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, 2019                    

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

 

31 January 2019

 

Nuveen

Closed-End Funds

 

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

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, (i) by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences.” Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

 

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NOT FDIC INSURED  MAY LOSE VALUE  NO BANK GUARANTEE

 

LOGO


Table of Contents

 

Chairman’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     8  

Common Share Information

     10  

Risk Considerations

     13  

Performance Overview and Holding Summaries

     16  

Portfolios of Investments

     26  

Statement of Assets and Liabilities

     83  

Statement of Operations

     84  

Statement of Changes in Net Assets

     85  

Statement of Cash Flows

     88  

Financial Highlights

     90  

Notes to Financial Statements

     98  

Additional Fund Information

     116  

Glossary of Terms Used in this Report

     117  

Reinvest Automatically, Easily and Conveniently

     118  

 

3


Chairman’s Letter to Shareholders

 

LOGO

Dear Shareholders,

The global economy seemed to reach a turning point in 2018. Deregulation and tax law changes, which lowered corporate and individual tax rates and encouraged companies to repatriate overseas profits, helped boost U.S. economic growth and amplify corporate earnings during 2018. However, economic growth in Europe, China and Japan slowed, with trade tensions, unpredictable politics and tightening financial conditions weighing on consumer and business spending. Corporate earnings provided more positive than negative surprises, although expectations were lower by the fourth quarter of 2018 and markets were more concerned about weaker profits in the future, leading to elevated market volatility.

Although downside risks appear to be rising, we believe the likelihood of a near-term recession remains low. Global growth is indeed slowing, but it’s still positive. The U.S. economy remains strong, even in the face of late-cycle pressures. Low unemployment and firming wages should continue to support consumer spending, and the November mid-term elections resulted in change, but no major surprises. In China, the government remains committed to using fiscal stimulus to offset softening exports. Europe also remains vulnerable to trade policy as well as Brexit uncertainty, but underlying strengths in European economies, including low unemployment that drives domestic demand, remain supportive of a mild expansion. In a slower growth environment, there are opportunities for investors who seek them more selectively.

We expect volatility and challenging conditions to persist in 2019 but also think there is potential for upside. You can prepare your investment portfolio by working with your financial advisor to review your goals, timeline and risk tolerance. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

Terence J. Toth

Chairman of the Board

March 25, 2019

 

 

4


Portfolio Managers’ Comments

 

Nuveen Senior Income Fund (NSL)

Nuveen Floating Rate Income Fund (JFR)

Nuveen Floating Rate Income Opportunity Fund (JRO)

Nuveen Short Duration Credit Opportunities Fund (JSD)

Nuveen Credit Strategies Income Fund (JQC)

The Funds’ investment portfolios are managed by Symphony Asset Management, LLC (Symphony), an affiliate of Nuveen, LLC. During the reporting period, Gunther Stein and Scott Caraher managed NSL, JFR and JRO, Gunther, Scott and Jenny Rhee managed JSD, and Gunther and Sutanto Widjaja managed JQC.

On October 1, 2018, Gunther Stein ceased serving as a portfolio manager for each of the Funds.

Here the team discusses their management strategies and the performance of the Funds for the six-month reporting period ended January 31, 2019.

What strategies were used to manage the Funds during the six-month reporting period ended January 31, 2019?

NSL seeks to achieve a high level of current income, consistent with capital preservation by investing primarily in adjustable rate U.S dollar-denominated secured senior loans. The Fund invests at least 80% of its managed assets in adjustable rate senior secured loans. Up to 20% may include U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities and equity securities and warrants. The Fund uses leverage.

JFR seeks to achieve a high level of current income by investing in adjustable rate secured and unsecured senior loans and other debt instruments. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily senior loans, though the loans may include unsecured senior loans and secured and unsecured subordinated loans. At least 65% the Fund’s managed assets must include adjustable rate senior loans that are secured by specific collateral. The Fund uses leverage.

JRO seeks to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily senior loans, though the loans may include unsecured senior loans and secured and unsecured subordinated loans. At least 65% of the Fund’s managed assets must include adjustable rate senior loans that are secured by specific collateral. The Fund uses leverage.

 

 

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy or sell securities, and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

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

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

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

 

5


Portfolio Managers’ Comments (continued)

 

JSD seeks to provide current income and the potential for capital appreciation. The Fund invests at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities and up to 30% of the Fund’s assets may include other types of debt instruments or short positions consisting primarily of high yield debt. The Fund maintains a portfolio with an average duration that does not exceed two years. The Fund uses leverage.

JQC’s primary investment objective is high current income and its secondary objective is total return. The Fund invests at least 70% of its managed assets in adjustable rate senior secured and second lien loans, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities and up to 30% opportunistically in other types of securities across a company’s capital structure, primarily income-oriented securities such as high yield debt, convertible securities and other forms of corporate debt. The Fund uses leverage.

What were the market conditions under which the Funds generated their performance during the six-month reporting period ended January 31, 2019?

For the six-month reporting period ended January 31, 2019, the credit markets were fairly volatile. This was most pronounced during the fourth quarter of 2018. In the quarter, outflows from floating rate loan mutual funds and exchange-traded funds (ETFs) as well as open-end high yield funds caused a technically-driven performance drawdown across the levered credit market. Within loans, forced selling by these vehicles put acute downward pressure on prices.

The general “risk off” sentiment that caused the sell-off was sparked by, among other things, concerns over 1) increasingly negative U.S.-China trade rhetoric, 2) the strength, or lack thereof, of Chinese economic growth, and 3) the potential near term slowing of the U.S. economy. These three key factors shifted consensus views toward a more benign U.S. interest rate outlook, countering the initial premise for fear of rising U.S. interest rates.

Entering into 2019, negative investor sentiment reversed sharply. The January 2019 reversal in investor perspective and risk appetite was due to Fed Chair Jerome Powell communicating a more cautious (i.e., dovish) posture in regard to potential interest rates hikes that was more in-line with investor expectations; the appearance of positive progress in U.S.-China trade negotiations; and renewed conviction in the consensus view that the U.S. was not sliding toward recession in 2019. Due to these circumstances, capital markets broadly, including loans and high yield bonds, began to recover in price, although retail demand for loans remained muted.

How did the Funds perform during this six-month reporting period ended January 31, 2019?

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, 2019. The Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index.

During the reporting period, four of the Funds declined by comparable amounts. JQC was an exception given its more differentiated mandate relative to the other Funds, which is covered in more detail in the section below. The Funds’ total returns at NAV for the reporting period are as follows: NSL -2.62%; JFR -2.47%; JRO -2.46%; JSD -2.79%; JQC -1.41%. By comparison, the Credit Suisse Leveraged Loan Index returned 0.24%. However, the loan market underperformed the high yield bond market (as measured by the ICE BofAML U.S. High Yield Index) as it rose 1.02% over the same time period. Although it also declined meaningfully in the fourth quarter of 2018, the high yield bond market’s performance was supported by relatively stronger returns in the first two months of the reporting period and in January 2019.

 

6


 

Despite the sell-off that occurred during the reporting period, we believed corporate defaults would and will continue to remain low (below the historical average of approximately 3%), as credit conditions remain benign and U.S. economic activity remains supportive of corporate financial results. While this is a positive fundamental backdrop for corporate credit, the recovery rally in January has led to a tempering of total return opportunities, most notably for loans, as prices of previously dislocated issues have generally moved back toward par.

What other Fund factors impacted the Funds’ Performance?

The major allocation and security selection performance factors were similar in NSL, JFR, JRO, and JSD.

In addition to the above market factors negatively impacting absolute and relative performance, security selection within these four Funds was disappointing, particularly within media, banks, and software & services where the Funds had exposure to higher beta issues. Within media, the loans of Catalina Marketing Corporation, which is engaged in the print coupon business, struggled amid secular changes that threaten the company’s business model (i.e., shift to online distribution versus print), while the loans and bonds of iHeartCommunications, which is undergoing a restructuring, also hurt return comparisons. The loan of Ditech, a residential mortgage servicer, that emerged from restructuring in 2018 also detracted, as did the loans of Skillsoft Corporation. Skillsoft is an educational technology company that was downgraded during the reporting period and later announced earnings that were below expectations. We continue to hold the positions. Lastly, the Funds’ energy sector exposures also contributed to underperformance, as company issues within the sector came under intense pressure as oil prices declined reflecting investor fears of lower consumption/demand due to weakening global economic growth.

Somewhat offsetting negative results were positive performance in the loans and bonds of Intelsat Jackson Holdings, S.A., which operates the world’s largest satellite services operation. Intelsat has benefitted from strong market positioning with regard to the rollout of 5G wireless technology. In addition, the loans of Petco Animal Supplies, Inc., which recently announced a partnership with an independent pet food manufacturer, also aided return comparisons. Lastly, the loan of Albertson’s LLC were additive to performance as this higher quality loan recovered swiftly following the market sell-off in the fourth quarter 2018.

JQC has a differentiated mandate (i.e., higher quality loans and larger high yield bond exposure) relative to the other Funds. Due to these circumstances, it had a different performance result during the reporting period. While the Fund still produced a negative return during the reporting period, its larger exposure to high yield bonds aided performance, particularly within the relatively stronger Health Care sector. In terms of key issuer/issue contributors, while Catalina Marketing Corporation and iHeartCommunications detracted from JQC’s absolute return, it was to a lesser degree than the other Funds. Specifically, JQC did not have exposure to the lower quality second lien loan of Catalina Marketing and had less exposure to a non-rated lower quality loan of Clear Channel Communications, which falls under the iHeartCommunications corporate structure. However, tempering JQC’s relative outperformance versus the other Funds at the issuer level was a modestly higher exposure to the equity of Cengage Learning. This reorganization equity was obtained through the company’s formal restructuring process. Cengage Learning offers an online learning platform for higher education professionals. The company announced disappointing quarterly results during the reporting period. Due to these circumstances, Cengage was a top five detractor in JQC while this was not the case for the other Funds. We continue to hold the Cengage position.

On the positive side, as with the other Funds, the loans and bonds of Intelsat Jackson Holdings, S.A. were additive to JQC’s performance. In addition, and different from the other Funds given position sizing, the loans of Serta Simmons Holdings LLC and Centene Corporation were particularly additive. Serta Simmons recently announced a partnership with a bedding manufacturer and has been the subject of potential acquisition rumors surrounding the bankruptcy of a major distributor, while managed care operator Centene Corporation quarterly revenue and earnings increased and exceeded investor expectations.

 

7


Fund Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through bank borrowings, Term Preferred Shares (Term Preferred) for NSL, JFR, JRO and JSD and reverse repurchase agreements for JQC. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments in recent years have been much lower than the interest the Fund has been earning on its portfolio securities that it has bought with the proceeds of that leverage.

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

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

NSL, JFR, JRO and JSD’s use of leverage had a negative impact on total return performance during this reporting period, while JQCs’ use of leverage had a negligible impact on total return performance.

During the current fiscal period, NSL, JFR, JRO and JSD used cancellable interest rate swaps in which each Fund received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue. Collectively, these interest rate swap contracts had a negligible impact for NSL and JSD and a positive impact on JFR’s and JRO’s total return performance during the period.

As of January 31, 2019, the Funds’ percentages of leverage are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    38.42        37.93        37.43        38.67        37.02

Regulatory Leverage*

    38.42        37.93        37.43        38.67        29.57
*

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

 

8


 

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, 2018     Draws     Paydowns     January 31, 2019     Average Balance
Outstanding
           Draws     Paydowns    

March 27, 2019

 

NSL

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

JFR

  $ 254,300,000     $ 10,200,000     $     $ 264,500,000     $ 258,568,478             $     $     $ 264,500,000  

JRO

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

JSD

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

JQC

  $ 561,000,000     $     $ (66,000,000   $ 495,000,000     $ 517,717,391             $     $ (40,000,000   $ 455,000,000  

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

Reverse Repurchase Agreements

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

 

Current Reporting Period             Subsequent to the Close of
the Reporting Period
 
August 1, 2018      Purchases      Sales      January 31, 2019      Average Balance
Outstanding
             Purchases      Sales     

March 27, 2019

 
  $145,000,000        $55,000,000        $(2,000,000)        $198,000,000        $187,347,826                 $    —        $    —        $198,000,000  

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

Term Preferred Shares

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   August 1, 2018     Issuance     Redemptions     January 31, 2019     Average Balance
Outstanding
           Issuance     Redemptions    

March 27, 2019

 

NSL

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

JFR

  $ 125,200,000     $     $ (10,200,000   $ 115,000,000     $ 121,208,696             $     $     $ 115,000,000  

JRO

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

JSD

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

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

 

9


Common Share Information

 

NSL, JFR, JRO and JSD COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding NSL’s, JFR’s, JRO’s and JSD’s distributions is current as of January 31, 2019. 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  

August 2018

  $ 0.0335        $ 0.0575        $ 0.0580        $ 0.1005  

September

    0.0355          0.0600          0.0605          0.1035  

October

    0.0355          0.0600          0.0605          0.1035  

November

    0.0355          0.0600          0.0605          0.1035  

December

    0.0355          0.0600          0.0605          0.1035  

January 2019

    0.0355          0.0600          0.0605          0.1035  

Total Distributions from Net Investment Income

  $ 0.2110        $ 0.3575        $ 0.3605        $ 0.6180  
                                          

Current Distribution Rate*

    7.42        7.42        7.56        7.97
*

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.

NSL, JFR, JRO and JSD seek to pay regular monthly dividends out of its net investment income at a rate that reflects their 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. Distributions to shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.

All monthly dividends paid by NSL, JFR, JRO and JSD during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. 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.

JQC DISTRIBUTION INFORMATION

The following information regarding JQC’s distributions is current as of January 31, 2019.

Effective with JQC’s January 2019 distribution, the Fund has implemented a capital return plan where a supplemental amount is expected to be included in the Fund’s regular monthly distribution. Under this program, the Fund’s regular monthly distribution is expected to include net investment income, return of capital and potentially capital gains for tax purposes.

 

10


 

The figures in the table below provide an estimate as of January 31, 2019 of the sources (for tax purposes) of the Fund’s distributions. These source estimates include amounts currently estimated to be attributable to realized gains and/or returns of capital. The Fund attributes these non-income sources equally to each regular distribution throughout the fiscal year. The estimated information shown below is for the distributions paid on common shares for all prior months in the current fiscal year. These estimates should not be used for tax reporting purposes, and the distribution sources may differ for financial reporting than for tax reporting. The final determination of the tax characteristics of all distributions paid in 2019 will be made in early 2020 and reported to you on Form 1099-DIV. More details about the tax characteristics of the Fund’s distributions are available on www.nuveen.com/CEFdistributions.

Data as of January 31, 2019

 

Current Month
Estimated Percentage of Distributions
        Calendar YTD
Estimated Per Share Amounts
 
Net
Investment
Income
       Realized
Gains
       Return of
Capital
         Total
Distributions
       Net
Investment
Income
       Realized
Gains
       Return of
Capital
 
  43.1%          0.0%          56.9%           $0.1015          $0.0438          $0.0000          $0.0577  

The following table provides information regarding Fund distributions and total return performance over various time periods. This information is intended to help you better understand whether Fund returns for the specified time periods were sufficient to meet Fund distributions.

Data as of January 31, 2019

 

              Annualized         Cumulative  
Inception
Date
  Latest
Monthly
Per Share
Distribution
         Current
Distribution on
NAV
       1-Year
Return on
NAV
       5-Year
Return on
NAV
         Calendar YTD
Distributions on
NAV
       Calendar
YTD Return
on NAV
 
6/25/2003     $0.1015           14.02%          1.17%          2.92%           1.20%          4.16%  

COMMON SHARE EQUITY SHELF PROGRAMS

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

 

     JFR        JRO  

Additional authorized common shares

    12,900,000        8,500,000
*

Represents additional authorized common shares for the period August 1, 2018 through November 30, 2018.

Refer to Notes to Financial Statements, Note 4 – Fund Shares, Common Shares Equity Shelf Programs and Offering Costs for further details of Shelf Offerings and each Fund’s respective transactions.

COMMON SHARE REPURCHASES

During August 2018, 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.

 

11


Common Share Information (continued)

 

As of January 31, 2019, 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

    15,400          147,593          39,400                   5,473,400  

Common shares authorized for repurchase

    3,860,000          5,690,000          4,055,000          1,010,000          13,575,000  

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

 

     NSL        JRO        JQC  

Common shares repurchased and retired

    10,400          20,000          157,700  

Weighted average price per common share repurchased and retired

    $5.41          $8.82          $7.43  

Weighted average discount per common share repurchased and retired

    15.29        16.68        16.16

OTHER COMMON SHARE INFORMATION

As of January 31, 2019, 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

    $6.52          $10.91          $10.84          $16.81          $8.69  

Common share price

    $5.74          $9.71          $9.60          $15.59          $7.72  

Premium/(Discount) to NAV

    (11.96 )%         (11.00 )%         (11.44 )%         (7.26 )%         (11.16 )% 

6-month average premium/(discount) to NAV

    (11.75 )%         (11.47 )%         (11.32 )%         (8.39 )%         (13.31 )% 

 

12


Risk Considerations

(Unaudited)

 

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

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

13


Risk Considerations (continued)

(Unaudited)

 

Nuveen Credit Strategies Income Fund (JQC)

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

 

14


THIS PAGE INTENTIONALLY LEFT BLANK

 

15


NSL     

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of January 31, 2019

 

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, 2019

 

       Cumulative        Average Annual  
        6-Month        1-Year        5-Year        10-Year  
NSL at Common Share NAV        (2.62)%          1.39%          3.36%          13.29%  
NSL at Common Share Price        (2.95)%          (4.31)%          2.38%          12.73%  
Credit Suisse Leveraged Loan Index        0.24%          2.37%          3.65%          7.94%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

16


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     142.9%  
Corporate Bonds     15.0%  
Common Stocks     2.2%  
Common Stock Rights     0.1%  
Warrants     0.0%  
Short-Term Investment Companies     3.2%  
Other Assets Less Liabilities     (1.2)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     162.2%  
Borrowings     (45.3)%  
Term Preferred Shares, net of deferred offering costs     (16.9)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term
investments)

 

Intelsat Jackson Holdings, S.A.

    4.2%  

Albertson’s LLC

    2.7%  

Dell International LLC

    2.4%  

Sprint Corporation

    2.1%  

Scientific Games Corp.

    1.9%  

Portfolio Composition

(% of total investments)

 

Media

    10.9%  

Software

    9.2%  

Hotels, Restaurants & Leisure

    8.5%  

Diversified Telecommunication Services

    6.0%  

Health Care Providers & Services

    4.6%  

Technology Hardware, Storage & Peripherals

    4.5%  

Food & Staples Retailing

    4.0%  

Communications Equipment

    3.9%  

Commercial Services & Supplies

    3.6%  

IT Services

    3.4%  

Oil, Gas & Consumable Fuels

    2.7%  

Wireless Telecommunication Services

    2.3%  

Diversified Consumer Services

    1.9%  

Diversified Financial Services

    1.9%  

Road & Rail

    1.9%  

Aerospace & Defense

    1.8%  

Pharmaceuticals

    1.7%  

Energy Equipment & Services

    1.5%  

Health Care Equipment & Supplies

    1.5%  

Airlines

    1.3%  

Equity Real Estate

Investment Trusts

    1.3%  

Other

    19.7%  

Short-Term Investment Companies

    1.9%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.7%  
BB or Lower     85.7%  
N/R (not rated)     0.6%  

Total

    100%  
 

 

17


JFR     

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of January 31, 2019

 

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, 2019

 

       Cumulative        Average Annual  
        6-Month        1-Year        5-Year        10-Year  
JFR at Common Share NAV        (2.47)%          0.70%          3.38%          12.25%  
JFR at Common Share Price        (2.27)%          (6.08)%          2.52%          11.12%  
Credit Suisse Leveraged Loan Index        0.24%          2.37%          3.65%          7.94%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

18


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     138.0%  
Corporate Bonds     15.8%  
Common Stocks     2.1%  
Long-Term Investment Companies     1.7%  
Asset-Backed Securities     1.4%  
Common Stock Rights     0.1%  
Warrants     0.0%  
Short-Term Investment Companies     2.6%  
Other Assets Less Liabilities     (0.7)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     161.0%  
Borrowings     (42.6)%  
Term Preferred Shares, net of deferred offering costs     (18.4)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Intelsat Jackson Holdings, S.A.

    3.4%  

Albertson’s LLC

    2.6%  

Dell International LLC

    2.5%  

Sprint Corporation

    2.3%  

Burger King Corporation

    2.2%  

Portfolio Composition

(% of total investments)

 

Media

    10.8%  

Hotels, Restaurants & Leisure

    8.5%  

Software

    8.1%  

Diversified Telecommunication Services

    5.9%  

Health Care Providers & Services

    5.0%  

Technology Hardware, Storage & Peripherals

    4.3%  

Food & Staples Retailing

    4.1%  

Communications Equipment

    4.0%  

Diversified Consumer Services

    3.9%  

IT Services

    3.6%  

Commercial Services & Supplies

    3.3%  

Wireless Telecommunication Services

    2.7%  

Oil, Gas & Consumable Fuels

    2.1%  

Road & Rail

    1.7%  

Pharmaceuticals

    1.6%  

Real Estate Management & Development

    1.5%  

Insurance

    1.4%  

Aerospace & Defense

    1.4%  

Airlines

    1.3%  

Health Care Equipment & Supplies

    1.3%  

Other

    19.9%  

Asset-Backed Securities

    0.9%  

Long-Term Investment Companies

    1.1%  

Short-Term Investment Companies

    1.6%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     15.1%  
BB or Lower     83.4%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

19


JRO     

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of January 31, 2019

 

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, 2019

 

       Cumulative        Average Annual  
        6-Month        1-Year        5-Year        10-Year  
JRO at Common Share NAV        (2.46)%          0.94%          3.43%          13.52%  
JRO at Common Share Price        (2.65)%          (6.70)%          2.48%          12.84%  
Credit Suisse Leveraged Loan Index        0.24%          2.37%          3.65%          7.94%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

20


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     137.9%  
Corporate Bonds     16.1%  
Common Stocks     2.3%  
Asset-Backed Securities     0.9%  
Common Stock Rights     0.1%  
Warrants     0.0%  
Short-Term Investment Companies     2.8%  
Other Assets Less Liabilities     (0.5)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     159.6%  
Borrowings     (40.7)%  
Term Preferred Shares, net of deferred offering costs     (18.9)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

Intelsat Jackson Holdings, S.A.

    3.8%  

Dell International LLC

    2.6%  

Burger King Corporation

    2.5%  

Albertson’s LLC

    2.2%  

Sprint Corporation

    2.1%  

Portfolio Composition

(% of total investments)

 

Media

    11.3%  

Software

    9.0%  

Hotels, Restaurants & Leisure

    9.0%  

Diversified Telecommunication Services

    5.8%  

Health Care Providers & Services

    5.0%  

Technology Hardware, Storage & Peripherals

    4.3%  

IT Services

    4.2%  

Communications Equipment

    3.9%  

Food & Staples Retailing

    3.6%  

Commercial Services & Supplies

    3.5%  

Wireless Telecommunication Services

    2.5%  

Oil, Gas & Consumable Fuels

    2.4%  

Diversified Financial Services

    2.2%  

Road & Rail

    1.7%  

Diversified Consumer Services

    1.6%  

Capital Markets

    1.6%  

Aerospace & Defense

    1.5%  

Pharmaceuticals

    1.5%  

Health Care Equipment & Supplies

    1.3%  

Energy Equipment & Services

    1.2%  

Building Products

    1.2%  

Other

    19.4%  

Asset-Backed Securities

    0.5%  

Short-Term Investment Companies

    1.8%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     14.6%  
BB or Lower     84.3%  
N/R (not rated)     1.1%  

Total

    100%  
 

 

 

21


JSD     

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of January 31, 2019

 

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, 2019

 

       Cumulative        Average Annual  
        6-Month        1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV        (2.79)%          1.76%          3.72%          5.78%  
JSD at Common Share Price        (2.73)%          1.33%          3.87%          4.56%  
Credit Suisse Leveraged Loan Index        0.24%          2.37%          3.65%          4.28%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

22


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     142.5%  
Corporate Bonds     16.3%  
Common Stocks     1.9%  
Common Stock Rights     0.2%  
Warrants     0.0%  
Short-Term Investment Companies     2.2%  
Other Assets Less Liabilities     (0.3)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     162.8%  
Borrowings     (42.4)%  
Term Preferred Shares, net of deferred offering costs     (20.4)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Intelsat Jackson Holdings, S.A.

    4.5%  

Albertson’s LLC

    3.0%  

Sprint Corporation

    2.4%  

Scientific Games Corp.

    2.2%  

Dell International LLC

    1.9%  

Portfolio Composition

(% of total investments)

 

Media

    10.0%  

Software

    9.4%  

Hotels, Restaurants & Leisure

    8.0%  

Diversified Telecommunication Services

    5.9%  

Health Care Providers & Services

    5.4%  

IT Services

    4.7%  

Technology Hardware, Storage & Peripherals

    4.4%  

Food & Staples Retailing

    4.1%  

Commercial Services & Supplies

    4.0%  

Oil, Gas & Consumable Fuels

    3.3%  

Communications Equipment

    3.1%  

Wireless Telecommunication Services

    2.4%  

Health Care Equipment & Supplies

    1.9%  

Aerospace & Defense

    1.7%  

Capital Markets

    1.6%  

Diversified Financial Services

    1.5%  

Airlines

    1.5%  

Road & Rail

    1.4%  

Pharmaceuticals

    1.4%  

Energy Equipment & Services

    1.4%  

Diversified Consumer Services

    1.4%  

Equity Real Estate Investment Trusts

    1.2%  

Other

    19.0%  

Short-Term Investment Companies

    1.3%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     11.0%  
BB or Lower     87.8%  
N/R (not rated)     1.2%  

Total

    100%  
 

 

 

23


JQC     

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of January 31, 2019

 

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, 2019

 

       Cumulative        Average Annual  
        6-Month        1-Year        5-Year        10-Year  
JQC at Common Share NAV        (1.41)%          1.17%          2.92%          11.89%  
JQC at Common Share Price        1.60%          2.01%          2.80%          13.77%  
Credit Suisse Leveraged Loan Index        0.24%          2.37%          3.65%          7.94%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

24


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     121.7%  
Corporate Bonds     29.4%  
Exchange-Traded Funds     3.9%  
Common Stocks     1.1%  
Convertible Bonds     0.9%  
Common Stock Rights     0.1%  
Warrants     0.0%  
Short-Term Investment Companies     4.0%  
Other Assets Less Liabilities     (2.3)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     158.8%  
Borrowings     (42.0)%  
Reverse Repurchase Agreements     (16.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term
investments)

 

Invesco Senior Loan ETF

    2.5%  

American Airlines Group Inc.

    1.7%  

First Data Corporation

    1.5%  

Tribune Media Company

    1.4%  

Dell International LLC

    1.4%  

Portfolio Composition

(% of total investments)

 

Health Care Providers & Services

    10.2%  

Media

    9.6%  

Hotels, Restaurants & Leisure

    8.3%  

Software

    7.7%  

Diversified Financial Services

    2.1%  

IT Services

    3.8%  

Diversified Telecommunication Services

    3.4%  

Health Care Equipment & Supplies

    3.4%  

Airlines

    2.5%  

Pharmaceuticals

    2.4%  

Commercial Services & Supplies

    2.3%  

Technology Hardware, Storage & Peripherals

    2.3%  

Wireless Telecommunication Services

    2.2%  

Food & Staples Retailing

    2.2%  

Communications Equipment

    2.0%  

Capital Markets

    1.8%  

Semiconductors & Semiconductor Equipment

    1.6%  

Interactive Media & Services

    1.6%  

Trading Companies & Distributors

    1.6%  

Household Products

    1.5%  

Food Products

    1.5%  

Professional Services

    1.4%  

Other

    19.7%  

Exchange-Traded Funds

    2.4%  
Short-Term Investment Companies     2.5%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

AA     0.2%  
BBB     16.1%  
BB or Lower     83.4%  
N/R (not rated)     0.3%  

Total

    100%  
 

 

 

25


NSL   

Nuveen Senior Income Fund

 

Portfolio of Investments    January 31, 2019

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 160.2% (98.1% of Total Investments)

 

  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 142.9% (87.6% of Total Investments) (2)

 

  
      Aerospace & Defense – 2.8% (1.8% of Total Investments)                
$ 188    

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

    4.499%        1-Month LIBOR        2.000%        8/21/24        BB+      $ 187,258  
  3,218    

Sequa Corporation, Term Loan B

    7.516%        3-Month LIBOR        5.000%        11/28/21        B        3,169,263  
  1,152    

Sequa Corporation, Term Loan, Second Lien

    11.751%        3-Month LIBOR        9.000%        4/28/22        CCC        1,101,553  
  1,928    

Transdigm, Inc., Term Loan E

    4.999%        1-Month LIBOR        2.500%        5/30/25        BB        1,884,150  
  488    

Transdigm, Inc., Term Loan F

    4.999%        1-Month LIBOR        2.500%        6/09/23        BB        478,149  
  318    

Transdigm, Inc., Term Loan G, First Lien

    4.999%        1-Month LIBOR        2.500%        8/22/24        BB–        311,458  
  7,292    

Total Aerospace & Defense

                                                 7,131,831  
      Air Freight & Logistics – 0.7% (0.5% of Total Investments)                
  814    

PAE Holding Corporation, Term Loan B

    8.119%        2-Month LIBOR        5.500%        10/20/22        B+        810,161  
  1,083    

XPO Logistics, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        2/24/25        BBB–        1,068,524  
  1,897    

Total Air Freight & Logistics

                                                 1,878,685  
      Airlines – 2.4% (1.3% of Total Investments)                
  1,920    

American Airlines, Inc., Replacement Term Loan

    4.516%        1-Month LIBOR        2.000%        10/10/21        BB+        1,898,102  
  933    

American Airlines, Inc., Term Loan 2025

    4.252%        1-Month LIBOR        1.750%        6/27/25        BB+        896,499  
  3,260    

American Airlines, Inc., Term Loan B

    4.509%        1-Month LIBOR        2.000%        12/14/23        BB+        3,166,847  
  6,113    

Total Airlines

                                                 5,961,448  
      Auto Components – 0.7% (0.4% of Total Investments)                
  845    

DexKo Global, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        7/24/24        B+        833,936  
  985    

Superior Industries International, Inc., Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/22/24        B+        973,491  
  1,830    

Total Auto Components

                                                 1,807,427  
      Automobiles – 0.5% (0.3% of Total Investments)                
  500    

Caliber Collision, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        499,895  
  743    

Navistar, Inc., Tranche B, Term Loan

    6.020%        1-Month LIBOR        3.500%        11/06/24        BB–        732,758  
  1,243    

Total Automobiles

                                                 1,232,653  
      Beverages – 0.9% (0.5% of Total Investments)                
  2,219    

Jacobs Douwe Egberts, Term Loan B

    4.563%        3-Month LIBOR        2.000%        11/01/25        BB        2,198,376  
      Biotechnology – 1.1% (0.7% of Total Investments)                
  2,948    

Grifols, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        1/31/25        BB+        2,914,960  
      Building Products – 1.6% (1.0% of Total Investments)                
  537    

Fairmount, Initial Term Loan

    6.553%        3-Month LIBOR        3.750%        6/01/25        BB        428,744  
  487    

Ply Gem Industries, Inc., Term Loan B

    6.547%        3-Month LIBOR        3.750%        4/12/25        B+        465,088  
  3,181    

Quikrete Holdings, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        11/15/23        BB–        3,090,837  
  4,205    

Total Building Products

                                                 3,984,669  
      Capital Markets – 1.5% (0.9% of Total Investments)                
  1,741    

Capital Automotive LP, Term Loan, Second Lien

    8.499%        1-Month LIBOR        6.000%        3/24/25        CCC+        1,739,201  
  2,038    

RPI Finance Trust, Term Loan B6

    4.499%        1-Month LIBOR        2.000%        3/27/23        BBB–        2,021,336  
  3,779    

Total Capital Markets

                                                 3,760,537  
      Chemicals – 0.7% (0.4% of Total Investments)                
  676    

Ineos US Finance LLC, Term Loan

    4.499%        1-Month LIBOR        2.000%        4/01/24        BBB–        658,343  
  898    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        891,519  
  300    

SI Group, Term Loan B

    7.537%        3-Month LIBOR        4.750%        10/15/25        BB–        297,750  
  1,874    

Total Chemicals

                                                 1,847,612  

 

26


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies – 5.9% (3.6% of Total Investments)                
$ 1,894    

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

    6.957%        3-Month LIBOR        4.250%        6/16/24        B      $ 1,819,091  
  110    

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

    0.000%        N/A        N/A        7/02/20        N/R        4,128  
  248    

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

    0.000%        N/A        N/A        7/02/20        N/R        311  
  3,618    

Formula One Group, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/01/24        B+        3,494,532  
  415    

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

    6.784%        1-Month LIBOR        4.000%        10/19/23        B–        396,996  
  1,463    

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

    5.999%        1-Month LIBOR        3.500%        10/18/19        B–        1,457,084  
  1,247    

GFL Environmental, Term Loan

    5.499%        1-Month LIBOR        3.000%        5/31/25        B+        1,205,995  
  2,250    

iQor US, Inc., Term Loan, First Lien, (DD1)

    7.797%        3-Month LIBOR        5.000%        4/01/21        CCC+        2,028,798  
  250    

iQor US, Inc., Term Loan, Second Lien

    11.547%        3-Month LIBOR        8.750%        4/01/22        CCC–        187,187  
  764    

KAR Auction Services, Inc., Term Loan B5

    5.313%        3-Month LIBOR        2.500%        3/09/23        BB        759,323  
  705    

LSC Communications, Refinancing Term Loan

    7.999%        1-Month LIBOR        5.500%        9/30/22        B+        702,356  
  481    

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

    8.303%        3-Month LIBOR        5.500%        9/30/22        CCC+        423,801  
  1,298    

Protection One, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        5/02/22        BB–        1,283,005  
  973    

Universal Services of America, Initial Term Loan, First Lien

    6.249%        1-Month LIBOR        3.750%        7/28/22        BB        931,412  
  170    

West Corporation, Incremental Term Loan B1

    5.999%        1-Month LIBOR        3.500%        10/10/24        BB+        155,025  
  15,886    

Total Commercial Services & Supplies

                                                 14,849,044  
      Communications Equipment – 3.2% (2.0% of Total Investments)                
  2,574    

Avaya, Inc., Tranche B Term Loan

    6.759%        1-Month LIBOR        4.250%        12/15/24        BB–        2,538,144  
  900    

Mitel US Holdings, Inc., Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        11/30/25        B        888,975  
  329    

MultiPlan, Inc., Term Loan B

    5.553%        3-Month LIBOR        2.750%        6/07/23        B+        318,877  
  1,083    

Plantronics, Term Loan B

    4.999%        1-Month LIBOR        2.500%        7/02/25        BB+        1,057,095  
  3,461    

Univision Communications, Inc., Term Loan C5

    5.249%        1-Month LIBOR        2.750%        3/15/24        B        3,235,584  
  8,347    

Total Communications Equipment

                                                 8,038,675  
      Construction & Engineering – 0.9% (0.6% of Total Investments)                
  995    

KBR, Inc., Term Loan B

    6.249%        1-Month LIBOR        3.750%        4/25/25        BB–        993,761  
  1,326    

Traverse Midstream Partners, Term Loan B

    6.600%        6-Month LIBOR        4.000%        9/27/24        B+        1,323,974  
  2,321    

Total Construction & Engineering

                                                 2,317,735  
      Consumer Finance – 0.6% (0.4% of Total Investments)                
  495    

Vantiv LLC, Repriced Term Loan B4

    4.222%        1-Month LIBOR        1.750%        8/09/24        BBB–        492,880  
  1,132    

Verscend Technologies, Tern Loan B

    6.999%        1-Month LIBOR        4.500%        8/27/25        B+        1,125,391  
  1,627    

Total Consumer Finance

                                                 1,618,271  
      Containers & Packaging – 0.3% (0.2% of Total Investments)                
  699    

Berry Global, Inc., Term Loan Q

    4.516%        1-Month LIBOR        2.000%        10/01/22        BBB–        693,206  
      Distributors – 0.4% (0.2% of Total Investments)                
  995    

SRS Distribution, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        5/23/25        B        948,205  
      Diversified Consumer Services – 3.0% (1.9% of Total Investments)                
  3,532    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        6/07/23        B        3,009,506  
  2,377    

Houghton Mifflin, Term Loan B, First Lien

    5.499%        1-Month LIBOR        3.000%        5/28/21        B        2,249,708  
  967    

Laureate Education, Inc., Term Loan B

    6.549%        1-Month LIBOR        3.500%        4/26/24        B+        964,368  
  1,500    

Refinitiv, Term Loan B

    6.249%        1-Month LIBOR        3.750%        10/01/25        BB+        1,443,165  
  8,376    

Total Diversified Consumer Services

                                                 7,666,747  
      Diversified Financial Services – 3.1% (1.9% of Total Investments)                
  419    

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

    6.803%        3-Month LIBOR        4.000%        4/03/24        B+        409,476  
  565    

Freedom Mortgage Corporation, Initial Term Loan

    7.249%        1-Month LIBOR        4.750%        2/23/22        BB        567,140  
  2,975    

Hilton Hotels, Term Loan B

    4.260%        1-Month LIBOR        1.750%        10/25/23        BBB–        2,949,429  
  421    

Lions Gate Entertainment Corp., Term Loan B

    4.749%        1-Month LIBOR        2.250%        3/24/25        BB        414,644  
  528    

Travelport LLC, Term Loan B

    5.116%        3-Month LIBOR        2.500%        3/17/25        B+        527,144  
  1,143    

Veritas US, Inc., Term Loan B1

    7.074%        1-Month LIBOR        4.500%        1/27/23        B        1,002,420  

 

27


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Financial Services (continued)                
$ 2,716    

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

    8.499%        N/A        N/A        6/30/22        CCC      $ 1,846,536  
  8,767    

Total Diversified Financial Services

                                                 7,716,789  
      Diversified Telecommunication Services – 8.0% (4.9% of Total Investments)                
  1,045    

CenturyLink, Inc., Initial Term Loan A

    5.249%        1-Month LIBOR        2.750%        11/01/22        BBB–        1,026,712  
  5,556    

CenturyLink, Inc., Term Loan B, (DD1)

    5.249%        1-Month LIBOR        2.750%        1/31/25        BBB–        5,323,249  
  2,909    

Frontier Communications Corporation, Term Loan B

    6.250%        1-Month LIBOR        3.750%        1/14/22        BB        2,789,866  
  236    

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

    7.002%        1-Month LIBOR        4.500%        1/02/24        B+        240,318  
  378    

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

    6.625%        N/A        N/A        1/02/24        B+        379,858  
  1,802    

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

    4.756%        1-Month LIBOR        2.250%        2/22/24        BBB–        1,773,936  
  3,491    

Numericable Group S.A., Term Loan B13

    6.509%        1-Month LIBOR        4.000%        8/14/26        B        3,303,595  
  433    

Windstream Corporation, Term Loan B6, (5)

    6.510%        1-Month LIBOR        4.000%        3/29/21        BB        403,811  
  5,000    

Ziggo B.V., Term Loan E

    5.009%        1-Month LIBOR        2.500%        4/15/25        BB        4,845,900  
  20,850    

Total Diversified Telecommunication Services

                                                 20,087,245  
      Electric Utilities – 1.1% (0.7% of Total Investments)                
  424    

EFS Cogen Holdings LLC, Term Loan B

    5.980%        3-Month LIBOR        3.250%        6/28/23        BB        418,258  
  1,596    

Texas Competitive Electric Holdings LLC, Exit Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/23        BBB–        1,574,055  
  821    

Vistra Operations Co., Term Loan B3

    4.505%        1-Month LIBOR        2.000%        12/31/25        BBB–        807,240  
  2,841    

Total Electric Utilities

                                                 2,799,553  
      Electrical Equipment – 0.4% (0.3% of Total Investments)                
  1,184    

TTM Technologies, Term Loan B, (DD1)

    5.020%        1-Month LIBOR        2.500%        9/28/24        BB+        1,154,104  
      Energy Equipment & Services – 2.0% (1.2% of Total Investments)                
  702    

Cypress Semiconductor Corp, Term Loan B

    4.500%        1-Month LIBOR        2.000%        7/05/21        BB+        696,882  
  2,481    

McDermott International, Term Loan

    7.499%        1-Month LIBOR        5.000%        5/12/25        BB–        2,386,479  
  2,355    

Seadrill Partners LLC, Initial Term Loan

    8.803%        3-Month LIBOR        6.000%        2/21/21        CCC+        1,904,566  
  5,538    

Total Energy Equipment & Services

                                                 4,987,927  
      Equity Real Estate Investment Trusts – 2.2% (1.3% of Total Investments)                
  3,985    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.499%        1-Month LIBOR        3.000%        10/24/22        B–        3,747,194  
  736    

Realogy Group LLC, Term Loan A

    4.758%        1-Month LIBOR        2.250%        2/08/23        BB+        724,898  
  986    

Realogy Group LLC, Term Loan B

    4.758%        1-Month LIBOR        2.250%        2/08/25        BB+        963,671  
  5,707    

Total Equity Real Estate Investment Trusts

                                                 5,435,763  
      Food & Staples Retailing – 6.5% (4.0% of Total Investments)                
  941    

Albertson’s LLC, Term Loan B6

    5.691%        3-Month LIBOR        3.000%        6/22/23        BB        928,428  
  10,137    

Albertson’s LLC, Term Loan B7

    5.499%        1-Month LIBOR        3.000%        11/17/25        BB        9,943,871  
  831    

Hearthside Group Holdings LLC, Term Loan B

    6.186%        1-Month LIBOR        3.688%        5/23/25        B        802,357  
  367    

Save-A-Lot, Term Loan B

    8.803%        3-Month LIBOR        6.000%        12/05/23        CCC+        204,643  
  4,495    

US Foods, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        6/27/23        BBB–        4,429,724  
  16,771    

Total Food & Staples Retailing

                                                 16,309,023  
      Food Products – 0.2% (0.1% of Total Investments)                
  598    

American Seafoods Group LLC, Term Loan B

    5.250%        1-Month LIBOR        2.750%        8/21/23        BB–        592,518  
      Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)                
  1,441    

Acelity, Term Loan B

    6.053%        3-Month LIBOR        3.250%        2/02/24        B+        1,434,041  
  350    

Air Methods Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        287,389  
  617    

Greatbatch, New Term Loan B

    5.510%        1-Month LIBOR        3.000%        10/27/22        B+        612,623  
  500    

LifeScan, Term Loan B

    8.797%        3-Month LIBOR        6.000%        10/01/24        B+        481,253  
  1,856    

Onex Carestream Finance LP, Term Loan, First Lien

    8.249%        1-Month LIBOR        5.750%        2/28/21        B+        1,814,306  
  938    

Onex Carestream Finance LP, Term Loan, Second Lien

    11.999%        1-Month LIBOR        9.500%        6/07/21        B–        923,741  
  498    

Vyaire Medical, Inc., Term Loan B

    7.547%        3-Month LIBOR        4.750%        4/16/25        B        470,138  
  6,200    

Total Health Care Equipment & Supplies

                                                 6,023,491  

 

28


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services – 7.2% (4.4% of Total Investments)                
$ 603    

Air Medical Group Holdings, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        3/14/25        B+      $ 567,792  
  1,086    

Air Medical Group Holdings, Inc., Term Loan B

    5.764%        1-Month LIBOR        3.250%        4/28/22        B+        1,024,217  
  747    

Ardent Health, Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        6/30/25        B+        743,916  
  707    

Catalent Pharma Solutions, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        5/20/24        BB        704,064  
  458    

Community Health Systems, Inc., Term Loan H

    5.957%        3-Month LIBOR        3.250%        1/27/21        BB        451,077  
  949    

Concentra, Inc., Term Loan B

    5.270%        1-Month LIBOR        2.750%        6/01/22        B+        943,480  
  430    

ConvaTec Healthcare, Term Loan B

    5.053%        3-Month LIBOR        2.250%        10/25/23        BB        426,709  
  350    

HCA, Inc., Term Loan B11, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        348,835  
  752    

Healogics, Inc., Term Loan, First Lien

    7.010%        3-Month LIBOR        4.250%        7/01/21        B–        679,711  
  40    

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

    3.750%        N/A        N/A        4/30/25        B        38,473  
  432    

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

    6.249%        1-Month LIBOR        3.750%        4/30/25        B        420,347  
  1,706    

Kindred at Home Hospice, Term Loan B

    6.250%        1-Month LIBOR        3.750%        7/02/25        B+        1,697,601  
  500    

Kindred at Home Hospice, Term Loan, Second Lien

    9.500%        1-Month LIBOR        7.000%        6/21/26        CCC+        507,813  
  1,500    

Lifepoint Health, Inc., Term Loan

    7.129%        3-Month LIBOR        4.500%        11/16/25        B+        1,467,000  
  1,391    

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

    8.999%        1-Month LIBOR        6.500%        12/21/20        CCC+        783,895  
  3,351    

Pharmaceutical Product Development, Inc., Term Loan B, (DD1)

    4.999%        1-Month LIBOR        2.500%        8/18/22        BB–        3,290,609  
  744    

PharMerica, Term Loan, First Lien

    6.008%        1-Month LIBOR        3.500%        12/06/24        B+        743,329  
  744    

Prospect Medical Holdings, Term Loan B1

    8.063%        1-Month LIBOR        5.500%        2/22/24        B+        740,653  
  119    

Quorum Health Corp., Term Loan B

    9.249%        1-Month LIBOR        6.750%        4/29/22        B+        118,447  
  1,669    

Select Medical Corporation, Term Loan B

    5.012%        1-Month LIBOR        2.500%        3/06/25        BB        1,654,672  
  612    

Team Health, Initial Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        552,014  
  148    

Vizient, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/13/23        BB–        147,739  
  19,038    

Total Health Care Providers & Services

                                                 18,052,393  
      Health Care Technology – 1.1% (0.7% of Total Investments)                
  2,888    

Emdeon, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        3/01/24        B+        2,830,111  
      Hotels, Restaurants & Leisure – 12.7% (7.8% of Total Investments)                
  1,021    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        5/30/25        BB–        1,012,349  
  700    

Aramark Corporation, Term Loan

    4.249%        1-Month LIBOR        1.750%        3/11/25        BBB–        695,999  
  5,938    

Burger King Corporation, Term Loan B3

    4.749%        1-Month LIBOR        2.250%        2/16/24        BB–        5,851,041  
  2,346    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        10/06/24        BB        2,305,026  
  1,980    

Caesars Resort Collection, Term Loan, First Lien

    5.249%        1-Month LIBOR        2.750%        12/23/24        BB        1,956,002  
  1,146    

CCM Merger, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        8/09/21        BB–        1,137,631  
  2,168    

CityCenter Holdings LLC, Term Loan B

    4.749%        1-Month LIBOR        2.250%        4/18/24        BB–        2,133,225  
  991    

Equinox Holdings, Inc., Term Loan B1

    5.499%        1-Month LIBOR        3.000%        3/08/24        B+        979,587  
  490    

Four Seasons Holdings, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        11/30/23        BB+        483,008  
  2,298    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.499%        1-Month LIBOR        3.000%        7/31/24        B        2,271,957  
  1,667    

Life Time Fitness, Inc., Term Loan B

    5.457%        3-Month LIBOR        2.750%        6/10/22        BB–        1,646,873  
  500    

MGM Growth Properties, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        495,000  
  1,070    

MGM Growth Properties, Term Loan B

    4.414%        1-Month LIBOR        2.000%        3/21/25        BBB–        1,054,458  
  4,893    

Scientific Games Corp., Initial Term Loan B5

    5.249%        1-Month LIBOR        2.750%        8/14/24        BB–        4,750,498  
  882    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    5.499%        1-Month LIBOR        3.000%        4/01/24        B        867,394  
  1,692    

Stars Group Holdings, Term Loan B

    6.303%        3-Month LIBOR        3.500%        7/10/25        B+        1,679,392  
  1,722    

Station Casino LLC, Term Loan B

    5.000%        1-Month LIBOR        2.500%        6/08/23        BB–        1,704,797  
  998    

Wyndham International, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        5/30/25        BBB–        982,892  
  32,502    

Total Hotels, Restaurants & Leisure

                                                 32,007,129  
      Household Durables – 0.5% (0.3% of Total Investments)                
  1,355    

Serta Simmons Holdings LLC, Term Loan, First Lien

    6.013%        1-Month LIBOR        3.500%        11/08/23        B–        1,161,563  
      Household Products – 0.3% (0.2% of Total Investments)                
  737    

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

    5.249%        1-Month LIBOR        2.750%        2/05/23        B+        727,797  
      Industrial Conglomerates – 0.3% (0.2% of Total Investments)                
  744    

Education Advisory Board, Term Loan, First Lien

    6.408%        2-Month LIBOR        3.750%        11/15/24        B        723,905  

 

29


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Insurance – 2.1% (1.3% of Total Investments)                
$ 491    

Acrisure LLC, Term Loan B

    6.749%        1-Month LIBOR        4.250%        11/22/23        B      $ 483,146  
  2,681    

Alliant Holdings I LLC, Term Loan B

    5.258%        1-Month LIBOR        2.750%        5/09/25        B        2,586,318  
  727    

Asurion LLC, Term Loan B6

    5.499%        1-Month LIBOR        3.000%        11/03/23        BB–        716,663  
  1,650    

Hub International Holdings, Inc., Term Loan B

    5.514%        3-Month LIBOR        2.750%        4/25/25        B        1,594,685  
  5,549    

Total Insurance

                                                 5,380,812  
      Interactive Media & Services – 0.7% (0.4% of Total Investments)                
  883    

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

    5.582%        3-Month LIBOR        3.000%        11/03/23        BB+        820,904  
  1,000    

WeddingWire, Inc., Term Loan

    7.290%        3-Month LIBOR        4.500%        12/19/25        B+        998,440  
  1,883    

Total Interactive Media & Services

                                                 1,819,344  
      Internet and Direct Marketing Retail – 1.0% (0.6% of Total Investments)                
  2,491    

Uber Technologies, Inc., Term Loan

    6.516%        1-Month LIBOR        4.000%        4/04/25        N/R        2,479,569  
      Internet Software & Services – 0.8% (0.5% of Total Investments)                
  973    

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

    5.750%        1-Month LIBOR        3.250%        10/19/23        B        957,913  
  556    

Dynatrace, Term Loan, First Lien

    5.749%        1-Month LIBOR        3.250%        8/22/25        B+        550,761  
  56    

Dynatrace, Term Loan, Second Lien

    9.499%        1-Month LIBOR        7.000%        8/21/26        CCC+        56,183  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    10.749%        1-Month LIBOR        8.250%        4/28/22        CCC–        587,714  
  2,694    

Total Internet Software & Services

                                                 2,152,571  
      IT Services – 5.6% (3.4% of Total Investments)                
  563    

DTI Holdings, Inc., Replacement Term Loan B1

    7.494%        3-Month LIBOR        4.750%        9/29/23        B        529,994  
  1,442    

First Data Corporation, Term Loan, First Lien, (DD1)

    4.519%        1-Month LIBOR        2.000%        7/10/22        BB+        1,438,145  
  3,212    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        4/26/24        BB+        3,203,886  
  649    

Gartner, Inc., Term Loan A

    3.999%        1-Month LIBOR        1.500%        3/21/22        BB+        644,409  
  627    

GTT Communications, Inc., Term Loan, First Lien

    5.250%        1-Month LIBOR        2.750%        6/02/25        BB–        590,110  
  1,098    

Sabre, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        2/22/24        BB        1,084,740  
  429    

Science Applications International Corporation, Term Loan B

    4.249%        1-Month LIBOR        1.750%        10/31/25        BB+        423,469  
  2,000    

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

    11.509%        1-Month LIBOR        9.000%        3/11/24        CCC+        1,720,000  
  1,569    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.509%        1-Month LIBOR        5.000%        3/09/23        B        1,427,363  
  1,231    

Tempo Acquisition LLC, Term Loan B

    5.499%        1-Month LIBOR        3.000%        5/01/24        B+        1,211,464  
  1,237    

West Corporation, Term Loan B

    6.499%        1-Month LIBOR        4.000%        10/10/24        BB+        1,139,416  
  731    

WEX, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/23        BB–        721,978  
  14,788    

Total IT Services

                                                 14,134,974  
      Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)                
  297    

Inventiv Health, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/24        BB        293,227  
  399    

Parexel International Corp., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        379,090  
  696    

Total Life Sciences Tools & Services

                                                 672,317  
      Machinery – 1.3% (0.8% of Total Investments)                
  734    

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

    5.514%        1-Month LIBOR        3.000%        2/01/24        B+        729,016  
  1,001    

Gardner Denver, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        7/30/24        BB+        997,055  
  834    

Gates Global LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        4/01/24        B+        818,125  
  496    

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

    7.303%        3-Month LIBOR        4.500%        11/27/20        CCC+        455,420  
  500    

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

    11.803%        3-Month LIBOR        9.000%        11/26/21        CCC–        417,500  
  3,565    

Total Machinery

                                                 3,417,116  
      Marine – 0.6% (0.4% of Total Investments)                
  647    

American Commercial Lines LLC, Term Loan B, First Lien

    11.249%        1-Month LIBOR        8.750%        11/12/20        CCC+        462,516  
  1,024    

Harvey Gulf International Marine, Inc., Exit Term Loan

    8.508%        6-Month LIBOR        6.000%        7/02/23        B        1,020,596  
  1,671    

Total Marine

                                                 1,483,112  

 

30


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media – 13.9% (8.5% of Total Investments)                
$ 1,245    

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

    5.749%        1-Month LIBOR        3.250%        7/23/21        B+      $ 1,100,359  
  381    

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

    10.390%        3-Month LIBOR        7.750%        5/10/22        CCC+        373,258  
  70    

Catalina Marketing Corporation, Delayed Draw Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B3        70,346  
  263    

Catalina Marketing Corporation, DIP Term Loan, First Lien

    8.008%        3-Month LIBOR        5.500%        6/14/19        Caa2        226,959  
  105    

Catalina Marketing Corporation, Term Loan A

    12.514%        1-Month LIBOR        10.000%        6/14/19        B3        105,519  
  114    

Catalina Marketing Corporation, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B3        114,313  
  1,592    

Catalina Marketing Corporation, Term Loan, First Lien, (5)

    0.000%        N/A        N/A        4/09/21        D        143,320  
  1,000    

Catalina Marketing Corporation, Term Loan, Second Lien, (5)

    9.457%        N/A        N/A        4/11/22        D        18,500  
  350    

CBS Radio, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        340,813  
  2,894    

Cequel Communications LLC, Term Loan B

    4.759%        1-Month LIBOR        2.250%        1/10/26        BB        2,795,844  
  3,025    

Charter Communications Operating Holdings LLC, Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/30/25        BBB–        2,989,457  
  1,488    

Cineworld Group PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/28/25        BB–        1,455,525  
  3,064    

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

    0.000%        N/A        N/A        1/30/19        CCC        2,078,907  
  4,961    

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

    0.000%        N/A        N/A        7/30/19        CCC        3,366,640  
  993    

CSC Holdings LLC, Term Loan B

    5.009%        1-Month LIBOR        2.500%        1/25/26        BB+        972,650  
  3,969    

Cumulus Media, Inc., Exit Term Loan

    7.000%        1-Month LIBOR        4.500%        5/13/22        B        3,841,995  
  415    

Gray Television, Inc., Term Loan B2

    4.770%        1-Month LIBOR        2.250%        2/07/24        BB+        408,431  
  919    

IMG Worldwide, Inc., Term Loan B

    5.250%        1-Month LIBOR        2.750%        5/18/25        B        868,816  
  2,042    

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

    6.252%        1-Month LIBOR        3.750%        11/30/23        B+        2,030,158  
  2,377    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/02/22        BB+        2,171,150  
  1,137    

Meredith Corporation, Tranche Term Loan B1

    5.249%        1-Month LIBOR        2.750%        1/31/25        BB        1,131,607  
  998    

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

    5.000%        1-Month LIBOR        2.500%        7/03/25        BB        985,660  
  750    

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

    7.000%        1-Month LIBOR        4.500%        7/03/26        B        725,629  
  257    

Nexstar Broadcasting, Inc., Term Loan B3

    4.756%        1-Month LIBOR        2.250%        1/17/24        BB+        249,491  
  1,487    

Nexstar Broadcasting, Inc., Term Loan B3

    4.752%        1-Month LIBOR        2.250%        1/17/24        BB+        1,443,146  
  846    

Sinclair Television Group, Term Loan B2, (DD1)

    4.750%        1-Month LIBOR        2.250%        1/31/24        BB+        841,616  
  1,083    

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

    5.999%        1-Month LIBOR        3.500%        8/15/22        B        1,079,981  
  767    

UPC Financing Partnership, Term Loan AR1, First Lien

    5.009%        1-Month LIBOR        2.500%        1/15/26        BB+        756,759  
  2,364    

WideOpenWest Finance LLC, Term Loan B

    5.753%        1-Month LIBOR        3.250%        8/18/23        B        2,264,738  
  40,956    

Total Media

                                                 34,951,587  
      Multiline Retail – 1.2% (0.7% of Total Investments)                
  1,152    

Belk, Inc., Term Loan B, First Lien, (DD1)

    7.365%        2-Month LIBOR        4.750%        12/12/22        B        920,940  
  868    

EG America LLC, Term Loan, First Lien

    6.813%        3-Month LIBOR        4.000%        2/07/25        B        841,083  
  449    

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

    5.752%        1-Month LIBOR        3.250%        9/30/22        BB–        440,464  
  827    

Neiman Marcus Group, Inc., Term Loan

    5.763%        1-Month LIBOR        3.250%        10/25/20        CCC        735,969  
  3,296    

Total Multiline Retail

                                                 2,938,456  
      Oil, Gas & Consumable Fuels – 2.7% (1.6% of Total Investments)                
  1,085    

BCP Renaissance Parent, Term Loan B

    6.244%        3-Month LIBOR        3.500%        10/31/24        BB–        1,076,972  
  750    

California Resources Corporation, Term Loan

    12.874%        1-Month LIBOR        10.375%        12/31/21        B        786,563  
  2,130    

California Resources Corporation, Term Loan B

    7.252%        1-Month LIBOR        4.750%        12/31/22        B        2,093,609  
  1,546    

Fieldwood Energy LLC, Exit Term Loan

    7.749%        1-Month LIBOR        5.250%        4/11/22        BB–        1,423,642  
  610    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.749%        1-Month LIBOR        7.250%        4/11/23        B+        527,581  
  824    

Peabody Energy Corporation, Term Loan B

    5.249%        1-Month LIBOR        2.750%        3/31/25        BB        809,916  
  6,945    

Total Oil, Gas & Consumable Fuels

                                                 6,718,283  
      Personal Products – 1.4% (0.8% of Total Investments)                
  975    

Coty, Inc., Term Loan A

    4.271%        1-Month LIBOR        1.750%        4/05/23        BB        948,188  
  995    

Coty, Inc., Term Loan B

    4.771%        1-Month LIBOR        2.250%        4/07/25        BB        947,116  

 

31


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Personal Products (continued)                
$ 2,185    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    6.207%        3-Month LIBOR        3.500%        11/16/20        B–      $ 1,566,871  
  4,155    

Total Personal Products

                                                 3,462,175  
      Pharmaceuticals – 2.1% (1.3% of Total Investments)                
  586    

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

    5.999%        1-Month LIBOR        3.500%        9/26/24        B–        533,954  
  2,115    

Concordia Healthcare Corp, Exit Term Loan

    8.016%        1-Month LIBOR        5.500%        9/06/24        B–        2,017,431  
  662    

Valeant Pharmaceuticals International, Inc., Term Loan B, (DD1)

    5.263%        1-Month LIBOR        2.750%        11/15/25        BB        653,853  
  1,992    

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

    5.513%        1-Month LIBOR        3.000%        6/02/25        BB        1,973,914  
  5,355    

Total Pharmaceuticals

                                                 5,179,152  
      Professional Services – 2.0% (1.2% of Total Investments)                
  1,190    

Ceridian HCM Holding, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        4/30/25        B        1,178,658  
  1,256    

Nielsen Finance LLC, Term Loan B4

    4.511%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,238,074  
  718    

On Assignment, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        4/02/25        BB        710,325  
  2,218    

Skillsoft Corporation, Initial Term Loan, First Lien

    7.249%        1-Month LIBOR        4.750%        4/28/21        B–        1,821,721  
  5,382    

Total Professional Services

                                                 4,948,778  
      Real Estate Management & Development – 0.9% (0.6% of Total Investments)                
  1,421    

GGP, Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/27/25        BB+        1,363,564  
  981    

Trico Group LLC, Term Loan, First Lien

    9.207%        3-Month LIBOR        6.500%        2/02/24        B        961,625  
  2,402    

Total Real Estate Management & Development

 

                       2,325,189  
      Road & Rail – 3.0% (1.9% of Total Investments)                
  5,750    

Avolon LLC, Term Loan B

    4.503%        1-Month LIBOR        2.000%        1/15/25        BBB–        5,700,666  
  970    

Quality Distribution, Incremental Term Loan, First Lien

    8.303%        3-Month LIBOR        5.500%        8/18/22        B        955,450  
  960    

Savage Enterprises LLC, Term Loan B

    7.020%        1-Month LIBOR        4.500%        8/01/25        B+        960,832  
  7,680    

Total Road & Rail

                                                 7,616,948  
      Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)                
  500    

Cabot Microelectronics, Term Loan B

    4.750%        1-Month LIBOR        2.250%        11/14/25        BB+        496,875  
  453    

Lumileds, Term Loan B

    6.205%        3-Month LIBOR        3.500%        6/30/24        B+        344,199  
  1,130    

Microchip Technology., Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        5/29/25        BBB–        1,114,873  
  775    

Micron Technology, Inc., Term Loan B

    4.250%        1-Month LIBOR        1.750%        4/10/22        BBB        769,029  
  1,070    

ON Semiconductor Corporation, Term Loan B3

    4.249%        1-Month LIBOR        1.750%        3/31/23        BBB–        1,059,012  
  3,928    

Total Semiconductors & Semiconductor Equipment

 

                       3,783,988  
      Software – 13.7% (8.4% of Total Investments)                
  1,597    

Blackboard, Inc., Term Loan B4

    7.780%        3-Month LIBOR        5.000%        6/30/21        B–        1,503,267  
  351    

Compuware Corporation, Term Loan, First Lien

    6.002%        1-Month LIBOR        3.500%        8/25/25        B+        351,496  
  900    

DiscoverOrg LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B        895,500  
  1,580    

Ellucian, Term Loan B, First Lien

    6.053%        3-Month LIBOR        3.250%        9/30/22        B        1,549,564  
  2,450    

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

    5.749%        1-Month LIBOR        3.250%        12/01/23        B        2,399,774  
  5,267    

Infor (US), Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/01/22        B+        5,245,075  
  1,548    

Informatica, Term Loan B

    5.749%        1-Month LIBOR        3.250%        8/05/22        B+        1,546,252  
  973    

Kronos Incorporated, Term Loan B

    5.541%        3-Month LIBOR        3.000%        11/20/23        B        955,673  
  458    

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

    11.000%        1-Month LIBOR        8.500%        9/29/25        B–        466,354  
  1,992    

McAfee LLC, Term Loan B

    6.250%        1-Month LIBOR        3.750%        9/30/24        B+        1,984,088  
  638    

Micro Focus International PLC, New Term Loan

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        619,021  
  4,312    

Micro Focus International PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        4,180,400  
  1,873    

Micro Focus International PLC, Term Loan B2

    4.749%        1-Month LIBOR        2.250%        11/19/21        BB–        1,846,279  
  429    

Misys, New Term Loan, Second Lien

    10.053%        3-Month LIBOR        7.250%        6/13/25        BB–        406,927  
  253    

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

    5.749%        1-Month LIBOR        3.250%        11/29/24        B        243,436  
  300    

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

    9.749%        1-Month LIBOR        7.250%        12/01/25        CCC        294,600  

 

32


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                
$ 980    

RP Crown Parent LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        10/15/23        B+      $ 965,300  
  3,913    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        3,839,794  
  1,505    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        1,476,911  
  3,635    

TIBCO Software, Inc., Term Loan, First Lien

    6.010%        1-Month LIBOR        3.500%        12/04/20        B+        3,614,633  
  34,954    

Total Software

                                                 34,384,344  
      Specialty Retail – 1.8% (1.1% of Total Investments)                
  1,009    

Academy, Ltd., Term Loan B

    6.514%        1-Month LIBOR        4.000%        7/01/22        CCC+        701,241  
  2,676    

Petco Animal Supplies, Inc., Term Loan B1

    5.994%        3-Month LIBOR        3.250%        1/26/23        B        2,063,230  
  1,780    

Petsmart Inc., Term Loan B, First Lien

    5.520%        1-Month LIBOR        3.000%        3/11/22        B–        1,496,803  
  470    

Serta Simmons Holdings LLC, Term Loan, Second Lien, (DD1)

    10.514%        1-Month LIBOR        8.000%        11/08/24        CCC        337,936  
  5,935    

Total Specialty Retail

                                                 4,599,210  
      Technology Hardware, Storage & Peripherals – 7.3% (4.5% of Total Investments)                
  3,066    

BMC Software, Inc., Term Loan B

    7.053%        3-Month LIBOR        4.250%        10/02/25        B        2,999,320  
  7,731    

Dell International LLC, Refinancing Term Loan B

    4.500%        1-Month LIBOR        2.000%        9/07/23        BBB–        7,636,543  
  2,138    

Dell International LLC, Replacement Term Loan A2

    4.250%        1-Month LIBOR        1.750%        9/07/21        BBB–        2,116,791  
  5,698    

Western Digital, Term Loan B

    4.260%        1-Month LIBOR        1.750%        4/29/23        BBB–        5,569,886  
  18,633    

Total Technology Hardware, Storage & Peripherals

 

                       18,322,540  
      Trading Companies & Distributors – 0.5% (0.3% of Total Investments)                
  1,254    

Univar, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/24        BB        1,231,088  
      Transportation Infrastructure – 0.9% (0.5% of Total Investments)                
  500    

Atlantic Aviation FBO Inc., Term Loan

    6.270%        1-Month LIBOR        3.750%        12/06/25        BB        503,125  
  998    

Ceva Group PLC, Term Loan, First Lien

    6.553%        3-Month LIBOR        3.750%        8/04/25        BB–        988,772  
  262    

Standard Aero, Canadien Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B        261,535  
  488    

Standard Aero, USD Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        486,455  
  2,248    

Total Transportation Infrastructure

                                                 2,239,887  
      Wireless Telecommunication Services – 2.4% (1.5% of Total Investments)                
  729    

Asurion LLC, Term Loan B4

    5.499%        1-Month LIBOR        3.000%        8/04/22        BB–        719,277  
  5,404    

Sprint Corporation, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        2/02/24        BB+        5,288,920  
  6,133    

Total Wireless Telecommunication Services

 

                       6,008,197  
$ 379,964    

Total Variable Rate Senior Loan Interests (cost $376,033,564)

 

              359,709,029  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 15.0% (9.2% of Total Investments)

 

  
      Communications Equipment – 3.1% (1.9% of Total Investments)                
$ 115    

Avaya Holdings Corporation, 144A, (5), (7)

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

Avaya Holdings Corporation, 144A, (5), (7)

          10.500%        3/01/21        N/R         
  3,995    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        3,630,456  
  4,050    

Intelsat Jackson Holdings SA, 144A

                      9.750%        7/15/25        CCC+        4,217,062  
  11,055    

Total Communications Equipment

                                                 7,847,518  
      Containers & Packaging – 0.9% (0.5% of Total Investments)                
  2,277    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+        2,286,057  
      Diversified Telecommunication Services – 1.8% (1.1% of Total Investments)                
  295    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B+        317,494  
  4,309    

Intelsat Luxembourg SA

                      7.750%        6/01/21        CC        4,136,640  
  4,604    

Total Diversified Telecommunication Services

 

                       4,454,134  

 

33


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Health Care Providers & Services – 0.3% (0.2% of Total Investments)                
$ 510    

Tenet Healthcare Corporation

          4.750%        6/01/20        BB–      $ 513,825  
  350    

Tenet Healthcare Corporation

                      6.000%        10/01/20        BB        361,480  
  860    

Total Health Care Providers & Services

                                                 875,305  
      Hotels, Restaurants & Leisure – 1.1% (0.7% of Total Investments)                
  2,650    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,785,813  
      Media – 3.5% (2.1% of Total Investments)                
  100    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        100,258  
  347    

DISH DBS Corporation

          5.125%        5/01/20        BB–        347,867  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB–        828,750  
  2,122    

iHeartCommunications Inc., (5)

          9.000%        12/15/19        CCC        1,421,740  
  9,172    

iHeartCommunications Inc., (5)

          5.340%        2/01/21        CC        1,109,797  
  2,430    

iHeartCommunications Inc., (5)

          9.000%        3/01/21        CCC        1,622,025  
  1,524    

iHeartCommunications Inc., 144A, (5)

          11.250%        3/01/21        C        960,120  
  2,830    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC–        2,354,206  
  19,525    

Total Media

                                                 8,744,763  
      Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)                
  2,735    

California Resources Corporation, 144A

          8.000%        12/15/22        B–        2,194,838  
  400    

Denbury Resources Inc.

          6.375%        8/15/21        CCC+        330,000  
  1,404    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B+        1,379,430  
  115    

EP Energy LLC, 144A

                      9.375%        5/01/24        CCC        61,238  
  4,654    

Total Oil, Gas & Consumable Fuels

                                                 3,965,506  
      Pharmaceuticals – 0.6% (0.4% of Total Investments)                
  1,000    

Bausch Health Companies Inc., 144A

          6.500%        3/15/22        BB        1,033,750  
  437    

Concordia International Corporation

                      8.000%        9/06/24        B–        415,150  
  1,437    

Total Pharmaceuticals

                                                 1,448,900  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
  761    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B+        825,685  
      Software – 0.5% (0.3% of Total Investments)  
  1,275    

Infor US Inc., 144A

                      5.750%        8/15/20        B+        1,293,870  
      Wireless Telecommunication Services – 1.3% (0.8% of Total Investments)  
  500    

Sprint Capital Corporation

          7.875%        9/15/23        B+        531,250  
  2,000    

Sprint Capital Corporation

          7.125%        6/15/24        B+        2,055,000  
  550    

Sprint Communications Inc.

                      7.000%        8/15/20        B+        570,625  
  3,050    

Total Wireless Telecommunication Services

 

                       3,156,875  
$ 52,148    

Total Corporate Bonds (cost $42,974,563)

 

                       37,684,426  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.2% (1.2% of Total Investments)

 

      Diversified Consumer Services – 0.1% (0.0% of Total Investments)  
  37,172    

Cengage Learning Holdings II Inc., (8), (9)

                                               $ 144,042  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)  
  19,407    

C&J Energy Services Inc., (8)

                   311,870  
  40,007    

Transocean Ltd

                   342,860  
  1,961    

Vantage Drilling International, (8), (9)

                                                 454,952  
 

Total Energy Equipment & Services

 

                       1,109,682  
      Health Care Providers & Services – 0.1% (0.0% of Total Investments)  
  35,750    

Millennium Health LLC, (7), (8)

                   69,285  
  33,563    

Millennium Health LLC, (7), (8)

                   65,018  

 

34


Shares     Description (1)                                           Value  
      Health Care Providers & Services (continued)  
  38,382    

Millennium Health LLC, (8), (9)

                                               $ 2,111  
 

Total Health Care Providers & Services

 

                       136,414  
      Marine – 0.2% (0.1% of Total Investments)  
  10,768    

HGIM Corporation, (9)

                   409,184  
  2,409    

HGIM Corporation, (8), (9)

                                                 91,542  
 

Total Marine

                                                 500,726  
      Media – 0.5% (0.3% of Total Investments)  
  50,775    

Cumulus Media Inc., (8)

                   611,839  
  775,233    

Hibu PLC, (8), (9)

                   202,336  
  6,268    

Metro-Goldwyn-Mayer Inc., (8), (9)

                   489,531  
  14,825    

Tribune Media Company, (9)

                                                 9,636  
 

Total Media

                                                 1,313,342  
      Pharmaceuticals – 0.1% (0.0% of Total Investments)  
  11,982    

Advanz Pharma Corporation, (8)

                                                 226,699  
      Software – 0.8% (0.5% of Total Investments)  
  118,613    

Avaya Holdings Corporation, (8)

                                                 2,005,746  
      Specialty Retail – 0.0% (0.0% of Total Investments)  
  14,849    

Gymboree Holding Corporation, (8), (9)

                   29,698  
  5,454    

Gymboree Holding Corporation, (8), (9)

                                                 10,908  
 

Total Specialty Retail

 

                       40,606  
 

Total Common Stocks (cost $10,452,719)

 

                                5,477,257  
Shares     Description (1)                                           Value  
 

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

 

      Oil, Gas & Consumable Fuels – 0.1% (0.1% of Total Investments)  
  7,052    

Fieldwood Energy LLC, (7), (8)

                 $ 221,558  
  1,425    

Fieldwood Energy LLC, (8), (9)

                                                 47,025  
 

Total Common Stock Rights (cost $201,310)

 

                                268,583  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  11,806    

Avaya Holdings Corporation, (9)

                                               $ 14,758  
 

Total Warrants (cost $1,103,821)

 

                       14,758  
 

Total Long-Term Investments (cost $430,765,977)

 

                                403,154,053  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 3.2% (1.9% of Total Investments)

 

      INVESTMENT COMPANIES – 3.2% (1.9% of Total Investments)  
  8,014,761    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

 

              2.290% (11)                        $ 8,014,761  
 

Total Short-Term Investments (cost $8,014,761)

 

                       8,014,761  
 

Total Investments (cost $438,780,738) – 163.4%

 

                       411,168,814  
 

Borrowings – (45.3)% (12), (13)

 

                       (114,000,000
 

Term Preferred Shares, net of deferred offering costs – (16.9)% (14)

 

                       (42,494,344
 

Other Assets Less Liabilities – (1.2)% (15)

 

                       (2,982,953
 

Net Assets Applicable to Common Shares – 100%

 

                     $ 251,691,517  

 

35


NSL    Nuveen Senior Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 43,000,000       Pay       1-Month LIBOR       2.000 %(16)      Monthly       11/01/21 (17)    $ (665,341   $ (665,341

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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

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

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(7)

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)

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

 

(9)

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.

 

(10)

A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http://www.sec.gov.

 

(11)

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

 

(12)

Borrowings as a percentage of Total Investments is 27.7%.

 

(13)

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

 

(14)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 10.3%.

 

(15)

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

 

(16)

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

 

(17)

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

 

144A

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

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

36


JFR   

Nuveen Floating Rate Income Fund

 

Portfolio of Investments    January 31, 2019

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 159.1% (98.4% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 138.0% (85.3% of Total Investments) (2)

 

      Aerospace & Defense – 2.2% (1.4% of Total Investments)  
$ 693    

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

    4.499%        1-Month LIBOR        2.000%        8/21/24        BB+      $ 688,942  
  5,963    

Sequa Corporation, Term Loan B

    7.516%        3-Month LIBOR        5.000%        11/28/21        B        5,872,410  
  2,134    

Sequa Corporation, Term Loan, Second Lien

    11.751%        3-Month LIBOR        9.000%        4/28/22        CCC        2,041,095  
  2,892    

Transdigm, Inc., Term Loan E

    4.999%        1-Month LIBOR        2.500%        5/30/25        BB        2,826,226  
  975    

Transdigm, Inc., Term Loan F

    4.999%        1-Month LIBOR        2.500%        6/09/23        BB        956,299  
  1,303    

Transdigm, Inc., Term Loan G, First Lien

    4.999%        1-Month LIBOR        2.500%        8/22/24        BB–        1,274,555  
  13,960    

Total Aerospace & Defense

                                                 13,659,527  
      Air Freight & Logistics – 0.6% (0.4% of Total Investments)  
  1,628    

PAE Holding Corporation, Term Loan B

    8.119%        2-Month LIBOR        5.500%        10/20/22        B+        1,620,322  
  2,167    

XPO Logistics, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        2/24/25        BBB–        2,137,047  
  3,795    

Total Air Freight & Logistics

                                                 3,757,369  
      Airlines – 2.2% (1.3% of Total Investments)  
  4,056    

American Airlines, Inc., Replacement Term Loan

    4.516%        1-Month LIBOR        2.000%        10/10/21        BB+        4,009,257  
  2,131    

American Airlines, Inc., Term Loan 2025

    4.252%        1-Month LIBOR        1.750%        6/27/25        BB+        2,046,972  
  7,534    

American Airlines, Inc., Term Loan B

    4.509%        1-Month LIBOR        2.000%        12/14/23        BB+        7,319,208  
  13,721    

Total Airlines

                                                 13,375,437  
      Auto Components – 0.5% (0.3% of Total Investments)  
  1,408    

DexKo Global, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        7/24/24        B+        1,389,893  
  1,970    

Superior Industries International, Inc., Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/22/24        B+        1,946,983  
  3,378    

Total Auto Components

                                                 3,336,876  
      Automobiles – 0.4% (0.2% of Total Investments)  
  1,000    

Caliber Collision, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        999,790  
  1,485    

Navistar, Inc., Tranche B, Term Loan

    6.020%        1-Month LIBOR        3.500%        11/06/24        BB–        1,465,517  
  2,485    

Total Automobiles

                                                 2,465,307  
      Beverages – 0.7% (0.4% of Total Investments)  
  4,108    

Jacobs Douwe Egberts, Term Loan B

    4.563%        3-Month LIBOR        2.000%        11/01/25        BB        4,070,096  
      Biotechnology – 0.9% (0.5% of Total Investments)  
  5,404    

Grifols, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        1/31/25        BB+        5,344,093  
      Building Products – 1.5% (0.9% of Total Investments)  
  767    

Fairmount, Initial Term Loan

    6.553%        3-Month LIBOR        3.750%        6/01/25        BB        612,492  
  649    

Ply Gem Industries, Inc., Term Loan B

    6.547%        3-Month LIBOR        3.750%        4/12/25        B+        620,118  
  8,260    

Quikrete Holdings, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        11/15/23        BB–        8,026,310  
  9,676    

Total Building Products

                                                 9,258,920  
      Capital Markets – 1.8% (1.1% of Total Investments)  
  3,482    

Capital Automotive LP, Term Loan, Second Lien

    8.499%        1-Month LIBOR        6.000%        3/24/25        CCC+        3,478,402  
  7,844    

RPI Finance Trust, Term Loan B6

    4.499%        1-Month LIBOR        2.000%        3/27/23        BBB–        7,781,278  
  11,326    

Total Capital Markets

                                                 11,259,680  
      Chemicals – 0.4% (0.3% of Total Investments)  
  1,206    

Ineos US Finance LLC, Term Loan

    4.499%        1-Month LIBOR        2.000%        4/01/24        BBB–        1,173,395  
  782    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        776,561  
  600    

SI Group, Term Loan B

    7.537%        3-Month LIBOR        4.750%        10/15/25        BB–        595,500  
  2,588    

Total Chemicals

                                                 2,545,456  

 

37


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies – 5.3% (3.3% of Total Investments)  
$ 697    

ADS Waste Holdings, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        11/10/23        BB+      $ 690,887  
  3,453    

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

    6.957%        3-Month LIBOR        4.250%        6/16/24        B        3,316,385  
  696    

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

    0.000%        N/A        N/A        7/02/20        N/R        26,101  
  1,567    

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

    0.000%        N/A        N/A        7/02/20        N/R        1,967  
  8,273    

Formula One Group, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/01/24        B+        7,990,666  
  829    

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

    6.784%        1-Month LIBOR        4.000%        10/19/23        B–        793,993  
  2,769    

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

    5.999%        1-Month LIBOR        3.500%        10/18/19        B–        2,756,925  
  2,494    

GFL Environmental, Term Loan

    5.499%        1-Month LIBOR        3.000%        5/31/25        B+        2,411,990  
  4,500    

iQor US, Inc., Term Loan, First Lien, (DD1)

    7.797%        3-Month LIBOR        5.000%        4/01/21        CCC+        4,057,596  
  500    

iQor US, Inc., Term Loan, Second Lien

    11.547%        3-Month LIBOR        8.750%        4/01/22        CCC–        374,375  
  1,146    

KAR Auction Services, Inc., Term Loan B5

    5.313%        3-Month LIBOR        2.500%        3/09/23        BB        1,138,985  
  1,234    

LSC Communications, Refinancing Term Loan

    7.999%        1-Month LIBOR        5.500%        9/30/22        B+        1,229,123  
  963    

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

    8.303%        3-Month LIBOR        5.500%        9/30/22        CCC+        847,601  
  3,281    

Protection One, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        5/02/22        BB–        3,242,952  
  1,945    

Universal Services of America, Initial Term Loan, First Lien

    6.249%        1-Month LIBOR        3.750%        7/28/22        BB        1,862,824  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.999%        1-Month LIBOR        8.500%        7/28/23        CCC        1,677,078  
  340    

West Corporation, Incremental Term Loan B1

    5.999%        1-Month LIBOR        3.500%        10/10/24        BB+        310,051  
  36,437    

Total Commercial Services & Supplies

                                                 32,729,499  
      Communications Equipment – 4.1% (2.5% of Total Investments)  
  6,292    

Avaya, Inc., Tranche B Term Loan

    6.759%        1-Month LIBOR        4.250%        12/15/24        BB–        6,204,462  
  1,600    

Mitel US Holdings, Inc., Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        11/30/25        B        1,580,400  
  734    

MultiPlan, Inc., Term Loan B

    5.553%        3-Month LIBOR        2.750%        6/07/23        B+        711,754  
  2,167    

Plantronics, Term Loan B

    4.999%        1-Month LIBOR        2.500%        7/02/25        BB+        2,114,190  
  15,920    

Univision Communications, Inc., Term Loan C5

    5.249%        1-Month LIBOR        2.750%        3/15/24        B        14,883,686  
  26,713    

Total Communications Equipment

                                                 25,494,492  
      Construction & Engineering – 0.6% (0.4% of Total Investments)  
  1,990    

KBR, Inc., Term Loan B

    6.249%        1-Month LIBOR        3.750%        4/25/25        BB–        1,987,522  
  1,756    

Traverse Midstream Partners, Term Loan B

    6.600%        6-Month LIBOR        4.000%        9/27/24        B+        1,752,472  
  3,746    

Total Construction & Engineering

                                                 3,739,994  
      Consumer Finance – 0.8% (0.4% of Total Investments)  
  2,486    

Vantiv LLC, Repriced Term Loan B4

    4.222%        1-Month LIBOR        1.750%        8/09/24        BBB–        2,475,572  
  2,265    

Verscend Technologies, Tern Loan B

    6.999%        1-Month LIBOR        4.500%        8/27/25        B+        2,250,783  
  4,751    

Total Consumer Finance

                                                 4,726,355  
      Containers & Packaging – 0.2% (0.1% of Total Investments)  
  1,397    

Berry Global, Inc., Term Loan Q

    4.516%        1-Month LIBOR        2.000%        10/01/22        BBB–        1,386,412  
      Distributors – 0.3% (0.2% of Total Investments)  
  1,990    

SRS Distribution, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        5/23/25        B        1,896,410  
      Diversified Consumer Services – 6.4% (3.9% of Total Investments)  
  5,805    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        6/07/23        B        4,946,380  
  4,853    

Houghton Mifflin, Term Loan B, First Lien

    5.499%        1-Month LIBOR        3.000%        5/28/21        B        4,594,079  
  2,321    

Laureate Education, Inc., Term Loan B

    6.549%        1-Month LIBOR        3.500%        4/26/24        B+        2,314,484  
  3,000    

Refinitiv, Term Loan B

    6.249%        1-Month LIBOR        3.750%        10/01/25        BB+        2,886,330  
  839    

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

    6.803%        3-Month LIBOR        4.000%        4/03/24        B+        818,952  
  1,695    

Freedom Mortgage Corporation, Initial Term Loan

    7.249%        1-Month LIBOR        4.750%        2/23/22        BB        1,701,420  
  13,942    

Hilton Hotels, Term Loan B, (DD1)

    4.260%        1-Month LIBOR        1.750%        10/25/23        BBB–        13,820,666  
  842    

Lions Gate Entertainment Corp., Term Loan B

    4.749%        1-Month LIBOR        2.250%        3/24/25        BB        829,287  
  1,408    

Travelport LLC, Term Loan B

    5.116%        3-Month LIBOR        2.500%        3/17/25        B+        1,404,746  
  2,287    

Veritas US, Inc., Term Loan B1

    7.074%        1-Month LIBOR        4.500%        1/27/23        B        2,004,841  

 

38


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Consumer Services (continued)  
$ 6,093    

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

    8.499%        N/A        N/A        6/30/22        CCC      $ 4,143,346  
  43,085    

Total Diversified Consumer Services

                                                 39,464,531  
      Diversified Telecommunication Services – 7.2% (4.5% of Total Investments)  
  2,138    

CenturyLink, Inc., Initial Term Loan A

    5.249%        1-Month LIBOR        2.750%        11/01/22        BBB–        2,100,094  
  11,450    

CenturyLink, Inc., Term Loan B, (DD1)

    5.249%        1-Month LIBOR        2.750%        1/31/25        BBB–        10,971,701  
  5,782    

Frontier Communications Corporation, Term Loan B

    6.250%        1-Month LIBOR        3.750%        1/14/22        BB        5,544,933  
  465    

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

    7.002%        1-Month LIBOR        4.500%        1/02/24        B+        472,649  
  744    

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

    6.625%        N/A        N/A        1/02/24        B+        747,093  
  6,283    

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

    4.756%        1-Month LIBOR        2.250%        2/22/24        BBB–        6,183,653  
  6,983    

Numericable Group S.A., Term Loan B13

    6.509%        1-Month LIBOR        4.000%        8/14/26        B        6,607,191  
  722    

Windstream Corporation, Term Loan B6, (6)

    6.510%        1-Month LIBOR        4.000%        3/29/21        BB        673,019  
  12,000    

Ziggo B.V., Term Loan E

    5.009%        1-Month LIBOR        2.500%        4/15/25        BB        11,630,160  
  46,567    

Total Diversified Telecommunication Services

                                                 44,930,493  
      Electric Utilities – 0.9% (0.6% of Total Investments)  
  849    

EFS Cogen Holdings LLC, Term Loan B

    5.980%        3-Month LIBOR        3.250%        6/28/23        BB–        836,515  
  3,192    

Texas Competitive Electric Holdings LLC, Exit Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/23        BBB–        3,148,110  
  1,709    

Vistra Operations Co., Term Loan B3

    4.505%        1-Month LIBOR        2.000%        12/31/25        BBB–        1,680,447  
  5,750    

Total Electric Utilities

                                                 5,665,072  
      Electrical Equipment – 0.4% (0.2% of Total Investments)  
  2,329    

TTM Technologies, Term Loan B, (DD1)

    5.020%        1-Month LIBOR        2.500%        9/28/24        BB+        2,271,122  
      Energy Equipment & Services – 1.4% (0.9% of Total Investments)  
  4,963    

McDermott International, Term Loan

    7.499%        1-Month LIBOR        5.000%        5/12/25        BB–        4,772,957  
  4,693    

Seadrill Partners LLC, Initial Term Loan

    8.803%        3-Month LIBOR        6.000%        2/21/21        CCC+        3,795,086  
  9,656    

Total Energy Equipment & Services

                                                 8,568,043  
      Equity Real Estate Investment Trusts – 1.8% (1.1% of Total Investments)  
  8,223    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.499%        1-Month LIBOR        3.000%        10/24/22        B–        7,733,433  
  1,472    

Realogy Group LLC, Term Loan A

    4.758%        1-Month LIBOR        2.250%        2/08/23        BB+        1,449,797  
  1,844    

Realogy Group LLC, Term Loan B

    4.758%        1-Month LIBOR        2.250%        2/08/25        BB+        1,801,583  
  11,539    

Total Equity Real Estate Investment Trusts

                                                 10,984,813  
      Food & Staples Retailing – 6.6% (4.1% of Total Investments)  
  2,933    

Albertson’s LLC, Term Loan B5

    5.822%        3-Month LIBOR        3.000%        12/21/22        BB        2,899,165  
  1,882    

Albertson’s LLC, Term Loan B6

    5.691%        3-Month LIBOR        3.000%        6/22/23        BB        1,856,855  
  21,519    

Albertson’s LLC, Term Loan B7

    5.499%        1-Month LIBOR        3.000%        11/17/25        BB        21,109,063  
  713    

Del Monte Foods Company, Term Loan, First Lien

    5.903%        3-Month LIBOR        3.250%        2/18/21        CCC+        591,599  
  1,663    

Hearthside Group Holdings LLC, Term Loan B

    6.186%        1-Month LIBOR        3.688%        5/23/25        B        1,604,714  
  733    

Save-A-Lot, Term Loan B

    8.803%        3-Month LIBOR        6.000%        12/05/23        CCC+        409,287  
  12,568    

US Foods, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        6/27/23        BBB–        12,385,951  
  42,011    

Total Food & Staples Retailing

                                                 40,856,634  
      Food Products – 0.2% (0.1% of Total Investments)  
  1,315    

American Seafoods Group LLC, Term Loan B

    5.250%        1-Month LIBOR        2.750%        8/21/23        BB–        1,303,539  
      Health Care Equipment & Supplies – 2.1% (1.3% of Total Investments)  
  3,296    

Acelity, Term Loan B

    6.053%        3-Month LIBOR        3.250%        2/02/24        B+        3,280,498  
  800    

Air Methods Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        656,888  
  1,234    

Greatbatch, New Term Loan B

    5.510%        1-Month LIBOR        3.000%        10/27/22        B+        1,225,247  
  1,000    

LifeScan, Term Loan B

    8.797%        3-Month LIBOR        6.000%        10/01/24        B+        962,505  
  3,483    

Onex Carestream Finance LP, Term Loan, First Lien

    8.249%        N/A        N/A        2/28/21        B+        3,405,545  
  2,351    

Onex Carestream Finance LP, Term Loan, Second Lien

    11.999%        1-Month LIBOR        9.500%        6/07/21        B–        2,315,696  

 

39


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Equipment & Supplies (continued)  
$ 995    

Vyaire Medical, Inc., Term Loan B

    7.547%        3-Month LIBOR        4.750%        4/16/25        B      $ 940,275  
  13,159    

Total Health Care Equipment & Supplies

                                                 12,786,654  
      Health Care Providers & Services – 7.7% (4.7% of Total Investments)  
  1,874    

Acadia Healthcare, Inc., Term Loan B3

    4.999%        1-Month LIBOR        2.500%        2/11/22        BB        1,850,169  
  2,316    

Air Medical Group Holdings, Inc., Term Loan B

    5.764%        1-Month LIBOR        3.250%        4/28/22        B+        2,184,996  
  1,206    

Air Medical Group Holdings, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        3/14/25        B+        1,135,583  
  1,494    

Ardent Health, Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        6/30/25        B+        1,487,832  
  2,735    

Catalent Pharma Solutions, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        5/20/24        BB        2,723,253  
  1,510    

Community Health Systems, Inc., Term Loan H

    5.957%        3-Month LIBOR        3.250%        1/27/21        BB        1,488,370  
  1,424    

Concentra, Inc., Term Loan B

    5.270%        1-Month LIBOR        2.750%        6/01/22        B+        1,415,219  
  1,074    

ConvaTec Healthcare, Term Loan B

    5.053%        3-Month LIBOR        2.250%        10/25/23        BB        1,066,771  
  672    

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

    5.249%        1-Month LIBOR        2.750%        6/24/21        BBB–        670,659  
  1,247    

HCA, Inc., Term Loan B10

    4.499%        1-Month LIBOR        2.000%        3/13/25        BBB–        1,244,852  
  4,085    

HCA, Inc., Term Loan B11, (DD1)

    4.249%        1-Month LIBOR        1.750%        3/17/23        BBB–        4,070,498  
  1,881    

Healogics, Inc., Term Loan, First Lien

    7.010%        3-Month LIBOR        4.250%        7/01/21        B–        1,699,277  
  84    

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

    3.750%        N/A        N/A        4/30/25        B        82,062  
  922    

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

    6.249%        1-Month LIBOR        3.750%        4/30/25        B        896,584  
  3,412    

Kindred at Home Hospice, Term Loan B

    6.250%        1-Month LIBOR        3.750%        7/02/25        B+        3,395,201  
  1,000    

Kindred at Home Hospice, Term Loan, Second Lien

    9.500%        1-Month LIBOR        7.000%        6/21/26        CCC+        1,015,625  
  3,000    

Lifepoint Health, Inc., Term Loan

    7.129%        3-Month LIBOR        4.500%        11/16/25        B+        2,934,000  
  3,147    

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

    8.999%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,773,781  
  9,194    

Pharmaceutical Product Development, Inc., Term Loan B, (DD1)

    4.999%        1-Month LIBOR        2.500%        8/18/22        BB–        9,027,685  
  1,489    

PharMerica, Term Loan, First Lien

    6.008%        1-Month LIBOR        3.500%        12/06/24        B+        1,486,658  
  1,489    

Prospect Medical Holdings, Term Loan B1

    8.063%        1-Month LIBOR        5.500%        2/22/24        B+        1,481,306  
  269    

Quorum Health Corp., Term Loan B

    9.249%        1-Month LIBOR        6.750%        4/29/22        B+        269,114  
  2,867    

Select Medical Corporation, Term Loan B

    5.012%        1-Month LIBOR        2.500%        3/06/25        BB        2,842,289  
  1,223    

Team Health, Initial Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        1,104,027  
  371    

Vizient, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/13/23        Ba3        369,348  
  49,985    

Total Health Care Providers & Services

                                                 47,715,159  
      Health Care Technology – 1.1% (0.7% of Total Investments)  
  6,738    

Emdeon, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        3/01/24        B+        6,603,592  
      Hotels, Restaurants & Leisure – 12.8% (7.9% of Total Investments)  
  2,552    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        5/30/25        BB–        2,530,873  
  1,166    

Aramark Corporation, Term Loan

    4.249%        1-Month LIBOR        1.750%        3/11/25        BBB–        1,159,999  
  993    

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

    5.764%        1-Month LIBOR        3.250%        2/05/25        B        968,511  
  22,291    

Burger King Corporation, Term Loan B3

    4.749%        1-Month LIBOR        2.250%        2/16/24        BB–        21,964,683  
  4,412    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        10/06/24        BB        4,335,252  
  4,950    

Caesars Resort Collection, Term Loan, First Lien

    5.249%        1-Month LIBOR        2.750%        12/23/24        BB        4,890,006  
  989    

CCM Merger, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        8/09/21        BB        981,556  
  4,583    

CityCenter Holdings LLC, Term Loan B

    4.749%        1-Month LIBOR        2.250%        4/18/24        BB–        4,508,534  
  2,684    

Equinox Holdings, Inc., Term Loan B1

    5.499%        1-Month LIBOR        3.000%        3/08/24        B+        2,653,049  
  980    

Four Seasons Holdings, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        11/30/23        BB+        966,015  
  3,830    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.499%        1-Month LIBOR        3.000%        7/31/24        B        3,786,595  
  2,501    

Life Time Fitness, Inc., Term Loan B

    5.457%        3-Month LIBOR        2.750%        6/10/22        BB–        2,470,309  
  1,250    

MGM Growth Properties, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        1,237,500  
  3,321    

MGM Growth Properties, Term Loan B

    4.414%        1-Month LIBOR        2.000%        3/21/25        BBB–        3,273,795  
  12,440    

Scientific Games Corp., Initial Term Loan B5

    5.249%        1-Month LIBOR        2.750%        8/14/24        BB–        12,078,147  
  3,174    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    5.499%        1-Month LIBOR        3.000%        4/01/24        B        3,123,188  
  3,385    

Stars Group Holdings, Term Loan B

    6.303%        3-Month LIBOR        3.500%        7/10/25        B+        3,358,785  
  3,444    

Station Casino LLC, Term Loan B

    5.000%        1-Month LIBOR        2.500%        6/08/23        BB–        3,409,594  
  1,995    

Wyndham International, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,965,783  
  80,940    

Total Hotels, Restaurants & Leisure

                                                 79,662,174  

 

40


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Household Durables – 1.3% (0.8% of Total Investments)  
$ 3,583    

Serta Simmons Holdings LLC, Term Loan, First Lien

    6.013%        1-Month LIBOR        3.500%        11/08/23        B–      $ 3,072,578  
  1,000    

Energizer Holdings, Term Loan B

    4.758%        1-Month LIBOR        2.250%        12/17/25        BB+        994,375  
  3,784    

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

    5.249%        1-Month LIBOR        2.750%        2/05/23        B+        3,737,191  
  8,367    

Total Household Durables

                                                 7,804,144  
      Independent Power & Renewable Electricity Producers – 0.8% (0.5% of Total Investments)  
  5,019    

NRG Energy, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        6/30/23        BBB–        4,947,225  
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)  
  1,489    

Education Advisory Board, Term Loan, First Lien

    6.408%        2-Month LIBOR        3.750%        11/15/24        B        1,447,809  
      Insurance – 2.3% (1.4% of Total Investments)  
  983    

Acrisure LLC, Term Loan B

    6.749%        1-Month LIBOR        4.250%        11/22/23        B        966,291  
  6,119    

Alliant Holdings I LLC, Term Loan B

    5.258%        1-Month LIBOR        2.750%        5/09/25        B        5,902,681  
  3,996    

Asurion LLC, Term Loan B6

    5.499%        1-Month LIBOR        3.000%        11/03/23        BB–        3,941,648  
  3,352    

Hub International Holdings, Inc., Term Loan B

    5.514%        3-Month LIBOR        2.750%        4/25/25        B        3,238,577  
  14,450    

Total Insurance

                                                 14,049,197  
      Interactive Media & Services – 0.5% (0.3% of Total Investments)  
  1,412    

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

    5.582%        3-Month LIBOR        3.000%        11/03/23        BB+        1,313,447  
  2,000    

WeddingWire, Inc., Term Loan

    7.290%        3-Month LIBOR        4.500%        12/19/25        B+        1,996,880  
  3,412    

Total Interactive Media & Services

                                                 3,310,327  
      Internet and Direct Marketing Retail – 0.9% (0.6% of Total Investments)  
  4,983    

Uber Technologies, Inc., Term Loan

    6.516%        1-Month LIBOR        4.000%        4/04/25        N/R        4,959,138  
  744    

Uber Technologies, Inc., Term Loan

    6.008%        1-Month LIBOR        3.500%        7/13/23        N/R        736,474  
  5,727    

Total Internet and Direct Marketing Retail

                                                 5,695,612  
      Internet Software & Services – 0.7% (0.4% of Total Investments)  
  1,945    

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

    5.750%        1-Month LIBOR        3.250%        10/19/23        B        1,915,825  
  1,083    

Dynatrace, Term Loan, First Lien

    5.749%        1-Month LIBOR        3.250%        8/22/25        B+        1,073,520  
  110    

Dynatrace, Term Loan, Second Lien

    9.499%        1-Month LIBOR        7.000%        8/21/26        CCC+        109,510  
  2,448    

SkillSoft Corporation, Term Loan, Second Lien

    10.749%        1-Month LIBOR        8.250%        4/28/22        CCC–        1,297,413  
  5,586    

Total Internet Software & Services

                                                 4,396,268  
      IT Services – 5.8% (3.6% of Total Investments)  
  1,127    

DTI Holdings, Inc., Replacement Term Loan B1

    7.494%        3-Month LIBOR        4.750%        9/29/23        B        1,059,987  
  8,276    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        4/26/24        BB+        8,256,549  
  4,194    

First Data Corporation, Term Loan, First Lien, (DD1)

    4.519%        1-Month LIBOR        2.000%        7/10/22        BB+        4,182,265  
  1,667    

Gartner, Inc., Term Loan A

    3.999%        1-Month LIBOR        1.500%        3/21/22        Ba1        1,654,564  
  2,506    

GTT Communications, Inc., Term Loan, First Lien

    5.250%        1-Month LIBOR        2.750%        6/02/25        BB–        2,360,441  
  679    

Presidio, Inc., Term Loan B

    5.543%        3-Month LIBOR        2.750%        2/02/24        B+        671,491  
  3,623    

Sabre, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        2/22/24        BB        3,581,232  
  858    

Science Applications International Corporation, Term Loan B

    4.249%        1-Month LIBOR        1.750%        10/31/25        BB+        846,938  
  3,500    

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

    11.509%        1-Month LIBOR        9.000%        3/11/24        CCC+        3,010,000  
  4,337    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.509%        1-Month LIBOR        5.000%        3/09/23        B        3,946,239  
  2,463    

Tempo Acquisition LLC, Term Loan B

    5.499%        1-Month LIBOR        3.000%        5/01/24        B+        2,422,928  
  2,724    

West Corporation, Term Loan B

    6.499%        1-Month LIBOR        4.000%        10/10/24        BB+        2,509,088  
  1,463    

WEX, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/23        BB–        1,443,956  
  37,417    

Total IT Services

                                                 35,945,678  
      Life Sciences Tools & Services – 0.5% (0.3% of Total Investments)  
  595    

Inventiv Health, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/24        BB        586,454  
  2,479    

Parexel International Corp., Term Loan B

    5.249%        1-Month LIBOR        2.750%        9/27/24        B+        2,355,098  
  3,074    

Total Life Sciences Tools & Services

                                                 2,941,552  

 

41


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Machinery – 1.0% (0.6% of Total Investments)  
$ 1,008    

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

    5.514%        1-Month LIBOR        3.000%        2/01/24        B+      $ 1,001,069  
  2,412    

Gardner Denver, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        7/30/24        BB+        2,402,834  
  1,459    

Gates Global LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        4/01/24        B+        1,431,718  
  893    

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

    7.303%        3-Month LIBOR        4.500%        11/27/20        CCC+        819,754  
  850    

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

    11.803%        3-Month LIBOR        9.000%        11/26/21        CCC–        709,750  
  6,622    

Total Machinery

                                                 6,365,125  
      Marine – 0.6% (0.4% of Total Investments)  
  1,294    

American Commercial Lines LLC, Term Loan B, First Lien

    11.249%        1-Month LIBOR        8.750%        11/12/20        CCC+        925,031  
  3,119    

Harvey Gulf International Marine, Inc., Exit Term Loan

    8.508%        6-Month LIBOR        6.000%        7/02/23        B        3,107,735  
  4,413    

Total Marine

                                                 4,032,766  
      Media – 13.3% (8.2% of Total Investments)  
  2,051    

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

    5.749%        1-Month LIBOR        3.250%        7/23/21        B+        1,813,428  
  763    

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

    10.390%        3-Month LIBOR        7.750%        5/10/22        CCC+        746,516  
  241    

Catalina Marketing Corporation, Delayed Draw Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        241,117  
  902    

Catalina Marketing Corporation, DIP Term Loan, First Lien

    8.008%        3-Month LIBOR        5.500%        6/14/19        N/R        777,919  
  361    

Catalina Marketing Corporation, Term Loan A

    12.514%        1-Month LIBOR        10.000%        6/14/19        N/R        361,676  
  391    

Catalina Marketing Corporation, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        391,815  
  5,458    

Catalina Marketing Corporation, Term Loan, First Lien, (6)

    0.000%        N/A        N/A        4/09/21        D        491,239  
  2,000    

Catalina Marketing Corporation, Term Loan, Second Lien, (6)

    9.457%        N/A        N/A        4/11/22        D        37,000  
  850    

CBS Radio, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        827,688  
  6,159    

Cequel Communications LLC, Term Loan B

    4.759%        1-Month LIBOR        2.250%        1/10/26        BB        5,950,798  
  5,473    

Charter Communications Operating Holdings LLC, Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/30/25        BBB–        5,409,468  
  2,975    

Cineworld Group PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/28/25        BB–        2,911,050  
  6,896    

Clear Channel Communications, Inc., Tranche D, Term Loan, (6)

    0.000%        N/A        N/A        1/30/19        N/R        4,679,887  
  9,866    

Clear Channel Communications, Inc., Term Loan E, (6)

    0.000%        N/A        N/A        7/30/19        CCC        6,696,027  
  2,233    

CSC Holdings LLC, Term Loan B

    5.009%        1-Month LIBOR        2.500%        1/25/26        BB+        2,188,463  
  9,314    

Cumulus Media, Inc., Exit Term Loan

    7.000%        1-Month LIBOR        4.500%        5/13/22        B        9,016,065  
  830    

Gray Television, Inc., Term Loan B2

    4.770%        1-Month LIBOR        2.250%        2/07/24        BB+        816,861  
  1,000    

Gray Television, Inc., Term Loan C

    5.020%        1-Month LIBOR        2.500%        1/02/26        BB+        988,335  
  2,757    

IMG Worldwide, Inc., Term Loan B

    5.250%        1-Month LIBOR        2.750%        5/18/25        B        2,606,449  
  4,033    

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

    6.252%        1-Month LIBOR        3.750%        11/30/23        B+        4,009,367  
  4,904    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/02/22        BB+        4,479,307  
  2,728    

Meredith Corporation, Tranche Term Loan B1

    5.249%        1-Month LIBOR        2.750%        1/31/25        BB        2,715,857  
  1,995    

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

    5.000%        1-Month LIBOR        2.500%        7/03/25        BB        1,971,319  
  1,250    

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

    7.000%        1-Month LIBOR        4.500%        7/03/26        B        1,209,381  
  3,694    

Nexstar Broadcasting, Inc., Term Loan B3

    4.752%        1-Month LIBOR        2.250%        1/17/24        BB+        3,586,132  
  639    

Nexstar Broadcasting, Inc., Term Loan B3

    4.756%        1-Month LIBOR        2.250%        1/17/24        BB+        619,970  
  532    

Red Ventures, Term Loan B

    5.499%        1-Month LIBOR        3.000%        11/08/24        BB        527,665  
  3,529    

Sinclair Television Group, Term Loan B2, (DD1)

    4.750%        1-Month LIBOR        2.250%        1/31/24        BB+        3,509,986  
  2,166    

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

    5.999%        1-Month LIBOR        3.500%        8/15/22        B        2,159,963  
  3,066    

UPC Financing Partnership, Term Loan AR1, First Lien

    5.009%        1-Month LIBOR        2.500%        1/15/26        BB+        3,027,035  
  8,229    

WideOpenWest Finance LLC, Term Loan B

    5.753%        1-Month LIBOR        3.250%        8/18/23        B        7,883,355  
  97,285    

Total Media

                                                 82,651,138  

 

42


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Multiline Retail – 1.4% (0.9% of Total Investments)  
$ 3,101    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 8.853%, PIK 1.500%)

    8.432%        3-Month LIBOR        6.500%        1/13/22        CCC+      $ 2,790,965  
  2,310    

Belk, Inc., Term Loan B, First Lien, (DD1)

    7.365%        2-Month LIBOR        4.750%        12/12/22        B        1,847,307  
  1,985    

EG America LLC, Term Loan, First Lien

    6.813%        3-Month LIBOR        4.000%        2/07/25        B        1,922,475  
  899    

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

    5.752%        1-Month LIBOR        3.250%        9/30/22        BB–        880,928  
  1,748    

Neiman Marcus Group, Inc., Term Loan

    5.763%        1-Month LIBOR        3.250%        10/25/20        CCC        1,554,987  
  10,043    

Total Multiline Retail

                                                 8,996,662  
      Oil, Gas & Consumable Fuels – 2.2% (1.4% of Total Investments)  
  1,447    

BCP Renaissance Parent, Term Loan B

    6.244%        3-Month LIBOR        3.500%        10/31/24        BB–        1,435,962  
  1,750    

California Resources Corporation, Term Loan

    12.874%        1-Month LIBOR        10.375%        12/31/21        B        1,835,313  
  5,041    

California Resources Corporation, Term Loan B

    7.252%        1-Month LIBOR        4.750%        12/31/22        B        4,953,892  
  3,333    

Fieldwood Energy LLC, Exit Term Loan

    7.749%        1-Month LIBOR        5.250%        4/11/22        BB–        3,068,618  
  1,099    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.749%        1-Month LIBOR        7.250%        4/11/23        B+        950,345  
  1,450    

Peabody Energy Corporation, Term Loan B

    5.249%        1-Month LIBOR        2.750%        3/31/25        BB        1,424,354  
  14,120    

Total Oil, Gas & Consumable Fuels

                                                 13,668,484  
      Personal Products – 1.8% (1.1% of Total Investments)  
  6,094    

Coty, Inc., Term Loan A

    4.271%        1-Month LIBOR        1.750%        4/05/23        BB        5,926,172  
  1,990    

Coty, Inc., Term Loan B

    4.771%        1-Month LIBOR        2.250%        4/07/25        BB        1,894,231  
  4,369    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    6.207%        3-Month LIBOR        3.500%        11/16/20        B–        3,133,742  
  12,453    

Total Personal Products

                                                 10,954,145  
      Pharmaceuticals – 1.9% (1.2% of Total Investments)  
  1,310    

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

    5.999%        1-Month LIBOR        3.500%        9/26/24        B–        1,194,609  
  5,031    

Concordia Healthcare Corp, Exit Term Loan

    8.016%        1-Month LIBOR        5.500%        9/06/24        B–        4,798,937  
  1,470    

Valeant Pharmaceuticals International, Inc., Term Loan B, (DD1)

    5.263%        1-Month LIBOR        2.750%        11/15/25        BB        1,452,116  
  4,215    

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

    5.513%        1-Month LIBOR        3.000%        6/02/25        BB        4,176,346  
  12,026    

Total Pharmaceuticals

                                                 11,622,008  
      Professional Services – 1.6% (1.0% of Total Investments)  
  2,251    

Ceridian HCM Holding, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        4/30/25        B        2,230,153  
  2,948    

Nielsen Finance LLC, Term Loan B4

    4.511%        1-Month LIBOR        2.000%        10/04/23        BBB–        2,905,822  
  1,197    

On Assignment, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        4/02/25        BB        1,183,875  
  4,730    

Skillsoft Corporation, Initial Term Loan, First Lien

    7.249%        1-Month LIBOR        4.750%        4/28/21        B–        3,886,268  
  11,126    

Total Professional Services

                                                 10,206,118  
      Real Estate Management & Development – 1.7% (1.1% of Total Investments)  
  4,362    

Capital Automotive LP, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        3/25/24        B+        4,257,918  
  4,737    

GGP, Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/27/25        BB+        4,545,212  
  1,963    

Trico Group LLC, Term Loan, First Lien

    9.207%        3-Month LIBOR        6.500%        2/02/24        B        1,923,250  
  11,062    

Total Real Estate Management & Development

                                                 10,726,380  
      Road & Rail – 2.7% (1.7% of Total Investments)  
  13,313    

Avolon LLC, Term Loan B

    4.503%        1-Month LIBOR        2.000%        1/15/25        BBB–        13,198,454  
  1,940    

Quality Distribution, Incremental Term Loan, First Lien

    8.303%        3-Month LIBOR        5.500%        8/18/22        B        1,910,900  
  1,920    

Savage Enterprises LLC, Term Loan B

    7.020%        1-Month LIBOR        4.500%        8/01/25        B+        1,921,664  
  17,173    

Total Road & Rail

                                                 17,031,018  
      Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)  
  1,000    

Cabot Microelectronics, Term Loan B

    4.750%        1-Month LIBOR        2.250%        11/14/25        BB+        993,750  
  1,405    

Cypress Semiconductor Corp, Term Loan B

    4.500%        1-Month LIBOR        2.000%        7/05/21        BB+        1,393,763  
  1,227    

Lumileds, Term Loan B

    6.205%        3-Month LIBOR        3.500%        6/30/24        B+        931,984  
  2,713    

Microchip Technology., Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        5/29/25        BBB–        2,675,696  

 

43


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment (continued)  
$ 1,306    

Micron Technology, Inc., Term Loan B

    4.250%        1-Month LIBOR        1.750%        4/10/22        BBB      $ 1,296,185  
  2,021    

ON Semiconductor Corporation, Term Loan B3

    4.249%        1-Month LIBOR        1.750%        3/31/23        BBB–        2,000,357  
  9,672    

Total Semiconductors & Semiconductor Equipment

 

                       9,291,735  
      Software – 12.0% (7.4% of Total Investments)  
  3,944    

Blackboard, Inc., Term Loan B4

    7.780%        3-Month LIBOR        5.000%        6/30/21        B–        3,712,729  
  685    

Compuware Corporation, Term Loan, First Lien

    6.002%        1-Month LIBOR        3.500%        8/25/25        B+        685,121  
  2,150    

DiscoverOrg LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        2,139,250  
  3,613    

Ellucian, Term Loan B, First Lien

    6.053%        3-Month LIBOR        3.250%        9/30/22        B        3,544,555  
  4,411    

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

    5.749%        1-Month LIBOR        3.250%        12/01/23        B        4,319,594  
  12,044    

Infor (US), Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/01/22        B+        11,993,698  
  3,647    

Informatica, Term Loan B

    5.749%        1-Month LIBOR        3.250%        8/05/22        B+        3,644,184  
  1,460    

Kronos Incorporated, Term Loan B

    5.541%        3-Month LIBOR        3.000%        11/20/23        B        1,433,510  
  917    

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

    11.000%        1-Month LIBOR        8.500%        9/29/25        B–        932,708  
  4,268    

McAfee LLC, Term Loan B

    6.250%        1-Month LIBOR        3.750%        9/30/24        B+        4,251,617  
  1,149    

Micro Focus International PLC, New Term Loan

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        1,114,237  
  7,761    

Micro Focus International PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        7,524,720  
  5,435    

Micro Focus International PLC, Term Loan B2

    4.749%        1-Month LIBOR        2.250%        11/19/21        BB–        5,357,026  
  893    

Misys, New Term Loan, Second Lien

    10.053%        3-Month LIBOR        7.250%        6/13/25        BB–        846,814  
  506    

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

    5.749%        1-Month LIBOR        3.250%        11/29/24        B        486,873  
  667    

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

    9.749%        1-Month LIBOR        7.250%        12/01/25        CCC        654,667  
  1,960    

RP Crown Parent LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        10/15/23        B+        1,930,600  
  7,976    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        7,826,657  
  3,068    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        3,010,390  
  9,232    

TIBCO Software, Inc., Term Loan, First Lien

    6.010%        1-Month LIBOR        3.500%        12/04/20        B+        9,181,454  
  75,786    

Total Software

                                                 74,590,404  
      Specialty Retail – 1.7% (1.1% of Total Investments)  
  2,059    

Academy, Ltd., Term Loan B

    6.514%        1-Month LIBOR        4.000%        7/01/22        CCC+        1,430,202  
  6,383    

Petco Animal Supplies, Inc., Term Loan B1

    5.994%        3-Month LIBOR        3.250%        1/26/23        B        4,920,766  
  3,845    

Petsmart Inc., Term Loan B, First Lien

    5.520%        1-Month LIBOR        3.000%        3/11/22        B–        3,233,948  
  1,534    

Serta Simmons Holdings LLC, Term Loan, Second Lien, (DD1)

    10.514%        1-Month LIBOR        8.000%        11/08/24        CCC        1,103,923  
  13,821    

Total Specialty Retail

                                                 10,688,839  
      Technology Hardware, Storage & Peripherals – 6.8% (4.3% of Total Investments)  
  7,340    

BMC Software, Inc., Term Loan B

    7.053%        3-Month LIBOR        4.250%        10/02/25        B        7,181,861  
  19,499    

Dell International LLC, Refinancing Term Loan B

    4.500%        1-Month LIBOR        2.000%        9/07/23        BBB–        19,260,222  
  5,558    

Dell International LLC, Replacement Term Loan A2

    4.250%        1-Month LIBOR        1.750%        9/07/21        BBB–        5,502,508  
  10,580    

Western Digital, Term Loan B

    4.260%        1-Month LIBOR        1.750%        4/29/23        BBB–        10,341,794  
  42,977    

Total Technology Hardware, Storage & Peripherals

 

                       42,286,385  
      Trading Companies & Distributors – 0.6% (0.4% of Total Investments)  
  284    

HD Supply Waterworks, Ltd., Term Loan B

    5.721%        3-Month LIBOR        3.000%        8/01/24        B+        281,316  
  3,392    

Univar, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/24        BB        3,329,677  
  3,676    

Total Trading Companies & Distributors

                                                 3,610,993  
      Transportation Infrastructure – 0.7% (0.4% of Total Investments)  
  1,000    

Atlantic Aviation FBO Inc., Term Loan

    6.270%        1-Month LIBOR        3.750%        12/06/25        BB        1,006,250  
  1,995    

Ceva Group PLC, Term Loan, First Lien

    6.553%        3-Month LIBOR        3.750%        8/04/25        BB–        1,977,544  
  524    

Standard Aero, Canadien Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        523,070  
  976    

Standard Aero, USD Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        972,910  
  4,495    

Total Transportation Infrastructure

                                                 4,479,774  

 

44


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Wireless Telecommunication Services – 2.4% (1.5% of Total Investments)  
$ 4,011    

Asurion LLC, Term Loan B4

    5.499%        1-Month LIBOR        3.000%        8/04/22        BB–      $ 3,956,022  
  11,299    

Sprint Corporation, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        2/02/24        BB+        11,058,652  
  15,310    

Total Wireless Telecommunication Services

                                                 15,014,674  
$ 905,150    

Total Variable Rate Senior Loan Interests (cost $892,785,213)

 

                       856,612,209  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 15.8% (9.8% of Total Investments)

 

      Communications Equipment – 2.5% (1.5% of Total Investments)  
$ 210    

Avaya Holdings Corporation, 144A, (6), (7)

 

     7.000%        4/01/19        N/R      $  
  5,150    

Avaya Holdings Corporation, 144A, (6), (7)

 

     10.500%        3/01/21        N/R         
  8,702    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        7,907,942  
  7,080    

Intelsat Jackson Holdings SA, 144A

                      9.750%        7/15/25        CCC+        7,372,050  
  21,142    

Total Communications Equipment

                                                 15,279,992  
      Containers & Packaging – 0.9% (0.6% of Total Investments)  
  5,718    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+        5,739,463  
      Diversified Telecommunication Services – 2.2% (1.4% of Total Investments)  
  619    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B+        666,199  
  3,350    

CSC Holdings LLC, 144A

          10.875%        10/15/25        B+        3,860,875  
  9,529    

Intelsat Luxembourg SA

                      7.750%        6/01/21        CC        9,147,840  
  13,498    

Total Diversified Telecommunication Services

                                                 13,674,914  
      Health Care Providers & Services – 0.5% (0.3% of Total Investments)  
  1,260    

Tenet Healthcare Corporation

          4.750%        6/01/20        BB–        1,269,450  
  830    

Tenet Healthcare Corporation

          6.000%        10/01/20        BB        857,224  
  1,200    

Tenet Healthcare Corporation

                      4.500%        4/01/21        BB        1,202,400  
  3,290    

Total Health Care Providers & Services

                                                 3,329,074  
      Hotels, Restaurants & Leisure – 0.9% (0.6% of Total Investments)  
  5,500    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        5,781,875  
      Media – 3.5% (2.2% of Total Investments)  
  1,000    

CCO Holdings LLC

          5.750%        9/01/23        BB+        1,020,000  
  200    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        200,516  
  645    

DISH DBS Corporation

          5.125%        5/01/20        BB–        646,612  
  2,000    

DISH DBS Corporation

          5.875%        7/15/22        BB–        1,900,000  
  2,500    

DISH DBS Corporation

          5.875%        11/15/24        BB–        2,071,875  
  4,812    

iHeartCommunications Inc., (6)

          9.000%        12/15/19        CCC        3,224,040  
  16,459    

iHeartCommunications Inc., (6)

 

     5.340%        2/01/21        CC        1,991,579  
  8,250    

iHeartCommunications Inc., (6)

          9.000%        3/01/21        CCC        5,506,875  
  1,762    

iHeartCommunications Inc., 144A, (6)

          11.250%        3/01/21        C        1,110,060  
  4,960    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC        4,126,100  
  42,588    

Total Media

                                                 21,797,657  
      Oil, Gas & Consumable Fuels – 1.2% (0.7% of Total Investments)  
  5,015    

California Resources Corporation, 144A

          8.000%        12/15/22        B–        4,024,538  
  700    

Denbury Resources Inc.

          6.375%        8/15/21        CCC+        577,500  
  2,547    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B+        2,502,428  
  225    

EP Energy LLC, 144A

                      9.375%        5/01/24        CCC        119,813  
  8,487    

Total Oil, Gas & Consumable Fuels

                                                 7,224,279  
      Pharmaceuticals – 0.5% (0.3% of Total Investments)  
  2,000    

Bausch Health Companies Inc., 144A

          6.500%        3/15/22        BB        2,067,500  
  1,165    

Concordia International Corporation

                      8.000%        9/06/24        B–        1,106,750  
  3,165    

Total Pharmaceuticals

                                                 3,174,250  

 

45


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Real Estate Management & Development – 0.7% (0.4% of Total Investments)  
$ 4,250    

Realogy Group LLC, 144A

                      5.250%        12/01/21        B+      $ 4,248,385  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)  
  1,564    

Advanced Micro Devices Inc.

          7.500%        8/15/22        B+        1,696,940  
  930    

Advanced Micro Devices Inc.

                      7.000%        7/01/24        B+        972,780  
  2,494    

Total Semiconductors & Semiconductor Equipment

 

     2,669,720  
      Software – 0.5% (0.3% of Total Investments)  
  3,200    

Infor US Inc., 144A

                      5.750%        8/15/20        B+        3,247,360  
      Wireless Telecommunication Services – 2.0% (1.2% of Total Investments)  
  750    

Level 3 Financing Inc.

          5.375%        8/15/22        BB        755,850  
  1,400    

Sprint Communications Inc.

          7.000%        8/15/20        B+        1,452,500  
  7,750    

Sprint Capital Corporation

          7.875%        9/15/23        B+        8,234,375  
  1,750    

Sprint Capital Corporation

                      7.125%        6/15/24        B+        1,798,125  
  11,650    

Total Wireless Telecommunication Services

 

     12,240,850  
$ 124,982    

Total Corporate Bonds (cost $107,652,121)

 

     98,407,819  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.1% (1.3% of Total Investments)

 

      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  54,521    

Cengage Learning Holdings II Inc., (8), (9)

                                               $ 211,269  
      Energy Equipment & Services – 0.3% (0.2% of Total Investments)  
  39,026    

C&J Energy Services Inc., (8)

                   627,148  
  83,230    

Transocean Ltd

                   713,281  
  2,712    

Vantage Drilling International, (8), (9)

                                                 629,184  
 

Total Energy Equipment & Services

 

     1,969,613  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  68,990    

Millennium Health LLC, (7), (8)

                   133,705  
  64,762    

Millennium Health LLC, (7), (8)

                   125,457  
  74,059    

Millennium Health LLC, (8), (9)

                                                 4,073  
 

Total Health Care Providers & Services

 

     263,235  
      Marine – 0.3% (0.2% of Total Investments)  
  32,786    

HGIM Corporation, (9)

                   1,245,868  
  7,338    

HGIM Corporation, (8), (9)

                                                 278,844  
 

Total Marine

 

     1,524,712  
      Media – 0.7% (0.4% of Total Investments)  
  119,154    

Cumulus Media Inc., (8)

                   1,435,806  
  1,973,746    

Hibu PLC, (8), (9)

                   515,148  
  26,045    

Metro-Goldwyn-Mayer Inc., (8), (9)

                   2,034,114  
  45,942    

Tribune Media Company, (9)

                                                 29,862  
 

Total Media

 

     4,014,930  
      Pharmaceuticals – 0.1% (0.1% of Total Investments)  
  34,292    

Advanz Pharma Corporation, (8)

                                                 648,804  
      Software – 0.7% (0.4% of Total Investments)  
  254,188    

Avaya Holdings Corporation, (8)

                                                 4,298,319  
      Specialty Retail – 0.0% (0.0% of Total Investments)  
  29,698    

Gymboree Holding Corporation, (8), (9)

                   59,396  
  10,908    

Gymboree Holding Corporation, (8), (9)

                                                 21,816  
 

Total Specialty Retail

 

     81,212  
 

Total Common Stocks (cost $22,144,419)

 

     13,012,094  

 

46


Shares     Description (1), (10)                                           Value  
 

INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)

 

  353,668    

Eaton Vance Floating-Rate Income Trust Fund

                 $ 4,696,711  
  968,586    

Eaton Vance Senior Income Trust

                                                 5,898,689  
 

Total Investment Companies (cost $11,981,509)

 

     10,595,400  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

ASSET-BACKED SECURITIES – 1.4% (0.9% of Total Investments)

 

$ 1,200    

Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (11)

 

        10.037%        4/15/29        BB–      $ 1,196,480  
  500    

Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A, (3-Month LIBOR reference rate + 5.250% spread), (11)

 

        8.030%        1/18/29        BB–        472,981  
  1,200    

Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (11)

 

        9.047%        7/15/30        BB–        1,164,046  
  1,250    

Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (11)

 

        9.187%        10/15/30        BB–        1,219,342  
  2,750    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-10A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (11)

 

        8.261%        4/20/26        BB–        2,711,046  
  1,500    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A, (3-Month LIBOR reference rate + 7.620% spread), (11)

 

        10.381%        1/20/29        BB        1,502,793  
  600    

Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (11)

 

              8.361%        4/20/30        BB–        554,264  
$ 9,000    

Total Asset-Backed Securities (cost $8,815,683)

 

     8,820,952  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.1% (0.0% of Total Investments)

 

      Oil, Gas & Consumable Fuels – 0.1% (0.0% of Total Investments)  
  13,053    

Fieldwood Energy LLC, (7), (8)

                 $ 410,097  
  2,637    

Fieldwood Energy LLC, (8), (9)

                                                 87,021  
 

Total Common Stock Rights (cost $372,582)

 

     497,118  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  21,002    

Avaya Holdings Corporation, (9)

                                               $ 26,252  
 

Total Warrants (cost $1,915,310)

 

     26,252  
 

Total Long-Term Investments (cost $1,045,666,837)

 

     987,971,844  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 2.6% (1.6% of Total Investments)

 

 

INVESTMENT COMPANIES – 2.6% (1.6% of Total Investments)

 

  16,339,538    

BlackRock Liquidity Funds T-Fund Portfolio, (10)

                      2.290% (12)                        $ 16,339,538  
 

Total Short-Term Investments (cost $16,339,538)

 

     16,339,538  
 

Total Investments (cost $1,062,006,375) – 161.7%

 

     1,004,311,382  
 

Borrowings – (42.6)% (13), (14)

 

     (264,500,000
 

Term Preferred Shares, net of deferred offering costs – (18.4)% (15)

 

     (113,985,173
 

Other Assets Less Liabilities – (0.7)% (16)

 

     (4,779,892
 

Net Assets Applicable to Common Shares – 100%

 

   $ 621,046,317  

 

47


JFR    Nuveen Floating Rate Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 25,000,000       Pay       1-Month LIBOR       3.350 %(17)      Monthly       1/01/22 (18)    $ (153,687   $ (153,687

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month LIBOR       5.750       Monthly       6/01/24 (19)      45,189       45,189  

Morgan Stanley Capital Services LLC

    55,000,000       Pay       1-Month LIBOR       4.000       Monthly       1/01/27 (20)      (847,739     (847,739

Total

  $ 115,000,000                                             $ (956,237   $ (956,237

Total unrealized appreciation on interest rate swaps

 

                          $ 45,189  

Total unrealized depreciation on interest rate swaps

 

                          $ (1,001,426

 

48


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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(6)

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

 

(7)

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)

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

 

(9)

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.

 

(10)

A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http://www.sec.gov.

 

(11)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(12)

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

 

(13)

Borrowings as a percentage of Total Investments is 26.3%.

 

(14)

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

 

(15)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.3%.

 

(16)

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

 

(17)

Effective April 1, 2017, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every three months on specific dates through the swap contract’s termination date.

 

(18)

This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(19)

This interest rate swap has an optional early termination date beginning on June 1, 2020 and monthly thereafter through the termination date as specified in the swap contract.

 

(20)

This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

144A

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

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

49


JRO   

Nuveen Floating Rate Income
Opportunity Fund

 

Portfolio of Investments    January 31, 2019

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 157.3% (98.2% of Total Investments)

 

 

VARIABLE RATE SENIOR LOAN INTERESTS – 137.9% (86.1% of Total Investments) (2)

 

      Aerospace & Defense – 2.4% (1.5% of Total Investments)  
$ 376    

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

    4.499%        1-Month LIBOR        2.000%        8/21/24        BB+      $ 373,237  
  4,460    

Sequa Corporation, Term Loan B

    7.516%        3-Month LIBOR        5.000%        11/28/21        B        4,393,601  
  1,597    

Sequa Corporation, Term Loan, Second Lien

    11.751%        3-Month LIBOR        9.000%        4/28/22        CCC        1,527,100  
  3,292    

Transdigm, Inc., Term Loan E

    4.999%        1-Month LIBOR        2.500%        5/30/25        BB        3,216,631  
  731    

Transdigm, Inc., Term Loan F

    4.999%        1-Month LIBOR        2.500%        6/09/23        BB        717,224  
  397    

Transdigm, Inc., Term Loan G, First Lien

    4.999%        1-Month LIBOR        2.500%        8/22/24        BB–        388,098  
  10,853    

Total Aerospace & Defense

                                                 10,615,891  
      Air Freight & Logistics – 0.6% (0.4% of Total Investments)  
  1,086    

PAE Holding Corporation, Term Loan B

    8.119%        2-Month LIBOR        5.500%        10/20/22        B+        1,080,215  
  1,444    

XPO Logistics, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        2/24/25        BBB–        1,424,698  
  2,530    

Total Air Freight & Logistics

                                                 2,504,913  
      Airlines – 1.9% (1.2% of Total Investments)  
  2,704    

American Airlines, Inc., Replacement Term Loan

    4.516%        1-Month LIBOR        2.000%        10/10/21        BB+        2,672,838  
  1,594    

American Airlines, Inc., Term Loan 2025

    4.252%        1-Month LIBOR        1.750%        6/27/25        BB+        1,530,831  
  4,180    

American Airlines, Inc., Term Loan B

    4.509%        1-Month LIBOR        2.000%        12/14/23        BB+        4,061,296  
  8,478    

Total Airlines

                                                 8,264,965  
      Auto Components – 0.6% (0.4% of Total Investments)  
  1,127    

DexKo Global, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        7/24/24        B+        1,111,914  
  1,477    

Superior Industries International, Inc., Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/22/24        B+        1,460,237  
  2,604    

Total Auto Components

                                                 2,572,151  
      Automobiles – 0.4% (0.2% of Total Investments)  
  750    

Caliber Collision, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B+        749,842  
  990    

Navistar, Inc., Tranche B, Term Loan

    6.020%        1-Month LIBOR        3.500%        11/06/24        BB–        977,011  
  1,740    

Total Automobiles

                                                 1,726,853  
      Beverages – 0.8% (0.5% of Total Investments)  
  3,378    

Jacobs Douwe Egberts, Term Loan B

    4.563%        3-Month LIBOR        2.000%        11/01/25        BB        3,347,106  
      Biotechnology – 0.9% (0.6% of Total Investments)  
  3,930    

Grifols, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        1/31/25        BB+        3,886,613  
      Building Products – 1.9% (1.2% of Total Investments)  
  767    

Fairmount, Initial Term Loan

    6.553%        3-Month LIBOR        3.750%        6/01/25        BB        612,492  
  649    

Ply Gem Industries, Inc., Term Loan B

    6.547%        3-Month LIBOR        3.750%        4/12/25        B+        620,118  
  7,422    

Quikrete Holdings, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        11/15/23        BB–        7,211,330  
  8,838    

Total Building Products

                                                 8,443,940  
      Capital Markets – 2.6% (1.6% of Total Investments)  
  2,008    

Capital Automotive LP, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        3/25/24        B+        1,960,280  
  2,321    

Capital Automotive LP, Term Loan, Second Lien

    8.499%        1-Month LIBOR        6.000%        3/24/25        CCC+        2,318,935  
  2,000    

Distributed Power, Term Loan B

    5.809%        2-Month LIBOR        3.250%        10/05/25        B        1,930,000  
  5,306    

RPI Finance Trust, Term Loan B6

    4.499%        1-Month LIBOR        2.000%        3/27/23        BBB–        5,262,910  
  11,635    

Total Capital Markets

                                                 11,472,125  

 

50


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Chemicals – 0.4% (0.2% of Total Investments)  
$ 888    

Ineos US Finance LLC, Term Loan

    4.499%        1-Month LIBOR        2.000%        4/01/24        BBB–      $ 864,364  
  434    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        430,484  
  450    

SI Group, Term Loan B

    7.537%        3-Month LIBOR        4.750%        10/15/25        BB–        446,625  
  1,772    

Total Chemicals

                                                 1,741,473  
      Commercial Services & Supplies – 5.6% (3.5% of Total Investments)  
  699    

ADS Waste Holdings, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        11/10/23        BB+        692,627  
  1,986    

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

    6.957%        3-Month LIBOR        4.250%        6/16/24        B        1,907,973  
  220    

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

    0.000%        N/A        N/A        7/02/20        N/R        8,257  
  496    

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

    0.000%        N/A        N/A        7/02/20        N/R        622  
  5,846    

Formula One Group, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/01/24        B+        5,646,015  
  553    

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

    6.784%        1-Month LIBOR        4.000%        10/19/23        B–        529,328  
  1,000    

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

    11.294%        3-Month LIBOR        8.500%        10/07/24        CCC        922,500  
  1,879    

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

    5.999%        1-Month LIBOR        3.500%        10/18/19        B–        1,871,141  
  1,746    

GFL Environmental, Term Loan

    5.499%        1-Month LIBOR        3.000%        5/31/25        B+        1,688,393  
  3,150    

iQor US, Inc., Term Loan, First Lien, (DD1)

    7.797%        3-Month LIBOR        5.000%        4/01/21        CCC+        2,840,317  
  333    

iQor US, Inc., Term Loan, Second Lien

    11.547%        3-Month LIBOR        8.750%        4/01/22        CCC–        249,583  
  955    

KAR Auction Services, Inc., Term Loan B5

    5.313%        3-Month LIBOR        2.500%        3/09/23        BB        949,154  
  881    

LSC Communications, Refinancing Term Loan

    7.999%        1-Month LIBOR        5.500%        9/30/22        B+        877,945  
  825    

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

    8.303%        3-Month LIBOR        5.500%        9/30/22        CCC+        726,515  
  2,247    

Protection One, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        5/02/22        BB–        2,220,837  
  1,459    

Universal Services of America, Initial Term Loan, First Lien

    6.249%        1-Month LIBOR        3.750%        7/28/22        BB        1,397,118  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.999%        1-Month LIBOR        8.500%        7/28/23        CCC        1,677,077  
  255    

West Corporation, Incremental Term Loan B1

    5.999%        1-Month LIBOR        3.500%        10/10/24        BB+        232,538  
  26,280    

Total Commercial Services & Supplies

                                                 24,437,940  
      Communications Equipment – 3.5% (2.2% of Total Investments)  
  5,302    

Avaya, Inc., Tranche B Term Loan

    6.759%        1-Month LIBOR        4.250%        12/15/24        BB–        5,228,252  
  1,400    

Mitel US Holdings, Inc., Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        11/30/25        B        1,382,850  
  252    

MultiPlan, Inc., Term Loan B

    5.553%        3-Month LIBOR        2.750%        6/07/23        B+        244,876  
  1,625    

Plantronics, Term Loan B

    4.999%        1-Month LIBOR        2.500%        7/02/25        BB+        1,585,643  
  7,615    

Univision Communications, Inc., Term Loan C5

    5.249%        1-Month LIBOR        2.750%        3/15/24        B        7,118,284  
  16,194    

Total Communications Equipment

                                                 15,559,905  
      Construction & Engineering – 0.7% (0.5% of Total Investments)  
  1,493    

KBR, Inc., Term Loan B

    6.249%        1-Month LIBOR        3.750%        4/25/25        BB–        1,490,642  
  1,755    

Traverse Midstream Partners, Term Loan B

    6.600%        6-Month LIBOR        4.000%        9/27/24        B+        1,752,472  
  3,248    

Total Construction & Engineering

                                                 3,243,114  
      Consumer Finance – 0.6% (0.4% of Total Investments)  
  993    

Vantiv LLC, Repriced Term Loan B4

    4.222%        1-Month LIBOR        1.750%        8/09/24        BBB–        988,242  
  1,698    

Verscend Technologies, Tern Loan B

    6.999%        1-Month LIBOR        4.500%        8/27/25        B+        1,688,087  
  2,691    

Total Consumer Finance

                                                 2,676,329  
      Containers & Packaging – 0.2% (0.1% of Total Investments)  
  1,048    

Berry Global, Inc., Term Loan Q

    4.516%        1-Month LIBOR        2.000%        10/01/22        BBB–        1,039,809  
      Distributors – 0.3% (0.2% of Total Investments)  
  1,244    

SRS Distribution, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        5/23/25        B        1,185,256  
      Diversified Consumer Services – 2.6% (1.6% of Total Investments)  
  4,960    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        6/07/23        B        4,226,407  
  3,978    

Houghton Mifflin, Term Loan B, First Lien

    5.499%        1-Month LIBOR        3.000%        5/28/21        B        3,765,291  

 

51


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Consumer Services (continued)  
$ 1,354    

Laureate Education, Inc., Term Loan B

    6.549%        1-Month LIBOR        3.500%        4/26/24        B+      $ 1,350,115  
  2,250    

Refinitiv, Term Loan B

    6.249%        1-Month LIBOR        3.750%        10/01/25        BB+        2,164,747  
  12,542    

Total Diversified Consumer Services

                                                 11,506,560  
      Diversified Financial Services – 3.5% (2.2% of Total Investments)  
  629    

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

    6.803%        3-Month LIBOR        4.000%        4/03/24        B+        614,214  
  1,130    

Freedom Mortgage Corporation, Initial Term Loan

    7.249%        1-Month LIBOR        4.750%        2/23/22        BB        1,134,280  
  7,877    

Hilton Hotels, Term Loan B, (DD1)

    4.260%        1-Month LIBOR        1.750%        10/25/23        BBB–        7,807,445  
  631    

Lions Gate Entertainment Corp., Term Loan B

    4.749%        1-Month LIBOR        2.250%        3/24/25        BB        621,966  
  823    

Travelport LLC, Term Loan B

    5.116%        3-Month LIBOR        2.500%        3/17/25        B+        821,272  
  1,715    

Veritas US, Inc., Term Loan B1

    7.074%        1-Month LIBOR        4.500%        1/27/23        B        1,503,630  
  4,252    

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

    8.499%        N/A        N/A        6/30/22        CCC        2,891,519  
  17,057    

Total Diversified Financial Services

                                                 15,394,326  
      Diversified Telecommunication Services – 7.3% (4.5% of Total Investments)  
  1,425    

CenturyLink, Inc., Initial Term Loan A

    5.249%        1-Month LIBOR        2.750%        11/01/22        BBB–        1,400,062  
  8,581    

CenturyLink, Inc., Term Loan B, (DD1)

    5.249%        1-Month LIBOR        2.750%        1/31/25        BBB–        8,220,699  
  4,436    

Frontier Communications Corporation, Term Loan B

    6.250%        1-Month LIBOR        3.750%        1/14/22        BB        4,254,524  
  383    

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

    7.002%        1-Month LIBOR        4.500%        1/02/24        B+        389,870  
  614    

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

    6.625%        N/A        N/A        1/02/24        B+        616,249  
  3,643    

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

    4.756%        1-Month LIBOR        2.250%        2/22/24        BBB–        3,585,342  
  4,489    

Numericable Group S.A., Term Loan B13

    6.509%        1-Month LIBOR        4.000%        8/14/26        B        4,247,480  
  577    

Windstream Corporation, Term Loan B6, (6)

    6.510%        1-Month LIBOR        4.000%        3/29/21        BB        538,415  
  9,000    

Ziggo B.V., Term Loan E

    5.009%        1-Month LIBOR        2.500%        4/15/25        BB        8,722,620  
  33,148    

Total Diversified Telecommunication Services

                                                 31,975,261  
      Electric Utilities – 1.0% (0.6% of Total Investments)  
  636    

EFS Cogen Holdings LLC, Term Loan B

    5.980%        3-Month LIBOR        3.250%        6/28/23        BB–        627,386  
  2,394    

Texas Competitive Electric Holdings LLC, Exit Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/23        BBB–        2,361,083  
  1,366    

Vistra Operations Co., Term Loan B3

    4.505%        1-Month LIBOR        2.000%        12/31/25        BBB–        1,342,793  
  4,396    

Total Electric Utilities

                                                 4,331,262  
      Electrical Equipment – 0.4% (0.2% of Total Investments)  
  1,668    

TTM Technologies, Term Loan B, (DD1)

    5.020%        1-Month LIBOR        2.500%        9/28/24        BB+        1,626,346  
      Energy Equipment & Services – 1.6% (1.0% of Total Investments)  
  1,054    

Cypress Semiconductor Corp, Term Loan B

    4.500%        1-Month LIBOR        2.000%        7/05/21        BB+        1,045,322  
  2,978    

McDermott International, Term Loan

    7.499%        1-Month LIBOR        5.000%        5/12/25        BB–        2,863,774  
  3,739    

Seadrill Partners LLC, Initial Term Loan

    8.803%        3-Month LIBOR        6.000%        2/21/21        CCC+        3,024,312  
  7,771    

Total Energy Equipment & Services

                                                 6,933,408  
      Equity Real Estate Investment Trusts – 1.7% (1.1% of Total Investments)  
  5,792    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.499%        1-Month LIBOR        3.000%        10/24/22        B–        5,446,357  
  981    

Realogy Group LLC, Term Loan A

    4.758%        1-Month LIBOR        2.250%        2/08/23        BB+        966,531  
  1,254    

Realogy Group LLC, Term Loan B

    4.758%        1-Month LIBOR        2.250%        2/08/25        BB+        1,225,523  
  8,027    

Total Equity Real Estate Investment Trusts

                                                 7,638,411  
      Food & Staples Retailing – 5.8% (3.6% of Total Investments)  
  1,318    

Albertson’s LLC, Term Loan B6

    5.691%        3-Month LIBOR        3.000%        6/22/23        BB        1,299,985  
  14,328    

Albertson’s LLC, Term Loan B7

    5.499%        1-Month LIBOR        3.000%        11/17/25        BB        14,055,418  
  1,247    

Hearthside Group Holdings LLC, Term Loan B

    6.186%        1-Month LIBOR        3.688%        5/23/25        B        1,203,535  
  489    

Save-A-Lot, Term Loan B

    8.803%        3-Month LIBOR        6.000%        12/05/23        CCC+        272,858  
  8,806    

US Foods, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        6/27/23        BBB–        8,678,483  
  26,188    

Total Food & Staples Retailing

                                                 25,510,279  
      Food Products – 0.2% (0.1% of Total Investments)  
  956    

American Seafoods Group LLC, Term Loan B

    5.250%        1-Month LIBOR        2.750%        8/21/23        BB–        948,029  

 

52


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Equipment & Supplies – 2.1% (1.3% of Total Investments)  
$ 1,724    

Acelity, Term Loan B

    6.053%        3-Month LIBOR        3.250%        2/02/24        B+      $ 1,716,117  
  600    

Air Methods Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        492,666  
  925    

Greatbatch, New Term Loan B

    5.510%        1-Month LIBOR        3.000%        10/27/22        B+        918,935  
  750    

LifeScan, Term Loan B

    8.797%        3-Month LIBOR        6.000%        10/01/24        B+        721,879  
  2,671    

Onex Carestream Finance LP, Term Loan, First Lien

    8.249%        N/A        N/A        2/28/21        B+        2,609,926  
  2,262    

Onex Carestream Finance LP, Term Loan, Second Lien

    11.999%        1-Month LIBOR        9.500%        6/07/21        B–        2,228,397  
  746    

Vyaire Medical, Inc., Term Loan B

    7.547%        3-Month LIBOR        4.750%        4/16/25        B        705,206  
  9,678    

Total Health Care Equipment & Supplies

                                                 9,393,126  
      Health Care Providers & Services – 7.6% (4.7% of Total Investments)  
  1,665    

Air Medical Group Holdings, Inc., Term Loan B

    5.764%        1-Month LIBOR        3.250%        4/28/22        B+        1,570,466  
  861    

Air Medical Group Holdings, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        3/14/25        B+        811,131  
  1,245    

Ardent Health, Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        6/30/25        B+        1,240,067  
  1,128    

Catalent Pharma Solutions, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        5/20/24        BB        1,123,636  
  1,208    

Community Health Systems, Inc., Term Loan H

    5.957%        3-Month LIBOR        3.250%        1/27/21        BB        1,190,696  
  1,424    

Concentra, Inc., Term Loan B

    5.270%        1-Month LIBOR        2.750%        6/01/22        B+        1,415,219  
  859    

ConvaTec Healthcare, Term Loan B

    5.053%        3-Month LIBOR        2.250%        10/25/23        BB        853,417  
  1,000    

Envision Healthcare Corporation, Initial Term Loan

    6.249%        1-Month LIBOR        3.750%        10/10/25        B+        944,750  
  748    

HCA, Inc., Term Loan B10

    4.499%        1-Month LIBOR        2.000%        3/13/25        BBB–        746,911  
  2,249    

HCA, Inc., Term Loan B11, (DD1)

    4.249%        1-Month LIBOR        1.750%        3/17/23        BBB–        2,241,229  
  1,129    

Healogics, Inc., Term Loan, First Lien

    7.010%        3-Month LIBOR        4.250%        7/01/21        B–        1,019,566  
  51    

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

    3.750%        N/A        N/A        4/30/25        B        49,371  
  555    

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

    6.249%        1-Month LIBOR        3.750%        4/30/25        B        539,406  
  2,437    

Kindred at Home Hospice, Term Loan B

    6.250%        1-Month LIBOR        3.750%        7/02/25        B+        2,425,144  
  1,750    

Kindred at Home Hospice, Term Loan, Second Lien

    9.500%        1-Month LIBOR        7.000%        6/21/26        CCC+        1,777,344  
  2,000    

Lifepoint Health, Inc., Term Loan

    7.129%        3-Month LIBOR        4.500%        11/16/25        B+        1,956,000  
  2,173    

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

    8.999%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,224,876  
  6,248    

Pharmaceutical Product Development, Inc., Term Loan B, (DD1)

    4.999%        1-Month LIBOR        2.500%        8/18/22        BB–        6,136,497  
  1,241    

PharMerica, Term Loan, First Lien

    6.008%        1-Month LIBOR        3.500%        12/06/24        B+        1,238,882  
  993    

Prospect Medical Holdings, Term Loan B1

    8.063%        1-Month LIBOR        5.500%        2/22/24        B+        987,538  
  205    

Quorum Health Corp., Term Loan B

    9.249%        1-Month LIBOR        6.750%        4/29/22        B+        204,666  
  2,389    

Select Medical Corporation, Term Loan B

    5.012%        1-Month LIBOR        2.500%        3/06/25        BB        2,368,575  
  1,049    

Team Health, Initial Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        946,309  
  223    

Vizient, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/13/23        N/R        221,609  
  34,830    

Total Health Care Providers & Services

                                                 33,233,305  
      Health Care Technology – 1.2% (0.7% of Total Investments)  
  4,813    

Emdeon, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        3/01/24        B+        4,716,852  
  449    

Press Ganey Holdings, Inc., Term Loan, Second Lien

    8.999%        1-Month LIBOR        6.500%        10/21/24        CCC+        448,879  
  5,262    

Total Health Care Technology

                                                 5,165,731  
      Hotels, Restaurants & Leisure – 13.4% (8.4% of Total Investments)  
  1,531    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        5/30/25        BB–        1,518,524  
  933    

Aramark Corporation, Term Loan

    4.249%        1-Month LIBOR        1.750%        3/11/25        BBB–        927,999  
  744    

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

    5.764%        1-Month LIBOR        3.250%        2/05/25        B        726,383  
  17,397    

Burger King Corporation, Term Loan B3

    4.749%        1-Month LIBOR        2.250%        2/16/24        BB–        17,142,131  
  5,163    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        10/06/24        BB        5,072,238  
  2,970    

Caesars Resort Collection, Term Loan, First Lien

    5.249%        1-Month LIBOR        2.750%        12/23/24        BB        2,934,004  
  886    

CCM Merger, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        8/09/21        BB        879,800  
  3,257    

CityCenter Holdings LLC, Term Loan B

    4.749%        1-Month LIBOR        2.250%        4/18/24        BB–        3,204,483  
  1,817    

Equinox Holdings, Inc., Term Loan B1

    5.499%        1-Month LIBOR        3.000%        3/08/24        B+        1,795,910  
  980    

Four Seasons Holdings, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        11/30/23        BB+        966,015  
  3,064    

Intrawest Resorts Holdings, Inc., Term Loan B

    5.499%        1-Month LIBOR        3.000%        7/31/24        B        3,029,276  
  1,945    

Life Time Fitness, Inc., Term Loan B

    5.457%        3-Month LIBOR        2.750%        6/10/22        BB–        1,921,352  
  900    

MGM Growth Properties, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        891,000  
  2,247    

MGM Growth Properties, Term Loan B

    4.414%        1-Month LIBOR        2.000%        3/21/25        BBB–        2,214,483  
  8,401    

Scientific Games Corp., Initial Term Loan B5

    5.249%        1-Month LIBOR        2.750%        8/14/24        BB–        8,156,381  

 

53


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)  
$ 3,484    

Stars Group Holdings, Term Loan B

    6.303%        3-Month LIBOR        3.500%        7/10/25        B+      $ 3,456,903  
  2,583    

Station Casino LLC, Term Loan B

    5.000%        1-Month LIBOR        2.500%        6/08/23        BB–        2,557,195  
  1,496    

Wyndham International, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        5/30/25        BBB–        1,474,337  
  59,798    

Total Hotels, Restaurants & Leisure

                                                 58,868,414  
      Household Durables – 0.4% (0.3% of Total Investments)  
  2,080    

Serta Simmons Holdings LLC, Term Loan, First Lien

    6.013%        1-Month LIBOR        3.500%        11/08/23        B–        1,783,489  
      Household Products – 0.2% (0.1% of Total Investments)  
  982    

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

    5.249%        1-Month LIBOR        2.750%        2/05/23        B+        970,396  
      Independent Power & Renewable Electricity Producers – 0.9% (0.6% of Total Investments)  
  4,056    

NRG Energy, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        6/30/23        BBB–        3,997,776  
      Industrial Conglomerates – 0.2% (0.1% of Total Investments)  
  993    

Education Advisory Board, Term Loan, First Lien

    6.408%        2-Month LIBOR        3.750%        11/15/24        B        965,206  
      Insurance – 1.9% (1.2% of Total Investments)  
  737    

Acrisure LLC, Term Loan B

    6.749%        1-Month LIBOR        4.250%        11/22/23        B        724,718  
  3,815    

Alliant Holdings I LLC, Term Loan B

    5.258%        1-Month LIBOR        2.750%        5/09/25        B        3,681,386  
  1,817    

Asurion LLC, Term Loan B6

    5.499%        1-Month LIBOR        3.000%        11/03/23        BB–        1,791,658  
  2,214    

Hub International Holdings, Inc., Term Loan B

    5.514%        3-Month LIBOR        2.750%        4/25/25        B        2,139,038  
  8,583    

Total Insurance

                                                 8,336,800  
      Interactive Media & Services – 0.6% (0.4% of Total Investments)  
  1,059    

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

    5.582%        3-Month LIBOR        3.000%        11/03/23        BB+        985,085  
  1,500    

WeddingWire, Inc., Term Loan

    7.290%        3-Month LIBOR        4.500%        12/19/25        B+        1,497,660  
  2,559    

Total Interactive Media & Services

                                                 2,482,745  
      Internet and Direct Marketing Retail – 1.0% (0.6% of Total Investments)  
  3,488    

Uber Technologies, Inc., Term Loan

    6.516%        1-Month LIBOR        4.000%        4/04/25        N/R        3,471,149  
  744    

Uber Technologies, Inc., Term Loan

    6.008%        1-Month LIBOR        3.500%        7/13/23        N/R        736,474  
  4,232    

Total Internet and Direct Marketing Retail

                                                 4,207,623  
      Internet Software & Services – 0.8% (0.5% of Total Investments)  
  1,459    

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

    5.750%        1-Month LIBOR        3.250%        10/19/23        B        1,436,869  
  953    

Dynatrace, Term Loan, First Lien

    5.749%        1-Month LIBOR        3.250%        8/22/25        B+        943,941  
  97    

Dynatrace, Term Loan, Second Lien

    9.499%        1-Month LIBOR        7.000%        8/21/26        CCC+        96,291  
  1,912    

SkillSoft Corporation, Term Loan, Second Lien

    10.749%        1-Month LIBOR        8.250%        4/28/22        CCC–        1,013,807  
  4,421    

Total Internet Software & Services

                                                 3,490,908  
      IT Services – 6.8% (4.2% of Total Investments)  
  751    

DTI Holdings, Inc., Replacement Term Loan B1

    7.494%        3-Month LIBOR        4.750%        9/29/23        B        706,658  
  6,320    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        4/26/24        BB+        6,303,406  
  3,023    

First Data Corporation, Term Loan, First Lien, (DD1)

    4.519%        1-Month LIBOR        2.000%        7/10/22        BB+        3,014,600  
  1,158    

Gartner, Inc., Term Loan A

    3.999%        1-Month LIBOR        1.500%        3/21/22        Ba1        1,149,487  
  1,671    

GTT Communications, Inc., Term Loan, First Lien

    5.250%        1-Month LIBOR        2.750%        6/02/25        BB–        1,573,628  
  2,500    

Optiv Security, Inc., Term Loan, Second Lien

    9.749%        1-Month LIBOR        7.250%        1/31/25        CCC+        2,321,875  
  651    

Presidio, Inc., Term Loan B

    5.543%        3-Month LIBOR        2.750%        2/02/24        B+        644,632  
  3,623    

Sabre, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        2/22/24        BB        3,581,232  
  715    

Science Applications International Corporation, Term Loan B

    4.249%        1-Month LIBOR        1.750%        10/31/25        BB+        705,781  
  3,500    

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

    11.509%        1-Month LIBOR        9.000%        3/11/24        CCC+        3,010,000  
  2,583    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.509%        1-Month LIBOR        5.000%        3/09/23        B        2,350,951  
  1,724    

Tempo Acquisition LLC, Term Loan B

    5.499%        1-Month LIBOR        3.000%        5/01/24        B+        1,696,049  
  2,006    

West Corporation, Term Loan B

    6.499%        1-Month LIBOR        4.000%        10/10/24        BB+        1,847,277  
  975    

WEX, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/23        BB–        962,637  
  31,200    

Total IT Services

                                                 29,868,213  

 

54


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Life Sciences Tools & Services – 0.4% (0.3% of Total Investments)  
$ 446    

Inventiv Health, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/24        BB      $ 439,840  
  1,586    

Parexel International Corp., Term Loan B

    5.249%        1-Month LIBOR        2.750%        9/27/24        B+        1,506,884  
  2,032    

Total Life Sciences Tools & Services

                                                 1,946,724  
      Machinery – 1.1% (0.7% of Total Investments)  
  1,025    

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

    5.514%        1-Month LIBOR        3.000%        2/01/24        B+        1,017,300  
  1,784    

Gardner Denver, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        7/30/24        BB+        1,777,495  
  1,042    

Gates Global LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        4/01/24        B+        1,022,656  
  695    

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

    7.303%        3-Month LIBOR        4.500%        11/27/20        CCC+        637,586  
  650    

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

    11.803%        3-Month LIBOR        9.000%        11/26/21        CCC–        542,750  
  5,196    

Total Machinery

                                                 4,997,787  
      Marine – 0.6% (0.4% of Total Investments)  
  863    

American Commercial Lines LLC, Term Loan B, First Lien

    11.249%        1-Month LIBOR        8.750%        11/12/20        CCC+        616,688  
  2,007    

Harvey Gulf International Marine, Inc., Exit Term Loan

    8.508%        6-Month LIBOR        6.000%        7/02/23        B        1,999,701  
  2,870    

Total Marine

                                                 2,616,389  
      Media – 13.7% (8.6% of Total Investments)  
  1,142    

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

    5.749%        1-Month LIBOR        3.250%        7/23/21        B+        1,009,320  
  572    

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

    10.390%        3-Month LIBOR        7.750%        5/10/22        CCC+        559,887  
  164    

Catalina Marketing Corporation, Delayed Draw Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        164,141  
  614    

Catalina Marketing Corporation, DIP Term Loan, First Lien

    8.008%        3-Month LIBOR        5.500%        6/14/19        N/R        529,571  
  246    

Catalina Marketing Corporation, Term Loan A

    12.514%        1-Month LIBOR        10.000%        6/14/19        N/R        246,212  
  266    

Catalina Marketing Corporation, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        266,730  
  3,716    

Catalina Marketing Corporation, Term Loan, First Lien, (6)

    0.000%        N/A        N/A        4/09/21        D        334,412  
  1,500    

Catalina Marketing Corporation, Term Loan, Second Lien, (6)

    9.457%        N/A        N/A        4/11/22        D        27,750  
  550    

CBS Radio, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        535,563  
  4,537    

Cequel Communications LLC, Term Loan B

    4.759%        1-Month LIBOR        2.250%        1/10/26        BB        4,384,170  
  4,199    

Charter Communications Operating Holdings LLC, Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/30/25        BBB–        4,150,169  
  1,983    

Cineworld Group PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/28/25        BB–        1,939,889  
  5,014    

Clear Channel Communications, Inc., Tranche D, Term Loan, (6)

    0.000%        N/A        N/A        1/30/19        CCC        3,402,502  
  7,295    

Clear Channel Communications, Inc., Term Loan E, (6)

    0.000%        N/A        N/A        7/30/19        CCC        4,950,824  
  1,489    

CSC Holdings LLC, Term Loan B

    5.009%        1-Month LIBOR        2.500%        1/25/26        BB+        1,458,975  
  6,620    

Cumulus Media, Inc., Exit Term Loan

    7.000%        1-Month LIBOR        4.500%        5/13/22        B        6,408,346  
  553    

Gray Television, Inc., Term Loan B2

    4.770%        1-Month LIBOR        2.250%        2/07/24        BB+        544,574  
  750    

Gray Television, Inc., Term Loan C

    5.020%        1-Month LIBOR        2.500%        1/02/26        BB+        741,251  
  1,838    

IMG Worldwide, Inc., Term Loan B

    5.250%        1-Month LIBOR        2.750%        5/18/25        B        1,737,633  
  3,252    

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

    6.252%        1-Month LIBOR        3.750%        11/30/23        B+        3,232,754  
  5,806    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/02/22        BB+        5,302,742  
  1,591    

Meredith Corporation, Tranche Term Loan B1

    5.249%        1-Month LIBOR        2.750%        1/31/25        BB        1,584,250  
  1,496    

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

    5.000%        1-Month LIBOR        2.500%        7/03/25        BB        1,478,490  
  1,000    

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

    7.000%        1-Month LIBOR        4.500%        7/03/26        B        967,505  
  2,738    

Nexstar Broadcasting, Inc., Term Loan B3

    4.752%        1-Month LIBOR        2.250%        1/17/24        BB+        2,657,479  
  473    

Nexstar Broadcasting, Inc., Term Loan B3

    4.756%        1-Month LIBOR        2.250%        1/17/24        BB+        459,425  
  399    

Red Ventures, Term Loan B

    5.499%        1-Month LIBOR        3.000%        11/08/24        BB        395,749  
  2,337    

Sinclair Television Group, Term Loan B2, (DD1)

    4.750%        1-Month LIBOR        2.250%        1/31/24        BB+        2,324,044  
  1,444    

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

    5.999%        1-Month LIBOR        3.500%        8/15/22        B        1,439,975  
  1,533    

UPC Financing Partnership, Term Loan AR1, First Lien

    5.009%        1-Month LIBOR        2.500%        1/15/26        BB+        1,513,518  

 

55


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)  
$ 5,726    

WideOpenWest Finance LLC, Term Loan B

    5.753%        1-Month LIBOR        3.250%        8/18/23        B      $ 5,487,806  
  70,843    

Total Media

                                                 60,235,656  
      Multiline Retail – 1.4% (0.9% of Total Investments)  
  2,054    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 8.853%, PIK 1.500%)

    8.432%        3-Month LIBOR        6.500%        1/13/22        CCC+        1,848,816  
  1,573    

Belk, Inc., Term Loan B, First Lien, (DD1)

    7.365%        2-Month LIBOR        4.750%        12/12/22        B        1,257,681  
  1,489    

EG America LLC, Term Loan, First Lien

    6.813%        3-Month LIBOR        4.000%        2/07/25        B        1,441,857  
  599    

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

    5.752%        1-Month LIBOR        3.250%        9/30/22        BB–        587,285  
  1,324    

Neiman Marcus Group, Inc., Term Loan

    5.763%        1-Month LIBOR        3.250%        10/25/20        CCC        1,177,550  
  7,039    

Total Multiline Retail

                                                 6,313,189  
      Oil, Gas & Consumable Fuels – 2.5% (1.6% of Total Investments)  
  1,447    

BCP Renaissance Parent, Term Loan B

    6.244%        3-Month LIBOR        3.500%        10/31/24        BB–        1,435,962  
  1,250    

California Resources Corporation, Term Loan

    12.874%        1-Month LIBOR        10.375%        12/31/21        B        1,310,938  
  3,414    

California Resources Corporation, Term Loan B

    7.252%        1-Month LIBOR        4.750%        12/31/22        B        3,356,655  
  2,551    

Fieldwood Energy LLC, Exit Term Loan

    7.749%        1-Month LIBOR        5.250%        4/11/22        BB–        2,348,314  
  1,574    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.749%        1-Month LIBOR        7.250%        4/11/23        B+        1,360,262  
  1,206    

Peabody Energy Corporation, Term Loan B

    5.249%        1-Month LIBOR        2.750%        3/31/25        BB        1,184,629  
  11,442    

Total Oil, Gas & Consumable Fuels

                                                 10,996,760  
      Personal Products – 1.2% (0.8% of Total Investments)  
  1,706    

Coty, Inc., Term Loan A

    4.271%        1-Month LIBOR        1.750%        4/05/23        BB        1,659,328  
  1,493    

Coty, Inc., Term Loan B

    4.771%        1-Month LIBOR        2.250%        4/07/25        BB        1,420,673  
  3,147    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    6.207%        3-Month LIBOR        3.500%        11/16/20        B–        2,257,440  
  6,346    

Total Personal Products

                                                 5,337,441  
      Pharmaceuticals – 1.8% (1.1% of Total Investments)  
  963    

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

    5.999%        1-Month LIBOR        3.500%        9/26/24        B–        877,856  
  3,232    

Concordia Healthcare Corp, Exit Term Loan

    8.016%        1-Month LIBOR        5.500%        9/06/24        B–        3,083,494  
  986    

Valeant Pharmaceuticals International, Inc., Term Loan B, (DD1)

    5.263%        1-Month LIBOR        2.750%        11/15/25        BB        973,760  
  2,847    

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

    5.513%        1-Month LIBOR        3.000%        6/02/25        BB        2,821,165  
  8,028    

Total Pharmaceuticals

                                                 7,756,275  
      Professional Services – 1.5% (0.9% of Total Investments)  
  1,064    

Ceridian HCM Holding, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        4/30/25        B        1,054,069  
  1,965    

Nielsen Finance LLC, Term Loan B4

    4.511%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,937,215  
  957    

On Assignment, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        4/02/25        BB        947,100  
  3,141    

Skillsoft Corporation, Initial Term Loan, First Lien

    7.249%        1-Month LIBOR        4.750%        4/28/21        B–        2,579,824  
  7,127    

Total Professional Services

                                                 6,518,208  
      Real Estate Management & Development – 1.0% (0.6% of Total Investments)  
  2,843    

GGP, Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/27/25        BB+        2,727,127  
  1,472    

Trico Group LLC, Term Loan, First Lien

    9.207%        3-Month LIBOR        6.500%        2/02/24        B        1,442,438  
  4,315    

Total Real Estate Management & Development

                                                 4,169,565  
      Road & Rail – 2.8% (1.7% of Total Investments)  
  9,725    

Avolon LLC, Term Loan B

    4.503%        1-Month LIBOR        2.000%        1/15/25        BBB–        9,641,923  
  1,455    

Quality Distribution, Incremental Term Loan, First Lien

    8.303%        3-Month LIBOR        5.500%        8/18/22        B        1,433,175  
  1,200    

Savage Enterprises LLC, Term Loan B

    7.020%        1-Month LIBOR        4.500%        8/01/25        B+        1,201,040  
  12,380    

Total Road & Rail

                                                 12,276,138  
      Semiconductors & Semiconductor Equipment – 1.1% (0.7% of Total Investments)  
  750    

Cabot Microelectronics, Term Loan B

    4.750%        1-Month LIBOR        2.250%        11/14/25        BB+        745,313  

 

56


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment (continued)  
$ 209    

Lumileds, Term Loan B

    6.205%        3-Month LIBOR        3.500%        6/30/24        B+      $ 158,872  
  1,808    

Microchip Technology., Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        5/29/25        BBB–        1,783,798  
  919    

Micron Technology, Inc., Term Loan B

    4.250%        1-Month LIBOR        1.750%        4/10/22        BBB        911,671  
  1,427    

ON Semiconductor Corporation, Term Loan B3

    4.249%        1-Month LIBOR        1.750%        3/31/23        BBB–        1,412,017  
  5,113    

Total Semiconductors & Semiconductor Equipment

                                                 5,011,671  
      Software – 13.0% (8.1% of Total Investments)  
  3,021    

Blackboard, Inc., Term Loan B4

    7.780%        3-Month LIBOR        5.000%        6/30/21        B–        2,843,167  
  602    

Compuware Corporation, Term Loan, First Lien

    6.002%        1-Month LIBOR        3.500%        8/25/25        B+        602,424  
  1,500    

DiscoverOrg LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        1,492,500  
  2,140    

Ellucian, Term Loan B, First Lien

    6.053%        3-Month LIBOR        3.250%        9/30/22        B        2,099,032  
  2,940    

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

    5.749%        1-Month LIBOR        3.250%        12/01/23        B        2,879,729  
  10,794    

Infor (US), Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/01/22        B+        10,749,904  
  2,514    

Informatica, Term Loan B

    5.749%        1-Month LIBOR        3.250%        8/05/22        B+        2,511,460  
  1,216    

Kronos Incorporated, Term Loan B

    5.541%        3-Month LIBOR        3.000%        11/20/23        B        1,194,591  
  688    

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

    11.000%        1-Month LIBOR        8.500%        9/29/25        B–        699,531  
  3,130    

McAfee LLC, Term Loan B

    6.250%        1-Month LIBOR        3.750%        9/30/24        B+        3,117,853  
  894    

Micro Focus International PLC, New Term Loan

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        866,629  
  6,036    

Micro Focus International PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        5,852,560  
  2,914    

Micro Focus International PLC, Term Loan B2

    4.749%        1-Month LIBOR        2.250%        11/19/21        BB–        2,871,989  
  636    

Misys, New Term Loan, Second Lien

    10.053%        3-Month LIBOR        7.250%        6/13/25        BB–        602,773  
  380    

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

    5.749%        1-Month LIBOR        3.250%        11/29/24        B        365,155  
  667    

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

    9.749%        1-Month LIBOR        7.250%        12/01/25        CCC        654,667  
  1,470    

RP Crown Parent LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        10/15/23        B+        1,447,950  
  5,736    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        5,628,505  
  2,206    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        2,164,909  
  8,387    

TIBCO Software, Inc., Term Loan, First Lien

    6.010%        1-Month LIBOR        3.500%        12/04/20        B+        8,340,961  
  57,871    

Total Software

                                                 56,986,289  
      Specialty Retail – 1.6% (1.0% of Total Investments)  
  1,594    

Academy, Ltd., Term Loan B

    6.514%        1-Month LIBOR        4.000%        7/01/22        CCC+        1,107,369  
  3,849    

Petco Animal Supplies, Inc., Term Loan B1

    5.994%        3-Month LIBOR        3.250%        1/26/23        B        2,967,904  
  2,705    

Petsmart Inc., Term Loan B, First Lien

    5.520%        1-Month LIBOR        3.000%        3/11/22        B–        2,274,560  
  1,204    

Serta Simmons Holdings LLC, Term Loan, Second Lien, (DD1)

    10.514%        1-Month LIBOR        8.000%        11/08/24        CCC        865,932  
  9,352    

Total Specialty Retail

                                                 7,215,765  
      Technology Hardware, Storage & Peripherals – 6.9% (4.3% of Total Investments)  
  5,680    

BMC Software, Inc., Term Loan B

    7.053%        3-Month LIBOR        4.250%        10/02/25        B        5,557,520  
  13,778    

Dell International LLC, Refinancing Term Loan B

    4.500%        1-Month LIBOR        2.000%        9/07/23        BBB–        13,609,892  
  4,171    

Dell International LLC, Replacement Term Loan A2

    4.250%        1-Month LIBOR        1.750%        9/07/21        BBB–        4,128,873  
  6,998    

Western Digital, Term Loan B

    4.260%        1-Month LIBOR        1.750%        4/29/23        BBB–        6,840,267  
  30,627    

Total Technology Hardware, Storage & Peripherals

                                                 30,136,552  
      Trading Companies & Distributors – 0.1% (0.1% of Total Investments)  
  571    

Univar, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/24        BB        560,617  
      Transportation Infrastructure – 0.7% (0.4% of Total Investments)  
  750    

Atlantic Aviation FBO Inc., Term Loan

    6.270%        1-Month LIBOR        3.750%        12/06/25        BB        754,688  
  1,247    

Ceva Group PLC, Term Loan, First Lien

    6.553%        3-Month LIBOR        3.750%        8/04/25        BB–        1,235,965  
  350    

Standard Aero, Canadien Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        348,713  
  650    

Standard Aero, USD Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        648,607  
  2,997    

Total Transportation Infrastructure

                                                 2,987,973  
      Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)  
  1,823    

Asurion LLC, Term Loan B4

    5.499%        1-Month LIBOR        3.000%        8/04/22        BB–        1,798,192  

 

57


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Wireless Telecommunication Services (continued)  
$ 6,878    

Sprint Corporation, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        2/02/24        BB+      $ 6,731,353  
  8,701    

Total Wireless Telecommunication Services

                                                 8,529,545  
$ 639,740    

Total Variable Rate Senior Loan Interests (cost $630,597,427)

 

     605,938,541  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 16.1% (10.2% of Total Investments)

 

      Communications Equipment – 2.7% (1.7% of Total Investments)  
$ 155    

Avaya Holdings Corporation, 144A, (6), (7)

 

     7.000%        4/01/19        N/R      $  
  3,830    

Avaya Holdings Corporation, 144A, (6), (7)

          10.500%        3/01/21        N/R         
  6,472    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        5,881,430  
  5,580    

Intelsat Jackson Holdings SA, 144A

                      9.750%        7/15/25        CCC+        5,810,175  
  16,037    

Total Communications Equipment

                                                 11,691,605  
      Containers & Packaging – 0.9% (0.6% of Total Investments)  
  4,070    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+        4,085,719  
      Diversified Telecommunication Services – 2.1% (1.3% of Total Investments)  
  489    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B+        526,286  
  1,650    

CSC Holdings LLC, 144A

          10.875%        10/15/25        B+        1,901,625  
  6,902    

Intelsat Luxembourg SA

                      7.750%        6/01/21        CC        6,625,920  
  9,041    

Total Diversified Telecommunication Services

                                                 9,053,831  
      Health Care Providers & Services – 0.5% (0.3% of Total Investments)  
  880    

Tenet Healthcare Corporation

          4.750%        6/01/20        BB–        886,600  
  590    

Tenet Healthcare Corporation

          6.000%        10/01/20        BB        609,352  
  800    

Tenet Healthcare Corporation

                      4.500%        4/01/21        BB        801,600  
  2,270    

Total Health Care Providers & Services

                                                 2,297,552  
      Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)  
  4,200    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        4,415,250  
      Media – 3.5% (2.2% of Total Investments)  
  150    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        150,387  
  495    

DISH DBS Corporation

          5.125%        5/01/20        BB–        496,238  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB–        828,750  
  4,662    

iHeartCommunications Inc., (6)

          9.000%        12/15/19        CCC        3,123,540  
  14,960    

iHeartCommunications Inc., (6)

 

        5.340%        2/01/21        CC        1,810,186  
  6,250    

iHeartCommunications Inc., (6)

          9.000%        3/01/21        CCC        4,171,875  
  1,714    

iHeartCommunications Inc., 144A, (6)

          11.250%        3/01/21        C        1,079,820  
  4,370    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC–        3,635,294  
  33,601    

Total Media

                                                 15,296,090  
      Oil, Gas & Consumable Fuels – 1.2% (0.8% of Total Investments)  
  3,755    

California Resources Corporation, 144A

          8.000%        12/15/22        B–        3,013,388  
  500    

Denbury Resources Inc.

          6.375%        8/15/21        CCC+        412,500  
  1,814    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B+        1,782,255  
  180    

EP Energy LLC, 144A

                      9.375%        5/01/24        CCC        95,850  
  6,249    

Total Oil, Gas & Consumable Fuels

                                                 5,303,993  
      Pharmaceuticals – 0.5% (0.3% of Total Investments)  
  1,500    

Bausch Health Companies Inc., 144A

          6.500%        3/15/22        BB        1,550,625  
  733    

Concordia International Corporation

                      8.000%        9/06/24        B–        696,350  
  2,233    

Total Pharmaceuticals

                                                 2,246,975  
      Real Estate Management & Development – 0.7% (0.5% of Total Investments)  
  3,250    

Realogy Group LLC, 144A

                      5.250%        12/01/21        B+        3,248,765  

 

58


Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)  
$ 1,394    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B+      $ 1,512,490  
      Software – 0.7% (0.4% of Total Investments)  
  3,050    

Infor US Inc., 144A

                      5.750%        8/15/20        B+        3,095,140  
      Wireless Telecommunication Services – 2.0% (1.3% of Total Investments)  
  750    

Level 3 Financing Inc.

          5.375%        8/15/22        BB        755,850  
  6,000    

Sprint Capital Corporation

          7.875%        9/15/23        B+        6,375,000  
  500    

Sprint Capital Corporation

          7.125%        6/15/24        B+        513,750  
  900    

Sprint Communications Inc.

                      7.000%        8/15/20        B+        933,750  
  8,150    

Total Wireless Telecommunication Services

                                                 8,578,350  
$ 93,545    

Total Corporate Bonds (cost $80,407,541)

 

     70,825,760  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.3% (1.4% of Total Investments)

 

      Diversified Consumer Services – 0.1% (0.0% of Total Investments)  
  49,978    

Cengage Learning Holdings II Inc., (8), (9)

                                               $ 193,665  
      Energy Equipment & Services – 0.4% (0.2% of Total Investments)  
  29,321    

C&J Energy Services Inc., (8)

                   471,189  
  63,862    

Transocean Ltd

                   547,297  
  2,534    

Vantage Drilling International, (8), (9)

                                                 587,888  
 

Total Energy Equipment & Services

                                                 1,606,374  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  50,560    

Millennium Health LLC, (7), (8)

                   97,987  
  47,462    

Millennium Health LLC, (7), (8)

                   91,943  
  54,276    

Millennium Health LLC, (8), (9)

                                                 2,985  
 

Total Health Care Providers & Services

                                                 192,915  
      Marine – 0.2% (0.1% of Total Investments)  
  21,097    

HGIM Corporation, (9)

                   801,686  
  4,721    

HGIM Corporation, (8), (9)

                                                 179,398  
 

Total Marine

                                                 981,084  
      Media – 0.7% (0.5% of Total Investments)  
  84,691    

Cumulus Media Inc., (8)

                   1,020,527  
  1,318,561    

Hibu PLC, (8), (9)

                   344,144  
  23,363    

Metro-Goldwyn-Mayer Inc., (8), (9)

                   1,824,650  
  36,087    

Tribune Media Company, (9)

                                                 23,457  
 

Total Media

                                                 3,212,778  
      Pharmaceuticals – 0.1% (0.1% of Total Investments)  
  22,941    

Advanz Pharma Corporation, (8)

                                                 434,044  
      Software – 0.8% (0.5% of Total Investments)  
  206,112    

Avaya Holdings Corporation, (8)

                                                 3,485,354  
      Specialty Retail – 0.0% (0.0% of Total Investments)  
  22,273    

Gymboree Holding Corporation, (8), (9)

                   44,546  
  8,181    

Gymboree Holding Corporation, (8), (9)

                                                 16,362  
 

Total Specialty Retail

                                                 60,908  
 

Total Common Stocks (cost $17,251,932)

                                                 10,167,122  

 

59


JRO    Nuveen Floating Rate Income Opportunity Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

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

ASSET-BACKED SECURITIES – 0.9% (0.5% of Total Investments)

 

$ 675    

Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (10)

 

        10.037%        4/15/29        BB–      $ 673,020  
  800    

Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (10)

 

        9.047%        7/15/30        BB–        776,030  
  750    

Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (10)

 

        9.187%        10/15/30        BB–        731,606  
  1,250    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-10A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (10)

 

        8.261%        4/20/26        BB–        1,232,294  
  400    

Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (10)

 

              8.361%        4/20/30        BB–        369,509  
$ 3,875    

Total Asset-Backed Securities (cost $3,796,610)

                                                 3,782,459  
Shares     Description (1)                                           Value  
 

COMMON STOCK RIGHTS – 0.1% (0.0% of Total Investments)

 

      Oil, Gas & Consumable Fuels – 0.1% (0.0% of Total Investments)  
  13,466    

Fieldwood Energy LLC, (7), (8)

                 $ 423,072  
  2,721    

Fieldwood Energy LLC, (8), (9)

                                                 89,793  
 

Total Common Stock Rights (cost $384,387)

                                                 512,865  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  15,619    

Avaya Holdings Corporation, (9)

                                               $ 19,524  
 

Total Warrants (cost $1,460,830)

 

     19,524  
 

Total Long-Term Investments (cost $733,898,727)

 

     691,246,271  
Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 2.8% (1.8% of Total Investments)

 

 

INVESTMENT COMPANIES – 2.8% (1.8% of Total Investments)

 

  12,312,629    

BlackRock Liquidity Funds T-Fund Portfolio, (11)

                      2.290% (12)                        $ 12,312,629  
 

Total Short-Term Investments (cost $12,312,629)

 

     12,312,629  
 

Total Investments (cost $746,211,356) – 160.1%

 

     703,558,900  
 

Borrowings – (40.7)% (13), (14)

 

     (178,800,000
 

Term Preferred Shares, net of deferred offering costs – (18.9)% (15)

 

     (82,966,686
 

Other Assets Less Liabilities – (0.5)% (16)

 

     (2,443,496
 

Net Assets Applicable to Common Shares – 100%

 

   $ 439,348,718  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 8,000,000       Pay       1-Month LIBOR       3.000 %(17)      Monthly       12/01/23 (18)    $ (52,046   $ (52,046

Morgan Stanley Capital Services LLC

    10,000,000       Pay       1-Month LIBOR       2.500 (19)      Monthly       1/01/22 (20)      (80,145     (80,145

Morgan Stanley Capital Services LLC

    21,000,000       Pay       1-Month LIBOR       2.500 (21)      Monthly       4/01/22 (22)      (237,039     (237,039

Morgan Stanley Capital Services LLC

    45,000,000       Pay       1-Month LIBOR       4.000       Monthly       1/01/27 (23)      (693,605     (693,605

Total

  $ 84,000,000                                             $ (1,062,835   $ (1,062,835

Total unrealized appreciation on interest rate swaps

 

                          $  

Total unrealized depreciation on interest rate swaps

 

                          $ (1,062,835

 

60


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

 

(1)

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

 

(2)

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

 

(3)

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

 

(4)

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

 

(5)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(6)

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

 

(7)

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)

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

 

(9)

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.

 

(10)

Variable rate security. The rate shown is the coupon as of the end of the period.

 

(11)

A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http://www.sec.gov.

 

(12)

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

 

(13)

Borrowings as a percentage of Total Investments is 25.4%.

 

(14)

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

 

(15)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(16)

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

 

(17)

Effective December 1, 2018, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every two years on specific dates through the swap contract’s termination date.

 

(18)

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

 

(19)

Effective January 1, 2020, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(20)

This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(21)

Effective April 1, 2020, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(22)

This interest rate swap has an optional early termination date beginning on July 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(23)

This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

144A

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

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

PIK

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

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

61


JSD   

Nuveen Short Duration Credit
Opportunities Fund

 

Portfolio of Investments    January 31, 2019

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 160.9% (98.7% of Total Investments)

 

  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 142.5% (87.4% of Total Investments) (2)

 

  
      Aerospace & Defense – 2.8% (1.7% of Total Investments)         
$ 2,386    

Sequa Corporation, Term Loan B

    7.516%        3-Month LIBOR        5.000%        11/28/21        B      $ 2,349,791  
  854    

Sequa Corporation, Term Loan, Second Lien

    11.751%        3-Month LIBOR        9.000%        4/28/22        CCC        816,725  
  1,650    

Transdigm, Inc., Term Loan F

    4.999%        1-Month LIBOR        2.500%        6/09/23        BB        1,618,410  
  4,890    

Total Aerospace & Defense

                                                 4,784,926  
      Air Freight & Logistics – 0.9% (0.5% of Total Investments)         
  814    

PAE Holding Corporation, Term Loan B

    8.119%        2-Month LIBOR        5.500%        10/20/22        B+        810,161  
  722    

XPO Logistics, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        2/24/25        BBB –        712,349  
  1,536    

Total Air Freight & Logistics

                                                 1,522,510  
      Airlines – 2.4% (1.5% of Total Investments)         
  1,680    

American Airlines, Inc., Replacement Term Loan

    4.516%        1-Month LIBOR        2.000%        10/10/21        BB+        1,660,840  
  660    

American Airlines, Inc., Term Loan 2025

    4.252%        1-Month LIBOR        1.750%        6/27/25        BB+        634,331  
  500    

American Airlines, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/28/23        BB+        485,705  
  1,305    

American Airlines, Inc., Term Loan B

    4.509%        1-Month LIBOR        2.000%        12/14/23        BB+        1,267,456  
  4,145    

Total Airlines

                                                 4,048,332  
      Auto Components – 0.8% (0.5% of Total Investments)         
  845    

DexKo Global, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        7/24/24        B+        833,936  
  492    

Superior Industries International, Inc., Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/22/24        B+        486,746  
  1,337    

Total Auto Components

                                                 1,320,682  
      Beverages – 0.8% (0.5% of Total Investments)         
  1,439    

Jacobs Douwe Egberts, Term Loan B

    4.563%        3-Month LIBOR        2.000%        11/01/25        BB        1,425,846  
      Biotechnology – 1.2% (0.7% of Total Investments)         
  1,965    

Grifols, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        1/31/25        BB+        1,943,306  
      Building Products – 1.3% (0.8% of Total Investments)         
  307    

Fairmount, Initial Term Loan

    6.553%        3-Month LIBOR        3.750%        6/01/25        BB        244,997  
  324    

Ply Gem Industries, Inc., Term Loan B

    6.547%        3-Month LIBOR        3.750%        4/12/25        B+        310,059  
  1,699    

Quikrete Holdings, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        11/15/23        BB–        1,650,963  
  2,330    

Total Building Products

                                                 2,206,019  
      Capital Markets – 2.7% (1.6% of Total Investments)         
  1,082    

Capital Automotive LP, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        3/25/24        B+        1,056,023  
  1,741    

Capital Automotive LP, Term Loan, Second Lien

    8.499%        1-Month LIBOR        6.000%        3/24/25        CCC+        1,739,201  
  1,701    

RPI Finance Trust, Term Loan B6

    4.499%        1-Month LIBOR        2.000%        3/27/23        BBB–        1,687,738  
  4,524    

Total Capital Markets

                                                 4,482,962  
      Chemicals – 0.4% (0.3% of Total Investments)         
  423    

Ineos US Finance LLC, Term Loan

    4.499%        1-Month LIBOR        2.000%        4/01/24        BBB–        412,042  
  300    

SI Group, Term Loan B

    7.537%        3-Month LIBOR        4.750%        10/15/25        BB–        297,750  
  723    

Total Chemicals

                                                 709,792  
      Commercial Services & Supplies – 6.5% (4.0% of Total Investments)         
  1,337    

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

    6.957%        3-Month LIBOR        4.250%        6/16/24        B        1,283,869  
  2,748    

Formula One Group, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/01/24        B+        2,653,987  
  276    

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

    6.784%        1-Month LIBOR        4.000%        10/19/23        B–        264,664  

 

62


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)         
$ 1,047    

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

    5.999%        1-Month LIBOR        3.500%        10/18/19        B–      $ 1,043,026  
  499    

GFL Environmental, Term Loan

    5.499%        1-Month LIBOR        3.000%        5/31/25        B+        482,398  
  1,800    

iQor US, Inc., Term Loan, First Lien, (DD1)

    7.797%        3-Month LIBOR        5.000%        4/01/21        CCC+        1,623,039  
  167    

iQor US, Inc., Term Loan, Second Lien

    11.547%        3-Month LIBOR        8.750%        4/01/22        CCC–        124,792  
  764    

KAR Auction Services, Inc., Term Loan B5

    5.313%        3-Month LIBOR        2.500%        3/09/23        BB        759,323  
  705    

LSC Communications, Refinancing Term Loan

    7.999%        1-Month LIBOR        5.500%        9/30/22        B+        702,356  
  413    

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

    8.303%        3-Month LIBOR        5.500%        9/30/22        CCC+        363,258  
  579    

Protection One, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        5/02/22        BB–        571,813  
  972    

Universal Services of America, Initial Term Loan, First Lien

    6.249%        1-Month LIBOR        3.750%        7/28/22        BB        931,412  
  170    

West Corporation, Incremental Term Loan B1

    5.999%        1-Month LIBOR        3.500%        10/10/24        BB+        155,025  
  11,477    

Total Commercial Services & Supplies

 

     10,958,962  
      Communications Equipment – 2.2% (1.3% of Total Investments)         
  2,281    

Avaya, Inc., Tranche B Term Loan

    6.759%        1-Month LIBOR        4.250%        12/15/24        BB–        2,248,970  
  900    

Mitel US Holdings, Inc., Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        11/30/25        B        888,975  
  542    

Plantronics, Term Loan B

    4.999%        1-Month LIBOR        2.500%        7/02/25        BB+        528,548  
  3,723    

Total Communications Equipment

                                                 3,666,493  
      Construction & Engineering – 1.2% (0.7% of Total Investments)         
  746    

KBR, Inc., Term Loan B

    6.249%        1-Month LIBOR        3.750%        4/25/25        BB–        745,321  
  1,326    

Traverse Midstream Partners, Term Loan B

    6.600%        6-Month LIBOR        4.000%        9/27/24        B+        1,323,974  
  2,072    

Total Construction & Engineering

                                                 2,069,295  
      Consumer Finance – 0.8% (0.5% of Total Investments)         
  744    

Vantiv LLC, Repriced Term Loan B4

    4.222%        1-Month LIBOR        1.750%        8/09/24        BBB–        741,182  
  566    

Verscend Technologies, Tern Loan B

    6.999%        1-Month LIBOR        4.500%        8/27/25        B+        562,696  
  1,310    

Total Consumer Finance

                                                 1,303,878  
      Containers & Packaging – 0.4% (0.3% of Total Investments)         
  699    

Berry Global, Inc., Term Loan Q

    4.516%        1-Month LIBOR        2.000%        10/01/22        BBB–        693,206  
      Distributors – 0.4% (0.3% of Total Investments)         
  746    

SRS Distribution, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        5/23/25        B        711,154  
      Diversified Consumer Services – 2.1% (1.3% of Total Investments)         
  1,824    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        6/07/23        B        1,554,263  
  838    

Houghton Mifflin, Term Loan B, First Lien

    5.499%        1-Month LIBOR        3.000%        5/28/21        B        793,099  
  580    

Laureate Education, Inc., Term Loan B

    6.549%        N/A        N/A        4/26/24        B+        578,621  
  750    

Refinitiv, Term Loan B

    6.249%        1-Month LIBOR        3.750%        10/01/25        BB+        721,582  
  3,992    

Total Diversified Consumer Services

                                                 3,647,565  
      Diversified Financial Services – 2.5% (1.5% of Total Investments)         
  419    

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

    6.803%        3-Month LIBOR        4.000%        4/03/24        B+        409,476  
  565    

Freedom Mortgage Corporation, Initial Term Loan

    7.249%        1-Month LIBOR        4.750%        2/23/22        BB        567,140  
  377    

Hilton Hotels, Term Loan B

    4.260%        1-Month LIBOR        1.750%        10/25/23        BBB–        374,000  
  421    

Lions Gate Entertainment Corp., Term Loan B

    4.749%        1-Month LIBOR        2.250%        3/24/25        BB        414,644  
  1,143    

Veritas US, Inc., Term Loan B1

    7.074%        1-Month LIBOR        4.500%        1/27/23        B        1,002,420  
  2,200    

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

    8.499%        N/A        N/A        6/30/22        CCC        1,496,234  
  5,125    

Total Diversified Financial Services

                                                 4,263,914  
      Diversified Telecommunication Services – 7.3% (4.5% of Total Investments)         
  713    

CenturyLink, Inc., Initial Term Loan A

    5.249%        1-Month LIBOR        2.750%        11/01/22        BBB–        700,031  
  4,255    

CenturyLink, Inc., Term Loan B, (DD1)

    5.249%        1-Month LIBOR        2.750%        1/31/25        BBB–        4,076,708  
  421    

CommScope, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        12/29/22        BBB–        420,232  
  2,527    

Frontier Communications Corporation, Term Loan B

    6.250%        1-Month LIBOR        3.750%        1/14/22        BB        2,423,562  
  195    

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

    7.002%        1-Month LIBOR        4.500%        1/02/24        B+        198,206  
  312    

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

    6.625%        N/A        N/A        1/02/24        B+        313,294  
  200    

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

    4.756%        1-Month LIBOR        2.250%        2/22/24        BBB–        196,844  

 

63


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)         
$ 1,995    

Numericable Group S.A., Term Loan B13

    6.509%        1-Month LIBOR        4.000%        8/14/26        B      $ 1,887,769  
  289    

Windstream Corporation, Term Loan B6, (5)

    6.510%        1-Month LIBOR        4.000%        3/29/21        BB        269,207  
  2,000    

Ziggo B.V., Term Loan E

    5.009%        1-Month LIBOR        2.500%        4/15/25        BB        1,938,360  
  12,907    

Total Diversified Telecommunication Services

 

     12,424,213  
      Electric Utilities – 1.5% (1.0% of Total Investments)         
  424    

EFS Cogen Holdings LLC, Term Loan B

    5.980%        3-Month LIBOR        3.250%        6/28/23        BB–        418,258  
  1,596    

Texas Competitive Electric Holdings LLC, Exit Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/23        BBB–        1,574,055  
  687    

Vistra Operations Co., Term Loan B3

    4.505%        1-Month LIBOR        2.000%        12/31/25        BBB–        675,307  
  2,707    

Total Electric Utilities

                                                 2,667,620  
      Electrical Equipment – 0.5% (0.3% of Total Investments)         
  830    

TTM Technologies, Term Loan B, (DD1)

    5.020%        1-Month LIBOR        2.500%        9/28/24        BB+        809,142  
      Energy Equipment & Services – 1.8% (1.1% of Total Investments)         
  1,985    

McDermott International, Term Loan

    7.499%        1-Month LIBOR        5.000%        5/12/25        BB–        1,909,183  
  1,404    

Seadrill Partners LLC, Initial Term Loan

    8.803%        3-Month LIBOR        6.000%        2/21/21        CCC+        1,134,946  
  3,389    

Total Energy Equipment & Services

                                                 3,044,129  
      Equity Real Estate Investment Trusts – 1.9% (1.2% of Total Investments)         
  2,919    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.499%        1-Month LIBOR        3.000%        10/24/22        B–        2,745,314  
  491    

Realogy Group LLC, Term Loan A

    4.758%        1-Month LIBOR        2.250%        2/08/23        BB+        483,266  
  3,410    

Total Equity Real Estate Investment Trusts

 

     3,228,580  
      Food & Staples Retailing – 6.7% (4.1% of Total Investments)         
  941    

Albertson’s LLC, Term Loan B6

    5.691%        3-Month LIBOR        3.000%        6/22/23        BB        928,428  
  7,377    

Albertson’s LLC, Term Loan B7

    5.499%        1-Month LIBOR        3.000%        11/17/25        BB        7,236,116  
  950    

Del Monte Foods Company, Term Loan, First Lien

    5.903%        3-Month LIBOR        3.250%        2/18/21        CCC+        788,799  
  367    

Save-A-Lot, Term Loan B

    8.803%        3-Month LIBOR        6.000%        12/05/23        CCC+        204,643  
  2,222    

US Foods, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        6/27/23        BBB–        2,189,453  
  11,857    

Total Food & Staples Retailing

                                                 11,347,439  
      Food Products – 0.4% (0.2% of Total Investments)         
  598    

American Seafoods Group LLC, Term Loan B

    5.250%        1-Month LIBOR        2.750%        8/21/23        BB–        592,518  
      Health Care Equipment & Supplies – 3.1% (1.9% of Total Investments)         
  1,047    

Acelity, Term Loan B

    6.053%        3-Month LIBOR        3.250%        2/02/24        B+        1,042,249  
  250    

Air Methods Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        B        205,277  
  617    

Greatbatch, New Term Loan B

    5.510%        1-Month LIBOR        3.000%        10/27/22        B+        612,623  
  500    

LifeScan, Term Loan B

    8.797%        3-Month LIBOR        6.000%        10/01/24        B+        481,252  
  1,682    

Onex Carestream Finance LP, Term Loan, First Lien

    8.249%        N/A        N/A        2/28/21        B+        1,644,525  
  849    

Onex Carestream Finance LP, Term Loan, Second Lien

    11.999%        1-Month LIBOR        9.500%        6/07/21        B–        836,442  
  498    

Vyaire Medical, Inc., Term Loan B

    7.547%        3-Month LIBOR        4.750%        4/16/25        B        470,137  
  5,443    

Total Health Care Equipment & Supplies

                                                 5,292,505  
      Health Care Providers & Services – 8.5% (5.2% of Total Investments)         
  724    

Air Medical Group Holdings, Inc., Term Loan B

    5.764%        1-Month LIBOR        3.250%        4/28/22        B+        682,811  
  517    

Air Medical Group Holdings, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        3/14/25        B+        486,678  
  498    

Ardent Health, Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        6/30/25        B+        495,530  
  421    

Catalent Pharma Solutions, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        5/20/24        BB        419,572  
  494    

Community Health Systems, Inc., Term Loan H

    5.957%        3-Month LIBOR        3.250%        1/27/21        BB        486,440  
  769    

ConvaTec Healthcare, Term Loan B

    5.053%        3-Month LIBOR        2.250%        10/25/23        BB        763,889  
  250    

HCA, Inc., Term Loan B11, (WI/DD)

    TBD        TBD        TBD        TBD        BBB-        249,167  
  40    

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

    3.750%        N/A        N/A        4/30/25        B        38,473  
  432    

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

    6.249%        1-Month LIBOR        3.750%        4/30/25        B        420,347  
  1,462    

Kindred at Home Hospice, Term Loan B

    6.250%        1-Month LIBOR        3.750%        7/02/25        B+        1,455,086  
  400    

Kindred at Home Hospice, Term Loan, Second Lien

    9.500%        1-Month LIBOR        7.000%        6/21/26        CCC+        406,250  
  1,500    

Lifepoint Health, Inc., Term Loan

    7.129%        3-Month LIBOR        4.500%        11/16/25        B+        1,467,000  

 

64


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)         
$ 649    

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

    8.999%        1-Month LIBOR        6.500%        12/21/20        CCC+      $ 365,937  
  2,799    

Pharmaceutical Product Development, Inc., Term Loan B, (DD1)

    4.999%        1-Month LIBOR        2.500%        8/18/22        BB–        2,748,245  
  744    

PharMerica, Term Loan, First Lien

    6.008%        1-Month LIBOR        3.500%        12/06/24        B+        743,329  
  744    

Prospect Medical Holdings, Term Loan B1

    8.063%        1-Month LIBOR        5.500%        2/22/24        B+        740,653  
  118    

Quorum Health Corp., Term Loan B

    9.249%        1-Month LIBOR        6.750%        4/29/22        B+        118,446  
  1,669    

Select Medical Corporation, Term Loan B

    5.012%        1-Month LIBOR        2.500%        3/06/25        BB        1,654,672  
  524    

Team Health, Initial Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        473,155  
  148    

Vizient, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/13/23        N/R        147,739  
  14,902    

Total Health Care Providers & Services

 

     14,363,419  
      Health Care Technology – 0.8% (0.5% of Total Investments)         
  1,444    

Emdeon, Inc., Term Loan

    5.249%        1-Month LIBOR        2.750%        3/01/24        B+        1,415,055  
      Hotels, Restaurants & Leisure – 11.8% (7.2% of Total Investments)         
  1,021    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.999%        1-Month LIBOR        3.500%        5/30/25        BB–        1,012,349  
  2,697    

Burger King Corporation, Term Loan B3

    4.749%        1-Month LIBOR        2.250%        2/16/24        BB–        2,657,590  
  1,208    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        10/06/24        BB        1,186,617  
  1,980    

Caesars Resort Collection, Term Loan, First Lien

    5.249%        1-Month LIBOR        2.750%        12/23/24        BB        1,956,002  
  1,310    

CCM Merger, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        8/09/21        BB        1,300,852  
  1,629    

CityCenter Holdings LLC, Term Loan B

    4.749%        1-Month LIBOR        2.250%        4/18/24        BB–        1,602,335  
  1,239    

Equinox Holdings, Inc., Term Loan B1

    5.499%        1-Month LIBOR        3.000%        3/08/24        B+        1,224,484  
  1,112    

Life Time Fitness, Inc., Term Loan B

    5.457%        3-Month LIBOR        2.750%        6/10/22        BB–        1,097,915  
  350    

MGM Growth Properties, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        346,500  
  1,000    

Penn National Gaming, Inc., Term Loan B

    4.758%        1-Month LIBOR        2.250%        10/15/25        BB        989,375  
  3,812    

Scientific Games Corp., Initial Term Loan B5

    5.249%        1-Month LIBOR        2.750%        8/14/24        BB–        3,700,869  
  1,144    

Stars Group Holdings, Term Loan B

    6.303%        3-Month LIBOR        3.500%        7/10/25        B+        1,135,474  
  1,722    

Station Casino LLC, Term Loan B

    5.000%        1-Month LIBOR        2.500%        6/08/23        BB–        1,704,797  
  20,224    

Total Hotels, Restaurants & Leisure

 

     19,915,159  
      Household Durables – 0.3% (0.2% of Total Investments)         
  643    

Serta Simmons Holdings LLC, Term Loan, First Lien

    6.013%        1-Month LIBOR        3.500%        11/08/23        B–        551,558  
      Household Products – 0.9% (0.6% of Total Investments)         
  1,632    

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

    5.249%        1-Month LIBOR        2.750%        2/05/23        B+        1,611,551  
      Industrial Conglomerates – 0.4% (0.3% of Total Investments)         
  744    

Education Advisory Board, Term Loan, First Lien

    6.408%        2-Month LIBOR        3.750%        11/15/24        B        723,905  
      Insurance – 0.9% (0.5% of Total Investments)         
  491    

Acrisure LLC, Term Loan B

    6.749%        1-Month LIBOR        4.250%        11/22/23        B        483,146  
  1,009    

Hub International Holdings, Inc., Term Loan B

    5.514%        3-Month LIBOR        2.750%        4/25/25        B        974,852  
  1,500    

Total Insurance

                                                 1,457,998  
      Interactive Media & Services – 1.0% (0.6% of Total Investments)         
  706    

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

    5.582%        3-Month LIBOR        3.000%        11/03/23        BB+        656,724  
  1,000    

WeddingWire, Inc., Term Loan

    7.290%        3-Month LIBOR        4.500%        12/19/25        B+        998,440  
  1,706    

Total Interactive Media & Services

 

     1,655,164  
      Internet and Direct Marketing Retail – 1.0% (0.6% of Total Investments)         
  1,744    

Uber Technologies, Inc., Term Loan

    6.516%        1-Month LIBOR        4.000%        4/04/25        N/R        1,735,574  
      Internet Software & Services – 1.2% (0.7% of Total Investments)         
  973    

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

    5.750%        1-Month LIBOR        3.250%        10/19/23        B        957,912  
  369    

Dynatrace, Term Loan, First Lien

    5.749%        1-Month LIBOR        3.250%        8/22/25        B+        365,179  
  37    

Dynatrace, Term Loan, Second Lien

    9.499%        1-Month LIBOR        7.000%        8/21/26        CCC+        37,252  

 

65


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Internet Software & Services (continued)         
$ 1,109    

SkillSoft Corporation, Term Loan, Second Lien

    10.749%        1-Month LIBOR        8.250%        4/28/22        CCC–      $ 587,714  
  2,488    

Total Internet Software & Services

 

     1,948,057  
      IT Services – 7.6% (4.7% of Total Investments)         
  376    

DTI Holdings, Inc., Replacement Term Loan B1

    7.494%        3-Month LIBOR        4.750%        9/29/23        B        353,329  
  4,550    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        4/26/24        BB+        4,537,818  
  707    

First Data Corporation, Term Loan, First Lien, (DD1)

    4.519%        1-Month LIBOR        2.000%        7/10/22        BB+        704,780  
  649    

Gartner, Inc., Term Loan A

    3.999%        1-Month LIBOR        1.500%        3/21/22        NR        644,409  
  418    

GTT Communications, Inc., Term Loan, First Lien

    5.250%        1-Month LIBOR        2.750%        6/02/25        BB–        393,407  
  1,266    

Sabre, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        2/22/24        BB        1,251,609  
  1,500    

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

    11.509%        1-Month LIBOR        9.000%        3/11/24        CCC+        1,290,000  
  1,199    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.509%        1-Month LIBOR        5.000%        3/09/23        B        1,091,513  
  985    

Tempo Acquisition LLC, Term Loan B

    5.499%        1-Month LIBOR        3.000%        5/01/24        B+        969,171  
  1,037    

West Corporation, Term Loan B

    6.499%        1-Month LIBOR        4.000%        10/10/24        BB+        955,212  
  731    

WEX, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/23        BB–        721,978  
  13,418    

Total IT Services

                                                 12,913,226  
      Machinery – 1.5% (0.9% of Total Investments)         
  154    

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

    5.514%        1-Month LIBOR        3.000%        2/01/24        B+        152,449  
  712    

Gardner Denver, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        7/30/24        BB+        709,245  
  625    

Gates Global LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        4/01/24        B+        613,594  
  824    

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

    7.303%        3-Month LIBOR        4.500%        11/27/20        CCC+        756,258  
  400    

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

    11.803%        3-Month LIBOR        9.000%        11/26/21        CCC–        334,000  
  2,715    

Total Machinery

                                                 2,565,546  
      Marine – 0.9% (0.5% of Total Investments)         
  647    

American Commercial Lines LLC, Term Loan B, First Lien

    11.249%        1-Month LIBOR        8.750%        11/12/20        CCC+        462,516  
  969    

Harvey Gulf International Marine, Inc., Exit Term Loan

    8.508%        6-Month LIBOR        6.000%        7/02/23        B        965,352  
  1,616    

Total Marine

                                                 1,427,868  
      Media – 12.5% (7.7% of Total Investments)         
  828    

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

    5.749%        1-Month LIBOR        3.250%        7/23/21        B+        732,162  
  381    

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

    10.390%        3-Month LIBOR        7.750%        5/10/22        CCC+        373,258  
  23    

Catalina Marketing Corporation, Delayed Draw Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        23,449  
  88    

Catalina Marketing Corporation, DIP Term Loan, First Lien

    8.008%        3-Month LIBOR        5.500%        6/14/19        N/R        75,653  
  35    

Catalina Marketing Corporation, Term Loan A

    12.514%        1-Month LIBOR        10.000%        6/14/19        N/R        35,173  
  38    

Catalina Marketing Corporation, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        38,104  
  531    

Catalina Marketing Corporation, Term Loan, First Lien, (5)

    0.000%        N/A        N/A        4/09/21        D        47,773  
  500    

Catalina Marketing Corporation, Term Loan, Second Lien, (5)

    9.457%        N/A        N/A        4/11/22        D        9,250  
  250    

CBS Radio, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        243,437  
  496    

Cineworld Group PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/28/25        BB–        485,581  
  2,998    

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

    0.000%        N/A        N/A        1/30/19        CCC        2,034,647  
  3,945    

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

    0.000%        N/A        N/A        7/30/19        CCC        2,677,269  
  496    

CSC Holdings LLC, Term Loan B

    5.009%        1-Month LIBOR        2.500%        1/25/26        BB+        486,325  
  2,015    

Cumulus Media, Inc., Exit Term Loan

    7.000%        1-Month LIBOR        4.500%        5/13/22        B        1,950,699  
  415    

Gray Television, Inc., Term Loan B2

    4.770%        1-Month LIBOR        2.250%        2/07/24        BB+        408,431  
  689    

IMG Worldwide, Inc., Term Loan B

    5.250%        1-Month LIBOR        2.750%        5/18/25        B        651,612  
  1,772    

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

    6.252%        1-Month LIBOR        3.750%        11/30/23        B+        1,761,507  
  2,708    

McGraw-Hill Education Holdings LLC, Term Loan B

    6.499%        1-Month LIBOR        4.000%        5/02/22        BB+        2,472,968  

 

66


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)         
$ 682    

Meredith Corporation, Tranche Term Loan B1

    5.249%        1-Month LIBOR        2.750%        1/31/25        BB      $ 678,964  
  748    

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

    5.000%        1-Month LIBOR        2.500%        7/03/25        BB        739,245  
  400    

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

    7.000%        1-Month LIBOR        4.500%        7/03/26        B        387,002  
  257    

Nexstar Broadcasting, Inc., Term Loan B3

    4.756%        1-Month LIBOR        2.250%        1/17/24        BB+        249,491  
  1,487    

Nexstar Broadcasting, Inc., Term Loan B3

    4.752%        1-Month LIBOR        2.250%        1/17/24        BB+        1,443,146  
  133    

Red Ventures, Term Loan B

    5.499%        1-Month LIBOR        3.000%        11/08/24        BB        131,916  
  250    

Sinclair Television Group, Term Loan B2, (WI/DD)

    TBD        TBD        TBD        TBD        BB+        248,645  
  722    

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

    5.999%        1-Month LIBOR        3.500%        8/15/22        B        719,988  
  2,224    

WideOpenWest Finance LLC, Term Loan B

    5.753%        1-Month LIBOR        3.250%        8/18/23        B        2,131,149  
  25,111    

Total Media

                                                 21,236,844  
      Multiline Retail – 1.4% (0.9% of Total Investments)         
  1,086    

Belk, Inc., Term Loan B, First Lien, (DD1)

    7.365%        2-Month LIBOR        4.750%        12/12/22        B        868,252  
  620    

EG America LLC, Term Loan, First Lien

    6.813%        3-Month LIBOR        4.000%        2/07/25        B        600,774  
  300    

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

    5.752%        1-Month LIBOR        3.250%        9/30/22        BB–        293,643  
  709    

Neiman Marcus Group, Inc., Term Loan

    5.763%        1-Month LIBOR        3.250%        10/25/20        CCC        630,300  
  2,715    

Total Multiline Retail

                                                 2,392,969  
      Oil, Gas & Consumable Fuels – 3.4% (2.1% of Total Investments)         
  1,085    

BCP Renaissance Parent, Term Loan B

    6.244%        3-Month LIBOR        3.500%        10/31/24        BB–        1,076,972  
  750    

California Resources Corporation, Term Loan

    12.874%        1-Month LIBOR        10.375%        12/31/21        B        786,563  
  1,665    

California Resources Corporation, Term Loan B

    7.252%        1-Month LIBOR        4.750%        12/31/22        B        1,636,553  
  923    

Fieldwood Energy LLC, Exit Term Loan

    7.749%        1-Month LIBOR        5.250%        4/11/22        BB–        850,181  
  1,091    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.749%        1-Month LIBOR        7.250%        4/11/23        B+        943,331  
  522    

Peabody Energy Corporation, Term Loan B

    5.249%        1-Month LIBOR        2.750%        3/31/25        BB        512,878  
  6,036    

Total Oil, Gas & Consumable Fuels

 

     5,806,478  
      Personal Products – 1.4% (0.8% of Total Investments)         
  995    

Coty, Inc., Term Loan B

    4.771%        1-Month LIBOR        2.250%        4/07/25        BB        947,116  
  1,926    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    6.207%        3-Month LIBOR        3.500%        11/16/20        B–        1,381,138  
  2,921    

Total Personal Products

                                                 2,328,254  
      Pharmaceuticals – 1.7% (1.1% of Total Investments)         
  1,463    

Concordia Healthcare Corp, Exit Term Loan

    8.016%        1-Month LIBOR        5.500%        9/06/24        B–        1,395,576  
  355    

Valeant Pharmaceuticals International, Inc., Term Loan B, (DD1)

    5.263%        1-Month LIBOR        2.750%        11/15/25        BB        350,995  
  1,183    

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

    5.513%        1-Month LIBOR        3.000%        6/02/25        BB        1,171,765  
  3,001    

Total Pharmaceuticals

                                                 2,918,336  
      Professional Services – 1.8% (1.1% of Total Investments)         
  988    

Ceridian HCM Holding, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        4/30/25        B        978,888  
  983    

Nielsen Finance LLC, Term Loan B4

    4.511%        1-Month LIBOR        2.000%        10/04/23        BBB–        968,607  
  1,380    

Skillsoft Corporation, Initial Term Loan, First Lien

    7.249%        1-Month LIBOR        4.750%        4/28/21        B–        1,133,359  
  3,351    

Total Professional Services

                                                 3,080,854  
      Real Estate Management & Development – 0.8% (0.5% of Total Investments)         
  1,421    

GGP, Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/27/25        BB+        1,363,564  
      Road & Rail – 2.2% (1.4% of Total Investments)         
  2,160    

Avolon LLC, Term Loan B

    4.503%        1-Month LIBOR        2.000%        1/15/25        BBB–        2,141,613  
  970    

Quality Distribution, Incremental Term Loan, First Lien

    8.303%        3-Month LIBOR        5.500%        8/18/22        B        955,450  
  720    

Savage Enterprises LLC, Term Loan B

    7.020%        1-Month LIBOR        4.500%        8/01/25        B+        720,624  
  3,850    

Total Road & Rail

                                                 3,817,687  

 

67


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment – 1.7% (1.0% of Total Investments)         
$ 500    

Cabot Microelectronics, Term Loan B

    4.750%        1-Month LIBOR        2.250%        11/14/25        BB+      $ 496,875  
  453    

Lumileds, Term Loan B

    6.205%        3-Month LIBOR        3.500%        6/30/24        B+        344,199  
  452    

Microchip Technology., Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        5/29/25        BBB–        445,949  
  875    

Micron Technology, Inc., Term Loan B

    4.250%        1-Month LIBOR        1.750%        4/10/22        BBB        868,258  
  713    

ON Semiconductor Corporation, Term Loan B3

    4.249%        1-Month LIBOR        1.750%        3/31/23        BBB–        706,008  
  2,993    

Total Semiconductors & Semiconductor Equipment

 

     2,861,289  
      Software – 14.2% (8.7% of Total Investments)         
  967    

Blackboard, Inc., Term Loan B4

    7.780%        3-Month LIBOR        5.000%        6/30/21        B–        909,976  
  233    

Compuware Corporation, Term Loan, First Lien

    6.002%        1-Month LIBOR        3.500%        8/25/25        B+        233,058  
  600    

DiscoverOrg LLC, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        597,000  
  676    

Ellucian, Term Loan B, First Lien

    6.053%        3-Month LIBOR        3.250%        9/30/22        B        663,436  
  1,960    

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

    5.749%        1-Month LIBOR        3.250%        12/01/23        B        1,919,819  
  2,331    

Infor (US), Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        2/01/22        B+        2,320,812  
  1,448    

Informatica, Term Loan B

    5.749%        1-Month LIBOR        3.250%        8/05/22        B+        1,446,335  
  973    

Kronos Incorporated, Term Loan B

    5.541%        3-Month LIBOR        3.000%        11/20/23        B        955,673  
  458    

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

    11.000%        1-Month LIBOR        8.500%        9/29/25        B–        466,354  
  1,423    

McAfee LLC, Term Loan B

    6.250%        1-Month LIBOR        3.750%        9/30/24        B+        1,417,206  
  319    

Micro Focus International PLC, New Term Loan

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        309,510  
  2,156    

Micro Focus International PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        2,090,200  
  1,249    

Micro Focus International PLC, Term Loan B2

    4.749%        1-Month LIBOR        2.250%        11/19/21        BB–        1,230,852  
  371    

Misys, New Term Loan, Second Lien

    10.053%        3-Month LIBOR        7.250%        6/13/25        BB–        352,025  
  127    

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

    5.749%        1-Month LIBOR        3.250%        11/29/24        B        121,718  
  133    

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

    9.749%        1-Month LIBOR        7.250%        12/01/25        CCC        130,933  
  735    

RP Crown Parent LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        10/15/23        B+        723,975  
  2,731    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        2,680,050  
  1,050    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4, (DD1)

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        1,030,836  
  997    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B5

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        980,219  
  3,480    

TIBCO Software, Inc., Term Loan, First Lien

    6.010%        1-Month LIBOR        3.500%        12/04/20        B+        3,461,154  
  24,417    

Total Software

                                                 24,041,141  
      Specialty Retail – 1.8% (1.1% of Total Investments)         
  622    

Academy, Ltd., Term Loan B

    6.514%        1-Month LIBOR        4.000%        7/01/22        CCC+        432,123  
  1,967    

Petco Animal Supplies, Inc., Term Loan B1

    5.994%        3-Month LIBOR        3.250%        1/26/23        B        1,516,302  
  1,239    

Petsmart Inc., Term Loan B, First Lien

    5.520%        1-Month LIBOR        3.000%        3/11/22        B–        1,041,639  
  157    

Serta Simmons Holdings LLC, Term Loan, Second Lien, (DD1)

    10.514%        1-Month LIBOR        8.000%        11/08/24        CCC        112,645  
  3,985    

Total Specialty Retail

                                                 3,102,709  
      Technology Hardware, Storage & Peripherals – 7.2% (4.4% of Total Investments)         
  2,680    

BMC Software, Inc., Term Loan B

    7.053%        3-Month LIBOR        4.250%        10/02/25        B        2,622,141  
  3,531    

Dell International LLC, Refinancing Term Loan B

    4.500%        1-Month LIBOR        2.000%        9/07/23        BBB–        3,487,475  
  1,781    

Dell International LLC, Replacement Term Loan A2

    4.250%        1-Month LIBOR        1.750%        9/07/21        BBB–        1,762,819  
  4,474    

Western Digital, Term Loan B

    4.260%        1-Month LIBOR        1.750%        4/29/23        BBB–        4,372,919  
  12,466    

Total Technology Hardware, Storage & Peripherals

 

     12,245,354  
      Trading Companies & Distributors – 0.4% (0.3% of Total Investments)         
  750    

Univar, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/24        BB        736,301  
      Transportation Infrastructure – 0.9% (0.5% of Total Investments)         
  500    

Atlantic Aviation FBO Inc., Term Loan

    6.270%        1-Month LIBOR        3.750%        12/06/25        BB        503,125  
  998    

Ceva Group PLC, Term Loan, First Lien

    6.553%        3-Month LIBOR        3.750%        8/04/25        BB–        988,772  
  1,498    

Total Transportation Infrastructure

                                                 1,491,897  

 

68


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Wireless Telecommunication Services – 1.7% (1.0% of Total Investments)         
$ 2,948    

Sprint Corporation, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        2/02/24        BB+      $ 2,884,866  
$ 255,413    

Total Variable Rate Senior Loan Interests (cost $251,209,232)

 

                       241,757,611  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 16.3% (10.0% of Total Investments)

 

  
      Communications Equipment – 3.0% (1.8% of Total Investments)         
$ 85    

Avaya Holdings Corporation, 144A, (5), (7)

          7.000%        4/01/19        N/R      $  
  2,085    

Avaya Holdings Corporation, 144A, (5), (7)

          10.500%        3/01/21        N/R         
  3,509    

Intelsat Jackson Holdings SA

          5.500%        8/01/23        CCC+        3,188,804  
  1,790    

Intelsat Jackson Holdings SA, 144A

                      9.750%        7/15/25        CCC+        1,863,837  
  7,469    

Total Communications Equipment

 

     5,052,641  
      Containers & Packaging – 0.9% (0.6% of Total Investments)         
  1,502    

Reynolds Group Issuer Inc.

                      5.750%        10/15/20        B+        1,507,825  
      Diversified Telecommunication Services – 2.2% (1.4% of Total Investments)         
  582    

CSC Holdings LLC, 144A

          10.125%        1/15/23        B+        626,377  
  3,310    

Intelsat Luxembourg SA

                      7.750%        6/01/21        CC        3,177,600  
  3,892    

Total Diversified Telecommunication Services

 

     3,803,977  
      Health Care Providers & Services – 0.3% (0.2% of Total Investments)         
  350    

Tenet Healthcare Corporation

          4.750%        6/01/20        BB–        352,625  
  230    

Tenet Healthcare Corporation

                      6.000%        10/01/20        BB        237,544  
  580    

Total Health Care Providers & Services

                                                 590,169  
      Hotels, Restaurants & Leisure – 1.3% (0.8% of Total Investments)         
  2,150    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,260,188  
      Media – 3.6% (2.2% of Total Investments)         
  100    

Charter Communications Operating LLC

          3.579%        7/23/20        BBB–        100,258  
  345    

DISH DBS Corporation

          5.125%        5/01/20        BB–        345,862  
  1,000    

DISH DBS Corporation

          5.875%        11/15/24        BB–        828,750  
  2,835    

iHeartCommunications Inc., (5)

          9.000%        12/15/19        CCC        1,899,450  
  6,046    

iHeartCommunications Inc., (5)

          5.340%        2/01/21        CC        731,618  
  795    

iHeartCommunications Inc., (5)

          9.000%        3/01/21        CCC        530,663  
  1,985    

Intelsat Luxembourg SA

                      8.125%        6/01/23        CCC–        1,651,272  
  13,106    

Total Media

                                                 6,087,873  
      Oil, Gas & Consumable Fuels – 1.8% (1.1% of Total Investments)         
  1,760    

California Resources Corporation, 144A

          8.000%        12/15/22        B–        1,412,400  
  400    

Denbury Resources Inc.

          6.375%        8/15/21        CCC+        330,000  
  1,340    

Denbury Resources Inc., 144A

          9.250%        3/31/22        B+        1,316,550  
  115    

EP Energy LLC, 144A

                      9.375%        5/01/24        CCC        61,238  
  3,615    

Total Oil, Gas & Consumable Fuels

                                                 3,120,188  
      Pharmaceuticals – 0.5% (0.3% of Total Investments)         
  500    

Bausch Health Companies Inc., 144A

          6.500%        3/15/22        BB        516,875  
  310    

Concordia International Corporation

                      8.000%        9/06/24        B–        294,500  
  810    

Total Pharmaceuticals

                                                 811,375  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)         
  106    

Advanced Micro Devices Inc.

                      7.500%        8/15/22        B+        115,010  
      Software – 0.4% (0.2% of Total Investments)         
  625    

Infor US Inc., 144A

                      5.750%        8/15/20        B+        634,250  

 

69


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Wireless Telecommunication Services – 2.2% (1.4% of Total Investments)         
$ 2,750    

Sprint Capital Corporation

          7.875%        9/15/23        B+      $ 2,921,875  
  250    

Sprint Capital Corporation

          7.125%        6/15/24        B+        256,875  
  550    

Sprint Communications Inc.

                      7.000%        8/15/20        B+        570,625  
  3,550    

Total Wireless Telecommunication Services

 

     3,749,375  
$ 37,405    

Total Corporate Bonds (cost $29,655,533)

 

     27,732,871  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 1.9% (1.2% of Total Investments)

 

  
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)         
  27,611    

Cengage Learning Holdings II Inc., (8), (9)

                                               $ 106,993  
      Energy Equipment & Services – 0.4% (0.3% of Total Investments)         
  12,611    

C&J Energy Services Inc., (8)

                   202,659  
  28,730    

Transocean Ltd

                   246,216  
  1,318    

Vantage Drilling International, (8), (9)

                                                 305,776  
 

Total Energy Equipment & Services

 

     754,651  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)         
  12,290    

Millennium Health LLC, (7), (8)

                   23,818  
  11,533    

Millennium Health LLC, (7), (8)

                   22,342  
  13,189    

Millennium Health LLC, (8), (9)

                                                 725  
 

Total Health Care Providers & Services

 

     46,885  
      Marine – 0.3% (0.2% of Total Investments)         
  10,185    

HGIM Corporation, (9)

                   387,030  
  2,279    

HGIM Corporation, (8), (9)

                                                 86,602  
 

Total Marine

                                                 473,632  
      Media – 0.2% (0.1% of Total Investments)         
  25,780    

Cumulus Media Inc., (8)

                                                 310,649  
      Pharmaceuticals – 0.1% (0.0% of Total Investments)         
  4,093    

Advanz Pharma Corporation, (8)

                                                 77,439  
      Software – 0.8% (0.5% of Total Investments)         
  84,215    

Avaya Holdings Corporation, (8)

                                                 1,424,076  
      Specialty Retail – 0.0% (0.0% of Total Investments)         
  14,849    

Gymboree Holding Corporation, (8), (9)

                   29,698  
  5,454    

Gymboree Holding Corporation, (8), (9)

                                                 10,908  
 

Total Specialty Retail

                                                 40,606  
 

Total Common Stocks (cost $5,833,795)

                                                 3,234,931  
Shares     Description (1)                                           Value  
 

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

 

  
      Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)         
  7,268    

Fieldwood Energy LLC, (7), (8)

                 $ 228,345  
  1,468    

Fieldwood Energy LLC, (8), (9)

                                                 48,444  
 

Total Common Stock Rights (cost $207,458)

 

     276,789  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)         
  8,503    

Avaya Holdings Corporation, (9)

                                               $ 10,629  
 

Total Warrants (cost $565,168)

                                                 10,629  
 

Total Long-Term Investments (cost $287,471,186)

 

                                273,012,831  

 

70


Shares     Description (1)                   Coupon                      Value  
 

SHORT-TERM INVESTMENTS – 2.2% (1.3% of Total Investments)

 

  
      INVESTMENT COMPANIES – 2.2% (1.3% of Total Investments)         
  3,664,427    

BlackRock Liquidity Funds T-Fund Portfolio (10)

                      2.290% (11)                        $ 3,664,427  
 

Total Short-Term Investments (cost $3,664,427)

 

                       3,664,427  
 

Total Investments (cost $291,135,613) – 163.1%

 

                       276,677,258  
 

Borrowings – (42.4)% (12), (13)

 

                       (72,000,000
 

Term Preferred Shares, net of deferred offering costs – (20.4)% (14)

 

                       (34,661,696
 

Other Assets Less Liabilities – (0.3)% (15)

 

                       (327,237
 

Net Assets Applicable to Common Shares – 100%

 

                     $ 169,688,325  

Investments in Derivatives

Credit Default Swaps – OTC Cleared

 

Referenced Entity   Buy/Sell
Protection (16)
    Notional
Amount
    Fixed Rate
(Annualized)
    Fixed Rate
Payment
Frequency
    Maturity
Date
    Premiums
Paid
(Received)
    Value     Unrealized
Appreciation
(Depreciation)
    Variation
Margin
Receivable/
(Payable)
 

Arconic Inc.

    Buy     $ 2,000,000       1.000     Quarterly       12/20/23     $ 251,209     $ 143,548     $ (107,662   $ (3,703

Ford Motor Co.

    Buy       2,000,000       5.000       Quarterly       12/20/23       (206,846     (225,128     (18,282     (12,552

Total

          $ 4,000,000                             $ 44,363     $ (81,580   $ (125,944   $ (16,255

Total credit default swaps premiums paid

 

          $ 251,209                          

Total credit default swaps premiums received

 

          $ (206,846                        

Total receivable for variation margin on swap contracts

 

                                  $  

Total payable for variation margin on swap contracts

 

                          $ (16,255

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 35,000,000       Pay       1-Month LIBOR       2.500% (17)      Monthly       11/01/20 (18)    $ (52,850   $ (52,850

 

71


JSD    Nuveen Short Duration Credit Opportunities Fund (continued)
   Portfolio of Investments    January 31, 2019
   (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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(3)

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

 

(4)

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

 

(5)

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

 

(6)

Investment, or portion of investment, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

(7)

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)

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

 

(9)

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.

 

(10)

A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http://www.sec.gov.

 

(11)

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

 

(12)

Borrowings as a percentage of Total Investments is 26.0%.

 

(13)

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

 

(14)

Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 12.5%.

 

(15)

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

 

(16)

The Fund entered into the credit default swaps to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning the referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

 

(17)

Effective November 1, 2017, the fixed rate paid by the Fund increased according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(18)

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

 

144A

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

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

72


JQC   

Nuveen Credit Strategies Income Fund

 

Portfolio of Investments    January 31, 2019

     (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
 

LONG-TERM INVESTMENTS – 157.1% (97.5% of Total Investments)

 

  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 121.7% (75.6% of Total Investments) (2)

 

  
      Aerospace & Defense – 1.2% (0.7% of Total Investments)                
$ 2,231    

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

    4.499%        1-Month LIBOR        2.000%        8/21/24        BB+      $ 2,216,425  
  11,910    

Transdigm, Inc., Term Loan E

    4.999%        1-Month LIBOR        2.500%        5/30/25        BB        11,638,690  
  14,141    

Total Aerospace & Defense

                                                 13,855,115  
      Airlines – 3.6% (2.2% of Total Investments)                
  2,939    

American Airlines, Inc., Replacement Term Loan

    4.516%        1-Month LIBOR        2.000%        10/10/21        BB+        2,905,259  
  14,122    

American Airlines, Inc., Term Loan 2025

    4.252%        1-Month LIBOR        1.750%        6/27/25        BB+        13,564,618  
  7,840    

American Airlines, Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/28/23        BB+        7,615,854  
  3,438    

American Airlines, Inc., Term Loan B

    4.509%        1-Month LIBOR        2.000%        12/14/23        BB+        3,340,062  
  14,708    

United Air Lines, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        4/01/24        BBB–        14,511,600  
  43,047    

Total Airlines

                                                 41,937,393  
      Automobiles – 1.2% (0.8% of Total Investments)                
  14,850    

Navistar, Inc., Tranche B, Term Loan

    6.020%        1-Month LIBOR        3.500%        11/06/24        BB–        14,655,168  
      Beverages – 1.2% (0.8% of Total Investments)                
  14,756    

Jacobs Douwe Egberts, Term Loan B

    4.563%        3-Month LIBOR        2.000%        11/01/25        BB        14,620,852  
      Biotechnology – 0.2% (0.2% of Total Investments)                
  2,977    

Grifols, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        1/31/25        BB+        2,944,404  
      Building Products – 1.5% (0.9% of Total Investments)                
  17,766    

Quikrete Holdings, Inc., Term Loan B, (DD1)

    5.249%        1-Month LIBOR        2.750%        11/15/23        BB–        17,262,417  
      Capital Markets – 3.0% (1.8% of Total Investments)                
  14,810    

Capital Automotive LP, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        3/25/24        B+        14,458,766  
  20,825    

RPI Finance Trust, Term Loan B6, (5)

    4.499%        1-Month LIBOR        2.000%        3/27/23        BBB–        20,657,541  
  35,635    

Total Capital Markets

                                                 35,116,307  
      Chemicals – 2.2% (1.4% of Total Investments)                
  13,730    

Axalta Coating Systems, Term Loan, First Lien, (DD1)

    4.553%        3-Month LIBOR        1.750%        6/01/24        BBB–        13,504,808  
  9,113    

Ineos US Finance LLC, Term Loan

    4.499%        1-Month LIBOR        2.000%        4/01/24        BBB-        8,870,901  
  3,929    

Platform Specialty Products Corporation, Tranche B6, Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BB–        3,926,321  
  26,772    

Total Chemicals

                                                 26,302,030  
      Commercial Services & Supplies – 3.8% (2.3% of Total Investments)                
  18,178    

ADS Waste Holdings, Inc., Term Loan B

    4.664%        1-Week LIBOR        2.250%        11/10/23        BB+        18,021,457  
  15,123    

Formula One Group, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/01/24        B+        14,606,343  
  4,331    

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

    5.999%        1-Month LIBOR        3.500%        10/18/19        B–        4,312,145  
  3,541    

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

    8.303%        3-Month LIBOR        5.500%        9/30/22        CCC+        3,117,843  
  4,329    

Trans Union LLC, Term Loan B3

    4.499%        1-Month LIBOR        2.000%        4/10/23        BB+        4,281,522  
  45,502    

Total Commercial Services & Supplies

                                                 44,339,310  
      Communications Equipment – 2.2% (1.4% of Total Investments)                
  5,000    

Mitel US Holdings, Inc., Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        11/30/25        B        4,938,750  
  14,981    

MultiPlan, Inc., Term Loan B

    5.553%        3-Month LIBOR        2.750%        6/07/23        B+        14,536,474  
  7,149    

Plantronics, Term Loan B

    4.999%        1-Month LIBOR        2.500%        7/02/25        BB+        6,975,824  
  27,130    

Total Communications Equipment

                                                 26,451,048  

 

73


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Containers & Packaging – 0.2% (0.1% of Total Investments)                
$ 1,397    

Berry Global, Inc., Term Loan Q

    4.516%        1-Month LIBOR        2.000%        10/01/22        BBB–      $ 1,386,412  
  865    

Kronos Incorporated, Term Loan B, Second Lien

    4.513%        1-Month LIBOR        2.000%        4/03/25        BBB        865,934  
  2,262    

Total Containers & Packaging

                                                 2,252,346  
      Diversified Consumer Services – 2.2% (1.3% of Total Investments)                
  7,478    

Cengage Learning Acquisitions, Inc., Term Loan B

    6.769%        1-Month LIBOR        4.250%        6/07/23        B        6,371,579  
  19,069    

Laureate Education, Inc., Term Loan B

    6.549%        1-Month LIBOR        3.500%        4/26/24        B+        19,013,517  
  26,547    

Total Diversified Consumer Services

                                                 25,385,096  
      Diversified Financial Services – 3.0% (1.9% of Total Investments)                
  14,681    

Hilton Hotels, Term Loan B

    4.260%        1-Month LIBOR        1.750%        10/25/23        BBB–        14,553,023  
  1,262    

Lions Gate Entertainment Corp., Term Loan B

    4.749%        1-Month LIBOR        2.250%        3/24/25        BB        1,243,931  
  11,668    

Travelport LLC, Term Loan B, (DD1)

    5.116%        3-Month LIBOR        2.500%        3/17/25        B+        11,641,534  
  12,261    

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

    8.499%        N/A        N/A        6/30/22        CCC        8,337,510  
  39,872    

Total Diversified Financial Services

                                                 35,775,998  
      Diversified Telecommunication Services – 4.6% (2.8% of Total Investments)                
  11,544    

CenturyLink, Inc., Initial Term Loan A

    5.249%        1-Month LIBOR        2.750%        11/01/22        BBB–        11,342,278  
  1,950    

CenturyLink, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        1/31/25        BBB–        1,868,414  
  766    

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

    7.002%        1-Month LIBOR        4.500%        1/02/24        B+        779,146  
  1,226    

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

    6.625%        N/A        N/A        1/02/24        B+        1,231,558  
  11,144    

Level 3 Financing, Inc., Tranche B, Term Loan, (5)

    4.756%        1-Month LIBOR        2.250%        2/22/24        BBB–        10,967,985  
  8,977    

Numericable Group S.A., Term Loan B13

    6.509%        1-Month LIBOR        4.000%        8/14/26        B        8,494,959  
  20,000    

Ziggo B.V., Term Loan E, (5)

    5.009%        1-Month LIBOR        2.500%        4/15/25        BB        19,383,600  
  55,607    

Total Diversified Telecommunication Services

                                                 54,067,940  
      Electric Utilities – 2.1% (1.3% of Total Investments)                
  15,318    

Texas Competitive Electric Holdings LLC, Exit Term Loan B

    4.499%        1-Month LIBOR        2.000%        8/01/23        BBB–        15,107,427  
  9,477    

Vistra Operations Co., Term Loan B3

    4.505%        1-Month LIBOR        2.000%        12/31/25        BBB–        9,317,484  
  24,795    

Total Electric Utilities

                                                 24,424,911  
      Energy Equipment & Services – 0.1% (0.0% of Total Investments)                
  892    

Seadrill Partners LLC, Initial Term Loan

    8.803%        3-Month LIBOR        6.000%        2/21/21        CCC+        721,253  
      Equity Real Estate Investment Trusts – 1.3% (0.8% of Total Investments)                
  8,082    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    5.499%        1-Month LIBOR        3.000%        10/24/22        B–        7,600,257  
  7,342    

Realogy Group LLC, Term Loan B

    4.758%        1-Month LIBOR        2.250%        2/08/25        BB+        7,174,270  
  15,424    

Total Equity Real Estate Investment Trusts

                                                 14,774,527  
      Food & Staples Retailing – 3.5% (2.2% of Total Investments)                
  5,072    

Albertson’s LLC, Term Loan B6

    5.691%        3-Month LIBOR        3.000%        6/22/23        BB        5,003,437  
  19,509    

Albertson’s LLC, Term Loan B7

    5.499%        1-Month LIBOR        3.000%        11/17/25        BB        19,136,820  
  17,863    

US Foods, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        6/27/23        BBB–        17,604,749  
  42,444    

Total Food & Staples Retailing

                                                 41,745,006  
      Food Products – 1.7% (1.1% of Total Investments)                
  5,000    

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

    TBD        TBD        TBD        TBD        B+        4,811,250  
  15,483    

JBS USA LLC, Term Loan B, (DD1)

    5.301%        3-Month LIBOR        2.500%        10/30/22        BB+        15,352,899  
  20,483    

Total Food Products

                                                 20,164,149  
      Health Care Equipment & Supplies – 3.6% (2.2% of Total Investments)                
  16,834    

Acelity, Term Loan B, (DD1)

    6.053%        3-Month LIBOR        3.250%        2/02/24        B+        16,757,164  
  5,878    

DJO Finance LLC, Term Loan B, First Lien

    5.827%        1-Month LIBOR        3.250%        6/08/20        B+        5,874,557  
  12,298    

Onex Carestream Finance LP, Term Loan, First Lien

    8.249%        1-Month LIBOR        5.750%        2/28/21        B+        12,021,735  

 

74


Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Equipment & Supplies (continued)                
$ 7,954    

Onex Carestream Finance LP, Term Loan, Second Lien

    11.999%        1-Month LIBOR        9.500%        6/07/21        B–      $ 7,834,388  
  42,964    

Total Health Care Equipment & Supplies

                                                 42,487,844  
      Health Care Providers & Services – 8.6% (5.4% of Total Investments)                
  3,192    

Acadia Healthcare, Inc., Term Loan B3

    4.999%        1-Month LIBOR        2.500%        2/11/22        BB        3,150,474  
  9,967    

Ardent Health, Term Loan, First Lien

    6.999%        1-Month LIBOR        4.500%        6/30/25        B+        9,927,985  
  5,934    

Community Health Systems, Inc., Term Loan H

    5.957%        3-Month LIBOR        3.250%        1/27/21        BB        5,848,922  
  14,364    

ConvaTec Healthcare, Term Loan B

    5.053%        3-Month LIBOR        2.250%        10/25/23        BB        14,270,760  
  4,987    

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

    5.249%        1-Month LIBOR        2.750%        6/24/21        BBB–        4,978,019  
  7,000    

Envision Healthcare Corporation, Initial Term Loan

    6.249%        1-Month LIBOR        3.750%        10/10/25        B+        6,613,250  
  6,910    

HCA, Inc., Term Loan B11

    4.249%        1-Month LIBOR        1.750%        3/17/23        BBB–        6,886,990  
  12,674    

Kindred at Home Hospice, Term Loan B

    6.250%        1-Month LIBOR        3.750%        7/02/25        B+        12,610,747  
  4,500    

Lifepoint Health, Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        B+        4,401,000  
  9,201    

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

    8.999%        1-Month LIBOR        6.500%        12/21/20        CCC+        5,185,453  
  9,314    

Pharmaceutical Product Development, Inc., Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/18/22        BB–        9,145,555  
  7,940    

PharMerica, Term Loan, First Lien

    6.008%        1-Month LIBOR        3.500%        12/06/24        B+        7,928,844  
  161    

Quorum Health Corp., Term Loan B

    9.249%        1-Month LIBOR        6.750%        4/29/22        B+        161,123  
  10,949    

Select Medical Corporation, Term Loan B

    5.012%        1-Month LIBOR        2.500%        3/06/25        BB        10,853,661  
  107,093    

Total Health Care Providers & Services

                                                 101,962,783  
      Health Care Technology – 0.4% (0.3% of Total Investments)                
  5,273    

Emdeon, Inc., Term Loan, (5)

    5.249%        1-Month LIBOR        2.750%        3/01/24        B+        5,168,410  
      Hotels, Restaurants & Leisure – 12.6% (7.8% of Total Investments)                
  2,805    

Aramark Corporation, Term Loan

    4.249%        1-Month LIBOR        1.750%        3/11/25        BBB–        2,790,975  
  17,462    

Burger King Corporation, Term Loan B3

    4.749%        1-Month LIBOR        2.250%        2/16/24        BB–        17,205,207  
  12,622    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        10/06/24        BB        12,401,606  
  18,315    

Caesars Resort Collection, Term Loan, First Lien

    5.249%        1-Month LIBOR        2.750%        12/23/24        BB        18,093,022  
  1,084    

CCM Merger, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        8/09/21        BB        1,075,996  
  5,459    

Las Vegas Sands Corporation, Term Loan B

    4.249%        1-Month LIBOR        1.750%        3/27/25        BBB        5,369,199  
  21,996    

Life Time Fitness, Inc., Term Loan B

    5.457%        3-Month LIBOR        2.750%        6/10/22        BB–        21,724,906  
  12,000    

Marriott Ownership Resorts Inc., Term Loan, 1L

    4.749%        1-Month LIBOR        2.250%        8/29/25        BBB–        11,932,560  
  4,668    

MGM Growth Properties, Term Loan B

    4.414%        1-Month LIBOR        2.000%        3/21/25        BBB–        4,601,271  
  17,933    

Scientific Games Corp., Initial Term Loan B5

    5.249%        1-Month LIBOR        2.750%        8/14/24        BB–        17,411,458  
  8,965    

Stars Group Holdings, Term Loan B

    6.303%        3-Month LIBOR        3.500%        7/10/25        B+        8,896,214  
  15,496    

Station Casino LLC, Term Loan B

    5.000%        1-Month LIBOR        2.500%        6/08/23        BB–        15,343,171  
  2,494    

Wyndham International, Inc., Term Loan B

    4.249%        1-Month LIBOR        1.750%        5/30/25        BBB–        2,457,229  
  9,729    

YUM Brands, Term Loan B

    4.263%        1-Month LIBOR        1.750%        4/03/25        BBB–        9,661,790  
  151,028    

Total Hotels, Restaurants & Leisure

                                                 148,964,604  
      Household Durables – 1.7% (1.0% of Total Investments)  
  22,848    

Serta Simmons Holdings LLC, Term Loan, First Lien

    6.013%        1-Month LIBOR        3.500%        11/08/23        B–        19,592,147  
      Household Products – 2.4% (1.5% of Total Investments)  
  9,750    

Energizer Holdings, Term Loan B

    4.758%        1-Month LIBOR        2.250%        12/17/25        BB+        9,695,156  
  19,265    

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

    5.249%        1-Month LIBOR        2.750%        2/05/23        B+        19,028,656  
  29,015    

Total Household Products

                                                 28,723,812  
      Insurance – 0.8% (0.5% of Total Investments)                
  9,785    

Hub International Holdings, Inc., Term Loan B

    5.514%        3-Month LIBOR        2.750%        4/25/25        B        9,454,695  
      Interactive Media & Services – 2.6% (1.6% of Total Investments)  
  18,021    

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

    5.750%        1-Month LIBOR        3.250%        10/19/23        B        17,750,409  
  10,023    

Dynatrace, Term Loan, First Lien

    5.749%        1-Month LIBOR        3.250%        8/22/25        B+        9,931,792  

 

75


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Interactive Media & Services (continued)  
$ 306    

Dynatrace, Term Loan, Second Lien

    9.499%        1-Month LIBOR        7.000%        8/21/26        CCC+      $ 305,542  
  4,000    

SkillSoft Corporation, Term Loan, Second Lien

    10.749%        1-Month LIBOR        8.250%        4/28/22        CCC–        2,120,000  
  32,350    

Total Interactive Media & Services

                                                 30,107,743  
      IT Services – 6.1% (3.8% of Total Investments)                
  2,000    

First Data Corporation, Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BB        1,989,060  
  17,324    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        4/26/24        BB+        17,278,701  
  7,653    

First Data Corporation, Term Loan, First Lien

    4.519%        1-Month LIBOR        2.000%        7/10/22        BB+        7,632,221  
  7,304    

GTT Communications, Inc., Term Loan, First Lien

    5.250%        1-Month LIBOR        2.750%        6/02/25        BB–        6,878,705  
  2,738    

Neustar, Inc., Term Loan B3

    4.999%        1-Month LIBOR        2.500%        1/08/20        BB–        2,726,687  
  18,670    

Sabre, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        2/22/24        BB        18,452,580  
  5,167    

Syniverse Holdings, Inc., Tranche Term Loan C

    7.509%        1-Month LIBOR        5.000%        3/09/23        B        4,701,902  
  12,810    

Tempo Acquisition LLC, Term Loan B, (5)

    5.499%        1-Month LIBOR        3.000%        5/01/24        B+        12,604,082  
  73,666    

Total IT Services

                                                 72,263,938  
      Machinery – 1.1% (0.7% of Total Investments)                
  12,876    

Gardner Denver, Inc., Term Loan B

    5.249%        1-Month LIBOR        2.750%        7/30/24        BB+        12,826,018  
      Marine – 0.2% (0.1% of Total Investments)                
  2,669    

Harvey Gulf International Marine, Inc., Exit Term Loan

    8.508%        6-Month LIBOR        6.000%        7/02/23        B        2,658,891  
      Media – 11.8% (7.3% of Total Investments)  
  7,067    

Acquisitions Cogeco Cable II L.P., Term Loan, First Lien

    4.874%        1-Month LIBOR        2.375%        1/03/25        BB–        6,940,999  
  3,495    

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

    5.749%        1-Month LIBOR        3.250%        7/23/21        B+        3,089,469  
  145    

Catalina Marketing Corporation, Delayed Draw Term Loan, First Lien, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        145,494  
  544    

Catalina Marketing Corporation, DIP Term Loan, First Lien

    8.008%        3-Month LIBOR        5.500%        6/14/19        N/R        469,407  
  218    

Catalina Marketing Corporation, Term Loan A

    12.514%        1-Month LIBOR        10.000%        6/14/19        N/R        218,240  
  236    

Catalina Marketing Corporation, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        236,427  
  3,294    

Catalina Marketing Corporation, Term Loan, First Lien, (6)

    0.000%        N/A        N/A        4/09/21        D        296,420  
  10,932    

Charter Communications Operating Holdings LLC, Term Loan B

    4.500%        1-Month LIBOR        2.000%        4/30/25        BBB–        10,804,932  
  10,887    

Cineworld Group PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        2/28/25        BB–        10,653,419  
  1,290    

Clear Channel Communications, Inc., Tranche D, Term Loan, (6)

    0.000%        N/A        N/A        1/30/19        CCC        875,312  
  1,358    

Clear Channel Communications, Inc., Term Loan E, (6)

    0.000%        N/A        N/A        7/30/19        CCC        921,353  
  4,218    

CSC Holdings LLC, Term Loan B

    5.009%        1-Month LIBOR        2.500%        1/25/26        BB+        4,133,762  
  18,330    

Cumulus Media, Inc., Exit Term Loan

    7.000%        1-Month LIBOR        4.500%        5/13/22        B        17,743,471  
  5,000    

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

    6.252%        1-Month LIBOR        3.750%        11/30/23        B+        4,970,550  
  16,880    

Meredith Corporation, Tranche Term Loan B1, (DD1)

    5.249%        1-Month LIBOR        2.750%        1/31/25        BB        16,806,105  
  2,502    

Nexstar Broadcasting, Inc., Term Loan B3

    4.752%        1-Month LIBOR        2.250%        1/17/24        BB+        2,428,869  
  433    

Nexstar Broadcasting, Inc., Term Loan B3

    4.756%        1-Month LIBOR        2.250%        1/17/24        BB+        419,903  
  4,962    

Sinclair Television Group, Term Loan B2

    4.750%        1-Month LIBOR        2.250%        1/31/24        BB+        4,935,131  
  4,332    

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

    5.999%        1-Month LIBOR        3.500%        8/15/22        B        4,319,926  
  25,238    

Tribune Media Company, Term Loan C

    5.499%        1-Month LIBOR        3.000%        1/27/24        BB+        25,159,170  
  12,000    

Virgin Media Investment Holdings Limited, Term Loan K

    5.009%        1-Month LIBOR        2.500%        1/15/26        BB+        11,806,740  
  12,189    

WideOpenWest Finance LLC, Term Loan B

    5.753%        1-Month LIBOR        3.250%        8/18/23        B        11,677,546  
  145,550    

Total Media

                                                 139,052,645  
      Multiline Retail – 0.8% (0.5% of Total Investments)                
  120    

Belk, Inc., Term Loan B, First Lien, (DD1)

    7.365%        2-Month LIBOR        4.750%        12/12/22        B        95,605  
  9,925    

EG America LLC, Term Loan, First Lien

    6.813%        3-Month LIBOR        4.000%        2/07/25        B        9,612,377  
  10,045    

Total Multiline Retail

                                                 9,707,982  

 

76


Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels – 1.2% (0.8% of Total Investments)                
$ 4,000    

California Resources Corporation, Term Loan B

    7.252%        1-Month LIBOR        4.750%        12/31/22        B      $ 3,931,660  
  4,969    

Fieldwood Energy LLC, Exit Term Loan

    7.749%        1-Month LIBOR        5.250%        4/11/22        BB–        4,574,617  
  6,895    

Fieldwood Energy LLC, Exit Term Loan, second Lien

    9.749%        1-Month LIBOR        7.250%        4/11/23        B+        5,960,340  
  15,864    

Total Oil, Gas & Consumable Fuels

                                                 14,466,617  
      Personal Products – 2.2% (1.4% of Total Investments)                
  5,850    

Coty, Inc., Term Loan A

    4.271%        1-Month LIBOR        1.750%        4/05/23        BB        5,689,125  
  4,975    

Coty, Inc., Term Loan B

    4.771%        1-Month LIBOR        2.250%        4/07/25        BB        4,735,578  
  21,257    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    6.207%        3-Month LIBOR        3.500%        11/16/20        B–        15,245,912  
  32,082    

Total Personal Products

                                                 25,670,615  
      Pharmaceuticals – 1.2% (0.7% of Total Investments)                
  14,862    

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

    5.999%        1-Month LIBOR        3.500%        9/26/24        B–        13,552,588  
  659    

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

    5.513%        1-Month LIBOR        3.000%        6/02/25        BB        652,654  
  15,521    

Total Pharmaceuticals

                                                 14,205,242  
      Professional Services – 2.3% (1.4% of Total Investments)                
  941    

Ceridian HCM Holding, Inc., Term Loan B

    5.749%        1-Month LIBOR        3.250%        4/30/25        B        932,427  
  19,148    

On Assignment, Inc., Term Loan B

    4.499%        1-Month LIBOR        2.000%        4/02/25        BB        18,941,999  
  8,930    

Skillsoft Corporation, Initial Term Loan, First Lien

    7.249%        1-Month LIBOR        4.750%        4/28/21        B–        7,335,365  
  29,019    

Total Professional Services

                                                 27,209,791  
      Real Estate Management & Development – 1.2% (0.7% of Total Investments)                
  14,214    

GGP, Term Loan B

    4.999%        1-Month LIBOR        2.500%        8/27/25        BB+        13,635,637  
      Road & Rail – 1.1% (0.7% of Total Investments)  
  12,818    

Avolon LLC, Term Loan B

    4.503%        1-Month LIBOR        2.000%        1/15/25        BBB–        12,708,381  
      Semiconductors & Semiconductor Equipment – 2.6% (1.6% of Total Investments)  
  6,500    

Cabot Microelectronics, Term Loan B

    4.750%        1-Month LIBOR        2.250%        11/14/25        BB+        6,459,375  
  5,811    

Lumileds, Term Loan B

    6.205%        3-Month LIBOR        3.500%        6/30/24        B+        4,413,189  
  14,017    

Microchip Technology., Inc., Term Loan B

    4.500%        1-Month LIBOR        2.000%        5/29/25        BBB–        13,824,431  
  6,302    

ON Semiconductor Corporation, Term Loan B3

    4.249%        1-Month LIBOR        1.750%        3/31/23        BBB–        6,236,407  
  32,630    

Total Semiconductors & Semiconductor Equipment

 

                       30,933,402  
      Software – 12.2% (7.6% of Total Investments)                
  6,030    

Blackboard, Inc., Term Loan B4

    7.780%        3-Month LIBOR        5.000%        6/30/21        B–        5,675,436  
  18,660    

Ellucian, Term Loan B, First Lien

    6.053%        3-Month LIBOR        3.250%        9/30/22        B        18,303,829  
  10,321    

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

    5.749%        1-Month LIBOR        3.250%        12/01/23        B        10,108,018  
  18,158    

Infor (US), Inc., Term Loan B, (5)

    5.249%        1-Month LIBOR        2.750%        2/01/22        B+        18,080,604  
  5,379    

Informatica, Term Loan B

    5.749%        1-Month LIBOR        3.250%        8/05/22        B+        5,374,208  
  4,975    

IQVIA Inc., Term Loan, 1L

    4.249%        1-Month LIBOR        1.750%        6/11/25        BBB–        4,906,594  
  2,919    

Kronos Incorporated, Term Loan B

    5.541%        3-Month LIBOR        3.000%        11/20/23        B        2,867,019  
  15,169    

Kronos Incorporated, Term Loan B, Second Lien

    10.791%        3-Month LIBOR        8.250%        11/01/24        CCC        15,450,309  
  1,915    

Micro Focus International PLC, New Term Loan

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        1,857,062  
  12,935    

Micro Focus International PLC, Term Loan B

    4.999%        1-Month LIBOR        2.500%        6/21/24        BB–        12,541,201  
  10,209    

Micro Focus International PLC, Term Loan B2

    4.749%        1-Month LIBOR        2.250%        11/19/21        BB–        10,062,645  
  1,213    

Misys, New Term Loan, Second Lien

    10.053%        3-Month LIBOR        7.250%        6/13/25        BB–        1,149,734  
  3,940    

RP Crown Parent LLC, Term Loan B

    5.249%        1-Month LIBOR        2.750%        10/15/23        B+        3,880,603  
  11,239    

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

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        11,028,677  
  4,323    

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

    4.749%        1-Month LIBOR        2.250%        4/16/25        BB        4,241,993  
  18,653    

TIBCO Software, Inc., Term Loan, First Lien

    6.010%        1-Month LIBOR        3.500%        12/04/20        B+        18,550,225  
  146,038    

Total Software

                                                 144,078,157  

 

77


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)     

Reference

Rate (2)

     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Specialty Retail – 0.9% (0.6% of Total Investments)                
$ 703    

Academy, Ltd., Term Loan B

    6.514%        1-Month LIBOR        4.000%        7/01/22        CCC+      $ 488,334  
  3,661    

Petco Animal Supplies, Inc., Term Loan B1

    5.994%        3-Month LIBOR        3.250%        1/26/23        B        2,822,659  
  8,661    

Petsmart Inc., Term Loan B, First Lien

    5.520%        1-Month LIBOR        3.000%        3/11/22        B–        7,284,455  
  313    

Serta Simmons Holdings LLC, Term Loan, Second Lien

    10.514%        1-Month LIBOR        8.000%        11/08/24        CCC        225,290  
  13,338    

Total Specialty Retail

                                                 10,820,738  
      Technology Hardware, Storage & Peripherals – 2.3% (1.4% of Total Investments)                
  5,000    

BMC Software, Inc., Term Loan B

    7.053%        3-Month LIBOR        4.250%        10/02/25        B        4,891,975  
  14,868    

Dell International LLC, Refinancing Term Loan B

    4.500%        1-Month LIBOR        2.000%        9/07/23        BBB–        14,686,437  
  7,148    

Western Digital, Term Loan B

    4.260%        1-Month LIBOR        1.750%        4/29/23        BBB–        6,987,095  
  27,016    

Total Technology Hardware, Storage & Peripherals

 

                       26,565,507  
      Trading Companies & Distributors – 2.5% (1.6% of Total Investments)                
  10,890    

HD Supply Waterworks, Ltd., Term Loan B

    5.721%        3-Month LIBOR        3.000%        8/01/24        B+        10,794,713  
  19,176    

Univar, Inc., Term Loan B

    4.749%        1-Month LIBOR        2.250%        7/01/24        BB        18,821,818  
  30,066    

Total Trading Companies & Distributors

                                                 29,616,531  
      Transportation Infrastructure – 0.1% (0.1% of Total Investments)                
  524    

Standard Aero, Canadien Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        N/R        523,070  
  976    

Standard Aero, USD Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        972,910  
  1,500    

Total Transportation Infrastructure

                                                 1,495,980  
      Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)                
  4,913    

Sprint Corporation, Term Loan, First Lien

    5.000%        1-Month LIBOR        2.500%        2/02/24        BB+        4,808,109  
$ 1,491,083    

Total Variable Rate Senior Loan Interests (cost $1,487,300,315)

 

              1,435,981,489  
Principal
Amount (000)
    Description (1)   Coupon                      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 29.4% (18.1% of Total Investments)

 

      Airlines – 0.4% (0.3% of Total Investments)  
$ 5,000    

American Airlines Group Inc., 144A, (5)

    4.625%                          3/01/20        BB–      $ 5,000,000  
      Banks – 0.3% (0.2% of Total Investments)  
  3,000    

JPMorgan Chase & Company, (3-Month LIBOR reference rate + 0.680% spread), (15)

    3.418%                          6/01/21        AA–        3,007,404  
      Communications Equipment – 1.0% (0.6% of Total Investments)  
  19,375    

Avaya Holdings Corporation, 144A, (6), (7)

    7.000%              4/01/19        N/R         
  9,250    

Avaya Holdings Corporation, 144A, (6), (7)

    10.500%              3/01/21        N/R         
  8,510    

CommScope Technologies LLC, 144A, (5)

    6.000%              6/15/25        BB–        8,041,950  
  3,612    

Intelsat Jackson Holdings SA, (5)

    5.500%                          8/01/23        CCC+        3,282,405  
  40,747    

Total Communications Equipment

                                                 11,324,355  
      Consumer Finance – 1.9% (1.1% of Total Investments)  
  5,000    

DAE Funding LLC, 144A, (5)

    5.250%              11/15/21        BB+        5,037,500  
  10,000    

Refinitiv US Holdings Inc., 144A, (5)

    6.250%              5/15/26        BB+        9,825,000  
  7,000    

Verscend Escrow Corporation, 144A, (5)

    9.750%                          8/15/26        CCC+        7,026,250  
  22,000    

Total Consumer Finance

                                                 21,888,750  
      Diversified Financial Services – 0.3% (0.2% of Total Investments)  
  3,000    

Park Aerospace Holdings Ltd, 144A, (5)

    5.500%                          2/15/24        BB        3,048,750  
      Diversified Telecommunication Services – 1.0% (0.6% of Total Investments)  
  3,000    

CenturyLink Inc.

    6.450%              6/15/21        BB        3,053,400  
  4,000    

CenturyLink Inc.

    5.800%              3/15/22        BB        4,008,520  
  2,000    

CommScope Inc., 144A

    5.000%              6/15/21        BB–        1,997,500  

 

78


Principal
Amount (000)
    Description (1)   Coupon                      Maturity      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)  
$ 3,413    

Intelsat Luxembourg SA

    7.750%                          6/01/21        CC      $ 3,276,480  
  12,413    

Total Diversified Telecommunication Services

                                                 12,335,900  
      Food Products – 0.7% (0.4% of Total Investments)  
  3,000    

B&G Foods Inc., (5)

    5.250%              4/01/25        BB–        2,941,500  
  5,000    

ESAL GmbH, 144A, (5)

    6.250%                          2/05/23        BB–        5,025,000  
  8,000    

Total Food Products

                                                 7,966,500  
      Health Care Equipment & Supplies – 2.0% (1.2% of Total Investments)  
  17,500    

DJO Finance LLC, 144A, (5)

    8.125%              6/15/21        CCC        18,186,000  
  4,965    

Kinetic Concepts Inc. / KCI USA Inc., 144A, (5)

    7.875%                          2/15/21        B+        5,064,300  
  22,465    

Total Health Care Equipment & Supplies

                                                 23,250,300  
      Health Care Providers & Services – 7.7% (4.8% of Total Investments)  
  17,000    

Centene Corporation

    4.750%              1/15/25        BB+        17,233,750  
  4,000    

Centene Corporation, 144A, (5)

    5.375%              6/01/26        BB+        4,146,200  
  4,000    

HCA Inc., (5)

    6.500%              2/15/20        BBB–        4,110,000  
  4,000    

HCA Inc., (5)

    5.250%              6/15/26        BBB–        4,215,000  
  16,000    

Molina Healthcare Inc., (5)

    5.375%              11/15/22        BB–        16,300,000  
  5,000    

Molina Healthcare Inc., 144A, (5)

    4.875%              6/15/25        BB–        4,887,500  
  12,650    

Polaris Intermediate Corporation, 144A, (5)

    8.500%              12/01/22        B–        12,144,000  
  1,200    

Select Medical Corporation, (5)

    6.375%              6/01/21        B–        1,206,000  
  1,500    

Tenet Healthcare Corporation

    4.750%              6/01/20        BB–        1,511,250  
  9,500    

Tenet Healthcare Corporation, (5)

    6.000%              10/01/20        BB        9,811,600  
  5,500    

Tenet Healthcare Corporation

    5.125%              5/01/25        BB–        5,372,895  
  8,000    

WellCare Health Plans Inc., (5)

    5.250%              4/01/25        BB        8,160,000  
  1,500    

WellCare Health Plans Inc., 144A

    5.375%                          8/15/26        BB        1,533,750  
  89,850    

Total Health Care Providers & Services

                                                 90,631,945  
      Health Care Technology – 1.2% (0.7% of Total Investments)  
  14,840    

CHANGE HEALTH / FIN INC., 144A, (5)

    5.750%                          3/01/25        B–        14,209,300  
      Hotels, Restaurants & Leisure – 0.9% (0.5% of Total Investments)  
  4,000    

International Game Technology PLC, 144A

    6.250%              2/15/22        BB+        4,140,000  
  3,250    

Scientific Games International Inc.

    6.250%              9/01/20        CCC+        3,217,500  
  3,080    

Scientific Games International Inc., (5)

    10.000%                          12/01/22        B–        3,237,850  
  10,330    

Total Hotels, Restaurants & Leisure

                                                 10,595,350  
      Media – 3.4% (2.1% of Total Investments)  
  3,000    

CCO Holdings LLC

    5.250%              9/30/22        BB+        3,032,775  
  4,000    

CCO Holdings LLC, 144A, (5)

    5.125%              5/01/23        BB+        4,053,520  
  2,860    

CSC Holdings LLC, 144A

    5.375%              7/15/23        BB        2,888,600  
  5,000    

CSC Holdings LLC, 144A, (5)

    5.500%              4/15/27        BB        4,887,400  
  10,609    

iHeartCommunications Inc., (6)

    9.000%              12/15/19        CCC        7,108,030  
  42,258    

iHeartCommunications Inc., (6)

    5.340%              2/01/21        CC        5,113,238  
  240    

iHeartCommunications Inc., (6)

    9.000%              3/01/21        CCC        160,200  
  2,000    

Nielsen Company Luxembourg SARL, 144A

    5.500%              10/01/21        BB        2,015,600  
  12,000    

Univision Communications Inc., 144A, (5)

    5.125%                          5/15/23        B        11,220,000  
  81,967    

Total Media

                                                 40,479,363  
      Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)  
  11,000    

California Resources Corporation, 144A

    8.000%                          12/15/22        B–        8,827,500  
      Pharmaceuticals – 2.3% (1.4% of Total Investments)  
  9,500    

Bausch Health Companies Inc., 144A, (5)

    6.500%              3/15/22        BB        9,820,625  
  2,000    

Bausch Health Companies Inc., 144A

    7.000%              3/15/24        BB        2,098,750  
  6,000    

Bausch Health Companies Inc., 144A, (5)

    5.500%              11/01/25        BB        5,984,160  
  9,400    

Teva Pharmaceutical Finance Netherlands III BV

    2.200%                          7/21/21        BBB        8,885,202  
  26,900    

Total Pharmaceuticals

                                                 26,788,737  

 

79


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon                      Maturity      Ratings (4)      Value  
      Real Estate Management & Development – 0.5% (0.3% of Total Investments)  
$ 6,000    

Realogy Group LLC, 144A, (5)

    5.250%                          12/01/21        B+      $ 5,997,720  
      Specialty Retail – 0.9% (0.6% of Total Investments)  
  5,825    

PetSmart Inc., 144A

    5.875%              6/01/25        B–        4,574,373  
  6,428    

WEX Inc., 144A, (5)

    4.750%                          2/01/23        BB–        6,347,650  
  12,253    

Total Specialty Retail

                                                 10,922,023  
      Technology Hardware, Storage & Peripherals – 1.1% (0.7% of Total Investments)  
  5,000    

Dell International LLC, 144A, (5)

    5.875%              6/15/21        BB+        5,081,111  
  5,000    

Dell International LLC, 144A, (5)

    7.125%              6/15/24        BB+        5,273,008  
  3,000    

Western Digital Corporation

    4.750%                          2/15/26        BBB–        2,790,000  
  13,000    

Total Technology Hardware, Storage & Peripherals

 

                       13,144,119  
      Wireless Telecommunication Services – 3.1% (1.9% of Total Investments)  
  1,000    

Hughes Satellite Systems Corporation, (5)

    6.625%              8/01/26        BB–        962,500  
  6,000    

Hughes Satellite Systems Corporation, (5)

    5.250%              8/01/26        BBB–        5,745,000  
  6,000    

Intelsat Jackson Holdings SA, 144A

    8.500%              10/15/24        CCC+        6,060,000  
  8,750    

Sprint Capital Corporation, (5)

    7.875%              9/15/23        B+        9,296,875  
  2,500    

Sprint Corporation, (5)

    7.250%              9/15/21        B+        2,625,275  
  12,000    

T-Mobile USA Inc., (5)

    6.375%                          3/01/25        BB+        12,450,000  
  36,250    

Total Wireless Telecommunication Services

                                                 37,139,650  
$ 419,015    

Total Corporate Bonds (cost $380,305,274)

                                                 346,557,666  
Shares     Description (1), (8)                                           Value  
 

EXCHANGE-TRADED FUNDS – 3.9% (2.4% of Total Investments)

 

  2,043,313    

Invesco Senior Loan ETF

                                               $ 45,851,944  
 

Total Exchange-Traded Funds (cost $47,314,519)

                                                 45,851,944  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 1.1% (0.7% of Total Investments)

 

      Diversified Consumer Services – 0.1% (0.1% of Total Investments)  
  291,285    

Cengage Learning Holdings II Inc., (9), (10)

                                               $ 1,128,729  
      Energy Equipment & Services – 0.2% (0.1% of Total Investments)  
  10,935    

Vantage Drilling International, (9), (10)

                                                 2,536,920  
      Health Care Providers & Services – 0.1% (0.0% of Total Investments)  
  211,860    

Millennium Health LLC, (7), (9)

                   410,591  
  198,883    

Millennium Health LLC, (7), (9)

                   385,277  
  227,437    

Millennium Health LLC, (9), (10)

                                                 12,509  
 

Total Health Care Providers & Services

                                                 808,377  
      Marine – 0.1% (0.1% of Total Investments)  
  28,051    

HGIM Corporation, (10)

                   1,065,938  
  6,278    

HGIM Corporation, (9), (10)

                                                 238,564  
 

Total Marine

                                                 1,304,502  
      Media – 0.3% (0.2% of Total Investments)  
  51,719    

Affinion Group Holdings Inc., (9), (10)

                   297,384  
  241,742    

Cumulus Media Inc., (9)

                   2,912,991  
  17,987    

Tribune Media Company, (10)

                                                 11,692  
 

Total Media

                                                 3,222,067  
      Pharmaceuticals – 0.2% (0.1% of Total Investments)  
  110,097    

Advanz Pharma Corporation, (9)

                                                 2,083,035  

 

80


Shares     Description (1)                                           Value  
      Software – 0.1% (0.1% of Total Investments)  
  81,218    

Avaya Holdings Corporation, (9)

                                               $ 1,373,396  
 

Total Common Stocks (cost $31,563,302)

                                                 12,457,026  
Principal
Amount (000)
    Description (1)   Coupon                      Maturity      Ratings (4)      Value  
 

CONVERTIBLE BONDS – 0.9% (0.6% of Total Investments)

 

      Biotechnology – 0.4% (0.2% of Total Investments)  
$ 3,000    

Acorda Therapeutics Inc.

    1.750%              6/15/21        N/R      $ 2,653,440  
  2,000    

Clovis Oncology Inc.

    2.500%                          9/15/21        N/R        1,826,230  
  5,000    

Total Biotechnology

                                                 4,479,670  
      Pharmaceuticals – 0.3% (0.2% of Total Investments)  
  3,000    

Horizon Pharma Investment Ltd

    2.500%                          3/15/22        CCC+        3,129,606  
      Technology Hardware, Storage & Peripherals – 0.2% (0.2% of Total Investments)  
  3,500    

Western Digital Corporation, 144A

    1.500%                          2/01/24        BBB–        3,005,814  
$ 11,500    

Total Convertible Bonds (cost $10,536,086)

                                                 10,615,090  
Shares     Description (1)                                           Value  
 

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

 

      Oil, Gas & Consumable Fuels – 0.1% (0.1% of Total Investments)  
  45,924    

Fieldwood Energy LLC, (7), (9)

                 $ 1,442,831  
  9,278    

Fieldwood Energy LLC, (9), (10)

                                                 306,174  
 

Total Common Stock Rights (cost $1,310,866)

                                                 1,749,005  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

  37,273    

Avaya Holdings Corporation, (10)

                                                 47,154  
 

Total Warrants (cost $4,921,201)

                                                 47,154  
 

Total Long-Term Investments (cost $1,963,251,563)

 

                                1,853,259,374  
Shares     Description (1)   Coupon                                      Value  
 

SHORT-TERM INVESTMENTS – 4.0% (2.5% of Total Investments)

 

      INVESTMENT COMPANIES – 4.0% (2.5% of Total Investments)  
  46,766,350    

BlackRock Liquidity Funds T-Fund Portfolio, (8)

    2.290% (11)                                          $ 46,766,350  
 

Total Short-Term Investments (cost $46,766,350)

 

     46,766,350  
 

Total Investments (cost $2,010,017,913) – 161.1%

 

     1,900,025,724  
 

Borrowings – (42.0)% (12), (13)

 

     (495,000,000
 

Reverse Repurchase Agreements – (16.8)% (14)

 

     (198,000,000
 

Other Assets Less Liabilities – (2.3)%

 

     (27,945,500
 

Net Assets Applicable to Common Shares – 100%

 

   $ 1,179,080,224  

 

81


JQC    Nuveen Credit Strategies Income Fund (continued)
   Portfolio of Investments    January 31, 2019
   (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 pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(3)

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

 

(4)

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

 

(5)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $332,737,446 have been pledged as collateral for reverse repurchase agreements.

 

(6)

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

 

(7)

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 and investment companies can be obtained directly from the Securities and Exchange Commission on its website at the http://www.sec.gov.

 

(9)

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

 

(10)

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.

 

(11)

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

 

(12)

Borrowings as a percentage of Total Investments is 26.1%.

 

(13)

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

 

(14)

Reverse Repurchase Agreements as a percentage of Total Investments is 10.4%.

 

(15)

Variable rate security. The rate shown is the coupon as of the end of the period.

 

144A

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

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

ETF

Exchange-Traded Fund

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not Applicable

 

TBD

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

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

See accompanying notes to financial statements.

 

82


Statement of Assets and Liabilities

January 31, 2019

(Unaudited)

 

     NSL     JFR     JRO     JSD     JQC  

Assets

         

Long-term investments, at value (cost $430,765,977, $1,045,666,837, $733,898,727, $287,471,186 and $1,963,251,563, respectively)

  $ 403,154,053     $ 987,971,844     $ 691,246,271     $ 273,012,831     $ 1,853,259,374  

Short-term investments, at value (cost approximates value)

    8,014,761       16,339,538       12,312,629       3,664,427       46,766,350  

Cash collateral at brokers for investments in swaps(1)

    637,000       1,290,000       1,161,000       431,729       606  

Credit default swaps premiums paid

                      251,209        

Unrealized appreciation on interest rate swaps

          45,189                    

Receivable for:

         

Interest

    1,645,482       4,023,811       2,852,571       1,234,331       9,683,121  

Investments sold

    6,878,687       18,443,585       14,406,258       3,921,193       27,647,730  

Reclaims

                            17,480  

Shares sold

          31,001                    

Other assets

    150,050       139,391       88,527       42,020       360,624  

Total assets

    420,480,033       1,028,284,359       722,067,256       282,557,740       1,937,735,285  

Liabilities

         

Borrowings

    114,000,000       264,500,000       178,800,000       72,000,000       495,000,000  

Reverse repurchase agreements

                            198,000,000  

Cash overdraft

    1,059,492       2,118,983       1,439,538              

Cash overdraft denominated in foreign currencies (cost $968, $2,463, $1,646, $55 and $174, respectively)

    1,016       2,586       1,727       52       177  

Credit default swaps premiums received

                      206,846        

Unrealized depreciation on interest rate swaps

    665,341       1,001,426       1,062,835       52,850        

Payable for:

         

Dividends

    1,345,310       3,389,735       2,439,876       974,990       13,651,253  

Investments purchased

    8,281,674       20,723,981       14,534,997       4,334,656       47,627,313  

Unfunded senior loans

    39,561       84,383       50,767       39,561        

Variation margin on swap contracts

                      16,255        

Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $115,000,000, $84,000,000, $35,000,000 and $—, respectively)

    42,494,344       113,985,173       82,966,686       34,661,696        

Accrued expenses:

         

Interest

    397,322       370,580       645,819       279,429       2,328,601  

Management fees

    280,157       674,985       476,819       189,814       1,283,304  

Trustees fees

    73,956       138,559       87,793       16,396       359,283  

Other

    150,343       247,651       211,681       96,870       405,130  

Total liabilities

    168,788,516       407,238,042       282,718,538       112,869,415       758,655,061  

Net assets applicable to common shares

  $ 251,691,517     $ 621,046,317     $ 439,348,718     $ 169,688,325     $ 1,179,080,224  

Common shares outstanding

    38,611,472       56,918,468       40,541,218       10,095,648       135,609,290  

Net asset value (“NAV”) per common share outstanding

  $ 6.52     $ 10.91     $ 10.84     $ 16.81     $ 8.69  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,115     $ 569,185     $ 405,412     $ 100,956     $ 1,356,093  

Paid-in-surplus

    287,743,093       708,896,922       503,351,629       191,865,113       1,386,846,300  

Total distributable earnings

    (36,437,691     (88,419,790     (64,408,323     (22,277,744     (209,122,169

Net assets applicable to common shares

  $ 251,691,517     $ 621,046,317     $ 439,348,718     $ 169,688,325     $ 1,179,080,224  

Authorized shares:

         

Common

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

Preferred

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  
(1)

Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

83


Statement of Operations

Six Months Ended January 31, 2019

(Unaudited)

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 12,709,689        $ 29,950,518        $ 21,226,157        $ 8,819,863        $ 50,049,352  

Fees

     360,719          876,710          594,432          269,354          1,031,772  

Total investment income

     13,070,408          30,827,228          21,820,589          9,089,217          51,081,124  

Expenses

                      

Management fees

     1,699,609          4,088,598          2,890,763          1,153,700          7,773,086  

Interest expense and amortization of offering costs

     2,331,078          6,476,262          4,269,916          1,643,675          12,535,655  

Custodian fees

     63,956          107,792          98,972          48,865          179,327  

Trustees fees

     6,230          15,232          10,692          4,228          28,752  

Professional fees

     24,795          50,344          40,011          26,526          59,084  

Shareholder reporting expenses

     24,127          55,428          40,453          14,343          91,965  

Shareholder servicing agent fees

     7,469          13,373          13,301          6,922          1,551  

Stock exchange listing fees

     5,404          7,965          5,676          3,413          18,998  

Investor relations expenses

     13,971          33,735          23,920          9,329          62,724  

Other

     23,205          26,330          24,305          20,196          14,543  

Total expenses

     4,199,844          10,875,059          7,418,009          2,931,197          20,765,685  

Net investment income (loss)

     8,870,564          19,952,169          14,402,580          6,158,020          30,315,439  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     (3,221,833        (5,623,332        (4,593,236        (1,530,573        (19,360,904

Swaps

     (240,676        115,137          9,516          (115,275         

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     (12,797,255        (31,680,499        (22,318,841        (9,505,560        (28,272,877

Swaps

     533,639          1,474,348          1,268,252          36,797           

Net realized and unrealized gain (loss)

     (15,726,125        (35,714,346        (25,634,309        (11,114,611        (47,633,781

Net increase (decrease) in net assets applicable to common shares from operations

   $ (6,855,561      $ (15,762,177      $ (11,231,729      $ (4,956,591      $ (17,318,342

 

See accompanying notes to financial statements.

 

84


Statement of Changes in Net Assets

(Unaudited)

 

     NSL        JFR  
     

Six Months

Ended

1/31/19

      

Year(1)

Ended

7/31/18

      

Six Months

Ended

1/31/19

      

Year(1)

Ended

7/31/18

 

Operations

                 

Net investment income (loss)

   $ 8,870,564        $ 16,516,893        $ 19,952,169        $ 37,297,459  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (3,221,833        988,609          (5,623,332        (3,918,156

Swaps

     (240,676        (170,366        115,137          710,097  

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (12,797,255        (1,461,678        (31,680,499        795,592  

Swaps

     533,639          (650,645        1,474,348          (3,024,738

Net increase (decrease) in net assets applicable to common shares from
operations

     (6,855,561        15,222,813          (15,762,177        31,860,254  

Distributions to Common Shareholders(2)

                 

Dividends(3)

     (8,148,846        (17,553,641        (20,348,352        (44,003,590

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (8,148,846        (17,553,641        (20,348,352        (44,003,590

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

                                5,297,434  

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

                                139,663  

Cost of common shares repurchased and retired

     (56,494                           

Net increase (decrease) in net assets applicable to common shares from
capital share transactions

     (56,494                          5,437,097  

Net increase (decrease) in net assets applicable to common shares

     (15,060,901        (2,330,828        (36,110,529        (6,706,239

Net assets applicable to common shares at the beginning of period

     266,752,418          269,083,246          657,156,846          663,863,085  

Net assets applicable to common shares at the end of period

   $ 251,691,517        $ 266,752,418        $ 621,046,317        $ 657,156,846  
(1)

Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 11 – New Accounting Pronouncements for further details.

(2)

The composition and per share amounts of the Funds’ distributions are presented in the Financial Highlights. The distribution information for the Funds as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 – Income Tax Information.

(3)

For the fiscal year ended July 31, 2018, the Funds’ distributions to shareholders were paid from net investment income.

 

See accompanying notes to financial statements.

 

85


Statement of Changes in Net Assets (continued)

(Unaudited)

 

 

     JRO        JSD  
     

Six Months

Ended

1/31/19

      

Year(1)

Ended

7/31/18

      

Six Months

Ended

1/31/19

      

Year(1)

Ended

7/31/18

 

Operations

                 

Net investment income (loss)

   $ 14,402,580        $ 26,747,901        $ 6,158,020        $ 12,002,204  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (4,593,236        (2,177,791        (1,530,573        (1,771,955

Swaps

     9,516          661,463          (115,275        (201,725

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (22,318,841        828,220          (9,505,560        1,590,671  

Swaps

     1,268,252          (2,851,257        36,797          (104,691

Net increase (decrease) in net assets applicable to common shares from
operations

     (11,231,729        23,208,536          (4,956,591        11,514,504  

Distributions to Common Shareholders(2)

                 

Dividends(3)

     (14,621,109        (32,185,250        (6,239,110        (13,098,094

Decrease in net assets applicable to common shares from distributions to
common shareholders

     (14,621,109        (32,185,250        (6,239,110        (13,098,094

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

              9,134,335                    

Net proceeds from shares issued to shareholders due to reinvestment of
distributions

              59,873                    

Cost of common shares repurchased and retired

     (176,868                           

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     (176,868        9,194,208                    

Net increase (decrease) in net assets applicable to common shares

     (26,029,706        217,494          (11,195,701        (1,583,590

Net assets applicable to common shares at the beginning of period

     465,378,424          465,160,930          180,884,026          182,467,616  

Net assets applicable to common shares at the end of period

   $ 439,348,718        $ 465,378,424        $ 169,688,325        $ 180,884,026  
(1)

Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 11 – New Accounting Pronouncements for further details.

(2)

The composition and per share amounts of the Funds’ distributions are presented in the Financial Highlights. The distribution information for the Funds as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 – Income Tax Information.

(3)

For the fiscal year ended July 31, 2018, the Funds’ distributions to shareholders were paid from net investment income.

 

See accompanying notes to financial statements.

 

86


     JQC  
     

Six Months

Ended

1/31/19

      

Year(1)

Ended

7/31/18

 

Operations

       

Net investment income (loss)

   $ 30,315,439        $ 59,827,455  

Net realized gain (loss) from:

       

Investments and foreign currency

     (19,360,904        (9,945,000

Swaps

              1,412,527  

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     (28,272,877        (5,536,690

Swaps

              (1,375,436

Net increase (decrease) in net assets applicable to common shares from operations

     (17,318,342        44,382,856  

Distributions to Common Shareholders(2)

       

Dividends(3)

     (39,688,431        (72,567,457

Decrease in net assets applicable to common shares from distributions to common shareholders

     (39,688,431        (72,567,457

Capital Share Transactions

       

Common shares:

       

Proceeds from shelf offering, net of offering costs

               

Net proceeds from shares issued to shareholders due to reinvestment of distributions

               

Cost of common shares repurchase and retired

     (1,175,108         

Net increase (decrease) in net assets applicable to common shares from capital share transactions

     (1,175,108         

Net increase (decrease) in net assets applicable to common shares

     (58,181,881        (28,184,601

Net assets applicable to common shares at the beginning of period

     1,237,262,105          1,265,446,706  

Net assets applicable to common shares at the end of period

   $ 1,179,080,224        $ 1,237,262,105  
(1)

Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 11 – New Accounting Pronouncements for further details.

(2)

The composition and per share amounts of the Funds’ distributions are presented in the Financial Highlights. The distribution information for the Funds as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 – Income Tax Information.

(3)

For the fiscal year ended July 31, 2018, the Funds’ distributions to shareholders were paid from net investment income.

 

See accompanying notes to financial statements.

 

87


Statement of Cash Flows

Six Months Ended January 31, 2019

(Unaudited)

 

     NSL     JFR     JRO     JSD     JQC  

Cash Flows from Operating Activities:

         

Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations

  $ (6,855,561   $ (15,762,177   $ (11,231,729   $ (4,956,591   $ (17,318,342

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

    (53,641,752     (138,212,950     (103,663,271     (33,926,274     (402,924,459

Proceeds from sales and maturities of investments

    56,143,703       143,067,450       107,685,089       34,827,127       420,437,689  

Proceeds from (Purchases of) short-term investments, net

    2,106,668       7,201,552       4,843,732       4,454,078       19,946,680  

Proceeds from (Payments for) cash denominated in foreign currencies, net

    22       56       38       1       (3

Premiums received (paid) for credit default swaps

                      (33,383      

Payment-in-kind distributions

    (55,144     (128,247     (31,226     (22,555      

Proceeds from litigation settlement

                            171,876  

Amortization (Accretion) of premiums and discounts, net

    (985,745     (1,614,301     (1,263,411     (744,057     1,057,079  

Amortization of deferred offering costs

    92,577       162,212       53,661       97,262        

(Increase) Decrease in:

         

Receivable for interest

    95,158       375,367       222,048       42,229       42,273  

Receivable for investments sold

    (3,597,524     (10,319,794     (7,039,772     (465,025     7,695,570  

Other assets

    (21,138     10,651       27,238       (12,708     51,765  

Increase (Decrease) in:

         

Payable for investments purchased

    (2,562,542     (3,908,425     (3,148,939     (4,068,814     (31,602,185

Payable for unfunded senior loans

    (21,944     (46,806     (28,159     (21,944      

Payable for variation margin on swap contracts

                      15,726        

Accrued interest

    396,738       370,580       214,892       279,429       145,967  

Accrued management fees

    (10,180     (23,392     (17,454     (7,394     (40,126

Accrued Trustees fees

    (10,864     (17,859     (11,295     (2,020     (50,124

Accrued other expenses

    (11,590     5,037       7,238       (719     (55,461

Net realized (gain) loss from investments and foreign currency

    3,221,833       5,623,332       4,593,236       1,530,573       19,360,904  

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    12,797,255       31,680,499       22,318,841       9,505,560       28,272,877  

Swaps(1)

    (533,639     (1,474,348     (1,268,252     (120,754      

Net cash provided by (used in) operating activities

    6,546,331       16,988,437       12,262,505       6,369,747       45,191,980  

Cash Flows from Financing Activities:

         

Proceeds from reverse repurchase agreements

                            55,000,000  

(Payments for) reverse repurchase agreements

                            (2,000,000

Proceeds from borrowings

          10,200,000                    

Repayments of borrowings

                            (66,000,000

(Payments for) Term Preferred Shares redeemed, at liquidation preference

          (10,200,000                  

Increase (Decrease) in cash overdraft

    1,059,492       2,118,983       1,439,538              

Increase (Decrease) in cash overdraft denominated in foreign currencies

    (22     (56     (38     (1     159  

Cash distributions paid to common shareholders

    (8,072,307     (20,200,364     (14,520,887     (6,213,545     (31,017,719

Cost of shares repurchased and retired

    (56,494           (176,868           (1,175,108

Net cash provided by (used in) financing activities

    (7,069,331     (18,081,437     (13,258,255     (6,213,546     (45,192,668

Net Increase (Decrease) in Cash and Cash Collateral at Brokers

    (523,000     (1,093,000     (995,750     156,201       (688

Cash and cash collateral at brokers at the beginning of period

    1,160,000       2,383,000       2,156,750       275,528       1,294  

Cash and cash collateral at brokers at the end of period

  $ 637,000     $ 1,290,000     $ 1,161,000     $ 431,729     $ 606  
Supplemental Disclosure of Cash Flow Information   NSL     JFR     JRO     JSD     JQC  

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 1,817,267     $ 5,943,470     $ 3,985,068     $ 1,243,219     $ 12,397,355  
(1)

Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

88


THIS PAGE INTENTIONALLY LEFT BLANK

 

89


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
from
Shares
Repurchased
and Retired
    Premium
from
Shares
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

NSL

 

Year Ended 7/31:

 

2019(e)

  $ 6.91     $ 0.23      $ (0.41    $ (0.18   $ (0.21   $   —     $ (0.21   $   —     $   —   $   —     $ 6.52     $ 5.74  

2018

    6.97       0.43        (0.04      0.39       (0.45           (0.45                       6.91       6.13  

2017

    6.76       0.46        0.21        0.67       (0.46           (0.46                       6.97       6.83  

2016

    7.16       0.45        (0.43      0.02       (0.42           (0.42                     6.76       6.25  

2015

    7.51       0.45        (0.38      0.07       (0.42           (0.42                       7.16       6.34  

2014

    7.46       0.44        0.05        0.49       (0.44           (0.44                       7.51       6.98  

JFR

 

Year Ended 7/31:

 

2019(e)

    11.55       0.35        (0.63      (0.28     (0.36           (0.36                       10.91       9.71  

2018

    11.76       0.66        (0.10      0.56       (0.77           (0.77                     11.55       10.30  

2017

    11.36       0.73        0.46        1.19       (0.79           (0.79                     11.76       11.83  

2016

    12.01       0.73        (0.66      0.07       (0.72           (0.72                       11.36       10.68  

2015

    12.59       0.75        (0.61      0.14       (0.72           (0.72                       12.01       10.67  

2014

    12.54       0.75        0.06        0.81       (0.76           (0.76                   12.59       11.72  

 

90


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  (2.62 )%      (2.95 )%    $ 251,692       3.21 %**      6.78 %**      13
  5.91       (3.78     266,752       2.90       6.24       29  
  10.22       17.00       269,083       2.64       6.70       55  
  0.61       5.89       261,071       2.53       6.84       29  
  0.96       (3.25     276,530       2.37       6.08       34  
  6.78       (0.29     290,088       2.15       5.89       58  
                                             
         
  (2.47     (2.27     621,046       3.37 **      6.19 **      14  
  5.01       (6.64     657,157       2.99       5.68       29  
  10.76       18.63       663,863       2.63       6.28       59  
  0.93       7.50       626,627       2.46       6.52       26  
  1.15       (2.88     662,801       2.29       6.08       33  
  6.62       (1.84     694,584       2.05       5.94       52  

 

(a)

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

(b)

Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

NSL

 

Year Ended 7/31:

 

2019(e)

    1.78 %** 

2018

    1.46  

2017

    1.19  

2016

    1.08  

2015

    0.89  

2014

    0.72  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2019(e)

    2.01 %** 

2018

    1.61  

2017

    1.24  

2016

    1.08  

2015

    0.88  

2014

    0.71  
 

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.

(e)

For the six months ended January 31, 2019.

*

Rounds to less than $0.01 per share.

**

Annualized.

 

See accompanying notes to financial statements.

 

91


Financial Highlights (continued)

(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
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From
Net
Investment
Income
    From
Accumu
lated
Net

Realized
Gains
     Total     Offering
Costs
    Discount
from
Shares
Repurchased
and Retired
    Premium
from
Shares
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

JRO

 

Year Ended 7/31:

                        

2019(e)

  $ 11.47     $ 0.36     $ (0.63   $ (0.27   $ (0.36   $      $ (0.36   $   —     $   —   $     $ 10.84     $ 9.60  

2018

    11.70       0.66       (0.09     0.57       (0.80            (0.80                     11.47       10.23  

2017

    11.31       0.76       0.45       1.21       (0.83            (0.83                 0.01       11.70       11.87  

2016

    12.05       0.77       (0.75     0.02       (0.76            (0.76                       11.31       10.72  

2015

    12.68       0.79       (0.66     0.13       (0.76            (0.76                       12.05       10.82  

2014

    12.55       0.78       0.14       0.92       (0.79            (0.79                   12.68       12.40  

JSD

 

Year Ended 7/31:

                        

2019(e)

    17.92       0.61       (1.10     (0.49     (0.62            (0.62                       16.81       15.59  

2018

    18.07       1.19       (0.04     1.15       (1.30            (1.30                       17.92       16.67  

2017

    17.49       1.29       0.54       1.83       (1.25            (1.25                     18.07       17.75  

2016

    18.63       1.21       (1.16     0.05       (1.16     (0.03      (1.19                       17.49       16.16  

2015

    19.48       1.22       (0.87     0.35       (1.16     (0.04      (1.20                       18.63       16.41  

2014

    19.91       1.29       (0.02     1.27       (1.37     (0.33      (1.70                     19.48       18.20  

 

92


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  (2.46 )%      (2.65 )%    $ 439,349       3.25 %**      6.32 %**      15
  5.06       (7.38     465,378       2.99       5.77       30  
  11.06       18.92       465,161       2.68       6.57       57  
  0.53       6.91       435,189       2.49       6.91       27  
  1.03       (6.74     463,729       2.31       6.41       34  
  7.54       3.91       487,784       2.07       6.16       55  
                                             
         
  (2.79     (2.73     169,688       3.31 **      6.95 **      12  
  6.66       1.33       180,884       2.96       6.69       29  
  10.68       17.91       182,468       2.52       7.18       58  
  0.62       6.52       176,531       2.27       7.05       34  
  1.87       (3.27     188,031       1.78       6.43       31  
  6.59       0.16       196,613       1.88       6.52       45  

 

(a)

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

(b)

Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

 

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JRO

 

Year Ended 7/31:

 

2019(e)

    1.87 %** 

2018

    1.59  

2017

    1.27  

2016

    1.08  

2015

    0.89  

2014

    0.71  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2019(e)

    1.85 %** 

2018

    1.44  

2017

    1.07  

2016

    0.82  

2015

    0.45  

2014

    0.50  
 

 

(d)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.

(e)

For the six months ended January 31, 2019.

*

Rounds to less than $0.01 per share.

**

Annualized.

 

See accompanying notes to financial statements.

 

93


Financial Highlights (continued)

(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
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From
Net
Investment
Income
    From
Accumulated
Net
Realized
Gains
    Total     Discount
from
Shares
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

JQC

 

Year Ended 7/31:

 

2019(f)

  $ 9.11     $ 0.22     $ (0.35   $ (0.13   $ (0.29   $   —     $ (0.29   $   —   $ 8.69     $ 7.72  

2018

    9.32       0.44       (0.12     0.32       (0.53           (0.53           9.11       7.89  

2017

    9.25       0.52       0.18       0.70       (0.63           (0.63           9.32       8.69  

2016

    9.88       0.58       (0.60     (0.02     (0.61           (0.61         9.25       8.43  

2015

    10.25       0.62       (0.43     0.19       (0.56           (0.56         9.88       8.59  

2014

    10.13       0.60       0.16       0.76       (0.64           (0.64         10.25       9.05  

 

(a)

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

(b)

Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC   Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

Year Ended 7/31:

 

2019(f)

    2.05 %** 

2018

    1.67  

2017

    1.23  

2016

    1.01  

2015

    0.66  

2014

    0.52  

 

94


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(e)
 
                                                             
             
  (1.41 )%      1.60   $ 1,179,080       3.39 %**      4.95 %**      N/A       N/A       28
  3.64       (3.09     1,237,262       3.01       4.84       N/A       N/A       45  
  7.70       10.75       1,265,447       2.57       5.59       N/A       N/A       46  
  0.11       5.98       1,255,254       2.41       6.32       N/A       N/A       46  
  1.82       1.02       1,344,763       1.95       6.16       N/A       N/A       61  
  7.74       (3.44     1,396,303       1.77       5.84       1.76 %(d)      5.85 %(d)      65  

 

(d)

During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with a common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares reflect the voluntary expense reimbursement from Adviser.

(e)

Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.

(f)

For the six months ended January 31, 2019.

*

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.

 

95


Financial Highlights (continued)

(Unaudited)

 

 

    Borrowings
at the End of Period
       VRTP Shares
at the End of Period
       Term Preferred
at the End of Period
       Borrowings,
VRTP Shares and/or
Term Preferred
at the End of Period
 
     Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share(b)
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $100,000
Share
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share
       Asset
Coverage
Per $1
Liquidation
Preference
 

NSL

 

                                                      

Year Ended 7/31:

 

                        

2019(a)

  $ 114,000        $ 3,585        $        $        $ 43,000        $ 2,603        $ 2.60  

2018

    114,000          3,717                            43,000          2,699          2.70  

2017

    114,000          3,738                            43,000          2,714          2.71  

2016

    101,000          4,030          45,000          278,816                            2.79  

2015

    112,500          3,974          58,000          262,188                            2.62  

2014

    112,000          4,108          58,000          270,640                            2.71  

JFR

 

                                                      

Year Ended 7/31:

 

                        

2019(a)

    264,500          3,783                            115,000          2,636          2.64  

2018

    254,300          4,077                            125,200          2,732          2.73  

2017

    254,300          4,103                            125,200          2,749          2.75  

2016

    240,800          4,051          108,000          279,652                            2.80  

2015

    270,300          3,966          139,000          261,935                            2.62  

2014

    269,000          4,099          139,000          270,241                            2.70  

JRO

 

                                                      

Year Ended 7/31:

 

                        

2019(a)

    178,800          3,927                            84,000          2,672          2.67  

2018

    178,800          4,073                            84,000          2,771          2.77  

2017

    178,800          4,071                            84,000          2,770          2.77  

2016

    166,800          4,059          75,000          279,979                            2.80  

2015

    188,800          3,975          98,000          261,691                            2.62  

2014

    188,000          4,116          98,000          270,554                            2.71  

JSD

 

                                                      

Year Ended 7/31:

 

                        

2019(a)

    72,000          3,843                            35,000          2,586          2.59  

2018

    72,000          3,998                            35,000          2,691          2.69  

2017

    72,000          4,020                            35,000          2,705          2.71  

2016

    64,000          4,305                            35,000          2,783          2.78  

2015

    85,200          3,207                                               

2014

    85,000          3,313                                               

JQC

 

                                                      

Year Ended 7/31:

 

                        

2019(a)

    495,000          3,382                                               

2018

    561,000          3,205                                               

2017

    561,000          3,256                                               

2016

    561,000          3,238                                               

2015

    640,000          3,101                                               

2014

    606,000          3,304                                               

 

96


(a)

For the six months ended January 31, 2019.

(b)

Beginning with the fiscal year ended July 31, 2017, the Funds are calculating Asset Coverage Per $1,000 of Borrowings as defined under the 1940 Act and not as defined for financial reporting purposes. For purposes of calculating Asset Coverage as defined under the 1940 Act, the outstanding preferred shares are excluded because they are treated as equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

NSL

                  

Year Ended 7/31:

 

    

2016

  $ 101,000        $ 2,788  

2015

    112,500          2,622  

2014

    112,000          2,706  
    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JFR

               

Year Ended 7/31:

 

 

2016

  $ 240,800     $ 2,797  

2015

    270,300       2,619  

2014

    269,000       2,702  
 

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

JRO

                  

Year Ended 7/31:

 

    

2016

  $ 166,800        $ 2,800  

2015

    188,800          2,617  

2014

    188,000          2,706  

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JSD

               

Year Ended 7/31:

 

 

2016

  $ 64,000     $ 2,783  
 

 

See accompanying notes to financial statements.

 

97


Notes to Financial Statements

(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, 2019, and the period covered by these Notes to Financial Statements is the six months ended January 31, 2019 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

NSL’s investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees) in adjustable rate senior loans. Senior loans that satisfy the 80% requirement may be secured or unsecured so long as any unsecured senior loans are investment grade quality. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JFR’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JRO’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.

JSD’s investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality.

 

98


 

The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

JQC’s investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

The Funds can invest up to 5% in iBOXX Loan Total Return Swaps.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

     NSL      JFR      JRO      JSD      JQC  

Outstanding when-issued/delayed delivery purchase commitments

  $ 8,281,674      $ 20,723,981      $ 14,534,582      $ 4,334,656      $ 45,452,951  

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (“PIK”) interest and fee income, if any. PIK interest represents income received in the form of securities in lien of cash. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.

Dividends and Distributions to Common Shareholders

Dividends to common shareholders, if any, are declared monthly. For NSL, JFR, JRO and JSD 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.

For the period August 1, 2018 through December 31, 2018, JQC’s regular monthly distributions were sourced entirely from net investment income. Effective in conjunction with the declaration of the January 2019 distribution, the Fund has implemented a capital return plan where a supplemental amount is expected to be included in the Fund’s regular monthly distribution. Under this program, the Fund’s regular monthly distribution is expected to include net investment income, return of capital and potentially capital gains for tax purposes. In the event that total distributions during a calendar year exceed the Fund’s total return on net asset value (“NAV”), the difference will reduce NAV per share. If the Fund’s total return on NAV exceeds total distributions during a calendar year, the excess will be reflected as an increase in NAV per share. The final determination of the source and character of all

 

99


Notes to Financial Statements (continued)

(Unaudited)

 

distributions for the fiscal year are made after the end of the fiscal year and is reflected in the financial statements contained in the annual report as of July 31 each year.

Distributions to common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Compensation

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the current fiscal period. Actual results may differ from those estimates.

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the Nasdaq National Market (“Nasdaq”) are valued at the Nasdaq Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or Nasdaq for which there were no transactions on a given day or securities not listed on a securities exchange or Nasdaq are valued at the quoted bid price and are generally classified as Level 2.

Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon,

 

100


 

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 NAV’s on the valuation date and are generally classified as Level 1.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:

 

NSL    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 359,709,029      $      $ 359,709,029  

Corporate Bonds**

            37,684,426        ***       37,684,426  

Common Stocks**

     3,499,014        1,843,940        134,303        5,477,257  

Common Stocks Rights**

            47,025        221,558        268,583  

Warrants**

            14,758               14,758  

Short-Term Investments:

           

Investment Companies

     8,014,761                      8,014,761  

Investments in Derivatives:

           

Interest Rate Swaps****

            (665,341             (665,341

Total

   $ 11,513,775      $ 398,633,837      $ 355,861      $ 410,503,473  

 

101


Notes to Financial Statements (continued)

(Unaudited)

 

JFR                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 856,612,209      $      $ 856,612,209  

Corporate Bonds**

            98,407,819        ***       98,407,819  

Common Stocks**

     7,723,358        5,029,574        259,162        13,012,094  

Investment Companies

     10,595,400                      10,595,400  

Asset-Backed Securities

            8,820,952               8,820,952  

Common Stock Rights**

            87,021        410,097        497,118  

Warrants**

            26,252               26,252  

Short-Term Investments:

           

Investment Companies

     16,339,538                      16,339,538  

Investments in Derivatives:

           

Interest Rate Swaps****

            (956,237             (956,237

Total

   $ 34,658,296      $ 968,027,590      $ 669,259      $ 1,003,355,145  
JRO    Level 1      Level 2      Level 3      Total  

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 605,938,541      $      $ 605,938,541  

Corporate Bonds**

            70,825,760        ***       70,825,760  

Common Stocks**

     5,958,411        4,018,781        189,930        10,167,122  

Asset-Backed Securities

            3,782,459               3,782,459  

Common Stock Rights**

            89,793        423,072        512,865  

Warrants**

            19,524               19,524  

Short-Term Investments:

           

Investment Companies

     12,312,629                      12,312,629  

Investments in Derivatives:

           

Interest Rate Swaps****

            (1,062,835             (1,062,835

Total

   $ 18,271,040      $ 683,612,023      $ 613,002      $ 702,496,065  
JSD                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 241,757,611      $      $ 241,757,611  

Corporate Bonds**

            27,732,871        ***       27,732,871  

Common Stocks**

     2,261,039        927,732        46,160        3,234,931  

Common Stock Rights**

            48,444        228,345        276,789  

Warrants**

            10,629               10,629  

Short-Term Investments:

           

Investment Companies

     3,664,427                      3,664,427  

Investments in Derivatives:

           

Credit Default Swaps****

            (125,944             (125,944

Interest Rate Swaps****

            (52,850             (52,850

Total

   $ 5,925,466      $ 270,298,493      $ 274,505      $ 276,498,464  
JQC                                

Long-Term Investments*:

           

Variable Rate Senior Loan Interests

   $      $ 1,435,981,489      $      $ 1,435,981,489  

Corporate Bonds**

            346,557,666        ***       346,557,666  

Exchange-Traded Funds

     45,851,944                      45,851,944  

Common Stocks**

     6,369,422        5,291,736        795,868        12,457,026  

Convertible Bonds

            10,615,090               10,615,090  

Common Stock Rights**

            306,174        1,442,831        1,749,005  

Warrants**

            47,154               47,154  

Short-Term Investments:

           

Investment Companies

     46,766,350                      46,766,350  

Total

   $ 98,987,716      $ 1,798,799,309      $ 2,238,699      $ 1,900,025,724  
*

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.

 

102


 

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds may invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Zero Coupon Securities

A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Investments in Derivatives

Each Fund is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).

The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps.”

 

103


Notes to Financial Statements (continued)

(Unaudited)

 

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers for investment in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums received and/or paid” on the Statement of Assets and Liabilities.

During the current fiscal period, NSL, JFR, JRO and JSD used cancellable interest rate swaps in which each Fund received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue.

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

     NSL     JFR     JRO     JSD  

Average notional amount of interest rate swap contracts outstanding*

  $ 43,000,000     $ 115,000,000     $ 84,000,000     $ 40,833,333  
*

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

Credit Default Swap Contracts

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When a Fund has bought (sold) protection in a credit default swap upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps” on the Statement of Assets and Liabilities.

 

104


 

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers for investments in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation. Conversely, if a Fund has unrealized depreciation the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, JSD 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  

Average notional amount of credit default swap contracts outstanding*

  $ 2,000,000  
*

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

The following table presents the fair value of all swap contracts held by the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative
Instrument
 

Asset Derivatives

         

(Liability) Derivatives

 
  Location    Value            Location    Value  
NSL               
Interest rate        Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (665,341
JFR               
Interest rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps    $ 45,189             Unrealized depreciation on interest rate swaps    $ (1,001,426
JRO               
Interest rate    Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (1,062,835
JSD               
Credit    Swaps (OTC Cleared)      $             Payable for variation margin on swap contracts**^    $ (125,944
Interest Rate    Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (52,850
Total             $                  $ (178,794
**

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.

 

105


Notes to Financial Statements (continued)

(Unaudited)

 

The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund    Counterparty    Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
     Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
     Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
     Collateral
Pledged
to (from)
Counterparty
     Net
Exposure
 
NSL   

Morgan Stanley Capital Services LLC

   $      $ (665,341    $ (665,341    $ 637,000      $ (28,341
JFR   

Morgan Stanley Capital Services LLC

     45,189        (1,001,426      (956,237      956,237         
JRO   

Morgan Stanley Capital Services LLC

            (1,062,835      (1,062,835      1,062,835         
JSD   

Morgan Stanley Capital Services LLC

            (52,850      (52,850      52,850         
***

Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund      Underlying
Risk Exposure
     Derivative
Instrument
     Net Realized
Gain (Loss) from
Swaps
       Change in Net
Unrealized
Appreciation
(Depreciation) of
Swaps
 
NSL      Interest rate      Swaps      $ (240,676      $ 533,639  
JFR      Interest rate      Swaps      $ 115,137        $ 1,474,348  
JRO      Interest rate      Swaps      $ 9,516        $ 1,268,252  
JSD                    
     Credit      Swaps      $ (31,817      $ (83,957
       Interest rate      Swaps        (83,458        120,754  
Total                    $ (115,275      $ 36,797  

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Common Shares

Common Shares Equity Shelf Programs and Offering Costs

The following Funds have each filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing each Fund to issue additional common shares through one or more equity shelf program (“Shelf Offering”), which became effective with the SEC during prior fiscal periods.

Under these Shelf Offerings, the Funds, subject to market conditions, may raise additional equity capital by issuing additional common shares from time to time in varying amounts and by different offering methods at a net price at or above each Fund’s NAV per common share. In the event a Fund’s Shelf

 

106


 

Offering registration statement is no longer current, the Fund may not issue additional common shares until a post-effective amendment to the registration statement has been filed with the SEC.

Additional authorized common shares, common shares sold and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the Fund’s current and prior fiscal period were as follows:

 

    NSL        JFR  
     Six Months
Ended
1/31/19
       Year Ended
7/31/18*
       Six Months
Ended
1/31/19**
       Year Ended
7/31/18
 

Additional authorized common shares

             8,800,000          12,900,000          12,900,000  

Common shares sold

                               452,068  

Offering proceeds, net of offering costs

  $        $                 $ 5,297,434  
    JRO        JSD  
     Six Months
Ended
1/31/19**
       Year Ended
7/31/18
      

Six Months
Ended

1/31/19

       Year Ended
7/31/18*
 

Additional authorized common shares

    8,500,000          8,500,000                   1,000,000  

Common shares sold

             783,600                    

Offering proceeds, net of offering costs

  $        $ 9,134,335        $        $  
*

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

**

Represent additional authorized common shares for the period August 1, 2018 through November 30, 2018.

Costs incurred by the Funds in connection with their initial shelf registrations were recorded as a prepaid expense and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities. These costs are amortized pro rata as shares are sold and are recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any deferred offering costs remaining one year after effectiveness of the initial shelf registration will be expensed. Costs incurred by the Funds to keep the shelf registration current are expensed as incurred and recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares during the Funds’ current and prior fiscal period, where applicable, were as follows:

 

     NSL      JFR  
     

Six Months

Ended

1/31/2019

     Year Ended
7/31/2018
    

Six Months

Ended
1/31/2019

     Year Ended
7/31/2018
 

Common shares:

           

Sold through shelf offering

                          452,068  

Issued to shareholders due to reinvestment of distributions

                          11,975  

Repurchased and retired

     (10,400                     

Weighted average common share:

           

Premium to NAV per shelf offering share sold

                          1.38

Price per share repurchased and retired

   $ 5.41                       

Discount per share repurchased and retired

     15.29                     
     JRO      JQC  
     

Six Months

Ended
1/31/2019

     Year Ended
7/31/2018
    

Six Months

Ended
1/31/2019

     Year Ended
7/31/2018
 

Common shares:

           

Sold through shelf offering

            783,600                

Issued to shareholders due to reinvestment of distributions

            5,155                

Repurchased and retired

     (20,000             (157,700       

Weighted average common share:

           

Premium to NAV per shelf offering share sold

            1.71              

Price per share repurchased and retired

   $ 8.82             $ 7.43         

Discount per share repurchased and retired

     16.68             16.16       

 

107


Notes to Financial Statements (continued)

(Unaudited)

 

Preferred Shares

Term Preferred Shares

The following Funds have issued and have outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting, NSL, JFR, JRO and JSD had $42,494,344, $113,985,173, $82,966,686 and $34,661,696 Term Preferred at liquidation preference, net of deferred offering costs, respectively. Further details of the Funds’ Term Preferred Shares outstanding as of the end of the reporting period, were as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 

NSL

    2021          43,000        $ 43,000,000  

JFR

    2022          25,000          25,000,000  
    2024          35,000          35,000,000  
      2027          55,000          55,000,000  

JRO

    2022          10,000        $ 10,000,000  
    2022-1          21,000          21,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

JSD

    2020          35,000        $ 35,000,000  

Each Fund is obligated to redeem its Term Preferred by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. The Term Preferred are subject to redemption at the option of each Fund, subject to payment of a premium for approximately one year following the date of issuance (“Optional Redemption Premium Expiration Date”), and at liquidation preference per share plus accumulated but unpaid dividends. Term Preferred are subject to mandatory redemption in certain circumstances. Each Fund may be obligated to redeem a certain amount of the Term Preferred if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share (plus any premium) plus any accumulated but unpaid dividends. The Term Redemption Date and Optional Redemption Premium Expiration Date for each Fund’s series of Term Preferred are as follows:

 

Fund   Series        Term
Redemption Date
       Optional
Redemption Premium
Expiration Date
 

NSL

    2021          November 1, 2021          October 31, 2017  

JFR

    2022          January 1, 2022          December 31, 2017  
    2024          June 1, 2024          N/A  
      2027          January 1, 2027          December 31, 2017  

JRO

    2022          January 1, 2022          December 31, 2017  
    2022-1          April 1, 2022          June 30, 2019  
    2023          December 1, 2023          November 30, 2017  
      2027          January 1, 2027          December 31, 2017  

JSD

    2020          November 1, 2020          October 31, 2016  
N/A

– Not applicable

The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for each Fund during the current fiscal period were as follows:

 

     NSL        JFR        JRO        JSD  

Average liquidation preference of Term Preferred outstanding

  $ 43,000,000        $ 121,208,696        $ 84,000,000        $ 35,000,000  

Annualized dividend rate

    1.98        3.70        3.28        2.23

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

 

108


 

purposes, the liquidation preference of Term Preferred is a liability and is recognized as “Term Preferred Shares (“Term Preferred”), net of deferred offering costs” on the Statement of Assets and Liabilities.

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred in connection with each Fund’s offering of Term Preferred were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Term Preferred Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

In conjunction with JFR’s redemption of Series 2019 Term Preferred, the remaining deferred offering costs of $52,114, were fully expensed during the current fiscal period, as the redemptions were deemed an extinguishment of debt.

Preferred Share Transactions

Transactions in preferred shares during the Funds’ current and prior fiscal period, where applicable, are noted in the following table.

Transactions in Term Preferred for the Funds, where applicable, were as follows:

 

    Six Months Ended
January 31, 2019
 
JFR   Series        Shares        Amount  

Term Preferred redeemed

    2019          10,200        $ 10,200,000  

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

  $ 53,641,752        $ 138,212,950        $ 103,663,271        $ 33,926,274        $ 402,924,459  

Sales and maturities

  $ 56,143,703        $ 143,067,450        $ 107,685,089        $ 34,827,127        $ 420,437,689  

6. Income Tax Information

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gain to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of timing differences in recognizing certain gains and losses on investment transactions and recognition of premium amortization (except for NSL). To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.

The tables below present the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of January 31, 2019.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.

 

109


Notes to Financial Statements (continued)

(Unaudited)

 

 

     NSL        JFR        JRO        JSD        JQC  

Tax cost of investments

  $ 441,852,385        $ 1,073,907,865        $ 754,154,450        $ 293,897,012        $ 2,027,044,633  

Gross unrealized:

                     

Appreciation

    3,667,804          9,293,966          6,797,734          2,758,757          8,179,029  

Depreciation

    (34,351,375        (78,890,449        (57,393,284        (19,978,511        (135,197,938

Net unrealized appreciation (depreciation) of investments

  $ (30,683,571      $ (69,596,483      $ (50,595,550      $ (17,219,754      $ (127,018,909
               NSL        JFR        JRO        JSD  

Tax cost of swaps

       $        $        $        $ (81,580

Net unrealized appreciation (depreciation) of swaps

               (665,341        (956,237        (1,062,835        (52,850

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships, distressed PIK bond adjustments and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2018, the Funds’ last tax year end, as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Paid-in-surplus

     $ (29,464,537)      $ (67,257,711)      $ (46,592,886)      $ (192,942)      $ (8,513,146)  

Undistributed (Over-distribution of) net investment income

       114,907        1,963,579        1,737,347        84,695        3,791,771  

Accumulated net realized gain (loss)

       29,349,630        65,294,132        44,855,539        108,247        4,721,375  

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2018, the Funds’ last tax year end, were as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Undistributed net ordinary income1

     $ 2,985,455      $ 4,877,606      $ 3,199,983      $ 1,685,802      $ 857,230  

Undistributed net long-term capital gains

                                    

1  Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 2, 2018, paid on August 1, 2018. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

   

The tax character of distributions paid during the Funds’ last tax year ended July 31, 2018, was designated for purposes of the dividends paid deduction as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Distributions from net ordinary income2

     $ 18,645,372      $ 48,769,652      $ 35,379,514      $ 13,766,120      $ 74,671,845  

Distributions from net long-term capital gains

                                    
2 

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

As of July 31, 2018, the Funds’ last tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.

 

        NSL      JFR      JRO      JSD      JQC  

Not subject to expiration:

                

Short-term

     $     —      $ 43,342      $ 304,388      $ 14,921      $ 9,492,644  

Long-term

       4,076,891        13,159,712        8,137,862        3,779,388        38,892,992  

Total

     $ 4,076,891      $ 13,203,054      $ 8,442,250      $ 3,794,309      $ 48,385,636  

As of July 31, 2018, the Funds’ last tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

      NSL      JFR      JRO      JQC  

Expired capital loss carryforwards

   $ 29,264,459      $ 67,020,214      $ 46,332,843      $ 8,513,146  

During the Funds’ last tax year ended, July 31, 2018, NSL utilized $721,041 of its capital loss carryforward.

7. Management Fees

Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

 

110


 

Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

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

 

Average Daily Managed Assets*  

NSL

JFR

JRO

JSD
Fund-Level Fee Rate

    JQC
Fund-Level Fee Rate
 

For the first $500 million

    0.6500     0.6800

For the next $500 million

    0.6250       0.6550  

For the next $500 million

    0.6000       0.6300  

For the next $500 million

    0.5750       0.6050  

For managed assets over $2 billion

    0.5500       0.5800  

The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily managed assets:

 

Complex-Level Eligible Asset Breakpoint Level*      Effective Complex-Level Fee Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996  

$57 billion

       0.1989  

$60 billion

       0.1961  

$63 billion

       0.1931  

$66 billion

       0.1900  

$71 billion

       0.1851  

$76 billion

       0.1806  

$80 billion

       0.1773  

$91 billion

       0.1691  

$125 billion

       0.1599  

$200 billion

       0.1505  

$250 billion

       0.1469  

$300 billion

       0.1445  
*

For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2019, the complex-level fee for each Fund was 0.1595%.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the following Funds’ outstanding unfunded senior loan commitments were as follows:

 

     NSL        JFR        JRO        JSD  

Outstanding unfunded senior loan commitments

  $ 39,561        $ 84,383        $ 50,767        $ 39,561  

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

 

111


Notes to Financial Statements (continued)

(Unaudited)

 

credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, the Funds had no such outstanding participation commitments.

9. Fund Leverage

Borrowings

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. As of the end of the reporting period, each Fund’s maximum commitment amount under its Borrowings is as follows:

 

     NSL        JFR        JRO  

Maximum commitment amount

  $ 115,000,000        $ 290,000,000        $ 195,000,000  

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

     NSL        JFR        JRO  

Outstanding balance on Borrowings

  $ 114,000,000        $ 264,500,000        $ 178,800,000  

For NSL, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.75% (0.80% prior to January 28, 2019). For JFR and JRO, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if it is less than 50% of the maximum commitment amount; however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively.

On December 21, 2018, JFR and JRO renewed their Borrowings through December 20, 2019. On January 28, 2019, NSL renewed its Borrowings through January 27, 2020. Interest charged on NSL’s Borrowings was changed to 1-Month LIBOR plus 0.80%. All other items of the Borrowings remain unchanged.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR        JRO  

Average daily balance outstanding

  $ 114,000,000        $ 258,568,478        $ 178,800,000  

Average annual interest rate

    3.06        3.06        3.08

Borrowings Information for JSD

The Fund has outstanding a 364-day revolving line of credit. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

     JSD  

Maximum commitment amount

  $ 75,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     JSD  

Outstanding balance on Borrowings

  $ 72,000,000  

Interest is charged on these Borrowings at a rate per annum equal to 1-Month LIBOR plus 0.80%. The Fund also accrued 0.15% per annum on the undrawn portion if it was less than 50% of the maximum commitment; however, if the undrawn portion of the Borrowings was greater than 50% of the maximum commitment amount the Fund accrued a 0.25% per annum on the undrawn portion of the Borrowings.

On October 31, 2018, JSD renewed its Borrowings through October 30, 2019. The Fund also accrued an upfront fee of 0.05% per annum on the maximum commitment amount. All other items of the Borrowings remain unchanged.

 

112


 

During the current fiscal period, the average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     JSD  

Average daily balance outstanding

  $ 72,000,000  

Average annual interest rate

    3.06

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

     JQC  

Maximum commitment amount

  $ 550,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

     JQC  

Outstanding balance on Borrowings

  $ 495,000,000  

For the period August 1, 2018 to September 11, 2018, the interest was charged on these Borrowings at a rate per annum equal to 3-Month LIBOR plus 1.15%. The Fund also accrued 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

On September 11, 2018, JQC amended its borrowings. Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.10%. The Fund also accrues 1.10% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount. All other items remain unchanged.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

     JQC  

Average daily balance outstanding

  $ 517,717,391  

Average annual interest rate

    3.55

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed amount, undrawn balance and initial fees are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Reverse Repurchase Agreements

During the current fiscal period, JQC used reverse repurchase agreements as a means of leverage.

In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will pledge assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded as a liability and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. In periods of increased demand for the security, the Fund receives a fee for use of the security by the counterparty. This results in interest income to the Fund, which is recognized as a component of the “Interest and dividend income” on the Statement of Operations.

 

113


Notes to Financial Statements (continued)

(Unaudited)

 

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Counterparty      Rate        Principal
Amount
       Maturity*        Value        Value and
Accrued Interest
 

Societe Generale

       3-Month LIBOR plus 0.75      $ (198,000,000        4/15/20        $ (198,000,000      $ (198,625,328
*

The Fund may repurchase the reverse repurchase agreement prior to the maturity date and/or counterparty may accelerate maturity upon pre-specified advance notice.

During the current fiscal period, the average daily balance outstanding and average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

       JQC  

Average daily balance outstanding

       $187,347,826  

Average interest rate

       3.28

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

   $ (198,625,328      $ 198,625,328        $  
*

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.

10. Inter-Fund Lending

The SEC has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.

The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.

During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.

11. New Accounting Pronouncements

Disclosure Update and Simplification

During August 2018, the SEC issued Final Rule Release No. 33-10532, Disclosure Update and Simplification (“Final Rule Release No. 33-10532”). Final Rule Release No. 33-10532 amends certain financial statement disclosure requirements to conform to U.S. GAAP. The amendments to Rule 6-04.17 of Regulation S-X (balance sheet) remove the requirement to separately state the book basis components of net assets: undistributed (over-distribution of)

 

114


 

net investment income (“UNII”), accumulated undistributed net realized gains (losses), and net unrealized appreciation (depreciation) at the balance sheet date. Instead, consistent with U.S. GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule 6-09 of Regulation S-X (statement of changes in net assets) remove the requirement to separately state the sources of distributions paid. Instead, consistent with U.S. GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The amendments also remove the requirement to parenthetically state the book basis amount of UNII on the statement of changes in net assets.

The requirements of Final Rule Release No. 33-10532 are effective November 5, 2018, and the Funds’ Statement of Assets and Liabilities and Statement of Changes in Net Assets for the current reporting period have been modified accordingly. In addition, certain amounts within each Fund’s Statement of Changes in Net Assets for the prior fiscal period have been modified to conform to Final Rule Release No. 33-10532.

For the prior fiscal period, the total amount of distributions paid to shareholders from net investment income and from accumulated net realized gains, if any, are recognized as “Dividends” on the Statement of Changes in Net Assets.

As of July 31, 2018, the Funds’ Statement of Changes in Net Assets reflected the following UNII balances.

 

        NSL      JFR      JRO      JSD      JQC  

UNII at the end of period

     $ 492,596      $ (6,939,292    $ (4,665,678    $ (1,022,611    $ (21,887,770

FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities

The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.

Fair Value Measurement: Disclosure Framework

During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”), Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. During the current reporting period, management early implemented this guidance. This implementation did not have a material impact on the Funds’ financial statements.

12. Subsequent Events

Borrowings

Subsequent to the end of the reporting period, JQC decreased its maximum commitment amount to $505,000,000 and reduced the outstanding balance on its Borrowings to $455,000,000.

 

115


Additional Fund Information

 

Board of Trustees          
Margo Cook*   Jack B. Evans   William C. Hunter   Albin F. Moschner   John K. Nelson  
Judith M. Stockdale   Carole E. Stone   Terence J. Toth   Margaret L Wolff   Robert L. Young  

 

*

Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Street

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

Computershare Trust Company, N.A.

250 Royall Street

Canton, MA 02021

(800) 257-8787

 

 

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 as an exhibit to its report on Form N-PORT. You may obtain this information on the SEC’s website at http://www.sec.gov.

 

 

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

    10,400                   20,000                   157,700  

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

 

 

116


Glossary of Terms Used in this Report

 

 

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.

 

 

ICE BofAML U.S. High Yield Index: An index that tracks the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

 

Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

 

Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

 

Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

117


Reinvest Automatically, Easily and Conveniently

 

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

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

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

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

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

Call today to start reinvesting distributions

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

 

 

118


Notes

 

 

119


LOGO

 

Nuveen:

Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen is the investment manager of TIAA. We have grown into one of the world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.

Find out how we can help you.

To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

Learn more about Nuveen Funds at: www.nuveen.com/closed-end-funds

 

Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com

       ESA-A-0119D
        780995-INV-B-03/20


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.

 

Period*

   (a)
TOTAL NUMBER
OF SHARES

(OR UNITS)
PURCHASED
   (b)
AVERAGE
PRICE
PAID PER
SHARE
(OR UNIT)
   (c)
TOTAL NUMBER OF SHARES
(OR UNITS) PURCHASED AS
PART OF PUBLICLY
ANNOUNCED PLANS
OR PROGRAMS
   (d)*
MAXIMUM NUMBER
(OR APPROXIMATE DOLLAR VALUE)

OF SHARES (OR UNITS) THAT MAY
YET BE PURCHASED UNDER THE PLANS

OR PROGRAMS

AUGUST 1-31, 2018

       0                  3,860,000

SEPTEMBER 1-30, 2018

       0                  3,860,000

OCTOBER 1-31, 2018

       0                  3,860,000

NOVEMBER 1-30, 2018

       0                  3,860,000

DECEMBER 1-31, 2018

       10,400      $ 5.41        10,400        3,849,600

JANUARY 1-31, 2019

       0                  3,849,600

TOTAL

       10,400               

 

*

The registrant’s repurchase program, for the repurchase of 3,860,000 shares, was authorized August 1, 2018. Any repurchases made by the registrant pursuant to the program were made through open-market transactions.

Item 10. Submission of Matters to a Vote of Security Holders.

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

Item 11. Controls and Procedures.

 

(a)

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

 

(b)

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

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

File the exhibits listed below as part of this Form.

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

(a)(4) Change in registrant’s independent public accountant. 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 9, 2019

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 9, 2019

 

By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   

Date: April 9, 2019