds and the Board reviewed the average fee rate and range of fee rates along with the performance fee assessed such clients. The Board reviewed information regarding the different types of services provided to the Funds compared to that provided to these other clients which typically did not require the same breadth of day-to-day services required for registered funds. The Board further considered information regarding the differences in, among other things, investment policies, investor profiles, and account sizes between the Nuveen funds and the other types of clients. In addition, the Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may also vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. The Independent Board Members recognized that the foregoing variations resulted in different economics among the product structures and culminated in varying management fees among the types of clients and funds.

The Board also was aware that, since the Funds had a sub-adviser, each Fund’s management fee reflected two components, the fee retained by the Adviser for its services and the fee the Adviser paid to the Sub-Adviser. The Board noted that many of the administrative services provided to support the Funds by the Adviser may not be required to the same extent or at all for the institutional clients or other clients. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members concluded such facts justify the different levels of fees.

 

  3.   Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities on an absolute basis and in comparison to other investment advisers. The Independent Board Members reviewed, among other things, Nuveen’s adjusted operating margins, the gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax) of Nuveen for each of the last two calendar years. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2015. The Independent Board Members also noted that the sub-advisory fees for the Funds are paid by the Adviser, however, the Board recognized that the Sub-Adviser is

 

NUVEEN     117   


Annual Investment Management Agreement Approval Process (Unaudited) (continued)

 

affiliated with Nuveen. In their review, the Independent Board Members recognized that profitability data is rather subjective as various allocation methodologies may be reasonable to employ but yet yield different results. The Board also reviewed the results of certain alternative methodologies. The Board considered the allocation methodology employed to prepare the profitability data as well as a summary of the refinements to the methodology that had been adopted over the years which may limit some of the comparability of Nuveen’s revenue margins over time. Two Independent Board Members also served as point persons for the Board throughout the year to review and discuss the methodology employed to develop the profitability analysis and any proposed changes thereto and to keep the Board apprised of such changes during the year. In reviewing the profitability data, the Independent Board Members noted that Nuveen’s operating margin as well as its margins for its advisory activities to the Nuveen funds for 2015 were consistent with such margins for 2014.

The Board also considered Nuveen’s adjusted operating margins compared to that of other comparable investment advisers (based on asset size and composition) with publicly available data. The Independent Board Members recognized, however, the limitations of the comparative data as the other advisers may have a different business mix, employ different allocation methodologies, have different capital structure and costs, may not be representative of the industry or other factors that limit the comparability of the profitability information. Nevertheless, the Independent Board Members noted that Nuveen’s adjusted operating margins appeared comparable to the adjusted margins of the peers.

Further, as the Adviser is a wholly-owned subsidiary of Nuveen which in turn is an operating division of TIAA Global Asset Management, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA-CREF”), the Board reviewed a balance sheet for TIAA-CREF reflecting its assets, liabilities and capital and contingency reserves for the last two calendar years to have a better understanding of the financial stability and strength of the TIAA-CREF complex, together with Nuveen.

Based on the information provided, the Independent Board Members noted that the Adviser appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds.

With respect to the Sub-Adviser, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationship with the Nuveen funds. The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2015.

In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds.

Based on their review, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s levels of profitability were reasonable in light of the respective services provided.

 

D.   Economies of Scale and Whether Fee Levels Reflect These Economies of Scale

The Independent Board Members recognized that as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized with respect to the management of the funds, and the Independent Board Members considered the extent to which these economies are shared with the funds and their shareholders. Although the Independent Board Members recognized that economies of scale are difficult to measure with precision, the Board noted that there were several acceptable means to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waiver and expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the funds. With respect to breakpoints, the Independent Board Members noted that, subject to certain exceptions, the funds in the Nuveen complex pay a management fee to the Adviser which is generally comprised of a fund-level component and complex-level component. The fund-level fee component declines as the assets of the particular fund grow and the complex-level fee component declines when eligible assets of all the funds in the Nuveen complex combined grow. With respect to closed-end funds, the Independent Board Members noted that, although such funds may from time-to-time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. The complex-wide fee arrangement was designed to capture economies of scale achieved when total fund complex assets increase, even if the assets of a particular

 

  118      NUVEEN


 

fund are unchanged or decrease. The approach reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds should benefit if these costs were spread over a larger asset base.

The Independent Board Members reviewed the breakpoint and complex-wide schedules and the material savings achieved from fund-level breakpoints and complex-wide fee reductions for the 2015 calendar year.

In addition, the Independent Board Members recognized the Adviser’s ongoing investment in its business to expand or enhance the services provided to the Nuveen funds. The Independent Board Members noted, among other things, the additions to groups who play a key role in supporting the funds including in closed-end funds/structured products, fund administration, operations, fund governance, investment services, compliance, product management, and technology. The Independent Board Members also recognized the investments in systems necessary to manage the funds including in areas of risk oversight, information technology and compliance.

Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.

 

E.   Indirect Benefits

The Independent Board Members received and considered information regarding other additional benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Funds, including compensation paid to affiliates and research received in connection with brokerage transactions (i.e., soft dollar arrangements). In this regard, the Independent Board Members noted any revenues received by affiliates of the Adviser for serving as co-manager in initial public offerings of new closed-end funds and as underwriter on shelf offerings for certain existing funds.

In addition to the above, the Independent Board Members considered that the Funds’ portfolio transactions are allocated by the Sub-Adviser and the Sub-Adviser may benefit from research received through soft-dollar arrangements. The Board noted, however, that with respect to transactions in fixed income securities, such securities generally trade on a principal basis and do not generate soft dollar credits. Although the Board recognized the Sub-Adviser may benefit from a soft dollar arrangement if it does not have to pay for this research out of its own assets, the Board also recognized that any such research may benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds.

Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.

 

F.   Other Considerations

The Independent 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.

 

NUVEEN     119   


Board

Members & Officers (Unaudited)

 

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is set at twelve, effective July 1, 2016. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent trustees”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members:         

n  WILLIAM J. SCHNEIDER

         Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of Med-America Health System and 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 60606

   Chairman and Board Member   

    
1996

Class III

          
180
           

 

n  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, The Gazette Company; Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.   

1948

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
1999

Class III

          
180
           

 

           

 

n  WILLIAM C. HUNTER

         Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.   

1948

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2003

Class I

          
180
           

 

           

 

           

 

n  DAVID J. KUNDERT

         Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013), retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible; Board member of Milwaukee Repertory Theatre (since 2016).   

1942

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2005

Class II

          
180
           

 

           

 

           

 

           

 

 

  120      NUVEEN


 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members (continued):         

n  ALBIN F. MOSCHNER(2)

         Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions with Zenith Electronics Corporation (1991-1996). Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016).   

1952

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2016

Class III

          
180
           

 

           

 

           

 

           

 

           

 

n  JOHN K. NELSON

         Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006- 2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.   

1962

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2013

Class II

          
180
           

 

           

 

           

 

           

 

           

 

           

 

           

 

n  JUDITH M. STOCKDALE

         Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).   

1947

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
1997

Class I

          
180

n  CAROLE E. STONE

         Director, Chicago Board Options Exchange, Inc. (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).   

1947

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2007

Class I

          
180

n  TERENCE J. TOTH

         Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).   

1959

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2008

Class II

          
180
           

 

           

 

           

 

           

 

           

 

           

 

 

NUVEEN     121   


Board Members & Officers (Unaudited) (continued)

 

                     

Name,

Year of Birth

& Address

   Position(s) Held
with the Funds
   Year First
Elected or
Appointed
and Term(1)
  

Principal

Occupation(s)

Including other

Directorships

During Past 5 Years

   Number
of Portfolios
in Fund Complex
Overseen by
Board Member
                     
Independent Board Members (continued):         

n  MARGARET L. WOLFF

         Member of the Board of Directors (since 2013) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College.   

1955

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2016

Class I

          
180
           

 

           

 

           

 

           

 

Interested Board Members:            

n  WILLIAM ADAMS IV(3)

         Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President, Global Structured Products (2010-2016), prior thereto, Executive Vice President, U.S. Structured Products, (1999-2010) of Nuveen Investments, Inc.; Co-President of Nuveen Fund Advisors, LLC (since 2011); Co-Chief Executive Officer (since 2016), formerly, Senior Executive Vice President of Nuveen Securities, LLC; President (since 2011), of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda’s Club Chicago.   

1955

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2013

Class II

          
180
           

 

           

 

           

 

n  MARGO L. COOK(2)(3)

         Co-Chief Executive Officer and Co-President (since March 2016), formerly, Senior Executive Vice President of Nuveen Investments, Inc; Co-Chief Executive Officer (since 2015), previously, Executive Vice President (2013-2015) of Nuveen Securities, LLC; Senior Executive Vice President (since 2015) of Nuveen Fund Advisors, LLC (Executive Vice President 2011-2015); formerly, Managing Director of Nuveen Commodities Asset Management, LLC (2011-2016); Chartered Financial Analyst.   

1964

333 W. Wacker Drive

Chicago, IL 60606

       
Board Member
  

    
2016

Class III

          
180
           

 

           

 

 

  122      NUVEEN


 

                     

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:            

n   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); Managing Director and Assistant Secretary of Nuveen Investments Advisers, LLC (since 2002) and Symphony Asset Management LLC (since 2003); 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); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.   

1956

333 W. Wacker Drive

Chicago, IL 60606

   Chief Administrative Officer        
1988
          
181
           

 

           

 

           

 

           

 

           

 

           

 

           

 

n   CEDRIC H. ANTOSIEWICZ

         Managing Director of Nuveen Securities, LLC. (since 2004); Managing Director of Nuveen Fund Advisors, LLC (since 2014).   

1962

333 W. Wacker Drive

Chicago, IL 60606

       
Vice President
       
2007
          
77

n   LORNA C. FERGUSON

         Managing Director (since 2004) of Nuveen Investments Holdings, Inc.   

1945

333 W. Wacker Drive

Chicago, IL 60606

       
Vice President
       
1998
          
181

n   STEPHEN D. FOY

         Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Managing Director (since 2016) of Nuveen Securities, LLC; Certified Public Accountant.   

1954

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Controller        
1998
          
181
           

 

n   NATHANIEL T. JONES

         Senior Vice President (since 2016), formerly, Vice President (2011-2016) of Nuveen Investments Holdings, Inc.; Chartered Financial Analyst.   

1979

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Treasurer        
2016
          
181

n   WALTER M. KELLY

         Senior Vice President (since 2008) of Nuveen Investment Holdings, Inc.   

1970

333 W. Wacker Drive

Chicago, IL 60606

   Chief Compliance Officer and Vice President        
2003
          
181

n   DAVID J. LAMB

         Senior Vice President of Nuveen Investments Holdings, Inc. (since 2006), Vice President prior to 2006.   

1963

333 W. Wacker Drive

Chicago, IL 60606

       
Vice President
       
2015
          
77

n   TINA M. LAZAR

         Senior Vice President of Nuveen Investments Holdings, Inc. and Nuveen Securities, LLC.   

1961

333 W. Wacker Drive

Chicago, IL 60606

       
Vice President
       
2002
          
181

 

NUVEEN     123   


Board Members & Officers (Unaudited) (continued)

 

                     

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):         

n  KEVIN J. MCCARTHY

         Executive Vice President, Secretary and General Counsel (since March 2016), formerly, Managing Director and Assistant Secretary of Nuveen Investments, Inc.; Executive Vice President (since March 2016), formerly, Managing Director, and Assistant Secretary (since 2008) of Nuveen Securities, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director (2008-2016) and Assistant Secretary (2007-2016), and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Executive Vice President and Secretary (since March 2016), formerly, Managing Director, Assistant Secretary (2011-2016), and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Executive Vice President and Secretary of Nuveen Investments Advisers, LLC; Vice President (since 2007) and Secretary (since March 2016) of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Winslow Capital Management, LLC (since 2010) and Tradewinds Global Investors, LLC (since 2016); Vice President (since 2010) and Secretary (since 2016), formerly, Assistant Secretary of Nuveen Commodities Asset Management, LLC.   

1966

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Secretary        
2007
          
181
           

 

           

 

           

 

           

 

           

 

           

 

           

 

           

 

n  KATHLEEN L. PRUDHOMME

         Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).   

1953

901 Marquette Avenue

Minneapolis, MN 55402

   Vice President and Assistant Secretary        
2011
          
181
           

 

           

 

n  JOEL T. SLAGER

         Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013).   

1978

333 W. Wacker Drive

Chicago, IL 60606

   Vice President and Assistant Secretary        
2013
          
181

 

(1) The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares, when applicable, to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.
(2) On June 22, 2016, Ms. Cook and Mr. Moschner were appointed as Board members, effective July 1, 2016.
(3) “Interested person” as defined in the 1940 Act, by reason of his position with Nuveen Investments, Inc. 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.

 

  124      NUVEEN


Notes

 

 

NUVEEN     125   


Notes

 

 

  126      NUVEEN


Notes

 

 

NUVEEN     127   


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 equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.   
       

 

       

Focused on meeting investor needs.

 

Nuveen helps secure the long-term goals of individual investors and the advisors who serve them. As an operating division of TIAA Global Asset Management, Nuveen provides access to investment expertise from leading asset managers and solutions across traditional and alternative asset classes. Built on more than a century of industry leadership, Nuveen’s teams of experts align with clients’ specific financial needs and goals, demonstrating commitment to advisors and investors through market perspectives and wealth management and portfolio advisory services. Nuveen manages more than $239 billion in assets as of June 30, 2016.

  
    

 

     
       

Find out how we can help you.

 

To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

 

Learn more about Nuveen Funds at: www.nuveen.com/cef

  

 

                 

Distributed by    Nuveen Securities, LLC    |    333 West Wacker Drive    |    Chicago, IL 60606    |    www.nuveen.com/cef

 

EAN-A-0716D        19243-INV-Y-09/17


ITEM 2. CODE OF ETHICS.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone and Jack B. Evans, who are “independent” for purposes of Item 3 of Form N-CSR.

Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.

Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Senior Income 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.

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, 2016

   $ 29,480      $ 0      $ 0      $ 18,000   
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 
        

July 31, 2015

   $ 28,500      $ 0      $ 0      $ 0   
  

 

 

   

 

 

   

 

 

   

 

 

 
        

Percentage approved pursuant to pre-approval exception

     0     0     0     0
  

 

 

   

 

 

   

 

 

   

 

 

 

 

1 “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.

2 “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.

3 “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.

4 “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage.

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

The following tables show the amount of fees billed by KPMG LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.


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, 2016

  $ 0      $ 0      $ 0   
 

 

 

   

 

 

   

 

 

 
     

Percentage approved pursuant to pre-approval exception

    0     0     0
 

 

 

   

 

 

   

 

 

 
     

July 31, 2015

  $ 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, 2016

   $ 18,000       $ 0       $ 0       $ 18,000   

July 31, 2015

   $ 0       $ 0       $ 0       $ 0   

“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.

Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Jack B. Evans, David J. Kundert, John K. Nelson, Carole E. Stone and Terence J. Toth.

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.


ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC, formerly known as Nuveen Fund Advisors, Inc., is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management, LLC (“Symphony” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser’s policies and procedures. The Adviser periodically monitors the Sub-Adviser’s voting to ensure that it is carrying out its duties. The Sub-Adviser’s proxy voting policies and procedures are summarized as follows:

Symphony 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

The following individuals have primary responsibility for the day-to-day implementation of the registrant’s investment strategies:

 

    Gunther Stein, Chief Investment Officer and Chief Executive Officer, Portfolio Manager

 

    Scott Caraher, Portfolio Manager

Gunther Stein, Chief Executive Officer and Chief Investment Officer at Symphony, is responsible for leading Symphony’s fixed-income and equity investments strategies and research efforts. Mr. Stein has over 29 years of investment experience. Mr. Stein was named Chief Investment Officer of Symphony in 2009 and Chief Executive Officer in 2010. Prior to joining Symphony in 1999, Mr. Stein spent six years at Wells Fargo where he managed a high-yield portfolio, was responsible for investing in public high yield bonds and bank loans and managed a team of credit analysts.

Scott Caraher, Co-Portfolio Manager of the Fund, is a member of Symphony’s fixed-income team and his responsibilities include portfolio management and trading for Symphony’s bank loan strategies and research for its fixed-income strategies. Prior to joining Symphony in 2002, Mr. Caraher was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.

 

Item 8(a)(2). OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

 

Gunther Stein as of 7/31/16

  

(a) Registered Investment Companies

  

Number of accounts

     18   

Assets

   $ 5.12 billion   

(b) Other pooled accounts

  

Non-performance fee accounts

  

Number of accounts

     37   

Assets

   $ 8.45 billion   

Performance fee accounts

  

Number of accounts

     5   

Assets

   $ 1.06 billion   

(c) Other

  

Non-performance fee accounts

  

Number of accounts

     12   

Assets

   $ 1.02 billion   

Performance fee accounts

  

Number of accounts

     0   

Assets

   $ 0   


Scott Caraher as of 7/31/16

  

(a) Registered Investment Companies

  

Number of accounts

     6   

Assets

   $ 2.63 billion   

(b) Other pooled accounts

  

Non-performance fee accounts

  

Number of accounts

     4   

Assets

   $ 925 million   

Performance fee accounts

  

Number of accounts

     0   

Assets

   $ 0   

(c) Other

  

Non-performance fee accounts

  

Number of accounts

     7   

Assets

   $ 931 million   

Performance fee accounts

  

Number of accounts

     0   

Assets

   $ 0   

POTENTIAL MATERIAL CONFLICTS OF INTEREST

As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts. Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors. In addition, the Sub-adviser has adopted trade allocation procedures so that accounts with like investment strategies are treated fairly and equitably over time.

 

Item 8(a)(3). FUND MANAGER COMPENSATION

Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.

Each portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. Bonus compensation for each individual is based on a variety of factors, including the performance of Symphony, the Fund, the team and the individual. Fund performance is assessed on a pre-tax total return risk-adjusted basis, and generally measured relative to the Fund’s primary benchmark and/or industry peer group for one, three or five year periods as applicable.


Finally, certain key employees of Symphony, including the portfolio managers, have received profits interests in Symphony which entitle their holders to participate in the firm’s growth over time.

 

Item 8(a)(4). OWNERSHIP OF NSL SECURITIES AS OF JULY 31, 2016

 

Name of Portfolio
Manager

         None          $1 -
$10,000
     $10,001-$50,000    $50,001-$100,000      $100,001-$500,000      $500,001-
$1,000,000
     Over $1,000,000  

Gunther Stein

         X            

Scott Caraher

   X                                                                      


ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

Period*

  (a)
Total Number of
Shares (or
Units)
Purchased
     (b)
Average
Price
Paid Per
Share (or
Unit)
     (c)
Total Number of Shares
(or Units) Purchased as
Part of Publicly
Announced Plans or
Programs
     (d)*
Maximum Number (or
Approximate Dollar Value) of
Shares (or Units) that may yet
be Purchased under the Plans or
Programs
 

AUGUST 1-31, 2015

    0            0         3,865,000   

SEPTEMBER 1-30, 2015

    0            0         3,865,000   

OCTOBER 1-31, 2015

    0            0         3,865,000   

NOVEMBER 1-30, 2015

    0            0         3,865,000   

DECEMBER 1-31, 2015

    5,000       $ 5.43         5,000         3,860,000   

JANUARY 1-31, 2016

    0            0         3,860,000   

FEBRUARY 1-29, 2016

    0            0         3,860,000   

MARCH 1-31, 2016

    0            0         3,860,000   

APRIL 1-30, 2016

    0            0         3,860,000   

MAY 1-31, 2016

    0            0         3,860,000   

JUNE 1-30, 2016

    0            0         3,860,000   

JULY 1-31, 2016

    0            0         3,860,000   

TOTAL

    5,000            

* The registrant’s repurchase program, for the repurchase of 3,865,000 shares, was authorized August 4, 2015. Any repurchases made by the registrant pursuant to the program were made through open-market transactions.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

ITEM 11. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15 (b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15 (b)).

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.)

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Senior Income Fund

 

By (Signature and Title)   

/s/ Kevin J. McCarthy

  
   Kevin J. McCarthy   
   Vice President and Secretary   
Date: September 30, 2016   

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/ Gifford R. Zimmerman

  
   Gifford R. Zimmerman   
   Chief Administrative Officer   
   (principal executive officer)   
Date: September 30, 2016   
By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   
Date: September 30, 2016