Nuveen Senior Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

811-09571

Nuveen Senior Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Address of principal executive offices)  (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:   July 31                       

Date of reporting period:   January 31, 2017                    

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

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


ITEM 1. REPORTS TO STOCKHOLDERS.


     LOGO
Closed-End Funds   

 

     Nuveen
     Closed-End Funds

 

 

 

 

       

 

 

Semi-Annual Report  January 31, 2017

 

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

 


 

 

     

 

           
 

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LOGO


Table

of Contents

 

Chairman’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     8  

Common Share Information

     10  

Risk Considerations

     12  

Performance Overview and Holding Summaries

         14  

Portfolios of Investments

     24  

Statement of Assets and Liabilities

     75  

Statement of Operations

     76  

Statement of Changes in Net Assets

     77  

Statement of Cash Flows

     80  

Financial Highlights

     82  

Notes to Financial Statements

     90  

Additional Fund Information

     107  

Glossary of Terms Used in this Report

     108  

Reinvest Automatically, Easily and Conveniently

     109  

 

NUVEEN     3  


Chairman’s Letter

to Shareholders

 

LOGO

Dear Shareholders,

The past year saw a striking shift in the markets’ tone. The start of 2016 was beset by China’s economic woes, growing recession fears in the U.S. and oil prices sinking to lows not seen in more than a decade. World stock markets dropped, while bonds and other safe-haven assets rallied. But, by the end of the year, optimism had taken root. Economic outlooks were more upbeat, commodity prices stabilized, equity markets rebounded and bonds retreated. Despite the initial market shocks of the Brexit referendum in the U.K. and Donald Trump’s win in the U.S. presidential election, and the uncertainties posed by the implications of these votes, sentiment continued to swing toward the positive as 2016 ended.

In between the year’s turbulent start and exuberant end, markets were soothed by improving economic data out of China, as the government’s stimulus measures appeared to be working, and a recovery in the energy and commodity-related sectors. The U.S. Federal Reserve backed off its more aggressive projections from the beginning of the year, only raising the fed funds rate once during the year, in December. The central banks in Europe and Japan maintained their accommodative stances.

Will 2017 be the year of accelerating global growth and rising inflation that the markets are expecting? President Trump’s business-friendly, pro-growth agenda has been well received by the markets, despite the administration’s initial focus on trade and immigration policy. However, when a substantive fiscal policy does emerge, the potential for legislative approval is not assured. Outside the U.S., political dynamics in Europe are also in flux this year, with Brexit negotiations ongoing and elections in Germany and France, and possibly a snap election in Italy.

Given the slate of policy unknowns and the range of possible outcomes, we believe volatility will remain a fixture this year. In this environment, Nuveen remains committed to both managing downside risks and seeking upside potential. If you’re concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

William J. Schneider

Chairman of the Board

March 28, 2017

 

 

  4     NUVEEN


Portfolio Managers’

Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

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

Here the team discusses their management strategies and the performance of the Funds for the six-month reporting period ended January 31, 2017.

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

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

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

JQC invests at least 70% of its assets in senior secured and second lien loans, and up to 30% of its assets opportunistically over the credit cycle in other types of securities across a company’s capital structure. These other securities primarily include income-oriented securities such as high yield corporate and convertible bonds as well as common stocks.

 

 

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

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

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

 

NUVEEN     5  


Portfolio Managers’ Comments (continued)

 

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

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

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

During the reporting period, the loan market was boosted by increased demand as the reality of rising rates was more evident. While technicals were certainly supportive to the asset class late in the reporting period, the outlook for loans remains constructive with default rates anticipated to remain benign and fundamentals continuing to be supportive. The broad leveraged loan market, as represented by the Credit Suisse Leveraged Loan Index, produced returns of 4.51% for the six-month reporting period.

Across all five Funds, our top and bottom performing individual security positions and industry groups were relatively similar. As a result, for NSL, JFR, JRO, JSD and JQC, most sectors contributed positively to absolute performance, with the largest exception being the consumer staples sector in JSD. The information technology, consumer discretionary and energy sectors contributed the most to absolute performance.

Several positions contributed to performance including the Funds’ position in the bonds of telecommunication services holdings Sprint Capital Corporation. These high yield bonds performed well during the reporting period as investors’ aversion to riskier assets abated. Also positively contributing was our position in the consumer discretionary sector holding for Clear Channel Communication Inc. The bonds of the media company traded up as risk assets continued their rally and the company continued to post strong numbers. In addition, the company has continued to improve earnings and extend near term maturities late in the reporting period, which was well received by the market. Lastly, our exposure in the energy sector positively impacted performance as oil prices appreciated and the sector’s overall outlook improved, including the bonds of Drill Riggs Holdings Inc.

Several individual positions detracted from performance, including health care sector holding Millennium Health LLC. The health care sector has been hurt by political headwinds, including the potential dismantling of the Affordable Care Act coupled with public reaction to drug pricing. Specifically, the loans of Millennium weighed on performance for the reporting period after the company experienced continued earnings weakness after emerging from bankruptcy. Also contributing to weak performance for the holding was the technical effect of a few large holders liquidating their positions late in the reporting period. Also detracting from performance were the loans of consumer discretionary holding Gymboree Corporation. The loans of the retail company weighed on returns as poor execution by management led to weakened earnings results announced during the reporting period. With the exception of JQC, all the other Funds held the loans of Gymboree. JQC did not hold the loans of Gymboree. In addition, the loans of consumer discretionary sector holding Yell Group PLC detracted from performance in JFR, JRO and NSL. The multi-national directories and internet services company declined during the reporting period. For JQC and JSD, the loans of consumer discretionary holding, Cengage Learning Acquisitions, Inc. also detracted from performance. The loans of the publishing and broadcasting company hurt performance, as the firm took leverage up earlier in the year, and then posted weaker than expected numbers which was not well received by the market.

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

 

  6     NUVEEN


 

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

All of these Funds have owned, or currently own, loans with the LIBOR floor feature. The coupon on most senior loans consists of both LIBOR (usually 90-day U.S. LIBOR) plus a spread. For example, a senior loan might have a coupon structure of “LIBOR plus 400 basis points (bps)” in which the coupon consists of 90-day LIBOR, plus 400bp. Given today’s relatively low LIBOR rate, however, many issuers have put in place LIBOR floors to enhance the yield (and satisfy demand from investors) for newly issued loans. LIBOR floors, as the name suggests, put a “floor” on the reference LIBOR rate. LIBOR floors typically range from 150bp to 50bp. A loan with a LIBOR floor might have a structure of “LIBOR + 400bp with a 100bp LIBOR floor.” In this example, the effective coupon is 5% (100bp + 400bp as long as LIBOR is less than or equal to 100bp). As a result, as LIBOR rises from current levels, the yield on a senior loan with a LIBOR floor will not rise in lockstep until after the reference LIBOR rate exceeds the LIBOR floor. Although many loans have LIBOR floors (the asset class is one of the few that will float when interest rates begin to rise), we believe the senior loan asset class provides fixed income oriented investors with a potential safeguard from a secular rise in interest rates.

 

NUVEEN     7  


Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

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

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

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    35.26        34.93        34.87        35.02        35.65

Regulatory Leverage*

    35.26        34.93        34.87        35.02        30.57
* Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ LEVERAGE

Bank Borrowings

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 

Fund

 

August 1, 2016

   

Draws

   

Paydowns

   

January 31, 2017

   

Average Balance
Outstanding

          

Draws

   

Paydowns

   

March 29, 2017

 

NSL

  $ 101,000,000     $ 18,000,000     $ (15,000,000   $ 104,000,000     $ 105,451,087             $ 10,000,000     $     —     $ 114,000,000  

JFR

  $ 240,800,000     $ 73,100,000     $ (55,000,000   $ 258,900,000     $ 268,972,826             $ 30,000,000     $     $ 288,900,000  

JRO

  $ 166,800,000     $ 58,600,000     $ (46,600,000   $ 178,800,000     $ 186,757,609             $ 16,200,000     $     $ 195,000,000  

JSD

  $ 64,000,000     $     $     $ 64,000,000     $ 64,000,000             $ 8,000,000     $     $ 72,000,000  

JQC

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

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

 

  8     NUVEEN


 

Reverse Repurchase Agreements

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

 

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

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

Variable Rate Term Preferred Shares

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

 

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

August 1, 2016

   

Issuance

   

Redemptions

   

January 31, 2017

   

Average Balance
Outstanding

          

Issuance

   

Redemptions

   

March 29, 2017

 

NSL

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

JFR

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

JRO

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

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

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

Term Preferred Shares

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

 

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

NSL

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

JFR

  $     $ 90,200,000     $     $ 90,200,000     $ 59,557,143 **            $     $     $ 90,200,000  

JRO

  $     $ 63,000,000     $     $ 63,000,000     $ 40,071,429 **            $     $     $ 63,000,000  

JSD

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

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

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

 

NUVEEN     9  


Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

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

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

 

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

August 2016

  $ 0.0360        $ 0.0615        $ 0.0645        $ 0.0970        $ 0.0515  

September

    0.0375          0.0640          0.0670          0.1000          0.0515  

October

    0.0375          0.0640          0.0670          0.1000          0.0515  

November

    0.0375          0.0640          0.0670          0.1000          0.0515  

December

    0.0395          0.0675          0.0705          0.1060          0.0525  

January 2017

    0.0395          0.0675          0.0705          0.1060          0.0525  

Total Distributions from Net Investment Income

  $ 0.2275        $ 0.3885        $ 0.4065        $ 0.6090        $ 0.3110  
                                                     

Current Distribution Rate*

    6.84        6.72        6.96        7.01        7.13
* Current distribution rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the fiscal year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes.

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

As of January 31, 2017, the Funds had positive UNII balances, based upon our best estimate, for tax purposes. NSL had a positive UNII balance while JFR, JRO, JSD and JQC had negative UNII balances for financial reporting purposes.

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

 

  10     NUVEEN


 

COMMON SHARE EQUITY SHELF PROGRAMS

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

 

     NSL        JFR        JRO        JSD  

Additional authorized common shares

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

COMMON SHARE REPURCHASES

During August 2016, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

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

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

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

Common shares authorized for repurchase

    3,865,000          5,515,000          3,850,000          1,010,000          13,575,000  

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

OTHER COMMON SHARE INFORMATION

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

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $6.99          $11.79          $11.74          $18.19          $9.39  

Common share price

    $6.93          $12.05          $12.16          $18.15          $8.84  

Premium/(Discount) to NAV

    (0.86 )%         2.21        3.58        (0.22 )%         (5.86 )% 

6-month average premium/(discount) to NAV

    (5.33 )%         (3.18 )%         (1.27 )%         (5.92 )%         (8.71 )% 

 

NUVEEN     11  


Risk

Considerations

 

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

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

  12     NUVEEN


 

Nuveen Credit Strategies Income Fund (JQC)

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

 

NUVEEN     13  


NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
NSL at Common Share NAV     6.86%          17.66%          6.89%          5.48%  
NSL at Common Share Price     14.73%          33.41%          6.87%          5.54%  
Credit Suisse Leveraged Loan Index     4.51%          11.27%          5.05%          4.30%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  14     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     132.4%  
Common Stocks     2.3%  
$25 Par (or similar) Retail Preferred     0.0%  
Corporate Bonds     13.4%  
Repurchase Agreements     8.8%  
Other Assets Less Liabilities     (2.5)%  
Net Assets Plus Borrowings and Term Preferred, at Liquidation Preference     154.4%  
Borrowings     (38.5)%  
Term Preferred, at Liquidation Preference     (15.9)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term
investments)

 

Albertson’s LLC     3.4%  
Dell International LLC     3.3%  
iHeartCommunications, Inc.     2.1%  
Sprint Corporation     1.9%  
American Airlines, Inc.     1.6%  

Portfolio Composition

(% of total investments)

 

Media     11.2%  
Software     8.2%  
Diversified Telecommunication Services     5.1%  
Hotels, Restaurants & Leisure     4.7%  
Technology Hardware, Storage & Peripherals     4.3%  
Oil, Gas & Consumable Fuels     4.2%  
Food & Staples Retailing     4.0%  
Wireless Telecommunication Services     3.7%  
Health Care Providers & Services     3.4%  
Commercial Services & Supplies     2.8%  
Food Products     2.7%  
Health Care Equipment & Supplies     2.7%  
Equity Real Estate Investment Trusts     2.4%  
Diversified Consumer Services     2.0%  
Pharmaceuticals     1.9%  
Trading Companies & Distributors     1.9%  
Semiconductors & Semiconductor Equipment     1.9%  
Aerospace & Defense     1.8%  
Communications Equipment     1.6%  
Airlines     1.5%  
Insurance     1.4%  
Chemicals     1.4%  
Other     19.6%  
Repurchase Agreements     5.6%  

Total

    100%  

Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.5%  
BB or Lower     87.5%  
N/R (not rated)     2.0%  

Total

    100%  
 

 

 

NUVEEN     15  


JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JFR at Common Share NAV     7.31%          18.73%          7.06%          5.36%  
JFR at Common Share Price     16.74%          31.29%          8.41%          6.08%  
Credit Suisse Leveraged Loan Index     4.51%          11.27%          5.05%          4.30%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  16     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     123.4%  
Common Stocks     1.8%  
$25 Par (or similar) Retail Preferred     0.0%  
Convertible Bonds     0.1%  
Corporate Bonds     12.0%  
Asset-Backed Securities     5.0%  
Investment Companies     1.8%  
Repurchase Agreements     11.3%  
Other Assets Less Liabilities     (1.7)%  
Net Assets Plus Borrowings and Term Preferred, at Liquidation Preference     153.7%  
Borrowings     (39.8)%  
Term Preferred, at Liquidation Preference     (13.9)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC     3.4%  
Dell International LLC     2.9%  
Sprint Corporation     2.2%  
iHeartCommunications, Inc.     2.0%  
Univision Communications, Inc.     1.9%  

Portfolio Composition

(% of total investments)

 

Media     10.9%  
Software     7.6%  
Diversified Telecommunication Services     4.9%  
Wireless Telecommunication Services     4.1%  
Food & Staples Retailing     4.0%  
Hotels, Restaurants & Leisure     3.9%  
Technology Hardware, Storage & Peripherals     3.7%  
Oil, Gas & Consumable Fuels     3.6%  
Health Care Providers & Services     3.4%  
Commercial Services & Supplies     2.6%  
Food Products     2.6%  
Equity Real Estate Investment Trusts     2.1%  
Diversified Consumer Services     1.9%  
Pharmaceuticals     1.9%  
Health Care Equipment & Supplies     1.9%  
Semiconductors & Semiconductor Equipment     1.7%  
Trading Companies & Distributors     1.6%  
Communications Equipment     1.5%  
Automobiles     1.4%  
Multiline Retail     1.4%  
Aerospace & Defense     1.4%  
Insurance     1.3%  
Other     18.9%  
Asset-Backed Securities     3.2%  
Investment Companies     1.2%  
Repurchase Agreements     7.3%  

Total

    100%  

Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.2%  
BB or Lower     87.7%  
N/R (not rated)     2.1%  

Total

    100%  
 

 

 

NUVEEN     17  


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JRO at Common Share NAV     7.51%          19.20%          7.48%          5.94%  
JRO at Common Share Price     17.52%          38.89%          8.46%          6.75%  
Credit Suisse Leveraged Loan Index     4.51%          11.27%          5.05%          4.30%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  18     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     126.3%  
Common Stocks     2.2%  
$25 Par (or similar) Retail Preferred     0.0%  
Convertible Bonds     0.1%  
Corporate Bonds     12.7%  
Asset-Backed Securities     4.4%  
Repurchase Agreements     10.6%  
Other Assets Less Liabilities     (2.8)%  
Net Assets Plus Borrowings and Term Preferred, at Liquidation Preference     153.5%  
Borrowings     (39.6)%  
Term Preferred, at Liquidation Preference     (13.9)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

Dell International LLC

    3.0%  

Albertson’s LLC

    2.9%  

iHeartCommunications, Inc.

    2.5%  

Sprint Corporation

    2.1%  

Avaya, Inc.

    1.5%  

Portfolio Composition

(% of total investments)

 

Media     11.3%  
Software     8.4%  
Diversified Telecommunication Services     5.2%  
Oil, Gas & Consumable Fuels     4.0%  
Technology Hardware, Storage & Peripherals     3.9%  
Hotels, Restaurants & Leisure     3.9%  
Wireless Telecommunication Services     3.7%  
Food & Staples Retailing     3.6%  
Commercial Services & Supplies     3.0%  
Health Care Providers & Services     2.9%  
Food Products     2.7%  
Equity Real Estate Investment Trusts     2.1%  
Diversified Consumer Services     2.1%  
Health Care Equipment & Supplies     2.0%  
Communications Equipment     1.7%  
Semiconductors & Semiconductor Equipment     1.7%  
Automobiles     1.7%  
Pharmaceuticals     1.6%  
Aerospace & Defense     1.6%  
Multiline Retail     1.4%  
Consumer Finance     1.4%  
Trading Companies & Distributors     1.3%  
Other     19.2%  
Asset-Backed Securities     2.8%  
Repurchase Agreements     6.8%  

Total

    100%  

Credit Quality

(% of total long-term fixed income investments)

 

BBB     9.9%  
BB or Lower     87.9%  
N/R (not rated)     2.2%  

Total

    100%  
 

 

 

NUVEEN     19  


JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV     7.65%          18.56%          6.66%          6.68%  
JSD at Common Share Price     16.37%          35.64%          8.06%          6.24%  
Credit Suisse Leveraged Loan Index     4.51%          11.27%          5.05%          4.52%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  20     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     132.3%  
Common Stocks     1.3%  
Corporate Bonds     13.8%  
Repurchase Agreements     9.2%  
Other Assets Less Liabilities     (2.7)%  
Net Assets Plus Borrowings and Term Preferred, at Liquidation Preference     153.9%  
Borrowings     (34.8)%  
Term Preferred, at Liquidation Preference     (19.1)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Albertson’s LLC

    3.7%  

Dell International LLC

    2.4%  

Sprint Corporation

    2.3%  

First Data Corporation

    2.0%  

iHeartCommunications, Inc.

    1.8%  

Portfolio Composition

(% of total investments)

 

Software     8.8%  
Media     8.7%  
Food & Staples Retailing     4.6%  
Diversified Telecommunication Services     4.5%  
Health Care Providers & Services     4.5%  
Oil, Gas & Consumable Fuels     4.2%  
Hotels, Restaurants & Leisure     4.1%  
Technology Hardware, Storage & Peripherals     4.0%  
Commercial Services & Supplies     3.5%  
Wireless Telecommunication Services     3.2%  
Health Care Equipment & Supplies     2.5%  
Electric Utilities     2.4%  
Equity Real Estate Investment Trusts     2.4%  
Pharmaceuticals     2.3%  
Communications Equipment     2.2%  
Aerospace & Defense     2.0%  
Food Products     1.9%  
Consumer Finance     1.9%  
Semiconductors & Semiconductor Equipment     1.6%  
Trading Companies & Distributors     1.5%  
Energy Equipment & Services     1.5%  
Airlines     1.5%  
Internet Software & Services     1.4%  
Other     18.9%  
Repurchase Agreements     5.9%  

Total

    100%  

Credit Quality

(% of total long-term fixed income investments)

 

BBB     6.5%  
BB or Lower     91.8%  
N/R (not rated)     1.7%  

Total

    100%  
 

 

NUVEEN     21  


JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of January 31, 2017

 

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

Average Annual Total Returns as of January 31, 2017

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JQC at Common Share NAV     4.94%          14.52%          6.52%          3.58%  
JQC at Common Share Price     8.70%          26.82%          7.94%          4.16%  
Credit Suisse Leveraged Loan Index     4.51%          11.27%          5.05%          4.30%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  22     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     109.0%  
Common Stocks     0.6%  
Exchange-Traded Funds     7.3%  
Corporate Bonds     30.7%  
Repurchase Agreements     8.3%  
Other Assets Less Liabilities     (0.5)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     155.4%  
Borrowings     (44.0)%  
Reverse Repurchase Agreements     (11.4)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term
investments)

 

PowerShares Senior Loan Portfolio     3.2%  
First Data Corporation     2.5%  
Ziggo B.V.     2.2%  
Sprint Corporation     2.1%  
Univar, Inc.     2.0%  

Portfolio Composition

(% of total investments)

 

Software     10.5%  
Media     9.2%  
Hotels, Restaurants & Leisure     5.9%  
Diversified Telecommunication Services     4.8%  
Wireless Telecommunication Services     4.7%  
Health Care Providers & Services     3.7%  
Oil, Gas & Consumable Fuels     3.6%  
Chemicals     3.5%  
Equity Real Estate Investment Trusts     3.3%  
Technology Hardware, Storage & Peripherals     3.1%  
Health Care Equipment & Supplies     2.5%  
Consumer Finance     2.4%  
Food Products     2.4%  
Food & Staples Retailing     2.2%  
Semiconductors & Semiconductor Equipment     2.0%  
Internet Software & Services     2.0%  
Commercial Services & Supplies     2.0%  
Diversified Consumer Services     1.9%  
Specialty Retail     1.8%  
Other     18.5%  
Exchange-Traded Funds     4.7%  
Repurchase Agreements     5.3%  

Total

    100%  

Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.5%  
BB or Lower     88.8%  
N/R (not rated)     0.7%  

Total

    100%  
 

 

NUVEEN     23  


NSL

 

Nuveen Senior Income Fund

  

Portfolio of Investments

   January 31, 2017 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 148.1% (94.4% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 132.4% (84.4% of Total Investments) (4)

 

      Aerospace & Defense – 2.8% (1.8% of Total Investments)  
$ 1,829    

B/E Aerospace, Inc., Term Loan B

    3.943%        12/16/21        BB+      $ 1,840,603  
  3,317    

Sequa Corporation, Term Loan B

    5.250%        6/19/17        CCC–        3,181,693  
  498    

Transdigm, Inc., Extend Term Loan F

    3.778%        6/07/23        Ba2        497,003  
  1,967    

Transdigm, Inc., Term Loan E, First Lien

    3.851%        5/14/22        Ba2        1,963,733  
  7,611    

Total Aerospace & Defense

                               7,483,032  
      Air Freight & Logistics – 0.8% (0.5% of Total Investments)  
  388    

Americold Realty Operating Partnership, Term Loan B

    4.750%        12/01/22        BB        394,112  
  750    

PAE Holding Corporation, Term Loan B

    6.500%        10/20/22        B+        757,969  
  1,083    

XPO Logistics, Inc., Refinanced Term Loan B2, First Lien

    4.250%        11/01/21        Ba1        1,093,273  
  2,221    

Total Air Freight & Logistics

                               2,245,354  
      Airlines – 2.4% (1.5% of Total Investments)  
  2,922    

American Airlines, Inc., Term Loan B

    3.267%        12/14/23        BB+        2,940,375  
  1,448    

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

    3.276%        6/29/20        BB+        1,457,348  
  1,960    

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

    3.263%        10/08/21        BB+        1,973,475  
  6,330    

Total Airlines

                               6,371,198  
      Auto Components – 0.3% (0.2% of Total Investments)  
  744    

Horizon Global Corporation, Term Loan B

    7.919%        6/30/21        B+        758,436  
      Automobiles – 2.1% (1.4% of Total Investments)  
  1,430    

Chrysler Group LLC, Tranche B, Term Loan

    3.270%        12/31/18        BBB–        1,434,755  
  3,341    

Formula One Group, Term Loan, First Lien

    5.068%        7/30/21        B        3,365,966  
  1,000    

Formula One Group, Term Loan, Second Lien

    8.068%        7/29/22        CCC+        1,008,250  
  5,771    

Total Automobiles

                               5,808,971  
      Building Products – 1.2% (0.8% of Total Investments)  
  1,168    

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        1,166,829  
  2,000    

Quikrete Holdings, Inc., Initial Term Loan, First Lien

    4.017%        11/15/23        BB–        2,027,142  
  3,168    

Total Building Products

                               3,193,971  
      Chemicals – 2.2% (1.4% of Total Investments)  
  596    

Avantor Performance Materials, Incremental Term Loan B

    6.000%        6/21/22        B1        605,866  
  1,518    

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        1,522,514  
  330    

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        332,495  
  1,595    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        1,608,884  
  743    

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

    7.000%        10/28/21        Ba3        743,428  
  1,150    

Univar, Inc., Term Loan B

    3.519%        7/01/22        BB–        1,149,358  
  5,932    

Total Chemicals

                               5,962,545  
      Commercial Services & Supplies – 3.9% (2.5% of Total Investments)  
  343    

Acosta, Inc., Term Loan B

    4.289%        9/26/21        B1        332,172  
  130    

Education Management LLC, Tranche A, Term Loan, (14)

    5.509%        7/02/20        N/R        57,365  
  248    

Education Management LLC, Tranche B, Term Loan, (14)

    8.509%        7/02/20        N/R        23,547  
  750    

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

    5.000%        10/19/23        B2        756,563  
  2,261    

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        2,172,108  
  250    

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        218,333  
  993    

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

    4.500%        3/09/23        BB–        1,006,141  
  1,746    

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

    6.500%        9/30/22        B2        1,772,356  
  2,686    

Protection One, Inc., Term Loan, First Lien

    4.250%        5/02/22        Ba2        2,719,969  
  554    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.750%        4/28/21        B–        505,371  

 

  24     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 990    

Universal Services of America, Term Loan, First Lien

    4.763%        7/28/22        B+      $ 996,188  
  10,951    

Total Commercial Services & Supplies

                               10,560,113  
      Communications Equipment – 2.2% (1.4% of Total Investments)  
  1,009    

Avaya, Inc., DIP Term Loan, (WI/DD)

    TBD        TBD        Baa3        1,040,386  
  3,163    

Avaya, Inc., Term Loan B3

    5.537%        10/26/17        D        2,648,517  
  326    

Avaya, Inc., Term Loan B6

    6.532%        3/31/18        D        273,424  
  1,120    

Avaya, Inc., Term Loan B7, (DD1)

    6.282%        5/29/20        D        941,443  
  21    

CommScope, Inc., Tranche 5, Term Loan B, First Lien

    3.278%        12/29/22        BB+        20,813  
  975    

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

    4.250%        4/24/22        B+        984,974  
  6,614    

Total Communications Equipment

                               5,909,557  
      Consumer Finance – 2.0% (1.3% of Total Investments)  
  1,399    

First Data Corporation, New Dollar Term Loan

    3.775%        7/08/22        BB        1,410,301  
  4,022    

First Data Corporation, Term Loan, First Lien

    3.775%        3/24/21        BB        4,048,991  
  5,421    

Total Consumer Finance

                               5,459,292  
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  857    

Berry Plastics Holding Corporation, Term Loan I

    3.287%        10/01/22        BB        864,453  
      Diversified Consumer Services – 2.9% (1.9% of Total Investments)  
  3,269    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%        6/07/23        BB–        3,050,862  
  433    

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        BB–        434,691  
  2,607    

Hilton Hotels Corporation, Series B2, Term Loan

    3.271%        10/25/23        BBB–        2,637,361  
  192    

Hilton Hotels Corporation, Term Loan B1

    3.500%        10/26/20        BBB–        193,574  
  1,658    

Houghton Mifflin, Term Loan B, First Lien, (DD1)

    4.000%        5/28/21        B+        1,542,698  
  107    

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B–        107,580  
  8,266    

Total Diversified Consumer Services

                               7,966,766  
      Diversified Financial Services – 1.7% (1.1% of Total Investments)  
  1,092    

MGM Growth Properties, Term Loan B

    3.528%        4/25/23        BB+        1,100,620  
  985    

MJ Acquisition Corp., Term Loan, First Lien

    4.001%        6/01/22        B+        990,938  
  2,406    

WideOpenWest Finance LLC, New Term Loan B

    4.500%        8/18/23        B1        2,426,675  
  4,483    

Total Diversified Financial Services

                               4,518,233  
      Diversified Telecommunication Services – 6.8% (4.3% of Total Investments)  
  748    

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

    6.250%        10/02/23        B        744,072  
  1,832    

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

    3.280%        3/31/21        BB        1,783,832  
  2,500    

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

    5.000%        12/01/23        B2        2,531,770  
  5,334    

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

    3.750%        6/30/19        B1        5,260,070  
  1,667    

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

    4.000%        8/01/19        BBB–        1,680,208  
  1,000    

Verizon Communications, Inc., Term Loan

    2.021%        7/31/19        BBB+        1,001,042  
  304    

Zayo Group LLC, Term Loan B2

    3.500%        1/12/24        N/R        306,977  
  5,000    

Ziggo B.V., Term Loan E

    0.000%        4/25/25        BB–        5,017,190  
  18,385    

Total Diversified Telecommunication Services

                               18,325,161  
      Electric Utilities – 2.0% (1.3% of Total Investments)  
  477    

EFS Cogen Holdings LLC, Term Loan B

    4.500%        6/28/23        BB        482,564  
  3,000    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.250%        6/30/17        BB        3,022,125  
  1,629    

Vistra Operations Co., Term Loan B

    3.500%        8/04/23        Ba2        1,636,714  
  371    

Vistra Operations Co., Term Loan C

    3.500%        8/04/23        Ba2        373,286  
  5,477    

Total Electric Utilities

                               5,514,689  
      Electronic Equipment, Instruments & Components – 1.4% (0.9% of Total Investments)  
  1,439    

SMART Modular Technologies, Inc., Term Loan B

    9.250%        8/26/17        B        1,215,555  
  1,507    

TTM Technologies, Inc., New Term Loan

    5.250%        5/31/21        BB–        1,523,005  
  1,039    

Zebra Technologies Corporation Refinancing Term Loan B, First Lien

    3.446%        10/27/21        BB+        1,049,416  
  3,985    

Total Electronic Equipment, Instruments & Components

                               3,787,976  

 

NUVEEN     25  


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

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Energy Equipment & Services – 1.1% (0.7% of Total Investments)  
$ 1,615    

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

    6.063%        3/31/21        Caa2      $ 1,255,596  
  321    

Dynamic Energy Services International LLC, Term Loan

    11.000%        3/06/18        N/R        168,378  
  1,671    

Seventy Seven Operating LLC, Term Loan B

    3.778%        6/25/20        B        1,669,475  
  3,607    

Total Energy Equipment & Services

                               3,093,449  
      Equity Real Estate Investment Trusts – 3.5% (2.2% of Total Investments)  
  5,400    

Communications Sales & Leasing, Inc., Term Loan B

    4.500%        10/24/22        BB–        5,464,333  
  1,006    

Realogy Group LLC, Term Loan B

    3.026%        7/20/22        BB+        1,012,897  
  2,985    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)

    4.750%        12/18/20        B        2,877,772  
  9,391    

Total Equity Real Estate Investment Trusts

                               9,355,002  
      Food & Staples Retailing – 6.3% (4.0% of Total Investments)  
  11,296    

Albertson’s LLC, Term Loan B4

    3.778%        8/25/21        BB        11,370,207  
  2,087    

Albertson’s LLC, Term Loan B6

    4.061%        6/22/23        BB        2,103,170  
  1,001    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B–        1,004,770  
  1,375    

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

    4.875%        6/21/21        BB–        1,381,302  
  750    

Save-A-Lot, Term Loan B

    7.000%        12/02/23        B        747,656  
  349    

Supervalu, Inc., New Term Loan B

    5.500%        3/21/19        BB–        351,995  
  16,858    

Total Food & Staples Retailing

                               16,959,100  
      Food Products – 4.2% (2.7% of Total Investments)  
  975    

Hearthside Group Holdings LLC, Term Loan B

    4.022%        6/21/21        B1        984,750  
  2,082    

Jacobs Douwe Egberts, Term Loan B

    3.500%        7/04/22        BB        2,096,535  
  1,142    

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

    5.313%        3/03/23        BBB–        1,160,186  
  4,893    

US Foods, Inc., Term Loan B

    3.778%        6/27/23        BB–        4,937,024  
  2,305    

Wilton Products, Inc., Tranche B, Term Loan

    8.500%        8/30/18        CCC+        2,263,101  
  11,397    

Total Food Products

                               11,441,596  
      Health Care Equipment & Supplies – 2.8% (1.8% of Total Investments)  
  955    

Acelity, Term Loan B, (WI/DD)

    TBD        TBD        B1        950,196  
  575    

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

    6.500%        8/04/21        B1        576,841  
  438    

ConvaTec, Inc., Term Loan B

    3.278%        10/25/23        BB        441,690  
  990    

Greatbatch, Inc., Term Loan B

    5.250%        10/27/22        B        997,054  
  3,110    

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        2,993,579  
  973    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        817,020  
  854    

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        858,799  
  7,895    

Total Health Care Equipment & Supplies

                               7,635,179  
      Health Care Providers & Services – 5.1% (3.2% of Total Investments)  
  5    

Community Health Systems, Inc., Term Loan F

    4.180%        12/31/18        BB–        4,781  
  503    

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB–        478,997  
  1,006    

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB–        954,261  
  2,267    

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

    3.530%        6/24/21        BBB–        2,300,049  
  1,000    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.000%        12/01/23        BB–        1,010,521  
  768    

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        704,114  
  1,695    

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

    5.500%        12/21/18        B1        1,700,089  
  500    

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

    9.750%        6/21/19        CCC        491,459  
  436    

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

    4.313%        4/09/21        BB–        437,535  
  1,937    

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

    7.500%        12/21/20        CCC+        977,985  
  928    

MultiPlan, Inc., Term Loan B

    5.000%        6/07/23        B+        942,090  
  587    

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        588,701  
  906    

Quorum Health Corp., Term Loan B

    6.750%        4/29/22        B1        898,722  
  740    

Select Medical Corporation, Term Loan E, Tranche B, First Lien

    6.025%        6/01/18        Ba2        745,883  
  959    

Select Medical Corporation, Term Loan F, First Lien

    6.011%        3/03/21        Ba2        969,330  
  440    

Vizient, Inc., Term Loan B

    5.000%        2/13/23        B+        446,159  
  14,677    

Total Health Care Providers & Services

                               13,650,676  
      Health Care Technology – 0.4% (0.3% of Total Investments)  
  1,141    

Catalent Pharma Solutions, Inc., Term Loan B

    3.750%        5/20/21        BB        1,152,716  

 

  26     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Hotels, Restaurants & Leisure – 6.4% (4.0% of Total Investments)  
$ 3,516    

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3      $ 3,554,128  
  2,113    

CCM Merger, Inc., Term Loan B

    4.028%        8/09/21        BB–        2,128,778  
  1,826    

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB        1,847,982  
  1,559    

Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien

    4.500%        12/09/20        B+        1,575,787  
  1,478    

Life Time Fitness, Inc., Term Loan B, (WI/DD)

    TBD        TBD        B1        1,481,887  
  1,940    

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        Ba3        1,961,340  
  1,962    

Scientific Games Corporation, Term Loan B2

    6.022%        10/01/21        Ba3        1,984,359  
  897    

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.248%        5/14/20        BB–        888,504  
  1,740    

Station Casino LLC, Term Loan B

    3.270%        6/08/23        BB        1,731,514  
  17,031    

Total Hotels, Restaurants & Leisure

                               17,154,279  
      Household Products – 0.5% (0.3% of Total Investments)  
  319    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.500%        11/08/23        B1        318,839  
  998    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.313%        9/07/23        Ba3        1,007,532  
  1,317    

Total Household Products

                               1,326,371  
      Independent Power & Renewable Electricity Producers – 0.7% (0.5% of Total Investments)  
  2,000    

Dynegy, Inc., Term Loan B

    4.250%        6/27/23        BB        2,021,876  
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)  
  1,354    

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

    4.771%        11/26/20        B        1,352,689  
      Insurance – 2.2% (1.4% of Total Investments)  
  2,305    

Alliant Holdings I LLC, Term Loan B

    4.250%        8/14/22        B        2,321,787  
  990    

AssuredPartners, Inc., Refinancing Term Loan, First Lien

    5.250%        10/21/22        B+        1,004,882  
  2,663    

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        Ba3        2,673,641  
  5,958    

Total Insurance

                               6,000,310  
      Internet and Direct Marketing Retail – 1.1% (0.7% of Total Investments)  
  2,877    

Travelport LLC, Term C Loan

    4.250%        9/02/21        B+        2,907,739  
      Internet Software & Services – 1.7% (1.1% of Total Investments)  
  1,000    

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

    5.250%        10/19/23        B1        1,011,719  
  500    

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

    9.250%        10/19/24        CCC+        514,792  
  1,250    

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

    4.500%        11/03/23        BB+        1,264,941  
  403    

Sabre Inc., Term Loan B2

    4.500%        2/19/19        Ba2        406,052  
  116    

Sabre Inc., Term Loan C

    4.000%        2/19/18        Ba2        116,247  
  600    

Sabre, Inc., Term Loan B

    4.000%        2/19/19        Ba2        604,756  
  1,009    

SkillSoft Corporation, Term Loan, Second Lien

    9.250%        4/28/22        CCC        741,037  
  4,878    

Total Internet Software & Services

                               4,659,544  
      IT Services – 1.4% (0.9% of Total Investments)  
  655    

Conduent, Inc., Term Loan B

    6.250%        12/07/23        BB+        667,549  
  1,309    

EIG Investors Corp., Term Loan, First Lien

    6.480%        11/09/19        B+        1,312,040  
  671    

Engility Corporation, Term Loan B2

    5.750%        8/14/23        BB–        677,014  
  198    

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

    4.500%        10/13/20        B1        198,380  
  746    

WEX, Inc., Term Loan B

    4.278%        6/30/23        BB–        757,036  
  146    

Zayo Group LLC, Term Loan B3, (WI/DD)

    TBD        TBD        BB        147,804  
  3,725    

Total IT Services

                               3,759,823  
      Leisure Products – 1.7% (1.1% of Total Investments)  
  1,356    

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        1,335,616  
  1,691    

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

    5.019%        7/01/22        B2        1,499,641  
  1,155    

Equinox Holdings, Inc., New Initial Term Loan B

    5.000%        1/31/20        B+        1,165,208  
  500    

Four Seasons Holdings, Inc., Term Loan B

    3.750%        11/30/23        BB        506,563  
  4,702    

Total Leisure Products

                               4,507,028  
      Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)  
  500    

Inventiv Health, Inc., Term Loan B

    4.750%        11/09/23        B        504,331  

 

NUVEEN     27  


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

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Machinery – 0.6% (0.4% of Total Investments)  
$ 418    

Rexnord LLC. Term Loan B, First Lien

    3.770%        8/21/23        BB–      $ 420,647  
  1,197    

Safway Group Holdings LLC, Initial Term Loan, First Lien

    5.750%        8/21/23        B+        1,214,456  
  1,615    

Total Machinery

                               1,635,103  
      Marine – 0.3% (0.2% of Total Investments)  
  722    

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%        11/12/20        B        691,195  
      Media – 13.7% (8.7% of Total Investments)  
  1,271    

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

    4.248%        7/23/21        B1        1,271,676  
  773    

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

    7.500%        7/25/22        CCC+        759,241  
  639    

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

    8.500%        10/31/18        Caa1        624,740  
  987    

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

    6.750%        4/30/18        B1        985,943  
  1,463    

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B1        1,285,172  
  1,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        Caa1        690,000  
  3,464    

Cequel Communications LLC, Term Loan B

    3.778%        1/15/25        BB–        3,510,027  
  2,978    

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

    3.026%        1/15/24        BBB–        2,991,855  
  2,111    

Clear Channel Communications, Inc., Term Loan E

    8.278%        7/30/19        Caa1        1,774,874  
  2,250    

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

    7.528%        1/30/19        Caa1        1,891,688  
  5,555    

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B3        3,674,780  
  1,666    

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

    4.750%        6/17/20        BB–        1,678,737  
  1,074    

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

    4.750%        10/18/19        B3        930,031  
  445    

Gray Television, Inc., Initial Term Loan

    3.959%        6/13/21        BB        448,072  
  975    

IMG Worldwide, Inc., First Lien

    5.290%        5/06/21        B+        981,513  
  1,000    

Lions Gate Entertainment Corporation, Term Loan B

    3.766%        12/08/23        Ba2        1,008,750  
  967    

LSC Communications, Term Loan

    7.000%        9/30/22        Ba3        976,333  
  1,493    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%        5/02/22        Ba3        1,435,866  
  169    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        1/17/24        Ba3        170,625  
  1,831    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        9/26/23        BB+        1,851,875  
  1,629    

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

    4.500%        8/14/20        B        1,633,140  
  3,760    

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

    4.000%        3/01/20        B+        3,773,060  
  1,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.517%        1/31/25        BB–        1,007,500  
  992    

WMG Acquisition Corporation, Term Loan B, First Lien

    3.750%        11/01/23        Ba3        998,014  
  176    

Yell Group PLC, PIK Term Loan B2, First Lien

    0.000%        9/07/65        N/R        351,532  
  191    

Yell Group PLC, Term Loan A2, First Lien

    8.000%        9/07/21        N/R        195,756  
  39,859    

Total Media

                               36,900,800  
      Metals & Mining – 1.3% (0.8% of Total Investments)  
  902    

Fairmount Minerals, Ltd. Term Loan B2, First Lien

    4.500%        9/05/19        B–        884,418  
  851    

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

    4.500%        9/05/19        B–        830,158  
  602    

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

    3.750%        6/30/19        BBB–        606,198  
  1,116    

Zekelman Industries, Term Loan B, (DD1)

    6.000%        6/14/21        BB–        1,116,212  
  3,471    

Total Metals & Mining

                               3,436,986  
      Multiline Retail – 1.9% (1.2% of Total Investments)  
  750    

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

    5.720%        5/15/18        B+        745,313  
  754    

Bass Pro Group LLC, Term Loan B

    5.970%        12/15/23        B+        734,353  
  863    

Bass Pro Group LLC, Term Loan B, First Lien

    4.016%        6/05/20        B+        853,505  
  1,489    

Belk, Inc., Term Loan B, First Lien

    5.760%        12/12/22        B        1,277,766  
  830    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        842,948  
  691    

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

    4.250%        9/30/22        BB        682,172  
  5,377    

Total Multiline Retail

                               5,136,057  
      Oil, Gas & Consumable Fuels – 5.1% (3.3% of Total Investments)  
  479    

California Resources Corporation, Term Loan A, First Lien

    3.439%        9/24/19        B1        469,583  
  331    

Crestwood Holdings LLC, Term Loan B

    9.000%        6/19/19        B3        330,227  
  115    

Energy and Exploration Partners Inc., Term Loan B First Lien

    5.000%        5/13/22        N/R        63,008  
  1,363    

EP Energy LLC, Term Loan B

    9.750%        6/30/21        B–        1,415,500  
  1,664    

Fieldwood Energy LLC, Term Loan, First Lien

    3.875%        10/01/18        B2        1,608,437  
  953    

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%        8/31/20        B2        925,979  
  493    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        CCC–        390,441  

 

  28     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels (continued)  
$ 818    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B–      $ 740,350  
  1,740    

Harvey Gulf International Marine, Inc., Term Loan B

    5.470%        6/18/20        CCC+        1,435,178  
  5,041    

Peabody Energy Corporation, Term Loan B, (WI/DD)

    TBD        TBD        N/R        5,089,745  
  1,823    

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        CCC+        1,345,283  
  25    

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

    3.500%        4/13/23        CCC+        20,805  
  14,845    

Total Oil, Gas & Consumable Fuels

                               13,834,536  
      Pharmaceuticals – 3.0% (1.9% of Total Investments)  
  763    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%        10/21/21        B2        601,722  
  3,000    

Grifols, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        3,021,249  
  975    

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B        982,618  
  3,255    

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

    4.250%        8/18/22        B1        3,281,863  
  117    

Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan

    5.270%        8/05/20        BB–        117,628  
  8,110    

Total Pharmaceuticals

                               8,005,080  
      Professional Services – 0.4% (0.3% of Total Investments)  
  1,150    

Ceridian Corporation, Term Loan B2

    4.539%        9/15/20        Ba3        1,148,778  
      Real Estate Management & Development – 0.7% (0.4% of Total Investments)  
  1,861    

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        1,889,367  
      Road & Rail – 0.4% (0.2% of Total Investments)  
  990    

Quality Distribution, Term Loan, First Lien

    5.750%        8/18/22        B2        977,625  
      Semiconductors & Semiconductor Equipment – 2.6% (1.7% of Total Investments)  
  638    

Cypress Semiconductor Corp, Term Loan B

    6.500%        7/05/21        BB        651,844  
  995    

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

    4.530%        4/26/22        Baa2        1,010,754  
  1,191    

Microsemi Corporation, New Term Loan

    3.019%        1/31/23        BB        1,159,301  
  954    

NXP Semiconductor LLC, Term Loan D

    3.278%        1/11/20        Baa2        959,637  
  1,064    

NXP Semiconductor LLC, Term Loan F

    3.240%        12/07/20        Baa2        1,070,162  
  2,244    

On Semiconductor Corp., Term Loan B, First Lien

    4.028%        3/31/23        Ba1        2,270,403  
  7,086    

Total Semiconductors & Semiconductor Equipment

                               7,122,101  
      Software – 11.8% (7.5% of Total Investments)  
  1,161    

Blackboard, Inc., Term Loan B4

    6.023%        6/30/21        B+        1,167,005  
  2,058    

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B+        2,055,608  
  622    

Computer Sciences Government Services, Term Loan B, First Lien

    3.435%        11/30/23        BB+        625,295  
  2,406    

Compuware Corporation, Term Loan B2, First Lien

    5.250%        12/15/21        B        2,413,271  
  637    

Compuware Corporation, Term Loan, Second Lien

    9.250%        12/15/22        CCC+        641,702  
  1,718    

Ellucian, Term Loan B, First Lien

    4.250%        9/30/22        B        1,722,101  
  1,029    

Emdeon, Inc., Term Loan B2

    3.750%        11/02/18        BB–        1,030,742  
  5,768    

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

    3.750%        6/03/20        B1        5,763,807  
  988    

Informatica Corp., Term Loan B

    4.500%        8/05/22        B+        985,648  
  1,000    

Kronos Incorporated, Term Loan B, First Lien

    5.000%        11/01/23        B        1,011,534  
  778    

Micro Focus International PLC, Term Loan B

    4.789%        11/19/21        BB–        787,402  
  1,114    

Micro Focus International PLC, Term Loan C

    4.789%        11/20/19        BB–        1,125,683  
  3,351    

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        3,369,939  
  690    

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%        5/29/20        B1        692,145  
  1,000    

RP Crown Parent LLC, Term Loan B, First Lien

    4.500%        10/12/23        B1        1,006,161  
  1,237    

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

    4.028%        7/08/22        BB+        1,251,600  
  119    

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

    4.028%        7/08/22        BB+        120,112  
  3,275    

Tibco Software, Inc., Term Loan B

    5.500%        12/04/20        B1        3,308,775  
  1,496    

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

    5.000%        7/13/23        N/R        1,507,659  
  374    

Vertafore, Inc., Term Loan, First Lien

    4.250%        6/30/23        B        377,369  
  1,000    

Vertiv Co., Term Loan B

    6.029%        11/30/23        Ba3        1,013,900  
  31,821    

Total Software

                               31,977,458  

 

NUVEEN     29  


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

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Specialty Retail – 1.4% (0.9% of Total Investments)  
$ 994    

Gardner Denver, Inc., Term Loan

    4.558%        7/30/20        B      $ 983,958  
  494    

Jo-Ann Stores, Inc., Term Loan B

    6.256%        10/20/23        B+        488,077  
  1,716    

Petco Animal Supplies, Inc., Term Loan B1

    4.250%        1/26/23        B1        1,695,609  
  629    

Petsmart Inc., Term Loan B, First Lien

    4.000%        3/11/22        BB–        624,231  
  3,833    

Total Specialty Retail

                               3,791,875  
      Technology Hardware, Storage & Peripherals – 6.8% (4.3% of Total Investments)  
  3,950    

Dell International LLC, Term Loan A2, First Lien

    3.030%        9/07/21        BBB–        3,954,230  
  2,000    

Dell International LLC, Term Loan A3, First Lien

    2.780%        12/31/18        BBB–        2,004,000  
  7,344    

Dell International LLC, Term Loan B

    4.030%        9/07/23        BBB–        7,415,747  
  1,000    

Dell Software Group, Term Loan B

    7.000%        10/31/22        B1        1,015,375  
  3,980    

Western Digital, Inc., Term Loan B1

    4.526%        4/29/23        BBB–        4,032,238  
  18,274    

Total Technology Hardware, Storage & Peripherals

                               18,421,590  
      Textiles, Apparel & Luxury Goods – 0.7% (0.4% of Total Investments)  
  643    

G-III Apparel Group, Term Loan B

    6.250%        12/01/22        BB        630,000  
  1,171    

Gymboree Corporation, Term Loan

    5.000%        2/23/18        Caa3        586,370  
  1,028    

J Crew Group, Term Loan B, First Lien

    4.000%        3/05/21        Caa1        577,057  
  2,842    

Total Textiles, Apparel & Luxury Goods

                               1,793,427  
      Trading Companies & Distributors – 3.0% (1.9% of Total Investments)  
  4,726    

Avolon, Term Loan B2, (WI/DD)

    TBD        TBD        BBB–        4,792,979  
  2,336    

HD Supply, Inc., Term Loan B

    3.748%        8/13/21        BB–        2,354,304  
  827    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.543%        6/09/21        B–        827,479  
  7,889    

Total Trading Companies & Distributors

                               7,974,762  
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)  
  66    

Ceva Group PLC, Canadian Term Loan

    6.539%        3/19/21        B2        58,041  
  381    

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

    6.539%        3/19/21        B2        336,638  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        328,244  
  525    

Ceva Group PLC, US Term Loan

    6.539%        3/19/21        B2        464,328  
  1,343    

Total Transportation Infrastructure

                               1,187,251  
      Wireless Telecommunication Services – 3.5% (2.2% of Total Investments)  
  172    

Asurion LLC, Term Loan B2

    4.028%        7/08/20        B1        172,965  
  846    

Asurion LLC, Term Loan B4

    4.250%        8/04/22        B+        856,111  
  604    

Asurion, LLC, Term Loan B5, First Lien

    4.750%        11/03/23        B+        611,050  
  111    

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        111,956  
  5,000    

Sprint Corporation, Term Loan, First Lien, (WI/DD)

    TBD        TBD        Ba2        5,000,000  
  1,174    

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

    4.039%        4/23/19        B        1,061,385  
  652    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.000%        4/23/19        B        589,630  
  1,000    

UPC Financing Partnership, Term Loan, First Lien

    3.767%        8/31/24        BB        1,004,821  
  9,559    

Total Wireless Telecommunication Services

                               9,407,918  
$ 366,171    

Total Variable Rate Senior Loan Interests (cost $361,452,133)

 

              357,543,364  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 2.3% (1.5% of Total Investments)

 

      Banks – 0.9% (0.6% of Total Investments)  
  30,025    

BLB Worldwide Holdings Inc., (5)

                             $ 2,356,963  
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)  
  53,514    

Cengage Learning Holdings II LP, (5)

             615,411  
  1,562,493    

Education Management Corporation, (5), (6)

                               156  
 

Total Diversified Consumer Services

                               615,567  

 

  30     NUVEEN


Shares     Description (1)                           Value  
      Energy Equipment & Services – 0.7% (0.5% of Total Investments)  
  39,988    

C&J Energy Services Inc., (5), (6)

           $ 1,719,484  
  1,961    

Vantage Drill International, (5), (6)

                               249,047  
 

Total Energy Equipment & Services

                               1,968,531  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  58,830    

Millennium Health LLC, (5)

                               58,830  
      Media – 0.5% (0.3% of Total Investments)  
  434    

Cumulus Media, Inc., (5)

             433  
  274,431    

Hibu PLC, (5), (7)

              
  6,268    

Metro-Goldwyn-Mayer, (5), (6)

             597,811  
  18,422    

Tribune Media Company

             531,290  
  14,825    

Tribune Media Company, (7)

              
  4,605    

tronc, Inc., (5)

                               61,062  
 

Total Media

                               1,190,596  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  54    

Energy and Exploration Partners, Inc., (5), (6)

             18,900  
  27    

Southcross Holdings Borrower LP, (5)

                               8,438  
 

Total Oil, Gas & Consumable Fuels

                               27,338  
      Software – 0.0% (0.0% of Total Investments)  
  291,294    

Eagle Topco LP, (5), (7)

                                
 

Total Common Stocks (cost $8,459,655)

                               6,217,825  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

 

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

Education Management Corporation, (6)

    7.500%                 N/R      $ 17  
 

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

                               17  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 13.4% (8.5% of Total Investments)

 

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

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 1,242,247  
      Communications Equipment – 0.3% (0.2% of Total Investments)  
  115    

Avaya Inc., 144A

    7.000%        4/01/19        D        95,163  
  2,895    

Avaya Inc., 144A

    10.500%        3/01/21        D        788,888  
  3,010    

Total Communications Equipment

                               884,051  
      Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)  
  1,680    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CC        1,062,600  
  215    

IntelSat Limited

    6.750%        6/01/18        Ca        183,825  
  2,924    

IntelSat Limited

    7.750%        6/01/21        Ca        1,016,090  
  2,650    

IntelSat Limited

    8.125%        6/01/23        Ca        881,125  
  7,469    

Total Diversified Telecommunication Services

                               3,143,640  
      Equity Real Estate Investment Trusts – 0.3% (0.2% of Total Investments)  
  750    

iStar Inc.

    4.000%        11/01/17        B+        753,750  
      Health Care Equipment & Supplies – 1.4% (0.9% of Total Investments)  
  3,500    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,692,500  
      Health Care Providers & Services – 0.2% (0.1% of Total Investments)  
  600    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        574,500  

 

NUVEEN     31  


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

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)  
$ 2,650    

Scientific Games International Inc.

    10.000%        12/01/22        B–      $ 2,715,243  
      Media – 3.5% (2.2% of Total Investments)  
  100    

Charter Communications Operating LLC/Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        102,433  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,011,250  
  1,524    

iHeartCommunications, Inc.

    10.000%        1/15/18        CC        1,192,530  
  2,872    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        2,403,504  
  6,532    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        CC        2,449,636  
  3,050    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        2,279,875  
  15,078    

Total Media

                               9,439,228  
      Oil, Gas & Consumable Fuels – 1.5% (1.0% of Total Investments)  
  1,240    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        1,103,600  
  400    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        366,000  
  100    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        85,750  
  400    

Everest Acquisition LLC Finance

    9.375%        5/01/20        CCC+        407,000  
  1,800    

FTS International Inc., 144A

    8.350%        6/15/20        B        1,842,750  
  300    

Gastar Exploration Inc.

    8.625%        5/15/18        Caa3        295,500  
  4,240    

Total Oil, Gas & Consumable Fuels

                               4,100,600  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
  761    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        CCC+        836,149  
      Software – 1.0% (0.6% of Total Investments)  
  1,980    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        1,910,700  
  700    

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

    9.000%        10/15/19        CCC+        679,000  
  2,680    

Total Software

                               2,589,700  
      Wireless Telecommunication Services – 2.2% (1.4% of Total Investments)  
  1,000    

Sprint Capital Corporation

    6.900%        5/01/19        B+        1,067,500  
  350    

Sprint Communications Inc.

    7.000%        8/15/20        B+        374,500  
  500    

Sprint Corporation

    7.875%        9/15/23        B+        546,550  
  2,000    

Sprint Corporation

    7.125%        6/15/24        B+        2,110,000  
  1,750    

T-Mobile USA Inc.

    6.250%        4/01/21        BB        1,813,350  
  75    

T-Mobile USA Inc.

    6.731%        4/28/22        BB        78,000  
  75    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        80,063  
  5,750    

Total Wireless Telecommunication Services

                               6,069,963  
$ 47,721    

Total Corporate Bonds (cost $42,461,900)

                               36,041,571  
 

Total Long-Term Investments (cost $412,377,907)

                               399,802,777  

Principal

Amount (000)

    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 8.8% (5.6% of Total Investments)

 

      REPURCHASE AGREEMENTS – 8.8% (5.6% of Total Investments)  
$ 23,889    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $23,888,768,
collateralized by $24,360,000 U.S. Treasury Notes,
2.250%, due 12/31/23, value $24,371,084

    0.030%        2/01/17               $ 23,888,748  
 

Total Short-Term Investments (cost $23,888,748)

                               23,888,748  
 

Total Investments (cost $436,266,655) – 156.9%

                               423,691,525  
 

Borrowings – (38.5)% (8), (9)

                               (104,000,000
 

Term Preferred Shares, at Liquidation Preference – (15.9)% (10)

 

                       (43,000,000
 

Other Assets Less Liabilities – (2.5)% (11)

                               (6,732,412
 

Net Assets Applicable to Common Shares – 100%

                             $ 269,959,113  

 

  32     NUVEEN


Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

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

Morgan Stanley Capital Services, LLC

  $ 43,000,000       Pay       1-Month USD-LIBOR-ICE       2.000 % (12)      Monthly       11/01/21  (13)    $ (685,943

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 10.1%.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     33  


JFR

 

Nuveen Floating Rate Income Fund

  

Portfolio of Investments

   January 31, 2017 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 144.1% (92.7% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 123.4% (79.4% of Total Investments) (4)

 

      Aerospace & Defense – 2.1% (1.4% of Total Investments)  
$ 4,269    

B/E Aerospace, Inc., Term Loan B

    3.943%        12/16/21        BB+      $ 4,294,741  
  5,694    

Sequa Corporation, Term Loan B

    5.250%        6/19/17        CCC–        5,461,430  
  995    

Transdigm, Inc., Extend Term Loan F

    3.778%        6/07/23        Ba2        994,005  
  2,950    

Transdigm, Inc., Term Loan E, First Lien

    3.851%        5/14/22        Ba2        2,945,599  
  13,908    

Total Aerospace & Defense

                               13,695,775  
      Air Freight & Logistics – 0.7% (0.4% of Total Investments)  
  775    

Americold Realty Operating Partnership, Term Loan B

    4.750%        12/01/22        BB        788,224  
  1,500    

PAE Holding Corporation, Term Loan B

    6.500%        10/20/22        B+        1,515,938  
  2,166    

XPO Logistics, Inc., Refinanced Term Loan B2, First Lien

    4.250%        11/01/21        Ba1        2,186,546  
  4,441    

Total Air Freight & Logistics

                               4,490,708  
      Airlines – 1.8% (1.2% of Total Investments)  
  5,365    

American Airlines, Inc., Term Loan B

    3.267%        12/14/23        BB+        5,397,861  
  3,388    

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

    3.276%        6/29/20        BB+        3,410,317  
  2,940    

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

    3.263%        10/08/21        BB+        2,960,213  
  11,693    

Total Airlines

                               11,768,391  
      Auto Components – 0.2% (0.1% of Total Investments)  
  1,241    

Horizon Global Corporation, Term Loan B

    7.919%        6/30/21        B+        1,264,060  
      Automobiles – 2.2% (1.4% of Total Investments)  
  4,588    

Chrysler Group LLC, Tranche B, Term Loan

    3.270%        12/31/18        BBB–        4,601,768  
  7,795    

Formula One Group, Term Loan, First Lien

    5.068%        7/30/21        B        7,853,920  
  2,000    

Formula One Group, Term Loan, Second Lien

    8.068%        7/29/22        CCC+        2,016,500  
  14,383    

Total Automobiles

                               14,472,188  
      Building Products – 0.9% (0.6% of Total Investments)  
  2,044    

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        2,041,951  
  4,000    

Quikrete Holdings, Inc., Initial Term Loan, First Lien

    4.017%        11/15/23        BB–        4,054,284  
  6,044    

Total Building Products

                               6,096,235  
      Capital Markets – 0.4% (0.3% of Total Investments)  
  2,764    

Citco III Limited, Term Loan B

    4.250%        6/29/18        N/R        2,771,286  
      Chemicals – 1.9% (1.2% of Total Investments)  
  993    

Avantor Performance Materials, Incremental Term Loan B

    6.000%        6/21/22        B1        1,009,777  
  2,706    

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        2,713,650  
  588    

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        592,622  
  2,319    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        2,339,089  
  1,980    

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

    7.000%        10/28/21        Ba3        1,982,475  
  3,463    

Univar, Inc., Term Loan B

    3.519%        7/01/22        BB–        3,461,692  
  12,049    

Total Chemicals

                               12,099,305  
      Commercial Services & Supplies – 3.9% (2.5% of Total Investments)  
  1,029    

Acosta, Inc., Term Loan B

    4.289%        9/26/21        B1        996,517  
  743    

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

    3.500%        11/10/23        BB        751,582  
  824    

Education Management LLC, Tranche A, Term Loan, (8)

    5.509%        7/02/20        N/R        362,683  
  1,567    

Education Management LLC, Tranche B, Term Loan, (8)

    8.509%        7/02/20        N/R        148,874  
  1,500    

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

    5.000%        10/19/23        B2        1,513,125  
  4,521    

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        4,344,216  
  500    

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        436,667  

 

  34     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 1,489    

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

    4.500%        3/09/23        BB–      $ 1,509,211  
  3,491    

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

    6.500%        9/30/22        B2        3,544,712  
  6,789    

Protection One, Inc., Term Loan, First Lien

    4.250%        5/02/22        Ba2        6,875,057  
  1,108    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.750%        4/28/21        B–        1,010,742  
  1,980    

Universal Services of America, Term Loan, First Lien

    4.763%        7/28/22        B+        1,992,375  
  1,750    

Universal Services of America, Term Loan, Second Lien

    9.539%        7/28/23        B–        1,785,000  
  27,291    

Total Commercial Services & Supplies

                               25,270,761  
      Communications Equipment – 2.0% (1.3% of Total Investments)  
  2,209    

Avaya, Inc., DIP Term Loan, (WI/DD)

    TBD        TBD        Baa3        2,278,773  
  6,724    

Avaya, Inc., Term Loan B3

    5.537%        10/26/17        D        5,629,444  
  1,060    

Avaya, Inc., Term Loan B6

    6.532%        3/31/18        D        889,627  
  2,313    

Avaya, Inc., Term Loan B7, (DD1)

    6.282%        5/29/20        D        1,943,299  
  2,274    

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

    4.250%        4/24/22        B+        2,296,626  
  14,580    

Total Communications Equipment

                               13,037,769  
      Consumer Finance – 2.0% (1.3% of Total Investments)  
  2,332    

First Data Corporation, New Dollar Term Loan

    3.775%        7/08/22        BB        2,350,501  
  10,324    

First Data Corporation, Term Loan, First Lien

    3.775%        3/24/21        BB        10,392,406  
  12,656    

Total Consumer Finance

                               12,742,907  
      Containers & Packaging – 0.6% (0.4% of Total Investments)  
  1,714    

Berry Plastics Holding Corporation, Term Loan I

    3.287%        10/01/22        BB        1,728,906  
  2,357    

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

    4.000%        2/05/23        B+        2,367,896  
  4,071    

Total Containers & Packaging

                               4,096,802  
      Diversified Consumer Services – 2.9% (1.8% of Total Investments)  
  5,373    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%        6/07/23        BB–        5,014,352  
  493    

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        BB–        494,914  
  1,388    

Harland Clarke Holdings Corporation, Term Loan B4

    6.993%        8/04/19        BB–        1,390,969  
  7,768    

Hilton Hotels Corporation, Series B2, Term Loan

    3.271%        10/25/23        BBB–        7,856,936  
  571    

Hilton Hotels Corporation, Term Loan B1

    3.500%        10/26/20        BBB–        576,674  
  3,315    

Houghton Mifflin, Term Loan B, First Lien, (DD1)

    4.000%        5/28/21        B+        3,085,395  
  215    

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B–        216,540  
  19,123    

Total Diversified Consumer Services

                               18,635,780  
      Diversified Financial Services – 1.9% (1.2% of Total Investments)  
  2,184    

MGM Growth Properties, Term Loan B

    3.528%        4/25/23        BB+        2,201,241  
  1,477    

MJ Acquisition Corp., Term Loan, First Lien

    4.001%        6/01/22        B+        1,486,407  
  8,375    

WideOpenWest Finance LLC, New Term Loan B

    4.500%        8/18/23        B1        8,447,043  
  12,036    

Total Diversified Financial Services

                               12,134,691  
      Diversified Telecommunication Services – 6.6% (4.3% of Total Investments)  
  1,496    

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

    6.250%        10/02/23        B        1,488,145  
  3,616    

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

    3.280%        3/31/21        BB        3,520,801  
  4,500    

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

    5.000%        12/01/23        B2        4,557,186  
  10,066    

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

    3.750%        6/30/19        B1        9,926,031  
  2,435    

Level 3 Financing, Inc., Term Loan B2

    3.513%        5/31/22        BBB–        2,457,082  
  3,667    

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

    4.000%        8/01/19        BBB–        3,696,458  
  721    

Presidio, Inc., Term Loan, First Lien

    4.500%        2/02/22        B1        728,594  
  4,000    

Verizon Communications, Inc., Term Loan

    2.021%        7/31/19        BBB+        4,004,168  
  759    

Zayo Group LLC, Term Loan B2

    3.500%        1/12/24        N/R        767,443  
  12,000    

Ziggo B.V., Term Loan E

    0.000%        4/25/25        BB–        12,041,256  
  43,260    

Total Diversified Telecommunication Services

                               43,187,164  
      Electric Utilities – 1.8% (1.1% of Total Investments)  
  954    

EFS Cogen Holdings LLC, Term Loan B

    4.500%        6/28/23        BB        965,127  
  6,500    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.250%        6/30/17        BB        6,547,938  
  3,257    

Vistra Operations Co., Term Loan B

    3.500%        8/04/23        Ba2        3,273,429  

 

NUVEEN     35  


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

 

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

Vistra Operations Co., Term Loan C

    3.500%        8/04/23        Ba2      $ 746,571  
  11,454    

Total Electric Utilities

                               11,533,065  
      Electronic Equipment, Instruments & Components – 1.2% (0.8% of Total Investments)  
  3,901    

SMART Modular Technologies, Inc., Term Loan B

    9.250%        8/26/17        B        3,296,311  
  2,637    

TTM Technologies, Inc., New Term Loan

    5.250%        5/31/21        BB–        2,665,258  
  1,867    

Zebra Technologies Corporation Refinancing Term Loan B, First Lien

    3.446%        10/27/21        BB+        1,885,413  
  8,405    

Total Electronic Equipment, Instruments & Components

                               7,846,982  
      Energy Equipment & Services – 0.9% (0.6% of Total Investments)  
  3,359    

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

    6.063%        3/31/21        Caa2        2,612,007  
  606    

Dynamic Energy Services International LLC, Term Loan

    11.000%        3/06/18        N/R        318,047  
  2,842    

Seventy Seven Operating LLC, Term Loan B

    3.778%        6/25/20        B        2,840,541  
  6,807    

Total Energy Equipment & Services

                               5,770,595  
      Equity Real Estate Investment Trusts – 3.0% (2.0% of Total Investments)  
  11,056    

Communications Sales & Leasing, Inc., Term Loan B

    4.500%        10/24/22        BB–        11,189,063  
  1,881    

Realogy Group LLC, Term Loan B

    3.026%        7/20/22        BB+        1,893,610  
  6,879    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)

    4.750%        12/18/20        B        6,631,537  
  19,816    

Total Equity Real Estate Investment Trusts

                               19,714,210  
      Food & Staples Retailing – 6.3% (4.0% of Total Investments)  
  24,332    

Albertson’s LLC, Term Loan B4

    3.778%        8/25/21        BB        24,489,675  
  2,985    

Albertson’s LLC, Term Loan B5

    4.247%        12/21/22        BB        3,007,406  
  4,175    

Albertson’s LLC, Term Loan B6

    4.061%        6/22/23        BB        4,206,340  
  1,375    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B–        1,379,727  
  728    

Del Monte Foods Company, Term Loan, First Lien

    4.250%        2/18/21        B–        658,994  
  1,500    

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

    5.750%        8/21/20        BB–        1,508,204  
  2,975    

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

    4.875%        6/21/21        BB–        2,988,634  
  1,500    

Save–A–Lot, Term Loan B

    7.000%        12/02/23        B        1,495,313  
  1,119    

Supervalu, Inc., New Term Loan B

    5.500%        3/21/19        BB–        1,127,778  
  40,689    

Total Food & Staples Retailing

                               40,862,071  
      Food Products – 4.0% (2.6% of Total Investments)  
  1,950    

Hearthside Group Holdings LLC, Term Loan B

    4.022%        6/21/21        B1        1,969,500  
  3,644    

Jacobs Douwe Egberts, Term Loan B

    3.500%        7/04/22        BB        3,668,937  
  2,968    

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

    5.313%        3/03/23        BBB–        3,016,485  
  3,597    

Pinnacle Foods Finance LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB+        3,608,635  
  10,318    

US Foods, Inc., Term Loan B

    3.778%        6/27/23        BB–        10,409,478  
  3,458    

Wilton Products, Inc., Tranche B, Term Loan

    8.500%        8/30/18        CCC+        3,394,652  
  25,935    

Total Food Products

                               26,067,687  
      Health Care Equipment & Supplies – 2.2% (1.4% of Total Investments)  
  2,077    

Acelity, Term Loan B, (WI/DD)

    TBD        TBD        B1        2,066,375  
  575    

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

    6.500%        8/04/21        B1        576,841  
  1,096    

ConvaTec, Inc., Term Loan B

    3.278%        10/25/23        BB        1,104,224  
  1,980    

Greatbatch, Inc., Term Loan B

    5.250%        10/27/22        B        1,994,108  
  4,665    

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        4,490,368  
  2,553    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        2,144,678  
  1,708    

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        1,717,597  
  14,654    

Total Health Care Equipment & Supplies

                               14,094,191  
      Health Care Providers & Services – 5.0% (3.2% of Total Investments)  
  1,960    

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

    3.776%        2/11/22        Ba2        1,975,517  
  1,660    

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB–        1,580,495  
  3,321    

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB–        3,148,674  
  3,570    

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

    3.530%        6/24/21        BBB–        3,622,126  
  1,579    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.000%        12/01/23        BB–        1,595,360  

 

  36     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services (continued)  
$ 986    

HCA, Inc., Term Loan B6, First Lien

    4.028%        3/17/23        BBB–      $ 996,843  
  1,920    

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        1,760,284  
  3,616    

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

    5.500%        12/21/18        B1        3,626,224  
  2,000    

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

    9.750%        6/21/19        CCC        1,965,834  
  763    

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

    4.313%        4/09/21        BB–        765,686  
  3,737    

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

    7.500%        12/21/20        CCC+        1,887,054  
  1,392    

MultiPlan, Inc., Term Loan B

    5.000%        6/07/23        B+        1,413,136  
  2,346    

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        2,354,805  
  2,059    

Quorum Health Corp., Term Loan B

    6.750%        4/29/22        B1        2,041,950  
  1,480    

Select Medical Corporation, Term Loan E, Tranche B, First Lien

    6.025%        6/01/18        Ba2        1,491,765  
  1,439    

Select Medical Corporation, Term Loan F, First Lien

    6.011%        3/03/21        Ba2        1,453,996  
  1,100    

Vizient, Inc., Term Loan B

    5.000%        2/13/23        B+        1,115,397  
  34,928    

Total Health Care Providers & Services

                               32,795,146  
      Health Care Technology – 0.7% (0.4% of Total Investments)  
  4,412    

Catalent Pharma Solutions, Inc., Term Loan B

    3.750%        5/20/21        BB        4,458,595  
      Hotels, Restaurants & Leisure – 5.2% (3.4% of Total Investments)  
  7,738    

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        7,819,081  
  2,699    

CCM Merger, Inc., Term Loan B

    4.028%        8/09/21        BB–        2,718,977  
  3,652    

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB        3,695,770  
  2,598    

Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien

    4.500%        12/09/20        B+        2,626,311  
  2,216    

Life Time Fitness, Inc., Term Loan B

    4.000%        6/10/22        B1        2,222,830  
  3,880    

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        Ba3        3,922,680  
  4,414    

Scientific Games Corporation, Term Loan B2

    6.022%        10/01/21        Ba3        4,462,945  
  3,231    

Seaworld Parks and Entertainment, Inc., Term Loan B2

    3.248%        5/14/20        BB–        3,199,196  
  3,479    

Station Casino LLC, Term Loan B

    3.270%        6/08/23        BB        3,463,028  
  33,907    

Total Hotels, Restaurants & Leisure

                               34,130,818  
      Household Products – 0.6% (0.4% of Total Investments)  
  1,753    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.500%        11/08/23        B1        1,753,612  
  1,995    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.313%        9/07/23        Ba3        2,015,064  
  3,748    

Total Household Products

                               3,768,676  
      Independent Power & Renewable Electricity Producers – 0.7% (0.4% of Total Investments)  
  4,250    

Dynegy, Inc., Term Loan B

    4.250%        6/27/23        BB        4,296,487  
      Industrial Conglomerates – 0.4% (0.2% of Total Investments)  
  2,256    

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

    4.771%        11/26/20        B        2,254,482  
      Insurance – 2.1% (1.3% of Total Investments)  
  5,260    

Alliant Holdings I LLC, Term Loan B

    4.250%        8/14/22        B        5,298,949  
  2,475    

AssuredPartners, Inc., Refinancing Term Loan, First Lien

    5.250%        10/21/22        B+        2,512,204  
  5,811    

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        Ba3        5,834,284  
  13,546    

Total Insurance

                               13,645,437  
      Internet and Direct Marketing Retail – 1.3% (0.8% of Total Investments)  
  8,153    

Travelport LLC, Term C Loan

    4.250%        9/02/21        B+        8,241,023  
      Internet Software & Services – 1.6% (1.0% of Total Investments)  
  2,000    

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

    5.250%        10/19/23        B1        2,023,438  
  1,000    

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

    9.250%        10/19/24        CCC+        1,029,583  
  2,000    

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

    4.500%        11/03/23        BB+        2,023,906  
  605    

Sabre Inc., Term Loan B2

    4.500%        2/19/19        Ba2        609,079  
  290    

Sabre Inc., Term Loan C

    4.000%        2/19/18        Ba2        290,617  
  2,802    

Sabre, Inc., Term Loan B

    4.000%        2/19/19        Ba2        2,822,197  
  2,228    

SkillSoft Corporation, Term Loan, Second Lien

    9.250%        4/28/22        CCC        1,635,883  
  10,925    

Total Internet Software & Services

                               10,434,703  

 

NUVEEN     37  


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

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      IT Services – 1.1% (0.7% of Total Investments)  
$ 1,311    

Conduent, Inc., Term Loan B

    6.250%        12/07/23        BB+      $ 1,335,099  
  2,385    

EIG Investors Corp., Term Loan, First Lien

    6.480%        11/09/19        B+        2,390,911  
  1,341    

Engility Corporation, Term Loan B2

    5.750%        8/14/23        BB–        1,354,029  
  445    

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

    4.500%        10/13/20        B1        446,355  
  1,493    

WEX, Inc., Term Loan B

    4.278%        6/30/23        BB–        1,514,071  
  366    

Zayo Group LLC, Term Loan B3, (WI/DD)

    TBD        TBD        BB        369,510  
  7,341    

Total IT Services

                               7,409,975  
      Leisure Products – 1.6% (1.0% of Total Investments)  
  3,390    

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        3,339,039  
  2,973    

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

    5.019%        7/01/22        B2        2,637,429  
  3,129    

Equinox Holdings, Inc., New Initial Term Loan B

    5.000%        1/31/20        B+        3,155,771  
  1,000    

Four Seasons Holdings, Inc., Term Loan B

    3.750%        11/30/23        BB        1,013,125  
  10,492    

Total Leisure Products

                               10,145,364  
      Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)  
  1,000    

Inventiv Health, Inc., Term Loan B

    4.750%        11/09/23        B        1,008,661  
      Machinery – 0.6% (0.4% of Total Investments)  
  1,536    

Rexnord LLC. Term Loan B, First Lien

    3.770%        8/21/23        BB–        1,547,608  
  2,394    

Safway Group Holdings LLC, Initial Term Loan, First Lien

    5.750%        8/21/23        B+        2,428,912  
  3,930    

Total Machinery

                               3,976,520  
      Marine – 0.2% (0.1% of Total Investments)  
  1,444    

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%        11/12/20        B        1,382,391  
      Media – 12.5% (8.1% of Total Investments)  
  2,094    

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

    4.248%        7/23/21        B1        2,095,765  
  1,791    

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

    7.500%        7/25/22        CCC+        1,758,241  
  1,743    

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

    8.500%        10/31/18        Caa1        1,704,571  
  987    

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

    6.750%        4/30/18        B1        985,943  
  1,950    

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B1        1,713,563  
  2,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        Caa1        1,380,000  
  7,424    

Cequel Communications LLC, Term Loan B

    3.778%        1/15/25        BB–        7,521,487  
  4,963    

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

    3.026%        1/15/24        BBB–        4,986,424  
  3,788    

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

    7.528%        1/30/19        Caa1        3,184,381  
  2,718    

Clear Channel Communications, Inc., Term Loan E

    8.278%        7/30/19        Caa1        2,284,692  
  13,036    

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B3        8,623,656  
  3,503    

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

    4.750%        6/17/20        BB–        3,529,579  
  2,015    

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

    4.750%        10/18/19        B3        1,743,808  
  890    

Gray Television, Inc., Initial Term Loan

    3.959%        6/13/21        BB        896,143  
  2,925    

IMG Worldwide, Inc., First Lien

    5.290%        5/06/21        B+        2,944,537  
  2,000    

Lions Gate Entertainment Corporation, Term Loan B

    3.766%        12/08/23        Ba2        2,017,500  
  1,692    

LSC Communications, Term Loan

    7.000%        9/30/22        Ba3        1,708,583  
  2,985    

McGraw–Hill Education Holdings LLC, Term Loan B

    5.000%        5/02/22        Ba3        2,871,731  
  337    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        1/17/24        Ba3        341,251  
  3,663    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        9/26/23        BB+        3,703,749  
  3,258    

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

    4.500%        8/14/20        B        3,266,281  
  17,297    

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

    4.000%        3/01/20        B+        17,356,077  
  2,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.517%        1/31/25        BB–        2,015,000  
  1,520    

WMG Acquisition Corporation, Term Loan B, First Lien

    3.750%        11/01/23        Ba3        1,529,425  
  447    

Yell Group PLC, PIK Term Loan B2, First Lien

    0.000%        9/07/65        N/R        895,003  
  487    

Yell Group PLC, Term Loan A2, First Lien

    8.000%        9/07/21        N/R        498,395  
  87,513    

Total Media

                               81,555,785  
      Metals & Mining – 1.0% (0.7% of Total Investments)  
  1,805    

Fairmount Minerals, Ltd. Term Loan B2, First Lien

    4.500%        9/05/19        B–        1,768,836  
  1,703    

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

    4.500%        9/05/19        B–        1,660,317  

 

  38     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Metals & Mining (continued)  
$ 1,511    

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

    3.750%        6/30/19        BBB–      $ 1,521,681  
  1,674    

Zekelman Industries, Term Loan B, (DD1)

    6.000%        6/14/21        BB–        1,674,318  
  6,693    

Total Metals & Mining

                               6,625,152  
      Multiline Retail – 2.1% (1.4% of Total Investments)  
  3,464    

99 Cents Only Stores Tranche B2, Term Loan

    4.500%        1/11/19        CCC+        2,996,015  
  1,500    

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

    5.720%        5/15/18        B+        1,490,625  
  1,508    

Bass Pro Group LLC, Term Loan B

    5.970%        12/15/23        B+        1,468,706  
  1,943    

Bass Pro Group LLC, Term Loan B, First Lien

    4.016%        6/05/20        B+        1,920,386  
  2,978    

Belk, Inc., Term Loan B, First Lien

    5.760%        12/12/22        B        2,555,532  
  2,010    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        2,041,356  
  1,382    

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

    4.250%        9/30/22        BB        1,364,343  
  14,785    

Total Multiline Retail

                               13,836,963  
      Oil, Gas & Consumable Fuels – 4.5% (2.9% of Total Investments)  
  1,000    

California Resources Corporation, Term Loan A, First Lien

    3.439%        9/24/19        B1        980,000  
  662    

Crestwood Holdings LLC, Term Loan B

    9.000%        6/19/19        B3        660,454  
  286    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        157,519  
  4,039    

EP Energy LLC, Term Loan B

    9.750%        6/30/21        B–        4,195,803  
  3,327    

Fieldwood Energy LLC, Term Loan, First Lien

    3.875%        10/01/18        B2        3,216,875  
  1,818    

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%        8/31/20        B2        1,766,014  
  912    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        CCC–        722,702  
  1,474    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B–        1,333,610  
  5,297    

Harvey Gulf International Marine, Inc., Term Loan B

    5.470%        6/18/20        CCC+        4,370,145  
  8,958    

Peabody Energy Corporation, Term Loan B, (WI/DD)

    TBD        TBD        N/R        9,045,887  
  3,794    

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        CCC+        2,800,224  
  59    

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

    3.500%        4/13/23        CCC+        48,545  
  31,626    

Total Oil, Gas & Consumable Fuels

                               29,297,778  
      Pharmaceuticals – 3.0% (1.9% of Total Investments)  
  2,227    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%        10/21/21        B2        1,755,023  
  5,500    

Grifols, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        5,538,957  
  3,900    

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B        3,930,471  
  8,005    

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

    4.250%        8/18/22        B1        8,069,547  
  235    

Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan

    5.270%        8/05/20        BB–        235,390  
  19,867    

Total Pharmaceuticals

                               19,529,388  
      Professional Services – 0.2% (0.2% of Total Investments)  
  1,597    

Ceridian Corporation, Term Loan B2

    4.539%        9/15/20        Ba3        1,595,635  
      Real Estate Management & Development – 1.1% (0.7% of Total Investments)  
  3,723    

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        3,778,735  
  3,312    

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        BB        3,336,576  
  7,035    

Total Real Estate Management & Development

                               7,115,311  
      Road & Rail – 0.3% (0.2% of Total Investments)  
  1,980    

Quality Distribution, Term Loan, First Lien

    5.750%        8/18/22        B2        1,955,250  
      Semiconductors & Semiconductor Equipment – 2.3% (1.5% of Total Investments)  
  1,275    

Cypress Semiconductor Corp, Term Loan B

    6.500%        7/05/21        BB        1,303,688  
  1,741    

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

    4.530%        4/26/22        Baa2        1,768,819  
  2,381    

Microsemi Corporation, New Term Loan

    3.019%        1/31/23        BB        2,318,602  
  2,862    

NXP Semiconductor LLC, Term Loan D

    3.278%        1/11/20        Baa2        2,878,910  
  2,260    

NXP Semiconductor LLC, Term Loan F

    3.240%        12/07/20        Baa2        2,274,095  
  4,239    

On Semiconductor Corp., Term Loan B, First Lien

    4.028%        3/31/23        Ba1        4,288,539  
  14,758    

Total Semiconductors & Semiconductor Equipment

                               14,832,653  
      Software – 11.1% (7.1% of Total Investments)  
  3,043    

Blackboard, Inc., Term Loan B4

    6.023%        6/30/21        B+        3,057,974  

 

NUVEEN     39  


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

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)  
$ 5,565    

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B+      $ 5,558,789  
  1,554    

Computer Sciences Government Services, Term Loan B, First Lien

    3.435%        11/30/23        BB+        1,563,238  
  4,712    

Compuware Corporation, Term Loan B2, First Lien

    5.250%        12/15/21        B        4,726,992  
  1,358    

Compuware Corporation, Term Loan, Second Lien

    9.250%        12/15/22        CCC+        1,368,965  
  3,929    

Ellucian, Term Loan B, First Lien

    4.250%        9/30/22        B        3,939,227  
  4,612    

Emdeon, Inc., Term Loan B2

    3.750%        11/02/18        BB–        4,620,601  
  12,463    

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

    3.750%        6/03/20        B1        12,455,493  
  1,728    

Informatica Corp., Term Loan B

    4.500%        8/05/22        B+        1,724,885  
  1,500    

Kronos Incorporated, Term Loan B, First Lien

    5.000%        11/01/23        B        1,517,301  
  2,768    

Micro Focus International PLC, Term Loan B

    4.789%        11/19/21        BB–        2,799,652  
  2,723    

Micro Focus International PLC, Term Loan C

    4.789%        11/20/19        BB–        2,751,669  
  6,224    

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        6,258,459  
  2,296    

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%        5/29/20        B1        2,302,188  
  2,000    

RP Crown Parent LLC, Term Loan B, First Lien

    4.500%        10/12/23        B1        2,012,322  
  1,998    

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

    4.028%        7/08/22        BB+        2,022,337  
  192    

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

    4.028%        7/08/22        BB+        194,077  
  7,778    

Tibco Software, Inc., Term Loan B

    5.500%        12/04/20        B1        7,858,341  
  2,993    

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

    5.000%        7/13/23        N/R        3,015,318  
  748    

Vertafore, Inc., Term Loan, First Lien

    4.250%        6/30/23        B        754,738  
  1,750    

Vertiv Co., Term Loan B

    6.029%        11/30/23        Ba3        1,774,325  
  71,934    

Total Software

                               72,276,891  
      Specialty Retail – 1.3% (0.9% of Total Investments)  
  2,238    

Gardner Denver, Inc., Term Loan

    4.558%        7/30/20        B        2,216,459  
  1,185    

Jo-Ann Stores, Inc., Term Loan B

    6.256%        10/20/23        B+        1,171,385  
  4,005    

Petco Animal Supplies, Inc., Term Loan B1

    4.250%        1/26/23        B1        3,956,422  
  1,282    

Petsmart Inc., Term Loan B, First Lien

    4.000%        3/11/22        BB–        1,272,470  
  8,710    

Total Specialty Retail

                               8,616,736  
      Technology Hardware, Storage & Peripherals – 5.7% (3.7% of Total Investments)  
  7,900    

Dell International LLC, Term Loan A2, First Lien

    3.030%        9/07/21        BBB–        7,908,461  
  4,500    

Dell International LLC, Term Loan A3, First Lien

    2.780%        12/31/18        BBB–        4,509,000  
  14,687    

Dell International LLC, Term Loan B

    4.030%        9/07/23        BBB–        14,831,495  
  1,750    

Dell Software Group, Term Loan B

    7.000%        10/31/22        B1        1,776,906  
  7,960    

Western Digital, Inc., Term Loan B1

    4.526%        4/29/23        BBB–        8,064,475  
  36,797    

Total Technology Hardware, Storage & Peripherals

                               37,090,337  
      Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)  
  1,071    

G-III Apparel Group, Term Loan B

    6.250%        12/01/22        BB        1,050,000  
  2,343    

Gymboree Corporation, Term Loan

    5.000%        2/23/18        Caa3        1,172,740  
  2,067    

J Crew Group, Term Loan B, First Lien

    4.000%        3/05/21        Caa1        1,160,742  
  5,481    

Total Textiles, Apparel & Luxury Goods

                               3,383,482  
      Trading Companies & Distributors – 2.5% (1.6% of Total Investments)  
  8,273    

Avolon, Term Loan B2, (WI/DD)

    TBD        TBD        BBB–        8,388,474  
  6,128    

HD Supply, Inc., Term Loan B

    3.748%        8/13/21        BB–        6,175,733  
  1,654    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.543%        6/09/21        B–        1,654,958  
  16,055    

Total Trading Companies & Distributors

                               16,219,165  
      Transportation Infrastructure – 0.4% (0.3% of Total Investments)  
  150    

Ceva Group PLC, Canadian Term Loan

    6.539%        3/19/21        B2        132,278  
  868    

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

    6.539%        3/19/21        B2        767,213  
  846    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        748,084  
  1,197    

Ceva Group PLC, US Term Loan

    6.539%        3/19/21        B2        1,058,225  
  3,061    

Total Transportation Infrastructure

                               2,705,800  
      Wireless Telecommunication Services – 4.1% (2.6% of Total Investments)  
  944    

Asurion LLC, Term Loan B2

    4.028%        7/08/20        B1        951,309  
  4,656    

Asurion LLC, Term Loan B4

    4.250%        8/04/22        B+        4,708,611  
  3,322    

Asurion, LLC, Term Loan B5, First Lien

    4.750%        11/03/23        B+        3,360,776  

 

  40     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Wireless Telecommunication Services (continued)  
$ 182    

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B      $ 184,018  
  10,000    

Sprint Corporation, Term Loan, First Lien, (WI/DD)

    TBD        TBD        Ba2        10,000,000  
  2,327    

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

    4.039%        4/23/19        B        2,103,115  
  1,293    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.000%        4/23/19        B        1,168,342  
  4,000    

UPC Financing Partnership, Term Loan, First Lien

    3.767%        8/31/24        BB        4,019,284  
  26,724    

Total Wireless Telecommunication Services

                               26,495,455  
$ 822,248    

Total Variable Rate Senior Loan Interests (cost $811,162,151)

                               802,732,682  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.8% (1.1% of Total Investments)

 

        
      Banks – 0.4% (0.2% of Total Investments)  
  30,811    

BLB Worldwide Holdings Inc., (5)

                             $ 2,418,664  
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)  
  78,490    

Cengage Learning Holdings II LP, (5)

             902,635  
  9,876,769    

Education Management Corporation, (5), (6)

                               988  
 

Total Diversified Consumer Services

                               903,623  
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)  
  80,413    

C&J Energy Services Inc., (5), (6)

             3,457,758  
  2,712    

Vantage Drill International, (5), (6)

                               344,424  
 

Total Energy Equipment & Services

                               3,802,182  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  113,515    

Millennium Health LLC, (5)

                               113,515  
      Hotels Restaurants & Leisure – 0.0% (0.0% of Total Investments)  
  2,670    

Buffets Term Loan, (5)

                                
      Media – 0.7% (0.4% of Total Investments)  
  824    

Cumulus Media, Inc., (5)

             822  
  698,702    

Hibu PLC, (5), (7)

             1  
  26,045    

Metro-Goldwyn-Mayer, (5), (6)

             2,484,042  
  57,088    

Tribune Media Company

             1,646,418  
  45,941    

Tribune Media Company, (7)

              
  14,272    

tronc, Inc., (5)

                               189,247  
 

Total Media

                               4,320,530  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  136    

Energy and Exploration Partners, Inc., (5), (6)

             47,600  
  64    

Southcross Holdings Borrower LP, (5)

                               20,000  
 

Total Oil, Gas & Consumable Fuels

                               67,600  
      Software – 0.0% (0.0% of Total Investments)  
  743,286    

Eagle Topco LP, (5), (7)

                               1  
 

Total Common Stocks (cost $18,621,912)

                               11,626,115  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

 

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  10,989    

Education Management Corporation

    7.500%                 N/R      $ 110  
 

Total $25 Par (or similar) Retail Preferred (cost $26,686)

                               110  

 

NUVEEN     41  


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

 

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

CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)

 

      Communications Equipment – 0.1% (0.1% of Total Investments)  
$ 850    

Nortel Networks Corp., (8)

    1.750%        4/15/12        N/R      $ 825,562  
$ 850    

Total Convertible Bonds (cost $696,250)

                               825,562  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 12.0% (7.7% of Total Investments)

 

      Commercial Services & Supplies – 0.2% (0.1% of Total Investments)  
$ 1,034    

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 1,041,755  
      Communications Equipment – 0.2% (0.2% of Total Investments)  
  210    

Avaya Inc., 144A

    7.000%        4/01/19        D        173,775  
  5,150    

Avaya Inc., 144A

    10.500%        3/01/21        D        1,403,375  
  5,360    

Total Communications Equipment

                               1,577,150  
      Diversified Telecommunication Services – 1.0% (0.7% of Total Investments)  
  3,322    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CC        2,101,165  
  1,080    

IntelSat Limited

    6.750%        6/01/18        Ca        923,400  
  6,449    

IntelSat Limited

    7.750%        6/01/21        Ca        2,241,028  
  4,550    

IntelSat Limited

    8.125%        6/01/23        Ca        1,512,875  
  15,401    

Total Diversified Telecommunication Services

                               6,778,468  
      Equity Real Estate Investment Trusts – 0.2% (0.1% of Total Investments)  
  1,500    

iStar Inc.

    4.000%        11/01/17        B+        1,507,500  
      Health Care Equipment & Supplies – 0.8% (0.5% of Total Investments)  
  1,000    

Tenet Healthcare Corporation

    6.750%        2/01/20        B–        992,500  
  4,000    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        4,220,000  
  5,000    

Total Health Care Equipment & Supplies

                               5,212,500  
      Health Care Providers & Services – 0.2% (0.1% of Total Investments)  
  1,200    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,149,000  
      Hotels, Restaurants & Leisure – 0.9% (0.6% of Total Investments)                           
  5,500    

Scientific Games International Inc.

    10.000%        12/01/22        B–        5,635,410  
      Media – 3.8% (2.4% of Total Investments)  
  1,000    

CCO Holdings LLC Finance Corporation

    5.750%        9/01/23        BB+        1,047,500  
  200    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        204,866  
  2,000    

Dish DBS Corporation

    5.875%        7/15/22        Ba3        2,079,000  
  2,500    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        2,528,125  
  1,762    

iHeartCommunications, Inc.

    10.000%        1/15/18        CC        1,378,765  
  6,562    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        5,491,574  
  11,059    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        CC        4,147,283  
  10,350    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        7,736,624  
  35,433    

Total Media

                               24,613,737  
      Oil, Gas & Consumable Fuels – 1.2% (0.7% of Total Investments)  
  2,585    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        2,300,650  
  700    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        640,500  
  175    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        150,063  
  750    

Everest Acquisition LLC Finance

    9.375%        5/01/20        CCC+        763,125  
  3,000    

FTS International Inc., 144A

    8.350%        6/15/20        B        3,071,250  
  600    

Gastar Exploration Inc.

    8.625%        5/15/18        Caa3        591,000  
  7,810    

Total Oil, Gas & Consumable Fuels

                               7,516,588  

 

  42     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)  
$ 1,564    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        CCC+      $ 1,718,445  
  930    

Advanced Micro Devices, Inc.

    7.000%        7/01/24        CCC+        962,550  
  2,494    

Total Semiconductors & Semiconductor Equipment

                               2,680,995  
      Software – 0.8% (0.5% of Total Investments)  
  3,580    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        3,454,700  
  1,500    

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

    9.000%        10/15/19        CCC+        1,455,000  
  5,080    

Total Software

                               4,909,700  
      Wireless Telecommunication Services – 2.3% (1.5% of Total Investments)  
  1,000    

Sprint Communications Inc.

    7.000%        8/15/20        B+        1,070,000  
  7,750    

Sprint Corporation

    7.875%        9/15/23        B+        8,471,524  
  1,750    

Sprint Corporation

    7.125%        6/15/24        B+        1,846,250  
  3,750    

T-Mobile USA Inc.

    6.250%        4/01/21        BB        3,885,750  
  14,250    

Total Wireless Telecommunication Services

                               15,273,524  
$ 100,062    

Total Corporate Bonds (cost $89,405,444)

                               77,896,327  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES – 5.0% (3.2% of Total Investments)  
$ 2,500    

BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A

    6.530%        7/20/23        BB      $ 2,499,913  
  1,200    

Bristol Park CLO Limited, Series 2016-1A, 144A

    8.134%        4/15/29        Ba3        1,219,852  
  500    

Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A

    6.024%        4/18/25        BB        485,961  
  1,750    

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

    5.623%        7/15/25        BB        1,656,422  
  1,000    

Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A

    6.047%        12/24/23        BB        999,947  
  500    

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    6.023%        4/15/24        BB        479,365  
  2,700    

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.775%        10/19/22        BB        2,713,624  
  6,000    

LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A

    6.052%        2/25/17        BB–        5,920,787  
  2,750    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.530%        4/20/26        Ba3        2,696,430  
  1,500    

Madison Park Funding Limited, Series 2012-10A, 144A

    8.650%        1/20/29        BB        1,537,772  
  500    

North End CLO Limited, Loan Pool, 144A

    5.623%        7/17/25        BB        452,484  
  750    

Northwoods Capital Corporation, Collateralized Loan Obligations 2012-9A, 144A

    6.124%        1/18/24        BB–        745,982  
  3,000    

Octagon Investment Partners, Series 2015-1A, 144A

    6.880%        10/20/26        Ba3        2,972,040  
  1,250    

OZLM Funding Limited, Series 2012-2A, 144A

    8.187%        10/30/27        BB        1,250,713  
  3,000    

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

    6.038%        11/08/24        BB–        2,910,378  
  1,000    

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.963%        12/15/22        BBB+        999,925  
  3,000    

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

    6.804%        5/24/23        BB        3,000,023  
$ 32,900    

Total Asset-Backed Securities (cost $31,258,542)

                               32,541,618  
Shares     Description (1), (9)                           Value  
      INVESTMENT COMPANIES – 1.8% (1.2% of Total Investments)  
  353,668    

Eaton Vance Floating-Rate Income Trust Fund

           $ 5,372,217  
  968,586    

Eaton Vance Senior Income Trust

                               6,576,699  
 

Total Investment Companies (cost $11,981,509)

                               11,948,916  
 

Total Long-Term Investments (cost $963,152,494)

                               937,571,330  

 

NUVEEN     43  


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

 

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

SHORT-TERM INVESTMENTS – 11.3% (7.3% of Total Investments)

 

        
      REPURCHASE AGREEMENTS – 11.3% (7.3% of Total Investments)  
$ 73,311    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $73,311,496, collateralized by $74,745,000 U.S. Treasury Notes, 2.250%, due 12/31/23, value $74,779,009

    0.030%        2/01/17               $ 73,311,435  
 

Total Short-Term Investments (cost $73,311,435)

                               73,311,435  
 

Total Investments (cost $1,036,463,929) – 155.4%

                               1,010,882,765  
 

Borrowings – (39.8)% (10), (11)

                               (258,900,000
 

Term Preferred Shares, at Liquidation Preference – (13.9)% (12)

 

                       (90,200,000
 

Other Assets Less Liabilities – (1.7)% (13)

                               (11,374,494
 

Net Assets Applicable to Common Shares – 100%

                             $ 650,408,271  

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

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

Morgan Stanley Capital Services, LLC

   $ 10,200,000        Pay        1-Month USD-LIBOR-ICE        1.750 % (14)      Monthly        12/01/19  (15)    $ (23,935

Morgan Stanley Capital Services, LLC

     25,000,000        Pay        1-Month USD-LIBOR-ICE        2.700 % (16)      Monthly        1/01/22  (17)      (38,277

Morgan Stanley Capital Services, LLC

     55,000,000        Pay        1-Month USD-LIBOR-ICE        4.000     Monthly        1/01/27  (18)      300,851  
     $ 90,200,000                                                 $ 238,639  

 

  44     NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 25.6%.

 

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

 

(12) Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 8.9%.

 

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

 

(14) Effective June 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined scheduled as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(15) This interest rate swap has an optional early termination date beginning on December 1, 2017 and monthly thereafter through the termination date as specified in the swap contract.

 

(16) Effective April 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined scheduled as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every three months on specific dates through the swap contract’s termination date.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

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

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     45  


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Portfolio of Investments

   January 31, 2017 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 145.7% (93.2% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 126.3% (80.8% of Total Investments) (4)

 

      Aerospace & Defense – 2.5% (1.6% of Total Investments)  
$ 3,049    

B/E Aerospace, Inc., Term Loan B

    3.943%        12/16/21        BB+      $ 3,067,672  
  4,504    

Sequa Corporation, Term Loan B

    5.250%        6/19/17        CCC–        4,320,953  
  746    

Transdigm, Inc., Extend Term Loan F

    3.778%        6/07/23        Ba2        745,504  
  3,358    

Transdigm, Inc., Term Loan E, First Lien

    3.851%        5/14/22        Ba2        3,352,493  
  11,657    

Total Aerospace & Defense

                               11,486,622  
      Air Freight & Logistics – 0.8% (0.5% of Total Investments)  
  1,163    

Americold Realty Operating Partnership, Term Loan B

    4.750%        12/01/22        BB        1,182,337  
  1,000    

PAE Holding Corporation, Term Loan B

    6.500%        10/20/22        B+        1,010,625  
  1,444    

XPO Logistics, Inc., Refinanced Term Loan B2, First Lien

    4.250%        11/01/21        Ba1        1,457,697  
  3,607    

Total Air Freight & Logistics

                               3,650,659  
      Airlines – 1.8% (1.1% of Total Investments)  
  3,660    

American Airlines, Inc., Term Loan B

    3.267%        12/14/23        BB+        3,682,417  
  2,418    

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

    3.276%        6/29/20        BB+        2,433,832  
  1,960    

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

    3.263%        10/08/21        BB+        1,973,475  
  8,038    

Total Airlines

                               8,089,724  
      Auto Components – 0.2% (0.1% of Total Investments)  
  993    

Horizon Global Corporation, Term Loan B

    7.919%        6/30/21        B+        1,011,248  
      Automobiles – 2.6% (1.7% of Total Investments)  
  4,588    

Chrysler Group LLC, Tranche B, Term Loan

    3.270%        12/31/18        BBB–        4,601,768  
  5,568    

Formula One Group, Term Loan, First Lien

    5.068%        7/30/21        B        5,609,942  
  1,500    

Formula One Group, Term Loan, Second Lien

    8.068%        7/29/22        CCC+        1,512,375  
  11,656    

Total Automobiles

                               11,724,085  
      Building Products – 1.0% (0.6% of Total Investments)  
  1,460    

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        1,458,536  
  3,000    

Quikrete Holdings, Inc., Initial Term Loan, First Lien

    4.017%        11/15/23        BB–        3,040,713  
  4,460    

Total Building Products

                               4,499,249  
      Capital Markets – 0.6% (0.4% of Total Investments)  
  2,764    

Citco III Limited, Term Loan B

    4.250%        6/29/18        N/R        2,771,286  
      Chemicals – 1.3% (0.9% of Total Investments)  
  596    

Avantor Performance Materials, Incremental Term Loan B

    6.000%        6/21/22        B1        605,866  
  1,993    

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        1,998,969  
  433    

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        436,546  
  1,521    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        1,534,647  
  1,485    

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

    7.000%        10/28/21        Ba3        1,486,856  
  6,028    

Total Chemicals

                               6,062,884  
      Commercial Services & Supplies – 4.4% (2.8% of Total Investments)  
  686    

Acosta, Inc., Term Loan B

    4.289%        9/26/21        B1        664,345  
  745    

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

    3.500%        11/10/23        BB        753,475  
  261    

Education Management LLC, Tranche A, Term Loan, (8)

    5.509%        7/02/20        N/R        114,731  
  496    

Education Management LLC, Tranche B, Term Loan, (8)

    8.509%        7/02/20        N/R        47,095  
  1,000    

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

    5.000%        10/19/23        B2        1,008,750  
  1,000    

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

    9.500%        10/07/24        CCC        1,022,500  
  3,165    

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        3,040,952  
  333    

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        291,111  

 

  46     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Commercial Services & Supplies (continued)  
$ 1,241    

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

    4.500%        3/09/23        BB–      $ 1,257,676  
  2,993    

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

    6.500%        9/30/22        B2        3,038,324  
  4,648    

Protection One, Inc., Term Loan, First Lien

    4.250%        5/02/22        Ba2        4,708,172  
  831    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.750%        4/28/21        B–        758,056  
  1,485    

Universal Services of America, Term Loan, First Lien

    4.763%        7/28/22        B+        1,494,281  
  1,750    

Universal Services of America, Term Loan, Second Lien

    9.539%        7/28/23        B–        1,785,000  
  20,634    

Total Commercial Services & Supplies

                               19,984,468  
      Communications Equipment – 2.2% (1.4% of Total Investments)  
  1,815    

Avaya, Inc., DIP Term Loan, (WI/DD)

    TBD        TBD        Baa3        1,871,720  
  5,418    

Avaya, Inc., Term Loan B3

    5.537%        10/26/17        D        4,536,050  
  1,060    

Avaya, Inc., Term Loan B6

    6.532%        3/31/18        D        889,627  
  1,815    

Avaya, Inc., Term Loan B7, (DD1)

    6.282%        5/29/20        D        1,525,239  
  1,299    

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

    4.250%        4/24/22        B+        1,311,652  
  11,407    

Total Communications Equipment

                               10,134,288  
      Consumer Finance – 2.1% (1.4% of Total Investments)  
  1,866    

First Data Corporation, New Dollar Term Loan

    3.775%        7/08/22        BB        1,880,401  
  7,769    

First Data Corporation, Term Loan, First Lien

    3.775%        3/24/21        BB        7,820,247  
  9,635    

Total Consumer Finance

                               9,700,648  
      Containers & Packaging – 0.3% (0.2% of Total Investments)  
  1,286    

Berry Plastics Holding Corporation, Term Loan I

    3.287%        10/01/22        BB        1,296,679  
      Diversified Consumer Services – 3.1% (2.0% of Total Investments)  
  4,591    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%        6/07/23        BB–        4,284,485  
  352    

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        BB–        353,510  
  1,388    

Harland Clarke Holdings Corporation, Term Loan B4

    6.993%        8/04/19        BB–        1,390,969  
  4,815    

Hilton Hotels Corporation, Series B2, Term Loan

    3.271%        10/25/23        BBB–        4,871,142  
  354    

Hilton Hotels Corporation, Term Loan B1

    3.500%        10/26/20        BBB–        357,526  
  2,763    

Houghton Mifflin, Term Loan B, First Lien, (DD1)

    4.000%        5/28/21        B+        2,571,163  
  154    

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B–        155,433  
  14,417    

Total Diversified Consumer Services

                               13,984,228  
      Diversified Financial Services – 2.0% (1.3% of Total Investments)  
  1,489    

MGM Growth Properties, Term Loan B

    3.528%        4/25/23        BB+        1,500,846  
  1,477    

MJ Acquisition Corp., Term Loan, First Lien

    4.001%        6/01/22        B+        1,486,407  
  5,830    

WideOpenWest Finance LLC, New Term Loan B

    4.500%        8/18/23        B1        5,880,203  
  8,796    

Total Diversified Financial Services

                               8,867,456  
      Diversified Telecommunication Services – 7.0% (4.5% of Total Investments)  
  998    

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

    6.250%        10/02/23        B        992,097  
  2,844    

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

    3.280%        3/31/21        BB        2,769,642  
  3,000    

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

    5.000%        12/01/23        B2        3,038,124  
  8,004    

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

    3.750%        6/30/19        B1        7,892,330  
  761    

Level 3 Financing, Inc., Term Loan B2

    3.513%        5/31/22        BBB–        768,280  
  2,667    

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

    4.000%        8/01/19        BBB–        2,688,333  
  692    

Presidio, Inc., Term Loan, First Lien

    4.500%        2/02/22        B1        699,450  
  3,000    

Verizon Communications, Inc., Term Loan

    2.021%        7/31/19        BBB+        3,003,126  
  759    

Zayo Group LLC, Term Loan B2

    3.500%        1/12/24        N/R        767,443  
  9,000    

Ziggo B.V., Term Loan E

    0.000%        4/25/25        BB–        9,030,941  
  31,725    

Total Diversified Telecommunication Services

                               31,649,766  
      Electric Utilities – 1.8% (1.2% of Total Investments)  
  716    

EFS Cogen Holdings LLC, Term Loan B

    4.500%        6/28/23        BB        723,845  
  4,500    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.250%        6/30/17        BB        4,533,188  
  2,443    

Vistra Operations Co., Term Loan B

    3.500%        8/04/23        Ba2        2,455,071  
  557    

Vistra Operations Co., Term Loan C

    3.500%        8/04/23        Ba2        559,929  
  8,216    

Total Electric Utilities

                               8,272,033  

 

NUVEEN     47  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Electronic Equipment, Instruments & Components – 1.4% (0.9% of Total Investments)  
$ 2,242    

SMART Modular Technologies, Inc., Term Loan B

    9.250%        8/26/17        B      $ 1,894,891  
  1,884    

TTM Technologies, Inc., New Term Loan

    5.250%        5/31/21        BB–        1,903,756  
  2,496    

Zebra Technologies Corporation Refinancing Term Loan B, First Lien

    3.446%        10/27/21        BB+        2,520,618  
  6,622    

Total Electronic Equipment, Instruments & Components

                               6,319,265  
      Energy Equipment & Services – 1.0% (0.7% of Total Investments)  
  2,578    

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

    6.063%        3/31/21        Caa2        2,004,180  
  606    

Dynamic Energy Services International LLC, Term Loan

    11.000%        3/06/18        N/R        318,047  
  2,381    

Seventy Seven Operating LLC, Term Loan B

    3.778%        6/25/20        B        2,379,611  
  5,565    

Total Energy Equipment & Services

                               4,701,838  
      Equity Real Estate Investment Trusts – 3.0% (1.9% of Total Investments)  
  7,664    

Communications Sales & Leasing, Inc., Term Loan B

    4.500%        10/24/22        BB–        7,756,591  
  1,280    

Realogy Group LLC, Term Loan B

    3.026%        7/20/22        BB+        1,288,125  
  4,850    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)

    4.750%        12/18/20        B        4,675,639  
  13,794    

Total Equity Real Estate Investment Trusts

                               13,720,355  
      Food & Staples Retailing – 5.6% (3.6% of Total Investments)  
  16,076    

Albertson’s LLC, Term Loan B4

    3.778%        8/25/21        BB        16,180,678  
  2,923    

Albertson’s LLC, Term Loan B6

    4.061%        6/22/23        BB        2,944,861  
  1,397    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B–        1,402,098  
  2,875    

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

    4.875%        6/21/21        BB–        2,888,176  
  1,000    

Save-A-Lot, Term Loan B

    7.000%        12/02/23        B        996,875  
  945    

Supervalu, Inc., New Term Loan B

    5.500%        3/21/19        BB–        951,780  
  25,216    

Total Food & Staples Retailing

                               25,364,468  
      Food Products – 4.2% (2.7% of Total Investments)  
  1,463    

Hearthside Group Holdings LLC, Term Loan B

    4.022%        6/21/21        B1        1,477,125  
  3,123    

Jacobs Douwe Egberts, Term Loan B

    3.500%        7/04/22        BB        3,144,803  
  1,826    

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

    5.313%        3/03/23        BBB–        1,856,298  
  942    

Pinnacle Foods Finance LLC, Term Loan B, (WI/DD)

    TBD        TBD        BB+        945,242  
  8,634    

US Foods, Inc., Term Loan B

    3.778%        6/27/23        BB–        8,711,350  
  2,882    

Wilton Products, Inc., Tranche B, Term Loan

    8.500%        8/30/18        CCC+        2,828,876  
  18,870    

Total Food Products

                               18,963,694  
      Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)  
  837    

Acelity, Term Loan B, (WI/DD)

    TBD        TBD        B1        832,387  
  877    

ConvaTec, Inc., Term Loan B

    3.278%        10/25/23        BB        883,379  
  1,485    

Greatbatch, Inc., Term Loan B

    5.250%        10/27/22        B        1,495,581  
  3,887    

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        3,741,974  
  2,553    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        2,144,678  
  1,708    

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        1,717,597  
  11,347    

Total Health Care Equipment & Supplies

                               10,815,596  
      Health Care Providers & Services – 4.4% (2.8% of Total Investments)  
  1,328    

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB–        1,264,396  
  2,657    

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB–        2,518,939  
  1,500    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.000%        12/01/23        BB–        1,515,782  
  1,152    

Healogics, Inc., Term Loan, First Lien

    5.250%        7/01/21        B        1,056,170  
  2,176    

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

    5.500%        12/21/18        B1        2,181,623  
  1,500    

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

    9.750%        6/21/19        CCC        1,474,376  
  545    

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

    4.313%        4/09/21        BB–        546,919  
  2,739    

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

    7.500%        12/21/20        CCC+        1,382,963  
  1,392    

MultiPlan, Inc., Term Loan B

    5.000%        6/07/23        B+        1,413,136  
  1,760    

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        1,766,104  
  1,566    

Quorum Health Corp., Term Loan B

    6.750%        4/29/22        B1        1,552,939  
  1,233    

Select Medical Corporation, Term Loan E, Tranche B, First Lien

    6.025%        6/01/18        Ba2        1,243,138  
  1,199    

Select Medical Corporation, Term Loan F, First Lien

    6.011%        3/03/21        Ba2        1,211,663  
  660    

Vizient, Inc., Term Loan B

    5.000%        2/13/23        B+        669,238  
  21,407    

Total Health Care Providers & Services

                               19,797,386  

 

  48     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Technology – 0.6% (0.4% of Total Investments)  
$ 1,820    

Catalent Pharma Solutions, Inc., Term Loan B

    3.750%        5/20/21        BB      $ 1,839,652  
  1,000    

Press Ganey Holdings, Inc., Term Loan, Second Lien

    8.250%        10/21/24        CCC+        1,021,250  
  2,820    

Total Health Care Technology

                               2,860,902  
      Hotels, Restaurants & Leisure – 5.1% (3.3% of Total Investments)  
  5,626    

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        5,686,604  
  2,023    

CCM Merger, Inc., Term Loan B

    4.028%        8/09/21        BB–        2,037,886  
  2,557    

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB        2,587,097  
  2,079    

Intrawest Resorts Holdings, Inc., Term Loan B, Second Lien

    4.500%        12/09/20        B+        2,101,049  
  1,724    

Life Time Fitness, Inc., Term Loan B

    4.000%        6/10/22        B1        1,728,868  
  2,910    

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        Ba3        2,942,010  
  3,434    

Scientific Games Corporation, Term Loan B2

    6.022%        10/01/21        Ba3        3,472,008  
  2,609    

Station Casino LLC, Term Loan B

    3.270%        6/08/23        BB        2,597,271  
  22,962    

Total Hotels, Restaurants & Leisure

                               23,152,793  
      Household Products – 0.5% (0.3% of Total Investments)  
  637    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.500%        11/08/23        B1        637,677  
  1,496    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.313%        9/07/23        Ba3        1,511,298  
  2,133    

Total Household Products

                               2,148,975  
      Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)  
  3,500    

Dynegy, Inc., Term Loan B

    4.250%        6/27/23        BB        3,538,283  
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)  
  880    

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

    4.771%        11/26/20        B        879,135  
      Insurance – 2.0% (1.3% of Total Investments)  
  3,280    

Alliant Holdings I LLC, Term Loan B

    4.250%        8/14/22        B        3,304,851  
  1,485    

AssuredPartners, Inc., Refinancing Term Loan, First Lien

    5.250%        10/21/22        B+        1,507,323  
  4,358    

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        Ba3        4,375,713  
  9,123    

Total Insurance

                               9,187,887  
      Internet and Direct Marketing Retail – 1.1% (0.7% of Total Investments)  
  4,795    

Travelport LLC, Term C Loan

    4.250%        9/02/21        B+        4,846,232  
      Internet Software & Services – 2.0% (1.3% of Total Investments)  
  1,500    

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

    5.250%        10/19/23        B1        1,517,579  
  750    

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

    9.250%        10/19/24        CCC+        772,187  
  1,500    

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

    4.500%        11/03/23        BB+        1,517,930  
  605    

Sabre Inc., Term Loan B2

    4.500%        2/19/19        Ba2        609,079  
  290    

Sabre Inc., Term Loan C

    4.000%        2/19/18        Ba2        290,617  
  2,801    

Sabre, Inc., Term Loan B

    4.000%        2/19/19        Ba2        2,822,196  
  1,741    

SkillSoft Corporation, Term Loan, Second Lien

    9.250%        4/28/22        CCC        1,278,289  
  9,187    

Total Internet Software & Services

                               8,807,877  
      IT Services – 1.9% (1.2% of Total Investments)  
  983    

Conduent, Inc., Term Loan B

    6.250%        12/07/23        BB+        1,001,324  
  2,044    

EIG Investors Corp., Term Loan, First Lien

    6.480%        11/09/19        B+        2,048,800  
  1,118    

Engility Corporation, Term Loan B2

    5.750%        8/14/23        BB–        1,128,357  
  346    

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

    4.500%        10/13/20        B1        347,165  
  2,500    

Optiv Security, Inc., Term Loan, Second Lien, (WI/DD)

    TBD        TBD        CCC+        2,533,333  
  995    

WEX, Inc., Term Loan B

    4.278%        6/30/23        BB–        1,009,381  
  366    

Zayo Group LLC, Term Loan B3, (WI/DD)

    TBD        TBD        BB        369,510  
  8,352    

Total IT Services

                               8,437,870  
      Leisure Products – 1.9% (1.2% of Total Investments)  
  2,034    

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        2,003,423  
  2,715    

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

    5.019%        7/01/22        B2        2,408,270  
  2,118    

Equinox Holdings, Inc., New Initial Term Loan B

    5.000%        1/31/20        B+        2,136,214  
  1,000    

Four Seasons Holdings, Inc., Term Loan B

    3.750%        11/30/23        BB        1,013,125  

 

NUVEEN     49  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

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

Zodiac Pool Solutions LLC, Term Loan, Second Lien

    10.000%        12/20/24        CCC+      $ 993,750  
  8,867    

Total Leisure Products

                               8,554,782  
      Life Sciences Tools & Services – 0.2% (0.1% of Total Investments)  
  750    

Inventiv Health, Inc., Term Loan B

    4.750%        11/09/23        B        756,496  
      Machinery – 0.6% (0.4% of Total Investments)  
  832    

Rexnord LLC. Term Loan B, First Lien

    3.770%        8/21/23        BB–        838,423  
  1,796    

Safway Group Holdings LLC, Initial Term Loan, First Lien

    5.750%        8/21/23        B+        1,821,684  
  2,628    

Total Machinery

                               2,660,107  
      Marine – 0.2% (0.1% of Total Investments)  
  963    

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%        11/12/20        B        921,594  
      Media – 12.9% (8.3% of Total Investments)  
  1,166    

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

    4.248%        7/23/21        B1        1,166,463  
  1,180    

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

    7.500%        7/25/22        CCC+        1,158,841  
  1,743    

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

    8.500%        10/31/18        Caa1        1,704,571  
  987    

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

    6.750%        4/30/18        B1        985,943  
  3,413    

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B1        2,998,734  
  1,500    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        Caa1        1,035,000  
  5,444    

Cequel Communications LLC, Term Loan B

    3.778%        1/15/25        BB–        5,515,757  
  3,970    

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

    3.026%        1/15/24        BBB–        3,989,139  
  2,860    

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

    7.528%        1/30/19        Caa1        2,404,244  
  1,646    

Clear Channel Communications, Inc., Term Loan E

    8.278%        7/30/19        Caa1        1,383,641  
  9,266    

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B3        6,129,435  
  2,336    

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

    4.750%        6/17/20        BB–        2,353,052  
  1,343    

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

    4.750%        10/18/19        B3        1,162,539  
  594    

Gray Television, Inc., Initial Term Loan

    3.959%        6/13/21        BB        597,429  
  1,950    

IMG Worldwide, Inc., First Lien

    5.290%        5/06/21        B+        1,963,025  
  1,500    

Lions Gate Entertainment Corporation, Term Loan B

    3.766%        12/08/23        Ba2        1,513,125  
  1,208    

LSC Communications, Term Loan

    7.000%        9/30/22        Ba3        1,220,417  
  4,478    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%        5/02/22        Ba3        4,307,597  
  253    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        1/17/24        Ba3        255,938  
  2,747    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        9/26/23        BB+        2,777,812  
  2,172    

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

    4.500%        8/14/20        B        2,177,521  
  8,272    

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

    4.000%        3/01/20        B+        8,300,732  
  1,250    

Virgin Media Investment Holdings, Limited Term Loan I

    3.517%        1/31/25        BB–        1,259,375  
  1,120    

WMG Acquisition Corporation, Term Loan B, First Lien

    3.750%        11/01/23        Ba3        1,127,627  
  299    

Yell Group PLC, PIK Term Loan B2, First Lien

    0.000%        9/07/65        N/R        597,906  
  326    

Yell Group PLC, Term Loan A2, First Lien

    8.000%        9/07/21        N/R        332,953  
  63,023    

Total Media

                               58,418,816  
      Metals & Mining – 1.1% (0.7% of Total Investments)  
  1,354    

Fairmount Minerals, Ltd. Term Loan B2, First Lien

    4.500%        9/05/19        B–        1,326,627  
  1,277    

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

    4.500%        9/05/19        B–        1,245,238  
  905    

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

    3.750%        6/30/19        BBB–        911,359  
  1,395    

Zekelman Industries, Term Loan B, (DD1)

    6.000%        6/14/21        BB–        1,395,265  
  4,931    

Total Metals & Mining

                               4,878,489  
      Multiline Retail – 2.2% (1.4% of Total Investments)  
  2,293    

99 Cents Only Stores Tranche B2, Term Loan

    4.500%        1/11/19        CCC+        1,983,038  
  1,206    

Bass Pro Group LLC, Term Loan B

    5.970%        12/15/23        B+        1,174,965  
  1,511    

Bass Pro Group LLC, Term Loan B, First Lien

    4.016%        6/05/20        B+        1,493,634  
  1,985    

Belk, Inc., Term Loan B, First Lien

    5.760%        12/12/22        B        1,703,688  
  1,650    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        1,675,740  
  922    

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

    4.250%        9/30/22        BB        909,562  
  1,000    

Zodiac Pool Solutions LLC, Term Loan, Second Lien

    5.720%        5/15/18        B+        993,750  
  10,567    

Total Multiline Retail

                               9,934,377  

 

  50     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Oil, Gas & Consumable Fuels – 4.9% (3.1% of Total Investments)  
$ 667    

California Resources Corporation, Term Loan A, First Lien

    3.439%        9/24/19        B1      $ 653,333  
  670    

Crestwood Holdings LLC, Term Loan B

    9.000%        6/19/19        B3        669,213  
  229    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        126,015  
  1,898    

EP Energy LLC, Term Loan B

    9.750%        6/30/21        B–        1,971,560  
  2,495    

Fieldwood Energy LLC, Term Loan, First Lien

    3.875%        10/01/18        B2        2,412,656  
  1,648    

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%        8/31/20        B2        1,600,213  
  941    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        CCC–        745,673  
  2,109    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B–        1,908,844  
  3,408    

Harvey Gulf International Marine, Inc., Term Loan B

    5.470%        6/18/20        CCC+        2,812,011  
  6,864    

Peabody Energy Corporation, Term Loan B, (WI/DD)

    TBD        TBD        N/R        6,930,131  
  2,882    

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        CCC+        2,127,024  
  42    

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

    3.500%        4/13/23        CCC+        34,675  
  23,853    

Total Oil, Gas & Consumable Fuels

                               21,991,348  
      Pharmaceuticals – 2.6% (1.7% of Total Investments)  
  1,336    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%        10/21/21        B2        1,053,014  
  4,000    

Grifols, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        4,028,332  
  2,925    

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B        2,947,853  
  3,438    

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

    4.250%        8/18/22        B1        3,467,245  
  126    

Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan

    5.270%        8/05/20        BB–        126,537  
  11,825    

Total Pharmaceuticals

                               11,622,981  
      Professional Services – 0.1% (0.1% of Total Investments)  
  643    

Ceridian Corporation, Term Loan B2

    4.539%        9/15/20        Ba3        642,027  
      Real Estate Management & Development – 0.9% (0.5% of Total Investments)  
  2,482    

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        2,519,157  
  1,350    

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        BB        1,360,280  
  3,832    

Total Real Estate Management & Development

                               3,879,437  
      Road & Rail – 0.3% (0.2% of Total Investments)  
  1,485    

Quality Distribution, Term Loan, First Lien

    5.750%        8/18/22        B2        1,466,438  
      Semiconductors & Semiconductor Equipment – 2.3% (1.4% of Total Investments)  
  956    

Cypress Semiconductor Corp, Term Loan B

    6.500%        7/05/21        BB        977,766  
  1,244    

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

    4.530%        4/26/22        Baa2        1,263,442  
  1,588    

Microsemi Corporation, New Term Loan

    3.019%        1/31/23        BB        1,545,735  
  1,908    

NXP Semiconductor LLC, Term Loan D

    3.278%        1/11/20        Baa2        1,919,273  
  1,463    

NXP Semiconductor LLC, Term Loan F

    3.240%        12/07/20        Baa2        1,471,473  
  2,993    

On Semiconductor Corp., Term Loan B, First Lien

    4.028%        3/31/23        Ba1        3,027,204  
  10,152    

Total Semiconductors & Semiconductor Equipment

                               10,204,893  
      Software – 12.3% (7.9% of Total Investments)  
  2,000    

Ascend Learning LLC, Term Loan, Second Lien

    9.500%        11/30/20        CCC+        2,010,000  
  3,429    

Blackboard, Inc., Term Loan B4

    6.023%        6/30/21        B+        3,446,462  
  4,161    

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B+        4,157,517  
  933    

Computer Sciences Government Services, Term Loan B, First Lien

    3.435%        11/30/23        BB+        937,943  
  4,026    

Compuware Corporation, Term Loan B2, First Lien

    5.250%        12/15/21        B        4,038,711  
  976    

Compuware Corporation, Term Loan, Second Lien

    9.250%        12/15/22        CCC+        983,944  
  2,327    

Ellucian, Term Loan B, First Lien

    4.250%        9/30/22        B        2,332,751  
  2,862    

Emdeon, Inc., Term Loan B2

    3.750%        11/02/18        BB–        2,867,284  
  8,805    

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

    3.750%        6/03/20        B1        8,799,388  
  1,234    

Informatica Corp., Term Loan B

    4.500%        8/05/22        B+        1,232,061  
  1,250    

Kronos Incorporated, Term Loan B, First Lien

    5.000%        11/01/23        B        1,264,418  
  1,211    

Micro Focus International PLC, Term Loan B

    4.789%        11/19/21        BB–        1,224,848  
  1,733    

Micro Focus International PLC, Term Loan C

    4.789%        11/20/19        BB–        1,751,062  
  4,548    

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        4,573,489  
  1,535    

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%        5/29/20        B1        1,538,596  
  750    

MSC Software Corporation, Initial Term Loan, Second Lien

    8.500%        5/31/21        CCC        750,938  
  1,500    

RP Crown Parent LLC, Term Loan B, First Lien

    4.500%        10/12/23        B1        1,509,242  

 

NUVEEN     51  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)  
$ 1,712    

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

    4.028%        7/08/22        BB+      $ 1,732,465  
  164    

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

    4.028%        7/08/22        BB+        166,259  
  5,731    

Tibco Software, Inc., Term Loan B

    5.500%        12/04/20        B1        5,790,356  
  1,995    

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

    5.000%        7/13/23        N/R        2,010,212  
  1,122    

Vertafore, Inc., Term Loan, First Lien

    4.250%        6/30/23        B        1,132,107  
  1,250    

Vertiv Co., Term Loan B

    6.029%        11/30/23        Ba3        1,267,375  
  55,254    

Total Software

                               55,517,428  
      Specialty Retail – 1.3% (0.8% of Total Investments)  
  1,742    

Gardner Denver, Inc., Term Loan

    4.558%        7/30/20        B        1,725,111  
  691    

Jo-Ann Stores, Inc., Term Loan B

    6.256%        10/20/23        B+        683,308  
  2,288    

Petco Animal Supplies, Inc., Term Loan B1

    4.250%        1/26/23        B1        2,260,812  
  1,064    

Petsmart Inc., Term Loan B, First Lien

    4.000%        3/11/22        BB–        1,056,391  
  5,785    

Total Specialty Retail

                               5,725,622  
      Technology Hardware, Storage & Peripherals – 6.2% (3.9% of Total Investments)  
  1,000    

Coinstar, Inc., Term Loan, Second Lien

    9.750%        9/27/24        CCC+        1,012,500  
  5,678    

Dell International LLC, Term Loan A2, First Lien

    3.030%        9/07/21        BBB–        5,684,206  
  3,500    

Dell International LLC, Term Loan A3, First Lien

    2.780%        12/31/18        BBB–        3,507,000  
  10,608    

Dell International LLC, Term Loan B

    4.030%        9/07/23        BBB–        10,711,635  
  1,250    

Dell Software Group, Term Loan B

    7.000%        10/31/22        B1        1,269,219  
  5,572    

Western Digital, Inc., Term Loan B1

    4.526%        4/29/23        BBB–        5,645,133  
  27,608    

Total Technology Hardware, Storage & Peripherals

                               27,829,693  
      Textiles, Apparel & Luxury Goods – 0.6% (0.4% of Total Investments)  
  857    

G-III Apparel Group, Term Loan B

    6.250%        12/01/22        BB        840,000  
  1,757    

Gymboree Corporation, Term Loan

    5.000%        2/23/18        Caa3        879,555  
  1,542    

J Crew Group, Term Loan B, First Lien

    4.000%        3/05/21        Caa1        865,577  
  4,156    

Total Textiles, Apparel & Luxury Goods

                               2,585,132  
      Trading Companies & Distributors – 2.1% (1.3% of Total Investments)  
  5,909    

Avolon, Term Loan B2, (WI/DD)

    TBD        TBD        BBB–        5,991,478  
  2,104    

HD Supply, Inc., Term Loan B

    3.748%        8/13/21        BB–        2,120,026  
  1,241    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.543%        6/09/21        B–        1,241,218  
  9,254    

Total Trading Companies & Distributors

                               9,352,722  
      Transportation Infrastructure – 0.3% (0.2% of Total Investments)  
  84    

Ceva Group PLC, Canadian Term Loan

    6.539%        3/19/21        B2        74,237  
  487    

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

    6.539%        3/19/21        B2        430,576  
  475    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        419,840  
  672    

Ceva Group PLC, US Term Loan

    6.539%        3/19/21        B2        593,898  
  1,718    

Total Transportation Infrastructure

                               1,518,551  
      Wireless Telecommunication Services – 3.4% (2.2% of Total Investments)  
  429    

Asurion LLC, Term Loan B2

    4.028%        7/08/20        B1        432,413  
  2,116    

Asurion LLC, Term Loan B4

    4.250%        8/04/22        B+        2,140,278  
  1,510    

Asurion, LLC, Term Loan B5, First Lien

    4.750%        11/03/23        B+        1,527,626  
  118    

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        119,611  
  7,000    

Sprint Corporation, Term Loan, First Lien, (WI/DD)

    TBD        TBD        Ba2        7,000,000  
  1,544    

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

    4.039%        4/23/19        B        1,395,525  
  858    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.000%        4/23/19        B        775,255  
  2,000    

UPC Financing Partnership, Term Loan, First Lien

    3.767%        8/31/24        BB        2,009,642  
  15,575    

Total Wireless Telecommunication Services

                               15,400,350  
  584,761    

Total Variable Rate Senior Loan Interests (cost $575,333,106)

 

                       570,589,162  

 

  52     NUVEEN


Shares     Description (1)                           Value  
 

COMMON STOCKS – 2.2% (1.4% of Total Investments)

 

      Banks – 0.5% (0.4% of Total Investments)  
  30,811    

BLB Worldwide Holdings Inc., (5)

                             $ 2,418,664  
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)  
  71,949    

Cengage Learning Holdings II LP, (5)

             827,414  
  3,124,035    

Education Management Corporation, (5), (6)

                               312  
 

Total Diversified Consumer Services

                               827,726  
      Energy Equipment & Services – 0.7% (0.4% of Total Investments)  
  60,418    

C&J Energy Services Inc., (5), (6)

             2,597,974  
  2,534    

Vantage Drill International, (5), (6)

                               321,818  
 

Total Energy Equipment & Services

                               2,919,792  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  83,191    

Millennium Health LLC, (5)

                               83,191  
      Media – 0.8% (0.5% of Total Investments)  
  719    

Cumulus Media, Inc., (5)

             718  
  466,768    

Hibu PLC, (5), (7)

              
  23,363    

Metro–Goldwyn-Mayer, (5), (6)

             2,228,245  
  44,843    

Tribune Media Company

             1,293,272  
  36,087    

Tribune Media Company, (7)

              
  11,210    

tronc, Inc., (5)

                               148,645  
 

Total Media

                               3,670,880  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  109    

Energy and Exploration Partners, Inc., (5), (6)

             38,150  
  46    

Southcross Holdings Borrower LP, (5)

                               14,375  
 

Total Oil, Gas & Consumable Fuels

                               52,525  
      Software – 0.0% (0.0% of Total Investments)  
  496,552    

Eagle Topco LP, (5), (7)

                               1  
 

Total Common Stocks (cost $14,868,295)

                               9,972,779  
Shares     Description (1)   Coupon              Ratings (3)      Value  
 

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

 

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                
  3,476    

Education Management Corporation, (6)

    7.500%                 N/R      $ 34  
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

                               34  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CONVERTIBLE BONDS – 0.1% (0.1% of Total Investments)

 

      Communications Equipment – 0.1% (0.1% of Total Investments)  
$ 550    

Nortel Networks Corp., (8)

    1.750%        4/15/12        N/R      $ 534,187  
$ 550    

Total Convertible Bonds (cost $440,000)

                               534,187  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 12.7% (8.1% of Total Investments)

 

      Commercial Services & Supplies – 0.3% (0.2% of Total Investments)  
$ 1,233    

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 1,242,248  

 

NUVEEN     53  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Communications Equipment – 0.3% (0.2% of Total Investments)  
$ 155    

Avaya Inc., 144A

    7.000%        4/01/19        D      $ 128,263  
  3,830    

Avaya Inc., 144A

    10.500%        3/01/21        D        1,043,674  
  3,985    

Total Communications Equipment

                               1,171,937  
      Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)  
  2,462    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CC        1,557,215  
  1,005    

IntelSat Limited

    6.750%        6/01/18        Ca        859,275  
  4,622    

IntelSat Limited

    7.750%        6/01/21        Ca        1,606,144  
  4,100    

IntelSat Limited

    8.125%        6/01/23        Ca        1,363,250  
  12,189    

Total Diversified Telecommunication Services

                               5,385,884  
      Equity Real Estate Investment Trusts – 0.3% (0.2% of Total Investments)  
  1,250    

iStar Inc.

    4.000%        11/01/17        B+        1,256,250  
      Health Care Equipment & Supplies – 0.7% (0.4% of Total Investments)  
  3,000    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,165,000  
      Health Care Providers & Services – 0.2% (0.1% of Total Investments)  
  900    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        861,750  
      Hotels, Restaurants & Leisure – 0.9% (0.6% of Total Investments)  
  4,200    

Scientific Games International Inc.

    10.000%        12/01/22        B–        4,303,404  
      Media – 4.0% (2.5% of Total Investments)  
  150    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        153,649  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,011,250  
  1,714    

iHeartCommunications, Inc.

    10.000%        1/15/18        CC        1,341,205  
  6,412    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        5,366,042  
  11,043    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        CC        4,141,080  
  7,850    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        5,867,875  
  28,169    

Total Media

                               17,881,101  
      Oil, Gas & Consumable Fuels – 1.3% (0.8% of Total Investments)  
  2,000    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        1,780,000  
  500    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        457,500  
  125    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        107,188  
  600    

Everest Acquisition LLC Finance

    9.375%        5/01/20        CCC+        610,500  
  2,400    

FTS International Inc., 144A

    8.350%        6/15/20        B        2,457,000  
  450    

Gastar Exploration Inc.

    8.625%        5/15/18        Caa3        443,250  
  6,075    

Total Oil, Gas & Consumable Fuels

                               5,855,438  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
  1,394    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        CCC+        1,531,658  
      Software – 0.8% (0.5% of Total Investments)  
  2,620    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        2,528,300  
  1,100    

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

    9.000%        10/15/19        CCC+        1,067,000  
  3,720    

Total Software

                               3,595,300  
      Wireless Telecommunication Services – 2.4% (1.6% of Total Investments)  
  700    

Sprint Communications Inc.

    7.000%        8/15/20        B+        749,000  
  6,000    

Sprint Corporation

    7.875%        9/15/23        B+        6,558,600  
  500    

Sprint Corporation

    7.125%        6/15/24        B+        527,500  
  2,750    

T-Mobile USA Inc.

    6.250%        4/01/21        BB        2,849,550  
  175    

T-Mobile USA Inc.

    6.731%        4/28/22        BB        182,000  
  175    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        186,813  
  10,300    

Total Wireless Telecommunication Services

                               11,053,463  
  76,415    

Total Corporate Bonds (cost $68,229,356)

                               57,303,433  

 

  54     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      ASSET-BACKED SECURITIES- 4.4% (2.8% of Total Investments)  
$ 2,500    

BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A

    6.530%        7/20/23        BB      $ 2,499,913  
  675    

Bristol Park CLO Limited, Series 2016-1A, 144A

    8.134%        4/15/29        Ba3        686,167  
  1,250    

Carlyle Global Market Strategies, Collateralized Loan Obligations, Series 2013-3A, 144A

    5.623%        7/15/25        BB        1,183,159  
  250    

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

    6.023%        4/15/24        BB        239,682  
  1,800    

LCM Limited Partnership, Collateralized Loan Obligation 2012A, 144A

    6.775%        10/19/22        BB        1,809,083  
  4,000    

LCM Limited Partnership, Collateralized Loan Obligation, 2015A, 144A

    6.052%        2/25/17        BB–        3,947,192  
  1,250    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A

    6.530%        4/20/26        Ba3        1,225,650  
  500    

North End CLO Limited, Loan Pool, 144A

    5.623%        7/17/25        BB        452,484  
  2,000    

Octagon Investment Partners, Series 2015-1A, 144A

    6.880%        10/20/26        Ba3        1,981,360  
  750    

OZLM Funding Limited, Series 2012-2A, 144A

    8.187%        10/30/27        BB        750,428  
  2,000    

Race Point Collateralized Loan Obligation Series 2012-7A, 144A

    6.038%        11/08/24        BB–        1,940,252  
  1,000    

Race Point Collateralized Loan Obligation Limited 2011-5AR, 144A

    6.963%        12/15/22        BBB+        999,925  
  2,000    

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

    6.804%        5/24/23        BB        2,000,016  
$ 19,975    

Total Asset-Backed Securities (cost $18,973,509)

                               19,715,311  
 

Total Long-Term Investments (cost $677,852,703)

                               658,114,906  
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 10.6% (6.8% of Total Investments)

 

      REPURCHASE AGREEMENTS – 10.6% (6.8% of Total Investments)  
$ 47,667    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $47,667,147,
collateralized by $47,870,000 U.S. Treasury Notes,
2.250%, due 7/31/21, value $48,621,703

    0.030%        2/01/17               $ 47,667,107  
 

Total Short-Term Investments (cost $47,667,107)

                               47,667,107  
 

Total Investments (cost $725,519,810) – 156.3%

                               705,782,013  
 

Borrowings – (39.6)% (9), (10)

                               (178,800,000
 

Term Preferred Shares, at Liquidation Preference – (13.9)% (11)

                               (63,000,000
 

Other Assets Less Liabilities – (2.8)% (12)

                               (12,320,750
 

Net Assets Applicable to Common Shares – 100%

                             $ 451,661,263  

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

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

Morgan Stanley Capital Services, LLC

  $ 8,000,000       Pay       1-Month USD-LIBOR-ICE       2.250 % (13)      Monthly       12/01/23  (14)    $ (52,106

Morgan Stanley Capital Services, LLC

    10,000,000       Pay       1-Month USD-LIBOR-ICE       2.500  (15)      Monthly       1/01/22  (16)      27,861  

Morgan Stanley Capital Services, LLC

    45,000,000       Pay       1-Month USD-LIBOR-ICE       4.000       Monthly       1/01/27  (17)      246,151  
    $ 63,000,000                                             $ 221,906  

 

NUVEEN     55  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2017 (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) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

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

 

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

 

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

 

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

 

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

 

(9) Borrowings as a percentage of Total Investments is 25.3%.

 

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

 

(11) Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 8.9%.

 

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

 

(13) Effective December 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined scheduled as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every two years on specific dates through the swap contract’s termination date.

 

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

 

(15) Effective January 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined scheduled as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(16) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

 

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

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

  56     NUVEEN


JSD

 

Nuveen Short Duration Credit Opportunities Fund

  

Portfolio of Investments

   January 31, 2017 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 147.4% (94.1% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 132.3% (84.5% of Total Investments) (4)

 

      Aerospace & Defense – 3.1% (2.0% of Total Investments)                       
$ 1,829    

B/E Aerospace, Inc., Term Loan B

    3.943%        12/16/21        BB+      $ 1,840,603  
  2,355    

Sequa Corporation, Term Loan B

    5.250%        6/19/17        CCC–        2,257,931  
  1,684    

Transdigm, Inc., Extend Term Loan F

    3.778%        6/07/23        Ba2        1,682,222  
  5,868    

Total Aerospace & Defense

                               5,780,756  
      Air Freight & Logistics – 1.2% (0.8% of Total Investments)                
  775    

Americold Realty Operating Partnership, Term Loan B

    4.750%        12/01/22        BB        788,224  
  750    

PAE Holding Corporation, Term Loan B

    6.500%        10/20/22        B+        757,969  
  722    

XPO Logistics, Inc., Refinanced Term Loan B2, First Lien

    4.250%        11/01/21        Ba1        728,849  
  2,247    

Total Air Freight & Logistics

                               2,275,042  
      Airlines – 2.3% (1.5% of Total Investments)                           
  1,467    

American Airlines, Inc., Term Loan B

    3.267%        12/14/23        BB+        1,476,463  
  970    

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

    3.276%        6/29/20        BB+        976,484  
  1,715    

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

    3.263%        10/08/21        BB+        1,726,791  
  4,152    

Total Airlines

                               4,179,738  
      Automobiles – 1.9% (1.2% of Total Investments)                           
  2,784    

Formula One Group, Term Loan, First Lien

    5.068%        7/30/21        B        2,804,972  
  750    

Formula One Group, Term Loan, Second Lien

    8.068%        7/29/22        CCC+        756,188  
  3,534    

Total Automobiles

                               3,561,160  
      Building Products – 1.0% (0.7% of Total Investments)                           
  876    

Gates Global LLC, Term Loan

    4.250%        7/06/21        B+        875,122  
  1,000    

Quikrete Holdings, Inc., Initial Term Loan, First Lien

    4.017%        11/15/23        BB-        1,013,571  
  1,876    

Total Building Products

                               1,888,693  
      Chemicals – 2.0% (1.3% of Total Investments)                           
  397    

Avantor Performance Materials, Incremental Term Loan B

    6.000%        6/21/22        B1        403,911  
  950    

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        952,908  
  206    

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        208,101  
  399    

Mineral Technologies, Inc., Term Loan B2

    4.750%        5/07/21        BB+        402,221  
  743    

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

    7.000%        10/28/21        Ba3        743,428  
  988    

Univar, Inc., Term Loan B

    3.519%        7/01/22        BB–        987,088  
  3,683    

Total Chemicals

                               3,697,657  
      Commercial Services & Supplies – 4.3% (2.8% of Total Investments)  
  343    

Acosta, Inc., Term Loan B

    4.289%        9/26/21        B1        332,172  
  500    

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

    5.000%        10/19/23        B2        504,375  
  1,809    

iQor US, Inc., Term Loan, First Lien

    6.000%        4/01/21        B        1,737,687  
  167    

iQor US, Inc., Term Loan, Second Lien

    9.750%        4/01/22        CCC+        145,556  
  993    

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

    4.500%        3/09/23        BB–        1,006,141  
  1,496    

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

    6.500%        9/30/22        B2        1,519,162  
  1,197    

Protection One, Inc., Term Loan, First Lien

    4.250%        5/02/22        Ba2        1,212,243  
  554    

Skillsoft Corporation, Initial Term Loan, First Lien

    5.750%        4/28/21        B–        505,371  
  990    

Universal Services of America, Term Loan, First Lien

    4.763%        7/28/22        B+        996,188  
  8,049    

Total Commercial Services & Supplies

                               7,958,895  
      Communications Equipment – 3.0% (1.9% of Total Investments)         
  721    

Avaya, Inc., DIP Term Loan, (WI/DD)

    TBD        TBD        Baa3        743,725  
  2,025    

Avaya, Inc., Term Loan B3

    5.537%        10/26/17        D        1,694,222  
  326    

Avaya, Inc., Term Loan B6

    6.532%        3/31/18        D        273,424  

 

NUVEEN     57  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Communications Equipment (continued)                           
$ 946    

Avaya, Inc., Term Loan B7, (DD1)

    6.282%        5/29/20        D      $ 794,755  
  1,070    

CommScope, Inc., Tranche 5, Term Loan B, First Lien

    3.278%        12/29/22        BB+        1,082,273  
  975    

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

    4.250%        4/24/22        B+        984,974  
  6,063    

Total Communications Equipment

                               5,573,373  
      Consumer Finance – 2.9% (1.9% of Total Investments)  
  5,363    

First Data Corporation, Term Loan, First Lien

    3.775%        3/24/21        BB        5,398,655  
      Containers & Packaging – 1.0% (0.6% of Total Investments)                           
  857    

Berry Plastics Holding Corporation, Term Loan I

    3.287%        10/01/22        BB        864,453  
  913    

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

    4.000%        2/05/23        B+        917,181  
  1,770    

Total Containers & Packaging

                               1,781,634  
      Diversified Consumer Services – 1.2% (0.8% of Total Investments)  
  1,688    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%        6/07/23        BB–        1,575,621  
  376    

Harland Clarke Holdings Corporation, Term Loan B3

    7.000%        5/22/18        BB–        377,735  
  250    

Houghton Mifflin, Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B+        232,656  
  93    

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B–        93,149  
  2,407    

Total Diversified Consumer Services

                               2,279,161  
      Diversified Financial Services – 1.2% (0.8% of Total Investments)  
  2,264    

WideOpenWest Finance LLC, New Term Loan B

    4.500%        8/18/23        B1        2,283,534  
      Diversified Telecommunication Services – 5.2% (3.3% of Total Investments)  
  499    

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

    6.250%        10/02/23        B        496,048  
  1,832    

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

    3.280%        3/31/21        BB        1,783,832  
  2,000    

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

    5.000%        12/01/23        B2        2,025,416  
  3,294    

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

    3.750%        6/30/19        B1        3,248,007  
  2,000    

Ziggo B.V., Term Loan E

    0.000%        4/25/25        BB–        2,006,876  
  9,625    

Total Diversified Telecommunication Services

                               9,560,179  
      Electric Utilities – 3.8% (2.4% of Total Investments)  
  477    

EFS Cogen Holdings LLC, Term Loan B

    4.500%        6/28/23        BB        482,564  
  4,500    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.250%        6/30/17        BB        4,533,188  
  1,629    

Vistra Operations Co., Term Loan B

    3.500%        8/04/23        Ba2        1,636,714  
  371    

Vistra Operations Co., Term Loan C

    3.500%        8/04/23        Ba2        373,286  
  6,977    

Total Electric Utilities

                               7,025,752  
      Electronic Equipment, Instruments & Components – 1.1% (0.7% of Total Investments)  
  1,024    

SMART Modular Technologies, Inc., Term Loan B

    9.250%        8/26/17        B        865,200  
  1,130    

TTM Technologies, Inc., New Term Loan

    5.250%        5/31/21        BB–        1,142,253  
  2,154    

Total Electronic Equipment, Instruments & Components

                               2,007,453  
      Energy Equipment & Services – 1.3% (0.8% of Total Investments)  
  1,160    

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

    6.063%        3/31/21        Caa2        901,658  
  1,399    

Seventy Seven Operating LLC, Term Loan B

    3.778%        6/25/20        B        1,398,248  
  2,559    

Total Energy Equipment & Services

                               2,299,906  
      Equity Real Estate Investment Trusts – 3.7% (2.4% of Total Investments)  
  4,122    

Communications Sales & Leasing, Inc., Term Loan B

    4.500%        10/24/22        BB–        4,170,936  
  2,776    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)

    4.750%        12/18/20        B        2,675,944  
  6,898    

Total Equity Real Estate Investment Trusts

                               6,846,880  
      Food & Staples Retailing – 7.2% (4.6% of Total Investments)                           
  7,821    

Albertson’s LLC, Term Loan B4

    3.778%        8/25/21        BB        7,871,682  
  2,087    

Albertson’s LLC, Term Loan B6

    4.061%        6/22/23        BB        2,103,170  
  209    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B–        210,113  

 

  58     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Food & Staples Retailing (continued)                           
$ 970    

Del Monte Foods Company, Term Loan, First Lien

    4.250%        2/18/21        B–      $ 878,658  
  1,125    

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

    4.875%        6/21/21        BB–        1,130,156  
  750    

Save-A-Lot, Term Loan B

    7.000%        12/02/23        B        747,656  
  349    

Supervalu, Inc., New Term Loan B

    5.500%        3/21/19        BB–        351,995  
  13,311    

Total Food & Staples Retailing

                               13,293,430  
      Food Products – 3.0% (1.9% of Total Investments)  
  1,562    

Jacobs Douwe Egberts, Term Loan B

    3.500%        7/04/22        BB        1,572,401  
  913    

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

    5.313%        3/03/23        BBB–        928,149  
  2,066    

US Foods, Inc., Term Loan B

    3.778%        6/27/23        BB–        2,084,481  
  865    

Wilton Products, Inc., Tranche B, Term Loan

    8.500%        8/30/18        CCC+        848,663  
  5,406    

Total Food Products

                               5,433,694  
      Health Care Equipment & Supplies – 3.9% (2.5% of Total Investments)  
  708    

Acelity, Term Loan B, (WI/DD)

    TBD        TBD        B1        704,126  
  389    

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

    6.500%        8/04/21        B1        390,417  
  785    

ConvaTec, Inc., Term Loan B

    3.278%        10/25/23        BB        790,708  
  990    

Greatbatch, Inc., Term Loan B

    5.250%        10/27/22        B        997,054  
  2,722    

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        2,619,382  
  973    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        817,020  
  854    

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        858,799  
  7,421    

Total Health Care Equipment & Supplies

                               7,177,506  
      Health Care Providers & Services – 6.3% (4.0% of Total Investments)  
  42    

Community Health Systems, Inc., Term Loan F

    4.180%        12/31/18        BB–        41,815  
  542    

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB–        516,549  
  1,085    

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB–        1,029,073  
  1,500    

Envision Healthcare Corportation, Term Loan B, First Lien

    4.000%        12/01/23        BB–        1,515,782  
  1,695    

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

    5.500%        12/21/18        B1        1,700,089  
  500    

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

    9.750%        6/21/19        CCC        491,459  
  1,095    

IASIS Healthcare LLC, Term Loan B2, First Lien

    4.500%        5/03/18        Ba3        1,092,189  
  436    

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

    4.313%        4/09/21        BB–        437,535  
  665    

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

    7.500%        12/21/20        CCC+        336,060  
  696    

MultiPlan, Inc., Term Loan B

    5.000%        6/07/23        B+        706,568  
  587    

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        588,701  
  906    

Quorum Health Corp., Term Loan B

    6.750%        4/29/22        B1        898,722  
  740    

Select Medical Corporation, Term Loan E, Tranche B, First Lien

    6.025%        6/01/18        Ba2        745,883  
  959    

Select Medical Corporation, Term Loan F, First Lien

    6.011%        3/03/21        Ba2        969,330  
  440    

Vizient, Inc., Term Loan B

    5.000%        2/13/23        B+        446,159  
  11,888    

Total Health Care Providers & Services

                               11,515,914  
      Health Care Technology – 0.4% (0.2% of Total Investments)  
  680    

Catalent Pharma Solutions, Inc., Term Loan B

    3.750%        5/20/21        BB        686,936  
      Hotels, Restaurants & Leisure – 5.3% (3.4% of Total Investments)  
  829    

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        837,620  
  1,804    

CCM Merger, Inc., Term Loan B

    4.028%        8/09/21        BB–        1,818,005  
  1,278    

CityCenter Holdings LLC, Term Loan

    4.250%        10/16/20        BB        1,293,646  
  985    

Life Time Fitness, Inc., Term Loan B

    4.000%        6/10/22        B1        987,924  
  2,956    

Scientific Games Corporation, Term Loan B2

    6.022%        10/01/21        Ba3        2,987,903  
  1,740    

Station Casino LLC, Term Loan B

    3.270%        6/08/23        BB        1,731,514  
  9,592    

Total Hotels, Restaurants & Leisure

                               9,656,612  
      Household Products – 0.6% (0.3% of Total Investments)  
  998    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.313%        9/07/23        Ba3        1,007,532  
      Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)  
  1,500    

Dynegy, Inc., Term Loan B

    4.250%        6/27/23        BB        1,516,407  
      Industrial Conglomerates – 0.5% (0.3% of Total Investments)                           
  902    

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

    4.771%        11/26/20        B        901,793  

 

NUVEEN     59  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Insurance – 0.9% (0.6% of Total Investments)                           
$ 990    

AssuredPartners, Inc., Refinancing Term Loan, First Lien

    5.250%        10/21/22        B+      $ 1,004,882  
  597    

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        Ba3        599,907  
  1,587    

Total Insurance

                               1,604,789  
      Internet and Direct Marketing Retail – 1.6% (1.0% of Total Investments)  
  2,877    

Travelport LLC, Term C Loan

    4.250%        9/02/21        B+        2,907,739  
      Internet Software & Services – 2.2% (1.4% of Total Investments)                       
  1,000    

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

    5.250%        10/19/23        B1        1,011,719  
  1,000    

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

    4.500%        11/03/23        BB+        1,011,953  
  116    

Sabre Inc., Term Loan C

    4.000%        2/19/18        Ba2        116,247  
  1,176    

Sabre, Inc., Term Loan B

    4.000%        2/19/19        Ba2        1,184,575  
  1,009    

SkillSoft Corporation, Term Loan, Second Lien

    9.250%        4/28/22        CCC        741,037  
  4,301    

Total Internet Software & Services

                               4,065,531  
      IT Services – 1.4% (0.9% of Total Investments)                           
  655    

Conduent, Inc., Term Loan B

    6.250%        12/07/23        BB+        667,549  
  1,094    

EIG Investors Corp., Term Loan, First Lien

    6.480%        11/09/19        B+        1,097,008  
  746    

WEX, Inc., Term Loan B

    4.278%        6/30/23        BB–        757,036  
  2,495    

Total IT Services

                               2,521,593  
      Leisure Products – 2.2% (1.4% of Total Investments)                       
  1,356    

24 Hour Fitness Worldwide, Inc., Term Loan B

    4.750%        5/28/21        Ba3        1,335,616  
  1,432    

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

    5.019%        7/01/22        B2        1,270,482  
  1,444    

Equinox Holdings, Inc., New Initial Term Loan B

    5.000%        1/31/20        B+        1,456,510  
  4,232    

Total Leisure Products

                               4,062,608  
      Machinery – 0.8% (0.5% of Total Investments)                           
  898    

Safway Group Holdings LLC, Initial Term Loan, First Lien

    5.750%        8/21/23        B+        910,842  
  588    

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

    5.500%        11/27/20        B3        527,249  
  1,486    

Total Machinery

                               1,438,091  
      Marine – 0.4% (0.2% of Total Investments)                           
  722    

American Commercial Lines LLC, Term Loan B, First Lien

    9.750%        11/12/20        B        691,195  
      Media – 10.4% (6.6% of Total Investments)                           
  846    

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

    4.248%        7/23/21        B1        846,154  
  610    

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

    7.500%        7/25/22        CCC+        599,400  
  392    

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

    8.500%        10/31/18        Caa1        383,660  
  488    

Catalina Marketing Corporation, Term Loan, First Lien

    4.500%        4/09/21        B1        428,391  
  500    

Catalina Marketing Corporation, Term Loan, Second Lien

    7.750%        4/11/22        Caa1        345,000  
  2,562    

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

    7.528%        1/30/19        Caa1        2,154,041  
  1,633    

Clear Channel Communications, Inc.,Term Loan E

    8.278%        7/30/19        Caa1        1,372,352  
  2,821    

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B3        1,865,798  
  1,168    

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

    4.750%        6/17/20        BB–        1,176,526  
  806    

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

    4.750%        10/18/19        B3        697,523  
  445    

Gray Television, Inc., Initial Term Loan

    3.959%        6/13/21        BB        448,072  
  731    

IMG Worldwide, Inc., First Lien

    5.290%        5/06/21        B+        736,134  
  1,000    

Lions Gate Entertainment Corporation, Term Loan B

    3.766%        12/08/23        Ba2        1,008,750  
  967    

LSC Communications, Term Loan

    7.000%        9/30/22        Ba3        976,333  
  1,990    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.000%        5/02/22        Ba3        1,914,487  
  169    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        1/17/24        Ba3        170,625  
  1,831    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        9/26/23        BB+        1,851,875  
  1,086    

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

    4.500%        8/14/20        B        1,088,760  
  1,000    

Virgin Media Investment Holdings, Limited Term Loan I

    3.517%        1/31/25        BB–        1,007,500  
  21,045    

Total Media

                               19,071,381  
      Metals & Mining – 1.7% (1.1% of Total Investments)                       
  902    

Fairmount Minerals, Ltd. Term Loan B2, First Lien

    4.500%        9/05/19        B–        884,418  
  851    

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

    4.500%        9/05/19        B–        830,158  

 

  60     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Metals & Mining (continued)                           
$ 602    

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

    3.750%        6/30/19        BBB–      $ 606,198  
  837    

Zekelman Industries, Term Loan B, (DD1)

    6.000%        6/14/21        BB–        837,159  
  3,192    

Total Metals & Mining

                               3,157,933  
      Multiline Retail – 2.1% (1.4% of Total Investments)                           
  750    

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

    5.720%        5/15/18        B+        745,313  
  603    

Bass Pro Group LLC, Term Loan B

    5.970%        12/15/23        B+        587,482  
  863    

Bass Pro Group LLC, Term Loan B, First Lien

    4.016%        6/05/20        B+        853,505  
  1,489    

Belk, Inc., Term Loan B, First Lien

    5.760%        12/12/22        B        1,277,766  
  461    

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

    4.250%        9/30/22        BB        454,781  
  4,166    

Total Multiline Retail

                               3,918,847  
      Oil, Gas & Consumable Fuels – 5.0% (3.2% of Total Investments)                           
  333    

California Resources Corporation, Term Loan A, First Lien

    3.439%        9/24/19        B1        326,667  
  395    

Crestwood Holdings LLC, Term Loan B

    9.000%        6/19/19        B3        394,563  
  86    

Energy and Exploration Partners, Term Loan, Second Lien

    5.000%        5/13/22        N/R        47,256  
  681    

EP Energy LLC, Term Loan B

    9.750%        6/30/21        B–        707,750  
  786    

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%        8/31/20        B2        763,829  
  508    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        CCC–        402,437  
  1,463    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B–        1,323,768  
  1,645    

Harvey Gulf International Marine, Inc., Term Loan B

    5.470%        6/18/20        CCC+        1,357,494  
  3,068    

Peabody Energy Corporation, Term Loan B, (WI/DD)

    TBD        TBD        N/R        3,097,905  
  912    

Seadrill Partners LLC, Initial Term Loan

    4.000%        2/21/21        CCC+        673,208  
  17    

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

    3.500%        4/13/23        CCC+        13,870  
  9,894    

Total Oil, Gas & Consumable Fuels

                               9,108,747  
      Pharmaceuticals – 3.6% (2.3% of Total Investments)                           
  763    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.250%        10/21/21        B2        601,722  
  2,000    

Grifols, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB        2,014,166  
  975    

Patheon, Inc., Term Loan B

    4.250%        3/11/21        B        982,618  
  2,752    

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

    4.250%        8/18/22        B1        2,774,176  
  145    

Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan

    5.270%        8/05/20        BB–        145,470  
  6,635    

Total Pharmaceuticals

                               6,518,152  
      Professional Services – 0.5% (0.3% of Total Investments)                           
  955    

Ceridian Corporation, Term Loan B2

    4.539%        9/15/20        Ba3        954,073  
      Real Estate Management & Development – 1.7% (1.1% of Total Investments)  
  1,861    

Capital Automotive LP, Term Loan, Second Lien

    6.000%        4/30/20        B1        1,889,367  
  1,131    

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        BB        1,139,860  
  2,992    

Total Real Estate Management & Development

                               3,029,227  
      Road & Rail – 0.5% (0.3% of Total Investments)                           
  990    

Quality Distribution, Term Loan, First Lien

    5.750%        8/18/22        B2        977,625  
      Semiconductors & Semiconductor Equipment – 2.4% (1.5% of Total Investments)  
  995    

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

    4.530%        4/26/22        Baa2        1,010,754  
  794    

Microsemi Corporation, New Term Loan

    3.019%        1/31/23        BB        772,867  
  1,064    

NXP Semiconductor LLC, Term Loan F

    3.240%        12/07/20        Baa2        1,070,162  
  1,496    

On Semiconductor Corp., Term Loan B, First Lien

    4.028%        3/31/23        Ba1        1,513,602  
  4,349    

Total Semiconductors & Semiconductor Equipment

                               4,367,385  
      Software – 12.9% (8.3% of Total Investments)                           
  929    

Blackboard, Inc., Term Loan B4

    6.023%        6/30/21        B+        934,072  
  1,922    

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B+        1,919,836  
  622    

Computer Sciences Government Services, Term Loan B, First Lien

    3.435%        11/30/23        BB+        625,295  
  1,521    

Compuware Corporation, Term Loan B2, First Lien, (WI/DD)

    TBD        TBD        B        1,525,889  
  424    

Compuware Corporation, Term Loan, Second Lien

    9.250%        12/15/22        CCC+        427,802  
  735    

Ellucian, Term Loan B, First Lien

    4.250%        9/30/22        B        737,307  
  944    

Emdeon, Inc., Term Loan B2

    3.750%        11/02/18        BB–        945,829  

 

NUVEEN     61  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)                           
$ 2,457    

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

    3.750%        6/03/20        B1      $ 2,455,115  
  988    

Informatica Corp.,Term Loan B

    4.500%        8/05/22        B+        985,648  
  1,000    

Kronos Incorporated, Term Loan B, First Lien

    5.000%        11/01/23        B        1,011,534  
  519    

Micro Focus International PLC, Term Loan B

    4.789%        11/19/21        BB–        524,935  
  743    

Micro Focus International PLC, Term Loan C

    4.789%        11/20/19        BB–        750,455  
  2,633    

Misys PLC, Term Loan B, First Lien

    5.000%        12/12/18        B+        2,647,809  
  690    

MSC Software Corporation, Initial Term Loan, First Lien

    5.000%        5/29/20        B1        692,145  
  750    

RP Crown Parent LLC, Term Loan B, First Lien

    4.500%        10/12/23        B1        754,621  
  573    

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

    4.028%        7/08/22        BB+        579,744  
  55    

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

    4.028%        7/08/22        BB+        55,636  
  2,866    

Tibco Software, Inc., Term Loan B

    5.500%        12/04/20        B1        2,895,178  
  1,496    

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

    5.000%        7/13/23        N/R        1,507,659  
  748    

Vertafore, Inc., Term Loan, First Lien

    4.250%        6/30/23        B        754,738  
  1,000    

Vertiv Co., Term Loan B

    6.029%        11/30/23        Ba3        1,013,900  
  23,615    

Total Software

                               23,745,147  
      Specialty Retail – 1.3% (0.8% of Total Investments)                           
  496    

Gardner Denver, Inc., Term Loan

    4.558%        7/30/20        B        491,348  
  296    

Jo-Ann Stores, Inc., Term Loan B

    6.256%        10/20/23        B+        292,846  
  1,144    

Petco Animal Supplies, Inc., Term Loan B1

    4.250%        1/26/23        B1        1,130,406  
  423    

Petsmart Inc., Term Loan B, First Lien

    4.000%        3/11/22        BB–        420,155  
  2,359    

Total Specialty Retail

                               2,334,755  
      Technology Hardware, Storage & Peripherals – 6.3% (4.0% of Total Investments)  
  1,975    

Dell International LLC, Term Loan A2, First Lien

    3.030%        9/07/21        BBB–        1,977,115  
  500    

Dell International LLC, Term Loan A3, First Lien

    2.780%        12/31/18        BBB–        501,000  
  4,080    

Dell International LLC, Term Loan B

    4.030%        9/07/23        BBB–        4,119,860  
  1,000    

Dell Software Group, Term Loan B

    7.000%        10/31/22        B1        1,015,375  
  3,980    

Western Digital, Inc., Term Loan B1

    4.526%        4/29/23        BBB–        4,032,237  
  11,535    

Total Technology Hardware, Storage & Peripherals

                               11,645,587  
      Textiles, Apparel & Luxury Goods – 0.9% (0.6% of Total Investments)  
  429    

G-III Apparel Group, Term Loan B

    6.250%        12/01/22        BB        420,000  
  1,171    

Gymboree Corporation, Term Loan

    5.000%        2/23/18        Caa3        586,370  
  1,028    

J Crew Group, Term Loan B, First Lien

    4.000%        3/05/21        Caa1        577,057  
  2,628    

Total Textiles, Apparel & Luxury Goods

                               1,583,427  
      Trading Companies & Distributors – 2.4% (1.5% of Total Investments)  
  2,364    

Avolon, Term Loan B2, (WI/DD)

    TBD        TBD        BBB–        2,396,997  
  1,389    

HD Supply, Inc., Term Loan B

    3.748%        8/13/21        BB–        1,399,561  
  620    

Neff Rental/Neff Finance Closing Date Loan, Second Lien

    7.543%        6/09/21        B–        620,609  
  4,373    

Total Trading Companies & Distributors

                               4,417,167  
      Transportation Infrastructure – 0.6% (0.4% of Total Investments)                           
  66    

Ceva Group PLC, Canadian Term Loan

    6.539%        3/19/21        B2        58,041  
  381    

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

    6.539%        3/19/21        B2        336,638  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        3/19/21        B2        328,244  
  525    

Ceva Group PLC, US Term Loan

    6.539%        3/19/21        B2        464,328  
  1,343    

Total Transportation Infrastructure

                               1,187,251  
      Wireless Telecommunication Services – 2.3% (1.5% of Total Investments)  
  91    

Fairpoint Communications, Inc., Term Loan B

    7.500%        2/14/19        B        92,009  
  3,000    

Sprint Corporation, Term Loan, First Lien, (WI/DD)

    TBD        TBD        Ba2        3,000,000  
  783    

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

    4.039%        4/23/19        B        707,590  
  435    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.000%        4/23/19        B        393,087  
  4,309    

Total Wireless Telecommunication Services

                               4,192,686  
$ 249,267    

Total Variable Rate Senior Loan Interests (cost $243,257,197)

                               243,089,228  

 

  62     NUVEEN


Shares     Description (1)                           Value  
 

COMMON STOCKS – 1.3% (0.8% of Total Investments)

 

        
      Diversified Consumer Services – 0.3% (0.2% of Total Investments)                       
  39,749    

Cengage Learning Holdings II LP, (5)

                             $ 457,114  
      Energy Equipment & Services – 1.0% (0.6% of Total Investments)  
  39,988    

C&J Energy Services Inc., (5), (6)

             1,719,484  
  1,318    

Vantage Drill International, (5), (6)

                               167,386  
 

Total Energy Equipment & Services

                               1,886,870  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  20,216    

Millenium Health LLC, (5)

                               20,216  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  41    

Energy and Exploration Partners, Inc., (5), (6)

             14,350  
  18    

Southcross Holdings Borrower LP, (5)

                               5,625  
 

Total Oil, Gas & Consumable Fuels

                               19,975  
 

Total Common Stocks (cost $4,405,934)

                               2,384,175  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 13.8% (8.8% of Total Investments)

 

      Commercial Services & Supplies – 1.1% (0.7% of Total Investments)  
$ 2,050    

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 2,065,375  
      Communications Equipment – 0.3% (0.2% of Total Investments)  
  85    

Avaya Inc., 144A

    7.000%        4/01/19        D        70,338  
  2,085    

Avaya Inc., 144A

    10.500%        3/01/21        D        568,163  
  2,170    

Total Communications Equipment

                               638,501  
      Diversified Telecommunication Services – 1.8% (1.1% of Total Investments)  
  1,094    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CC        691,955  
  215    

IntelSat Limited

    6.750%        6/01/18        Ca        183,825  
  1,930    

IntelSat Limited

    7.750%        6/01/21        Ca        670,675  
  1,750    

IntelSat Limited

    8.125%        6/01/23        Ca        581,875  
  1,000    

Neptune Finco Corporation, 144A

    10.125%        1/15/23        B+        1,159,380  
  5,989    

Total Diversified Telecommunication Services

                               3,287,710  
      Health Care Providers & Services – 0.7% (0.5% of Total Investments)  
  1,350    

Iasis Healthcare Capital Corporation

    8.375%        5/15/19        CCC+        1,292,625  
      Hotels, Restaurants & Leisure – 1.2% (0.8% of Total Investments)                       
  2,150    

Scientific Games International Inc.

    10.000%        12/01/22        B–        2,202,933  
      Media – 3.3% (2.1% of Total Investments)                           
  100    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

    3.579%        7/23/20        BBB–        102,433  
  1,000    

Dish DBS Corporation

    5.875%        11/15/24        Ba3        1,011,250  
  3,585    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        3,000,196  
  3,214    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        CC        1,205,421  
  1,000    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        747,500  
  8,899    

Total Media

                               6,066,800  
      Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)                       
  895    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        796,550  
  400    

Denbury Resources Inc.

    6.375%        8/15/21        CCC+        366,000  
  100    

Denbury Resources Inc.

    5.500%        5/01/22        CCC+        85,750  
  400    

Everest Acquisition LLC Finance

    9.375%        5/01/20        CCC+        407,000  
  1,200    

FTS International Inc., 144A

    8.350%        6/15/20        B        1,228,500  
  2,995    

Total Oil, Gas & Consumable Fuels

                               2,883,800  

 

NUVEEN     63  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)  
$ 106    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        CCC+      $ 116,468  
      Software – 0.9% (0.6% of Total Investments)                           
  1,230    

BMC Software Finance Inc., 144A

    8.125%        7/15/21        CCC+        1,186,950  
  450    

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

    9.000%        10/15/19        CCC+        436,500  
  1,680    

Total Software

                               1,623,450  
      Wireless Telecommunication Services – 2.8% (1.8% of Total Investments)  
  350    

Sprint Communications Inc.

    7.000%        8/15/20        B+        374,500  
  2,750    

Sprint Corporation

    7.875%        9/15/23        B+        3,006,024  
  250    

Sprint Corporation

    7.125%        6/15/24        B+        263,750  
  1,250    

T-Mobile USA Inc.

    6.250%        4/01/21        BB        1,295,250  
  75    

T-Mobile USA Inc.

    6.731%        4/28/22        BB        78,000  
  75    

T-Mobile USA Inc.

    6.836%        4/28/23        BB        80,063  
  4,750    

Total Wireless Telecommunication Services

                               5,097,587  
$ 32,139    

Total Corporate Bonds (cost $27,839,110)

                               25,275,249  
 

Total Long-Term Investments (cost $275,502,241)

                               270,748,652  
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 9.2% (5.9% of Total Investments)

 

        
      REPURCHASE AGREEMENTS – 9.2% (5.9% of Total Investments)                       
$ 16,872    

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 1/31/17, repurchase price $16,871,751,
collateralized by $17,205,000 U.S. Treasury Notes,
2.250%, due 12/31/23, value $17,212,828

    0.030%        2/01/17               $ 16,871,737  
 

Total Short-Term Investments (cost $16,871,737)

                               16,871,737  
 

Total Investments (cost $292,373,978) – 156.6%

                               287,620,389  
 

Borrowings – (34.8)% (7), (8)

                               (64,000,000
 

Term Preferred Shares, at Liquidation Preference – (19.1)% (9)

 

                       (35,000,000
 

Other Assets Less Liabilities – (2.7)% (10)

                               (4,938,240
 

Net Assets Applicable to Common Shares – 100%

                             $ 183,682,149  

Investments in Derivatives as of January 31, 2017

Interest Rate Swaps

 

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

Morgan Stanley Capital Services, LLC

  $ 17,500,000       Receive       1-Month USD-LIBOR-ICE       1.659     Monthly       9/15/18      $ (131,197

Morgan Stanley Capital Services, LLC

    35,000,000       Pay       1-Month USD-LIBOR-ICE       1.500  (11)      Monthly       11/01/20  (12)      (92,906
    $ 52,500,000                                             $ (224,103

 

  64     NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

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

 

(7) Borrowings as a percentage of Total Investments is 22.3%.

 

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

 

(9) Term Preferred Shares, at Liquidation Preference as a percentage of Total Investments is 12.2%.

 

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

 

(11) Effective November 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined scheduled as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     65  


JQC

 

Nuveen Credit Strategies Income Fund

  

Portfolio of Investments

   January 31, 2017 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 147.6% (94.7% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 109.0% (69.9% of Total Investments) (4)

 

      Aerospace & Defense – 0.3% (0.2% of Total Investments)  
$ 4,269    

B/E Aerospace, Inc., Term Loan B

    3.943%        12/16/21        BB+      $ 4,294,741  
      Airlines – 2.4% (1.5% of Total Investments)  
  8,000    

American Airlines, Inc., Term Loan B

    3.276%        4/28/23        BB+        8,056,000  
  8,559    

American Airlines, Inc., Term Loan B, (WI/DD)

    TBD        TBD        BB+        8,611,392  
  10,277    

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

    3.276%        6/29/20        BB+        10,343,007  
  3,000    

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

    3.263%        10/08/21        BB+        3,020,625  
  29,836    

Total Airlines

                               30,031,024  
      Automobiles – 2.6% (1.7% of Total Investments)  
  2,641    

Chrysler Group LLC, Term Loan B

    3.528%        5/24/17        BBB–        2,644,692  
  12,356    

Chrysler Group LLC, Tranche B, Term Loan

    3.270%        12/31/18        BBB–        12,394,157  
  15,795    

Formula One Group, Term Loan, First Lien

    5.068%        7/30/21        B        15,913,920  
  2,000    

Formula One Group, Term Loan, Second Lien

    8.068%        7/29/22        CCC+        2,016,500  
  32,792    

Total Automobiles

                               32,969,269  
      Building Products – 0.2% (0.1% of Total Investments)  
  2,750    

Quikrete Holdings, Inc., Initial Term Loan, First Lien

    4.017%        11/15/23        BB–        2,787,320  
      Capital Markets – 0.9% (0.6% of Total Investments)  
  11,614    

RPI Finance Trust, Term Loan B5

    3.498%        10/14/22        Baa2        11,731,290  
      Chemicals – 5.5% (3.5% of Total Investments)  
  16,805    

Ineos US Finance LLC, Cash Dollar, Term Loan

    3.750%        5/04/18        BB–        16,853,261  
  5,331    

Ineos US Finance LLC, Term Loan B, First Lien

    4.250%        3/31/22        BB–        5,373,144  
  36,983    

Univar, Inc., Term Loan B, (DD1)

    3.519%        7/01/22        BB–        36,967,899  
  11,088    

US Coatings Acquisition, Term Loan B

    3.498%        2/01/23        BBB–        11,231,932  
  70,207    

Total Chemicals

                               70,426,236  
      Commercial Services & Supplies – 2.7% (1.8% of Total Investments)  
  19,390    

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

    3.500%        11/10/23        BB        19,604,648  
  7,232    

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

    6.500%        9/30/22        B2        7,342,617  
  7,960    

West Corporation, Refinanced Term Loan B12

    3.278%        6/17/23        BB–        7,989,900  
  34,582    

Total Commercial Services & Supplies

                               34,937,165  
      Communications Equipment – 0.5% (0.3% of Total Investments)  
  902    

Avaya, Inc., DIP Term Loan, (WI/DD)

    TBD        TBD        Baa3        930,220  
  3,296    

Avaya, Inc., Term Loan B3

    5.537%        10/26/17        D        2,759,230  
  826    

Avaya, Inc., Term Loan B7, (DD1)

    6.282%        5/29/20        D        693,889  
  1,872    

CommScope, Inc., Tranche 5, Term Loan B, First Lien

    3.278%        12/29/22        BB+        1,893,978  
  6,896    

Total Communications Equipment

                               6,277,317  
      Consumer Finance – 3.7% (2.4% of Total Investments)  
  28,150    

First Data Corporation, New Dollar Term Loan

    3.775%        7/08/22        BB        28,368,591  
  18,771    

First Data Corporation, Term Loan, First Lien

    3.775%        3/24/21        BB        18,895,293  
  46,921    

Total Consumer Finance

                               47,263,884  
      Containers & Packaging – 1.3% (0.8% of Total Investments)  
  1,714    

Berry Plastics Holding Corporation, Term Loan I

    3.287%        10/01/22        BB        1,728,906  
  14,711    

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

    4.000%        2/05/23        B+        14,778,887  
  16,425    

Total Containers & Packaging

                               16,507,793  

 

  66     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Diversified Consumer Services – 2.6% (1.6% of Total Investments)  
$ 6,921    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.250%        6/07/23        BB–      $ 6,459,136  
  23,460    

Hilton Hotels Corporation, Series B2, Term Loan

    3.271%        10/25/23        BBB–        23,729,914  
  1,726    

Hilton Hotels Corporation, Term Loan B1

    3.500%        10/26/20        BBB–        1,741,700  
  643    

Laureate Education, Inc., Term Loan B

    5.000%        6/15/18        B–        647,285  
  32,750    

Total Diversified Consumer Services

                               32,578,035  
      Diversified Financial Services – 2.0% (1.3% of Total Investments)  
  4,764    

MGM Growth Properties, Term Loan B

    3.528%        4/25/23        BB+        4,802,708  
  20,688    

WideOpenWest Finance LLC, New Term Loan B

    4.500%        8/18/23        B1        20,866,694  
  25,452    

Total Diversified Financial Services

                               25,669,402  
      Diversified Telecommunication Services – 5.2% (3.4% of Total Investments)  
  6,500    

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

    5.000%        12/01/23        B2        6,582,602  
  10,000    

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

    3.750%        6/30/19        B1        9,860,710  
  7,382    

Level 3 Financing, Inc., Term Loan B2

    3.513%        5/31/22        BBB–        7,450,561  
  1,755    

Zayo Group LLC, Term Loan B2

    3.500%        1/12/24        N/R        1,773,647  
  41,000    

Ziggo B.V., Term Loan E

    0.000%        4/25/25        BB–        41,140,958  
  66,637    

Total Diversified Telecommunication Services

                               66,808,478  
      Electric Utilities – 0.2% (0.2% of Total Investments)  
  2,443    

Vistra Operations Co., Term Loan B

    3.500%        8/04/23        Ba2        2,455,071  
  557    

Vistra Operations Co., Term Loan C

    3.500%        8/04/23        Ba2        559,929  
  3,000    

Total Electric Utilities

                               3,015,000  
      Electronic Equipment, Instruments & Components – 0.3% (0.2% of Total Investments)  
  4,156    

Zebra Technologies Corporation Refinancing Term Loan B, First Lien

    3.446%        10/27/21        BB+        4,197,663  
      Energy Equipment & Services – 0.4% (0.2% of Total Investments)  
  5,948    

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

    6.063%        3/31/21        Caa2        4,624,793  
      Equity Real Estate Investment Trusts – 4.0% (2.6% of Total Investments)  
  20,626    

Communications Sales & Leasing, Inc., Term Loan B

    4.500%        10/24/22        BB–        20,873,518  
  10,544    

Realogy Group LLC, Term Loan B

    3.026%        7/20/22        BB+        10,614,301  
  20,494    

Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (DD1)

    4.750%        12/18/20        B        19,755,871  
  51,664    

Total Equity Real Estate Investment Trusts

                               51,243,690  
      Food & Staples Retailing – 3.4% (2.2% of Total Investments)  
  25,201    

Albertson’s LLC, Term Loan B4

    3.778%        8/25/21        BB        25,364,307  
  11,249    

Albertson’s LLC, Term Loan B6

    4.061%        6/22/23        BB        11,334,301  
  5,445    

BJ’s Wholesale Club, Inc., Term Loan B, First Lien, (WI/DD)

    TBD        TBD        B–        5,462,949  
  699    

Supervalu, Inc., New Term Loan B

    5.500%        3/21/19        BB–        703,990  
  42,594    

Total Food & Staples Retailing

                               42,865,547  
      Food Products – 3.7% (2.4% of Total Investments)  
  6,247    

Jacobs Douwe Egberts, Term Loan B

    3.500%        7/04/22        BB        6,289,605  
  6,825    

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

    2.563%        3/03/21        BBB–        6,820,734  
  4,100    

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

    5.313%        3/03/23        BBB–        4,166,866  
  29,248    

US Foods, Inc., Term Loan B

    3.778%        6/27/23        BB–        29,508,024  
  46,420    

Total Food Products

                               46,785,229  
      Health Care Equipment & Supplies – 3.1% (2.0% of Total Investments)  
  4,781    

Acelity, Term Loan B, (WI/DD)

    TBD        TBD        B1        4,757,480  
  4,505    

ConvaTec, Inc., Term Loan B

    3.278%        10/25/23        BB        4,540,186  
  10,197    

Onex Carestream Finance LP, Term Loan, First Lien

    5.000%        6/07/19        B+        9,814,255  
  10,172    

Onex Carestream Finance LP, Term Loan, Second Lien

    9.500%        12/09/19        B–        8,544,242  
  11,529    

Sterigenics International, Inc., Term Loan B

    4.250%        5/16/22        B1        11,593,783  
  41,184    

Total Health Care Equipment & Supplies

                               39,249,946  

 

NUVEEN     67  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Health Care Providers & Services – 4.5% (2.9% of Total Investments)  
$ 373    

Community Health Systems, Inc., Term Loan F

    4.180%        12/31/18        BB–      $ 368,962  
  7,242    

Community Health Systems, Inc., Term Loan G

    3.750%        12/31/19        BB–        6,895,934  
  13,050    

Community Health Systems, Inc., Term Loan H

    4.000%        1/27/21        BB–        12,373,501  
  1,579    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.000%        12/01/23        BB–        1,595,360  
  11,476    

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

    7.500%        12/21/20        CCC+        5,795,138  
  17,167    

MultiPlan, Inc., Term Loan B

    5.000%        6/07/23        B+        17,428,671  
  8,212    

National Mentor Holdings, Inc., Term Loan B

    4.250%        1/31/21        B+        8,241,698  
  1,233    

Quorum Health Corp., Term Loan B

    6.750%        4/29/22        B1        1,222,527  
  3,739    

U.S. Renal Care, Inc., Term Loan, First Lien

    5.250%        12/30/22        B1        3,537,016  
  64,071    

Total Health Care Providers & Services

                               57,458,807  
      Hotels, Restaurants & Leisure – 7.3% (4.7% of Total Investments)  
  34,072    

Burger King Corporation, Term Loan B

    3.750%        12/10/21        Ba3        34,430,911  
  1,493    

CCM Merger, Inc., Term Loan B

    4.028%        8/09/21        BB–        1,503,759  
  20,516    

Life Time Fitness, Inc., Term Loan B

    4.000%        6/10/22        B1        20,576,770  
  8,730    

Scientific Games Corporation, Term Loan

    6.000%        10/18/20        Ba3        8,826,030  
  7,350    

Scientific Games Corporation, Term Loan B2

    6.022%        10/01/21        Ba3        7,432,033  
  15,656    

Station Casino LLC, Term Loan B

    3.270%        6/08/23        BB        15,583,624  
  4,975    

YUM Brands, Term Loan B

    3.518%        6/16/23        BBB–        5,048,381  
  92,792    

Total Hotels, Restaurants & Leisure

                               93,401,508  
      Household Products – 2.2% (1.4% of Total Investments)  
  18,953    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    4.313%        9/07/23        Ba3        19,143,105  
  8,603    

Serta Simmons Holdings LLC, Term Loan, First Lien

    4.500%        11/08/23        B1        8,608,642  
  27,556    

Total Household Products

                               27,751,747  
      Independent Power & Renewable Electricity Producers – 1.6% (1.0% of Total Investments)  
  3,500    

Calpine Corporation, Term Loan B1, First Lien

    3.067%        11/30/17        BB        3,508,750  
  17,000    

Dynegy, Inc., Term Loan B

    4.250%        6/27/23        BB        17,185,946  
  20,500    

Total Independent Power & Renewable Electricity Producers

                               20,694,696  
      Insurance – 0.8% (0.5% of Total Investments)  
  10,644    

Hub International Holdings, Inc., Initial Term Loan

    4.000%        10/02/20        Ba3        10,687,259  
      Internet and Direct Marketing Retail – 1.7% (1.1% of Total Investments)  
  21,219    

Travelport LLC, Term C Loan

    4.250%        9/02/21        B+        21,447,482  
      Internet Software & Services – 3.1% (2.0% of Total Investments)  
  11,500    

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

    5.250%        10/19/23        B1        11,634,769  
  2,000    

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

    4.500%        11/03/23        BB+        2,023,906  
  25,109    

Sabre, Inc., Term Loan B

    4.000%        2/19/19        Ba2        25,292,039  
  38,609    

Total Internet Software & Services

                               38,950,714  
      IT Services – 0.3% (0.2% of Total Investments)  
  2,589    

Global Payments, Inc., Term Loan B, First Lien

    3.278%        4/22/23        BBB–        2,621,026  
  845    

Zayo Group LLC, Term Loan B3, (WI/DD)

    TBD        TBD        BB        853,978  
  3,434    

Total IT Services

                               3,475,004  
      Leisure Products – 0.2% (0.1% of Total Investments)  
  2,325    

Academy, Ltd., Term Loan B

    5.019%        7/01/22        B2        2,062,425  
      Machinery – 0.4% (0.3% of Total Investments)  
  4,943    

Rexnord LLC. Term Loan B, First Lien

    3.770%        8/21/23        BB–        4,978,878  
      Media – 8.8% (5.6% of Total Investments)  
  7,102    

Acquisitions Cogeco Cable II L.P., Term Loan B

    3.278%        11/30/19        BB        7,124,349  
  3,568    

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

    4.248%        7/23/21        B1        3,570,476  
  2,401    

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

    7.500%        7/25/22        CCC+        2,357,642  
  1,235    

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

    7.528%        1/30/19        Caa1        1,038,647  

 

  68     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Media (continued)  
$ 1,358    

Clear Channel Communications, Inc., Term Loan E

    8.278%        7/30/19        Caa1      $ 1,141,389  
  31,597    

Cumulus Media, Inc., Term Loan B

    4.250%        12/23/20        B3        20,901,195  
  28,194    

EMI Music Publishing LLC, Term Loan B4

    3.523%        8/22/22        BB–        28,384,605  
  2,000    

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

    4.750%        10/18/19        B3        1,731,250  
  3,000    

Lions Gate Entertainment Corporation, Term Loan B

    3.766%        12/08/23        Ba2        3,026,250  
  422    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        1/17/24        Ba3        426,564  
  4,578    

Nexstar Broadcasting Group, Term Loan B, First Lien

    3.767%        9/26/23        BB+        4,629,686  
  6,516    

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

    4.500%        8/14/20        B        6,532,562  
  26,686    

Tribune Media Company, Term Loan C

    3.778%        1/18/24        BB+        26,919,192  
  4,211    

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

    4.000%        3/01/20        B+        4,225,827  
  122,868    

Total Media

                               112,009,634  
      Metals & Mining – 1.1% (0.7% of Total Investments)  
  13,559    

Fortescue Metals Group, Ltd., Term Loan B, First Lien, (DD1)

    3.750%        6/30/19        BBB–        13,655,524  
      Multiline Retail – 0.8% (0.5% of Total Investments)  
  2,111    

Bass Pro Group LLC, Term Loan B

    5.970%        12/15/23        B+        2,056,188  
  6,948    

Belk, Inc., Term Loan B, First Lien

    5.760%        12/12/22        B        5,962,907  
  2,840    

Dollar Tree, Inc., Term Loan B2

    4.250%        7/06/22        BBB–        2,884,304  
  11,899    

Total Multiline Retail

                               10,903,399  
      Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)  
  1,114    

Crestwood Holdings LLC, Term Loan B

    9.000%        6/19/19        B3        1,111,531  
  4,969    

Fieldwood Energy LLC, Term Loan, First Lien

    8.000%        8/31/20        B2        4,826,174  
  3,209    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        CCC–        2,542,754  
  9,242    

Fieldwood Energy LLC, Term Loan, Second Lien

    8.375%        9/30/20        B–        8,364,092  
  4,532    

Harvey Gulf International Marine, Inc., Term Loan B

    5.470%        6/18/20        CCC+        3,738,974  
  23,066    

Total Oil, Gas & Consumable Fuels

                               20,583,525  
      Pharmaceuticals – 2.7% (1.7% of Total Investments)  
  30,775    

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

    4.250%        8/18/22        B1        31,024,672  
  2,000    

Valeant Pharmaceuticals International, Inc., Series C2, Tranche B Term Loan

    5.522%        12/11/19        BB        2,005,491  
  975    

Valeant Pharmaceuticals International, Inc., Series E1, Tranche B Term Loan

    5.270%        8/05/20        BB–        977,968  
  33,750    

Total Pharmaceuticals

                               34,008,131  
      Professional Services – 0.1% (0.0% of Total Investments)  
  910    

Ceridian Corporation, Term Loan B2

    4.539%        9/15/20        Ba3        908,789  
      Real Estate Management & Development – 1.2% (0.8% of Total Investments)  
  15,490    

Capital Automotive LP, Term Loan, Tranche B1

    4.000%        4/10/19        BB        15,606,633  
      Semiconductors & Semiconductor Equipment – 1.8% (1.2% of Total Investments)  
  3,969    

Microsemi Corporation, New Term Loan

    3.019%        1/31/23        BB        3,946,990  
  5,718    

NXP Semiconductor LLC, Term Loan F

    3.240%        12/07/20        Baa2        5,752,123  
  13,217    

On Semiconductor Corp., Term Loan B, First Lien

    4.028%        3/31/23        Ba1        13,370,151  
  22,904    

Total Semiconductors & Semiconductor Equipment

                               23,069,264  
      Software – 15.7% (10.1% of Total Investments)  
  4,071    

Blackboard, Inc., Term Loan B4

    6.023%        6/30/21        B+        4,091,682  
  26,466    

BMC Software, Inc., Initial Term Loan

    5.000%        9/10/20        B+        26,435,246  
  10,615    

Compuware Corporation, Term Loan B2, First Lien

    5.250%        12/15/21        B        10,648,592  
  27,820    

Ellucian, Term Loan B, First Lien

    4.250%        9/30/22        B        27,894,882  
  16,677    

Emdeon, Inc., Term Loan B2

    3.750%        11/02/18        BB–        16,708,000  
  23,783    

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

    3.750%        6/03/20        B1        23,766,026  
  6,419    

Informatica Corp., Term Loan B

    4.500%        8/05/22        B+        6,406,715  
  3,000    

Kronos Incorporated, Term Loan B, First Lien

    5.000%        11/01/23        B        3,034,602  
  15,169    

Kronos Incorporated, Term Loan B, Second Lien

    9.250%        11/01/24        CCC        15,695,182  
  8,951    

Micro Focus International PLC, Term Loan B

    4.789%        11/19/21        BB–        9,055,125  

 

NUVEEN     69  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (4)      Maturity (2)      Ratings (3)      Value  
      Software (continued)  
$ 1,361    

Micro Focus International PLC, Term Loan C

    4.789%        11/20/19        BB–      $ 1,375,834  
  15,000    

Misys PLC, Term Loan, Second Lien

    12.000%        6/12/19        CCC+        15,931,245  
  11,284    

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

    4.028%        7/08/22        BB+        11,421,566  
  1,083    

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

    4.028%        7/08/22        BB+        1,096,091  
  16,807    

Tibco Software, Inc., Term Loan B

    5.500%        12/04/20        B1        16,980,567  
  9,975    

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

    5.000%        7/13/23        N/R        10,051,059  
  198,481    

Total Software

                               200,592,414  
      Specialty Retail – 2.5% (1.6% of Total Investments)  
  7,447    

Burlington Coat Factory Warehouse Corporation, Term Loan B4

    3.530%        8/13/21        BB        7,489,485  
  8,997    

Gardner Denver, Inc., Term Loan, (WI/DD)

    TBD        TBD        B        8,910,265  
  592    

Jo-Ann Stores, Inc., Term Loan B

    6.256%        10/20/23        B+        585,693  
  2,811    

Michaels Stores, Inc., Term Loan B1, First Lien

    3.750%        1/30/23        BB        2,807,240  
  4,577    

Petco Animal Supplies, Inc., Term Loan B1

    4.250%        1/26/23        B1        4,521,625  
  7,630    

Petsmart Inc., Term Loan B, First Lien

    4.000%        3/11/22        BB–        7,573,566  
  32,054    

Total Specialty Retail

                               31,887,874  
      Technology Hardware, Storage & Peripherals – 3.3% (2.1% of Total Investments)  
  33,339    

Dell International LLC, Term Loan B

    4.030%        9/07/23        BBB–        33,663,462  
  8,756    

Western Digital, Inc., Term Loan B1

    4.526%        4/29/23        BBB–        8,870,923  
  42,095    

Total Technology Hardware, Storage & Peripherals

                               42,534,385  
      Trading Companies & Distributors – 1.6% (1.0% of Total Investments)  
  7,091    

Avolon, Term Loan B2, (WI/DD)

    TBD        TBD        BBB–        7,189,976  
  12,881    

HD Supply, Inc., Term Loan B

    3.748%        8/13/21        BB–        12,980,785  
  19,972    

Total Trading Companies & Distributors

                               20,170,761  
      Wireless Telecommunication Services – 0.7% (0.4% of Total Investments)  
  5,000    

Sprint Corporation, Term Loan, First Lien, (WI/DD)

    TBD        TBD        Ba2        5,000,000  
  2,496    

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

    TBD        TBD        B        2,255,376  
  1,500    

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

    TBD        TBD        B        1,355,625  
  8,996    

Total Wireless Telecommunication Services

                               8,611,001  
$ 1,408,234    

Total Variable Rate Senior Loan Interests (cost $1,404,098,125)

 

                       1,389,713,676  
Shares     Description (1)                           Value  
 

COMMON STOCKS – 0.6% (0.4% of Total Investments)

 

      Diversified Consumer Services – 0.4% (0.2% of Total Investments)  
  403,318    

Cengage Learning Holdings II LP, (5)

                             $ 4,638,157  
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)  
  10,935    

Vantage Drill International, (5), (6)

                               1,388,745  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  348,605    

Millennium Health LLC, (5)

                               348,604  
      Media – 0.1% (0.1% of Total Investments)  
  51,720    

Affinion Group Holdings, Inc., (5), (6)

             439,622  
  271    

Cumulus Media, Inc., (5)

             270  
  22,352    

Tribune Media Company

             644,632  
  17,987    

Tribune Media Company, (7)

              
  5,588    

tronc, Inc., (5)

                               74,097  
 

Total Media

                               1,158,621  
 

Total Common Stocks (cost $26,732,958)

                               7,534,127  

 

  70     NUVEEN


Shares     Description (1), (8)                           Value  
      EXCHANGE-TRADED FUNDS – 7.3% (4.7% of Total Investments)  
  63,500    

iShares U.S. Real Estate ETF

           $ 4,892,040  
  2,571,083    

PowerShares Senior Loan Portfolio

             59,906,234  
  296,265    

SPDR® Bloomberg Barclays Short Term High Yield Bond ETF

             8,283,569  
  233,400    

SPDR® S&P® Bank ETF

             10,138,896  
  127,700    

SPDR® S&P® Oil & Gas Equipment & Services ETF

             2,868,142  
  202,700    

VanEck Vectors Oil Services ETF

                               6,762,072  
 

Total Exchange-Traded Funds (cost $92,381,764)

                               92,850,953  
Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
 

CORPORATE BONDS – 30.7% (19.7% of Total Investments)

 

      Commercial Services & Supplies – 0.3% (0.2% of Total Investments)  
$ 3,900    

NES Rental Holdings Inc., 144A

    7.875%        5/01/18        B–      $ 3,929,250  
      Communications Equipment – 2.2% (1.4% of Total Investments)  
  19,375    

Avaya Inc., 144A, (9)

    7.000%        4/01/19        D        16,032,812  
  9,250    

Avaya Inc., 144A

    10.500%        3/01/21        D        2,520,625  
  8,510    

CommScope Technologies Finance LLC, 144A, (9)

    6.000%        6/15/25        B+        9,068,469  
  37,135    

Total Communications Equipment

                               27,621,906  
      Diversified Telecommunication Services – 2.2% (1.4% of Total Investments)  
  7,000    

CenturyLink Inc.

    5.625%        4/01/20        BB+        7,385,000  
  8,000    

CenturyLink Inc.

    6.450%        6/15/21        BB+        8,500,000  
  4,612    

Inelsat Connect Finance SA, 144A

    12.500%        4/01/22        CC        2,917,090  
  3,413    

IntelSat Limited

    7.750%        6/01/21        Ca        1,186,018  
  23,355    

IntelSat Limited

    8.125%        6/01/23        Ca        7,765,538  
  46,380    

Total Diversified Telecommunication Services

                               27,753,646  
      Electrical Equipment – 0.2% (0.1% of Total Investments)  
  2,000    

Park Aerospace Holdings Limited, 144A, (WI/DD)

    5.250%        8/15/22        BB        2,050,000  
      Equity Real Estate Investment Trusts – 1.2% (0.8% of Total Investments)  
  13,950    

Communications Sales & Leasing Inc., (9)

    8.250%        10/15/23        BB–        15,135,750  
      Food & Staples Retailing – 0.1% (0.0% of Total Investments)  
  1,000    

Rite Aid Corporation, 144A

    6.125%        4/01/23        B        1,041,250  
      Health Care Equipment & Supplies – 0.9% (0.6% of Total Investments)  
  7,000    

Tenet Healthcare Corporation, 144A

    7.500%        1/01/22        Ba3        7,507,500  
  3,500    

Tenet Healthcare Corporation

    6.000%        10/01/20        BB–        3,692,500  
  10,500    

Total Health Care Equipment & Supplies

                               11,200,000  
      Health Care Providers & Services – 1.2% (0.8% of Total Investments)  
  12,500    

DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A, (9)

    8.125%        6/15/21        CCC        10,812,500  
  4,000    

IMS Health Incorporated, 144A

    5.000%        10/15/26        BB+        4,026,640  
  1,000    

MPH Acquisition Holdings LLC, 144A

    7.125%        6/01/24        B–        1,061,250  
  17,500    

Total Health Care Providers & Services

                               15,900,390  
      Hotels, Restaurants & Leisure – 1.9% (1.2% of Total Investments)  
  4,250    

Scientific Games Corporation, 144A

    7.000%        1/01/22        Ba3        4,542,188  
  18,750    

Scientific Games International Inc., (9)

    10.000%        12/01/22        B–        19,211,625  
  23,000    

Total Hotels, Restaurants & Leisure

                               23,753,813  
      Media – 5.4% (3.5% of Total Investments)  
  604    

Affinion International Holdings Co, 144A

    7.500%        7/30/18        B–        583,193  
  2,860    

Altice US Finance I Corporation, 144A

    5.375%        7/15/23        BB–        2,977,975  
  4,000    

CCO Holdings LLC Finance Corporation, 144A, (9)

    5.125%        5/01/23        BB+        4,150,000  
  7,000    

CSC Holdings Inc., 144A

    5.500%        4/15/27        Ba1        7,096,250  
  19,000    

Dish DBS Corporation, (9)

    5.125%        5/01/20        Ba3        19,522,500  
  3,000    

Dish DBS Corporation

    6.750%        6/01/21        Ba3        3,225,000  

 

NUVEEN     71  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2017 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (3)      Value  
      Media (continued)  
$ 6,000    

Dish DBS Corporation

    7.750%        7/01/26        Ba3      $ 6,703,140  
  10,609    

iHeartCommunications, Inc.

    9.000%        12/15/19        Caa1        8,878,407  
  41,015    

iHeartCommunications, Inc., PIK

    14.000%        2/01/21        CC        15,380,760  
  300    

iHeartCommunications, Inc.

    9.000%        3/01/21        Caa1        224,250  
  94,388    

Total Media

                               68,741,475  
      Multiline Retail – 0.6% (0.4% of Total Investments)  
  7,375    

Dollar Tree, Inc.

    5.750%        3/01/23        BB        7,791,688  
      Oil, Gas & Consumable Fuels – 4.0% (2.6% of Total Investments)  
  7,000    

California Resources Corporation, 144A

    8.000%        12/15/22        CCC+        6,230,000  
  21,000    

Chesapeake Energy Corporation, 144A

    8.000%        12/15/22        B+        22,417,500  
  4,000    

Oasis Petroleum Inc.

    6.875%        3/15/22        B+        4,100,000  
  18,000    

Whiting Petroleum Corporation

    5.000%        3/15/19        BB–        18,324,000  
  50,000    

Total Oil, Gas & Consumable Fuels

                               51,071,500  
      Pharmaceuticals – 0.2% (0.1% of Total Investments)  
  4,850    

Concordia Healthcare Corporation, 144A

    9.500%        10/21/22        CCC        2,061,250  
      Semiconductors & Semiconductor Equipment – 1.3% (0.8% of Total Investments)  
  3,167    

Advanced Micro Devices, Inc.

    7.500%        8/15/22        CCC+        3,479,741  
  1,719    

Advanced Micro Devices, Inc.

    7.000%        7/01/24        CCC+        1,779,165  
  10,625    

Micron Technology, Inc., 144A, (9)

    7.500%        9/15/23        Baa2        11,793,750  
  15,511    

Total Semiconductors & Semiconductor Equipment

                               17,052,656  
      Software – 0.6% (0.4% of Total Investments)  
  2,830    

Balboa Merger Sub Inc., 144A

    11.375%        12/01/21        CCC+        3,113,000  
  5,000    

BMC Software Finance Inc., 144A, (9)

    8.125%        7/15/21        CCC+        4,825,000  
  7,830    

Total Software

                               7,938,000  
      Specialty Retail – 0.3% (0.2% of Total Investments)  
  9,500    

Claires Stores, Inc., 144A

    9.000%        3/15/19        CCC–        4,560,000  
      Technology Hardware, Storage & Peripherals – 1.4% (0.9% of Total Investments)  
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)

    5.875%        6/15/21        BB+        5,274,090  
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)

    7.125%        6/15/24        BB+        5,474,284  
  7,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (9)

    6.020%        6/15/26        BBB–        7,557,277  
  17,000    

Total Technology Hardware, Storage & Peripherals

                               18,305,651  
      Wireless Telecommunication Services – 6.7% (4.3% of Total Investments)  
  7,000    

Altice Financing SA, 144A, (9)

    6.625%        2/15/23        BB–        7,310,625  
  1,000    

Hughes Satellite Systems Corporation, 144A

    6.625%        8/01/26        BB–        1,035,000  
  6,000    

Hughes Satellite Systems Corporation, 144A

    5.250%        8/01/26        BBB–        6,000,000  
  12,000    

Sprint Communications Inc., (9)

    7.000%        8/15/20        B+        12,840,000  
  2,500    

Sprint Corporation

    7.250%        9/15/21        B+        2,675,000  
  29,000    

Sprint Corporation, (9)

    7.875%        9/15/23        B+        31,699,900  
  10,000    

T-Mobile USA Inc., (9)

    6.250%        4/01/21        BB        10,362,000  
  12,000    

T-Mobile USA Inc., (9)

    6.375%        3/01/25        BB        12,975,000  
  79,500    

Total Wireless Telecommunication Services

                               84,897,525  
$ 441,319    

Total Corporate Bonds (cost $434,747,778)

                               390,805,750  
 

Total Long-Term Investments (cost $1,957,960,625)

 

                       1,880,904,506  

 

  72     NUVEEN


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

SHORT-TERM INVESTMENTS – 8.3% (5.3% of Total Investments)

 

      REPURCHASE AGREEMENTS – 8.3% (5.3% of Total Investments)  
$ 105,747    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/31/17, repurchase price $105,747,083,
collateralized by: $1,425,000 U.S. Treasury Notes,
1.375%, due 4/30/21, value $1,403,435; $104,815,000 U.S. Treasury Notes, 2.250%, due 7/31/21, value $106,460,910

    0.030%        2/01/17               $ 105,746,995  
 

Total Short-Term Investments (cost $105,746,995)

                               105,746,995  
 

Total Investments (cost $2,063,707,620) – 155.9%

                               1,986,651,501  
 

Borrowings – (44.0)% (10), (11)

                               (561,000,000
 

Reverse Repurchase Agreements – (11.4)% (12)

                               (145,000,000
 

Other Assets Less Liabilities – (0.5)% (13)

                               (6,349,700
 

Net Assets Applicable to Common Shares – 100%

                             $ 1,274,301,801  

Investments in Derivatives as of January 31, 2017

Credit Default Swaps

 

Clearing Broker   Referenced Entity     Buy/Sell
Protection (14)
    Current
Credit
Spread (15)
    Notional
Amount
    Fixed Rate
(Annualized)
    Termination
Date
    Value     Variation
Margin
Receivable/
(Payable)
    Unrealized
Appreciation
(Depreciation)
 

Morgan Stanley Capital Services, LLC*

    CDX.NA.HY.26       Sell       3.16   $ 20,000,000       5.000     6/20/21     $ 1,549,115     $ (22,631   $ 1,097,813  
* ICE Clear Credit LLC is the clearing house for this transaction.

 

NUVEEN     73  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2017 (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) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

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

 

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

 

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

 

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

 

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

 

(9) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements.

 

(10) Borrowings as a percentage of Total Investments is 28.2%.

 

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

 

(12) Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

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

 

(14) The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(15) The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

 

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

 

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

 

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

 

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

 

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

 

ETF Exchange-Traded Fund

 

S&P Standard & Poor’s

 

ICE International Exchange

 

See accompanying notes to financial statements.

 

  74     NUVEEN


Statement of

Assets and Liabilities

   January 31, 2017 (Unaudited)

 

    

NSL

   

JFR

   

JRO

   

JSD

   

JQC

 

Assets

         

Long-term investments, at value (cost $412,377,907, $963,152,494, $677,852,703, $275,502,241 and $1,957,960,625, respectively)

  $ 399,802,777     $ 937,571,330     $ 658,114,906     $ 270,748,652     $ 1,880,904,506  

Short-term investments, at value (cost approximates value)

    23,888,748       73,311,435       47,667,107       16,871,737       105,746,995  

Cash

    91,198       193,174       130,648       53,817       41,251  

Cash collateral at brokers(1)

    900,000                   270,000       759,426  

Cash denominated in foreign currencies (cost $7,628, $19,422, $12,975, $— and $—, respectively)

    7,277       18,527       12,377              

Credit default swaps premiums paid

                            451,302  

Unrealized appreciation on interest rate swaps, net

          238,639       221,906              

Receivable for:

         

Dividends

    106,295       329,398       258,744             129,043  

Interest

    2,397,085       5,453,199       4,047,914       1,574,874       12,966,223  

Investments sold

    15,320,244       31,695,111       19,931,529       8,892,322       53,509,586  

Reclaims

                            34,599  

Shares sold

          31,001                    

Other assets

    153,971       151,009       115,792       57,011       319,835  

Total assets

    442,667,595       1,048,992,823       730,500,923       298,468,413       2,054,862,766  

Liabilities

         

Borrowings

    104,000,000       258,900,000       178,800,000       64,000,000       561,000,000  

Reverse repurchase agreements

                            145,000,000  

Unrealized depreciation on interest rate swaps

    685,943                   224,103        

Payable for:

         

Dividends

    1,497,080       3,693,510       2,692,894       990,281       7,049,419  

Investments purchased

    23,724,895       45,601,277       34,120,334       14,949,552       64,167,766  

Offering costs

    133,000       199,187       220,312              

Variation margin on swap contracts

                            22,631  

Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $90,200,000, $63,000,000, $35,000,000 and $—, respectively)

    42,174,140       89,250,956       62,080,298       34,275,818        

Accrued expenses:

         

Interest

          11,183       223,972       89,894       1,292,917  

Management fees

    284,637       659,069       469,313       194,914       1,357,105  

Trustees fees

    67,569       125,500       79,539       14,009       335,290  

Other

    141,218       143,870       152,998       47,693       335,837  

Total liabilities

    172,708,482       398,584,552       278,839,660       114,786,264       780,560,965  

Net assets applicable to common shares

  $ 269,959,113     $ 650,408,271     $ 451,661,263     $ 183,682,149     $ 1,274,301,801  

Common shares outstanding

    38,621,872       55,169,216       38,482,146       10,095,286       135,766,990  

Net asset value (“NAV”) per common share outstanding

  $ 6.99     $ 11.79     $ 11.74     $ 18.19     $ 9.39  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,219     $ 551,692     $ 384,821     $ 100,953     $ 1,357,670  

Paid-in surplus

    324,463,130       765,737,345       526,415,807       192,244,418       1,685,676,692  

Undistributed (Over-distribution of) net investment income

    1,384,577       (953,806     (225,592     (49,235     (5,567,240

Accumulated net realized gain (loss)

    (43,013,389     (89,583,540     (55,397,284     (3,636,295     (331,207,701

Net unrealized appreciation (depreciation)

    (13,261,424     (25,343,420     (19,516,489     (4,977,692     (75,957,620

Net assets applicable to common shares

  $ 269,959,113     $ 650,408,271     $ 451,661,263     $ 183,682,149     $ 1,274,301,801  

Authorized shares:

         

Common

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

Preferred

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

NUVEEN     75  


Statement of

Operations

   Six Months Ended January 31, 2017 (Unaudited)

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 12,129,324        $ 28,048,873        $ 20,193,940        $ 8,550,526        $ 51,397,702  

Fees

     450,681          958,690          693,463          298,686          1,703,062  

Total investment income

     12,580,005          29,007,563          20,887,403          8,849,212          53,100,764  

Expenses

                      

Management fees

     1,696,683          4,046,072          2,830,100          1,141,130          7,998,728  

Interest expense and amortization of offering costs

     1,610,085          3,789,205          2,704,744          881,759          7,138,685  

Custodian fees

     74,435          147,205          105,188          58,906          223,262  

Trustees fees

     6,547          15,607          10,883          4,385          29,957  

Professional fees

     62,105          98,162          105,278          71,142          50,734  

Shareholder reporting expenses

     28,419          53,881          39,052          18,200          116,489  

Shareholder servicing agent fees

     17,233          17,036          16,845          13,118          2,319  

Stock exchange listing fees

     6,237          8,912          6,214          3,939          21,954  

Investor relations expenses

     23,164          53,713          37,370          17,065          109,018  

Other

     19,457          22,867          21,439          13,066          23,551  

Total expenses

     3,544,365          8,252,660          5,877,113          2,222,710          15,714,697  

Net investment income (loss)

     9,035,640          20,754,903          15,010,290          6,626,502          37,386,067  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     (4,021,269        (9,748,326        (5,946,374        (908,916        (9,949,557

Swaps

     39,180          3,663          6,855          (180,967        455,254  

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     13,306,667          33,965,903          22,782,636          7,839,582          32,736,330  

Swaps

     (685,943        238,639          221,906          (76,566        643,488  

Net realized and unrealized gain (loss)

     8,638,635          24,459,879          17,065,023          6,673,133          23,885,515  

Net increase (decrease) in net assets applicable to common shares from operations

   $ 17,674,275        $ 45,214,782        $ 32,075,313        $ 13,299,635        $ 61,271,582  

 

See accompanying notes to financial statements.

 

  76     NUVEEN


Statement of

Changes in Net Assets

  

(Unaudited)

 

     NSL        JFR  
     

Six Months
Ended
1/31/17

       Year
Ended
7/31/16
      

Six Months
Ended
1/31/17

      

Year
Ended

7/31/16

 

Operations

                 

Net investment income (loss)

   $ 9,035,640        $ 17,534,487        $ 20,754,903        $ 40,039,909  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (4,021,269        (1,495,922        (9,748,326        (2,197,879

Swaps

     39,180                   3,663           

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     13,306,667          (15,170,917        33,965,903          (34,129,400

Swaps

     (685,943                 238,639           

Net increase (decrease) in net assets applicable to common shares from operations

     17,674,275          867,648          45,214,782          3,712,630  

Distributions to Common Shareholders

                 

From net investment income

     (8,786,476        (16,299,305        (21,433,240        (39,887,343

From accumulated net realized gains

                                 

Decrease in net assets applicable to common shares from distributions to common shareholders

     (8,786,476        (16,299,305        (21,433,240        (39,887,343

Capital Share Transactions

                 

Common shares:

                 

Net proceeds from shares issued to shareholders due to reinvestment of distributions

                                 

Cost of shares repurchased and retired

              (27,250                  

Net increase (decrease) in net assets applicable to common shares from capital share transactions

              (27,250                  

Net increase (decrease) in net assets applicable to common shares

     8,887,799          (15,458,907        23,781,542          (36,174,713

Net assets applicable to common shares at the beginning of period

     261,071,314          276,530,221          626,626,729          662,801,442  

Net assets applicable to common shares at the end of period

   $ 269,959,113        $ 261,071,314        $ 650,408,271        $ 626,626,729  

Undistributed (Over-distribution of) net investment income at the end of period

   $ 1,384,577        $ 1,135,413        $ (953,806      $ (275,469

 

See accompanying notes to financial statements.

 

NUVEEN     77  


Statement of Changes in Net Assets (Unaudited) (continued)

 

 

     JRO        JSD  
     

Six Months
Ended
1/31/17

      

Year
Ended
7/31/16

      

Six Months
Ended
1/31/17

      

Year
Ended
7/31/16

 

Operations

                 

Net investment income (loss)

   $ 15,010,290        $ 29,495,341        $ 6,626,502        $ 12,262,579  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (5,946,374        (2,403,022        (908,916        (2,399,349

Swaps

     6,855                   (180,967        (411,245

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     22,782,636          (26,311,460        7,839,582          (8,940,636

Swaps

     221,906                   (76,566        50,691  

Net increase (decrease) in net assets applicable to common shares from operations

     32,075,313          780,859          13,299,635          562,040  

Distributions to Common Shareholders

                 

From net investment income

     (15,641,980        (29,320,832        (6,148,029        (11,750,913

From accumulated net realized gains

                                (311,944

Decrease in net assets applicable to common shares from distributions to common shareholders

     (15,641,980        (29,320,832        (6,148,029        (12,062,857

Capital Share Transactions

                 

Common shares:

                 

Net proceeds from shares issued to shareholders due to reinvestment of distributions

     39,101       

 

 

                 

Cost of shares repurchased and retired

                                 

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     39,101                             

Net increase (decrease) in net assets applicable to common shares

     16,472,434          (28,539,973        7,151,606          (11,500,817

Net assets applicable to common shares at the beginning of period

     435,188,829          463,728,802          176,530,543          188,031,360  

Net assets applicable to common shares at the end of period

   $ 451,661,263        $ 435,188,829        $ 183,682,149        $ 176,530,543  

Undistributed (Over-distribution of) net investment income at the end of period

   $ (225,592      $ 406,098        $ (49,235      $ (527,708

 

See accompanying notes to financial statements.

 

  78     NUVEEN


     JQC  
     

Six Months
Ended
1/31/17

      

Year
Ended
7/31/16

 

Operations

       

Net investment income (loss)

   $ 37,386,067        $ 78,359,710  

Net realized gain (loss) from:

       

Investments and foreign currency

     (9,949,557        (19,197,503

Swaps

     455,254          115,868  

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     32,736,330          (63,796,853

Swaps

     643,488          454,325  

Net increase (decrease) in net assets applicable to common shares from operations

     61,271,582          (4,064,453

Distributions to Common Shareholders

       

From net investment income

     (42,223,534        (83,158,181

From accumulated net realized gains

               

Decrease in net assets applicable to common shares from distributions to common shareholders

     (42,223,534        (83,158,181

Capital Share Transactions

       

Common shares:

       

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

               

Cost of shares repurchased and retired

              (2,286,458

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

              (2,286,458

Net increase (decrease) in net assets applicable to common shares

     19,048,048          (89,509,092

Net assets applicable to common shares at the beginning of period

     1,255,253,753          1,344,762,845  

Net assets applicable to common shares at the end of period

   $ 1,274,301,801        $ 1,255,253,753  

Undistributed (Over-distribution of) net investment income at the end of
period

   $ (5,567,240      $ (729,773

 

See accompanying notes to financial statements.

 

NUVEEN     79  


Statement of

Cash Flows

   Six Months Ended January 31, 2017 (Unaudited)

 

     NSL     JFR     JRO     JSD     JQC  

Cash Flows from Operating Activities:

         

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ 17,674,275     $ 45,214,782     $ 32,075,313     $ 13,299,635     $ 61,271,582  

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

    (91,840,452     (214,852,417     (161,151,642     (68,856,449     (491,434,312

Proceeds from sales and maturities of investments

    99,443,360       259,830,564       183,730,749       76,032,055       530,044,850  

Proceeds from (Purchases of) short-term investments, net

    (8,001,741     (41,608,597     (23,250,232     (9,321,026     (1,209,041

Proceeds from (Payments for) swap contracts, net

    39,180       3,663       6,855       (180,967     455,254  

Premiums received (paid) for credit default swaps

                      191,609       51,900  

Payment-in-kind distributions

    (123,111     (288,236     (208,193     (55,580     (417,943

Proceeds from litigation settlement

                      15,388       182,978  

Amortization (Accretion) of premiums and discounts, net

    (1,064,380     (1,675,180     (1,421,027     (843,714     210,768  

Amortization of deferred offering costs

    144,818       261,629       186,589       97,267        

(Increase) Decrease in:

         

Cash collateral at brokers

    (900,000                 (270,000     (109,431

Receivable for dividends

    (106,295     (329,398     (258,744           (129,043

Receivable for interest

    748,437       1,671,703       1,497,933       424,426       3,204,795  

Receivable for investments sold

    (4,732,555     (5,694,676     (4,795,131     (376,820     7,044,358  

Receivable for reclaims

                            246  

Receivable for shares sold

          (31,001                  

Receivable for variation margin on swaps

                            75,448  

Other assets

    33,706       235,176       128,867       (34,949     13,533  

Increase (Decrease) in:

         

Payable for investments purchased

    6,036,639       4,059,980       6,914,405       2,726,238       (44,135,384

Payable for variation margin on swap contracts

                            22,631  

Accrued interest

    (136,450     (309,432     (2,610     (38,080     177,623  

Accrued management fees

    6,600       4,093       11,704       6,703       27,207  

Accrued Trustees fees

    3,986       9,725       6,786       2,584       17,388  

Accrued other expenses

    (93,857     (221,220     (155,673     (27,573     3,154  

Net realized (gain) loss from:

         

Investments and foreign currency

    4,021,269       9,748,326       5,946,374       908,916       9,949,557  

Swaps

    (39,180     (3,663     (6,855     180,967       (455,254

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    (13,306,667     (33,965,903     (22,782,636     (7,839,582     (32,736,330

Swaps(1)

    685,943       (238,639     (221,906     76,566        

Net cash provided by (used in) operating activities

    8,493,525       21,821,279       16,250,926       6,117,614       42,126,534  

Cash Flows from Financing Activities:

         

Proceeds from borrowings

    18,000,000       73,100,000       58,600,000              

Repayments of borrowings

    (15,000,000     (55,000,000     (46,600,000            

(Payments for) deferred offering costs

    (883,808     (1,021,448     (970,561            

(Payments for) VRTP Shares redeemed, at liquidation preference

    (45,000,000     (108,000,000     (75,000,000            

Proceeds from Term Preferred Shares issued, at liquidation preference

    43,000,000       90,200,000       63,000,000              

Increase (Decrease) in payable for offering costs

    133,000       199,187       220,312              

Cash distributions paid to common shareholders

    (8,651,519     (21,105,844     (15,370,029     (6,063,797     (42,085,283

Net cash provided by (used in) financing activities

    (8,402,327     (21,628,105     (16,120,278     (6,063,797     (42,085,283

Net Increase (Decrease) in Cash

    91,198       193,174       130,648       53,817       41,251  

Cash at the beginning of period

                             

Cash at the end of period

    91,198       193,174       130,648       53,817       41,251  
Supplemental Disclosure of Cash Flow Information   NSL     JFR     JRO     JSD     JQC  

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 1,527,810     $ 3,679,755     $ 2,380,769     $ 783,918     $ 6,961,062  

Non-cash financing activities not included herein consists of reinvestments of common share distributions

                39,101              
(1) Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

  80     NUVEEN


THIS PAGE INTENTIONALLY LEFT BLANK

 

NUVEEN     81  


Financial

Highlights (Unaudited)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Invest
ment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Total     Offering
Costs
    Discount
per
Share
Repurchased
and Retired
    Premium
per
Share
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

NSL

 

Year Ended 7/31:

 

2017(h)

  $ 6.76     $ 0.23      $ 0.23      $ 0.46     $ (0.23   $   —     $ (0.23   $     $   —     $   —     $ 6.99     $ 6.93  

2016

    7.16       0.45        (0.43      0.02       (0.42           (0.42                     6.76       6.25  

2015

    7.51       0.45        (0.38      0.07       (0.42           (0.42                       7.16       6.34  

2014

    7.46       0.44        0.05        0.49       (0.44           (0.44                       7.51       6.98  

2013

    7.07       0.54        0.35        0.89       (0.56           (0.56     (0.01           0.07       7.46       7.45  

2012

    7.12       0.57        (0.10      0.47       (0.54           (0.54                 0.02       7.07       7.29  

JFR

 

Year Ended 7/31:

 

2017(h)

    11.36       0.38        0.44        0.82       (0.39           (0.39                       11.79       12.05  

2016

    12.01       0.73        (0.66      0.07       (0.72           (0.72                       11.36       10.68  

2015

    12.59       0.75        (0.61      0.14       (0.72           (0.72                       12.01       10.67  

2014

    12.54       0.75        0.06        0.81       (0.76           (0.76                   12.59       11.72  

2013

    11.87       0.90        0.68        1.58       (0.97           (0.97               0.06       12.54       12.72  

2012

    12.06       1.02        (0.25      0.77       (0.96           (0.96                     11.87       11.78  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

NSL

 

Year Ended 7/31:

 

2017(h)

    1.20 %** 

2016

    1.08  

2015

    0.89  

2014

    0.72  

2013

    0.47  

2012

    0.47  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2017(h)

    1.18 %** 

2016

    1.08  

2015

    0.88  

2014

    0.71  

2013

    0.48  

2012

    0.51  
 

 

  82     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  6.86     14.73   $ 269,959       2.65 %**      6.75 %**      N/A       N/A       25
  0.61       5.89       261,071       2.53       6.84       N/A       N/A       29  
  0.96       (3.25     276,530       2.37       6.08       N/A       N/A       34  
  6.78       (0.29     290,088       2.15       5.89       N/A       N/A       58  
  13.89       10.23       288,025       1.74       7.32       N/A       N/A       76  
  7.34       12.78       231,866       1.82       8.34       N/A       N/A       64  
                                                             
             
  7.31       16.74       650,408       2.57 **      6.46 **      N/A       N/A       24  
  0.93       7.50       626,627       2.46       6.52       N/A       N/A       26  
  1.15       (2.88     662,801       2.29       6.08       N/A       N/A       33  
  6.62       (1.84     694,584       2.05       5.94       N/A       N/A       52  
  14.26       16.76       691,312       1.71       7.34       N/A       N/A       69  
  6.91       12.43       572,118       1.79       8.72       1.72     8.80     57  

 

(d) After expense reimbursement from the Adviser, where applicable. As of March 31, 2012, the Adviser is no longer reimbursing JFR for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for the matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) of Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

NSL

 

Year Ended 7/31:

 

2017(h)

   

2016

     

2015

     

2014

     

2013

     

2012

    (0.01
Increase (Decrease) of
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

JFR

 

Year Ended 7/31:

 

2017(h)

   

2016

     

2015

     

2014

     

2013

     

2012

    0.01  
 

 

(f) The Fund had no matured senior loans subsequent to the fiscal year ended July 31, 2012.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(h) For the six months ended January 31, 2017.
* Rounds to less than $0.01 per share.
** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     83  


Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

           Investment Operations     Less Distributions to
Common Shareholders
     Common Share  
     Beginning
Common
Share
NAV
     Net
Investment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
     Total      Offering
Costs
     Premium
per
Share
Sold
through
Shelf
Offering
     Ending
NAV
     Ending
Share
Price
 

JRO

 

Year Ended 7/31:

                             

2017(h)

  $ 11.31      $ 0.39      $ 0.45      $ 0.84     $ (0.41   $      $ (0.41    $      $      $ 11.74      $ 12.16  

2016

    12.05        0.77        (0.75      0.02       (0.76            (0.76                    11.31        10.72  

2015

    12.68        0.79        (0.66      0.13       (0.76            (0.76                    12.05        10.82  

2014

    12.55        0.78        0.14        0.92       (0.79            (0.79                12.68        12.40  

2013

    11.84        0.95        0.68        1.63       (1.04            (1.04      (0.01      0.13        12.55        12.73  

2012

    11.96        1.13        (0.26      0.87       (1.01            (1.01             0.02        11.84        12.09  

JSD

 

Year Ended 7/31:

                             

2017(h)

    17.49        0.66        0.65        1.31       (0.61            (0.61                    18.19        18.15  

2016

    18.63        1.21        (1.16      0.05       (1.16     (0.03      (1.19                    17.49        16.16  

2015

    19.48        1.22        (0.87      0.35       (1.16     (0.04      (1.20                    18.63        16.41  

2014

    19.91        1.29        (0.02      1.27       (1.37     (0.33      (1.70                  19.48        18.20  

2013

    19.49        1.61        0.49        2.10       (1.61     (0.07      (1.68                  19.91        19.89  

2012

    19.08        1.56        0.25        1.81       (1.40            (1.40                    19.49        19.54  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
  Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Borrowing Arrangements), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JRO

 

Year Ended 7/31:

 

2017(h)

    1.21 %** 

2016

    1.08  

2015

    0.89  

2014

    0.71  

2013

    0.46  

2012

    0.47  

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2017(h)

    0.97 %** 

2016

    0.82  

2015

    0.45  

2014

    0.50  

2013

    0.50  

2012

    0.47  
 

 

  84     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)(e)
    Expenses     Net
Investment
Income (Loss)(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  7.51     17.52   $ 451,661       2.63 %**      6.72 %**      N/A       N/A       26
  0.53       6.91       435,189       2.49       6.91       N/A       N/A       27  
  1.03       (6.74     463,729       2.31       6.41       N/A       N/A       34  
  7.54       3.91       487,784       2.07       6.16       N/A       N/A       55  
  15.27       14.42       482,204       1.71       7.73       N/A       N/A       72  
  8.03       15.20       369,939       1.74       9.75       1.65     9.85     85  
                                                             
             
  7.65       16.37       183,682       2.45 **      7.30 **      N/A       N/A       27  
  0.62       6.52       176,531       2.27       7.05       N/A       N/A       34  
  1.87       (3.27     188,031       1.78       6.43       N/A       N/A       31  
  6.59       0.16       196,613       1.88       6.52       N/A       N/A       45  
  11.17       10.77       201,031       1.80       8.12       N/A       N/A       82  
  9.96       14.77       195,165       1.75       8.25       N/A       N/A       62  

 

(d) After expense reimbursement from the Adviser, where applicable. As of July 31, 2012, the Adviser is no longer reimbursing JRO for any fees or expenses.
(e) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) to Ratios
of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

JRO

 

Year Ended 7/31:

 

2017(h)

   

2016

     

2015

     

2014

     

2013

     

2012

    0.01  
Increase (Decrease) to Ratios
of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(f)
 

JSD

 

Year Ended 7/31:

 

2017(h)

   

2016

     

2015

     

2014

     

2013

     

2012

     
 

 

(f) JRO had no matured senior loans subsequent to the fiscal year ended July 31, 2012. JSD has not had any matured senior loans since its commencement of operations on May 25, 2011.
(g) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(h) For the six months ended January 31, 2017.
* Rounds to less than $0.01 per share.
** Annualized.
N/A Fund does not have, or no longer has, a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     85  


Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From
Accumulated
Net Realized
Gains
    Return of
Capital
    Total     Discount
per
Share
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

JQC

 

       

Year Ended 7/31:

 

 

2017(k)

  $ 9.25     $ 0.28     $ 0.17     $ 0.45     $ (0.31   $   —     $   —     $ (0.31   $     $ 9.39     $ 8.84  

2016

    9.88       0.58       (0.60     (0.02     (0.61                 (0.61         9.25       8.43  

2015

    10.25       0.62       (0.43     0.19       (0.56                 (0.56         9.88       8.59  

2014

    10.13       0.60       0.16       0.76       (0.64                 (0.64         10.25       9.05  

2013(j)

    9.88       0.42       0.29       0.71       (0.46                 (0.46           10.13       10.03  

Year Ended 12/31:

 

             

2012

    9.18       0.78       0.72       1.50       (0.80                 (0.80           9.88       9.65  

2011

    10.13       0.55       (0.72     (0.17     (0.79                 (0.79     0.01       9.18       8.05  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c) After expense reimbursement from the Adviser, where applicable. As of June 30, 2011, the Adviser is no longer reimbursing the Fund for any fees or expenses.
(d)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable (as described in Note 9 – Borrowing Arrangements).
    Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC

  Ratios of Dividends Expense
on Securities Sold Short
to Average Net Assets Applicable
to Common Shares(i)
    Ratios of Borrowings
Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

 

2017(k)

        1.12 %*** 

2016

          1.01  

2015

          0.66  

2014

          0.52  

2013(j)

          0.55 *** 

Year Ended 12/31:

 

2012

    **      0.58  

2011

    **      0.43  

 

  86     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(d)
    Ratios to Average Net Assets
After Reimbursement(c)(d)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income Loss(f)
    Expenses     Net
Investment
Income Loss(f)
    Portfolio
Turnover
Rate(h)
 
                                                             
             
  4.94     8.70   $ 1,274,302       2.46 %***      5.85 %***      N/A       N/A       26
  0.11       5.98       1,255,254       2.41       6.32       N/A       N/A       46  
  1.82       1.02       1,344,763       1.95       6.16       N/A       N/A       61  
  7.74       (3.44     1,396,303       1.77       5.84       1.76 %(e)      5.85 %(e)      65  
  7.32       8.80       1,380,261       1.77 ***      7.22 ***      N/A       N/A       44  
             
  16.80       30.55       1,345,657       1.86       8.07       N/A       N/A       127  
  (1.70)       0.24       1,250,245       1.70       5.44       1.65       5.49       37  

 

(e) During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with a common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares reflect the voluntary expense reimbursement from Adviser.
(f) Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

 

Increase (Decrease) to
Ratios of
Net Investment Income (Loss) to
Average Net
Assets Applicable to Common
Shares(g)
 

Year Ended 7/31:

 

2017(k)

   

2016

     

2015

     

2014

     

2013(j)

     

Year Ended 12/31:

 

2012

    ** 

2011

    ** 
 

 

(g) The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.
(h) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(i) Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.
(j) For the seven months ended July 31, 2013.
(k) For the six months ended January 31, 2017.
* Rounds to less than $0.01 per share.
** Rounds to less than 0.01%.
*** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     87  


Financial Highlights (Unaudited) (continued)

 

 

    Borrowings
at the End of Period
       VRTP Shares
at the End of Period
       Term Preferred
at the End of Period
       Borrowings,
VRTP Shares and/or
Term Preferred
at the End of Period
 
     Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share(c)
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $100,000
Share
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share
       Asset
Coverage
Per $1
Liquidation
Preference
 

NSL

 

                                                      

Year Ended 7/31:

 

                        

2017(b)

  $ 104,000        $ 4,009        $        $        $ 43,000        $ 2,836        $ 2.84  

2016

    101,000          4,030          45,000          278,816                            2.79  

2015

    112,500          3,974          58,000          262,188                            2.62  

2014

    112,000          4,108          58,000          270,640                            2.71  

2013

    123,000          3,342                                               

2012

    100,000          3,319                                               

JFR

 

                                                      

Year Ended 7/31:

 

                        

2017(b)

    258,900          3,861                            90,200          2,863          2.86  

2016

    240,800          4,051          108,000          279,652                            2.80  

2015

    270,300          3,966          139,000          261,935                            2.62  

2014

    269,000          4,099          139,000          270,241                            2.70  

2013

    295,200          3,342                                               

2012

    249,200          3,296                                               

JRO

 

                                                      

Year Ended 7/31:

 

                        

2017(b)

    178,800          3,878                            63,000          2,868          2.87  

2016

    166,800          4,059          75,000          279,979                            2.80  

2015

    188,800          3,975          98,000          261,691                            2.62  

2014

    188,000          4,116          98,000          270,554                            2.71  

2013

    201,900          3,388                                               

2012

    159,900          3,314                                               

JSD

 

                                                      

Year Ended 7/31:

 

                        

2017(b)

    64,000          4,417                            35,000          2,855          2.86  

2016

    64,000          4,305                            35,000          2,783          2.78  

2015

    85,200          3,207                                               

2014

    85,000          3,313                                               

2013

    85,000          3,365                                               

2012

    85,000          3,296                                               

JQC

 

                                                      

Year Ended 7/31:

 

                        

2017(b)

    561,000          3,271                                               

2016

    561,000          3,238                                               

2015

    640,000          3,101                                               

2014

    606,000          3,304                                               

2013(a)

    561,000          3,460                                               

Year Ended 12/31:

 

                        

2012

    561,000          3,399                                               

2011

    517,000          3,418                                               

 

  88     NUVEEN


(a) For the seven months ended July 31, 2013.
(b) For the six months ended January 31, 2017.
(c) Beginning with the fiscal year ended July 31, 2017, the Funds are calculating Asset Coverage Per $1,000 of Borrowings as defined under the 1940 Act and not as defined for financial reporting purposes. For purposes of calculating Asset Coverage as defined under the 1940 Act, the outstanding preferred shares are excluded because they are treated as to be equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

NSL

                  

Year Ended 7/31:

 

    

2016

  $ 101,000        $ 2,788  

2015

    112,500          2,622  

2014

    112,000          2,706  
    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JFR

               

Year Ended 7/31:

 

 

2016

  $ 240,800     $ 2,797  

2015

    270,300       2,619  

2014

    269,000       2,702  
 

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

JRO

                  

Year Ended 7/31:

 

    

2016

  $ 166,800        $ 2,800  

2015

    188,800          2,617  

2014

    188,000          2,706  

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JSD

               

Year Ended 7/31:

 

 

2016

  $ 64,000     $ 2,783  

 

 

See accompanying notes to financial statements.

 

NUVEEN     89  


Notes to

Financial Statements (Unaudited)

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

The funds covered in this report and their corresponding New York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):

 

    Nuveen Senior Income Fund (NSL)

 

    Nuveen Floating Rate Income Fund (JFR)

 

    Nuveen Floating Rate Income Opportunity Fund (JRO)

 

    Nuveen Short Duration Credit Opportunities Fund (JSD)

 

    Nuveen Credit Strategies Income Fund (JQC)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NSL, JFR, JRO, JSD and JQC were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004, January 3, 2011 and May 17, 2003, respectively.

The end of the reporting period for the Funds is January 31, 2017, and the period covered by these Notes to Financial Statements is the six months ended January 31, 2017 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

NSL’s investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees and Other Transactions with Affiliates) in adjustable rate senior loans. Senior loans that satisfy the 80% requirement may be secured or unsecured so long as any unsecured senior loans are investment grade quality. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JFR’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JRO’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.

JSD’s investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality.

 

  90     NUVEEN


 

The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

JQC’s investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

The Funds can invest up to 5% in iBOXX Loan Total Return Swaps.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

    

NSL

     JFR      JRO      JSD     

JQC

 

Outstanding when-issued/delayed delivery purchase commitments

  $ 23,303,828      $ 44,403,677      $ 33,292,899      $ 14,538,186      $ 64,167,766  

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.

Dividends and Distributions to Common Shareholders

Dividends from net investment income to common shareholders are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

 

NUVEEN     91  


Notes to Financial Statements (Unaudited) (continued)

 

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the current fiscal period. Actual results may differ from those estimates.

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2.

Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Funds’ Board of Trustees (the “Board”). The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Like most fixed-income securities, the senior and subordinated loans in which the Funds invest are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

Exchange-traded funds are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1.

Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

 

  92     NUVEEN


 

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

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:

 

NSL

   Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 357,543,364      $      $ 357,543,364  

Common Stocks**

     3,632,427        2,585,398        ***       6,217,825  

$25 Par (or similar) Retail Preferred**

            17               17  

Corporate Bonds

            36,041,571               36,041,571  

Short-Term Investments:

           

Repurchase Agreements

            23,888,748               23,888,748  

Investments in Derivatives:

           

Interest Rate Swaps****

            (685,943             (685,943

Total

   $ 3,632,427      $ 419,373,155      $      $ 423,005,582  

JFR

                               

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 802,732,682      $      $ 802,732,682  

Common Stocks**

     5,291,301        6,334,812        2        11,626,115  

$25 Par (or similar) Retail Preferred**

            110               110  

Convertible Bonds

            825,562               825,562  

Corporate Bonds

            77,896,327               77,896,327  

Asset-Backed Securities

            32,541,618               32,541,618  

Investment Companies

     11,948,916                      11,948,916  

Short-Term Investments:

           

Repurchase Agreements

            73,311,435               73,311,435  

Investments in Derivatives:

           

Interest Rate Swaps****

            238,639               238,639  

Total

   $ 17,240,217      $ 993,881,185      $ 2      $ 1,011,121,404  

 

NUVEEN     93  


Notes to Financial Statements (Unaudited) (continued)

 

JRO

   Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 570,589,162      $      $ 570,589,162  

Common Stocks**

     4,786,279        5,186,499        1        9,972,779  

$25 Par (or similar) Retail Preferred**

            34               34  

Convertible Bonds

            534,187               534,187  

Corporate Bonds

            57,303,433               57,303,433  

Asset-Backed Securities

            19,715,311               19,715,311  

Short-Term Investments:

           

Repurchase Agreements

            47,667,107               47,667,107  

Investments in Derivatives:

           

Interest Rate Swaps****

            221,906               221,906  

Total

   $ 4,786,279      $ 701,217,639      $ 1      $ 706,003,919  
JSD                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 243,089,228      $      $ 243,089,228  

Common Stocks**

     482,955        1,901,220               2,384,175  

Corporate Bonds

            25,275,249               25,275,249  

Short-Term Investments:

           

Repurchase Agreements

            16,871,737               16,871,737  

Investments in Derivatives:

           

Interest Rate Swaps****

            (224,103 )               (224,103

Total

   $ 482,955      $ 286,913,331      $      $ 287,396,286  
JQC                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 1,389,713,676      $      $ 1,389,713,676  

Common Stocks**

     5,705,760        1,828,367        ***       7,534,127  

Exchange-Traded Funds

     92,850,953                      92,850,953  

Corporate Bonds

            390,805,750               390,805,750  

Short-Term Investments:

           

Repurchase Agreements

            105,746,995               105,746,995  

Investments in Derivatives:

           

Credit Default Swaps****

            1,097,813               1,097,813  

Total

   $ 98,556,713      $ 1,889,192,601      $      $ 1,987,749,314  
* Refer to the Fund’s Portfolio of Investments for industry classifications, where applicable.
** Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3.
*** Value equals zero as of the end of the reporting period.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:

 

  (i) If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.

 

  (ii) If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

 

  94     NUVEEN


 

The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds may invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following table presents the repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

 

Fund    Counterparty    Short-Term
Investments, at Value
       Collateral
Pledged (From)
Counterparty*
       Net
Exposure
 

NSL

  

Fixed Income Clearing Corporation

   $ 23,888,748        $ (23,888,748      $  

JFR

  

Fixed Income Clearing Corporation

     73,311,435          (73,311,435         

JRO

  

Fixed Income Clearing Corporation

     47,667,107          (47,667,107         

JSD

  

Fixed Income Clearing Corporation

     16,871,737          (16,871,737         

JQC

  

Fixed Income Clearing Corporation

     105,746,995          (105,746,995         
* As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements.

Zero Coupon Securities

A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

 

NUVEEN     95  


Notes to Financial Statements (Unaudited) (continued)

 

Investments in Derivatives

Each Fund is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).

The amount of the payment obligation is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net)” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.

During the current fiscal period, NSL, JFR, JRO and JSD used interest rate swaps in which each Fund received payments based upon floating (one- or three-month) LIBOR rates, and paid a fixed rate of interest. The purpose of the interest rate swaps is to convert some portion of a Fund’s floating rate leverage (bank borrowings) to fixed rate through the maturity date of the swap. The Funds also entered into a cancellable interest rate swap in which the Funds received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue.

 

  96     NUVEEN


 

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

     NSL     JFR     JRO     JSD  

Average notional amount of interest rate swap contracts outstanding*

  $ 28,666,667     $ 30,066,667     $ 21,000,000     $ 52,500,000  
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

Credit Default Swap Contracts

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When a Fund has bought (sold) protection in a credit default swap upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps (, net)” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, JSD and JQC invested in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

 

    

JSD

   

JQC

 

Average notional amount of credit default swap contracts outstanding*

  $ 2,166,667     $ 20,000,000  
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.

 

NUVEEN     97  


Notes to Financial Statements (Unaudited) (continued)

 

The following table presents the fair value of all swap contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative Instrument  

Asset Derivatives

         

(Liability) Derivatives

 
     Location    Value            Location    Value  
NSL               
Interest rate        Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (685,943
JFR               
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net    $ (62,212        $  
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net      300,851                   
Total             $ 238,639                  $  
JRO               
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net    $ (52,106        $  
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps, net      274,012                   
Total             $ 221,906                  $  
JSD               
Interest rate    Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (224,103
JQC               
Credit    Swaps (OTC Cleared)      $             Payable for variation margin on swap contracts**^    $ 1,097,813  
** Value represents the unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability amount as described above.
^ Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.

The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund    Counterparty   Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
    Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
    Amounts
Netted on
Statement
of Assets and
Liabilities
    Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
NSL   

Morgan Stanley Capital Services, LLC

  $     $ (685,943   $     $ (685,943   $ 685,943     $  
JFR   

Morgan Stanley Capital Services, LLC

    300,851       (62,212     (62,212     238,639       (157,936     80,703  
JRO   

Morgan Stanley Capital Services, LLC

    274,012       (52,106     (52,106     221,906       (157,936     63,970  
JSD   

Morgan Stanley Capital Services, LLC

          (224,103           (224,103     224,103        
*** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

 

  98     NUVEEN


 

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund      Underlying
Risk Exposure
     Derivative
Instrument
     Net Realized
Gain (Loss)
from Swaps
       Change in Net
Unrealized
Appreciation
(Depreciation)
of Swaps
 
NSL      Interest rate      Swaps      $ 39,180        $ (685,943
JFR      Interest rate      Swaps      $ 3,663        $ 238,639  
JRO      Interest rate      Swaps      $ 6,855        $ 221,906  
JSD                    
     Credit      Swaps      $ (170,121      $ 158,625  
       Interest rate      Swaps        (10,846        (235,191
Total                    $ (180,967      $ (76,566
JQC      Credit      Swaps      $ 455,254        $ 643,488  

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Common Share Transactions

Transactions in common shares for the following Funds during the current and prior fiscal period were as follows:

 

     NSL      JRO      JQC  
      Six Months Ended
1/31/17
     Year Ended
7/31/16
     Six Months Ended
1/31/17
     Year Ended
7/31/16
     Six Months Ended
1/31/17
     Year Ended
7/31/16
 

Common shares:

                 

Issued to shareholders due to reinvestment of distributions

                   3,364                       

Repurchased and retired

            (5,000                           (304,100

Weighted average common share:

                 

Price per share repurchased and retired

          $ 5.43                           $ 7.50  

Discount per share repurchased and retired

            15.42                           16.69

 

NUVEEN     99  


Notes to Financial Statements (Unaudited) (continued)

 

Preferred Shares

Term Preferred Shares

The following Funds have issued and have outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting period, the outstanding Term Preferred, at liquidation preference, for each Fund were as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 

NSL

    2021          43,000        $ 43,000,000  

JFR

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
      2027          55,000          55,000,000  

JRO

    2022          10,000        $ 10,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

JSD

    2020          35,000        $ 35,000,000  

Each Fund is obligated to redeem its Term Preferred by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. The Term Preferred are subject to redemption at the option of each Fund, subject to payment of a premium for approximately one year following the date of issuance (“Optional Redemption Premium Expiration Date”), and at liquidation preference per share plus accumulated but unpaid dividends. Term Preferred are subject to mandatory redemption in certain circumstances. Each Fund may be obligated to redeem a certain amount of the Term Preferred if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share (plus any premium) plus any accumulated but unpaid dividends. The Term Redemption Date and Optional Redemption Premium Expiration Date for each Fund’s series of Term Preferred are as follows:

 

Fund   Series        Term
Redemption Date
       Optional
Redemption Premium
Expiration Date
 

NSL

    2021          November 1, 2021          October 31, 2017  

JFR

    2019          December 1, 2019          November 30, 2017  
    2022          January 1, 2022          December 31, 2017  
      2027          January 1, 2027          December 31, 2017  

JRO

    2022          January 1, 2022          December 31, 2017  
    2023          December 1, 2023          November 30, 2017  
      2027          January 1, 2027          December 31, 2017  

JSD

    2020          November 1, 2020          October 31, 2016  

The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for the Fund during the current fiscal period were as follows:

 

     NSL*        JFR**        JRO**        JSD  

Average liquidation preference of Term Preferred outstanding

  $ 43,000,000        $ 59,557,143        $ 40,071,429        $ 35,000,000  

Annualized dividend rate

    1.98        3.14        3.32        1.49
* For the period October 31, 2016 (first issuance of shares) through January 31, 2017.
** For the period November 23, 2016 (first issuance of shares) through January 31, 2017.

Term Preferred generally do not trade, and market quotations are generally not available. Term Preferred are short-term instruments that pay a dividend rate, subject to adjustment as set forth in accordance with the offering documents. The fair value of Term Preferred is expected to be approximately its liquidation preference so long as the fixed “spread” on the Term Preferred remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Fund’s Adviser has determined that the fair value of Term Preferred is approximately its liquidation preference, but its fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of Term Preferred is a liability and is recognized as “Term Preferred Shares (“Term Preferred”), net of deferred offering cost” on the Statement of Assets and Liabilities.

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid

 

  100     NUVEEN


 

dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

NSL incurred offering costs of $850,000 in connection with its issuance of Series 2021 Term Preferred, JFR incurred offering costs of $970,000 in connection with its issuance of Series 2019, Series 2022 and Series 2027 Term Preferred and JRO incurred offering costs of $935,000 in connection with its issuance of Series 2022, Series 2023 and Series 2027 Term Preferred, which were recorded as a deferred charge and is being amortized over the life of the shares. These offering costs are recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Variable Rate Term Preferred Shares

During the current fiscal period, NSL, JFR and JRO had issued and had outstanding Variable Rate Term Preferred (“VRTP”) Shares, with a $100,000 liquidation preference per share. VRTP Shares were issued via private placement and were not publicly available.

On November 22, 2016, December 20, 2016 and December 28, 2016, NSL, JFR and JRO redeemed all of its outstanding Series C-4 VRTP Shares, respectively. Each Fund’s VRTP Shares were redeemed at their $100,000 liquidation preference per share, plus dividend amounts owed, using proceeds from its issuance of Term Preferred (as described above in Term Preferred Shares).

The average liquidation preference of VRTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

 

    

NSL*

       JFR**       

JRO***

 

Average liquidation preference of VRTP Shares outstanding

  $ 45,000,000        $ 102,090,141        $ 68,380,000  

Annualized dividend rate

    2.23        2.28        2.28
* For the period August 1, 2016 through November 22, 2016.
** For the period August 1, 2016 through December 20, 2016.
*** For the period August 1, 2016 through December 28, 2016.

VRTP Shares were subject to restrictions on transfer, generally do not trade, and market quotations were generally not available. VRTP Shares were short-term or short/intermediate-term instruments that paid a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VRTP Shares was expected to be approximately their liquidation preference so long as the fixed “spread” on the VRTP Shares remained roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser had determined that the fair value of VRTP Shares was approximately their liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of VRTP Shares was a liability and was recognized as “Variable Rate Term Preferred (“VRTP”) Shares, net of deferred offering cost” on the Statement of Assets and Liabilities.

Dividends on VRTP Shares (which were treated as interest payments for financial reporting purposes) were set monthly. Unpaid dividends on VRTP Shares were recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRTP Shares were recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

In conjunction with NSL, JFR and JRO redemption of VRTP Shares, the remaining deferred offering costs of $33,808, $51,448 and $35,561, respectively, were fully expensed during the current fiscal period, as the redemptions were deemed on extinguishment of debt.

Preferred Share Transactions

Transactions in preferred shares for the Funds during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.

Transactions in Term Preferred for the Funds, where applicable, were as follows:

 

    Six Months Ended
January 31, 2017
 
NSL   Series        Shares        Amount  

Term Preferred issued

    2021          43,000        $ 43,000,000  
    Six Months Ended
January 31, 2017
 
JFR   Series        Shares        Amount  

Term Preferred issued

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
      2027          55,000          55,000,000  

Total

               90,200        $ 90,200,000  

 

NUVEEN     101  


Notes to Financial Statements (Unaudited) (continued)

 

    Six Months Ended
January 31, 2017
 
JRO   Series        Shares        Amount  

Term Preferred issued

    2022          10,000        $ 10,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

Total

               63,000        $ 63,000,000  
    Year Ended
July 31, 2016
 

JSD

    Series          Shares          Amount  

Term Preferred issued

    2020          35,000        $ 35,000,000  

Transactions in VRTP Shares for the Funds, where applicable, were as follows:

    Six Months Ended
January 31, 2017
       Year Ended
July 31, 2016
 
NSL   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (450      $ (45,000,000        C-4          (130      $ (13,000,000
    Six Months Ended
January 31, 2017
       Year Ended
July 31, 2016
 
JFR   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (1,080      $ (108,000,000        C-4          (310      $ (31,000,000
    Six Months Ended
January 31, 2017
       Year Ended
July 31, 2016
 
JRO   Series        Shares        Amount        Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (750      $ (75,000,000        C-4          (230      $ (23,000,000

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:

 

    

NSL

      

JFR

      

JRO

      

JSD

      

JQC

 

Purchases

  $ 91,840,452        $ 214,852,417        $ 161,151,642        $ 68,859,449        $ 491,434,312  

Sales and maturities

    99,443,360          259,830,564          183,730,749          76,032,055          530,044,850  

6. Income Tax Information

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gain to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization (except for Senior Income (NSL)). To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.

 

  102     NUVEEN


 

As of January 31, 2017, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives, where applicable), as determined on a federal income tax basis, were as follows:

 

    

NSL

      

JFR

      

JRO

      

JSD

      

JQC

 

Cost of investments

  $ 436,466,556        $ 1,040,196,608        $ 727,690,381        $ 292,935,603        $ 2,071,138,089  

Gross unrealized:

                     

Appreciation

  $ 11,923,213        $ 24,609,515        $ 19,022,166        $ 7,529,345        $ 37,279,588  

Depreciation

    (24,698,244        (53,923,358        (40,930,534        (12,844,559        (121,766,176

Net unrealized appreciation (depreciation) of investments

  $ (12,775,031      $ (29,313,843      $ (21,908,368      $ (5,315,214      $ (84,486,588

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and distribution reallocations, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2016, the Funds’ last tax year end, as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Paid-in-surplus

     $ (246,607    $ (536,128    $ (398,785    $ (125,370    $ (150,044,569

Undistributed (Over-distribution of) net investment income

       242,343        680,879        513,778        (140,186      1,927,869  

Accumulated net realized gain (loss)

       4,264        (144,751      (114,993      265,556        148,116,700  

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2016, the Funds’ last tax year end, were as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Undistributed net ordinary income1

     $ 2,607,282      $ 6,045,001      $ 4,531,811      $ 600,115      $ 11,101,941  

Undistributed net long-term capital gains

                                    

1      Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2016, paid on August 1, 2016. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

       

The tax character of distributions paid during the Funds’ last tax year ended July 31, 2016, was designated for purposes of the dividends paid deduction as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Distributions from net ordinary income2

     $ 17,339,780      $ 42,391,135      $ 31,080,403      $ 12,297,700      $ 83,039,736  

Distributions from net long-term capital gains

                            93,282         
2  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

As of July 31, 2016, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Expiration:

                

July 31, 2017

     $ 6,925,213      $ 9,819,992      $ 503,687      $        $289,143,715  

July 31, 2018

       29,264,459        67,020,214        46,332,843               8,513,146  

Not subject to expiration

       2,641,727        2,638,853        2,257,033        2,361,607        22,842,170  

Total

     $ 38,831,399      $ 79,479,059      $ 49,093,563      $ 2,361,607        $320,499,031  

As of July 31, 2016, the Funds’ last tax year end, $150,044,543 of JQC’s capital loss carryforward expired.

7. Management Fees and Other Transactions with Affiliates

Management Fees

Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

 

NUVEEN     103  


Notes to Financial Statements (Unaudited) (continued)

 

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

 

Average Daily Managed Assets*  

NSL

JFR

JRO

JSD
Fund-Level Fee

   

JQC
Fund-Level Fee

 

For the first $500 million

    0.6500     0.6800

For the next $500 million

    0.6250       0.6550  

For the next $500 million

    0.6000       0.6300  

For the next $500 million

    0.5750       0.6050  

For managed assets over $2 billion

    0.5500       0.5800  

The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily managed assets:

 

Complex-Level Managed Asset Breakpoint Level*      Effective Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996  

$57 billion

       0.1989  

$60 billion

       0.1961  

$63 billion

       0.1931  

$66 billion

       0.1900  

$71 billion

       0.1851  

$76 billion

       0.1806  

$80 billion

       0.1773  

$91 billion

       0.1691  

$125 billion

       0.1599  

$200 billion

       0.1505  

$250 billion

       0.1469  

$300 billion

       0.1445  
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2017, the complex-level fee rate for each Fund was 0.1621%.

Other Transactions with Affiliates

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the Funds had no such unfunded senior loan commitments.

Participation Commitments

With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, the Funds had no such outstanding participation commitments.

 

  104     NUVEEN


 

9. Borrowing Arrangements

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. Each Fund’s maximum commitment amount under its Borrowings is as follows:

 

     NSL        JFR       

JRO

 

Maximum commitment amount

  $ 115,000,000        $ 290,000,000        $ 195,000,000  

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

     NSL        JFR       

JRO

 

Outstanding balance on Borrowings

  $ 104,000,000        $ 258,900,000        $ 178,800,000  

For the period August 1, 2016 through January 30, 2017, interest was charged on these Borrowings is based on the bank’s commercial paper issuance rate plus 0.75% per annum drawn fee on the amount borrowed and 0.15% per annum on the undrawn balance of the maximum commitment amount. The Funds also accrued an upfront fee of 0.15% per annum on the maximum commitment amount. Beginning on January 31, 2017, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if less than 50% of the maximum commitment amount, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively,

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR       

JRO

 

Average daily balance outstanding

  $ 105,451,087        $ 268,972,826        $ 186,757,609  

Average annual interest rate

    1.62        1.55        1.58

Borrowings Information for JSD

The Fund has entered into a 364-day revolving line of credit. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JSD

 

Maximum commitment amount

  $ 75,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JSD

 

Outstanding balance on Borrowings

  $ 64,000,000  

On August 4, 2016, JSD renewed its Borrowings through August 3, 2017. The interest charged on these Borrowings is at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrues an amendment fee of 0.10% per annum on the maximum commitment amount of the Borrowings and a 0.15% per annum on the undrawn portion if less than 50% of the maximum commitment, however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue a 0.25% per annum on the portion of the Borrowings.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JSD

 

Average daily balance outstanding

  $ 64,000,000  

Average annual interest rate

    1.45

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. The Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JQC

 

Maximum commitment amount

  $ 640,000,000  

 

NUVEEN     105  


Notes to Financial Statements (Unaudited) (continued)

 

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JQC

 

Outstanding balance on Borrowings

  $ 561,000,000  

Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.15%. The Fund also accrues a 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JQC

 

Average daily balance outstanding

  $ 561,000,000  

Average annual interest rate

    1.95

Reverse Repurchase Agreements

During the current fiscal period, JQC entered into reverse repurchase agreements as a means of leverage. In a reverse repurchase agreement, the Fund sells to the counterparty a security or securities that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will segregate assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Counterparty      Rate       

Proceeds

Amount

       Maturity        Value        Value and
Accrued Interest
 

Societe Generale

       3-Month LIBOR plus 1.15      $ (145,000,000        4/15/20        $ (145,000,000      $ (145,282,244

During the current fiscal period, the average daily balance outstanding and weighted average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

      

JQC

 

Average daily balance outstanding

       $145,000,000  

Weighted average interest rate

       1.95

The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.

 

Counterparty    Reverse Repurchase
Agreements*
       Collateral Pledged
to Counterparty**
       Net
Exposure
 

Societe Generale

   $ (145,282,244      $ 145,282,244        $  
* Represents gross value and accrued interest for the counterparty as reported in the preceding table.
** As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements.

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest charged on the amount borrowed and other fees incurred on the Borrowings are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

10. Subsequent Events

Common Shares Equity Shelf Programs and Offering Costs

During February 2017, NSL, JFR, JRO and JSD filed registration statements with the Securities and Exchange Commission authorizing the Funds to issue an additional 8.8 million, 12.9 million, 8.5 million and 1 million common shares, respectively, through their equity shelf programs.

Borrowing Arrangements

Subsequent to the current fiscal period, NSL, JFR, JRO and JSD increased the outstanding balance on their Borrowings to $114,000,000, $288,900,000, $195,000,000 and $72,000,000, respectively.

 

  106     NUVEEN


Additional

Fund Information

 

Board of Trustees          
William Adams IV*  

Margo Cook*

  Jack B. Evans   William C. Hunter   David J. Kundert  

Albin F. Moschner

John K. Nelson   William J. Schneider   Judith M. Stockdale   Carole E. Stone   Terence J. Toth   Margaret L Wolff

 

* Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Drive

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

State Street Bank
& Trust Company

Nuveen Funds

P.O. Box 43071

Providence, RI 02940-3071

(800) 257-8787

 

 

 

Quarterly Form N-Q Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

Nuveen Funds’ Proxy Voting Information

You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common Share Repurchases

Each Fund intends to repurchase, through its open market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased

                                         

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

NUVEEN     107  


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.

 

  Collateralized Loan Obligation (CLO): A security backed by a pool of debt, often low rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

 

  Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

 

  Credit Suisse Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

  Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund’s portfolio.

 

  Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

  Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

  Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

  108     NUVEEN


Reinvest Automatically,

Easily and Conveniently

 

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

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

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

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

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

Call today to start reinvesting distributions

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

 

 

NUVEEN     109  


Notes

 

 

  110     NUVEEN


Notes

 

 

NUVEEN     111  


LOGO

 

    

 

     

 

           
  Nuveen:   
     Serving Investors for Generations      
    

 

     Since 1898, financial advisors and their clients have relied on Nuveen to provide
dependable investment solutions through continued adherence to proven, long-term investing
principles. Today, we offer a range of high quality equity and fixed-income solutions designed to
be integral components of a well-diversified core portfolio.
  
       

 

       

Focused on meeting investor needs.

 

Nuveen helps secure the long-term goals of individual investors and the advisors who serve them, providing access to investment expertise from leading asset managers and solutions across traditional and alternative asset classes. Built on more than a century of industry leadership, Nuveen’s teams of experts align with clients’ specific financial needs and goals, demonstrating commitment to advisors and investors through market perspectives and wealth management and portfolio advisory services. Nuveen manages $236 billion in assets as of December 31, 2016.

  
    

 

        
       

Find out how we can help you.

To learn more about how the products and services of Nuveen
may be able to help you meet your financial goals, talk to your
financial advisor, or call us at (800) 257-8787. Please read the information
provided carefully before you invest. Investors should consider the
investment objective and policies, risk considerations, charges and
expenses of any investment carefully. Where applicable, be sure to obtain a
prospectus, which contains this and other relevant information. To obtain
a prospectus, please contact your securities representative or Nuveen
, 333 W. Wacker Dr., Chicago, IL 60606. Please read the
prospectus carefully before you invest or send money.

 

Learn more about Nuveen Funds at: www.nuveen.com/cef

  

 

                 
  Securities offered through Nuveen Securities, LLC, Member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com   

 

ESA-A-0117D        124129


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: See 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 registration specifically incorporates it by reference: See 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/ Gifford R. Zimmerman

  
   Gifford R. Zimmerman   
   Vice President and Secretary   

Date: April 7, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)   

/s/ Cedric H. Antosiewicz

  
   Cedric H. Antosiewicz   
   Chief Administrative Officer   
   (principal executive officer)   

Date: April 7, 2017

 

By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   

Date: April 7, 2017