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:

January 31, 2012

 

 

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 SHAREHOLDERS

 



Closed-End Funds

Nuveen Investments

Closed-End Funds

Seeks high current income from portfolios of senior corporate loans.

Semi-Annual Report

January 31, 2012

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



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Table of Contents

Chairman's Letter to Shareholders   4  
Portfolio Managers' Comments   5  
Fund Leverage and Other Information   8  
Common Share Distribution and Price Information   10  
Performance Overviews   12  
Shareholder Meeting Report   16  
Portfolios of Investments   17  
Statement of Assets and Liabilities   50  
Statement of Operations   51  
Statement of Changes in Net Assets   52  
Statement of Cash Flows   54  
Financial Highlights   56  
Notes to Financial Statements   60  
Reinvest Automatically, Easily and Conveniently   74  
Glossary of Terms Used in this Report   76  
Additional Fund Information   79  



Chairman's
Letter to Shareholders

Dear Shareholders,

These are perplexing times for investors. The global economy continues to struggle. The solutions being implemented in the eurozone to deal with the debt crises of many of its member countries are not yet seen as sufficient by the financial markets. The political paralysis in the U.S. has prevented the compromises necessary to deal with the fiscal imbalance and government spending priorities. The efforts by individual consumers, governments and financial institutions to reduce their debts are increasing savings but reducing demand for the goods and services that drive employment. These developments are undermining the rebuilding of confidence by consumers, corporations and investors that is so essential to a resumption of economic growth.

Although it is painfully slow, progress is being made. In Europe, the turnover of a number of national governments reflects the realization by politicians and voters alike that leaders who practiced business as usual had to be replaced by leaders willing to face problems and accept the hard choices needed to resolve them. The recent coordinated efforts by central banks in the U.S. and Europe to provide liquidity to the largest European banks indicates that these monetary authorities are committed to facilitating a recovery in the European banking sector.

In the U.S., the failure of the congressionally appointed Debt Reduction Committee was a blow to those who hoped for a bipartisan effort to finally begin addressing the looming fiscal crisis. Nevertheless, Congress and the administration cannot ignore the issue for long. The Bush era tax cuts are scheduled to expire on December 31, 2012, and six months later the $1.2 trillion of mandatory across-the-board spending cuts under the Budget Control Act of 2011 begin to go into effect. Any legislative modification would require bipartisan support and the prospects for a bipartisan solution are unclear. The impact of these two developments would be a mixed blessing: a meaningful reduction in the annual budget deficit at the cost of slowing the economic recovery.

It is in these particularly volatile markets that professional investment management is most important. Skillful investment teams who have experienced challenging markets and remain committed to their investment disciplines are critical to the success of an investor's long-term objectives. In fact, many long-term investment track records are built during challenging markets when managers are able to protect investors against these economic crosscurrents. Experienced investment teams know that volatile markets put a premium on companies and investment ideas that will weather the short-term volatility and that compelling values and opportunities are opened up when markets overreact to negative developments. By maintaining appropriate time horizons, diversification and relying on practiced investment teams, we believe that investors can achieve their long-term investment objectives.

As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Robert P. Bremner
Chairman of the Board
March 22, 2012

Nuveen Investments
4



Portfolio Managers' Comments

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.

Ratings shown 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. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by a national rating agency.

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)

The Funds' investment portfolios are managed by Gunther Stein of Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther, who is Symphony's chief investment officer, has more than 20 years of investment management experience, much of it in evaluating and purchasing senior corporate loans and other high-yield debt. During March 2012, subsequent to the close of this reporting period, Scott Caraher was added as a co-portfolio manager for NSL, JFR and JRO.

JSD, which commenced operations on May 25, 2011, is also managed by Scott Caraher and Jenny Rhee. Scott and Jenny each have more than ten years of investment experience.

Here the team talks about their management strategies and the performance of the Funds for the six-month period ended January 31, 2012.

What key strategies were used to manage the Funds during the six-month period ended January 31, 2012?

NSL, JFR and JRO have similar investment objectives and strategies. Each Fund is designed to seek a high level of current income by investing primarily in a portfolio of adjustable-rate, senior secured corporate loans. The Funds also may invest in unsecured senior loans, other debt securities, and 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.

JSD seeks to provide current income and the potential for capital appreciation. In seeking to achieve this, 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 may make limited tactical investments in other types of debt instruments and may enter into tactical short positions consisting primarily of high yield debt. Through these investments, the Fund seeks to capitalize on the credit spread opportunity (as measured by the difference in yield between below investment grade instruments and high grade benchmarks) that often prevails through all phases of the interest rate cycle, and to offer the opportunity for additional income if interest rates are rising.

Nuveen Investments
5



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.

For additional information, see the individual Performance Overview for your Fund in this report.

*  Returns less than one year are cumulative; all other returns are annualized. Since inception returns for JSD and its comparitive indexes are from 5/25/2011.

**  Refer to Glossary of Terms Used in this Report for definitions.

The six-month period ending January 31, 2012, began with a sell off in risk assets amid a gloomy macroeconomic backdrop with both domestic and European markets under significant pressure. The senior loan asset class suffered as a result of predictions of an extended period of low interest rate policy that came as a result of statements made by the Federal Reserve Chairman, Ben Bernanke. Whether these statements were a commitment or a forecast, individual investor outflows accelerated dramatically within so-called "floating rate" mutual funds, many of which hold a significant portion of their assets in senior floating rate corporate loans. These same types of loans are owned in NSL, JFR, JRO and JSD. During the month of August, senior loans lost 4.5%, while their high yield bond counterparts only lost 3.0%.

Riskier assets subsequently stabilized and rallied into the end of 2011. Within corporate credit, senior secured loans continued to underperform the broader high yield market. This continued into January as loans underperformed high yield again, although by a smaller margin.

Much of the outperformance of high yield corporate bonds relative to senior loans can be attributed to mutual fund flows, which have been heavily tilted in favor of bonds. Through the first month of 2012, investors have put $23 billion into high yield bond funds, meanwhile loan mutual funds have seen net outflows of $66 million. Nevertheless, senior loan prices have been stable to higher based on other inflows, such as institutional accounts.

We continue to believe that corporate fundamentals remain stable and, in many cases, are improving. With a relatively favorable maturity schedule for loans and a functioning credit market, we would expect default rates to be held in check for the coming year. While corporate growth is still not robust, many credits can perform well in a slow growth economy, and we will continue to favor companies with improving credit situations and company-specific trends which point in our favor as senior lenders.

How did the Funds perform over this six-month period?

The performance of the Funds, as well as the performance of comparative market indexes, is presented in the accompanying table.

Average Annual Total Returns on Common Share Net Asset Value

For the periods ended 1/31/12

        Average Annual  
Fund   6-Month*   1-Year   5-Year   10-Year  
NSL     1.52 %     3.13 %     4.09 %     7.02 %  
JFR     1.45 %     2.60 %     3.69 %     N/A    
JRO     1.94 %     3.60 %     4.41 %     N/A    
Barclays Capital U.S. Aggregate Bond Index**     4.25 %     8.66 %     6.70 %     5.78 %  
CSFB Leveraged Loan Index**     0.67 %     1.85 %     3.56 %     4.87 %  

Nuveen Investments
6



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.

For additional information, see the individual Performance Overview for your Fund in this report.

*  Returns less than one year are cumulative; all other returns are annualized. Since inception returns for JSD and its comparitive indexes are from 5/25/2011.

**  Refer to Glossary of Terms Used in this Report for definitions.

        Cumulative*  
Fund   6-Month   Since Inception  
JSD     4.17 %     4.68 %  
Barclays Capital U.S. Aggregate Bond Index**     4.25 %     0.60 %  
CSFB Leveraged Loan Index**     0.67 %     -5.68 %  

 

For the six-month period ending January 31, 2012, each Fund outperformed the market-specific CSFB index, but underperformed the Barclays Capital Index.

For all four Funds, our position in a Graceway Pharmaceuticals term loan positively contributed to performance for the reporting period. We purchased Graceway following the issuer's loss of patent protection, which caused significant stress on the company's ability to operate profitably. The term loan recovered following a bid from Medicis for the firm's asset portfolio. Another outperformer for the period included an Open Solutions, Inc. term loan. The financial services technology company faced concerns before it announced third quarter 2011 results, which were better than expected. Also adding to positive performance were the higher-beta, high yield names we purchased following the market sell off several years ago, such as the Clear Channel Communications bonds.

The Funds were hurt by positions in Hawker Beechcraft, which has been hit by a slow recovery in the business jet market. The Funds also saw negative performance in LifeCare Holdings, Inc., which has been suffering as a result of uncertainty surrounding Medicare reimbursements. Also drifting lower during the reporting period was the Tribune Company term loan, despite earnings that were largely in line with expectations.

JSD benefited from its newer positioning versus the other three Funds. JSD's inception was in May 2011. As stated earlier in the report, the Fund may make limited tactical investments in other types of debt instruments and enter into tactical short positions consisting primarily of high yield debt. During the reporting period, these short positions outperformed.

JSD also entered into credit default swap contracts to protect against default of individual bonds. These contracts had a mildly negative effect on performance during the period as credit strengthened.

 

Nuveen Investments
7



Fund Leverage
and Other Information

IMPACT OF THE FUNDS' LEVERAGE STRATEGY ON PERFORMANCE

One important factor impacting the return of the Funds relative to their benchmarks was the Funds' use of leverage through the use of bank borrowings. The Funds use leverage because their managers believe 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 net asset value 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. Leverage had a positive impact on the performance of the Funds over this reporting period. During the period, the Funds entered into interest rate swap contracts to partially fix the interest cost of their leverage. This activity detracted modestly from the overall positive impact of leverage, as rates declined slightly while the positions were in place, meaning it would have been better had the interest rates of the leverage floated rather than being partially fixed in the period.

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. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks, including:

Investment Risk. The possible loss of the entire principal amount that you invest.

Price Risk. Shares of closed-end investment companies like the Funds frequently trade at a discount to their net asset value (NAV). Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

Leverage Risk. The Funds' use of leverage creates the possibility of higher volatility for the Funds' per share NAV, market price, distributions and returns. There is no assurance that a Funds' leveraging strategy will be successful.

Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations.

Issuer Credit Risk. This is the risk that a security in a Fund's portfolio will fail to make dividend or interest payments when due.

Nuveen Investments
8



Illiquid Securities Risk. This is the risk that a Fund may not be able to sell securities in its portfolio at the time or price desired by the Fund.

Non-Investment Grade or Below-Investment Grade Risk. Investments in securities below investment grade quality are predominantly speculative and subject to greater volatility and risk of default.

Unrated Investment Risk. In determining whether an unrated security is an appropriate investment for a Fund, the manager will consider information from industry sources, as well as its own quantitative and qualitative analysis, in making such a determination. However, such a determination by the manager is not the equivalent of a rating by a rating agency.

Senior Loan Risk. Senior loans, both secured and unsecured, may not be rated by a national rating agency at the time of investment, generally will not be registered with the Securities and Exchange Commission (SEC) and generally will not be listed on a securities exchange. In addition, the amount of public information available with respect to senior loans generally is less extensive than that available for more widely rated, registered and exchange-listed securities.

Risks from Unsecured Adjustable Rate Loans or Insufficient Collateral Securing Adjustable Rate Loans. Some of the adjustable rate loans in which a Fund may invest will be unsecured, thereby increasing the risk of loss to the Fund in the event of Issuer default. Other adjustable rate loans may be secured by specific collateral, but there can be no assurance that liquidating this collateral would satisfy a borrower's obligation to the Fund in the event of borrower default, or that such collateral could be readily liquidated under such circumstances.

Derivatives Strategy Risk. Derivative securities, such as calls, puts, warrants, swaps and forwards, carry risks different from, and possibly greater than, the risks associated with the underlying investments.

Nuveen Investments
9



Common Share Distribution and
Share Price Information

Distribution Information

The following information regarding the Funds' distributions is current as of January 31, 2012, and will likely vary over time based on each Fund's investment activity and portfolio investment value changes.

During the six-month reporting period, NSL increased its monthly distribution once, while JFR and JRO increased their monthly distribution twice. JSD's dividend remained steady over this period.

During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of January 31, 2012, all four Funds had positive UNII balances, based upon our best estimate, for tax purposes. NSL, JFR and JRO had positive UNII balances and JSD had a negative UNII balance for financial reporting purposes.

Common Share Repurchases

As of January 31, 2012, and since the inception of the Funds' repurchase programs, JFR and JRO have cumulatively repurchased and retired their common shares as shown in the accompanying table. Since the inception of the Funds' repurchase programs, NSL and JSD have not repurchased any of their outstanding common shares.

Fund   Common Shares
Repurchased and Retired
  % of Outstanding
Common Shares
 
JFR     147,593       0.3 %  
JRO     19,400       0.1 %  

 

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

Common Share Shelf Equity Programs

NSL, JFR and JRO have filed registration statements with the SEC authorizing the Funds to issue 2.9 million, 4.7 million and 2.8 million common shares, respectively, through a shelf offering. Under these equity shelf programs, the Funds, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price at or above each Fund's NAV per common share.

Nuveen Investments
10



As of January 31, 2012, NSL, JFR and JRO had cumulatively sold 2,341,543, 796,632 and 2,191,560 common shares, respectively, through their shelf equity programs.

During the six-month reporting period, NSL and JRO sold common shares through their shelf equity programs at a weighted average premium to NAV per common share as shown in the accompanying table. JFR did not sell any common shares through its shelf equity program during the six months ended January 31, 2012.

Fund   Common Shares
Sold through
Shelf Offering
  Weighted Average
Premium to NAV
Per Common Share Sold
 
NSL     201,294       4.61 %  
JRO     123,207       1.67 %  

 

Common Share Price Information

As of January 31, 2012, the Funds were trading at (+) premiums/(-) discounts to their common share NAVs as shown in the accompanying table.

Fund   1/31/12
(+) Premium/
(-) Discount
  Six-Month Average
(-) Discount
 
NSL   (+)1.01%   (-)1.73%  
JFR   (-)2.40%   (-)5.38%  
JRO   (+)0.43%   (-)3.11%  
JSD   (-)4.44%   (-)5.70%  

Nuveen Investments
11




Fund Snapshot

Common Share Price   $ 7.01    
Common Share Net Asset Value (NAV)   $ 6.94    
Premium/(Discount) to NAV     1.01 %  
Latest Dividend   $ 0.0430    
Market Yield     7.36 %  
Net Assets Applicable to
Common Shares ($000)
  $ 223,449    

 

Leverage

Regulatory Leverage     25.26 %  
Effective Leverage     25.26 %  

 

Average Annual Total Return

(Inception 10/26/99)

    On Share Price   On NAV  
6-Month (Cumulative)     4.51 %     1.52 %  
1-Year     2.37 %     3.13 %  
5-Year     4.22 %     4.09 %  
10-Year     7.45 %     7.02 %  

 

Portfolio Composition

(as a % of total investments)1,2

Health Care Providers & Services     10.5 %  
IT Services     6.8 %  
Media     6.8 %  
Hotels, Restaurants & Leisure     5.8 %  
Pharmaceuticals     5.1 %  
Food & Staples Retailing     3.7 %  
Internet Software & Services     3.3 %  
Software     3.2 %  
Communications Equipment     3.0 %  
Health Care Equipment & Supplies     2.9 %  
Specialty Retail     2.8 %  
Chemicals     2.6 %  
Diversified Telecommunication Services     2.6 %  
Leisure, Equipment & Products     2.5 %  
Oil, Gas & Consumable Fuel     2.5 %  
Biotechnology     2.3 %  
Real Estate Management & Development     2.3 %  
Paper & Forest Products     2.2 %  
Diversified Financial Services     2.0 %  
Diversified Consumer Services     1.8 %  
Auto Components     1.7 %  
Household Products     1.6 %  
Food Products     1.6 %  
Short-Term Investments     4.1 %  
Other     16.3 %  

 

Top Five Issuers

(as a % of total long-term investments)1,2

U.S. Foodservice, Inc.     2.4 %  
Kinetic Concepts, Inc.     2.3 %  
Clear Channel Communications, Inc.     2.0 %  
Infor Global Solutions Intermediate
Holdings, Ltd.
    2.0 %  
First Data Corporation     1.9 %  

NSL

Performance

OVERVIEW

Nuveen Senior Income Fund

  as of January 31, 2012

Portfolio Allocation (as a % of total investments)1,2

2011-2012 Monthly Dividends Per Common Share3

Share Price Performance — Weekly Closing Price

  Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  Excluding investments in derivatives.

2  Holdings are subject to change.

3  The Fund paid shareholders a non-recurring supplemental taxable distribution in December 2011 of $0.0238 per share.

Nuveen Investments
12



JFR

Performance

OVERVIEW

Nuveen Floating Rate Income
Fund

  as of January 31, 2012

Portfolio Allocation (as a % of total investments)1,2

2011-2012 Monthly Dividends Per Common Share3

Share Price Performance — Weekly Closing Price

  Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  Excluding investments in derivatives.

2  Holdings are subject to change.

3  The Fund paid shareholders a non-recurring supplemental taxable distribution in December 2011 of $0.1487 per share.

Fund Snapshot

Common Share Price   $ 11.39    
Common Share Net Asset Value (NAV)   $ 11.67    
Premium/(Discount) to NAV     -2.40 %  
Latest Dividend   $ 0.0685    
Market Yield     7.22 %  
Net Assets Applicable to
Common Shares ($000)
  $ 561,739    

 

Leverage

Regulatory Leverage     27.16 %  
Effective Leverage     27.16 %  

 

Average Annual Total Return

(Inception 3/25/04)

    On Share Price   On NAV  
6-Month (Cumulative)     4.88 %     1.45 %  
1-Year     -1.31 %     2.60 %  
5-Year     3.80 %     3.69 %  
Since Inception     4.06 %     4.55 %  

 

Portfolio Composition

(as a % of total investments)1,2

Health Care Providers & Services     10.1 %  
Media     7.7 %  
IT Services     7.1 %  
Hotels, Restaurants & Leisure     4.4 %  
Food & Staples Retailing     3.8 %  
Specialty Retail     3.5 %  
Leisure, Equipment & Products     3.2 %  
Communications Equipment     3.1 %  
Pharmaceuticals     3.1 %  
Software     3.0 %  
Chemicals     2.8 %  
Real Estate Management & Development     2.6 %  
Wireless Telecommunication Services     2.5 %  
Internet Software & Services     2.3 %  
Oil, Gas & Consumable Fuels     2.2 %  
Building Products     2.1 %  
Auto Components     2.1 %  
Semiconductors & Equipment     2.1 %  
Diversified Consumer Services     2.1 %  
Health Care Equipment & Supplies     2.1 %  
Biotechnology     2.0 %  
Diversified Telecommunication Services     2.0 %  
Road & Rail     1.9 %  
Food Products     1.6 %  
Real Estate Investment Trust     1.6 %  
Investment Companies     1.6 %  
Asset-Backed Securities     1.5 %  
Short-Term Investments     1.7 %  
Other     14.2 %  

 

Top Five Issuers

(as a % of total long-term investments)1,2

Univision Communications, Inc.     2.7 %  
U.S. Foodservice     2.3 %  
First Data Corporation     2.3 %  
Reynolds Group Holdings, Inc.     2.1 %  
Clear Channel Communications, Inc.     2.0 %  

Nuveen Investments
13



Fund Snapshot

Common Share Price   $ 11.65    
Common Share Net Asset Value (NAV)   $ 11.60    
Premium/(Discount) to NAV     0.43 %  
Latest Dividend   $ 0.0725    
Market Yield     7.47 %  
Net Assets Applicable to
Common Shares ($000)
  $ 335,180    

 

Leverage

Regulatory Leverage     25.26 %  
Effective Leverage     25.26 %  

 

Average Annual Total Return

(Inception 7/27/04)

    On Share Price   On NAV  
6-Month (Cumulative)     6.93 %     1.94 %  
1-Year     1.15 %     3.60 %  
5-Year     5.07 %     4.41 %  
Since Inception     5.00 %     5.13 %  

 

Portfolio Composition

(as a % of total investments)1,2

IT Services     8.0 %  
Health Care Providers & Services     7.7 %  
Media     7.5 %  
Food & Staples Retailing     4.4 %  
Internet Software & Services     4.0 %  
Pharmaceuticals     3.9 %  
Hotels, Restaurants & Leisure     3.7 %  
Software     3.2 %  
Auto Components     2.9 %  
Diversified Consumer Services     2.9 %  
Diversified Telecommunication Services     2.9 %  
Health Care Equipment & Supplies     2.8 %  
Real Estate Management & Development     2.7 %  
Wireless Telecommunication Services     2.7 %  
Communications Equipment     2.7 %  
Oil, Gas & Consumable Fuels     2.5 %  
Biotechnology     2.3 %  
Specialty Retail     2.3 %  
Chemicals     2.1 %  
Leisure, Equipment & Products     2.0 %  
Road & Rail     2.0 %  
Paper & Forest Products     1.7 %  
Real Estate Investment Trust     1.7 %  
Asset-Backed Securities     2.0 %  
Short-Term Investments     3.2 %  
Other     16.2 %  

 

Top Five Issuers

(as a % of total long-term investments)1,2

Clear Channel Communications, Inc.     3.3 %  
First Data Corporation     3.0 %  
U.S. Foodservice, Inc.     2.8 %  
Federal-Mogul Corporation     2.5 %  
Reynolds Group Holdings, Inc.     2.4 %  

JRO

Performance

OVERVIEW

Nuveen Floating Rate Income Opportunity Fund

  as of January 31, 2012

Portfolio Allocation (as a % of total investments)1,2

2011-2012 Monthly Dividends Per Common Share3

Share Price Performance — Weekly Closing Price

  Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  Excluding investments in derivatives.

2  Holdings are subject to change.

3  The Fund paid shareholders a non-recurring supplemental taxable distribution in December 2011 of $0.1458 per share.

Nuveen Investments
14



JSD

Performance

OVERVIEW

Short Duration Credit Opportunities Fund

  as of January 31, 2012

Portfolio Allocation (as a % of total investments)1,2

2011-2012 Monthly Dividends Per Common Share3

Share Price Performance — Weekly Closing Price

  Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  Excluding investments in derivatives.

2  Holdings are subject to change.

3  The Fund declared its first monthly per share distribution of $0.1135 on July 31, 2011, payable to shareholders on August 1, 2011.

Fund Snapshot

Common Share Price   $ 18.31    
Common Share Net Asset Value (NAV)   $ 19.16    
Premium/(Discount) to NAV     -4.44 %  
Latest Dividend   $ 0.1135    
Market Yield     7.44 %  
Net Assets Applicable to
Common Shares ($000)
  $ 191,725    

 

Leverage

Regulatory Leverage     28.12 %  
Effective Leverage     28.12 %  

 

Average Annual Total Return

(Inception 5/25/11)

    On Share Price   On NAV  
6-Month (Cumulative)     3.61 %     4.17 %  
Since Inception     -4.25 %     4.68 %  

 

Portfolio Composition

(as a % of total investments)1,2

Health Care Providers & Services     12.5 %  
IT Services     9.0 %  
Pharmaceuticals     5.1 %  
Software     4.6 %  
Internet Software & Services     4.6 %  
Industrial Conglomerates     3.9 %  
Oil, Gas & Consumable Fuels     3.8 %  
Specialty Retail     3.3 %  
Chemicals     3.3 %  
Media     3.1 %  
Hotels, Restaurants & Leisure     2.9 %  
Biotechnology     2.6 %  
Diversified Consumer Services     2.5 %  
Leisure, Equipment & Products     2.4 %  
Health Care Equipment & Supplies     2.4 %  
Household Products     2.4 %  
Real Estate Investment Trust     2.3 %  
Containers & Packaging     2.0 %  
Real Estate Management & Development     1.9 %  
Health Care Technology     1.9 %  
Diversified Telecommunication Services     1.9 %  
Commercial Services & Supplies     1.8 %  
Communications Equipment     1.6 %  
Energy Equipment & Services     1.5 %  
Short-Term Investments     1.3 %  
Other     15.4 %  

 

Top Five Issuers

(as a % of total long-term investments)1,2

Kinetic Concepts, Inc.     2.4 %  
Spectrum Brands, Inc.     2.3 %  
Attachmate Corporation     1.7 %  
Alkermes, Inc.     1.6 %  
HCA, Inc.     1.6 %  

Nuveen Investments
15




NSL

JFR

JRO

Shareholder MEETING REPORT

The annual meeting of shareholders was held in the offices of Nuveen Investments on November 15, 2011; at this meeting the shareholders were asked to vote on the election of Board Members.

    NSL   JFR   JRO  
    Common
Shares
  Common
Shares
  Common
Shares
 
Approval of the Board Members was reached as follows:  
John P. Amboian  
For     27,743,984       41,635,596       27,356,900    
Withhold     880,515       1,418,332       702,086    
Total     28,624,499       43,053,928       28,058,986    
David J. Kundert  
For     27,734,385       41,637,281       27,345,902    
Withhold     890,114       1,416,647       713,084    
Total     28,624,499       43,053,928       28,058,986    
Terence J. Toth  
For     27,732,457       41,636,219       27,355,223    
Withhold     892,042       1,417,709       703,763    
Total     28,624,499       43,053,928       28,058,986    

 

 

Nuveen Investments
16




NSL

Nuveen Senior Income Fund

Portfolio of INVESTMENTS

  January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Variable Rate Senior Loan Interests – 118.2% (85.6% of Total Investments) (4)  
    Aerospace & Defense – 0.3% (0.2% of Total Investments)  
$ 408     DAE Aviation Holdings, Inc., Term Loan B1     5.560 %   7/31/14   B   $ 400,978    
  391     DAE Aviation Holdings, Inc., Term Loan B2     5.560 %   7/31/14   B     383,680    
  799     Total Aerospace & Defense                       784,658    
    Airlines – 1.0% (0.8% of Total Investments)  
  2,000     Delta Air Lines, Inc. Revolving Loan, Delayed Draw, (5)     0.750 %   3/28/13   Ba2     (110,000 )  
  2,483     United Air Lines, Inc., Term Loan B     2.313 %   2/01/14   BB-     2,427,616    
  4,483     Total Airlines                       2,317,616    
    Auto Components – 2.3% (1.7% of Total Investments)  
  889     Autoparts Holdings, Ltd., Term Loan, Second Lien     10.500 %   1/29/18   B-     862,223    
  3,009     Federal-Mogul Corporation, Tranche B, Term Loan     2.235 %   12/29/14   Ba3     2,882,986    
  1,536     Federal-Mogul Corporation, Tranche C, Term Loan     2.220 %   12/28/15   Ba3     1,471,309    
  5,434     Total Auto Components                       5,216,518    
    Automobiles – 0.2% (0.2% of Total Investments)  
  494     Chrysler Group LLC, Term Loan     6.000 %   5/24/17   BB     484,585    
    Biotechnology – 3.2% (2.3% of Total Investments)  
  1,250     Alkermes, Inc., Term Loan, First Lien     6.750 %   9/16/17   BB     1,262,500    
  667     Alkermes, Inc., Term Loan, Second Lien     9.500 %   9/16/18   B     691,668    
  1,791     Grifols, Term Loan     6.000 %   6/01/17   BB     1,801,597    
  3,540     Onex Carestream Finance LP, Term Loan, DD1     5.000 %   2/25/17   BB-     3,345,736    
  7,248     Total Biotechnology                       7,101,501    
    Building Products – 1.0% (0.7% of Total Investments)  
  1,273     Goodman Global Inc., Second Lien Term Loan     9.000 %   10/28/17   B-     1,283,626    
  863     Goodman Global Inc., Term Loan     5.750 %   10/28/16   B+     868,186    
  2,136     Total Building Products                       2,151,812    
    Capital Markets – 0.4% (0.3% of Total Investments)  
  293     BNY Convergex Group LLC, Incremental Term Loan     5.000 %   12/19/16   B+     284,393    
  665     BNY Convergex Group LLC, Term Loan     5.000 %   12/19/16   B+     645,899    
  958     Total Capital Markets                       930,292    
    Chemicals – 3.6% (2.6% of Total Investments)  
  1,000     Hercules Offshore, Inc., Term Loan, WI/DD     TBD     TBD   B-     990,972    
  748     Ashland, Inc., Term Loan     3.750 %   8/23/18   Baa3     751,490    
  793     Ineos US Finance LLC, Tranche B2     7.500 %   12/16/13   Ba3     821,729    
  808     Ineos US Finance LLC, Tranche C2     8.000 %   12/16/14   Ba3     838,190    
  667     Polyone Corp, Term Loan B     5.000 %   11/01/17   Ba1     669,917    
  703     Styron S.a.r.l. Corporation,Term Loan     6.000 %   8/02/17   B+     643,154    
  3,465     Univar, Inc., Term Loan     5.000 %   6/30/17   B+     3,431,216    
  8,184     Total Chemicals                       8,146,668    
    Commercial Banks – 0.4% (0.3% of Total Investments)  
  995     SourceHov LLC, Term Loan B, First Lien     6.625 %   4/28/17   B+     894,256    
    Commercial Services & Supplies – 0.7% (0.5% of Total Investments)  
  1,591     Ceridian Corporation, US Term Loan     3.271 %   11/09/14   B1     1,495,929    

 

Nuveen Investments
17



NSL

Nuveen Senior Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Communications Equipment – 3.0% (2.2% of Total Investments)  
$ 1,016     Intelsat, Term Loan     5.250 %   4/02/18   BB-   $ 1,019,100    
  4,855     Avaya, Inc., Term Loan     3.256 %   10/27/14   B1     4,713,258    
  1,000     Genesys International Corporation, Term Loan B, WI/DD     TBD     TBD   BB-     1,001,563    
  6,871     Total Communications Equipment                       6,733,921    
    Consumer Finance – 0.7% (0.5% of Total Investments)  
  1,625     Springleaf Financial Funding Company, Term Loan     5.500 %   5/10/17   B+     1,518,697    
    Diversified Consumer Services – 2.4% (1.8% of Total Investments)  
  2,142     Cengage Learning Acquisitions, Inc., Term Loan     2.520 %   7/03/14   B+     1,902,503    
  483     Advantage Sales and Marketing, Inc., Term Loan, First Lien     5.250 %   12/18/17   B+     480,247    
  1,188     Brickman Group Holdings, Inc., Tranche B, Term Loan     7.250 %   10/14/16   B+     1,197,652    
  1,985     Laureate Education, Inc., Extended Term Loan     5.250 %   6/15/18   B1     1,859,697    
  5,798     Total Diversified Consumer Services                       5,440,099    
    Diversified Financial Services – 2.4% (1.7% of Total Investments)  
  1,588     FoxCo Acquisition Sub LLC, Term Loan     4.750 %   7/14/15   B+     1,584,435    
  2,000     Ocwen Financial Corporation, Add on Term Loan, WI/DD     TBD     TBD   B1     1,988,750    
  1,714     UPC Broadband Holding BV, Term Loan, Tranche AB     4.750 %   12/31/17   Ba3     1,712,157    
  5,302     Total Diversified Financial Services                       5,285,342    
    Diversified Telecommunication Services – 3.2% (2.3% of Total Investments)  
  2,000     Charter Communications Operating Holdings LLC, Holdco Term Loan     2.770 %   3/06/14   BB+     1,968,334    
  2,000     Intelsat, Unsecured Term Loan     2.785 %   2/01/14   B     1,964,500    
  2,267     Level 3 Financing, Inc., Term Loan     2.746 %   3/13/14   Ba3     2,211,417    
  994     WideOpenWest Finance LLC, Term Loan, First Lien     2.779 %   6/30/14   B1     951,389    
  7,261     Total Diversified Telecommunication Services                       7,095,640    
    Electric Utilities – 0.3% (0.2% of Total Investments)  
  854     TXU Corporation, 2014 Term Loan     3.795 %   10/10/14   B2     586,290    
    Electrical Equipment – 0.3% (0.2% of Total Investments)  
  596     Sensus Metering Systems, Inc., Term Loan, First Lien     4.750 %   5/09/17   Ba3     594,383    
    Electronic Equipment & Instruments – 1.2% (0.9% of Total Investments)  
  993     NDS Group, Ltd., Term Loan     4.000 %   3/12/18   Ba2     988,766    
  1,995     Smart Modular Technologies, Inc., Term Loan     8.250 %   8/26/17   B+     1,815,450    
  2,988     Total Electronic Equipment & Instruments                       2,804,216    
    Energy Equipment & Services – 0.5% (0.4% of Total Investments)  
  1,106     Gibson Energy ULC, Term Loan     5.750 %   6/15/18   BB-     1,111,313    
    Food & Staples Retailing – 5.1% (3.7% of Total Investments)  
  4,276     Reynolds Group Holdings, Inc., Add on Term Loan     6.500 %   8/09/18   BB-     4,298,831    
  7,354     U.S. Foodservice, Inc., Term Loan     2.775 %   7/03/14   B3     7,014,882    
  11,630     Total Food & Staples Retailing                       11,313,713    
    Food Products – 2.2% (1.6% of Total Investments)  
  1,000     Great Atlantic and Pacific Tea Company, Inc., Term Loan     8.750 %   6/14/12   BB-     1,005,000    
  1,731     Michael Foods Group, Inc., Term Loan     4.250 %   2/25/18   B+     1,733,417    
  1,975     Pierre Foods, Inc., Term Loan     7.000 %   9/30/16   B+     1,971,297    
  189     Pinnacle Foods Finance LLC, Tranche D, Term Loan     6.000 %   4/02/14   Ba3     190,401    
  4,895     Total Food Products                       4,900,115    
    Health Care Equipment & Supplies – 2.7% (1.9% of Total Investments)  
  5,000     Chiron Merger Sub, Inc., Term Loan     7.000 %   5/04/18   Ba2     5,096,000    
  234     Fenwal, Inc., Delayed Term Loan     2.773 %   2/28/14   B     226,584    
  741     Fenwal, Inc., Term Loan     2.773 %   2/28/14   B     719,017    
  5,975     Total Health Care Equipment & Supplies                       6,041,601    

 

Nuveen Investments
18



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Health Care Providers & Services – 12.7% (9.2% of Total Investments)  
$ 2,369     Community Health Systems, Inc., Term Loan     2.755 %   7/25/14   BB   $ 2,343,163    
  1,098     Sun Healthcare Group, Inc., Term Loan     8.750 %   10/18/16   Ba1     974,278    
  1,474     Ardent Medical Services, Inc., Term Loan     6.500 %   9/15/15   B1     1,479,298    
  121     Community Health Systems, Inc., Delayed Term Loan     2.520 %   7/25/14   BB     120,142    
  121     Community Health Systems, Inc., Extended Term Loan     3.958 %   1/25/17   BB     119,733    
  2,850     Gentiva Health Services, Inc., Term Loan B, DD1     4.750 %   8/17/16   B1     2,632,763    
  3,582     Golden Living, Term Loan     5.000 %   5/04/18   B+     3,236,844    
  256     HCA, Inc., Tranche B2, Term Loan     3.829 %   3/31/17   BB     250,461    
  600     Health Management Associates, Inc., Term Loan B     4.500 %   11/16/18   BB-     594,563    
  1,122     Healthspring, Term Loan     6.750 %   10/21/16   BB-     1,120,397    
  1,824     Kindred Healthcare, Term Loan     5.250 %   6/01/18   Ba3     1,764,881    
  755     LifeCare Holdings, Inc., Term Loan Add On     8.327 %   2/01/16   CCC-     645,569    
  4,185     LifeCare, Term Loan     8.327 %   2/01/16   B2     3,578,398    
  889     MultiPlan, Inc., Term Loan B     4.750 %   8/26/17   Ba3     873,598    
  1,489     National Mentor Holdings, Inc., Tranche B     7.000 %   2/09/17   B+     1,445,948    
  446     Renal Advantage, Inc., Tranche B, Term Loan     5.750 %   12/17/16   Ba3     446,196    
  2,490     Select Medical Corporation, Term Loan     5.500 %   6/01/18   BB-     2,413,226    
  1,155     Skilled Healthcare Group, Inc., Term Loan     5.264 %   4/09/16   B+     1,093,677    
  1,747     Universal Health Services, Inc., Term Loan B     3.750 %   11/15/16   BB+     1,746,986    
  1,551     Vanguard Health Holding Company II LLC, Initial Term Loan     5.000 %   1/29/16   Ba2     1,552,032    
  30,124     Total Health Care Providers & Services                       28,432,153    
    Health Care Technology – 1.8% (1.3% of Total Investments)  
  3,633     Emdeon Business Services LLC, Term Loan     6.750 %   11/02/18   BB-     3,673,452    
  300     Fenwal, Inc., Term Loan, Second Lien     5.773 %   8/28/14   B-     280,500    
  3,933     Total Health Care Technology                       3,953,952    
    Hotels, Restaurants & Leisure – 7.9% (5.7% of Total Investments)  
  1,970     24 Hour Fitness Worldwide, Inc., New Term Loan     7.500 %   4/22/16   Ba3     1,917,302    
  1,000     Harrah's Operating Company, Inc., Term Loan B1     3.276 %   1/28/15   B     902,206    
  1,000     Harrah's Operating Company, Inc., Term Loan B2     3.276 %   1/28/15   B     904,107    
  980     Harrah's Operating Company, Inc., Term Loan B3     3.279 %   1/28/15   B     885,894    
  1,136     Orbitz Worldwide, Inc., Term Loan     3.405 %   7/25/14   B+     990,937    
  243     Caesars Octavius LLC, Term Loan     9.250 %   4/25/17   B     239,938    
  3,430     CCM Merger, Inc., Term Loan     7.000 %   3/01/17   B+     3,427,995    
  985     Dunkin Brands, Inc., Term Loan B2     4.000 %   11/23/17   B     985,080    
  1,611     Herbst Gaming LLC, Term Loan     10.000 %   12/31/15   B+     1,647,296    
  404     OSI Restaurant Partners LLC, Revolver     3.519 %   6/14/13   B+     395,486    
  3,734     OSI Restaurant Partners LLC, Term Loan     2.563 %   6/14/14   B+     3,653,871    
  695     Reynolds Group Holdings, Inc., US Term Loan     6.500 %   2/09/18   BB     698,215    
  1,021     Seaworld Parks and Entertainment, Inc., Term Loan B     4.000 %   8/17/17   BB+     1,021,026    
  18,209     Total Hotels, Restaurants & Leisure                       17,669,353    
    Household Products – 1.2% (0.8% of Total Investments)  
  2,184     Spectrum Brands, Inc., Term Loan     5.002 %   6/17/16   B1     2,190,727    
  472     Visant Corporation, Term Loan     5.250 %   12/22/16   BB-     449,756    
  2,656     Total Household Products                       2,640,483    
    Industrial Conglomerates – 0.8% (0.6% of Total Investments)  
  663     Eagle Parent, Inc., Term Loan     5.000 %   5/16/18   Ba3     654,213    
  420     Evertec, Inc., Term Loan     5.250 %   9/30/16   BB-     416,086    
  740     Presidio, Inc., Term Loan     7.250 %   3/31/17   Ba3     749,250    
  1,823     Total Industrial Conglomerates                       1,819,549    
    Internet Software & Services – 4.5% (3.2% of Total Investments)  
  1,900     Sabre, Inc., Term Loan     2.348 %   9/30/14   B1     1,703,350    
  2,211     Go Daddy Operating Co., LLC, Term Loan, First Lien     7.000 %   12/17/18   Ba3     2,225,497    
  1,436     Open Solutions, Inc., Term Loan B     2.685 %   1/23/14   B+     1,313,168    
  1,957     SkillSoft Corporation, Term Loan     6.500 %   5/26/17   BB-     1,962,887    
  2,975     Web.com, Term Loan, First Lien     7.000 %   10/27/17   Ba3     2,839,884    
  10,479     Total Internet Software & Services                       10,044,786    

 

Nuveen Investments
19



NSL

Nuveen Senior Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    IT Services – 9.0% (6.5% of Total Investments)  
$ 2,134     First Data Corporation, Term Loan B1     3.027 %   9/24/14   B+   $ 2,025,498    
  536     Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed
Draw Term Loan
    6.020 %   7/28/15   B+     522,880    
  1,481     Attachmate Corporation, Term Loan     6.500 %   4/27/17   BB-     1,458,414    
  1,572     First Data Corporation, Term Loan B2     3.027 %   9/24/14   B+     1,492,356    
  1,314     First Data Corporation, Term Loan B3     3.027 %   9/24/14   B+     1,247,159    
  4,225     Frac Tech International LLC, Term Loan     6.250 %   5/06/16   B+     4,221,183    
  1,150     Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan     0.000 %   9/02/14   B     687,982    
  1,082     Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw     6.520 %   3/02/14   CCC+     946,458    
  994     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2     7.250 %   7/28/15   B+     979,107    
  1,868     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien     6.520 %   3/02/14   CCC+     1,665,619    
  1,021     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan     6.020 %   7/28/15   B+     1,000,254    
  949     SRA International, Term Loan     6.500 %   7/20/18   B1     928,114    
  392     Syniverse Holdings, Inc., Term Loan     5.250 %   12/21/17   BB-     394,037    
  1,432     VFH Parent LLC, Term Loan     7.500 %   7/08/16   Ba1     1,446,257    
  1,154     Web.com, Term Loan, Second Lien     11.000 %   10/27/18   B3     1,052,307    
  21,304     Total IT Services                       20,067,625    
    Leisure, Equipment & Products – 3.5% (2.5% of Total Investments)  
  1,776     BLB Management Services, Inc., Term Loan     8.500 %   11/05/15   BB     1,781,529    
  2,000     Academy, Ltd., Term Loan     6.000 %   8/03/18   B     2,006,876    
  3,229     Bombardier Recreational Products, Inc., Term Loan     2.796 %   6/28/13   B2     3,211,104    
  750     Eastman Kodak Co., DIP Term Loan, WI/DD     TBD     TBD   B     755,156    
  7,755     Total Leisure, Equipment & Products                       7,754,665    
    Machinery – 0.6% (0.4% of Total Investments)  
  1,300     ColFax Corporation Term Loan     4.500 %   11/30/18   BB+     1,306,500    
    Media – 6.8% (5.0% of Total Investments)  
  586     Emmis Operating Company, Term Loan     4.573 %   11/01/13   Caa2     547,115    
  1,459     Gray Television, Inc., Term Loan B     3.800 %   12/31/14   B     1,437,999    
  910     Tribune Company, Term Loan B, (6)     0.000 %   6/04/14   Ca     585,455    
  4,890     Univision Communications, Inc., Term Loan     4.520 %   3/31/17   B+     4,611,788    
  1,858     Yell Group PLC, Term Loan     4.020 %   7/31/14   N/R     565,014    
  1,361     Carmike Cinemas, Inc., Term Loan     5.500 %   1/27/16   B1     1,368,795    
  2,000     Cumulus Media, Inc., Term Loan, First Lien     5.750 %   9/17/18   Ba2     2,005,542    
  1,000     Cumulus Media, Inc., Term Loan, Second Lien     7.500 %   3/18/19   B2     995,625    
  593     Interactive Data Corporation, Term Loan B     4.500 %   2/11/18   Ba3     592,215    
  2,150     Spanish Broadcasting System, Inc., Term Loan B     2.020 %   6/11/12   B-     2,138,890    
  926     SuperMedia, Term Loan     0.000 %   12/31/15   Caa1     447,350    
  17,733     Total Media                       15,295,788    
    Metals & Mining – 0.3% (0.2% of Total Investments)  
  595     Fairmount Minerals, Ltd., Tranche B, Term Loan     5.250 %   3/15/17   BB-     597,975    
    Multiline Retail – 0.8% (0.6% of Total Investments)  
  852     99 Cents Only Store, Term Loan B     6.000 %   1/11/19   B2     858,454    
  995     Bass Pro Group LLC, Term Loan B     5.250 %   6/13/17   BB-     994,585    
  1,847     Total Multiline Retail                       1,853,039    
    Oil, Gas & Consumable Fuels – 3.4% (2.5% of Total Investments)  
  1,995     CCS Income Trust, Term Loan     3.270 %   11/14/14   B     1,911,897    
  1,871     Western Refining, Inc., Term Loan     7.500 %   3/15/17   B+     1,888,226    
  329     Alon USA Energy, Inc., Edgington Facility     2.722 %   8/05/13   B+     317,431    
  2,636     Alon USA Energy, Inc., Paramount Facility     2.695 %   8/05/13   B+     2,539,356    
  1,000     CCS Income Trust, Delayed Term Loan, WI/DD     TBD     TBD   NA     958,438    
  7,831     Total Oil, Gas & Consumable Fuels                       7,615,348    
    Paper & Forest Products – 2.8% (2.0% of Total Investments)  
  2,731     Newark Group, Inc., DIP Term Loan     11.750 %   3/31/14   Caa1     2,799,721    
  3,670     Wilton Products, Term Loan     3.520 %   8/01/14   N/R     3,447,408    
  6,401     Total Paper & Forest Products                       6,247,129    

 

Nuveen Investments
20



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Personal Products – 1.4% (1.0% of Total Investments)  
$ 721     NBTY, Inc., Term Loan B1     4.250 %   10/01/17   BB-   $ 721,327    
  1,625     Prestige Brands, Inc., Term Loan 1, WI/DD     TBD     TBD   BB-     1,635,156    
  719     Revlon Consumer Products Corporation, Term Loan     4.750 %   11/19/17   BB-     718,158    
  3,065     Total Personal Products                       3,074,641    
    Pharmaceuticals – 5.1% (3.7% of Total Investments)  
  1,109     ConvaTec Healthcare, Term Loan     5.750 %   12/30/16   Ba3     1,104,365    
  2,000     Graceway Pharmaceuticals LLC, Second Lien Term Loan, (6)     0.000 %   5/03/13   N/R     45,000    
  352     Graceway Pharmaceuticals LLC, Term Loan, (6)     0.000 %   5/03/12   N/R     211,427    
  3,000     Pharmaceutical Product Development, Inc., Term Loan     6.250 %   12/05/18   BB-     3,024,921    
  2,388     Quintiles Transnational Corporation, Term Loan B     5.000 %   6/08/18   BB-     2,383,532    
  2,109     Warner Chilcott Corporation, Term Loan B1, DD1     4.250 %   3/17/18   BBB-     2,111,674    
  1,054     Warner Chilcott Corporation, Term Loan B2, DD1     4.250 %   3/17/18   BBB-     1,055,837    
  1,450     Warner Chilcott Corporation, Term Loan B3, DD1     4.250 %   3/17/18   BBB-     1,451,776    
  13,462     Total Pharmaceuticals                       11,388,532    
    Professional Services – 0.1% (0.1% of Total Investments)  
  629     Vertrue Inc., Term Loan, (6)     5.810 %   8/16/14   Ca     182,359    
    Real Estate Investment Trust – 1.6% (1.2% of Total Investments)  
  1,846     iStar Financial, Inc., Tranche A1     5.000 %   6/28/13   BB-     1,845,362    
  900     Walter Investment Management Corporation, Term Loan, First Lien     7.750 %   6/30/16   B+     916,500    
  866     Walter Investment Management Corporation, Term Loan, Second Lien     12.500 %   12/30/16   B-     868,784    
  3,612     Total Real Estate Investment Trust                       3,630,646    
    Real Estate Management & Development – 3.1% (2.3% of Total Investments)  
  1,722     Realogy Corporation, Delayed Term Loan     4.691 %   10/10/16   B1     1,610,354    
  3,785     Capital Automotive LP, Tranche B     5.000 %   3/11/17   Ba3     3,770,768    
  1,663     LNR Property Corporation, Term Loan     4.750 %   4/29/16   BB+     1,657,305    
  7,170     Total Real Estate Management & Development                       7,038,427    
    Road & Rail – 1.7% (1.2% of Total Investments)  
  3,371     Swift Transportation Company, Inc., Term Loan     6.000 %   12/21/16   BB     3,394,066    
  385     Avis Budget Car Rental LLC, Term Loan     5.750 %   4/19/14   Ba1     387,819    
  3,756     Total Road & Rail                       3,781,885    
    Semiconductors & Equipment – 1.9% (1.4% of Total Investments)  
  1,181     Freescale Semiconductor, Inc., Term Loan     4.545 %   12/01/16   Ba3     1,158,519    
  1,985     NXP Semiconductor LLC, Term Loan     4.500 %   3/04/17   B2     1,948,609    
  1,105     Spansion LLC, Term Loan     4.750 %   2/09/15   BB+     1,103,451    
  4,271     Total Semiconductors & Equipment                       4,210,579    
    Software – 4.1% (2.9% of Total Investments)  
  3,000     BlackBoard, Inc., Term Loan, First Lien     7.500 %   9/23/18   B+     2,919,375    
  1,805     Datatel Parent Corp, Term Loan B     6.250 %   6/13/18   B     1,820,089    
  2,500     IPC Systems, Inc., Term Loan, Second Lien, DD1     5.559 %   6/01/15   CCC     2,115,625    
  1,319     IPC Systems, Inc., Term Loan     2.757 %   6/02/14   B1     1,245,765    
  990     Vertafore, Inc., Term Loan     5.250 %   7/29/16   B+     980,103    
  9,614     Total Software                       9,080,957    
    Specialty Retail – 3.9% (2.8% of Total Investments)  
  905     Michaels Stores, Inc., Term Loan B1     2.875 %   10/31/13   B+     904,306    
  1,425     Toys "R" Us – Delaware, Inc., Term Loan     6.000 %   9/01/16   BB-     1,420,367    
  875     Toys "R" Us – Delaware Inc., Term Loan     5.250 %   5/17/18   BB-     862,466    
  944     Burlington Coat Factory Warehouse Corporation, Term Loan B     6.250 %   2/23/17   B-     946,224    
  411     Claire's Stores, Inc., Term Loan B     3.069 %   5/29/14   B     378,957    
  992     J Crew Group, Term Loan     4.750 %   3/07/18   B1     960,450    
  2,232     Jo-Ann Stores, Inc., Term Loan     4.750 %   3/16/18   B+     2,178,693    
  1,124     Lord & Taylor Holdings LLC, Term Loan     5.750 %   12/21/18   BB     1,128,750    
  8,908     Total Specialty Retail                       8,780,213    

 

Nuveen Investments
21



NSL

Nuveen Senior Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Wireless Telecommunication Services – 2.1% (1.5% of Total Investments)  
$ 1,827     Asurion LLC, Term Loan, First Lien     5.500 %   5/24/18   B+   $ 1,826,526    
  2,318     Clear Channel Communications, Inc., Tranche B, Term Loan     3.920 %   1/29/16   CCC+     1,863,218    
  1,000     Crown Castle Operating Company, Term Loan B, WI/DD     TBD     TBD   B1     1,001,162    
  5,145     Total Wireless Telecommunication Services                       4,690,906    
$ 278,845     Total Variable Rate Senior Loan Interests (cost $270,317,523)                       264,106,655    
Shares   Description (1)         Value  
    Common Stocks – 1.7% (1.3% of Total Investments)  
    Building Products – 1.0% (0.8% of Total Investments)  
  88,501     Masonite Worldwide Holdings, (7)                     $ 2,367,402    
    Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)  
  40,968     BLB Worldwide Holdings Inc., (7), (12)                       331,157    
    Media – 0.6% (0.4% of Total Investments)  
  51,773     Metro-Goldwyn-Mayer, (7), (12)                       1,229,608    
    Total Common Stocks (cost $7,815,284)                       3,928,167    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Convertible Bonds – 0.4% (0.3% of Total Investments)  
    Communications Equipment – 0.4% (0.3% of Total Investments)  
$ 850     Nortel Networks Corp., (6), (11)     1.750 %   4/15/12   N/R   $ 841,500    
$ 850     Total Convertible Bonds (cost $710,500)                       841,500    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Corporate Bonds – 12.1% (8.7% of Total Investments)  
    Commercial Services & Supplies – 0.2% (0.2% of Total Investments)  
$ 500     Ceridian Corporation     11.250 %   11/15/15   CCC   $ 448,750    
    Communications Equipment – 0.7% (0.5% of Total Investments)  
  1,000     Avaya Inc.     9.750 %   11/01/15   CCC+     957,500    
  650     Nortel Networks Limited, (6)     10.750 %   7/15/16   N/R     721,500    
  1,650     Total Communications Equipment                       1,679,000    
    Diversified Financial Services – 0.4% (0.3% of Total Investments)  
  792     CIT Group Inc.     7.000 %   5/01/16   B+     792,458    
    Diversified Telecommunication Services – 0.5% (0.3% of Total Investments)  
  1,000     IntelSat Bermuda Limited     11.250 %   2/04/17   CCC+     1,010,000    
    Health Care Equipment & Supplies – 1.3% (0.9% of Total Investments)  
  1,700     Chiron Merger Sub Inc., 144A     10.500 %   11/01/18   B     1,734,000    
  1,000     Merge Healthcare Inc.     11.750 %   5/01/15   B+     1,062,500    
  2,700     Total Health Care Equipment & Supplies                       2,796,500    
    Health Care Providers & Services – 1.8% (1.3% of Total Investments)  
  1,000     HCA Inc., (11)     8.500 %   4/15/19   BB     1,110,000    
  1,160     Select Medical Corporation     7.625 %   2/01/15   CCC+     1,148,400    
  1,500     Select Medical Corporation     6.267 %   9/15/15   CCC+     1,340,625    
  500     Vanguard Health Holding LLC/Inc.     8.000 %   2/01/18   B-     523,750    
  4,160     Total Health Care Providers & Services                       4,122,775    

 

Nuveen Investments
22



Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Household Products – 1.0% (0.7% of Total Investments)  
$ 2,000     Sprectum Brands Inc.     9.500 %   6/15/18   B1   $ 2,267,500    
    IT Services – 0.4% (0.3% of Total Investments)  
  1,000     First Data Corporation, 144A     7.375 %   6/15/19   B+     997,500    
    Machinery – 0.8% (0.6% of Total Investments)  
  2,000     NES Rental Holdings Inc., 144A     12.250 %   4/15/15   CCC+     1,745,000    
    Media – 2.0% (1.4% of Total Investments)  
  2,000     Clear Channel Communications, Inc.     5.500 %   9/15/14   CCC-     1,670,000    
  1,000     Clear Channel Communications, Inc.     10.750 %   8/01/16   CCC-     745,000    
  3,200     Clear Channel Communications, Inc.     6.875 %   6/15/18   CCC-     1,680,000    
  155     Readers Digest Association     9.500 %   2/15/17   B3     129,425    
  200     WM Finance Corporation, 144A     11.500 %   10/01/18   B-     204,000    
  6,555     Total Media                       4,428,425    
    Paper & Forest Products – 0.3% (0.2% of Total Investments)  
  1,000     Verso Paper Holdings LLC     4.290 %   8/01/14   B     665,000    
    Pharmaceuticals – 1.9% (1.4% of Total Investments)  
  2,000     Angiotech Pharmaceuticals Inc.     5.000 %   12/01/13   NA     1,740,000    
  2,000     Valeant Pharmaceuticals International, 144A     7.000 %   10/01/20   BB-     2,032,500    
  500     Valeant Pharmaceuticals International, 144A     7.250 %   7/15/22   BB-     506,250    
  4,500     Total Pharmaceuticals                       4,278,750    
    Road & Rail – 0.4% (0.3% of Total Investments)  
  1,000     Avis Budget Car Rental     2.957 %   5/15/14   B     965,000    
    Software – 0.4% (0.3% of Total Investments)  
  850     SoftBrands Inc/Atlantis, 144A     11.500 %   7/15/18   B-     858,500    
    Specialty Retail – 0.0% (0.0% of Total Investments)  
  480     Local Insight Regatta Holdings, (6)     11.000 %   12/01/17   Caa3     48    
$ 30,187     Total Corporate Bonds (cost $27,066,221)                       27,055,206    
Principal
Amount (000)
  Description (1)   Coupon   Maturity     Value  
    Short-Term Investments – 5.7% (4.1% of Total Investments)  
$ 12,640     Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/12,
repurchase price $12,640,331, collateralized by $12,250,000 U.S. Treasury Notes,
1.750%, due 5/31/16, value $12,895,943
    0.010 %   2/01/12         $ 12,640,327    
    Total Short-Term Investments (cost $12,640,327)                       12,640,327    
    Total Investments (cost $318,549,855) – 138.1%                       308,571,855    
    Borrowings – (33.8)% (8), (9)                       (75,500,000 )  
    Other Assets Less Liabilities – (4.3)% (10)                       (9,623,018 )  
    Net Assets Applicable to Common Shares – 100%                     $ 223,448,837    

 

Investments in Derivatives at January 31, 2012

Interest Rate Swaps outstanding:

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate*   Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 
Goldman Sachs   $ 18,487,500     Receive   1-Month USD-LIBOR     0.344 %   Monthly   4/20/12   $ 3,034    
Goldman Sachs     18,487,500     Receive   1-Month USD-LIBOR     1.300     Monthly   4/20/14     (397,088 )  
Morgan Stanley     18,487,500     Receive   1-Month USD-LIBOR     2.201     Monthly   4/20/16     (1,176,237 )  
                            $ (1,570,291 )  

 

*  Annualized.

 

Nuveen Investments
23



NSL

Nuveen Senior Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

    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)  Ratings: Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. 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.

  (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

  (5)  Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2011. Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2011.

  (6)  At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, 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 directed the Fund's custodian to cease accruing additional income on the Fund's records.

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

  (8)  Borrowings as a percentage of total investments is 24.5%.

  (9)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (10)  Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at January 31, 2012.

  (11)  Investment, or portion of investment, has been pledged as collateral for investments in derivatives.

  (12)  For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1—General Information and Significant Accounting Policies, Investment Valuation for more information.

  N/R  Not rated.

  DD1  Investment, or 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 buyer.

  PIK  Payment in-kind.

  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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

  USD-LIBOR  United States Dollar-London Inter-Bank Offered Rate

See accompanying notes to financial statements.

Nuveen Investments
24




JFR

Nuveen Floating Rate Income Fund

Portfolio of INVESTMENTS

  January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Variable Rate Senior Loan Interests – 121.3% (86.6% of Total Investments) (4)  
    Airlines – 1.8% (1.3% of Total Investments)  
$ 3,000     Delta Air Lines, Inc. Revolving Loan, Delayed Draw, (5)     0.750 %   3/28/13   Ba2   $ (165,000 )  
  10,294     United Air Lines, Inc., Term Loan B     2.313 %   2/01/14   BB-     10,062,699    
  13,294     Total Airlines                       9,897,699    
    Auto Components – 3.0% (2.1% of Total Investments)  
  889     Autoparts Holdings, Ltd., Term Loan, Second Lien     10.500 %   1/29/18   B-     862,222    
  519     Autoparts Holdings, Ltd., Term Loan     6.500 %   7/29/17   B+     520,321    
  10,241     Federal-Mogul Corporation, Tranche B, Term Loan     2.235 %   12/29/14   Ba3     9,811,930    
  5,655     Federal-Mogul Corporation, Tranche C, Term Loan     2.220 %   12/28/15   Ba3     5,418,498    
  17,304     Total Auto Components                       16,612,971    
    Automobiles – 0.2% (0.1% of Total Investments)  
  983     Chrysler Group LLC, Term Loan     6.000 %   5/24/17   BB     964,276    
    Biotechnology – 2.8% (2.0% of Total Investments)  
  2,917     Alkermes, Inc., Term Loan, First Lien     6.750 %   9/16/17   BB     2,945,834    
  1,333     Alkermes, Inc., Term Loan, Second Lien     9.500 %   9/16/18   B     1,383,333    
  5,970     Grifols, Term Loan     6.000 %   6/01/17   BB     6,005,324    
  5,976     Onex Carestream Finance LP, Term Loan, DD1     5.000 %   2/25/17   BB-     5,648,304    
  16,196     Total Biotechnology                       15,982,795    
    Building Products – 1.6% (1.1% of Total Investments)  
  1,273     Goodman Global Inc., Second Lien Term Loan     9.000 %   10/28/17   B-     1,283,626    
  7,549     Goodman Global Inc., Term Loan     5.750 %   10/28/16   B+     7,591,880    
  8,822     Total Building Products                       8,875,506    
    Capital Markets – 0.8% (0.6% of Total Investments)  
  585     BNY Convergex Group LLC, Incremental Term Loan     5.000 %   12/19/16   B+     568,785    
  1,329     BNY Convergex Group LLC, Term Loan     5.000 %   12/19/16   B+     1,291,798    
  2,910     Citco III Limited, Term Loan     5.500 %   6/29/18   N/R     2,804,874    
  4,824     Total Capital Markets                       4,665,457    
    Chemicals – 3.9% (2.8% of Total Investments)  
  2,500     Hercules Offshore, Inc., Term Loan, WI/DD     TBD     TBD   B-     2,477,430    
  2,742     Ashland, Inc., Term Loan     3.750 %   8/23/18   Baa3     2,755,464    
  205     Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1     4.063 %   5/05/15   Ba3     202,350    
  92     Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2     4.375 %   5/05/15   Ba3     91,091    
  2,513     Ineos US Finance LLC, Tranche B2     7.500 %   12/16/13   Ba3     2,606,155    
  2,531     Ineos US Finance LLC, Tranche C2     8.000 %   12/16/14   Ba3     2,624,816    
  1,333     Polyone Corp, Term Loan B     5.000 %   11/01/17   Ba1     1,339,834    
  2,851     Styron S.a.r.l. Corporation,Term Loan     6.000 %   8/02/17   B+     2,608,848    
  7,323     Univar, Inc., Term Loan     5.000 %   6/30/17   B+     7,251,616    
  22,090     Total Chemicals                       21,957,604    
    Commercial Banks – 0.7% (0.5% of Total Investments)  
  1,980     Fifth Third Processing Solutions LLC, Term Loan B1, First Lien     4.500 %   11/03/16   BB-     1,984,988    
  1,990     SourceHov LLC, Term Loan B, First Lien     6.625 %   4/28/17   B+     1,788,512    
  3,970     Total Commercial Banks                       3,773,500    

 

Nuveen Investments
25



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Commercial Services & Supplies – 1.1% (0.8% of Total Investments)  
$ 2,735     Ceridian Corporation, US Term Loan     3.271 %   11/09/14   B1   $ 2,571,173    
  2,405     KAR Auction Services, Inc., Term Loan     5.000 %   5/19/17   BB-     2,404,372    
  98     ServiceMaster Company, Delayed Term Loan     2.770 %   7/24/14   B+     96,333    
  984     ServiceMaster Company, Term Loan     2.850 %   7/24/14   B+     967,342    
  6,222     Total Commercial Services & Supplies                       6,039,220    
    Communications Equipment – 3.1% (2.2% of Total Investments)  
  4,316     Intelsat, Term Loan     5.250 %   4/02/18   BB-     4,330,395    
  11,441     Avaya, Inc., Term Loan     3.256 %   10/27/14   B1     11,106,557    
  2,000     Genesys International Corporation, Term Loan B, WI/DD     TBD     TBD   BB-     2,003,126    
  17,757     Total Communications Equipment                       17,440,078    
    Construction Materials – 0.3% (0.2% of Total Investments)  
  1,600     Summit Materials Companies LLC, Term Loan B     6.000 %   1/23/19   B+     1,600,000    
    Consumer Finance – 0.9% (0.6% of Total Investments)  
  1,247     MoneyGram Payment Systems Worldwide, Inc., Term Loan B-1     4.500 %   11/17/17   BB-     1,240,641    
  895     Peach Holdings, Inc., Term Loan     8.750 %   11/21/13   B3     835,373    
  3,000     Springleaf Financial Funding Company, Term Loan     5.500 %   5/10/17   B+     2,803,749    
  5,142     Total Consumer Finance                       4,879,763    
    Containers & Packaging – 0.1% (0.1% of Total Investments)  
  812     Sealed Air Corporation, Term Loan     4.750 %   10/03/18   Ba1     822,373    
    Diversified Consumer Services – 2.9% (2.1% of Total Investments)  
  7,125     Cengage Learning Acquisitions, Inc., Term Loan     2.520 %   7/03/14   B+     6,327,333    
  4,948     Advantage Sales and Marketing, Inc., Term Loan, First Lien     5.250 %   12/18/17   B+     4,923,771    
  2,376     Brickman Group Holdings, Inc., Tranche B, Term Loan     7.250 %   10/14/16   B+     2,395,305    
  2,978     Laureate Education, Inc., Extended Term Loan     5.250 %   6/15/18   B1     2,789,545    
  17,427     Total Diversified Consumer Services                       16,435,954    
    Diversified Financial Services – 1.4% (1.0% of Total Investments)  
  1,588     FoxCo Acquisition Sub LLC, Term Loan     4.750 %   7/14/15   B+     1,584,435    
  3,500     Ocwen Financial Corporation, Add on Term Loan, WI/DD     TBD     TBD   B1     3,480,312    
  3,000     UPC Broadband Holding BV, Term Loan, Tranche AB     4.750 %   12/31/17   Ba3     2,996,274    
  8,088     Total Diversified Financial Services                       8,061,021    
    Diversified Telecommunication Services – 2.0% (1.5% of Total Investments)  
  3,000     Charter Communications Operating Holdings LLC, Holdco Term Loan     2.770 %   3/06/14   BB+     2,952,501    
  6,800     Level 3 Financing, Inc., Term Loan     2.746 %   3/13/14   Ba3     6,634,250    
  1,987     WideOpenWest Finance LLC, Term Loan, First Lien     2.779 %   6/30/14   B1     1,902,779    
  11,787     Total Diversified Telecommunication Services                       11,489,530    
    Electric Utilities – 0.6% (0.4% of Total Investments)  
  4,781     TXU Corporation, 2014 Term Loan     3.795 %   10/10/14   B2     3,282,483    
    Electronic Equipment & Instruments – 1.0% (0.7% of Total Investments)  
  496     NDS Group, Ltd., Term Loan     4.000 %   3/12/18   Ba2     494,383    
  5,486     Smart Modular Technologies, Inc., Term Loan     8.250 %   8/26/17   B+     4,992,488    
  5,982     Total Electronic Equipment & Instruments                       5,486,871    
    Energy Equipment & Services – 0.5% (0.4% of Total Investments)  
  2,948     Gibson Energy ULC, Term Loan     5.750 %   6/15/18   BB-     2,963,502    
    Food & Staples Retailing – 5.3% (3.7% of Total Investments)  
  12,828     Reynolds Group Holdings, Inc., Add on Term Loan     6.500 %   8/09/18   BB-     12,896,491    
  17,449     U.S. Foodservice, Inc., Term Loan     2.775 %   7/03/14   B3     16,645,411    
  30,277     Total Food & Staples Retailing                       29,541,902    

 

Nuveen Investments
26



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Food Products – 2.3% (1.6% of Total Investments)  
$ 2,000     Great Atlantic and Pacific Tea Company, Inc., Term Loan     8.750 %   6/14/12   BB-   $ 2,010,000    
  4,785     Michael Foods Group, Inc., Term Loan     4.250 %   2/25/18   B+     4,792,389    
  3,950     Pierre Foods, Inc., Term Loan     7.000 %   9/30/16   B+     3,942,594    
  1,888     Pinnacle Foods Finance LLC, Tranche D, Term Loan     6.000 %   4/02/14   Ba3     1,904,011    
  12,623     Total Food Products                       12,648,994    
    Health Care Equipment & Supplies – 2.0% (1.4% of Total Investments)  
  10,000     Chiron Merger Sub, Inc., Term Loan     7.000 %   5/04/18   Ba2     10,192,000    
  142     Fenwal, Inc., Delayed Term Loan     2.773 %   2/28/14   B     137,451    
  826     Fenwal, Inc., Term Loan     2.773 %   2/28/14   B     801,563    
  10,968     Total Health Care Equipment & Supplies                       11,131,014    
    Health Care Providers & Services – 12.6% (9.0% of Total Investments)  
  7,817     Community Health Systems, Inc., Term Loan     2.755 %   7/25/14   BB     7,732,022    
  1,647     Sun Healthcare Group, Inc., Term Loan     8.750 %   10/18/16   Ba1     1,461,417    
  1,474     Ardent Medical Services, Inc., Term Loan     6.500 %   9/15/15   B1     1,479,298    
  401     Community Health Systems, Inc., Delayed Term Loan     2.520 %   7/25/14   BB     397,127    
  5,917     Gentiva Health Services, Inc., Term Loan B, DD1     4.750 %   8/17/16   B1     5,466,122    
  13,779     Golden Living, Term Loan     5.000 %   5/04/18   B+     12,452,858    
  2,808     HCA, Inc., Tranche B2, Term Loan     3.829 %   3/31/17   BB     2,750,180    
  2,500     Health Management Associates, Inc., Term Loan B     4.500 %   11/16/18   BB-     2,477,345    
  1,122     Healthspring, Term Loan     6.750 %   10/21/16   BB-     1,120,397    
  5,970     Kindred Healthcare, Term Loan     5.250 %   6/01/18   Ba3     5,775,975    
  755     LifeCare Holdings, Inc., Term Loan Add On     8.327 %   2/01/16   Caa1     645,569    
  4,185     LifeCare, Term Loan     8.327 %   2/01/16   Caa1     3,578,398    
  2,703     MultiPlan, Inc., Term Loan B     4.750 %   8/26/17   Ba3     2,657,193    
  5,211     National Mentor Holdings, Inc., Tranche B     7.000 %   2/09/17   B+     5,060,820    
  1,188     Renal Advantage, Inc., Tranche B, Term Loan     5.750 %   12/17/16   Ba3     1,189,857    
  6,994     Select Medical Corporation, Term Loan     5.500 %   6/01/18   BB-     6,778,112    
  1,410     Skilled Healthcare Group, Inc., Term Loan     5.264 %   4/09/16   B+     1,334,958    
  1,625     Universal Health Services, Inc., Term Loan B     3.750 %   11/15/16   BB+     1,624,857    
  6,861     Vanguard Health Holding Company II LLC, Initial Term Loan     5.000 %   1/29/16   Ba2     6,867,844    
  74,367     Total Health Care Providers & Services                       70,850,349    
    Health Care Technology – 1.4% (1.0% of Total Investments)  
  7,667     Emdeon Business Services LLC, Term Loan     6.750 %   11/02/18   BB-     7,751,321    
  350     Fenwal, Inc., Term Loan, Second Lien     5.773 %   8/28/14   B-     327,250    
  8,017     Total Health Care Technology                       8,078,571    
    Hotels, Restaurants & Leisure – 6.2% (4.4% of Total Investments)  
  4,925     24 Hour Fitness Worldwide, Inc., New Term Loan     7.500 %   4/22/16   Ba3     4,793,256    
  1,500     Harrah's Operating Company, Inc., Term Loan B1     3.276 %   1/28/15   B     1,353,309    
  3,000     Harrah's Operating Company, Inc., Term Loan B2     3.276 %   1/28/15   B     2,712,321    
  1,960     Harrah's Operating Company, Inc., Term Loan B3     3.279 %   1/28/15   B     1,771,787    
  4,355     Orbitz Worldwide, Inc., Term Loan     3.405 %   7/25/14   B+     3,799,434    
  75     Buffets, Inc., 1st Lien PF/LC Loan     2.324 %   4/22/15   D     31,600    
  486     Caesars Octavius LLC, Term Loan     9.250 %   4/25/17   B     479,876    
  1,952     CCM Merger, Inc., Term Loan     7.000 %   3/01/17   B+     1,950,424    
  581     OSI Restaurant Partners LLC, Revolver     3.519 %   6/14/13   B+     568,544    
  5,162     OSI Restaurant Partners LLC, Term Loan     2.563 %   6/14/14   B+     5,051,427    
  3,504     Reynolds Group Holdings, Inc., US Term Loan     6.500 %   2/09/18   BB     3,522,582    
  6,777     Seaworld Parks and Entertainment, Inc., Term Loan B     4.000 %   8/17/17   BB+     6,778,985    
  2,000     Six Flags Theme Parks, Inc., Term Loan B     4.250 %   12/20/18   BB+     1,999,888    
  36,277     Total Hotels, Restaurants & Leisure                       34,813,433    
    Household Products – 1.4% (1.0% of Total Investments)  
  5,824     Spectrum Brands, Inc., Term Loan     5.002 %   6/17/16   B1     5,842,550    
  1,845     Visant Corporation, Term Loan     5.250 %   12/22/16   BB-     1,757,445    
  7,669     Total Household Products                       7,599,995    

 

Nuveen Investments
27



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Industrial Conglomerates – 1.2% (0.9% of Total Investments)  
$ 663     Eagle Parent, Inc., Term Loan     5.000 %   5/16/18   Ba3   $ 654,212    
  840     Evertec, Inc., Term Loan     5.250 %   9/30/16   BB-     832,172    
  1,973     Presidio, Inc., Term Loan     7.250 %   3/31/17   Ba3     1,998,000    
  2,500     Sequa Corporation, Term Loan B     3.831 %   12/03/14   B1     2,471,095    
  984     U.S. Foodservice, Inc., Term Loan, First Lien     5.750 %   3/31/17   B-     974,756    
  6,960     Total Industrial Conglomerates                       6,930,235    
    Internet Software & Services – 3.2% (2.3% of Total Investments)  
  3,940     Sabre, Inc., Term Loan     2.348 %   9/30/14   B1     3,532,566    
  5,054     Go Daddy Operating Co., LLC, Term Loan, First Lien     7.000 %   12/17/18   Ba3     5,086,851    
  750     Open Solutions, Inc., Term Loan B     2.685 %   1/23/14   B+     686,293    
  3,914     SkillSoft Corporation, Term Loan     6.500 %   5/26/17   BB-     3,925,775    
  4,958     Web.com, Term Loan, First Lien     7.000 %   10/27/17   Ba3     4,733,141    
  18,616     Total Internet Software & Services                       17,964,626    
    IT Services – 9.2% (6.6% of Total Investments)  
  8,996     First Data Corporation, Term Loan B1     3.027 %   9/24/14   B+     8,537,779    
  1,835     Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan     6.020 %   7/28/15   B+     1,788,890    
  1,810     SunGard Data Systems, Inc., Term Loan B     2.041 %   2/28/14   BB     1,791,703    
  800     Attachmate Corporation, Second Lien Term Loan     9.500 %   10/27/17   CCC+     771,000    
  4,938     Attachmate Corporation, Term Loan     6.500 %   4/27/17   BB-     4,861,379    
  1,948     First Data Corporation, Term Loan B2     3.027 %   9/24/14   B+     1,849,307    
  3,168     First Data Corporation, Term Loan B3     3.027 %   9/24/14   B+     3,008,017    
  7,788     Frac Tech International LLC, Term Loan     6.250 %   5/06/16   B+     7,781,275    
  5,155     Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan     0.000 %   9/02/14   N/R     3,082,837    
  1,265     Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw     6.520 %   3/02/14   CCC+     1,107,264    
  1,988     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2     7.250 %   7/28/15   B+     1,958,214    
  2,186     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien     6.520 %   3/02/14   CCC+     1,948,611    
  3,510     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan     6.020 %   7/28/15   B+     3,438,439    
  4,329     SRA International, Term Loan     6.500 %   7/20/18   B1     4,234,176    
  1,367     Syniverse Holdings, Inc., Term Loan     5.250 %   12/21/17   BB-     1,373,492    
  2,864     VFH Parent LLC, Term Loan     7.500 %   7/08/16   BBB-     2,892,514    
  1,385     Web.com, Term Loan, Second Lien     11.000 %   10/27/18   B3     1,262,769    
  55,332     Total IT Services                       51,687,666    
    Leisure, Equipment & Products – 4.5% (3.2% of Total Investments)  
  2,590     BLB Management Services, Inc., Term Loan     8.500 %   11/05/15   BB     2,597,901    
  6,983     Academy, Ltd., Term Loan     6.000 %   8/03/18   B     7,007,342    
  14,278     Bombardier Recreational Products, Inc., Term Loan     2.796 %   6/28/13   B2     14,197,511    
  1,500     Eastman Kodak Co., DIP Term Loan, WI/DD     TBD     TBD   B     1,510,312    
  25,351     Total Leisure, Equipment & Products                       25,313,066    
    Machinery – 0.5% (0.4% of Total Investments)  
  3,033     ColFax Corporation Term Loan     4.500 %   11/30/18   BB+     3,048,500    
    Media – 8.4% (6.0% of Total Investments)  
  1,587     Gray Television, Inc., Term Loan B     3.800 %   12/31/14   B     1,564,588    
  2,888     Tribune Company, Term Loan B, (6)     0.000 %   6/04/14   Ca     1,857,922    
  22,494     Univision Communications, Inc., Term Loan     4.520 %   3/31/17   B+     21,214,227    
  4,729     Yell Group PLC, Term Loan     4.020 %   7/31/14   N/R     1,438,530    
  5,550     Cumulus Media, Inc., Term Loan, First Lien     5.750 %   9/17/18   Ba2     5,565,379    
  5,000     Cumulus Media, Inc., Term Loan, Second Lien     7.500 %   3/18/19   B2     4,978,125    
  2,249     Interactive Data Corporation, Term Loan B     4.500 %   2/11/18   Ba3     2,247,240    
  3,177     Mediacom Broadband LLC, Tranche D, Term Loan     5.500 %   3/31/17   BB-     3,160,991    
  3,898     Spanish Broadcasting System, Inc., Term Loan B     2.020 %   6/11/12   B-     3,878,808    
  2,469     SuperMedia, Term Loan     11.000 %   12/31/15   Caa1     1,192,932    
  54,041     Total Media                       47,098,742    

 

Nuveen Investments
28



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Metals & Mining – 0.3% (0.2% of Total Investments)  
$ 1,690     Fairmount Minerals, Ltd., Tranche B, Term Loan     5.250 %   3/15/17   BB-   $ 1,698,450    
    Multiline Retail – 1.3% (0.9% of Total Investments)  
  2,205     99 Cents Only Store, Term Loan B, DD1     6.000 %   1/11/19   B+     2,220,528    
  1,990     Bass Pro Group LLC, Term Loan B     5.250 %   6/13/17   BB-     1,989,170    
  3,000     Neiman Marcus Group, Inc., Term Loan     4.750 %   5/16/18   BB-     2,952,708    
  7,195     Total Multiline Retail                       7,162,406    
    Oil, Gas & Consumable Fuels – 3.0% (2.2% of Total Investments)  
  2,887     CCS Income Trust, Term Loan     3.270 %   11/14/14   B     2,767,219    
  3,426     Western Refining, Inc., Term Loan     7.500 %   3/15/17   B+     3,457,397    
  951     Alon USA Energy, Inc., Edgington Facility     2.722 %   8/05/13   B+     915,758    
  7,604     Alon USA Energy, Inc., Paramount Facility     2.695 %   8/05/13   B+     7,325,930    
  1,820     Brand Energy & Infrastructure Services, Inc., Term Loan B     2.875 %   2/07/14   B     1,535,612    
  1,000     CCS Income Trust, Delayed Term Loan, WI/DD     TBD     TBD   B     958,438    
  17,688     Total Oil, Gas & Consumable Fuels                       16,960,354    
    Paper & Forest Products – 1.6% (1.2% of Total Investments)  
  4,552     Newark Group, Inc., DIP Term Loan     11.750 %   3/31/14   Caa1     4,666,202    
  4,674     Wilton Products, Term Loan     3.520 %   8/01/14   N/R     4,390,924    
  9,226     Total Paper & Forest Products                       9,057,126    
    Personal Products – 0.8% (0.6% of Total Investments)  
  1,104     NBTY, Inc., Term Loan B1     4.250 %   10/01/17   BB-     1,105,190    
  1,625     Prestige Brands, Inc., Term Loan 1, WI/DD     TBD     TBD   BB-     1,635,156    
  1,935     Revlon Consumer Products Corporation, Term Loan     4.750 %   11/19/17   BB-     1,933,501    
  4,664     Total Personal Products                       4,673,847    
    Pharmaceuticals – 4.4% (3.1% of Total Investments)  
  2,772     ConvaTec Healthcare, Term Loan     5.750 %   12/30/16   Ba3     2,760,912    
  5,625     Graceway Pharmaceuticals LLC, Second Lien Term Loan, (6)     0.000 %   5/03/13   N/R     126,562    
  188     Graceway Pharmaceuticals LLC, Term Loan, (6)     0.000 %   5/03/12   N/R     112,941    
  6,000     Pharmaceutical Product Development, Inc., Term Loan     6.250 %   12/05/18   BB-     6,049,842    
  6,368     Quintiles Transnational Corporation, Term Loan B     5.000 %   6/08/18   BB-     6,356,085    
  4,219     Warner Chilcott Corporation, Term Loan B1, DD1     4.250 %   3/17/18   BBB-     4,224,716    
  2,109     Warner Chilcott Corporation, Term Loan B2, DD1     4.250 %   3/17/18   BBB-     2,112,358    
  2,900     Warner Chilcott Corporation, Term Loan B3, DD1     4.250 %   3/17/18   BBB-     2,904,492    
  30,181     Total Pharmaceuticals                       24,647,908    
    Professional Services – 0.0% (0.0% of Total Investments)  
  629     Vertrue Inc., Term Loan, (6)     5.810 %   8/16/14   Ca     182,359    
    Real Estate Investment Trust – 2.2% (1.6% of Total Investments)  
  7,999     iStar Financial, Inc., Tranche A1     5.000 %   6/28/13   BB-     7,996,567    
  1,800     Walter Investment Management Corporation, Term Loan, First Lien     7.750 %   6/30/16   B+     1,833,000    
  2,599     Walter Investment Management Corporation, Term Loan, Second Lien     12.500 %   12/30/16   B-     2,606,351    
  12,398     Total Real Estate Investment Trust                       12,435,918    
    Real Estate Management & Development – 3.7% (2.6% of Total Investments)  
  4,131     Realogy Corporation, Delayed Term Loan     4.691 %   10/10/16   B1     3,863,772    
  13,247     Capital Automotive LP, Tranche B     5.000 %   3/11/17   Ba3     13,197,688    
  3,454     LNR Property Corporation, Term Loan     4.750 %   4/29/16   BB+     3,443,612    
  20,832     Total Real Estate Management & Development                       20,505,072    
    Road & Rail – 1.9% (1.4% of Total Investments)  
  10,113     Swift Transportation Company, Inc., Term Loan     6.000 %   12/21/16   BB     10,182,198    
  642     Avis Budget Car Rental LLC, Term Loan     5.750 %   4/19/14   Ba1     646,365    
  10,755     Total Road & Rail                       10,828,563    

 

Nuveen Investments
29



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Semiconductors & Equipment – 3.0% (2.1% of Total Investments)  
$ 8,384     Freescale Semiconductor, Inc., Term Loan     4.545 %   12/01/16   Ba3   $ 8,224,926    
  5,950     NXP Semiconductor LLC, Term Loan     4.500 %   3/04/17   B2     5,840,943    
  898     NXP Semiconductor LLC, Tranche A2, Term Loan     5.500 %   3/03/17   B+     889,895    
  1,657     Spansion LLC, Term Loan     4.750 %   2/09/15   BB+     1,655,177    
  16,889     Total Semiconductors & Equipment                       16,610,941    
    Software – 4.0% (2.8% of Total Investments)  
  7,500     BlackBoard, Inc., Term Loan, First Lien     7.500 %   9/23/18   B+     7,298,438    
  3,610     Datatel Parent Corp, Term Loan B     6.250 %   6/13/18   B     3,640,219    
  8,500     IPC Systems, Inc., Term Loan, Second Lien, DD1     5.559 %   6/01/15   CCC     7,193,125    
  4,497     IPC Systems, Inc., Term Loan     2.757 %   6/02/14   B1     4,246,037    
  24,107     Total Software                       22,377,819    
    Specialty Retail – 4.9% (3.5% of Total Investments)  
  1,782     Michaels Stores, Inc., Term Loan B1     2.875 %   10/31/13   B+     1,780,384    
  6,109     Toys "R" Us – Delaware, Inc., Term Loan     6.000 %   9/01/16   BB-     6,090,433    
  3,502     Toys "R" Us – Delaware Inc., Term Loan     5.250 %   5/17/18   BB-     3,449,864    
  3,264     Burlington Coat Factory Warehouse Corporation, Term Loan B     6.250 %   2/23/17   B-     3,266,923    
  826     Claire's Stores, Inc., Term Loan B     3.069 %   5/29/14   B     757,915    
  2,983     J Crew Group, Term Loan     4.750 %   3/07/18   B1     2,886,165    
  4,715     Jo-Ann Stores, Inc., Term Loan     4.750 %   3/16/18   B+     4,599,462    
  2,626     Lord & Taylor Holdings LLC, Term Loan     5.750 %   12/21/18   BB     2,633,749    
  2,206     Petco Animal Supplies, Inc., Term Loan     4.500 %   11/24/17   B1     2,190,760    
  28,013     Total Specialty Retail                       27,655,655    
    Wireless Telecommunication Services – 3.3% (2.4% of Total Investments)  
  10,051     Asurion LLC, Term Loan, First Lien     5.500 %   5/24/18   B+     10,045,897    
  8,960     Clear Channel Communications, Inc., Tranche B, Term Loan     3.920 %   1/29/16   CCC+     7,195,787    
  1,500     Crown Castle Operating Company, Term Loan B, WI/DD     TBD     TBD   B1     1,501,736    
  20,511     Total Wireless Telecommunication Services                       18,743,420    
$ 718,338     Total Variable Rate Senior Loan Interests (cost $681,848,581)                       681,477,534    
Shares   Description (1)         Value  
    Common Stocks – 2.4% (1.7% of Total Investments)  
    Building Products – 1.4% (1.0% of Total Investments)  
  301,905     Masonite Worldwide Holdings, (7)                     $ 8,075,959    
    Hotels, Restaurants & Leisure – 0.1% (0.0% of Total Investments)  
  42,041     BLB Worldwide Holdings Inc., (7), (12)                       339,830    
    Media – 0.9% (0.7% of Total Investments)  
  215,163     Metro-Goldwyn-Mayer, (7), (13)                       5,110,121    
    Total Common Stocks (cost $28,512,579)                       13,525,910    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Convertible Bonds – 0.3% (0.3% of Total Investments)  
    Communications Equipment – 0.3% (0.3% of Total Investments)  
$ 850     Nortel Networks Corp., (6), (11)     1.750 %   4/15/12   N/R   $ 841,500    
  1,000     Nortel Networks Corp., (6)     2.125 %   4/15/14   D     990,000    
  1,850     Total Communications Equipment                       1,831,500    
$ 1,850     Total Convertible Bonds (cost $1,563,750)                       1,831,500    

 

Nuveen Investments
30



Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Corporate Bonds – 9.4% (6.6% of Total Investments)  
    Commercial Services & Supplies – 0.2% (0.1% of Total Investments)  
$ 1,000     Ceridian Corporation     11.250 %   11/15/15   CCC   $ 897,500    
    Communications Equipment – 1.0% (0.7% of Total Investments)  
  2,750     Avaya Inc.     9.750 %   11/01/15   CCC+     2,633,125    
  2,000     Nortel Networks Limited, (6)     0.000 %   7/15/13   N/R     2,080,000    
  650     Nortel Networks Limited, (6)     10.750 %   7/15/16   N/R     721,500    
  5,400     Total Communications Equipment                       5,434,625    
    Diversified Telecommunication Services – 0.7% (0.5% of Total Investments)  
  750     IntelSat Bermuda Limited, 144A     11.500 %   2/15/17   CCC+     753,750    
  750     IntelSat Bermuda Limited     11.500 %   2/04/17   CCC+     753,750    
  2,500     IntelSat Bermuda Limited     11.250 %   2/04/17   CCC+     2,525,000    
  4,000     Total Diversified Telecommunication Services                       4,032,500    
    Health Care Equipment & Supplies – 0.9% (0.7% of Total Investments)  
  2,450     Chiron Merger Sub Inc., 144A     10.500 %   11/01/18   B     2,499,000    
  2,500     Merge Healthcare Inc.     11.750 %   5/01/15   B+     2,656,250    
  4,950     Total Health Care Equipment & Supplies                       5,155,250    
    Health Care Providers & Services – 1.6% (1.1% of Total Investments)  
  2,000     Aurora Diagnostics Holdings LLC     10.750 %   1/15/18   B3     1,972,500    
  3,750     HCA Inc., (11)     8.500 %   4/15/19   BB     4,162,500    
  1,293     Select Medical Corporation     7.625 %   2/01/15   CCC+     1,280,070    
  1,000     Select Medical Corporation     6.267 %   9/15/15   CCC+     893,750    
  500     Vanguard Health Holding LLC/Inc.     8.000 %   2/01/18   B-     523,750    
  8,543     Total Health Care Providers & Services                       8,832,570    
    Household Products – 0.6% (0.4% of Total Investments)  
  2,750     Sprectum Brands Inc.     9.500 %   6/15/18   B1     3,117,813    
    IT Services – 0.7% (0.5% of Total Investments)  
  3,000     First Data Corporation, 144A     7.375 %   6/15/19   B+     2,992,500    
  1,228     First Data Corporation     10.550 %   9/24/15   B-     1,216,005    
  4,228     Total IT Services                       4,208,505    
    Media – 1.6% (1.1% of Total Investments)  
  5,500     Clear Channel Communications, Inc.     5.500 %   9/15/14   CCC-     4,592,500    
  2,250     Clear Channel Communications, Inc.     10.750 %   8/01/16   CCC-     1,676,250    
  3,700     Clear Channel Communications, Inc.     6.875 %   6/15/18   CCC-     1,942,500    
  140     Readers Digest Association     9.500 %   2/15/17   B3     116,900    
  400     WM Finance Corporation, 144A     11.500 %   10/01/18   B-     408,000    
  11,990     Total Media                       8,736,150    
    Paper & Forest Products – 0.2% (0.2% of Total Investments)  
  2,000     Verso Paper Holdings LLC     4.290 %   8/01/14   B     1,330,000    
    Pharmaceuticals – 0.7% (0.5% of Total Investments)  
  1,023     Angiotech Pharmaceuticals Inc.     5.000 %   12/01/13   N/A     890,010    
  2,000     Valeant Pharmaceuticals International, 144A     7.000 %   10/01/20   BB-     2,032,500    
  1,000     Valeant Pharmaceuticals International, 144A     7.250 %   7/15/22   BB-     1,012,500    
  4,023     Total Pharmaceuticals                       3,935,010    
    Road & Rail – 0.7% (0.5% of Total Investments)  
  2,000     Avis Budget Car Rental     2.957 %   5/15/14   B     1,930,000    
  2,000     Swift Services Holdings Inc.     10.000 %   11/15/18   B     2,172,500    
  4,000     Total Road & Rail                       4,102,500    

 

Nuveen Investments
31



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Software – 0.3% (0.2% of Total Investments)  
$ 1,700     SoftBrands Inc/Atlantis, 144A     11.500 %   7/15/18   B-   $ 1,717,000    
    Wireless Telecommunication Services – 0.2% (0.1% of Total Investments)  
  1,000     Sprint Nextel Corporation     8.375 %   8/15/17   B+     930,000    
$ 55,584     Total Corporate Bonds (cost $50,522,703)                       52,429,423    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Asset-Backed Securities – 2.1% (1.5% of Total Investments)  
$ 3,000     BlueMountain Collateralized Loan Obligations Limited,              
 
    Securitized Senior Secured Loan Revolving Pool, Series 2011-1, 144A     6.248 %   8/16/22   BB   $ 2,778,909    
  1,500     Flatiron Collateralized Loan Obligation Limited, Series 2011-1A     5.236 %   1/15/23   BB     1,192,104    
  1,500     Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A     5.988 %   11/22/22   BB     1,393,893    
  1,800     LCM Limited Partnership, Collateralized Loans Series 2012-10A-D, 144A     5.277 %   4/15/22   BBB     1,625,805    
  3,000     LCM Limited Partnership, Collateralized Loans Series 2012-10A-D, 144A     6.427 %   4/15/22   BB     2,570,367    
  2,500     Race Point Collateralized Loan Obligations, Series 2011-5A, 144A     7.272 %   12/15/22   BB     2,322,112    
$ 13,300     Total Asset-Backed Securities (cost $11,234,803)                       11,883,190    
Shares   Description (1)         Value  
    Investment Companies – 2.2% (1.6% of Total Investments)  
  353,668     Eaton Vance Floating-Rate Income Trust Fund                     $ 5,435,877    
  963,820     Eaton Vance Senior Income Trust                       6,582,891    
    Total Investment Companies (cost $11,947,776)                       12,018,768    
Principal
Amount (000)
  Description (1)   Coupon   Maturity     Value  
    Short-Term Investments – 2.4% (1.7% of Total Investments)  
$ 13,577     Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/12,
repurchase price $13,576,745, collateralized by $13,765,000 U.S. Treasury Notes,
0.875%, due 1/31/17, value $13,851,031
    0.010 %   2/01/12         $ 13,576,741    
    Total Short-Term Investments (cost $13,576,741)                       13,576,741    
    Total Investments (cost $799,206,933) – 140.1%                       786,743,066    
    Borrowings – (37.3)% (8), (9)                       (209,500,000 )  
    Other Assets Less Liabilities – (2.8)% (10)                       (15,504,434 )  
    Net Assets Applicable to Common Shares – 100%                     $ 561,738,632    

 

Investments in Derivatives at January 31, 2012

Interest Rate Swaps outstanding:

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate*   Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 
Goldman Sachs   $ 49,435,000     Receive   1-Month USD-LIBOR     0.344 %   Monthly   4/20/12   $ 8,112    
Goldman Sachs     49,435,000     Receive   1-Month USD-LIBOR     1.300     Monthly   4/20/14     (1,061,800 )  
Morgan Stanley     49,435,000     Receive   1-Month USD-LIBOR     2.201     Monthly   4/20/16     (3,145,222 )  
                            $ (4,198,910 )  

 

*  Annualized.

 

Nuveen Investments
32



    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)  Ratings: Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. 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.

  (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.

  (5)  Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2011. Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2011.

  (6)  At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, 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 directed the Fund's custodian to cease accruing additional income on the Fund's records.

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

  (8)  Borrowings as a percentage of total investments is 26.6%.

  (9)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (10)  Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at January 31, 2012.

  (11)  Investment, or portion of investment, has been pledged as collateral for investments in derivatives.

  (12)  For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1—General Information and Significant Accounting Policies, Investment Valuation for more information.

  N/R  Not rated.

  N/A  Not applicable.

  DD1  Investment, or 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 buyer.

  PIK  Payment in-kind.

  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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

  USD-LIBOR  United States Dollar-London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
33




JRO

Nuveen Floating Rate Income Opportunity Fund

Portfolio of INVESTMENTS

  January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Variable Rate Senior Loan Interests – 114.1% (83.1% of Total Investments) (4)  
    Aerospace & Defense – 0.2% (0.2% of Total Investments)  
$ 407     DAE Aviation Holdings, Inc., Term Loan B1     5.560 %   7/31/14   B   $ 399,895    
  392     DAE Aviation Holdings, Inc., Term Loan B2     5.560 %   7/31/14   B     384,758    
  799     Total Aerospace & Defense                       784,653    
    Airlines – 1.4% (1.0% of Total Investments)  
  2,000     Delta Air Lines, Inc. Revolving Loan, Delayed Draw, (5)     0.750 %   3/28/13   Ba2     (110,000 )  
  5,129     United Air Lines, Inc., Term Loan B     2.313 %   2/01/14   BB-     5,013,182    
  7,129     Total Airlines                       4,903,182    
    Auto Components – 3.6% (2.6% of Total Investments)  
  889     Autoparts Holdings, Ltd., Term Loan, Second Lien     10.500 %   1/29/18   B-     862,222    
  8,292     Federal-Mogul Corporation, Tranche B, Term Loan     2.235 %   12/29/14   Ba3     7,944,353    
  4,231     Federal-Mogul Corporation, Tranche C, Term Loan     2.220 %   12/28/15   Ba3     4,054,037    
  13,412     Total Auto Components                       12,860,612    
    Automobiles – 0.1% (0.1% of Total Investments)  
  491     Chrysler Group LLC, Term Loan     6.000 %   5/24/17   BB     482,138    
    Biotechnology – 3.2% (2.4% of Total Investments)  
  2,083     Alkermes, Inc., Term Loan, First Lien     6.750 %   9/16/17   BB     2,104,166    
  1,000     Alkermes, Inc., Term Loan, Second Lien     9.500 %   9/16/18   B     1,037,500    
  3,582     Grifols, Term Loan     6.000 %   6/01/17   BB     3,603,195    
  4,976     Onex Carestream Finance LP, Term Loan, DD1     5.000 %   2/25/17   BB-     4,703,096    
  11,641     Total Biotechnology                       11,447,957    
    Building Products – 1.1% (0.8% of Total Investments)  
  1,909     Goodman Global Inc., Second Lien Term Loan     9.000 %   10/28/17   B-     1,925,438    
  1,816     Goodman Global Inc., Term Loan     5.750 %   10/28/16   B+     1,826,239    
  3,725     Total Building Products                       3,751,677    
    Capital Markets – 1.1% (0.8% of Total Investments)  
  293     BNY Convergex Group LLC, Incremental Term Loan     5.000 %   12/19/16   B+     284,393    
  665     BNY Convergex Group LLC, Term Loan     5.000 %   12/19/16   B+     645,899    
  2,910     Citco III Limited, Term Loan     5.500 %   6/29/18   N/R     2,804,874    
  3,868     Total Capital Markets                       3,735,166    
    Chemicals – 2.9% (2.1% of Total Investments)  
  2,000     Hercules Offshore, Inc., Term Loan, WI/DD     TBD     TBD   B-     1,981,944    
  248     Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1     4.063 %   5/05/15   Ba3     245,303    
  106     Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2     4.375 %   5/05/15   Ba3     104,514    
  1,865     Ineos US Finance LLC, Tranche B2     7.500 %   12/16/13   Ba3     1,933,490    
  1,927     Ineos US Finance LLC, Tranche C2     8.000 %   12/16/14   Ba3     1,997,593    
  1,000     Polyone Corp, Term Loan B     5.000 %   11/01/17   Ba1     1,004,875    
  2,129     Styron S.a.r.l. Corporation,Term Loan     6.000 %   8/02/17   B+     1,947,578    
  1,218     Univar, Inc., Term Loan     5.000 %   6/30/17   B+     1,205,692    
  10,493     Total Chemicals                       10,420,989    
    Commercial Banks – 0.3% (0.2% of Total Investments)  
  995     SourceHov LLC, Term Loan B, First Lien     6.625 %   4/28/17   B+     894,256    

 

Nuveen Investments
34



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Commercial Services & Supplies – 0.9% (0.6% of Total Investments)  
$ 2,735     Ceridian Corporation, US Term Loan     3.271 %   11/09/14   B1   $ 2,571,173    
  45     ServiceMaster Company, Delayed Term Loan     2.770 %   7/24/14   B+     44,299    
  452     ServiceMaster Company, Term Loan     2.850 %   7/24/14   B+     444,838    
  3,232     Total Commercial Services & Supplies                       3,060,310    
    Communications Equipment – 2.3% (1.7% of Total Investments)  
  7,050     Avaya, Inc., Term Loan     3.256 %   10/27/14   B1     6,843,748    
  1,250     Genesys International Corporation, Term Loan B, WI/DD     TBD     TBD   BB-     1,251,954    
  8,300     Total Communications Equipment                       8,095,702    
    Construction Materials – 0.3% (0.2% of Total Investments)  
  1,000     Summit Materials Companies LLC, Term Loan B     6.000 %   1/23/19   B2     1,000,000    
    Consumer Finance – 0.5% (0.3% of Total Investments)  
  1,750     Springleaf Financial Funding Company, Term Loan     5.500 %   5/10/17   B+     1,635,520    
    Containers & Packaging – 0.3% (0.2% of Total Investments)  
  1,012     Sealed Air Corporation, Term Loan     4.750 %   10/03/18   Ba1     1,024,998    
    Diversified Consumer Services – 4.0% (2.9% of Total Investments)  
  5,593     Cengage Learning Acquisitions, Inc., Term Loan     2.520 %   7/03/14   B+     4,966,401    
  480     Advantage Sales and Marketing, Inc., Term Loan, First Lien     5.250 %   12/18/17   B+     477,777    
  4,276     Brickman Group Holdings, Inc., Tranche B, Term Loan     7.250 %   10/14/16   B+     4,310,443    
  4,896     Laureate Education, Inc., Extended Term Loan     5.250 %   6/15/18   B1     4,586,619    
  15,245     Total Diversified Consumer Services                       14,341,240    
    Diversified Financial Services – 1.7% (1.3% of Total Investments)  
  1,588     FoxCo Acquisition Sub LLC, Term Loan     4.750 %   7/14/15   B+     1,584,435    
  2,500     Ocwen Financial Corporation, Add on Term Loan, WI/DD     TBD     TBD   B1     2,485,938    
  2,143     UPC Broadband Holding BV, Term Loan, Tranche AB     4.750 %   12/31/17   Ba3     2,140,196    
  6,231     Total Diversified Financial Services                       6,210,569    
    Diversified Telecommunication Services – 3.2% (2.3% of Total Investments)  
  3,000     Charter Communications Operating Holdings LLC, Holdco Term Loan     2.770 %   3/06/14   BB+     2,952,501    
  2,000     Intelsat, Unsecured Term Loan     2.785 %   2/01/14   B     1,964,500    
  4,533     Level 3 Financing, Inc., Term Loan     2.746 %   3/13/14   Ba3     4,422,833    
  1,987     WideOpenWest Finance LLC, Term Loan, First Lien     2.779 %   6/30/14   B1     1,902,779    
  11,520     Total Diversified Telecommunication Services                       11,242,613    
    Electric Utilities – 0.4% (0.3% of Total Investments)  
  2,022     TXU Corporation, 2014 Term Loan     3.795 %   10/10/14   B2     1,388,157    
    Electrical Equipment – 0.7% (0.5% of Total Investments)  
  2,500     Sensus Metering Systems, Inc., Term Loan, Second Lien     8.500 %   5/09/18   B-     2,465,625    
    Electronic Equipment & Instruments – 0.9% (0.7% of Total Investments)  
  3,491     Smart Modular Technologies, Inc., Term Loan     8.250 %   8/26/17   B+     3,177,038    
    Energy Equipment & Services – 0.6% (0.5% of Total Investments)  
  2,211     Gibson Energy ULC, Term Loan     5.750 %   6/15/18   BB-     2,222,627    
    Food & Staples Retailing – 6.0% (4.4% of Total Investments)  
  10,263     Reynolds Group Holdings, Inc., Add on Term Loan     6.500 %   8/09/18   BB-     10,317,193    
  11,561     U.S. Foodservice, Inc., Term Loan     2.775 %   7/03/14   B3     11,028,707    
  21,824     Total Food & Staples Retailing                       21,345,900    
    Food Products – 1.4% (1.0% of Total Investments)  
  1,000     Great Atlantic and Pacific Tea Company, Inc., Term Loan     8.750 %   6/14/12   BB-     1,005,000    
  2,963     Pierre Foods, Inc., Term Loan     7.000 %   9/30/16   B+     2,956,945    
  1,133     Pinnacle Foods Finance LLC, Tranche D, Term Loan     6.000 %   4/02/14   Ba3     1,142,407    
  5,096     Total Food Products                       5,104,352    

 

Nuveen Investments
35



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Health Care Equipment & Supplies – 2.3% (1.7% of Total Investments)  
$ 7,000     Chiron Merger Sub, Inc., Term Loan     7.000 %   5/04/18   Ba2   $ 7,134,400    
  234     Fenwal, Inc., Delayed Term Loan     2.773 %   2/28/14   B     226,584    
  741     Fenwal, Inc., Term Loan     2.773 %   2/28/14   B     719,017    
  7,975     Total Health Care Equipment & Supplies                       8,080,001    
    Health Care Providers & Services – 8.1% (5.9% of Total Investments)  
  1,098     Sun Healthcare Group, Inc., Term Loan     8.750 %   10/18/16   Ba1     974,278    
  3,907     Gentiva Health Services, Inc., Term Loan B, DD1     4.750 %   8/17/16   B1     3,608,845    
  7,810     Golden Living, Term Loan     5.000 %   5/04/18   B+     7,058,118    
  256     HCA, Inc., Tranche B2, Term Loan     3.829 %   3/31/17   BB     250,432    
  900     Health Management Associates, Inc., Term Loan B     4.500 %   11/16/18   BB-     891,844    
  1,122     Healthspring, Term Loan     6.750 %   10/21/16   BB-     1,120,397    
  2,736     Kindred Healthcare, Term Loan     5.250 %   6/01/18   Ba3     2,647,322    
  94     LifeCare Holdings, Inc., Term Loan Add On     8.327 %   2/01/16   Caa1     80,696    
  523     LifeCare, Term Loan     8.327 %   2/01/16   Caa1     447,300    
  1,815     MultiPlan, Inc., Term Loan B     4.750 %   8/26/17   Ba3     1,783,595    
  3,722     National Mentor Holdings, Inc., Tranche B     7.000 %   2/09/17   B+     3,614,871    
  891     Renal Advantage, Inc., Tranche B, Term Loan     5.750 %   12/17/16   Ba3     892,393    
  4,229     Select Medical Corporation, Term Loan     5.500 %   6/01/18   BB-     4,098,365    
  1,425     Skilled Healthcare Group, Inc., Term Loan     5.264 %   4/09/16   B+     1,348,721    
  6     Vanguard Health Holding Company II LLC, Initial Term Loan     5.000 %   1/29/16   Ba2     5,947    
  30,534     Total Health Care Providers & Services                       28,823,124    
    Health Care Technology – 1.7% (1.2% of Total Investments)  
  5,667     Emdeon Business Services LLC, Term Loan     6.750 %   11/02/18   BB-     5,729,238    
  350     Fenwal, Inc., Term Loan, Second Lien     5.773 %   8/28/14   B-     327,250    
  6,017     Total Health Care Technology                       6,056,488    
    Hotels, Restaurants & Leisure – 5.0% (3.6% of Total Investments)  
  2,955     24 Hour Fitness Worldwide, Inc., New Term Loan     7.500 %   4/22/16   Ba3     2,875,954    
  1,500     Harrah's Operating Company, Inc., Term Loan B1     3.276 %   1/28/15   B     1,353,309    
  2,000     Harrah's Operating Company, Inc., Term Loan B2     3.276 %   1/28/15   B     1,808,214    
  1,960     Harrah's Operating Company, Inc., Term Loan B3     3.279 %   1/28/15   B     1,771,787    
  2,542     Orbitz Worldwide, Inc., Term Loan     3.405 %   7/25/14   B+     2,217,633    
  243     Caesars Octavius LLC, Term Loan     9.250 %   4/25/17   B     239,938    
  1,535     CCM Merger, Inc., Term Loan     7.000 %   3/01/17   B+     1,533,707    
  130     OSI Restaurant Partners LLC, Revolver     3.519 %   6/14/13   B+     127,277    
  954     OSI Restaurant Partners LLC, Term Loan     2.563 %   6/14/14   B+     933,154    
  997     Reynolds Group Holdings, Inc., US Term Loan     6.500 %   2/09/18   BB     1,002,664    
  1,904     Seaworld Parks and Entertainment, Inc., Term Loan B     4.000 %   8/17/17   BB+     1,904,101    
  1,994     Shingle Springs Tribal Gaming Authority, Term Loan     10.500 %   12/17/13   CCC     1,884,217    
  18,714     Total Hotels, Restaurants & Leisure                       17,651,955    
    Household Durables – 0.6% (0.5% of Total Investments)  
  2,500     GRD Holding III Corporation, Term Loan     8.750 %   12/31/17   B+     2,275,000    
    Household Products – 1.4% (1.0% of Total Investments)  
  4,007     Spectrum Brands, Inc., Term Loan     5.002 %   6/17/16   B1     4,019,424    
  1,088     Visant Corporation, Term Loan     5.250 %   12/22/16   BB-     1,036,747    
  5,095     Total Household Products                       5,056,171    
    Industrial Conglomerates – 1.0% (0.7% of Total Investments)  
  420     Evertec, Inc., Term Loan     5.250 %   9/30/16   BB-     416,086    
  987     Presidio, Inc., Term Loan     7.250 %   3/31/17   Ba3     999,000    
  1,980     U.S. Foodservice, Inc., Term Loan, First Lien     5.750 %   3/31/17   B-     1,961,835    
  3,387     Total Industrial Conglomerates                       3,376,921    
    Internet Software & Services – 5.5% (4.0% of Total Investments)  
  3,810     Sabre, Inc., Term Loan     2.348 %   9/30/14   B1     3,415,665    
  6,783     Go Daddy Operating Co., LLC, Term Loan, First Lien     7.000 %   12/17/18   Ba3     6,827,095    

 

Nuveen Investments
36



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Internet Software & Services (continued)  
$ 750     Open Solutions, Inc., Term Loan B     2.685 %   1/23/14   B+   $ 686,293    
  2,000     San Juan Cable LLC, Term Loan, Second Lien     10.000 %   6/09/18   CCC+     1,942,500    
  2,935     SkillSoft Corporation, Term Loan     6.500 %   5/26/17   BB-     2,944,331    
  3,967     Web.com, Term Loan, First Lien     7.000 %   10/27/17   Ba3     3,786,513    
  20,245     Total Internet Software & Services                       19,602,397    
    IT Services – 9.9% (7.3% of Total Investments)  
  5,202     First Data Corporation, Term Loan B1     3.027 %   9/24/14   B+     4,937,638    
  529     Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan     6.020 %   7/28/15   B+     515,595    
  800     Attachmate Corporation, Second Lien Term Loan     9.500 %   10/27/17   CCC+     771,000    
  2,963     Attachmate Corporation, Term Loan     6.500 %   4/27/17   BB-     2,916,827    
  4,159     First Data Corporation, Term Loan B2     3.027 %   9/24/14   B+     3,948,284    
  1,992     First Data Corporation, Term Loan B3     3.027 %   9/24/14   B+     1,890,892    
  5,803     Frac Tech International LLC, Term Loan     6.250 %   5/06/16   B+     5,798,005    
  6,362     Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan     0.000 %   9/02/14   N/R     3,804,604    
  1,082     Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw     6.520 %   3/02/14   CCC+     946,847    
  1,988     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2     7.250 %   7/28/15   B+     1,958,214    
  1,869     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien     6.520 %   3/02/14   CCC+     1,666,303    
  1,007     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan     6.020 %   7/28/15   B+     986,224    
  2,156     SRA International, Term Loan     6.500 %   7/20/18   B1     2,108,850    
  1,814     VFH Parent LLC, Term Loan     7.500 %   7/08/16   BBB-     1,831,926    
  1,385     Web.com, Term Loan, Second Lien     11.000 %   10/27/18   B3     1,262,769    
  39,111     Total IT Services                       35,343,978    
    Leisure, Equipment & Products – 2.8% (2.0% of Total Investments)  
  1,802     BLB Management Services, Inc., Term Loan     8.500 %   11/05/15   BB     1,808,101    
  4,483     Academy, Ltd., Term Loan     6.000 %   8/03/18   B     4,498,747    
  2,579     Bombardier Recreational Products, Inc., Term Loan     2.796 %   6/28/13   B2     2,564,400    
  1,000     Eastman Kodak Co., DIP Term Loan, WI/DD     TBD     TBD   B     1,006,875    
  9,864     Total Leisure, Equipment & Products                       9,878,123    
    Machinery – 0.6% (0.5% of Total Investments)  
  2,167     ColFax Corporation Term Loan     4.500 %   11/30/18   BB+     2,177,500    
    Media – 6.3% (4.6% of Total Investments)  
  1,168     Gray Television, Inc., Term Loan B     3.800 %   12/31/14   B     1,151,279    
  2,513     Tribune Company, Term Loan B, (6)     0.000 %   6/04/14   Ca     1,616,656    
  10,758     Univision Communications, Inc., Term Loan     4.520 %   3/31/17   B+     10,145,934    
  3,159     Yell Group PLC, Term Loan     4.020 %   7/31/14   N/R     961,010    
  2,550     Cumulus Media, Inc., Term Loan, First Lien     5.750 %   9/17/18   Ba2     2,557,066    
  3,000     Cumulus Media, Inc., Term Loan, Second Lien     7.500 %   3/18/19   B2     2,986,875    
  2,148     Spanish Broadcasting System, Inc., Term Loan B     2.020 %   6/11/12   B-     2,137,032    
  1,543     SuperMedia, Term Loan     11.000 %   12/31/15   Caa1     745,583    
  26,839     Total Media                       22,301,435    
    Metals & Mining – 0.2% (0.2% of Total Investments)  
  760     Fairmount Minerals, Ltd., Tranche B, Term Loan     5.250 %   3/15/17   BB-     763,800    
    Multiline Retail – 0.6% (0.4% of Total Investments)  
  1,136     99 Cents Only Store, Term Loan B     6.000 %   1/11/19   B+     1,144,604    
  995     Bass Pro Group LLC, Term Loan B     5.250 %   6/13/17   BB-     994,585    
  2,131     Total Multiline Retail                       2,139,189    
    Oil, Gas & Consumable Fuels – 3.4% (2.5% of Total Investments)  
  2,894     CCS Income Trust, Term Loan     3.270 %   11/14/14   B     2,774,172    
  2,621     Western Refining, Inc., Term Loan     7.500 %   3/15/17   B+     2,645,091    
  660     Alon USA Energy, Inc., Edgington Facility     2.722 %   8/05/13   B+     635,661    
  5,278     Alon USA Energy, Inc., Paramount Facility     2.695 %   8/05/13   B+     5,085,154    
  1,000     CCS Income Trust, Delayed Term Loan, WI/DD     TBD     TBD   B     958,438    
  12,453     Total Oil, Gas & Consumable Fuels                       12,098,516    

 

Nuveen Investments
37



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Paper & Forest Products – 2.4% (1.7% of Total Investments)  
$ 3,642     Newark Group, Inc., DIP Term Loan     11.750 %   3/31/14   Caa1   $ 3,732,961    
  5,065     Wilton Products, Term Loan     3.520 %   8/01/14   N/R     4,757,679    
  8,707     Total Paper & Forest Products                       8,490,640    
    Personal Products – 0.5% (0.3% of Total Investments)  
  1,625     Prestige Brands, Inc., Term Loan 1, WI/DD     TBD     TBD   BB-     1,635,156    
    Pharmaceuticals – 4.6% (3.3% of Total Investments)  
  2,218     ConvaTec Healthcare, Term Loan     5.750 %   12/30/16   Ba3     2,208,730    
  3,125     Graceway Pharmaceuticals LLC, Second Lien Term Loan, (6)     0.000 %   5/03/13   N/R     70,312    
  231     Graceway Pharmaceuticals LLC, Term Loan, (6)     0.000 %   5/03/12   N/R     138,360    
  4,000     Pharmaceutical Product Development, Inc., Term Loan     6.250 %   12/05/18   BB-     4,033,228    
  3,980     Quintiles Transnational Corporation, Term Loan B     5.000 %   6/08/18   BB-     3,972,553    
  2,676     Warner Chilcott Corporation, Term Loan B1     4.250 %   3/17/18   BBB-     2,679,537    
  1,338     Warner Chilcott Corporation, Term Loan B2     4.250 %   3/17/18   BBB-     1,339,769    
  1,840     Warner Chilcott Corporation, Term Loan B3     4.250 %   3/17/18   BBB-     1,842,182    
  19,408     Total Pharmaceuticals                       16,284,671    
    Real Estate Investment Trust – 2.4% (1.7% of Total Investments)  
  4,923     iStar Financial, Inc., Tranche A1     5.000 %   6/28/13   BB-     4,920,965    
  1,350     Walter Investment Management Corporation, Term Loan, First Lien     7.750 %   6/30/16   B+     1,374,750    
  2,166     Walter Investment Management Corporation, Term Loan, Second Lien     12.500 %   12/30/16   B-     2,171,959    
  8,439     Total Real Estate Investment Trust                       8,467,674    
    Real Estate Management & Development – 3.7% (2.7% of Total Investments)  
  3,457     Realogy Corporation, Delayed Term Loan     4.691 %   10/10/16   B1     3,233,117    
  8,516     Capital Automotive LP, Tranche B     5.000 %   3/11/17   Ba3     8,484,228    
  1,376     LNR Property Corporation, Term Loan     4.750 %   4/29/16   BB+     1,371,981    
  13,349     Total Real Estate Management & Development                       13,089,326    
    Road & Rail – 2.2% (1.6% of Total Investments)  
  7,304     Swift Transportation Company, Inc., Term Loan     6.000 %   12/21/16   BB     7,353,810    
  513     Avis Budget Car Rental LLC, Term Loan     5.750 %   4/19/14   Ba1     517,092    
  7,817     Total Road & Rail                       7,870,902    
    Semiconductors & Equipment – 1.1% (0.8% of Total Investments)  
  2,973     NXP Semiconductor LLC, Term Loan     4.500 %   3/04/17   B2     2,918,030    
  1,105     Spansion LLC, Term Loan     4.750 %   2/09/15   BB+     1,103,451    
  4,078     Total Semiconductors & Equipment                       4,021,481    
    Software – 4.1% (3.0% of Total Investments)  
  6,000     BlackBoard, Inc., Term Loan, First Lien     7.500 %   9/23/18   B+     5,838,750    
  2,707     Datatel Parent Corp, Term Loan B     6.250 %   6/13/18   B     2,730,144    
  3,000     IPC Systems, Inc., Term Loan, Second Lien, DD1     5.559 %   6/01/15   CCC     2,538,750    
  3,612     IPC Systems, Inc., Term Loan     2.757 %   6/02/14   B1     3,410,932    
  15,319     Total Software                       14,518,576    
    Specialty Retail – 3.2% (2.3% of Total Investments)  
  3,551     Toys "R" Us – Delaware, Inc., Term Loan     6.000 %   9/01/16   BB-     3,540,319    
  2,627     Toys "R" Us – Delaware Inc., Term Loan     5.250 %   5/17/18   BB-     2,587,398    
  197     Burlington Coat Factory Warehouse Corporation, Term Loan B     6.250 %   2/23/17   B-     197,130    
  825     Claire's Stores, Inc., Term Loan B     3.069 %   5/29/14   B     757,915    
  2,895     Jo-Ann Stores, Inc., Term Loan     4.750 %   3/16/18   B+     2,824,231    
  1,500     Lord & Taylor Holdings LLC, Term Loan     5.750 %   12/21/18   BB     1,505,000    
  11,595     Total Specialty Retail                       11,411,993    
    Wireless Telecommunication Services – 3.4% (2.5% of Total Investments)  
  4,569     Asurion LLC, Term Loan, First Lien     5.500 %   5/24/18   B+     4,566,308    
  8,064     Clear Channel Communications, Inc., Tranche B, Term Loan     3.920 %   1/29/16   CCC+     6,475,748    

 

Nuveen Investments
38



Principal
Amount (000)
  Description (1)   Weighted
Average
Coupon
  Maturity (2)   Ratings (3)   Value  
    Wireless Telecommunication Services (continued)  
$ 1,000     Crown Castle Operating Company, Term Loan B, WI/DD     TBD     TBD   B1   $ 1,001,164    
  13,633     Total Wireless Telecommunication Services                       12,043,220    
$ 429,749     Total Variable Rate Senior Loan Interests (cost $404,224,380)                       405,053,518    
Shares   Description (1)         Value  
    Common Stocks – 2.3% (1.7% of Total Investments)  
    Building Products – 0.9% (0.7% of Total Investments)  
  124,402     Masonite Worldwide Holdings, (7)                     $ 3,327,754    
    Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)  
  42,041     BLB Worldwide Holdings Inc., (7), (12)                       339,830    
    Media – 1.3% (0.9% of Total Investments)  
  193,006     Metro-Goldwyn-Mayer, (7), (12)                       4,583,892    
    Total Common Stocks (cost $17,576,821)                       8,251,476    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Convertible Bonds – 0.4% (0.3% of Total Investments)  
    Communications Equipment – 0.4% (0.3% of Total Investments)  
$ 550     Nortel Networks Corp., (6)     1.750 %   4/15/12   N/R   $ 544,500    
  1,000     Nortel Networks Corp., (6)     2.125 %   4/15/14   D     990,000    
  1,550     Total Communications Equipment                       1,534,500    
$ 1,550     Total Convertible Bonds (cost $1,306,203)                       1,534,500    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Corporate Bonds – 13.3% (9.7% of Total Investments)  
    Auto Components – 0.4% (0.3% of Total Investments)  
$ 1,500     Sunstate Equipment Company LLC, 144A     12.000 %   6/15/16   CCC+   $ 1,507,500    
    Commercial Services & Supplies – 0.1% (0.1% of Total Investments)  
  500     Ceridian Corporation     11.250 %   11/15/15   CCC     448,750    
    Communications Equipment – 0.9% (0.7% of Total Investments)  
  1,750     Avaya Inc.     9.750 %   11/01/15   CCC+     1,675,625    
  1,000     Nortel Networks Limited, (6), (11)     0.000 %   7/15/13   N/R     1,040,000    
  450     Nortel Networks Limited, (6)     10.750 %   7/15/16   N/R     499,500    
  3,200     Total Communications Equipment                       3,215,125    
    Diversified Telecommunication Services – 0.8% (0.6% of Total Investments)  
  750     IntelSat Bermuda Limited, 144A     11.500 %   2/15/17   CCC+     753,750    
  750     IntelSat Bermuda Limited     11.500 %   2/04/17   CCC+     753,750    
  1,500     IntelSat Bermuda Limited     11.250 %   2/04/17   CCC+     1,515,000    
  3,000     Total Diversified Telecommunication Services                       3,022,500    
    Health Care Equipment & Supplies – 1.5% (1.0% of Total Investments)  
  2,450     Chiron Merger Sub Inc., 144A     10.500 %   11/01/18   B     2,499,000    
  2,500     Merge Healthcare Inc.     11.750 %   5/01/15   B+     2,656,250    
  4,950     Total Health Care Equipment & Supplies                       5,155,250    
    Health Care Providers & Services – 2.5% (1.8% of Total Investments)  
  2,000     Aurora Diagnostics Holdings LLC     10.750 %   1/15/18   B3     1,972,500    
  2,750     HCA Inc., (11)     8.500 %   4/15/19   BB     3,052,500    
  1,000     LifeCare Holdings Inc.     9.250 %   8/15/13   Caa3     775,000    
  396     Select Medical Corporation     7.625 %   2/01/15   CCC+     392,040    
  3,000     Select Medical Corporation     6.267 %   9/15/15   CCC+     2,681,250    
  9,146     Total Health Care Providers & Services                       8,873,290    

 

Nuveen Investments
39



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)


Principal
Amount (000)
 

Description (1)
 

Coupon
 

Maturity
 

Ratings (3)
 

Value
 
    Household Products – 0.9% (0.6% of Total Investments)  
$ 2,750     Sprectum Brands Inc.     9.500 %   6/15/18   B1   $ 3,117,813    
    IT Services – 0.9% (0.7% of Total Investments)  
  2,000     First Data Corporation, 144A     7.375 %   6/15/19   B+     1,995,000    
  1,228     First Data Corporation     10.550 %   9/24/15   B-     1,216,005    
  3,228     Total IT Services                       3,211,005    
    Machinery – 0.5% (0.4% of Total Investments)  
  2,000     NES Rental Holdings Inc., 144A     12.250 %   4/15/15   CCC+     1,745,000    
    Media – 2.8% (2.0% of Total Investments)  
  5,500     Clear Channel Communications, Inc.     5.500 %   9/15/14   CCC-     4,592,500    
  3,750     Clear Channel Communications, Inc.     10.750 %   8/01/16   CCC-     2,793,750    
  3,600     Clear Channel Communications, Inc.     6.875 %   6/15/18   CCC-     1,890,000    
  135     Readers Digest Association     9.500 %   2/15/17   B3     112,725    
  400     WM Finance Corporation, 144A     11.500 %   10/01/18   B-     408,000    
  13,385     Total Media                       9,796,975    
    Multiline Retail – 0.1% (0.1% of Total Investments)  
  500     Number Merger Sub Inc., 144A     11.000 %   12/15/19   Caa1     526,875    
    Pharmaceuticals – 0.9% (0.6% of Total Investments)  
  2,000     Valeant Pharmaceuticals International, 144A     7.000 %   10/01/20   BB-     2,032,500    
  1,000     Valeant Pharmaceuticals International, 144A     7.250 %   7/15/22   BB-     1,012,500    
  3,000     Total Pharmaceuticals                       3,045,000    
    Road & Rail – 0.5% (0.4% of Total Investments)  
  2,000     Avis Budget Car Rental     2.957 %   5/15/14   B     1,930,000    
    Software – 0.2% (0.2% of Total Investments)  
  850     SoftBrands Inc/Atlantis, 144A     11.500 %   7/15/18   B-     858,500    
    Wireless Telecommunication Services – 0.3% (0.2% of Total Investments)  
  1,000     Sprint Nextel Corporation     8.375 %   8/15/17   B+     930,000    
$ 51,009     Total Corporate Bonds (cost $45,380,430)                       47,383,583    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Asset-Backed Securities – 2.7% (2.0% of Total Investments)  
$ 2,000
 
  BlueMountain Collateralized Loan Obligations Limited, Securitized Senior
Secured Loan Revolving Pool, Series 2011-1, 144A
  6.248
%   8/16/22
  
  BB
  
  $ 1,852,606
 
  1,500     Flatiron Collateralized Loan Obligation Limited, Series 2011-1A     5.236 %   1/15/23   BB     1,192,104    
  1,500     Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A     5.988 %   11/22/22   BB     1,393,893    
  1,200     LCM Limited Partnership, Collateralized Loans Series 2012-10A-D, 144A     5.277 %   4/15/22   BBB     1,083,870    
  2,000     LCM Limited Partnership, Collateralized Loans Series 2012-10A-D, 144A     6.427 %   4/15/22   BB     1,713,578    
  2,500     Race Point Collateralized Loan Obligations, Series 2011-5A, 144A     7.272 %   12/15/22   BB     2,322,113    
$ 10,700     Total Asset-Backed Securities (cost $8,930,533)                       9,558,164    
Principal
Amount (000)
  Description (1)   Coupon   Maturity     Value  
    Short-Term Investments – 4.4% (3.2% of Total Investments)  
$ 15,582     Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/12,
repurchase price $15,582,261, collateralized by $15,005,000 U.S. Treasury Notes,
2.625%, due 6/30/14, value $15,895,359
    0.010 %   2/01/12         $ 15,582,257    
        Total Short-Term Investments (cost $15,582,257)                       15,582,257    
        Total Investments (cost $493,000,624) – 137.2%                       487,363,498    
        Borrowings – (33.8)% (8), (9)                       (120,000,000 )  
        Other Assets Less Liabilities – (3.4)% (10)                       (12,183,633 )  
        Net Assets Applicable to Common Shares – 100%                     $ 355,179,865    

 

Nuveen Investments
40



Investments in Derivatives at January 31, 2012

Interest Rate Swaps outstanding:

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate*   Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 
Goldman Sachs   $ 29,317,500     Receive   1-Month USD-LIBOR     0.344 %   Monthly   4/20/12   $ 4,811    
Goldman Sachs     29,317,500     Receive   1-Month USD-LIBOR     1.300     Monthly   4/20/14     (629,703 )  
Morgan Stanley     29,317,500     Receive   1-Month USD-LIBOR     2.201     Monthly   4/20/16     (1,865,278 )  
                            $ (2,490,170 )  

 

*  Annualized.

    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)  Ratings: Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. 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.

  (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.

  (5)  Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2011. Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2011.

  (6)  At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, 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 directed the Fund's custodian to cease accruing additional income on the Fund's records.

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

  (8)  Borrowings as a percentage of total investments is 24.6%.

  (9)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (10)  Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at January 31, 2012.

  (11)  Investment, or portion of investment, has been pledged as collateral for investments in derivatives.

  (12)  For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1—General Information and Significant Accounting Policies, Investment Valuation for more information.

  N/R  Not rated.

  DD1  Investment, or 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 buyer.

  PIK  Payment in-kind.

  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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

  USD-LIBOR  United States Dollar-London Inter-Bank Offered Rate

    See accompanying notes to financial statements.

Nuveen Investments
41




JSD

Nuveen Short Duration Credit Opportunities Fund

Portfolio of INVESTMENTS

  January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
    Variable Rate Senior Loan Interests – 116.8% (83.9% of Total Investments) (4)  
    Aerospace & Defense – 1.0% (0.7% of Total Investments)  
$ 2,000     DigitalGlobe, Inc., Term Loan     5.750 %   10/12/18   BB+   $ 1,990,000    
    Airlines – 1.0% (0.7% of Total Investments)  
  1,990     Delta Air Lines, Inc., Term Loan     5.500 %   4/20/17   Ba2     1,943,981    
    Auto Components – 0.7% (0.5% of Total Investments)  
  1,277     Autoparts Holdings, Ltd., Term Loan     6.500 %   7/29/17   B+     1,280,790    
    Automobiles – 0.3% (0.2% of Total Investments)  
  494     Chrysler Group LLC, Term Loan     6.000 %   5/24/17   BB     484,585    
    Biotechnology – 3.6% (2.6% of Total Investments)  
  2,083     Alkermes, Inc., Term Loan, First Lien     6.750 %   9/16/17   BB     2,104,166    
  2,000     Alkermes, Inc., Term Loan, Second Lien     9.500 %   9/16/18   B     2,075,000    
  2,977     Onex Carestream Finance LP, Term Loan     5.000 %   2/25/17   BB-     2,813,943    
  7,060     Total Biotechnology                       6,993,109    
    Building Products – 0.6% (0.4% of Total Investments)  
  636     Goodman Global Inc., Second Lien Term Loan     9.000 %   10/28/17   B-     641,813    
  499     Norit Holdings, B.V., Term Loan     6.750 %   6/30/17   BB-     501,867    
  1,135     Total Building Products                       1,143,680    
    Capital Markets – 1.3% (0.9% of Total Investments)  
  2,488     Citco III Limited, Term Loan     5.500 %   6/29/18   N/R     2,397,328    
    Chemicals – 4.5% (3.2% of Total Investments)  
  1,000     Hercules Offshore, Inc., Term Loan, WI/DD     TBD     TBD   B-     990,972    
  2,991     Ashland, Inc., Term Loan     3.750 %   8/23/18   Baa3     3,005,961    
  959     Ineos US Finance LLC, Tranche B2     7.500 %   12/16/13   Ba3     994,621    
  1,020     Ineos US Finance LLC, Tranche C2     8.000 %   12/16/14   Ba3     1,057,558    
  750     Polyone Corp, Term Loan B     5.000 %   11/01/17   Ba1     753,656    
  2,000     PQ Corporation, Term Loan, Second Lien     6.770 %   7/30/15   B-     1,876,250    
  8,720     Total Chemicals                       8,679,018    
    Commercial Banks – 1.4% (1.0% of Total Investments)  
  2,699     Ocwen Financial Corporation, Initial Term Loan     7.000 %   9/01/16   B1     2,688,853    
    Commercial Services & Supplies – 2.3% (1.6% of Total Investments)  
  1,492     Ceridian Corporation, US Term Loan     3.271 %   11/09/14   B1     1,402,505    
  180     ServiceMaster Company, Delayed Term Loan     2.770 %   7/24/14   B+     177,197    
  1,809     ServiceMaster Company, Term Loan     2.850 %   7/24/14   B+     1,779,351    
  998     SkillSoft Corporation, Add on Term Loan     6.500 %   10/21/17   BB-     1,003,734    
  4,479     Total Commercial Services & Supplies                       4,362,787    
    Communications Equipment – 1.6% (1.1% of Total Investments)  
  1,985     Aspect Software, Inc., Term Loan, Tranche B     6.250 %   5/07/16   Ba3     1,986,089    
  1,000     Genesys International Corporation, Term Loan B, WI/DD     TBD     TBD   BB-     1,001,563    
  2,985     Total Communications Equipment                       2,987,652    

 

Nuveen Investments
42



Principal
Amount (000)
  Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
    Consumer Finance – 1.0% (0.7% of Total Investments)  
$ 2,000     Springleaf Financial Funding Company, Term Loan     5.500 %   5/10/17   B+   $ 1,869,166    
    Containers & Packaging – 2.7% (2.0% of Total Investments)  
  1,985     Amscan Holdings, Inc., New Term Loan     6.750 %   12/02/17   B     1,986,165    
  3,209     Sealed Air Corporation, Term Loan, DD1     4.750 %   10/03/18   Ba1     3,251,498    
  5,194     Total Containers & Packaging                       5,237,663    
    Diversified Consumer Services – 3.5% (2.5% of Total Investments)  
  1,492     Cengage Learning Acquisitions, Inc., Term Loan     2.520 %   7/03/14   B+     1,325,134    
  2,484     Brickman Group Holdings, Inc., Tranche B, Term Loan     7.250 %   10/14/16   B+     2,503,883    
  2,978     Laureate Education, Inc., Extended Term Loan     5.250 %   6/15/18   B1     2,789,545    
  6,954     Total Diversified Consumer Services                       6,618,562    
    Diversified Financial Services – 1.3% (1.0% of Total Investments)  
  2,571     UPC Broadband Holding BV, Term Loan, Tranche AB     4.750 %   12/31/17   Ba3     2,568,235    
    Diversified Telecommunication Services – 1.6% (1.1% of Total Investments)  
  2,000     Level 3 Communications, Inc., Term Loan B-2     5.750 %   9/01/18   Ba3     1,994,166    
  998     WideOpenWest Finance LLC, New Term Loan, Series A     6.796 %   6/30/14   B1     983,725    
  2,998     Total Diversified Telecommunication Services                       2,977,891    
    Electrical Equipment – 0.5% (0.4% of Total Investments)  
  1,000     Sensus Metering Systems, Inc., Term Loan, Second Lien     8.500 %   5/09/18   B-     986,250    
    Electronic Equipment & Instruments – 0.7% (0.5% of Total Investments)  
  1,496     Smart Modular Technologies, Inc., Term Loan     8.250 %   8/26/17   B+     1,361,588    
    Energy Equipment & Services – 2.1% (1.5% of Total Investments)  
  1,896     EnergySolutions LLC, Term Loan     6.250 %   8/15/16   BB+     1,896,366    
  2,206     Gibson Energy ULC, Term Loan     5.750 %   6/15/18   BB-     2,217,601    
  4,102     Total Energy Equipment & Services                       4,113,967    
    Food & Staples Retailing – 1.3% (1.0% of Total Investments)  
  2,566     Reynolds Group Holdings, Inc., Add on Term Loan     6.500 %   8/09/18   BB-     2,579,298    
    Food Products – 1.3% (0.9% of Total Investments)  
  995     Del Monte Foods Company, Term Loan     4.500 %   3/08/18   Ba3     973,856    
  1,493     JBS USA LLC, Term Loan     4.250 %   5/25/18   BB     1,497,351    
  2,488     Total Food Products                       2,471,207    
    Health Care Equipment & Supplies – 1.9% (1.4% of Total Investments)  
  3,600     Chiron Merger Sub, Inc., Term Loan     7.000 %   5/04/18   Ba2     3,669,120    
    Health Care Providers & Services – 14.2% (10.2% of Total Investments)  
  2,844     Community Health Systems, Inc., Term Loan     2.755 %   7/25/14   BB     2,813,621    
  739     Sun Healthcare Group, Inc., Term Loan     8.750 %   10/18/16   Ba1     655,540    
  997     Ardent Medical Services, Inc., Term Loan     6.500 %   9/15/15   B1     1,001,217    
  146     Community Health Systems, Inc., Delayed Term Loan     2.520 %   7/25/14   BB     144,263    
  1,471     Gentiva Health Services, Inc., Term Loan B     4.750 %   8/17/16   B1     1,358,580    
  2,686     Golden Living, Term Loan     5.000 %   5/04/18   B+     2,427,633    
  2,000     HCA, Inc., Tranche B2, Term Loan     3.829 %   3/31/17   BB     1,958,888    
  1,985     HCR ManorCare, Term Loan     5.000 %   4/06/18   Ba3     1,879,960    
  1,200     Health Management Associates, Inc., Term Loan B     4.500 %   11/16/18   BB-     1,189,126    
  1,244     IASIS Healthcare LLC, Term Loan B     5.000 %   5/03/18   Ba3     1,233,370    
  995     Kindred Healthcare, Term Loan     5.250 %   6/01/18   Ba3     962,662    
  1,837     LifeCare Holdings, Inc., Term Loan Add On     8.327 %   2/01/16   Caa1     1,570,303    
  159     LifeCare, Term Loan     8.327 %   2/01/16   Caa1     136,191    
  986     MultiPlan, Inc., Term Loan B     4.750 %   8/26/17   Ba3     969,387    

 

Nuveen Investments
43



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
    Health Care Providers & Services (continued)  
$ 2,035     National Mentor Holdings, Inc., Tranche B     7.000 %   2/09/17   B+   $ 1,976,130    
  2,993     RegionalCare Hospital Partners Holdings Inc, Term Loan     8.000 %   11/03/18   B     2,970,056    
  1,985     Renal Advantage, Inc., Tranche B, Term Loan     5.750 %   12/17/16   Ba3     1,988,065    
  1,990     Select Medical Corporation, Term Loan     5.500 %   6/01/18   BB-     1,928,642    
  28,292     Total Health Care Providers & Services                       27,163,634    
    Health Care Technology – 2.6% (1.9% of Total Investments)  
  4,033     Emdeon Business Services LLC, Term Loan     6.750 %   11/02/18   BB-     4,077,869    
  1,000     Fenwal, Inc., Term Loan, Second Lien     5.773 %   8/28/14   B-     935,000    
  5,033     Total Health Care Technology                       5,012,869    
    Hotels, Restaurants & Leisure – 2.4% (1.7% of Total Investments)  
  2,379     24 Hour Fitness Worldwide, Inc., New Term Loan     7.500 %   4/22/16   Ba3     2,315,215    
  347     Caesars Octavius LLC, Term Loan     9.250 %   4/25/17   B     342,769    
  1,920     CCM Merger, Inc., Term Loan     7.000 %   3/01/17   B+     1,918,759    
  4,646     Total Hotels, Restaurants & Leisure                       4,576,743    
    Household Durables – 0.2% (0.2% of Total Investments)  
  500     GRD Holding III Corporation, Term Loan     8.750 %   12/31/17   B+     455,000    
    Household Products – 1.7% (1.2% of Total Investments)  
  3,164     Spectrum Brands, Inc., Term Loan     5.002 %   6/17/16   B1     3,173,460    
  171     Visant Corporation, Term Loan     5.250 %   12/22/16   BB-     163,117    
  3,335     Total Household Products                       3,336,577    
    Industrial Conglomerates – 5.5% (3.9% of Total Investments)  
  995     Eagle Parent, Inc., Term Loan     5.000 %   5/16/18   Ba3     981,319    
  2,000     NES Rentals Holdings, Inc., Permanent Term Loan, Second Lien     10.000 %   7/20/13   CCC+     1,880,000    
  1,850     Presidio, Inc., Term Loan     7.250 %   3/31/17   Ba3     1,873,125    
  890     Property Data I, Inc., Term Loan     7.000 %   1/04/17   Ba3     776,258    
  2,000     SRAM LLC, Term Loan, Second Lien     8.500 %   12/07/18   B-     2,002,000    
  2,978     U.S. Foodservice, Inc., Term Loan, First Lien     5.750 %   3/31/17   B-     2,950,146    
  10,713     Total Industrial Conglomerates                       10,462,848    
    Internet Software & Services – 6.3% (4.6% of Total Investments)  
  1,000     Sabre, Inc., Term Loan     2.348 %   9/30/14   B1     896,500    
  2,419     Go Daddy Operating Co., LLC, Term Loan, First Lien     7.000 %   12/17/18   Ba3     2,434,661    
  1,990     San Juan Cable LLC, Term Loan B, First Lien     6.000 %   6/09/17   B+     1,950,200    
  2,000     San Juan Cable LLC, Term Loan, Second Lien     10.000 %   6/09/18   CCC+     1,942,500    
  2,000     SkillSoft Corporation, Term Loan     6.500 %   5/26/17   BB-     2,006,250    
  3,074     Web.com, Term Loan, First Lien     7.000 %   10/27/17   Ba3     2,934,547    
  12,483     Total Internet Software & Services                       12,164,658    
    IT Services – 12.3% (8.9% of Total Investments)  
  2,000     Attachmate Corporation, Second Lien Term Loan     9.500 %   10/27/17   CCC+     1,927,500    
  2,469     Attachmate Corporation, Term Loan     6.500 %   4/27/17   BB-     2,430,689    
  2,000     First Data Corporation, Term Loan B3     3.027 %   9/24/14   B+     1,898,750    
  3,666     Frac Tech International LLC, Term Loan     6.250 %   5/06/16   B+     3,662,929    
  3,976     Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2     7.250 %   7/28/15   B+     3,916,429    
  1,995     Neustar Inc., Term Loan     5.000 %   11/03/18   BB+     2,011,209    
  1,915     SRA International, Term Loan     6.500 %   7/20/18   B1     1,872,703    
  2,000     Verifone, Inc., Term Loan B     4.250 %   12/20/18   BB     2,006,612    
  2,864     VFH Parent LLC, Term Loan     7.500 %   7/08/16   BBB-     2,892,514    
  1,154     Web.com, Term Loan, Second Lien     11.000 %   10/27/18   B3     1,052,307    
  24,039     Total IT Services                       23,671,642    

 

Nuveen Investments
44



Principal
Amount (000)
  Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
    Leisure, Equipment & Products – 2.5% (1.8% of Total Investments)  
$ 1,765     BLB Management Services, Inc., Term Loan     8.500 %   11/05/15   BB   $ 1,770,901    
  2,000     Academy, Ltd., Term Loan     6.000 %   8/03/18   B     2,006,876    
  325     Bombardier Recreational Products, Inc., Term Loan     2.796 %   6/28/13   B2     323,303    
  750     Eastman Kodak Co., DIP Term Loan, WI/DD     TBD     TBD   B     755,156    
  4,840     Total Leisure, Equipment & Products                       4,856,236    
    Machinery – 1.2% (0.8% of Total Investments)  
  1,000     Brock Holdings III, Inc., Term Loan, Second Lien     10.000 %   3/16/18   B-     950,000    
  1,306     ColFax Corporation Term Loan     4.500 %   11/30/18   BB+     1,306,500    
  2,306     Total Machinery                       2,256,500    
    Media – 2.8% (2.0% of Total Investments)  
  1,000     Cumulus Media, Inc., Term Loan, First Lien     5.750 %   9/17/18   Ba2     1,002,771    
  1,000     Cumulus Media, Inc., Term Loan, Second Lien     7.500 %   3/18/19   B2     995,625    
  827     Entercom Communications, Inc., Term Loan B     6.272 %   11/23/18   BB-     828,940    
  1,940     Newport Television LLC, Term Loan B     9.000 %   9/14/16   B2     1,946,946    
  518     Newport Television LLC, Term Loan     9.000 %   9/14/16   B-     520,389    
  5,285     Total Media                       5,294,671    
    Metals & Mining – 1.0% (0.8% of Total Investments)  
  2,000     Fairmount Minerals, Ltd., Tranche B, Term Loan     5.250 %   3/15/17   BB-     2,010,000    
    Multiline Retail – 1.3% (1.0% of Total Investments)  
  568     99 Cents Only Store, Term Loan B     6.000 %   1/11/19   B+     572,299    
  1,990     Bass Pro Group LLC, Term Loan B     5.250 %   6/13/17   BB-     1,989,170    
  2,558     Total Multiline Retail                       2,561,469    
    Oil, Gas & Consumable Fuels – 3.6% (2.6% of Total Investments)  
  997     CCS Income Trust, Term Loan     3.270 %   11/14/14   B     955,949    
  3,476     Western Refining, Inc., Term Loan     7.500 %   3/15/17   B+     3,508,110    
  55     Alon USA Energy, Inc., Edgington Facility     2.722 %   8/05/13   B+     53,243    
  442     Alon USA Energy, Inc., Paramount Facility     2.695 %   8/05/13   B+     425,941    
  1,247     Buffalo Gulf Coast Terminals, Term Loan     7.500 %   10/31/17   BB+     1,256,227    
  750     CCS Income Trust, Delayed Term Loan, WI/DD     TBD     TBD   B     718,828    
  6,967     Total Oil, Gas & Consumable Fuels                       6,918,298    
    Pharmaceuticals – 4.2% (3.0% of Total Investments)  
  1,985     ConvaTec Healthcare, Term Loan     5.750 %   12/30/16   Ba3     1,977,023    
  3,000     Pharmaceutical Product Development, Inc., Term Loan     6.250 %   12/05/18   BB-     3,024,921    
  1,990     Quintiles Transnational Corporation, Term Loan B     5.000 %   6/08/18   BB-     1,986,277    
  455     Warner Chilcott Corporation, Term Loan B1     4.250 %   3/17/18   BBB-     455,501    
  227     Warner Chilcott Corporation, Term Loan B2     4.250 %   3/17/18   BBB-     227,751    
  313     Warner Chilcott Corporation, Term Loan B3     4.250 %   3/17/18   BBB-     313,157    
  7,970     Total Pharmaceuticals                       7,984,630    
    Real Estate Investment Trust – 3.2% (2.3% of Total Investments)  
  2,356     iStar Financial, Inc., Tranche A1     5.000 %   6/28/13   BB-     2,355,463    
  144     Realogy Corporation, Synthetic Letter of Credit     4.518 %   10/10/16   B1     134,488    
  1,350     Walter Investment Management Corporation, Term Loan, First Lien     7.750 %   6/30/16   B+     1,374,750    
  2,166     Walter Investment Management Corporation, Term Loan, Second Lien     12.500 %   12/30/16   B-     2,171,959    
  6,016     Total Real Estate Investment Trust                       6,036,660    
    Real Estate Management & Development – 2.7% (1.9% of Total Investments)  
  1,829     Realogy Corporation, Delayed Term Loan     4.691 %   10/10/16   B1     1,710,122    
  3,388     Capital Automotive LP, Tranche B     5.000 %   3/11/17   Ba3     3,375,242    
  5,217     Total Real Estate Management & Development                       5,085,364    

 

Nuveen Investments
45



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
    Road & Rail – 1.7% (1.2% of Total Investments)  
$ 2,166     Swift Transportation Company, Inc., Term Loan     6.000 %   12/21/16   BB   $ 2,180,528    
  998     Avis Budget Car Rental LLC, Term Loan, Tranche B     6.250 %   9/22/18   Ba1     1,006,644    
  3,164     Total Road & Rail                       3,187,172    
    Semiconductors & Equipment – 1.1% (0.8% of Total Investments)  
  998     Microsemi Corporation, Term Loan     5.750 %   2/02/18   BB     1,004,981    
  1,197     NXP Semiconductor LLC, Tranche A2, Term Loan     5.500 %   3/03/17   B+     1,186,526    
  2,195     Total Semiconductors & Equipment                       2,191,507    
    Software – 5.1% (3.6% of Total Investments)  
  2,000     BlackBoard, Inc., Term Loan, First Lien     7.500 %   9/23/18   B+     1,946,250    
  902     Datatel Parent Corp, Term Loan B     6.250 %   6/13/18   B     910,055    
  3,800     IPC Systems, Inc., Term Loan, Second Lien     5.559 %   6/01/15   CCC     3,215,750    
  971     IPC Systems, Inc., Term Loan     2.757 %   6/02/14   B1     916,797    
  499     SoftBrands, Inc., and Lawson Software, Inc., Term Loan     6.750 %   7/05/17   Ba3     500,683    
  1,000     Vertafore, Inc., Term Loan, Second Lien     9.750 %   10/29/17   CCC+     970,417    
  1,244     Vertafore, Inc., Term Loan     5.250 %   7/29/16   B+     1,231,285    
  10,416     Total Software                       9,691,237    
    Specialty Retail – 4.6% (3.3% of Total Investments)  
  1,980     Toys "R" Us – Delaware, Inc., Term Loan     6.000 %   9/01/16   BB-     1,974,967    
  1,919     Burlington Coat Factory Warehouse Corporation, Term Loan B     6.250 %   2/23/17   B-     1,921,514    
  1,686     J Crew Group, Term Loan     4.750 %   3/07/18   B1     1,632,765    
  1,090     Jo-Ann Stores, Inc., Term Loan     4.750 %   3/16/18   B+     1,064,198    
  749     Lord & Taylor Holdings LLC, Term Loan     5.750 %   12/21/18   BB     752,500    
  1,467     Sports Authority, Inc., Term Loan B     7.500 %   11/16/17   B-     1,409,430    
  8,891     Total Specialty Retail                       8,755,374    
    Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)  
  1,000     Clear Channel Communications, Inc., Tranche B, Term Loan     3.920 %   1/29/16   CCC+     803,067    
$ 228,162     Total Variable Rate Senior Loan Interests (cost $222,830,621)                       223,880,886    
Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Corporate Bonds – 20.5% (14.8% of Total Investments)  
    Building Products – 1.1% (0.8% of Total Investments)  
$ 2,000     McJunkin Red Man Corporation     9.500 %   12/15/16   B-   $ 2,117,500    
    Commercial Banks – 0.5% (0.4% of Total Investments)  
  1,000     CIT Group Inc.     7.000 %   5/01/17   B+     1,001,250    
    Commercial Services & Supplies – 0.2% (0.2% of Total Investments)  
  500     Ceridian Corporation     11.250 %   11/15/15   CCC     448,750    
    Communications Equipment – 0.8% (0.5% of Total Investments)  
  1,500     Avaya Inc.     9.750 %   11/01/15   CCC+     1,436,250    
    Diversified Financial Services – 0.4% (0.3% of Total Investments)  
  792     CIT Group Inc.     7.000 %   5/01/16   B+     792,458    
    Diversified Telecommunication Services – 1.0% (0.7% of Total Investments)  
  1,500     IntelSat Bermuda Limited, 144A     11.500 %   2/15/17   CCC+     1,507,500    
  500     IntelSat Bermuda Limited     11.500 %   2/04/17   CCC+     502,500    
  2,000     Total Diversified Telecommunication Services                       2,010,000    

 

Nuveen Investments
46



Principal
Amount (000)
  Description (1)   Coupon   Maturity   Ratings (3)   Value  
    Health Care Equipment & Supplies – 1.4% (1.0% of Total Investments)  
$ 2,700     Chiron Merger Sub Inc., 144A     10.500 %   11/01/18   B   $ 2,754,000    
    Health Care Providers & Services – 3.2% (2.3% of Total Investments)  
  2,000     HCA Inc., (10)     8.500 %   4/15/19   BB     2,220,000    
  2,000     Kindred Healthcare Inc., Term Loan     8.250 %   6/01/19   B-     1,835,000    
  500     Select Medical Corporation     7.625 %   2/01/15   CCC+     495,000    
  500     Select Medical Corporation     6.267 %   9/15/15   CCC+     446,875    
  1,000     Vanguard Health Holding LLC/Inc.     8.000 %   2/01/18   B-     1,047,500    
  6,000     Total Health Care Providers & Services                       6,044,375    
    Hotels, Restaurants & Leisure – 1.6% (1.2% of Total Investments)  
  1,000     Harrah's Operating Company, Inc.     11.250 %   6/01/17   B     1,083,750    
  2,000     Seven Seas Cruises S de RL LLC, 144A     9.125 %   5/15/19   B-     2,045,000    
  3,000     Total Hotels, Restaurants & Leisure                       3,128,750    
    Household Products – 1.5% (1.1% of Total Investments)  
  2,500     Sprectum Brands Inc.     9.500 %   6/15/18   B1     2,834,375    
    IT Services – 0.1% (0.1% of Total Investments)  
  250     Sterling Merger Inc.     11.000 %   10/01/19   CCC+     253,125    
    Leisure Equipment & Products – 0.9% (0.6% of Total Investments)  
  1,700     The Academy Limited Finance, 144A     9.250 %   8/01/19   CCC+     1,689,375    
    Media – 1.5% (1.1% of Total Investments)  
  500     AMC Networks Inc., 144A     7.750 %   7/15/21   B+     549,375    
  1,000     Clear Channel Communications, Inc.     5.500 %   9/15/14   CCC–     835,000    
  2,000     Clear Channel Communications, Inc.     10.750 %   8/01/16   CCC–     1,490,000    
  80     Readers Digest Association     9.500 %   2/15/17   B3     66,800    
  3,580     Total Media                       2,941,175    
    Multiline Retail – 0.3% (0.2% of Total Investments)  
  500     Number Merger Sub Inc., 144A     11.000 %   12/15/19   Caa1     526,875    
    Oil, Gas & Consumable Fuels – 1.7% (1.2% of Total Investments)  
  1,000     Arch Coal Inc., 144A     7.250 %   6/15/21   B+     1,005,000    
  2,000     Chaparral Energy Inc.     9.875 %   10/01/20   B-     2,190,000    
  3,000     Total Oil, Gas & Consumable Fuels                       3,195,000    
    Pharmaceuticals – 3.0% (2.1% of Total Investments)  
  2,000     Valeant Pharmaceuticals International, 144A     7.000 %   10/01/20   BB-     2,032,500    
  500     Valeant Pharmaceuticals International, 144A     7.250 %   7/15/22   BB-     506,250    
  3,000     Warner Chilcott Company LLC     7.750 %   9/15/18   BB     3,172,500    
  5,500     Total Pharmaceuticals                       5,711,250    
    Software – 1.3% (1.0% of Total Investments)  
  2,550     SoftBrands Inc/Atlantis, 144A     11.500 %   7/15/18   B-     2,575,500    
$ 39,072     Total Corporate Bonds (cost $37,823,118)                       39,460,008    

 

Nuveen Investments
47



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of INVESTMENTS January 31, 2012 (Unaudited)

Principal
Amount (000)
  Description (1)   Coupon   Maturity     Value  
    Short-Term Investments – 1.9% (1.3% of Total Investments)  
$ 3,556     Repurchase Agreement with State Street Bank, dated 1/31/12,
repurchase price $3,556,264, collateralized by $3,075,000 U.S. Treasury Notes,
3.625%, due 2/15/21, value $3,631,643
    0.010 %   2/01/12         $ 3,556,263    
    Total Short-Term Investments (cost $3,556,263)                       3,556,263    
    Total Investments (cost $264,210,002) – 139.2%                       266,897,157    
    Borrowings – (39.1)% (5), (6)                       (75,000,000 )  
    Other Assets Less Liabilities – (0.1)% (7)                       (172,075 )  
    Net Assets Applicable to Common Shares – 100%                     $ 191,725,082    

 

Investments in Derivatives at January 31, 2012

Interest Rate Swaps outstanding:

Counterparty   Notional
Amount
  Fund
Pay/Receive
Floating Rate
  Floating Rate Index   Fixed Rate*   Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 
Barclays PLC   $ 17,500,000     Receive   1-Month USD-LIBOR     1.143 %   Monthly   9/15/16   $ (284,384 )  
Morgan Stanley     17,500,000     Receive   1-Month USD-LIBOR     0.588     Monthly   9/15/14     (90,375 )  
Morgan Stanley     17,500,000     Receive   1-Month USD-LIBOR     1.659     Monthly   9/15/18     (435,627 )  
                            $ (810,386 )  

 

*  Annualized.

Credit Default Swaps outstanding:

Counterparty   Referenced Entity   Buy/Sell
Protection (9)
  Current
Credit Spread (8)
  Notional
Amount
  Fixed Rate*   Termination
Date
  Value   Unrealized
Appreciation
(Depreciation)
 
Bank of America   The Gap, Inc.   Buy     2.63 %   $ 2,000,000       1.000 %   12/20/16   $ 145,980     $ (31,104 )  
JPMorgan   Hasbro, Inc.   Buy     1.71       2,000,000       1.000     3/20/17     64,511       (25,270 )  
Credit Suisse   The Gap, Inc.   Buy     2.81       3,000,000       1.000     3/20/17     241,119       (51,204 )  
Credit Suisse   Levi Strauss & Co.   Buy     6.18       2,000,000       5.000     3/20/17     81,019       (8,981 )  
Citibank N.A.   Royal Caribbean Cruises, Ltd.   Buy     5.05       2,000,000       5.000     3/20/17     (7,809 )     (11,944 )  
                                $ (128,503 )  

 

*  Annualized.

 

Nuveen Investments
48



    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)  Ratings: Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. 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.

  (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

  (5)  Borrowings as a percentage of total investments is 28.1%.

  (6)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (7)  Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at January 31, 2012.

  (8)  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.

  (9)  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.

  (10)  Investment, or a portion of investment, has been pledged as collateral for investments in derivatives.

  N/R  Not rated.

  DD1  Investment, or 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 buyer.

  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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

  USD-LIBOR  United States Dollar-London Inter-Bank Offered Rate

    See accompanying notes to financial statements.

Nuveen Investments
49




Statement of

ASSETS & LIABILITIES

January 31, 2012 (Unaudited)

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short Duration
Credit
Opportunities
(JSD)
 
Assets  
Investments, at value (cost $318,549,855, $799,206,933, $493,000,624
and $264,210,002, respectively)
  $ 308,571,855     $ 786,743,066     $ 487,363,498     $ 266,897,157    
Cash     473,012       1,941,416       985,306          
Credit default swaps premiums paid                       653,324    
Receivables:  
Interest     1,884,023       4,020,570       2,965,090       2,090,721    
Investments sold     2,218,179       8,146,672       4,481,642       5,526,754    
Matured senior loans     492,158       1,292,288       861,525          
Shares sold through shelf offering     167,278             232,835          
Other assets     102,536       165,146       96,605       49,182    
Total assets     313,909,041       802,309,158       496,986,501       275,217,138    
Liabilities  
Borrowings     75,500,000       209,500,000       120,000,000       75,000,000    
Unrealized depreciation on:  
Credit default swaps                       128,503    
Interest rate swaps, net     1,570,291       4,198,910       2,490,170       810,386    
Payables:  
Investments purchased     11,531,688       22,658,797       16,493,236       6,194,000    
Common share dividends     1,359,640       3,245,991       2,192,352       1,006,226    
Accrued expenses:  
Interest on borrowings     19,257       54,738       30,607       23,162    
Management fees     205,957       474,671       298,605       184,856    
Other     273,371       437,419       301,666       144,923    
Total liabilities     90,460,204       240,570,526       141,806,636       83,492,056    
Net assets applicable to Common shares   $ 223,448,837     $ 561,738,632     $ 355,179,865     $ 191,725,082    
Common shares outstanding     32,214,801       48,140,015       30,626,005       10,005,250    
Net asset value per Common share outstanding (net assets applicable to
Common shares, divided by Common shares outstanding)
  $ 6.94     $ 11.67     $ 11.60     $ 19.16    
Net assets applicable to Common shares consist of:  
Common shares, $.01 par value per share   $ 322,148     $ 481,400     $ 306,260     $ 100,053    
Paid-in surplus     276,554,297       678,013,406       427,484,726       190,600,222    
Undistributed (Over-distribution of) net investment income     1,141,073       2,181,504       1,616,435       (116,379 )  
Accumulated net realized gain (loss)     (43,020,390 )     (102,274,901 )     (66,100,260 )     (607,080 )  
Net unrealized appreciation (depreciation)     (11,548,291 )     (16,662,777 )     (8,127,296 )     1,748,266    
Net assets applicable to Common shares   $ 223,448,837     $ 561,738,632     $ 355,179,865     $ 191,725,082    
Authorized shares:  
Common     Unlimited       Unlimited       Unlimited       Unlimited    
Preferred     Unlimited       Unlimited       Unlimited       Unlimited    

 

See accompanying notes to financial statements.

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Statement of

OPERATIONS

Six Months Ended January 31, 2012 (Unaudited)

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short Duration
Credit
Opportunities
(JSD)
 
Investment Income  
Interest   $ 11,276,420     $ 25,775,784     $ 17,676,519     $ 6,576,414    
Dividends           399,034             1,710,276    
Fees     209,897       528,262       340,508       593,062    
Total investment income     11,486,317       26,703,080       18,017,027       8,879,752    
Expenses  
Management fees     1,206,137       3,077,587       1,916,884       1,018,418    
Shareholders' servicing agent fees and expenses     1,467       506       245          
Interest expense on borrowings     482,446       1,340,900       766,548       394,649    
Custodian's fees and expenses     67,506       129,577       85,651       20,508    
Trustees' fees and expenses     4,558       11,789       7,233       3,894    
Professional fees     32,415       38,557             83,463    
Shareholders' reports — printing and mailing expenses     58,033       85,797       63,146       21,367    
Stock exchange listing fees     6,756       7,900       4,849          
Investor relations expense     14,996       31,762       20,379       14,619    
Other expenses     79,484       256,245       119,334       1,587    
Total expenses before custodian fee credit and expense reimbursement     1,953,798       4,980,620       2,984,269       1,558,505    
Custodian fee credit     (20 )     (39 )     (18 )     (10,268 )  
Expense reimbursement           (300,579 )     (162,175 )        
Net expenses     1,953,778       4,680,002       2,822,076       1,548,237    
Net investment income (loss)     9,532,539       22,023,078       15,194,951       7,331,515    
Realized and Unrealized Gain (Loss)  
Net realized gain (loss) from:
Investments
    (3,388,922 )     (6,992,721 )     (6,123,825 )     (494,332 )  
Swaps     (288,731 )     (772,058 )     (457,870 )     (136,152 )  
Change in net unrealized appreciation (depreciation) of:
Investments
    (2,361,846 )     (5,387,524 )     (1,700,785 )     1,908,207    
Swaps     (621,316 )     (1,666,658 )     (985,283 )     (938,889 )  
Net realized and unrealized gain (loss)     (6,660,815 )     (14,818,961 )     (9,267,763 )     338,834    
Net increase (decrease) in net assets applicable to Common shares from operations   $ 2,871,724     $ 7,204,117     $ 5,927,188     $ 7,670,349    

 

See accompanying notes to financial statements.

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Statement of

CHANGES in NET ASSETS (Unaudited)

    Senior Income (NSL)   Floating Rate Income (JFR)  
    Six Months
Ended
1/31/12
  Year
Ended
7/31/11
  Six Months
Ended
1/31/12
  Year
Ended
7/31/11
 
Operations  
Net investment income (loss)   $ 9,532,539     $ 19,717,933     $ 22,023,078     $ 50,914,801    
Net realized gain (loss) from:
Investments
    (3,388,922 )     3,010,063       (6,992,721 )     4,206,927    
Swaps     (288,731 )     (149,932 )     (772,058 )     (400,915 )  
Change in net unrealized appreciation (depreciation) of:
Investments
    (2,361,846 )     2,599,252       (5,387,524 )     8,058,794    
Swaps     (621,316 )     (948,975 )     (1,666,658 )     (2,532,252 )  
Net increase (decrease) in net assets applicable to Common shares
from operations
    2,871,724       24,228,341       7,204,117       60,247,355    
Distributions to Common Shareholders  
From net investment income     (8,792,719 )     (15,179,179 )     (25,884,886 )     (32,674,675 )  
Decrease in net assets applicable to Common shares from distributions
to Common shareholders
    (8,792,719 )     (15,179,179 )     (25,884,886 )     (32,674,675 )  
Capital Share Transactions  
Common shares:  
Proceeds from sales, net of offering costs                          
Proceeds from shelf offering, net of offering costs     1,346,093       15,529,453             9,821,151    
Net proceeds from shares issued to shareholders due to
reinvestment of distributions
    37,944       146,622             569,176    
Net increase (decrease) in net assets applicable to Common shares from
capital share transactions
    1,384,037       15,676,075             10,390,327    
Net increase (decrease) in net assets applicable to Common shares     (4,536,958 )     24,725,237       (18,680,769 )     37,963,007    
Net assets applicable to Common shares at the beginning of period     227,985,795       203,260,558       580,419,401       542,456,394    
Net assets applicable to Common shares at the end of period   $ 223,448,837     $ 227,985,795     $ 561,738,632     $ 580,419,401    
Undistributed (Over-distribution of) net investment income at
the end of period
  $ 1,141,073     $ 401,253     $ 2,181,504     $ 6,043,312    

 

See accompanying notes to financial statements.

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Statement of

CHANGES in NET ASSETS (Unaudited) (continued)

    Floating Rate
Income Opportunity (JRO)
  Short Duration
Credit Opportunities (JSD)
 
    Six Months
Ended
1/31/12
  Year
Ended
7/31/11
  Six Months
Ended
1/31/12
  For the period
5/25/11
(Commencement
of Operations)
through 7/31/11
 
Operations  
Net investment income (loss)   $ 15,194,951     $ 32,744,605     $ 7,331,515     $ 501,219    
Net realized gain (loss) from:
Investments
    (6,123,825 )     4,037,396       (494,332 )     23,462    
Swaps     (457,870 )     (237,763 )     (136,152 )        
Change in net unrealized appreciation (depreciation) of:
Investments
    (1,700,785 )     5,449,298       1,908,207       778,948    
Swaps     (985,283 )     (1,504,887 )     (938,889 )        
Net increase (decrease) in net assets applicable to Common shares
from operations
    5,927,188       40,488,649       7,670,349       1,303,629    
Distributions to Common Shareholders  
From net investment income     (17,118,539 )     (23,158,918 )     (6,813,575 )     (1,135,596 )  
Decrease in net assets applicable to Common shares from distributions
to Common shareholders
    (17,118,539 )     (23,158,918 )     (6,813,575 )     (1,135,596 )  
Capital Share Transactions  
Common shares:  
Proceeds from sales, net of offering costs                       190,600,000    
Proceeds from shelf offering, net of offering costs     1,426,099       25,205,303                
Net proceeds from shares issued to shareholders due to
reinvestment of distributions
    62,464       211,900                
Net increase (decrease) in net assets applicable to Common shares from
capital share transactions
    1,488,563       25,417,203             190,600,000    
Net increase (decrease) in net assets applicable to Common shares     (9,702,788 )     42,746,934       856,774       190,768,033    
Net assets applicable to Common shares at the beginning of period     364,882,653       322,135,719       190,868,308       100,275    
Net assets applicable to Common shares at the end of period   $ 355,179,865     $ 364,882,653     $ 191,725,082     $ 190,868,308    
Undistributed (Over-distribution of) net investment income at
the end of period
  $ 1,616,435     $ 3,540,023     $ (116,379 )   $ (634,319 )  

 

See accompanying notes to financial statements.

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Statement of

CASH FLOWS

Six Months Ended January 31, 2012 (Unaudited)

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short
Duration Credit
Opportunities
(JSD)
 
Cash Flows from Operating Activities:  
Net Increase (Decrease) in Net Assets Applicable to
Common Shares from Operations
  $ 2,871,724     $ 7,204,117     $ 5,927,188     $ 7,670,349    
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     (90,328,018 )     (190,764,851 )     (220,683,981 )     (122,271,827 )  
Proceeds from sales and maturities of investments     78,773,934       167,396,123       216,448,334       48,991,617    
Proceeds from (Purchases of) short-term investments, net     5,349,663       16,596,910       3,552,484       (3,556,263 )  
Proceeds from (Payments for) swap contracts, net     (288,731 )     (772,058 )     (457,870 )     (136,152 )  
Amortization (Accretion) of premiums and discounts, net     (2,361,725 )     (5,446,259 )     (4,146,602 )     (902,679 )  
(Increase) Decrease in:  
Receivable for interest     (270,384 )     (299,450 )     (163,068 )     (1,207,817 )  
Receivable for investments sold     9,909,811       25,545,713       14,999,131       577,815    
Receivable for matured senior loans     36,523       109,568       73,046          
Receivable for shares sold through shelf offering     (163,854 )           (232,835 )        
Other assets     79,168       201,396       118,047       (49,182 )  
Increase (Decrease) in:  
Payable for investments purchased     (3,608,232 )     (19,317,189 )     (11,195,282 )     (60,834,331 )  
Accrued interest on borrowings     5,597       14,498       8,946       23,162    
Accrued management fees     (6,230 )     (14,295 )     16,979       50,733    
Accrued other expenses     (83,498 )     (83,614 )     (80,149 )     36,064    
Net realized (gain) loss from:  
Investments     3,388,922       6,992,721       6,123,825       494,332    
Swaps     288,731       772,058       457,870       136,152    
Paydowns     (622,429 )     (243,671 )     (192,926 )     (41,578 )  
Change in net unrealized (appreciation) depreciation of:  
Investments     2,361,846       5,387,524       1,700,785       (1,908,207 )  
Swaps     621,316       1,666,658       985,283       938,889    
Net cash provided by (used in) operating activities     5,954,134       14,945,899       13,259,205       (131,988,923 )  
Cash Flows from Financing Activities:  
(Increase) Decrease in deferred shelf offering costs     36,585       138,135       40,899          
Increase (Decrease) in:  
Accrued shelf offering costs           (6,291 )     (3,075 )        
Borrowings     1,550,000       11,760,000       2,730,000       75,000,000    
Cash distributions paid to Common shareholders     (8,683,801 )     (25,496,327 )     (16,867,822 )     (6,924,502 )  
Proceeds from shelf offering, net of offering costs     1,346,093             1,426,099          
Net cash provided by (used in) financing activities     (5,751,123 )     (13,604,483 )     (12,673,899 )     68,075,498    
Net Increase (Decrease) in Cash     203,011       1,341,416       585,306       (63,913,425 )  
Cash at the beginning of period     270,001       600,000       400,000       63,913,425    
Cash at the End of Period   $ 473,012     $ 1,941,416     $ 985,306     $    

 

Supplemental Disclosure of Cash Flow Information

Cash paid by Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD) for interest on borrowings during the six months ended January 31, 2012, was $419,915, $1,168,419, $667,110 and $336,652, respectively.

Non-cash financing activities not included herein consist of reinvestments of Common share distributions of $37,944 and $62,464 for Senior Income (NSL) and Floating Rate Income Opportunity (JRO), respectively.

 

See accompanying notes to financial statements.

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Intentionally Left Blank

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Financial

HIGHLIGHTS (Unaudited)

Selected data for a Common share outstanding throughout each period:

       
        Investment Operations   Less Distributions      
    Beginning
Common
Share
Net Asset
Value
  Net
Investment
Income
(Loss)(a)
  Net
Realized/
Unrealized
Gain (Loss)
  Distributions
from Net
Investment
Income to
Preferred
Share-
holders(b)
  Distributions
from Capital
Gains to
Preferred
Share-
holders(b)
  Total   Net
Investment
Income to
Common
Share-
holders
  Capital
Gains to
Common
Share-
holders
  Total   Offering
Costs and
Preferred
Share
Underwriting
Discounts
  Discount
from
Shares
Repurchased
and Retired
  Premium
from
Common
Shares Sold
through
Shelf
Offering
  Ending
Common
Share
Net Asset
Value
  Ending
Market
Value
 
Senior Income (NSL)      
Year Ended 7/31:  
  2012 (g)   $ 7.12     $ .30     $ (.22 )   $     $     $ 0.08     $ (.27 )   $     $ (.27 )   $     $     $ .01     $ 6.94     $ 7.01    
  2011       6.81       .64       .09                   0.73       (.49 )           (.49 )                 .07       7.12       6.99    
  2010       5.70       .37       1.20       *           1.57       (.46 )           (.46 )                       6.81       6.95    
  2009       7.18       .45       (1.46 )     (.02 )           (1.03 )     (.45 )           (.45 )                       5.70       5.15    
  2008       8.00       .72       (.83 )     (.07 )           (.18 )     (.64 )           (.64 )                       7.18       6.18    
  2007       8.33       .79       (.33 )     (.08 )           .38       (.71 )           (.71 )                       8.00       8.08    
Floating Rate Income (JFR)      
Year Ended 7/31:  
  2012 (g)     12.06       .46       (.31 )                 .15       (.54 )           (.54 )                       11.67       11.39    
  2011       11.47       1.07       .19                   1.26       (.69 )           (.69 )                 .02       12.06       11.41    
  2010       9.76       .82       1.47       *           2.29       (.58 )           (.58 )           *           11.47       11.20    
  2009       11.83       .71       (2.07 )     (.07 )           (1.43 )     (.64 )           (.64 )           *           9.76       8.37    
  2008       13.08       1.40       (1.20 )     (.37 )           (.17 )     (1.08 )           (1.08 )                       11.83       10.19    
  2007       13.90       1.56       (.78 )     (.43 )           .35       (1.17 )           (1.17 )                       13.08       12.88    

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  The amounts shown are based on Common share equivalents.

(c)  Total Return Based on Market Value 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.

  Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

(d)  • Ratios do not reflect the effect of dividend payments to Preferred shareholders, where applicable.

  • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.

  • Each ratio includes the effect of all interest expense paid and other costs related to borrowings, where applicable, as follows:

Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
  Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
 
Senior Income (NSL)       Floating Rate Income (JFR)        
Year Ended 7/31:       Year Ended 7/31:        
2012(g)     .45 %**   2012(g)     .49 %**  
2011     .49     2011     .52    
2010     .86     2010     .78    
2009     1.83     2009     1.64    
2008     2.26     2008     .35    
2007     2.35     2007        

Nuveen Investments
56



        Ratios/Supplemental Data      
    Total Returns       Ratios to Average
Net Assets Applicable to
Common Shares Before
Reimbursement(d)
  Ratios to Average
Net Assets Applicable to
Common Shares After
Reimbursement(d)(e)
      Preferred Shares at the End of Period   Borrowings
at the End of Period
 
    Based
on
Market
Value(c)
  Based
on
Common
Share
Net
Asset
Value(c)
  Ending Net
Assets
Applicable to
Common
Shares (000)
  Expenses   Net
Investment
Income
(Loss)(f)
  Expenses   Net
Investment
Income
(Loss)(f)
  Portfolio
Turnover
Rate
  Aggregate
Amount
Outstanding
(000)
  Liquidation
and Market
Value Per
Share
  Asset
Coverage
Per Share
  Aggregate
Amount
Outstanding
(000)
  Asset
Coverage
Per $1,000
 
Senior Income (NSL)  
Year Ended 7/31:  
  2012 (g)     4.51 %     1.52 %   $ 223,449       1.81 %**     8.82 %**     1.81 %**     8.82 %**     28 %   $     $     $     $ 75,500     $ 3,960    
  2011       7.72       12.01       227,986       1.78       8.99       1.78       8.99       100                         73,950       4,083    
  2010       44.83       28.15       203,261       2.18       5.61       2.17       5.62       68                         73,950       3,749    
  2009       (6.83 )     (12.25 )     169,917       3.50       9.39       3.39       9.50       48       26,000       25,000       188,381       32,900       6,955    
  2008       (16.31 )     (2.32 )     214,311       3.88       9.38       3.69       9.57       50       46,000       25,000       141,473       90,000       3,892    
  2007       7.79       4.39       238,779       3.88       8.99       3.59       9.27       80       46,000       25,000       154,771       103,000       3,765    
Floating Rate Income (JFR)  
Year Ended 7/31:  
  2012 (g)     4.88       1.45       561,739       1.82 **     7.94 **     1.71 **     8.05 **     23                         209,500       3,681    
  2011       7.96       11.31       580,419       1.72       8.74       1.54       8.92       99                         197,740       3,935    
  2010       41.48       23.85       542,456       2.03       7.14       1.74       7.42       51                         197,740       3,743    
  2009       (9.82 )     (10.37 )     463,026       3.25       8.27       2.79       8.74       38       105,000       25,000       135,244       38,500       15,754    
  2008       (13.07 )     (1.43 )     560,473       2.04       10.71       1.50       11.25       30       165,000       25,000       109,920       235,000       4,087    
  2007       6.69       2.33       619,843       1.59       10.63       1.08       11.14       81       400,000       25,000       63,740                

 

(e)  After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund's net cash deposit with the custodian bank, where applicable. As of October 31, 2009, the Adviser is no longer reimbursing Senior Income (NSL) for any fees or expenses.

(f)  Each ratio of Net Investment Income (Loss) includes the effect of the increase of the net realizable value of the receivable for matured senior loans as described in Footnote 1—General Information and Significant Accounting Policies, 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(h)
  Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(h)
 
Senior Income (NSL)         Floating Rate Income (JFR)        
Year Ended 7/31:         Year Ended 7/31:        
2012(g)     (.03 )%**   2012(g)     (.04 )%**  
2011     .02     2011     .02    
2010     .09     2010     .08    
2009     N/A     2009     N/A    
2008     N/A     2008     N/A    
2007     N/A     2007     N/A    

 

(g)  For the six months ended January 31, 2012.

(h)  The Fund had no matured senior loans prior to the fiscal year ended July 31, 2010.

*  Rounds to less than $.01 per share.

**  Annualized.

 

See accompanying notes to financial statements.

Nuveen Investments
57



Financial

HIGHLIGHTS (Unaudited) (continued)

Selected data for a Common share outstanding throughout each period:

       
        Investment Operations   Less Distributions      
    Beginning
Common
Share
Net Asset
Value
  Net
Investment
Income
(Loss)(a)
  Net
Realized/
Unrealized
Gain (Loss)
  Distributions
from Net
Investment
Income to
Preferred
Share-
holders(b)
  Distributions
from Capital
Gains to
Preferred
Share-
holders(b)
  Total   Net
Investment
Income to
Common
Share-
holders
  Capital
Gains to
Common
Share-
holders
  Total   Offering
Costs and
Preferred
Share
Underwriting
Discounts
  Discount
from
Shares
Repurchased
and Retired
  Premium
from
Common
Shares Sold
through
Shelf
Offering
  Ending
Common
Share
Net Asset
Value
  Ending
Market
Value
 
Floating Rate Income Opportunity (JRO)      
Year Ended 7/31:  
  2012 (g)   $ 11.96     $ .50     $ (.30 )   $     $     $ .20     $ (.56 )   $     $ (.56 )   $     $     $ *   $ 11.60     $ 11.65    
  2011       11.34       1.12       .22                   1.34       (.79 )           (.79 )                 .07       11.96       11.46    
  2010       9.54       1.01       1.50       *           2.51       (.71 )           (.71 )           *           11.34       11.64    
  2009       11.75       .73       (2.15 )     (.07 )           (1.49 )     (.72 )           (.72 )           *           9.54       8.35    
  2008       13.14       1.41       (1.29 )     (.37 )           (.25 )     (1.14 )           (1.14 )                       11.75       10.06    
  2007       13.95       1.62       (.78 )     (.43 )           .41       (1.22 )           (1.22 )                       13.14       13.05    
Short Duration Credit Opportunities (JSD)      
Year Ended 7/31:  
  2012 (g)     19.08       .73       .03                   .76       (.68 )           (.68 )                       19.16       18.31    
  2011 (h)     19.10       .05       .08                   .13       (.11 )           (.11 )     (.04 )                 19.08       18.37    

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  The amounts shown are based on Common share equivalents.

(c)  Total Return Based on Market Value 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.

  Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

(d)  • Ratios do not reflect the effect of dividend payments to Preferred shareholders, where applicable.

  • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.

  • Each ratio includes the effect of all interest expense paid and other costs related to borrowings, where applicable, as follows:

Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
  Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
 
Floating Rate Income Opportunity (JRO)         Short Duration Credit Opportunities (JSD)        
Year Ended 7/31:         Year Ended 7/31:        
2012(g)     .45 %**   2012(g)     .42 %**  
2011     .49     2011(h)        
2010     .86            
2009     1.65            
2008     .35            
2007                

Nuveen Investments
58



        Ratios/Supplemental Data      
    Total Returns       Ratios to Average
Net Assets Applicable to
Common Shares Before
Reimbursement(d)
  Ratios to Average
Net Assets Applicable to
Common Shares After
Reimbursement(d)(e)
      Preferred Shares at the End of Period   Borrowings
at the End of Period
 
    Based
on
Market
Value(c)
  Based
on
Common
Share
Net
Asset
Value(c)
  Ending Net
Assets
Applicable to
Common
Shares (000)
  Expenses   Net
Investment
Income
(Loss)(f)
  Expenses   Net
Investment
Income
(Loss)(f)
  Portfolio
Turnover
Rate
  Aggregate
Amount
Outstanding
(000)
  Liquidation
and Market
Value Per
Share
  Asset
Coverage
Per Share
  Aggregate
Amount
Outstanding
(000)
  Asset
Coverage
Per $1,000
 
Floating Rate Income Opportunity (JRO)  
Year Ended 7/31:  
  2012 (g)     6.93 %     1.94 %   $ 355,180       1.74 %**     8.75 %**     1.64 %**     8.85 %**     48 %   $     $     $     $ 120,000     $ 3,960    
  2011       5.20       12.77       364,883       1.75       9.19       1.56       9.38       101                         117,270       4,111    
  2010       49.00       26.66       322,136       2.14       8.95       1.84       9.25       58                         117,270       3,747    
  2009       (7.35 )     (10.57 )     271,125       3.35       8.74       2.86       9.23       41       60,000       25,000       137,969       37,350       9,865    
  2008       (14.88 )     (1.99 )     334,040       2.06       10.88       1.55       11.38       33       100,000       25,000       108,510       140,000       4,100    
  2007       7.13       2.73       373,366       1.61       11.06       1.13       11.54       81       240,000       25,000       63,892                
Short Duration Credit Opportunities (JSD)  
Year Ended 7/31:  
  2012 (g)     3.61       4.17       191,725       1.68 **     7.87 **     N/A**       N/A**       22                         75,000       3,556    
  2011 (h)     (7.58 )     .49       190,868       1.16 **     1.52 **     N/A**       N/A**       5                                  

 

(e)  After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund's net cash deposit with the custodian bank, where applicable.

(f)  Each ratio of Net Investment Income (Loss) includes the effect of the increase of the net realizable value of the receivable for matured senior loans as described in Footnote 1—General Information and Significant Accounting Policies, 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(I)
  Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(I)
 
Floating Rate Income Opportunity (JRO)         Short Duration Credit Opportunities (JSD)        
Year Ended 7/31:         Year Ended 7/31:        
2012(g)     (.04 )%**   2012(g)     N/A    
2011     .02     2011(h)     N/A    
2010     .09            
2009     N/A            
2008     N/A            
2007     N/A            

 

(g)  For the six months ended January 31, 2012.

(h)  For the period May 25, 2011 (commencement of operations) through July 31, 2011.

(I)  Floating Rate Income Opportunity (JRO) had no matured senior loan prior to the fiscal year ended July 31, 2010. Short Duration Credit Opportunities (JSD) has not had any matured senior loans since its commencement of operations on May 25, 2011.

N/A  Fund does not have a contractual expense reimbursement with the Adviser.

*  Rounds to less than $.01 per share.

**  Annualized.

 

See accompanying notes to financial statements.

Nuveen Investments
59




Notes to

FINANCIAL STATEMENTS (Unaudited)

1. General Information and Significant Accounting Policies

General Information

The funds covered in this report and their corresponding Common share New York Stock Exchange ("NYSE") symbols are Nuveen Senior Income Fund (NSL), Nuveen Floating Rate Income Fund (JFR), Nuveen Floating Rate Income Opportunity Fund (JRO) and Nuveen Short Duration Credit Opportunities Fund (JSD) (each a "Fund" and collectively, the "Funds"). The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies.

Prior to commencement of operations, Short Duration Credit Opportunities (JSD) had no operations other than those related to organizational matters, the initial capital contribution of $100,275 to the Fund by Nuveen Fund Advisors, Inc. (the "Adviser"), a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), and the recording of the Fund's organizational expenses ($11,000) and its reimbursement by the Adviser.

Senior Income's (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests 80% of its total assets in adjustable rate senior secured loans. The Fund may invest up to 20% of its total assets in U.S. dollar-denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities, and equity securities and warrants acquired in connection with the Fund's investment in senior loans.

Floating Rate Income's (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 65% of its Managed Assets (as defined in Footnote 7—Management Fees and Other Transactions with Affiliates) 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 the Fund's sub-adviser Symphony Asset Management, LLC ("Symphony"), a subsidiary of Nuveen.

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. The Fund seeks to achieve its objective by primarily investing 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. Under normal market circumstances the Fund will invest at least 70% of its Managed Assets in adjustable rate senior loans and second lien loans. 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 20% of the Fund's Managed Assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by the Fund's sub-adviser, 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. Initially, these short positions will not increase the Fund's leverage ratio or overall investment exposure because the Fund will not use any proceeds or cash from short sales to invest in additional securities. 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.

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Significant Accounting Policies

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 Valuation

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 for fair value measurement purposes. Securities primarily traded on the NASDAQ National Market ("NASDAQ") are valued, except as indicated below, 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.

Investments in investment companies are valued at their respective net asset values on the valuation date. These investment vehicles are generally classified as Level 1.

Prices of fixed-income securities, senior loans and swap contracts are provided by a pricing service approved by the Funds' Board of Trustees. These securities are generally classified as Level 2. When price quotes are not readily available, 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. 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 priority of the significant inputs.

Like most fixed-income instruments, 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.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

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 Funds' Board of Trustees or its designee 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 net asset value (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 priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds' Board of Trustees or its designee.

Refer to Footnote 2—Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.

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 instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At January 31, 2012, Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD) had outstanding when-issued/delayed delivery purchase commitments of $11,531,688, $18,462,625, $13,695,788 and $4,194,000, respectively.

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61



Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

Investment Income

Dividend income is recorded on the ex-dividend date. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydown gains and losses and fee income, if any. 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.

Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its investment company taxable income to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies ("RICs"). 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.

Dividends and Distributions to Common Shareholders

Dividends 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 corporate income tax regulations, which may differ from U.S. GAAP.

Preferred Shares

The Funds are authorized to issue Preferred shares. As of July 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) redeemed all of their outstanding Preferred shares, at liquidation values of $46,000,000, $400,000,000 and $240,000,000, respectively. Short Duration Credit Opportunities (JSD) has not issued Preferred shares since its commencement of operations on May 25, 2011, through the end of the current reporting period.

Matured Senior Loans

Each Fund may hold senior loans which have matured prior to the end of the current fiscal period. The net realizable value for matured senior loans is recognized on the Statement of Assets and Liabilities as a component of "Receivable for matured senior loans." The net increase or decrease in the net realizable value of the receivable for matured senior loans during the current fiscal period is recognized on the Statement of Operations as a component of "Other income" or "Other expenses," respectively, as applicable.

Swap Contracts

Each Fund is authorized to enter into swap contracts consistent with their investment objectives and policies to reduce, increase or otherwise alter its risk profile or to alter its portfolio characteristics (i.e. duration, yield curve positioning and credit quality).

Interest Rate Swap Contracts

Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives and policies in an attempt to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. In connection with these contracts, securities in the Funds' portfolios of investments may be identified as collateral in accordance with the terms of the respective swap contract. Interest rate swap contracts involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (i.e., an exchange of floating rate payments for fixed rate payments with respect to a specified notional amount of principal). Interest rate swap contracts are valued daily. The Funds accrue daily the periodic

Nuveen Investments
62



payments expected to be paid and received on each interest rate swap contract and recognize the daily change in the market value of the Funds' contractual rights and obligations under the contracts. 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" with the change during the fiscal period recognized on the Statement of Operations as a component of "Change in net unrealized appreciation (depreciation) of swaps". Income received or paid by the Funds is recognized as a component of "Net realized gain (loss) from swaps" on the Statement of Operations, in addition to the net realized gains or losses recognized upon the termination of an interest rate swap contract and are equal to the difference between the Funds' basis in the interest rate swap and the proceeds from (or cost of) the closing transaction. The amount of the payment obligation is based on the notional amount of the interest rate swap contract. Payments received or made at the beginning of the measurement period are recognized as a component of "Interest rate swap premiums paid and/or received" on the Statement of Assets and Liabilities, when applicable. For tax purposes, periodic payments are treated as ordinary income or expense.

During the six months ended January 31, 2012, Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunities (JRO) and Short Duration Credit Opportunities (JSD) entered into interest rate swap contracts to partially fix the interest cost of leverage. The average notional amount of interest rate swap contracts outstanding during the six months ended January 31, 2012, was as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Average notional amount of interest rate swap contracts outstanding*   $ 55,462,500     $ 148,305,000     $ 87,952,500     $ 35,000,000    

 

*  The average notional amount is calculated based on the outstanding notional amount at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

Credit Default Swaps

Each Fund is subject to credit risk in the normal course of pursuing its investment objectives. 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. As a purchaser of a credit default swap contract, the Fund pays to the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily and recognized with the daily change in the market value of the contract as a component of "Unrealized appreciation or depreciation on credit default swaps" on the Statement of Assets and Liabilities and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain. Payments received or made at the beginning of the measurement period are recognized as a component of "Credit default swap premiums paid and/or received" on the Statement of Assets and Liabilities, when applicable. As a seller of a credit default swap contract, the Fund generally receives from the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or 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 and the notional amount paid is recorded as a realized loss. 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. The maximum potential amount of future payments the Fund could incur as a 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 six months ended January 31, 2012, Short Duration Credit Opportunities (JSD) invested in credit default swap contracts to protect against default in individual bonds where the reference bonds' issuers are the issuers of loans or securities held in the Fund's portfolio of investments. The Fund does not hold other securities issued by the issuers referenced under these credit default

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Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

swap contracts. The average notional amount of credit default swap contracts outstanding during the six months ended January 31, 2012, was as follows:

    Short
Duration
Credit
Opportunites
(JSD)
 
Average notional amount of credit default swap contracts outstanding*   $ 3,666,667    

 

*  The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

Refer to Footnote 3—Derivative Instruments and Hedging Activities for further details on swap contract activity.

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. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange's clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.

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.

Common Shares Shelf Offering and Shelf Offering Costs

During the fiscal year ended July 31, 2011, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) each filed a registration statement with the Securities and Exchange Commission authorizing each Fund to issue an additional 2.9 million, 4.7 million and 2.8 million Common shares, respectively, through an equity shelf offering. Under these equity shelf programs, each Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above each Fund's net asset value per Common share.

During the six months ended January 31, 2012, Senior Income (NSL) and Floating Rate Income Opportunity (JRO) issued 201,294 and 123,207 Common shares, respectively, receiving offering proceeds, net of offering costs of $1,346,093 and $1,426,099, respectively.

Costs incurred by the Funds in connection with the shelf offerings of their Common shares are recorded as a deferred charge which are amortized over the period such additional Common shares are sold not to exceed the one-year life of the shelf offering period.

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.

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Zero Coupon Securities

Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt 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.

Custodian Fee Credit

Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.

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.

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. Fair Value Measurements

Fair value is defined as the price that the Funds would receive 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 —  Quoted prices in active markets for identical securities.

Level 2 —  Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 —  Significant unobservable inputs (including management's assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund's fair value measurements as of January 31, 2012:

Senior Income (NSL)   Level 1   Level 2   Level 3   Total  
Investments:  
Variable Rate Senior Loans   $     $ 264,106,655     $     $ 264,106,655    
Common Stocks*     2,367,402       1,560,765             3,928,167    
Convertible Bonds           841,500             841,500    
Corporate Bonds           27,055,206             27,055,206    
Short-Term Investments           12,640,327             12,640,327    
Derivatives:  
Interest Rate Swaps**           (1,570,291 )           (1,570,291 )  
Total   $ 2,367,402     $ 304,634,162     $     $ 307,001,564    

 

*  Refer to the Fund's Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.

**  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

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Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

Floating Rate Income (JFR)   Level 1   Level 2   Level 3   Total  
Investments:  
Variable Rate Senior Loans   $     $ 681,477,534     $     $ 681,477,534    
Common Stocks*     8,075,959       5,449,951             13,525,910    
Convertible Bonds           1,831,500             1,831,500    
Corporate Bonds           52,429,423             52,429,423    
Asset-Backed Securities           11,883,190             11,883,190    
Investment Companies     12,018,768                   12,018,768    
Short-Term Investments           13,576,741             13,576,741    
Derivatives:  
Interest Rate Swaps**           (4,198,910 )           (4,198,910 )  
Total   $ 20,094,727     $ 762,449,429     $     $ 782,544,156    
Floating Rate Income Opportunity (JRO)   Level 1   Level 2   Level 3   Total  
Investments:  
Variable Rate Senior Loans   $     $ 405,053,518     $     $ 405,053,518    
Common Stocks*     3,327,754       4,923,722             8,251,476    
Convertible Bonds           1,534,500             1,534,500    
Corporate Bonds           47,383,583             47,383,583    
Asset-Backed Securities           9,558,164             9,558,164    
Short-Term Investments           15,582,257             15,582,257    
Derivatives:  
Interest Rate Swaps**           (2,490,170 )           (2,490,170 )  
Total   $ 3,327,754     $ 481,545,574     $     $ 484,873,328    
Short Duration Credit Opportunities (JSD)   Level 1   Level 2   Level 3   Total  
Investments:  
Variable Rate Senior Loans   $     $ 223,880,886     $     $ 223,880,886    
Corporate Bonds           39,460,008             39,460,008    
Short-Term Investments           3,556,263             3,556,263    
Derivatives:  
Interest Rate Swaps**           (810,387 )           (810,387 )  
Credit Default Swaps**           (128,503 )           (128,503 )  
Total   $     $ 265,958,267     $     $ 265,958,267    

 

*  Refer to the Fund's Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.

**  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

During the six months ended January 31, 2012, the Funds recognized no significant transfers to or from Level 1, Level 2 or Level 3.

3. Derivative Instruments and Hedging Activities

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. For additional information on the derivative instruments in which the Funds were invested during and at the end of the reporting period, refer to the Portfolios of Investments, Financial Statements and Footnote 1—General Information and Significant Accounting Policies.

 

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The following tables present the fair value of all derivative instruments held by the Funds as of January 31, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

Senior Income (NSL)

        Location on the Statement of Assets and Liabilities  
Underlying   Derivative   Asset Derivatives   Liability Derivatives  
Risk Exposure   Instrument   Location   Value   Location   Value  
Interest Rate
  Swaps
  Unrealized depreciation on
interest rate swaps, net*
  $ 3,034
  Unrealized depreciation on
interest rate swaps, net*
  $ 1,573,325
 

 

Floating Rate Income (JFR)

        Location on the Statement of Assets and Liabilities  
Underlying   Derivative   Asset Derivatives   Liability Derivatives  
Risk Exposure   Instrument   Location   Value   Location   Value  
Interest Rate
  Swaps
  Unrealized depreciation on
interest rate swaps, net*
  $ 8,112
  Unrealized depreciation on
interest rate swaps, net*
  $ 4,207,022
 

 

Floating Rate Income Opportunity (JRO)

        Location on the Statement of Assets and Liabilities  
Underlying   Derivative   Asset Derivatives   Liability Derivatives  
Risk Exposure   Instrument   Location   Value   Location   Value  
Interest Rate
  Swaps
  Unrealized depreciation on
interest rate swaps, net*
  $ 4,811
  Unrealized depreciation on
interest rate swaps, net*
  $ 2,494,981
 

 

Short Duration Credit Opportunities (JSD)

        Location on the Statement of Assets and Liabilities  
Underlying   Derivative   Asset Derivatives   Liability Derivatives  
Risk Exposure   Instrument   Location   Value   Location   Value  
Interest Rate
  Swaps
  Unrealized appreciation on
interest rate swaps, net**
  $
  Unrealized depreciation on
interest rate swaps, net**
  $ 810,386
 
Credit
  Swaps
  Unrealized appreciation on
credit default swaps**
 
  Unrealized depreciation on
credit default swaps**
  128,503
 
Total           $         $ 938,889    

 

*  Value represents cumulative gross appreciation (depreciation) of swap contracts as reported in the Fund's Portfolio of Investments. The Statement of Assets and Liabilities presents the net unrealized appreciation (depreciation) of all interest rate swap contracts as "Unrealized depreciation on swaps, net."

**  Value represents cumulative gross appreciation (depreciation) of swap contracts as reported in the Fund's Portfolio of Investments. Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities but is not reflected in the cumulative gross appreciation (depreciation) presented above.

The following tables present the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended January 31, 2012, on derivative instruments, as well as the primary risk exposure associated with each.

Net Realized Gain (Loss) from Swaps   Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income Opportunity
(JRO)
  Short Duration
Credit Opportunities
(JSD)
 
Risk Exposure  
Interest Rate   $ (288,731 )   $ (772,058 )   $ (457,870 )   $ (113,680 )  
Credit                       (22,472 )  
Total   $ (288,731 )   $ (772,058 )   $ (457,870 )   $ (136,152 )  

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Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

Change in Net Unrealized Appreciation (Depreciation) of Swaps   Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income Opportunity
(JRO)
  Short Duration
Credit Opportunities
(JSD)
 
Risk Exposure  
Interest Rate   $ (621,316 )   $ (1,666,658 )   $ (985,283 )   $ (810,386 )  
Credit                       (128,503 )  
    $ (621,316 )   $ (1,666,658 )   $ (985,282 )   $ (938,889 )  

 

4. Fund Shares

Common Shares

During the six months ended January 31, 2012, Short Duration Credit Opportunities' (JSD) Board of Trustees approved the Fund's participation in a share repurchase program, under which the Fund may repurchase up to 10% of its outstanding common shares.

Transactions in Common shares were as follows:

    Senior Income (NSL)   Floating Rate
Income (JFR)
  Floating Rate
Income Opportunity (JRO)
  Short Duration Credit
Opportunities (JSD)
 
    Six Months
Ended
1/31/12
  Year
Ended
7/31/11
  Six Months
Ended
1/31/12
  Year
Ended
7/31/11
  Six Months
Ended
1/31/12
  Year
Ended
7/31/11
  Six Months
Ended
1/31/12
  For the period
5/25/11
(commencement
of operations)
through 7/31/11
 
Common shares:  
Sold                                               10,000,000    
Sold through shelf offering     201,294       2,140,249             796,632       123,207       2,068,353                
Issued to shareholders due
to reinvestment of distributions
    5,779       20,595             46,347       5,587       17,824                
Repurchased and retired                                               N/A    
Total     207,073       2,160,844             842,979       128,794       2,086,177             10,000,000    
Weighted average Common share:  
Premium to NAV per shelf
offering share sold
    4.61 %     4.12 %           1.50 %     1.67 %     2.97 %              
Price per share repurchased
and retired
  $     $     $     $     $     $     $     $    
Discount per share repurchased
and retired
                                                 

 

N/A – Short Duration Credit Opportunities (JSD) was not authorized to repurchase its outstanding common shares during the period May 25, 2011 (commencement of operations) through July 31, 2011.

5. Investment Transactions

Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the six months ended January 31, 2012, were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Purchases   $ 90,328,018     $ 190,764,851     $ 220,683,981     $ 122,271,827    
Sales and maturities     78,773,934       167,396,123       216,448,334       48,991,617    

 

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6. Income Tax Information

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 paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and, for Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD), recognition of premium amortization. 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 net asset values of the Funds.

At January 31, 2012, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), 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)
 
Cost of investments   $ 318,752,666     $ 799,903,227     $ 493,371,900     $ 264,294,132    
Gross unrealized:  
Appreciation   $ 7,572,487     $ 21,585,454     $ 15,015,716     $ 5,579,742    
Depreciation     (17,753,298 )     (34,745,615 )     (21,024,118 )     (2,976,717 )  
Net unrealized appreciation (depreciation) of investments   $ (10,180,811 )   $ (13,160,161 )   $ (6,008,402 )   $ 2,603,025    

 

Permanent differences, primarily due to federal taxes paid, paydowns, expiration of capital loss carryforwards, bond premium adjustments and treatment of notional principal contracts resulted in reclassifications among the Funds' components of Common share net assets at July 31, 2011, the Funds' last tax year end, as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Paid-in-surplus   $ (9,341,908 )   $ (138,352 )   $ (104,566 )   $    
Undistributed (Over-distribution of) net investment income     (3,831,551 )     (11,614,330 )     (7,199,373 )     58    
Accumulated net realized gain (loss)     13,173,459       11,752,682       7,303,939       (58 )  

 

The tax components of undistributed net ordinary income and net long-term capital gains at July 31, 2011, the Funds' last tax year end, were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Undistributed net ordinary income *   $ 2,025,874     $ 9,833,021     $ 6,076,483     $ 536,469    
Undistributed net long-term capital gains                          

 

*  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2011, paid on August 1, 2011.

The tax character of distributions paid during the Funds' last tax year ended July 31, 2011, was designated for purposes of the dividends paid deduction as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)**
 
Distributions from net ordinary income *   $ 15,063,956     $ 32,126,213     $ 22,894,559     $    
Distributions from net long-term capital gains                          

 

*  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

**  For the period May 25, 2011 (commencement of operations) through July 31, 2011.

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Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

At July 31, 2011, the Funds' last tax year end, the following 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 follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 
Expiration:  
July 31, 2015   $ 1,002,070     $ 5,063,902     $    
July 31, 2016           183,234          
July 31, 2017     8,900,332       21,620,554       12,869,177    
July 31, 2018     29,264,459       67,020,214       46,332,843    
Total   $ 39,166,861     $ 93,887,904     $ 59,202,020    

 

At July 31, 2011, the Fund's last tax year end, $9,335,827 of Senior Income's (NSL) capital loss carryforward expired.

During the last tax year ended July 31, 2011, the following Funds utilized capital loss carryforwards as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 
Utilized capital loss carryforwards   $ 1,368,428     $ 8,181,631     $ 9,385,159    

 

7. Management Fees and Other Transactions with Affiliates

Each Fund's management fee consists of two components – a fund–level fee, based only on the amount of assets within the 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 for each Fund, payable monthly, is calculated according to the following schedule:

Average Daily Managed Assets*   Senior Income (NSL)
Fund-Level Fee Rate
 
For the first $1 billion     .6500 %  
For the next $1 billion     .6375    
For the next $3 billion     .6250    
For the next $5 billion     .6000    
For Managed Assets over $10 billion     .5750    

 

Average Daily Managed Assets*   Floating Rate Income (JFR)
Floating Rate Income Opportunity (JRO)
Fund-Level Fee Rate
  Short Duration Credit Opportunities (JSD)
Fund-Level Fee Rate
 
For the first $500 million     .6500 %     .6500 %  
For the next $500 million     .6250       .6375    
For the next $500 million     .6000       .6250    
For the next $500 million     .5750       .6125    
For Managed Assets over $2 billion     .5500       .6000    

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The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level*   Effective Rate at Breakpoint Level  
$55 billion     .2000 %  
$56 billion     .1996    
$57 billion     .1989    
$60 billion     .1961    
$63 billion     .1931    
$66 billion     .1900    
$71 billion     .1851    
$76 billion     .1806    
$80 billion     .1773    
$91 billion     .1691    
$125 billion     .1599    
$200 billion     .1505    
$250 billion     .1469    
$300 billion     .1445    

 

*  For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial 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 and assets in excess of $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 January 31, 2012, the complex-level fee rate for these Funds was .1739%.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for each Fund's overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony 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. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

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 of Trustees 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.

For the first eight years of Floating Rate Income's (JFR) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending
March 31,
  Year Ending
March 31,
 
  2004 *     .32 %     2009       .32 %  
  2005       .32       2010       .24    
  2006       .32       2011       .16    
  2007       .32       2012       .08    
  2008       .32                

 

*  From the commencement of operations.

The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any portion of its fees and expenses beyond March 31, 2012.

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71



Notes to

FINANCIAL STATEMENTS (Unaudited) (continued)

For the first eight years of Floating Rate Income Opportunity's (JRO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending
July 31,
  Year Ending
July 31,
 
  2004 *     .30 %     2009       .30 %  
  2005       .30       2010       .22    
  2006       .30       2011       .14    
  2007       .30       2012       .07    
  2008       .30                

 

*  From the commencement of operations.

The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO) for any portion of its fees and expenses beyond July 31, 2012.

During the six months ended January 31, 2012, the Adviser received commissions of $2,720 and $2,881, related to the sale of Common shares from the shelf offerings of Senior Income (NSL) and Floating Rate Income Opportunity (JRO), respectively.

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 the custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At January 31, 2012, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan commitments of $2,000,000, $3,000,000 and $2,000,000, respectively. Short Duration Credit Opportunities (JSD) had no unfunded senior loan commitments as of January 31, 2012.

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. At January 31, 2012, there were no such outstanding participation commitments in any of the Funds.

9. Borrowing Arrangements

Each Fund has entered into a credit agreement ("Borrowings") with an affiliate of Citibank N.A. as a means of financial leverage. 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   $ 75,500,000     $ 209,500,000     $ 120,000,000    

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As of January 31, 2012, 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   $ 75,500,000     $ 209,500,000     $ 120,000,000    

 

During the six months ended January 31, 2012, 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   $ 75,129,348     $ 203,044,783     $ 119,347,174    
Average annual interest rate     1.13 %     1.16 %     1.13 %  

 

In order to maintain these Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in each Fund's portfolio of investments. Interest expense incurred on these Borrowings, which is based on a commercial paper rate, is recognized as a component of "Interest expense on borrowings" on the Statement of Operations. In addition to the interest expense, each Fund pays a .60% per annum program fee, based on the average daily outstanding balance and a .25% per annum liquidity fee, based on the maximum commitment amount of the Borrowings through the renewal date, both of which are recognized as a component of "Interest expense on borrowings" on the Statement of Operations. Borrowings outstanding are recognized as "Borrowings" on the Statement of Assets and Liabilities.

On August 12, 2011, Short Duration Credit Opportunities (JSD) entered into a $75 million (maximum commitment amount) Borrowings with Bank of America, N.A. ("Bank of America") as a means of financial leverage. On August 17, 2011, the Fund amended its Borrowings with Bank of America and increased its maximum commitment amount from $75 million to $85 million. In order to maintain these Borrowings, Short Duration Credit Opportunities (JSD) must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in the Fund's portfolio of investments. Interest is charged on these Borrowings at 3-Month LIBOR (London Inter-bank Offered Rate) plus .85% per annum on the amount borrowed and .25% per annum on the undrawn balance. The Fund also accrues a commitment fee of .10% per annum on the maximum commitment amount and incurred a one-time .10% amendment fee on the increased maximum commitment amount, which will be fully expensed during the fiscal year ended July 31, 2012.

As of January 31, 2012, the Short Duration Credit Opportunities' (JSD) outstanding balance on these borrowings was $75.0 million. During the six months ended January 31, 2012, the average daily balance outstanding and average annual interest rate on these borrowings were $60.3 million and 1.10%, respectively.

10. New Accounting Pronouncements

Financial Accounting Standards Board ("FASB") Transfers and Servicing (Topic 860): Reconsideration of Effective Control for Repurchase Agreements

On April 15, 2011, the FASB issued Accounting Standards Update ("ASU") No. 2011-03 ("ASU No. 2011-03"). The guidance in ASU No. 2011-03 is intended to improve the accounting for repurchase agreements and other similar agreements. Specifically, ASU No. 2011-03 modifies the criteria for determining when these transactions would be accounted for as financing transactions (secured borrowings/lending agreements) as opposed to sale (purchase) transactions with commitments to repurchase (resell). The effective date of ASU No. 2011-03 is for interim and annual periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

Fair Value Measurements and Disclosures

On May 12, 2011, the FASB issued ASU No. 2011-04 modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2 and the reasons for the transfers ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

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73




Reinvest Automatically,
Easily and Conveniently

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

Nuveen Closed-End Funds Automatic Reinvestment Plan

Your 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 tax-free 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 month 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 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

Nuveen Investments
74



brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

Nuveen Investments
75



Glossary of Terms
Used in this Report

•  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.

•  Barclays Capital U.S. Aggregate Bond Index: An unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns assume reinvestment, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

•  CSFB Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

•  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 that increase the Funds' investment exposure.

•  Leverage: Using borrowed money to invest in securities or other assets, seeking to increase the return of an investment or portfolio.

•  Market Yield (also known as Dividend Yield or Current Yield): Market yield 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 calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a tax return of capital.

•  Net Asset Value (NAV): The net market value of all securities held in a portfolio.

•  Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund's total assets (securities, cash, and accrued earnings), subtracting the Fund's liabilities, and dividing by the number of shares outstanding.

•  Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of the Fund. Both of these are part of a Fund's capital structure. Regulatory leverage is sometimes referred to as "'40 Act Leverage" and is subject to asset coverage limits set forth in the Investment Company Act of 1940.

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76




Notes

Nuveen Investments
77



Notes

Nuveen Investments
78




Additional Fund Information

Board of Trustees

John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth

Fund Manager

Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606

Custodian

State Street Bank & Trust Company
Boston, MA

Transfer Agent and
Shareholder Services

State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787

Legal Counsel

Chapman and Cutler LLP
Chicago, IL

Independent Registered
Public Accounting Firm

Ernst & Young LLP
Chicago, IL

Quarterly Portfolio of Investments and Proxy Voting Information

You may obtain (i) each Fund's quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com.

You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. 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 at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

CEO Certification Disclosure

Each Fund's Chief Executive Officer 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 Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

Common Share Information

Each Fund intends to repurchase shares of its own common stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds repurchased shares of their common stock as shown in the accompanying table.

Fund   Common
Shares
Repurchased
 
NSL        
JFR        
JRO        
JSD        

 

Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

Nuveen Investments
79



Nuveen Investments:
Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen Investments 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 Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates—Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed $220 billion as of December 31, 2011.

Find out how we can help you.

To learn more about how the products and services of Nuveen Investments 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 Investments, 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

ESA-A-0112D




 

ITEM 2. CODE OF ETHICS.

 

Not applicable to this filing.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

Not applicable to this filing.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

 

Not applicable to this filing.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

Not applicable to this filing.

 

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.

 

Not applicable to this filing.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

Not applicable to this filing.

 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

Not applicable.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board implemented after the registrant last provided disclosure in response to this item.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

 

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)(17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

 

 

 

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 



 

ITEM 12. EXHIBITS.

 

File the exhibits listed below as part of this Form.

 

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

 

(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: April 5, 2012

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: April 5, 2012

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller
(principal financial officer)

 

 

Date: April 5, 2012