nvcsr
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09571
NUVEEN SENIOR INCOME FUND
 
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: July 31
Date of reporting period: July 31, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
 
 

 


 

 
ITEM 1. REPORTS TO SHAREHOLDERS
(NUVEEN INVESTMENTS LOGO)
 
 
Closed-End Funds
 
     
 
Nuveen Investments
Closed-End Funds
High current income from portfolios of senior corporate loans.
   
     
Annual Report
July 31, 2010
   
 
 

             
 
 
   
Nuveen Senior
Income Fund
NSL
  Nuveen Floating
Rate Income Fund
JFR
  Nuveen Floating
Rate Income
Opportunity Fund
JRO
   

(JULY 09)


 

 
 
NUVEEN INVESTMENTS ANNOUNCES STRATEGIC COMBINATION WITH FAF ADVISORS
 
On July 29, 2010, Nuveen Investments, Inc. announced that U.S. Bancorp will receive a 9.5% stake in Nuveen Investments and cash consideration in exchange for the long-term asset business of U.S. Bancorp’s FAF Advisors (FAF). Nuveen Investments is the parent of Nuveen Asset Management (NAM), the investment adviser for the Funds included in this report.
 
FAF Advisors, which currently manages about $25 billion of long-term assets and serves as the advisor of the First American Funds, will be combined with NAM, which currently manages about $75 billion in municipal fixed income assets. Upon completion of the transaction, Nuveen Investments, which currently manages about $150 billion of assets across several high-quality affiliates, will manage a combined total of about $175 billion in institutional and retail assets.
 
This combination will not affect the investment objectives, strategies or policies of the Funds in this report. Over time, Nuveen Investments expects that the combination will provide even more ways to meet the needs of investors who work with financial advisors and consultants by enhancing the multi-boutique model of Nuveen Investments, which also includes highly respected investment teams at NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors, Winslow Capital and Nuveen HydePark.
 
The transaction is expected to close late in 2010, subject to customary conditions.


 

 
Chairman’s
Letter to Shareholders

 
(ROBERT P. BREMNER PHOTO)
 
Dear Shareholder,
 
Recent months have revealed the fragility and disparity of the global economic recovery. In the U.S., the rate of economic growth has slowed as various stimulus programs have started to wind down, exposing weakness in the underlying economy. In contrast, many emerging market countries are experiencing a return to comparatively high rates of growth. Confidence in global financial markets has been undermined by concerns about high sovereign debt levels in Europe and the U.S. Until these countries can begin credible programs to reduce their budgetary deficits, market unease and hesitation will remain. On a more positive note, even though the countries now enjoying the strongest recovery depend on exports to countries with trade deficits, these importing countries have resisted the temptation to damage world trade by erecting trade barriers.
 
The U.S. economy is subject to unusually high levels of uncertainty as it struggles to recover from a devastating financial crisis. Unemployment remains stubbornly high, due to what appears to be both cyclical and structural forces. Federal Reserve policy makers are considering novel approaches to provide support to the economy, and administration policy makers are debating additional stimulus measures. However, the high levels of debt owed both by U.S. consumers and the U.S. government limit their ability to engineer a stronger economic recovery.
 
The U.S. financial markets reflect the crosscurrents now impacting the U.S. economy. Today’s historically low interest rates reflect the Fed’s easy monetary policy and the demand for U.S. government debt by U.S. and overseas investors looking for a safe haven for investment. Despite a continued corporate earnings recovery, equity markets continue to reflect concern about the possibility of a “double dip” recession. Encouragingly, financial institutions are rebuilding their balance sheets and the financial reform legislation enacted this summer has the potential to address many of the most significant contributors to the financial crisis, although many details still have to be worked out.
 
In this difficult environment, your Nuveen investment team continues to seek sustainable investment opportunities and, at the same time, remains alert for potential risks that may result from a recovery still facing many headwinds. As your representative, the Nuveen Fund Board monitors the activities of each investment team to assure that all maintain their investment disciplines. As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund.
 
On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
 
Sincerely,
-s- Robert P. Bremner
Robert P. Bremner
Chairman of the Board
September 22, 2010

     
     
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Portfolio Manager’s Comments

 
 
Nuveen Senior Income Fund (NSL)
Nuveen Floating Rate Income Fund (JFR)
Nuveen Floating Rate Income Opportunity Fund (JRO)
 
The Funds’ investment portfolios have been managed since 2001 by Gunther Stein of Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther, who is Symphony’s chief investment officer, has more than 20 years of investment management experience, much of it in evaluating and purchasing senior corporate loans and other high-yield debt.
 
Here Gunther talks about general economic and market conditions, his management strategies and the performance of the Funds for the twelve-month period ended July 31, 2010.
 
What were the general market conditions for the twelve-month period?
 
During this period, there continued to be considerable stress on the economy and both the Federal Reserve (Fed) and the federal government took actions intended to improve the overall economic environment. For its part, the Fed continued to hold the benchmark fed funds rate in a target range of zero to 0.25%. At its June 2010 meeting, the central bank renewed its pledge to keep the fed funds rate “exceptionally low” for an “extended period.” The federal government focused on implementing a $787 billion economic stimulus package intended to provide job creation, tax relief, fiscal assistance to state and local governments and expansion of unemployment benefits.
 
 
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 manager 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.
 
These and other measures taken by the Fed and the government to ease the economic recession helped to produce some signs of improvement. Over the four calendar quarters comprising most of this period, the U.S. economy, as measured by the U.S. gross domestic product (GDP), grew at annualized rates of 1.6%, 5.0%, 3.7% and 1.6%, respectively. This marked the first time since 2007 that the economy managed to string together four consecutive positive quarters. Housing also provided something of a bright spot, as the S&P/Case-Shiller Home Price Index of average residential prices gained 3.6% for the twelve months ended June 2010 (the most recent data available at the time this report was produced). This moved average home prices across the United States to levels similar to where they were in the autumn of 2003.
 
Inflation continued to be relatively tame, as the Consumer Price Index (CPI) rose 1.2% year-over-year as of July 2010. The labor markets remained weak, with the national unemployment rate at 9.5% as of July 2010. This compares with the 26-year high of 10.1% in October 2009 and a rate of 9.4% in July 2009.
 
In the senior loan market, the second half of 2009 saw a continuation of the positive momentum from earlier in the year. This could be attributed to three primary drivers: lack

     
     
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of new issuance, incremental demand for the asset class, and relative strength in fundamentals.
 
Market technical factors remained firm as a result of limited new supply as well as new money being put into loans. New issue activity was virtually nonexistent during the period, although some smaller deals came to market. While the fourth quarter of 2009 saw the highest level of institutional new issuance for the year, the levels paled in comparison with recent years. Many of the deals were driven by refinancings, which continued throughout 2010. Refinancings provide opportunities on a select basis to purchase higher quality new issues with attractive spreads and LIBOR floors. Meanwhile, mutual fund inflows in the second half of 2009 and the first quarter of 2010 remained consistent, given the attractive return profile of senior loan assets and the floating rate coupon which historically has outperformed in rising-rate environments. Institutional investors also showed interest in the asset class off and on throughout the year, with buyers appearing despite spread contraction.
 
The period also saw an improving fundamental environment for senior loans, with relatively low default rates and better recoveries forecasts from market participants and rating agencies. While fundamentals still were not particularly strong, most companies issuing leveraged loans consistently reported better-than-expected operating and net earnings results throughout 2009 and into 2010. This helped to drive positive price action. The Credit Suisse Leverage Loan Index rose +13.98% during the second half of the 2009.
 
What key strategies were used to manage the Fund during the twelve-month period ended July 31, 2010?
 
The investment objective of each Fund is to achieve a high level of current income by investing primarily in adjustable rate secured and unsecured senior loans and other debt instruments. Other investments may include U.S. dollar denominated senior loans of non-U.S. borrowers and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.
 
Toward the end of 2009 and early in 2010, we shifted our investments toward higher quality names as we believed the pace of the rally in riskier assets would normalize as the market leveled off. We also continued to utilize new issues, as well as a variety of older positions where we felt that risk-adjusted returns remained attractive. In addition, we continued to hold select positions in lower quality companies that were purchased at deep discounts to par, such as Infor Global and Citadel. However, the vast majority of the assets in the portfolio traded above 85% of par as fewer broad-based market opportunities were present.
 
How did the Fund perform over this twelve-month period?
 
The performance of the Funds, as well as the performance of certain market indexes, is presented in the accompanying table.

     
     
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Average Annual Total Returns on Common Share Net Asset Value
For periods ended 7/31/10
 
             
    1-Year   5-Year   10-Year
NSL
  28.15%   3.94%   5.08%
JFR
  23.85%   3.43%   3.66%
JRO
  26.66%   3.99%   4.02%
CSFB Leveraged Loan Index1
  14.62%   3.88%   4.46%
Barclays Capital U.S. Aggregate Bond Index2
  8.91%   5.96%   6.49%
             
 
For the twelve months ended July 31, 2010, all three Funds outperformed the comparative indexes. During the period, higher risk assets generally outperformed higher quality assets. The risk-driven rally was most evident in some of the low dollar-priced names we hold in the Funds, such as Tribune Company and Swift Transportation. However, some newer higher-quality assets such as Reynolds Brands also performed well.
 
The more-levered companies generally outperformed during the period, however these names largely underperformed during the previous year and during the financial crisis. There were several special situations that dragged on performance, such as MGM, which is a distressed issuer that had experienced some difficulty with the auction of some of its assets. Other distressed issuers, such as Intelsat also contributed negatively to performance.
 
 
Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares.
 
For additional information, see the individual Performance Overview for your Fund in this report.
 
The CSFB Leveraged Loan Index is a representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of these Funds relative to the comparative indexes was the Funds’ use of financial leverage, primarily through bank borrowings. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total returns for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of Fund holdings generally are rising.
 
The use of leverage made a significant positive contribution to the return of each Fund over this period.
 
RECENT DEVELOPMENTS REGARDING THE FUNDS’ LEVERAGED CAPITAL STRUCTURES
 
Shortly after their inceptions, each Fund issued auction rate preferred shares (ARPS) to create financial leverage. As noted in past shareholder reports, the weekly auctions for those ARPS shares began in February 2008 to consistently fail, causing the Funds to pay the so-called “maximum rate” to ARPS shareholders under the terms of the ARPS in the Funds’ charter documents. With the goal of lowering the relative cost of leverage over time for common shareholders and providing liquidity at par for preferred shareholders, the Funds sought to refinance all of their outstanding ARPS beginning shortly thereafter. The Funds completed this refinancing process during 2009 and since then have relied upon bank borrowings to create financial leverage.

     
     
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In April and May 2010, 30 Nuveen leveraged closed-end funds, including JRO, received a demand letter from a law firm on behalf of purported holders of common shares of each such fund, alleging that Nuveen and the funds’ officers and Board of Directors/Trustees breached their fiduciary duties related to the redemption at par of the funds’ ARPS. In response, the Board established an ad hoc Demand Committee consisting of certain of its disinterested and independent Board members to investigate the claims. The Demand Committee retained independent counsel to assist it in conducting an extensive investigation. Based upon its investigation, the Demand Committee found that it was not in the best interests of each fund or its shareholders to take the actions suggested in the demand letters, and recommended that the full Board reject the demands made in the demand letters. After reviewing the findings and recommendation of the Demand Committee, the full Board of each fund unanimously adopted the Demand Committee’s recommendation.
 
Subsequently, twenty of the funds that received demand letters (not including JRO) were named as nominal defendants in a putative shareholder derivative action complaint captioned Safier and Smith v. Nuveen Asset Management, et al. that was filed in the Circuit Court of Cook County, Illinois, Chancery Division (the “Cook County Chancery Court”) on July 27, 2010. Three additional funds (not including JRO) were named as nominal defendants in a similar complaint captioned Curbow v. Nuveen Asset Management, et al. filed in the Cook County Chancery Court on August 12, 2010, and three additional funds (not including JRO) were named as nominal defendants in a similar complaint captioned Beidler v. Nuveen Asset Management, et al. filed in the Cook County Chancery Court on September 21, 2010 (collectively, the “Complaints”). The Complaints, filed on behalf of purported holders of each fund’s common shares, also name Nuveen Asset Management as a defendant, together with current and former Officers and Trustees of each of the funds (together with the nominal defendants, collectively, the “Defendants”). The Complaints contain the same basic allegations contained in the demand letters. The suits seek a declaration that the Defendants have breached their fiduciary duties, an order directing the Defendants not to redeem any ARPS at their liquidation value using fund assets, indeterminate monetary damages in favor of the funds and an award of plaintiffs’ costs and disbursements in pursuing the action. Nuveen Asset Management believes that the Complaints are without merit, and intends to defend vigorously against these charges.
 
For up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/arps.

     
     
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Common Share Distribution
and Share Price Information

 
 
As noted earlier, these Funds use financial leverage to potentially enhance opportunities for additional income for common shareholders. The Funds’ use of this leverage strategy continued to provide incremental income, although the extent of this benefit was reduced to some degree by short-term interest rates that remained relatively high during the early part of the period. This, in turn, kept the Funds’ borrowing costs high. All three fund’s distributions increased twice over the twelve-month period.
 
During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s common share NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund’s common share NAV. As of July 31, 2010, NSL had a positive UNII balance for tax purposes while JFR & JRO had negative UNII balances for tax purposes. For financial statement purposes, JRO had a positive UNII balance while NSL and JFR had negative UNII balances.
 
Common Share Repurchases and Share Price Information
 
As of July 31, 2010, and since the inception of the Funds’ repurchase program, JFR and JRO have cumulatively repurchased common shares as shown in the accompanying table. Since the inception of the Fund’s repurchase program, NSL has not repurchased any of its outstanding common shares.
 
         
    Common Shares
  % of Outstanding
Fund   Repurchased   Common Shares
JFR
  147,593   0.3%
JRO
  19,400   0.1%
         
 
During the twelve-month reporting period, the JFR and JRO repurchased common shares at a weighted average price and a weighted average discount per common share as shown in the accompanying table.
 
             
        Weighted Average
  Weighted Average
    Common Shares
  Price Per Share
  Discount Per Share
Fund   Repurchased   Repurchased   Repurchased
JFR
  137,893   $9.15   12.86%
JRO
  9,700   $8.95   13.25%
             

     
     
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As of July 31, 2010, the Funds were trading at (+) premiums/ (-) discounts to their common share NAVs as shown in the accompanying table.
 
         
        Twelve-Month
    7/31/10
  Average
    (+) Premium/
  (+) Premium/
Fund   (-) Discount   (-) Discount
NSL
  (+)2.06%   (+)1.56%
JFR
  (-)2.35%   (-)6.13%
JRO
  (+)2.65%   (-)2.86%
         

     
     
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NSL
Performance
OVERVIEW
    Nuveen Senior
Income Fund
      as of July 31, 2010

     
Fund Snapshot
Common Share Price   $6.95
     
Common Share Net Asset Value   $6.81
     
Premium/(Discount) to NAV   2.06%
     
Latest Dividend   $0.0400
     
Market Yield   6.91%
     
Net Assets Applicable to
Common Shares ($000)
  $203,261
     
         
Average Annual Total Return
(Inception 10/26/99)
    On Share Price   On NAV
1-Year   44.83%   28.15%
         
5-Year   3.61%   3.94%
         
10-Year   5.11%   5.08%
         
     
Portfolio Composition
(as a % of total investments)
Media   10.6%
     
Hotels, Restaurants & Leisure   9.3%
     
Health Care Providers & Services   8.7%
     
Specialty Retail   4.4%
     
Building Products   4.1%
     
IT Services   3.4%
     
Oil, Gas & Consumable Fuels   2.8%
     
Automobiles   2.8%
     
Paper & Forest Products   2.4%
     
Chemicals   2.4%
     
Road & Rail   2.3%
     
Diversified Telecommunication Services   2.3%
     
Airlines   2.3%
     
Communications Equipment   2.2%
     
Real Estate Management & Development   2.2%
     
Software   2.2%
     
Food & Staples Retailing   2.0%
     
Leisure Equipment & Products   1.8%
     
Pharmaceuticals   1.7%
     
Internet Software & Services   1.6%
     
Auto Components   1.5%
     
Food Products   1.2%
     
Aerospace & Defense   1.2%
     
Household Products   1.2%
     
Warrants   0.7%
     
Short-Term Investments   8.0%
     
Other   14.7%
     
     
Top Five Issuers
(as a % of total long-term investments)
Infor Global Solutions Intermediate Holdings, Ltd.   2.4%
     
Charter Communications Operating Holdings LLC   2.1%
     
Swift Transportation Company, Inc.   2.0%
     
Michaels Stores, Inc.   2.0%
     
Venetian Casino Resort LLC   2.0%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.

     
     
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JFR
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Fund
      as of July 31, 2010

     
Fund Snapshot
Common Share Price   $11.20
     
Common Share Net Asset Value   $11.47
     
Premium/(Discount) to NAV   -2.35%
     
Latest Dividend   $0.0510
     
Market Yield   5.46%
     
Net Assets Applicable to
Common Shares ($000)
  $542,456
     
         
Average Annual Total Return
(Inception 3/25/04)
    On Share Price   On NAV
1-Year   41.48%   23.85%
         
5-Year   4.17%   3.43%
         
Since Inception   3.01%   3.66%
         
     
Portfolio Composition
(as a % of total investments)
Media   12.2%
     
Hotels, Restaurants & Leisure   10.1%
     
Health Care Providers & Services   6.5%
     
Specialty Retail   4.8%
     
IT Services   4.2%
     
Road & Rail   3.8%
     
Diversified Telecommunication Services   3.3%
     
Building Products   3.2%
     
Wireless Telecommunication Services   2.9%
     
Chemicals   2.7%
     
Oil, Gas & Consumable Fuels   2.7%
     
Software   2.6%
     
Airlines   2.4%
     
Real Estate Management & Development   2.4%
     
Communications Equipment   2.1%
     
Automobiles   1.9%
     
Auto Components   1.9%
     
Pharmaceuticals   1.8%
     
Insurance   1.8%
     
Internet Software & Services   1.6%
     
Leisure Equipment & Products   1.6%
     
Food Products   1.5%
     
Investment Companies   1.6%
     
Warrants   0.4%
     
Short-Term Investments   6.0%
     
Other   14.0%
     
     
Top Five Issuers
(as a % of total long-term investments)
Swift Transportation Company, Inc.   3.3%
     
Univision Communications, Inc.   2.8%
     
Venetian Casino Resort LLC   2.5%
     
Avaya, Inc.   2.0%
     
Federal-Mogul Corporation   2.0%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.

     
     
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JRO
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Opportunity Fund
      as of July 31, 2010

     
Fund Snapshot
Common Share Price   $11.64
     
Common Share Net Asset Value   $11.34
     
Premium/(Discount) to NAV   2.65%
     
Latest Dividend   $0.0620
     
Market Yield   6.39%
     
Net Assets Applicable to
Common Shares ($000)
  $322,136
     
         
Average Annual Total Return
(Inception 7/27/04)
    On Share Price   On NAV
1-Year   49.00%   26.66%
         
5-Year   6.20%   3.99%
         
Since Inception   4.22%   4.02%
         
     
Portfolio Composition
(as a % of total investments)
Media   13.5%
     
Hotels, Restaurants & Leisure   10.3%
     
Health Care Providers & Services   5.8%
     
Specialty Retail   4.1%
     
Road & Rail   4.0%
     
IT Services   3.8%
     
Oil, Gas & Consumable Fuels   3.4%
     
Wireless Telecommunication Services   2.9%
     
Diversified Telecommunication Services   2.9%
     
Real Estate Management & Development   2.8%
     
Communications Equipment   2.7%
     
Software   2.6%
     
Building Products   2.6%
     
Auto Components   2.6%
     
Airlines   2.5%
     
Automobiles   2.5%
     
Internet Software & Services   2.0%
     
Chemicals   1.9%
     
Pharmaceuticals   1.9%
     
Food & Staples Retailing   1.7%
     
Diversified Consumer Services   1.7%
     
Health Care Equipment & Supplies   1.6%
     
Warrants   0.5%
     
Short-Term Investments   5.0%
     
Other   14.7%
     
     
Top Five Issuers
(as a % of total long-term investments)
Swift Transportation Company, Inc.   3.2%
     
Clear Channel Communications, Inc.   2.7%
     
Federal-Mogul Corporation   2.6%
     
Avaya, Inc.   2.5%
     
Venetian Casino Resort LLC   2.5%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.

     
     
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Report of Independent
Registered Public Accounting Firm

 
 
The Board of Trustees and Shareholders
Nuveen Senior Income Fund
Nuveen Floating Rate Income Fund
Nuveen Floating Rate Income Opportunity Fund
 
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating Rate Income Opportunity Fund (the “Funds”), as of July 31, 2010, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2010, by correspondence with the broker, custodian, counterparty and selling or agent banks or by other appropriate auditing procedures where replies from selling or agent banks were not received. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund and Nuveen Floating Rate Income Opportunity Fund at July 31, 2010, the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with U.S. generally accepted accounting principles.
 
-s- Ernst & Young LLP
 
Chicago, Illinois
September 27, 2010

     
     
Nuveen Investments
  13
     


 

           
           
  NSL
    Nuveen Senior Income Fund
Portfolio of Investments
          July 31, 2010

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 117.7% (80.9% of Total Investments) (4)
         
       
Aerospace & Defense – 1.8% (1.2% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.230%       7/31/14       B     $ 521,330  
  558    
DAE Aviation Holdings, Inc., Term Loan B2
    4.230%       7/31/14       B       506,118  
  112    
Hawker Beechcraft, LLC, LC Facility
    2.533%       3/26/14       CCC+       90,580  
  1,874    
Hawker Beechcraft, LLC, Term Loan
    2.374%       3/26/14       CCC+       1,519,032  
  1,000    
McKechnie Aerospace Holdings, Inc., Term Loan
    5.320%       5/11/15       N/R       927,323  
                                         
  4,118    
Total Aerospace & Defense
                            3,564,383  
                                         
       
Airlines – 3.3% (2.3% of Total Investments)
                                         
  1,940    
Delta Air Lines, Inc., Credit Linked Deposit
    2.258%       4/30/12       Ba2       1,853,104  
  1,940    
Delta Air Lines, Inc., Term Loan
    3.591%       4/30/14       B       1,762,166  
  3,546    
United Air Lines, Inc., Term Loan B
    2.375%       2/01/14       BB–       3,154,636  
                                         
  7,426    
Total Airlines
                            6,769,906  
                                         
       
Auto Components – 2.0% (1.4% of Total Investments)
                                         
  3,056    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.286%       12/29/14       Ba3       2,735,669  
  1,560    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.279%       12/28/15       Ba3       1,396,127  
                                         
  4,616    
Total Auto Components
                            4,131,796  
                                         
       
Automobiles – 2.4% (1.6% of Total Investments)
                                         
  4,931    
Ford Motor Company, Term Loan
    3.350%       12/15/13       Ba1       4,800,633  
                                         
       
Building Products – 4.1% (2.8% of Total Investments)
                                         
  1,327    
Building Materials Corporation of America, Term Loan
    3.125%       2/22/14       BBB–       1,285,533  
  1,331    
Euramax Holdings, Inc., PIK Term Loan
    3.000%       6/29/13       B–       1,255,124  
  1,288    
Euramax Holdings, Inc., Term Loan
    10.000%       6/29/13       B–       1,214,692  
  4,568    
TFS Acquisition, Term Loan
    10.000%       8/11/13       B–       4,545,101  
                                         
  8,514    
Total Building Products
                            8,300,450  
                                         
       
Chemicals – 3.1% (2.1% of Total Investments)
                                         
  400    
Celanese US Holdings LLC, Credit Linked Deposit
    2.098%       4/02/14       BB+       384,000  
  541    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B2       482,418  
  119    
Hexion Specialty Chemicals, Inc., Term Loan C1
    2.813%       5/05/13       Ba3       112,178  
  53    
Hexion Specialty Chemicals, Inc., Term Loan C2
    2.813%       5/05/13       Ba3       49,811  
  1,412    
Hexion Specialty Chemicals, Inc., Term Loan C4
    2.625%       5/05/13       Ba3       1,327,573  
  897    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B       884,189  
  897    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B       884,212  
  710    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       716,213  
  1,508    
Univar, Inc., Term Loan
    3.316%       10/10/14       B+       1,450,624  
                                         
  6,537    
Total Chemicals
                            6,291,218  
                                         
       
Commercial Services & Supplies – 1.5% (1.0% of Total Investments)
                                         
  134    
ServiceMaster Company, Delayed Term Loan
    2.820%       7/24/14       B+       123,748  
  1,347    
ServiceMaster Company, Term Loan
    2.879%       7/24/14       B+       1,242,639  
  995    
Universal City Development Partners, Ltd., Term Loan
    5.500%       11/06/14       Ba2       998,002  
  727    
West Corporation, Term Loan B4
    4.249%       7/15/16       BB–       706,498  
                                         
  3,203    
Total Commercial Services & Supplies
                            3,070,887  
                                         
       
Communications Equipment – 2.9% (2.0% of Total Investments)
                                         
  5,449    
Avaya, Inc., Term Loan
    3.260%       10/24/14       B1       4,848,252  
  998    
Telcordia Technologies, Inc., Term Loan
    6.750%       4/30/16       B+       993,759  
                                         
  6,447    
Total Communications Equipment
                            5,842,011  
                                         
       
Containers & Packaging – 0.0% (0.0% of Total Investments)
                                         
  34    
Graham Packaging Company LP, Term Loan B
    2.636%       10/07/11       B+       34,410  
                                         
       
Diversified Consumer Services – 1.3% (0.9% of Total Investments)
                                         
  2,935    
Cengage Learning Acquisitions, Inc., Term Loan
    3.030%       7/03/14       B+       2,604,123  
                                         
       
Diversified Financial Services – 1.7% (1.1% of Total Investments)
                                         
  550    
CIT Group, Inc., Tranche A1, Term Loan
    13.000%       1/18/12       BB       568,385  
  1,100    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       BB       1,135,009  
  1,736    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,670,852  
                                         
  3,386    
Total Diversified Financial Services
                            3,374,246  
                                         

     
     
14
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Diversified Telecommunication Services – 3.3% (2.3% of Total Investments)
                                         
$ 1,995    
Cincinnati Bell Inc., Tranche B, Term Loan
    6.500%       11/18/14       BB     $ 1,962,938  
  323    
Intelsat, Tranche B2, Term Loan A
    3.033%       1/03/14       BB–       305,794  
  323    
Intelsat, Tranche B2, Term Loan B
    3.033%       1/03/14       BB–       305,700  
  323    
Intelsat, Tranche B2, Term Loan C
    3.033%       1/03/14       BB–       305,700  
  2,000    
Intelsat, Unsecured Term Loan
    3.026%       2/01/14       B+       1,800,000  
  2,267    
Level 3 Financing, Inc., Term Loan
    2.724%       3/13/14       B+       2,038,112  
                                         
  7,231    
Total Diversified Telecommunication Services
                            6,718,244  
                                         
       
Electric Utilities – 0.7% (0.5% of Total Investments)
                                         
  451    
Calpine Corporation, DIP Term Loan
    3.415%       3/29/14       B+       428,752  
  556    
Calpine Corporation, Delayed Draw, Term Loan, (5), (6)
    0.500%       3/29/14       B+       (70,139 )
  445    
TXU Corporation, Term Loan B2
    3.975%       10/10/14       B+       346,686  
  950    
TXU Corporation, Term Loan B3
    3.846%       10/10/14       B+       736,933  
                                         
  2,402    
Total Electric Utilities
                            1,442,232  
                                         
       
Electrical Equipment – 1.7% (1.2% of Total Investments)
                                         
  3,790    
Allison Transmission Holdings, Inc., Term Loan
    3.100%       8/07/14       B       3,548,331  
                                         
       
Food & Staples Retailing – 1.9% (1.3% of Total Investments)
                                         
  4,457    
U.S. Foodservice, Inc., Term Loan
    2.828%       7/03/14       B2       3,879,521  
                                         
       
Food Products – 1.8% (1.2% of Total Investments)
                                         
  1,949    
BLB Management Services, Inc., Term Loan, WI/DD
    TBD       TBD       N/R       1,409,729  
  1,700    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       1,706,588  
  492    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
    7.500%       4/02/14       B       493,967  
                                         
  4,141    
Total Food Products
                            3,610,284  
                                         
       
Health Care Equipment & Supplies – 1.2% (0.8% of Total Investments)
                                         
  239    
Fenwal, Inc., Delayed Term Loan
    2.788%       2/28/14       B       207,069  
  759    
Fenwal, Inc., Term Loan
    2.788%       2/28/14       B       657,379  
  899    
Symbion, Inc., Term Loan A
    3.566%       8/23/13       B1       814,266  
  929    
Symbion, Inc., Term Loan B
    3.566%       8/25/14       B1       841,453  
                                         
  2,826    
Total Health Care Equipment & Supplies
                            2,520,167  
                                         
       
Health Care Providers & Services – 12.1% (8.3% of Total Investments)
                                         
  1,496    
Ardent Medical Services, Inc., Term Loan
    6.500%       9/15/15       B1       1,459,779  
  170    
Community Health Systems, Inc., Delayed Term Loan
    2.788%       7/25/14       BB       160,963  
  3,306    
Community Health Systems, Inc., Term Loan
    2.788%       7/25/14       BB       3,137,327  
  936    
HCA, Inc., Tranche B2, Term Loan
    3.783%       3/31/17       BB       912,517  
  215    
IASIS Healthcare LLC, Delayed Term Loan
    2.316%       3/14/14       Ba2       203,239  
  58    
IASIS Healthcare LLC, Letter of Credit
    2.280%       3/14/14       Ba2       55,303  
  2,111    
IASIS Healthcare LLC, PIK Term Loan
    4.250%       6/16/14       CCC+       1,986,592  
  621    
IASIS Healthcare LLC, Term Loan
    2.316%       3/14/14       Ba2       587,226  
  3,810    
LifeCare, Term Loan B
    4.730%       8/10/12       B2       3,524,250  
  1,901    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       1,889,467  
  1,712    
Select Medical Corporation, Term Loan, WI/DD
    TBD       TBD       Ba2       1,668,254  
  396    
Skilled Healthcare Group, Inc., Delayed Term Loan
    5.250%       4/09/16       B1       364,833  
  4,346    
Skilled Healthcare Group, Inc., Term Loan, DD1
    5.250%       4/09/16       B1       4,002,218  
  3,000    
Universal Health Services Term Loan, WI/DD
    TBD       TBD       BB+       2,982,499  
  1,574    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       1,561,055  
                                         
  25,652    
Total Health Care Providers & Services
                            24,495,522  
                                         
       
Hotels, Restaurants & Leisure – 13.1% (9.0% of Total Investments)
                                         
  2,000    
24 Hour Fitness Worldwide, Inc., Term Loan
    6.750%       4/22/16       Ba2       1,866,500  
  3,368    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       3,327,946  
  1,470    
Cedar Fair LP, Term Loan, WI/DD
    TBD       TBD       Ba2       1,476,234  
  1,000    
Harrah’s Operating Company, Inc., Term Loan B1
    3.498%       1/28/15       B       858,264  
  2,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.498%       1/28/15       B       1,722,126  
  997    
Harrah’s Operating Company, Inc., Term Loan B3
    3.498%       1/28/15       B       852,256  
  390    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    5.000%       11/25/13       B+       369,247  
  506    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       479,114  
  1,264    
Isle of Capri Casinos, Inc., Delayed Term Loan
    5.000%       11/25/13       B+       1,197,785  
  2,361    
Orbitz Worldwide, Inc., Term Loan
    3.417%       7/25/14       B+       2,219,713  
  188    
OSI Restaurant Partners LLC, Revolver
    1.432%       6/14/13       B+       163,405  
  1,673    
OSI Restaurant Partners LLC, Term Loan
    2.875%       6/14/14       B+       1,456,606  
  1,000    
QCE LLC, Term Loan
    6.066%       11/05/13       N/R       677,500  
  994    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       993,005  
  993    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       994,833  

     
     
Nuveen Investments
  15
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 970    
Travelport LLC, Delayed Term Loan
    2.816%       8/23/13       Ba3     $ 914,495  
  268    
Travelport LLC, Letter of Credit
    3.033%       8/23/13       Ba3       253,028  
  1,334    
Travelport LLC, Term Loan
    2.816%       8/23/13       Ba3       1,261,038  
  1,119    
Venetian Casino Resort LLC, Delayed Term Loan, DD1
    2.070%       5/23/14       B–       1,041,281  
  4,761    
Venetian Casino Resort LLC, Term Loan, DD1
    2.070%       5/23/14       B–       4,431,111  
                                         
  28,656    
Total Hotels, Restaurants & Leisure
                            26,555,487  
                                         
       
Household Products – 1.8% (1.2% of Total Investments)
                                         
  3,509    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       3,551,057  
                                         
       
Insurance – 1.3% (0.9% of Total Investments)
                                         
  1,165    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B2       1,141,731  
  1,563    
Fidelity National Information Services, Inc., Term Loan B
    5.250%       7/18/16       Ba2       1,573,405  
                                         
  2,728    
Total Insurance
                            2,715,136  
                                         
       
Internet Software & Services – 1.6% (1.1% of Total Investments)
                                         
  1,459    
Open Solutions, Inc., Term Loan B
    2.625%       1/23/14       BB–       1,262,557  
  2,000    
SkillSoft PLC Term Loan
    6.500%       5/30/17       BB       2,007,500  
                                         
  3,459    
Total Internet Software & Services
                            3,270,057  
                                         
       
IT Services – 4.6% (3.2% of Total Investments)
                                         
  953    
First Data Corporation, Term Loan B1
    3.078%       9/24/14       B+       831,563  
  2,473    
First Data Corporation, Term Loan B2
    3.078%       9/24/14       B+       2,155,624  
  127    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, First Lien
    6.030%       7/28/15       B+       118,556  
  2,090    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       1,546,600  
  545    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Term Loan
    6.070%       7/28/15       B+       508,380  
  1,008    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan, WI/DD
    TBD       TBD       N/R       414,822  
  270    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.070%       7/28/12       B+       251,521  
  3,610    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       2,647,332  
  1,038    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.070%       7/28/15       B+       962,672  
                                         
  12,114    
Total IT Services
                            9,437,070  
                                         
       
Leisure Equipment & Products – 2.6% (1.8% of Total Investments)
                                         
  3,244    
Bombardier Recreational Products, Inc., Term Loan
    3.193%       6/28/13       Caa1       2,813,754  
  1,260    
Herbst Gaming, Inc., Delayed Term Loan, (7), (8)
    10.500%       12/02/11       N/R       775,061  
  2,613    
Herbst Gaming, Inc., Term Loan, (7), (8)
    10.500%       12/02/11       N/R       1,607,050  
                                         
  7,117    
Total Leisure Equipment & Products
                            5,195,865  
                                         
       
Media – 13.6% (9.4% of Total Investments)
                                         
  64    
American Media Operations, Inc., Term Loan
    5.500%       1/30/13       B3       61,185  
  1,656    
Carmike Cinemas, Inc., Term Loan
    5.500%       1/27/16       B1       1,655,840  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    3.038%       3/06/14       BB+       917,750  
  4,380    
Charter Communications Operating Holdings LLC, Term Loan C
    3.790%       9/06/16       BB+       4,186,832  
  540    
Charter Communications Operating Holdings LLC, Term Loan
    2.320%       3/06/14       BB+       513,140  
  1,465    
Citadel Broadcasting Corporation, Term Loan, (9)
    11.000%       6/03/15       BB+       1,538,046  
  1,539    
Gray Television, Inc., Term Loan B
    3.850%       12/31/14       B       1,449,297  
  2,400    
Interactive Data Corporation, Term Loan, WI/DD
    TBD       TBD       Ba3       2,398,999  
  3,860    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (8), (9)
    18.250%       4/09/12       N/R       1,692,564  
  1,210    
Nielsen Finance LLC, Term Loan B
    4.095%       5/02/16       Ba3       1,172,801  
  1,000    
Emmis Operating Company, Tranche B, Term Loan, WI/DD
    TBD       TBD       Caa2       847,500  
  1,888    
Philadelphia Newspapers, Term Loan, (7), (8)
    6.500%       6/29/13       N/R       580,623  
  2,974    
Spanish Broadcasting System, Inc., Term Loan B
    2.290%       6/11/12       B–       2,681,428  
  1,082    
SuperMedia, Term Loan
    8.000%       12/31/15       B–       915,428  
  2,410    
Tribune Company, Term Loan B, (7), (8), DD1
    3.000%       6/04/14       Ca       1,548,409  
  4,968    
Univision Communications, Inc., Term Loan
    2.566%       9/29/14       B2       4,350,847  
  2,000    
Yell Group PLC, Term Loan
    4.066%       7/31/14       N/R       1,210,000  
                                         
  34,436    
Total Media
                            27,720,689  
                                         
       
Metals & Mining – 1.0% (0.7% of Total Investments)
                                         
  2,135    
John Maneely Company, Term Loan
    3.775%       12/09/13       B       2,031,112  
                                         
       
Multiline Retail – 1.6% (1.1% of Total Investments)
                                         
  3,508    
Neiman Marcus Group, Inc., Term Loan, DD1
    2.473%       4/06/13       BB–       3,315,654  
                                         
       
Oil, Gas & Consumable Fuels – 3.6% (2.5% of Total Investments)
                                         
  167    
Alon USA Energy, Inc., Edgington Facility
    2.566%       8/05/13       BB–       131,227  
  1,337    
Alon USA Energy, Inc., Paramount Facility
    2.669%       8/05/13       BB–       1,049,738  
  1,000    
Big West Oil LLC, New Term Loan
    12.000%       7/23/15       B+       1,008,333  

     
     
16
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Oil, Gas & Consumable Fuels (continued)
                                         
$ 295    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.383%       1/03/15       B1     $ 273,235  
  2,176    
Calumet Lubricants Company LP, Term Loan
    4.436%       1/03/15       B1       2,018,166  
  750    
DynCorp International, Inc., Term Loan
    6.250%       7/07/16       Ba1       754,125  
  2,369    
Venoco, Inc., Term Loan
    4.375%       5/07/14       BB–       2,147,240  
                                         
  8,094    
Total Oil, Gas & Consumable Fuels
                            7,382,064  
                                         
       
Paper & Forest Products – 3.0% (2.1% of Total Investments)
                                         
  3,000    
Newark Group, Inc., DIP Term Loan, WI/DD
    TBD       TBD       N/R       3,030,000  
  3,830    
Wilton Products, Term Loan
    3.760%       8/01/14       B+       3,121,648  
                                         
  6,830    
Total Paper & Forest Products
                            6,151,648  
                                         
       
Personal Products – 1.0% (0.7% of Total Investments)
                                         
  1,995    
Revlon Consumer Products Corporation, Term Loan
    6.000%       3/11/15       Ba3       1,961,334  
                                         
       
Pharmaceuticals – 2.1% (1.5% of Total Investments)
                                         
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (11)
    6.816%       5/03/13       CCC       796,666  
  2,182    
Graceway Pharmaceuticals LLC, Term Loan
    3.066%       5/03/12       B–       1,831,711  
  236    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       236,412  
  644    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       644,309  
  303    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       303,718  
  505    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       505,745  
                                         
  5,870    
Total Pharmaceuticals
                            4,318,561  
                                         
       
Professional Services – 1.3% (0.9% of Total Investments)
                                         
  1,833    
US Invsetigations Services Inc., Term Loan B, WI/DD
    TBD       TBD       B+       1,833,333  
  978    
Vertrue Inc., Term Loan
    3.540%       8/16/14       Ba3       849,953  
                                         
  2,811    
Total Professional Services
                            2,683,286  
                                         
       
Real Estate Management & Development – 3.3% (2.2% of Total Investments)
                                         
  3,502    
Capital Automotive LP, Tranche C
    2.850%       12/14/12       Ba3       3,269,688  
  1,729    
LNR Property Corporation, Term Loan B
    7.750%       7/12/11       CCC       1,652,720  
  1,916    
Realogy Corporation, Delayed Term Loan
    3.380%       10/10/13       Caa1       1,683,359  
                                         
  7,147    
Total Real Estate Management & Development
                            6,605,767  
                                         
       
Road & Rail – 2.9% (2.0% of Total Investments)
                                         
  392    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       Ba2       390,000  
  5,716    
Swift Transportation Company, Inc., Term Loan
    8.250%       5/12/14       B–       5,578,436  
                                         
  6,108    
Total Road & Rail
                            5,968,436  
                                         
       
Semiconductors & Equipment – 1.5% (1.0% of Total Investments)
                                         
  1,200    
Freescale Semiconductor, Inc., Term Loan
    4.596%       12/01/16       B2       1,105,934  
  1,995    
Spansion LLC, Term Loan
    5.500%       2/09/15       BB–       1,984,403  
                                         
  3,195    
Total Semiconductors & Equipment
                            3,090,337  
                                         
       
Software – 3.2% (2.2% of Total Investments)
                                         
  2,768    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–       2,744,622  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.783%       6/01/15       CCC       1,650,000  
  914    
IPC Systems, Inc., Term Loan
    2.697%       6/02/14       B1       817,089  
  500    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    5.750%       5/05/16       BB–       498,438  
  800    
Vertafore Inc., Term Loan, WI/DD
    TBD       TBD       N/R       797,750  
                                         
  6,982    
Total Software
                            6,507,899  
                                         
       
Specialty Retail – 6.1% (4.2% of Total Investments)
                                         
  5,066    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.710%       5/28/13       B–       4,802,594  
  4,483    
Michaels Stores, Inc., Term Loan B1, DD1
    2.762%       10/31/13       B       4,204,759  
  1,396    
Michaels Stores, Inc., Term Loan B2
    5.012%       7/31/16       B       1,337,199  
  2,000    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.575%       7/19/12       BB–       1,982,500  
                                         
  12,945    
Total Specialty Retail
                            12,327,052  
                                         
       
Wireless Telecommunication Services – 1.7% (1.2% of Total Investments)
                                         
  1,985    
Asurion Corporation, Term Loan
    3.356%       7/03/14       N/R       1,905,048  
  2,000    
Clear Channel Communications, Inc., Tranche B, Term Loan
    3.966%       11/13/15       Caa1       1,599,286  
                                         
  3,985    
Total Wireless Telecommunication Services
                            3,504,334  
                                         
$ 266,270    
Total Variable Rate Senior Loan Interests (cost $249,909,289)
                            239,291,209  
                                         

     
     
Nuveen Investments
  17
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 2.5% (1.7% of Total Investments)
         
       
Building Products – 1.9% (1.3% of Total Investments)
                                         
  88,501    
Masonite Worldwide Holdings, (10), (12)
                          $ 3,777,886  
                                         
       
Chemicals – 0.3% (0.2% of Total Investments)
                                         
  20,014    
LyondellBasell Industries NV, (10)
                            360,252  
  18,343    
LyondellBasell Industries NV, (10)
                            330,174  
                                         
       
Total Chemicals
                            690,426  
                                         
       
Media – 0.3% (0.2% of Total Investments)
                                         
  33,484    
Readers Digest Association Inc., (10), (12)
                            661,309  
                                         
       
Total Common Stocks (cost $5,477,758)
    5,129,621  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 2.2% (1.5% of Total Investments)
         
       
Communications Equipment – 0.4% (0.3% of Total Investments)
                                         
$ 1,000    
Nortel Networks Corporation, (7), (8), (14)
    1.750%       4/15/12       D     $ 785,000  
                                         
       
Computers & Peripherals – 0.7% (0.5% of Total Investments)
                                         
  2,000    
Hutchinson Technology Inc.
    3.250%       1/15/26       B–       1,520,000  
                                         
       
Food & Staples Retailing – 1.1% (0.7% of Total Investments)
                                         
  2,700    
Great Atlantic & Pacific Tea Company Inc.
    5.125%       6/15/11       Caa3       2,136,375  
                                         
$ 5,700    
Total Convertible Bonds (cost $4,382,418)
                            4,441,375  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 10.5% (7.2% of Total Investments)
         
       
Auto Components – 0.2% (0.1% of Total Investments)
                                         
$ 400    
Exide Technologies
    10.500%       3/15/13       B–     $ 408,000  
                                         
       
Automobiles – 1.7% (1.1% of Total Investments)
                                         
  6,000    
General Motors Corporation, (8)
    8.250%       7/15/23       N/R       2,070,000  
  4,000    
General Motors Corporation, (8)
    6.750%       5/01/28       N/R       1,310,000  
                                         
  10,000    
Total Automobiles
                            3,380,000  
                                         
       
Biotechnology – 0.8% (0.5% of Total Investments)
                                         
  2,000    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR, DD1
    4.204%       12/01/13       CC       1,527,500  
                                         
       
Construction Materials – 1.0% (0.7% of Total Investments)
                                         
  2,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       2,040,000  
                                         
       
Health Care Providers & Services – 0.7% (0.5% of Total Investments)
                                         
  1,000    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.418%       9/15/15       CCC+       876,250  
  500    
Select Medical Corporation
    7.625%       2/01/15       B–       481,250  
                                         
  1,500    
Total Health Care Providers & Services – 0.7% (0.5% of Total Investments)
                            1,357,500  
                                         
       
Health Care Technology – 0.5% (0.4% of Total Investments)
                                         
  1,000    
Merge Healthcare Inc., 144A
    11.750%       5/01/15       B+       1,010,000  
                                         
       
Hotels, Restaurants & Leisure – 0.5% (0.4% of Total Investments)
                                         
  1,000    
CKE Restaurant Inc., 144A
    11.375%       7/15/18       B       1,022,500  
                                         
       
Household Durables – 0.3% (0.2% of Total Investments)
                                         
  700    
William Lyon Homes Inc., Unsecured Senior Note
    10.750%       4/01/13       Caa3       584,500  
                                         
       
Internet Software & Services – 0.8% (0.5% of Total Investments)
                                         
  2,000    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       1,555,000  
                                         
       
IT Services – 0.3% (0.2% of Total Investments)
                                         
  1,000    
First Data Corporation
    11.250%       3/31/16       CCC+       645,000  
                                         

     
     
18
  Nuveen Investments
     


 

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Media – 1.5% (1.0% of Total Investments)
                                         
$ 1,250    
Clear Channel Communications, Inc.
    5.000%       3/15/12       CCC–     $ 1,143,750  
  500    
Clear Channel Communications, Inc.
    5.500%       9/15/14       CCC–       297,500  
  2,000    
Clear Channel Communications, Inc.
    10.750%       8/01/16       CCC–       1,537,500  
                                         
  3,750    
Total Media
                            2,978,750  
                                         
       
Multi-Utilities – 0.2% (0.2% of Total Investments)
                                         
  500    
Bon-Ton Department Stores Inc.
    10.250%       3/15/14       CCC+       491,875  
                                         
       
Oil, Gas & Consumable Fuels – 0.5% (0.3% of Total Investments)
                                         
  1,100    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.954%       6/15/14       B3       1,006,500  
                                         
       
Paper & Forest Products – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR
    4.204%       8/01/14       B       866,250  
                                         
       
Pharmaceuticals – 0.4% (0.3% of Total Investments)
                                         
  1,500    
Angiotech Pharmaceuticals Inc., DD1
    7.750%       4/01/14       C       855,000  
                                         
       
Road & Rail – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.954%       5/15/14       B       890,000  
                                         
       
Specialty Retail – 0.3% (0.2% of Total Investments)
                                         
  1,000    
Local Insight Regatta Holdings
    11.000%       12/01/17       Caa3       607,500  
                                         
$ 31,450    
Total Corporate Bonds (cost $19,981,024)
                            21,225,875  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Warrants – 1.0% (0.7% of Total Investments)
                                         
  85,405    
Citadel Broadcasting Corporation
                          $ 2,049,720  
                                         
       
Total Warrants (cost $2,602,717)
    2,049,720  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 11.7% (8.0% of Total Investments)
                                         
$ 23,818    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/30/10, repurchase price $23,817,947, collateralized by $24,145,000 U.S. Treasury Notes, 0.875%, due 3/31/11, value $24,295,906
    0.020%       8/02/10             $ 23,817,907  
                                         
       
Total Short-Term Investments (cost $23,817,907)
                            23,817,907  
                                         
       
Total Investments (cost $306,171,113) – 145.6%
    295,955,707  
                                         
       
Borrowings – (36.4)% (13), (15)
    (73,950,000 )
                                         
       
Other Assets Less Liabilities – (9.2)%
    (18,745,149 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 203,260,558  
                                         

     
     
Nuveen Investments
  19
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments July 31, 2010

 
             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at July 31, 2010.
        (6)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at July 31, 2010.
        (7)   At or subsequent to July 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (8)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (9)   The Fund’s Adviser concluded this issue is not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (11)   Subsequent to the reporting period, the Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (12)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (13)   Borrowings as a percentage of Total Investments is 25.0%.
        (14)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (15)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
20
  Nuveen Investments
     


 

           
           
  JFR
    Nuveen Floating Rate Income Fund
Portfolio of Investments
          July 31, 2010

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 118.7% (83.8% of Total Investments) (4)
         
       
Aerospace & Defense – 1.1% (0.8% of Total Investments)
                                         
$ 415    
Aveos Fleet Performance, Inc., ABL Term Loan
    11.250%       3/12/13       B     $ 414,579  
  429    
Aveos Fleet Performance, Inc., Term Loan
    8.500%       3/12/15       B       410,656  
  168    
Hawker Beechcraft, LLC, LC Facility
    2.533%       3/26/14       CCC+       135,870  
  496    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       494,544  
  2,811    
Hawker Beechcraft, LLC, Term Loan
    2.374%       3/26/14       CCC+       2,278,548  
  2,300    
Transdigm, Inc., Term Loan B
    2.538%       6/23/13       Ba2       2,239,214  
                                         
  6,619    
Total Aerospace & Defense
                            5,973,411  
                                         
       
Airlines – 3.2% (2.2% of Total Investments)
                                         
  3,177    
Delta Air Lines, Inc., Credit Linked Deposit
    2.258%       4/30/12       Ba2       3,034,930  
  5,292    
Delta Air Lines, Inc., Term Loan
    3.591%       4/30/14       B       4,807,032  
  10,515    
United Air Lines, Inc., Term Loan B, DD1
    2.375%       2/01/14       BB–       9,355,167  
                                         
  18,984    
Total Airlines
                            17,197,129  
                                         
       
Auto Components – 2.7% (1.9% of Total Investments)
                                         
  10,401    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.286%       12/29/14       Ba3       9,310,555  
  5,744    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.279%       12/28/15       Ba3       5,141,620  
                                         
  16,145    
Total Auto Components
                            14,452,175  
                                         
       
Automobiles – 2.0% (1.4% of Total Investments)
                                         
  11,347    
Ford Motor Company, Term Loan
    3.350%       12/15/13       Ba1       11,046,621  
                                         
       
Building Products – 2.2% (1.6% of Total Investments)
                                         
  7,707    
Building Materials Corporation of America, Term Loan
    3.125%       2/22/14       BBB–       7,463,828  
  4,539    
TFS Acquisition, Term Loan
    10.000%       8/11/13       B–       4,516,007  
                                         
  12,246    
Total Building Products
                            11,979,835  
                                         
       
Chemicals – 3.5% (2.5% of Total Investments)
                                         
  1,400    
Celanese US Holdings LLC, Credit Linked Deposit
    2.098%       4/02/14       BB+       1,344,000  
  541    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B2       482,418  
  2,910    
Hexion Specialty Chemicals, Inc., Term Loan C1
    2.813%       5/05/13       Ba3       2,742,280  
  1,292    
Hexion Specialty Chemicals, Inc., Term Loan C2
    2.813%       5/05/13       Ba3       1,217,676  
  3,690    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B       3,637,360  
  3,690    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B       3,637,360  
  2,880    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       2,905,200  
  3,371    
Univar, Inc., Term Loan
    3.316%       10/10/14       B+       3,243,968  
                                         
  19,774    
Total Chemicals
                            19,210,262  
                                         
       
Commercial Services & Supplies – 1.7% (1.2% of Total Investments)
                                         
  3,117    
Rental Services Corporation, Term Loan
    4.040%       11/30/13       B–       2,960,470  
  178    
ServiceMaster Company, Delayed Term Loan
    2.820%       7/24/14       B+       164,147  
  1,786    
ServiceMaster Company, Term Loan
    2.879%       7/24/14       B+       1,648,312  
  1,990    
Universal City Development Partners, Ltd., Term Loan
    5.500%       11/06/14       Ba2       1,996,004  
  2,296    
West Corporation, Term Loan B4
    4.249%       7/15/16       BB–       2,231,144  
                                         
  9,367    
Total Commercial Services & Supplies
                            9,000,077  
                                         
       
Communications Equipment – 2.9% (2.0% of Total Investments)
                                         
  16,589    
Avaya, Inc., Term Loan
    3.260%       10/24/14       B1       14,760,342  
  1,006    
Telcordia Technologies, Inc., Term Loan
    6.750%       4/30/16       B+       1,002,110  
                                         
  17,595    
Total Communications Equipment
                            15,762,452  
                                         
       
Consumer Finance – 0.2% (0.1% of Total Investments)
                                         
  1,027    
Peach Holdings, Inc., Term Loan
    6.250%       11/21/13       CCC–       779,768  
                                         
       
Containers & Packaging – 0.7% (0.5% of Total Investments)
                                         
  455    
Amscan Holdings, Inc., Term Loan
    2.788%       5/27/13       B1       430,887  
  303    
Graham Packaging Company LP, Term Loan B
    2.636%       10/07/11       B+       302,867  
  2,865    
Graham Packaging Company LP, Term Loan C
    6.750%       4/05/14       B+       2,893,414  
                                         
  3,623    
Total Containers & Packaging
                            3,627,168  
                                         

     
     
Nuveen Investments
  21
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Diversified Consumer Services – 1.7% (1.2% of Total Investments)
                                         
$ 6,704    
Cengage Learning Acquisitions, Inc., Term Loan
    3.030%       7/03/14       B+     $ 5,947,753  
  3,500    
Quad Graphics, Inc., Term Loan
    5.500%       8/23/16       BB+       3,331,563  
                                         
  10,204    
Total Diversified Consumer Services
                            9,279,316  
                                         
       
Diversified Financial Services – 0.8% (0.6% of Total Investments)
                                         
  1,100    
CIT Group, Inc., Tranche A1, Term Loan
    13.000%       1/18/12       BB       1,136,770  
  1,650    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       BB       1,702,514  
  1,736    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,670,852  
                                         
  4,486    
Total Diversified Financial Services
                            4,510,136  
                                         
       
Diversified Telecommunication Services – 4.4% (3.1% of Total Investments)
                                         
  4,988    
Cincinnati Bell Inc., Tranche B, Term Loan
    6.500%       11/18/14       BB       4,907,346  
  3,802    
Intelsat, Tranche B2, Term Loan
    3.033%       1/03/14       BB–       3,617,326  
  3,155    
Intelsat, Tranche B2, Term Loan A
    3.033%       1/03/14       BB–       2,983,845  
  3,154    
Intelsat, Tranche B2, Term Loan B
    3.033%       1/03/14       BB–       2,982,927  
  3,154    
Intelsat, Tranche B2, Term Loan C
    3.033%       1/03/14       BB–       2,982,927  
  6,800    
Level 3 Financing, Inc., Term Loan
    2.724%       3/13/14       B+       6,114,336  
  296    
MetroPCS Wireless, Inc., Tranche B1, Term Loan
    2.625%       11/03/13       Ba1       288,731  
                                         
  25,349    
Total Diversified Telecommunication Services
                            23,877,438  
                                         
       
Electric Utilities – 1.2% (0.8% of Total Investments)
                                         
  2,518    
Calpine Corporation, DIP Term Loan
    3.415%       3/29/14       B+       2,394,813  
  2,222    
Calpine Corporation, Delayed Draw, Term Loan, (5), (6)
    0.500%       3/29/14       B+       (280,556 )
  2,607    
TXU Corporation, Term Loan B2
    3.975%       10/10/14       B+       2,029,021  
  2,895    
TXU Corporation, Term Loan B3
    3.846%       10/10/14       B+       2,245,524  
                                         
  10,242    
Total Electric Utilities
                            6,388,802  
                                         
       
Electrical Equipment – 1.4% (1.0% of Total Investments)
                                         
  7,864    
Allison Transmission Holdings, Inc., Term Loan
    3.100%       8/07/14       B       7,363,143  
                                         
       
Food & Staples Retailing – 1.4% (1.0% of Total Investments)
                                         
  8,704    
U.S. Foodservice, Inc., Term Loan
    2.828%       7/03/14       B2       7,576,752  
                                         
       
Food Products – 2.1% (1.5% of Total Investments)
                                         
  2,000    
BLB Management Services, Inc., Term Loan, WI/DD
    TBD       TBD       N/R       1,446,666  
  376    
Dole Food Company, Inc., Deposit-Funded Commitment
    7.941%       4/12/13       Ba2       376,675  
  4,700    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       4,718,213  
  4,918    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
    7.500%       4/02/14       B       4,939,669  
                                         
  11,994    
Total Food Products
                            11,481,223  
                                         
       
Health Care Equipment & Supplies – 0.3% (0.2% of Total Investments)
                                         
  195    
Bausch & Lomb, Inc., Delayed Term Loan
    3.566%       4/24/15       BB–       187,166  
  805    
Bausch & Lomb, Inc., Term Loan
    3.628%       4/24/15       BB–       772,773  
  145    
Fenwal, Inc., Delayed Term Loan
    2.788%       2/28/14       B       125,613  
  846    
Fenwal, Inc., Term Loan
    2.788%       2/28/14       B       732,848  
                                         
  1,991    
Total Health Care Equipment & Supplies
                            1,818,400  
                                         
       
Health Care Providers & Services – 8.5% (6.0% of Total Investments)
                                         
  1,496    
Ardent Medical Services, Inc., Term Loan
    6.500%       9/15/15       B1       1,459,779  
  600    
Community Health Systems, Inc., Delayed Term Loan
    2.788%       7/25/14       BB       569,272  
  11,690    
Community Health Systems, Inc., Term Loan
    2.788%       7/25/14       BB       11,092,805  
  1,112    
HCA, Inc., Tranche B2, Term Loan
    3.783%       3/31/17       BB       1,084,478  
  4,112    
Health Management Associates, Inc., Term Loan
    2.283%       2/28/14       BB–       3,876,206  
  800    
HealthSouth Corporation, Tranche 1, Term Loan
    2.790%       3/10/13       BB–       778,068  
  658    
HealthSouth Corporation, Tranche 2, Term Loan
    4.290%       9/10/15       BB–       651,789  
  778    
IASIS Healthcare LLC, Delayed Term Loan
    2.316%       3/14/14       Ba2       735,654  
  212    
IASIS Healthcare LLC, Letter of Credit
    2.280%       3/14/14       Ba2       200,177  
  1,130    
IASIS Healthcare LLC, PIK Term Loan
    4.250%       6/16/14       CCC+       1,063,667  
  2,247    
IASIS Healthcare LLC, Term Loan
    2.316%       3/14/14       Ba2       2,125,552  
  3,810    
LifeCare, Term Loan B
    4.730%       8/10/12       B2       3,524,250  
  1,901    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       1,889,467  
  1,323    
Select Medical Corporation, Term Loan, WI/DD
    TBD       TBD       Ba2       1,288,968  
  9,000    
Universal Health Services Term Loan, WI/DD
    TBD       TBD       BB+       8,947,498  
  6,965    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       6,907,772  
                                         
  47,834    
Total Health Care Providers & Services
                            46,195,402  
                                         

     
     
22
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure – 12.7% (9.0% of Total Investments)
                                         
$ 5,000    
24 Hour Fitness Worldwide, Inc., Term Loan
    6.750%       4/22/16       Ba2     $ 4,666,250  
  69    
Buffets, Inc., 1st Lien PF/LC Loan
    7.669%       4/22/15       N/R       62,180  
  937    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       925,812  
  4,243    
Cedar Fair LP, Term Loan, WI/DD
    TBD       TBD       Ba2       4,260,057  
  2,113    
Fontainebleau Las Vegas LLC, Term Loan, (7), (8)
    4.000%       6/06/14       N/R       457,712  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
    3.498%       1/28/15       B       1,287,396  
  5,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.498%       1/28/15       B       4,305,315  
  1,994    
Harrah’s Operating Company, Inc., Term Loan B3
    3.498%       1/28/15       B       1,704,513  
  925    
Isle of Capri Casinos, Inc., Delayed Term Loan A, DD1
    5.000%       11/25/13       B+       877,031  
  1,006    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       953,476  
  2,475    
Isle of Capri Casinos, Inc., Delayed Term Loan, DD1
    5.000%       11/25/13       B+       2,345,260  
  6,610    
Orbitz Worldwide, Inc., Term Loan
    3.417%       7/25/14       B+       6,215,729  
  498    
OSI Restaurant Partners LLC, Revolver
    1.432%       6/14/13       B+       433,581  
  4,698    
OSI Restaurant Partners LLC, Term Loan
    2.875%       6/14/14       B+       4,091,369  
  2,981    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       2,979,014  
  7,958    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       7,976,159  
  1,940    
Travelport LLC, Delayed Term Loan
    2.816%       8/23/13       Ba3       1,828,989  
  981    
Travelport LLC, Letter of Credit
    3.033%       8/23/13       Ba3       927,770  
  4,891    
Travelport LLC, Term Loan
    2.816%       8/23/13       Ba3       4,623,807  
  3,771    
Venetian Casino Resort LLC, Delayed Term Loan, DD1
    2.070%       5/23/14       B–       3,509,616  
  15,754    
Venetian Casino Resort LLC, Term Loan, DD1
    2.070%       5/23/14       B–       14,660,900  
                                         
  75,344    
Total Hotels, Restaurants & Leisure
                            69,091,936  
                                         
       
Household Products – 1.8% (1.2% of Total Investments)
                                         
  9,359    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       9,470,476  
                                         
       
Industrial Conglomerates – 0.5% (0.3% of Total Investments)
                                         
  2,490    
CF Industries, Inc., Term Loan
    4.500%       4/05/15       BBB       2,504,742  
                                         
       
Insurance – 2.5% (1.8% of Total Investments)
                                         
  10,217    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B2       10,012,874  
  3,750    
Fidelity National Information Services, Inc., Term Loan B
    5.250%       7/18/16       Ba2       3,776,171  
                                         
  13,967    
Total Insurance
                            13,789,045  
                                         
       
Internet Software & Services – 1.9% (1.3% of Total Investments)
                                         
  762    
Open Solutions, Inc., Term Loan B
    2.625%       1/23/14       BB–       659,842  
  2,973    
Sabre, Inc., Term Loan
    2.373%       9/30/14       B1       2,687,376  
  3,000    
Savvis Inc., Term Loan B, WI/DD
    TBD       TBD       B1       2,910,000  
  4,000    
SkillSoft PLC Term Loan
    6.500%       5/30/17       BB       4,015,000  
                                         
  10,735    
Total Internet Software & Services
                            10,272,218  
                                         
       
IT Services – 5.5% (3.9% of Total Investments)
                                         
  7,557    
First Data Corporation, Term Loan B2
    3.078%       9/24/14       B+       6,586,013  
  5,912    
First Data Corporation, Term Loan B3
    3.078%       9/24/14       B+       5,156,718  
  127    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, First Lien
    6.030%       7/28/15       B+       118,556  
  2,475    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       1,831,500  
  1,865    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Term Loan
    6.070%       7/28/15       B+       1,739,280  
  4,516    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan, DD1
    8.000%       9/02/14       N/R       1,859,095  
  270    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.070%       7/28/12       B+       251,521  
  4,275    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       3,134,999  
  3,568    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.070%       7/28/15       B+       3,309,247  
  6,171    
SunGard Data Systems, Inc., Term Loan B
    2.095%       2/28/14       BB       5,856,973  
                                         
  36,736    
Total IT Services
                            29,843,902  
                                         
       
Leisure Equipment & Products – 2.2% (1.6% of Total Investments)
                                         
  13,840    
Bombardier Recreational Products, Inc., Term Loan
    3.193%       6/28/13       Caa1       12,006,430  
                                         
       
Media – 15.8% (11.2% of Total Investments)
                                         
  28    
American Media Operations, Inc., Term Loan
    5.500%       1/30/13       B3       27,193  
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    3.038%       3/06/14       BB+       2,753,250  
  8,579    
Charter Communications Operating Holdings LLC, Term Loan C
    3.790%       9/06/16       BB+       8,200,863  
  1,057    
Charter Communications Operating Holdings LLC, Term Loan
    2.320%       3/06/14       BB+       1,005,101  
  2,777    
Citadel Broadcasting Corporation, Term Loan, (9), DD1
    11.000%       6/03/15       BB+       2,916,152  
  1,675    
Gray Television, Inc., Term Loan B
    3.850%       12/31/14       B       1,576,880  
  6,400    
Interactive Data Corporation, Term Loan, WI/DD
    TBD       TBD       Ba3       6,397,331  
  3,081    
Live Nation Entertainment Inc., Term Loan B
    4.500%       11/07/16       B–       3,040,785  

     
     
Nuveen Investments
  23
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 3,226    
Mediacom Broadband LLC, Tranche D, Term Loan
    5.500%       3/31/17       BB–     $ 3,149,016  
  15,885    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (8), (9)
    18.250%       4/09/12       N/R       6,965,763  
  1,170    
Nielsen Finance LLC, Term Loan A
    2.345%       8/09/13       Ba3       1,113,822  
  7,485    
Nielsen Finance LLC, Term Loan B
    4.095%       5/02/16       Ba3       7,253,887  
  4,721    
Philadelphia Newspapers, Term Loan, (7), (8)
    6.500%       6/29/13       N/R       1,451,557  
  5,393    
Spanish Broadcasting System, Inc., Term Loan B
    2.290%       6/11/12       B–       4,862,682  
  2,885    
SuperMedia, Term Loan
    8.000%       12/31/15       B–       2,441,141  
  10,432    
Tribune Company, Term Loan B, (7), (8), DD1
    3.000%       6/04/14       Ca       6,702,849  
  22,855    
Univision Communications, Inc., Term Loan
    2.566%       9/29/14       B2       20,013,898  
  3,000    
UPC Broadband Holding BV, Term Loan N
    4.251%       12/31/17       Ba3       2,825,625  
  5,092    
Yell Group PLC, Term Loan
    4.066%       7/31/14       N/R       3,080,667  
                                         
  108,741    
Total Media
                            85,778,462  
                                         
       
Metals & Mining – 0.6% (0.5% of Total Investments)
                                         
  3,661    
John Maneely Company, Term Loan
    3.775%       12/09/13       B       3,483,400  
                                         
       
Multiline Retail – 1.2% (0.8% of Total Investments)
                                         
  6,814    
Neiman Marcus Group, Inc., Term Loan
    2.473%       4/06/13       BB–       6,440,559  
                                         
       
Oil, Gas & Consumable Fuels – 3.4% (2.4% of Total Investments)
                                         
  259    
Alon USA Energy, Inc., Edgington Facility
    2.566%       8/05/13       BB–       203,079  
  2,069    
Alon USA Energy, Inc., Paramount Facility
    2.669%       8/05/13       BB–       1,624,519  
  3,000    
Big West Oil LLC, New Term Loan
    12.000%       7/23/15       B+       3,024,999  
  1,834    
Brand Energy & Infrastructure Services, Inc., Term Loan B
    2.813%       2/07/14       B1       1,636,917  
  412    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.383%       1/03/15       B1       382,330  
  3,045    
Calumet Lubricants Company LP, Term Loan
    4.436%       1/03/15       B1       2,823,970  
  2,932    
CCS Income Trust, Term Loan
    3.316%       11/14/14       B       2,474,154  
  3,000    
DynCorp International, Inc., Term Loan
    6.250%       7/07/16       Ba1       3,016,500  
  3,346    
Venoco, Inc., Term Loan
    4.375%       5/07/14       BB–       3,032,896  
                                         
  19,897    
Total Oil, Gas & Consumable Fuels
                            18,219,364  
                                         
       
Paper & Forest Products – 1.2% (0.9% of Total Investments)
                                         
  5,000    
Newark Group, Inc., DIP Term Loan, WI/DD
    TBD       TBD       N/R       5,050,000  
  1,915    
Wilton Products, Term Loan
    3.760%       8/01/14       B+       1,560,824  
                                         
  6,915    
Total Paper & Forest Products
                            6,610,824  
                                         
       
Personal Products – 0.7% (0.5% of Total Investments)
                                         
  3,990    
Revlon Consumer Products Corporation, Term Loan
    6.000%       3/11/15       Ba3       3,922,669  
                                         
       
Pharmaceuticals – 2.6% (1.8% of Total Investments)
                                         
  5,125    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (11), DD1
    6.816%       5/03/13       CCC       2,041,457  
  1,781    
Graceway Pharmaceuticals LLC, Term Loan
    3.066%       5/03/12       B–       1,495,185  
  1,539    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       1,540,705  
  4,176    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       4,177,668  
  1,840    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       1,840,969  
  3,063    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       3,065,547  
                                         
  17,524    
Total Pharmaceuticals
                            14,161,531  
                                         
       
Professional Services – 0.2% (0.1% of Total Investments)
                                         
  978    
Vertrue Inc., Term Loan
    3.540%       8/16/14       Ba3       849,953  
                                         
       
Real Estate Management & Development – 3.4% (2.4% of Total Investments)
                                         
  7,813    
Capital Automotive LP, Tranche C
    2.850%       12/14/12       Ba3       7,295,521  
  6,057    
LNR Property Corporation, Term Loan B
    7.750%       7/12/11       CCC       5,788,633  
  5,820    
Realogy Corporation, Delayed Term Loan
    3.380%       10/10/13       Caa1       5,114,687  
                                         
  19,690    
Total Real Estate Management & Development
                            18,198,841  
                                         
       
Road & Rail – 5.1% (3.6% of Total Investments)
                                         
  653    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       Ba2       650,000  
  511    
Hertz Corporation, Letter of Credit
    2.087%       12/21/12       Ba1       495,199  
  2,764    
Hertz Corporation, Term Loan
    2.093%       12/21/12       Ba1       2,677,617  
  24,257    
Swift Transportation Company, Inc., Term Loan
    8.250%       5/12/14       B–       23,673,415  
                                         
  28,185    
Total Road & Rail
                            27,496,231  
                                         

     
     
24
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Semiconductors & Equipment – 0.9% (0.7% of Total Investments)
                                         
$ 2,322    
Freescale Semiconductor, Inc., Term Loan
    4.596%       12/01/16       B2     $ 2,139,109  
  2,993    
Spansion LLC, Term Loan
    5.500%       2/09/15       BB–       2,976,604  
                                         
  5,315    
Total Semiconductors & Equipment
                            5,115,713  
                                         
       
Software – 3.7% (2.6% of Total Investments)
                                         
  10,785    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–       10,693,699  
  7,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.783%       6/01/15       CCC       5,775,000  
  1,818    
IPC Systems, Inc., Term Loan
    2.697%       6/02/14       B1       1,626,007  
  2,000    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    5.750%       5/05/16       BB–       1,993,750  
                                         
  21,603    
Total Software
                            20,088,456  
                                         
       
Specialty Retail – 6.8% (4.8% of Total Investments)
  12,231    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.710%       5/28/13       B–       11,595,787  
  7,490    
Michaels Stores, Inc., Term Loan B1, DD1
    2.762%       10/31/13       B       7,025,122  
  5,107    
Michaels Stores, Inc., Term Loan B2
    5.012%       7/31/16       B       4,890,465  
  1,725    
Pilot Travel Centers LLC, Term Loan
    3.250%       6/30/16       BBB–       1,730,207  
  11,985    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.575%       7/19/12       BB–       11,880,205  
                                         
  38,538    
Total Specialty Retail
                            37,121,786  
                                         
       
Trading Companies & Distributors – 0.3% (0.2% of Total Investments)
                                         
  232    
Brenntag Holdings GmbH & Co. KG, Acquisition Facility
    4.101%       1/20/14       BBB–       232,568  
  1,332    
Brenntag Holdings GmbH & Co. KG, Facility B2
    4.085%       1/20/14       BBB–       1,336,546  
                                         
  1,564    
Total Trading Companies & Distributors
                            1,569,114  
                                         
       
Wireless Telecommunication Services – 3.7% (2.6% of Total Investments)
                                         
  10,918    
Asurion Corporation, Term Loan
    3.356%       7/03/14       N/R       10,477,765  
  8,000    
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
    3.966%       11/13/15       Caa1       6,397,144  
  3,229    
MetroPCS Wireless, Inc., Term Loan
    3.500%       11/03/16       N/R       3,189,087  
                                         
  22,147    
Total Wireless Telecommunication Services
                            20,063,996  
                                         
$ 713,428    
Total Variable Rate Senior Loan Interests (cost $655,987,699)
                            643,619,158  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 3.1% (2.2% of Total Investments)
         
       
Aerospace & Defense – 0.1% (0.1% of Total Investments)
                                         
  44,943    
Aveos Fleet Performance Inc., (10), (12)
                          $ 797,738  
                                         
       
Building Products – 2.4% (1.7% of Total Investments)
                                         
  301,905    
Masonite Worldwide Holdings, (10), (12)
                            12,887,570  
                                         
       
Chemicals – 0.2% (0.2% of Total Investments)
                                         
  40,027    
LyondellBasell Industries NV, (10)
                            720,486  
  36,686    
LyondellBasell Industries NV, (10)
                            660,348  
                                         
       
Total Chemicals
                            1,380,834  
                                         
       
Media – 0.4% (0.2% of Total Investments)
                                         
  33,622    
Citadel Broadcasting Corp Class B Shares, (10), (12)
                            806,928  
  7,341    
Citadel Broadcasting Corporation, (10), (12)
                            176,184  
  49,989    
Readers Digest Association Inc., (10), (12)
                            987,283  
                                         
       
Total Media
                            1,970,395  
                                         
       
Total Common Stocks (cost $19,562,675)
    17,036,537  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 0.3% (0.2% of Total Investments)
         
       
Airlines – 0.2% (0.1% of Total Investments)
                                         
$ 1,000    
UAL Corporation
    4.500%       6/30/21       CCC     $ 1,015,000  
                                         
         
       
Communications Equipment – 0.1% (0.1% of Total Investments)
                                         
  500    
Nortel Networks Corporation, (7), (8), (14)
    1.750%       4/15/12       D       392,500  
                                         
$ 1,500    
Total Convertible Bonds (cost $1,362,657)
                            1,407,500  
                                         

     
     
Nuveen Investments
  25
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 8.3% (5.8% of Total Investments)
         
       
Automobiles – 0.6% (0.5% of Total Investments)
                                         
$ 10,000    
General Motors Corporation, (8)
    8.250%       7/15/23       N/R     $ 3,450,000  
                                         
       
Biotechnology – 0.2% (0.1% of Total Investments)
                                         
  1,023    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR
    4.204%       12/01/13       C       781,316  
                                         
       
Construction Materials – 0.2% (0.1% of Total Investments)
                                         
  1,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       1,020,000  
                                         
       
Diversified Telecommunication Services – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Nortel Networks Limited, (7), (8), (14)
    0.000%       7/15/11       N/R       1,580,000  
                                         
       
Energy Equipment & Services – 0.9% (0.7% of Total Investments)
                                         
  5,000    
Williams Companies Inc., Floating Rate Note, 2.000% plus three-month LIBOR, 144A
    2.454%       10/01/10       Baa3       4,998,115  
                                         
       
Health Care Providers & Services – 0.6% (0.4% of Total Investments)
                                         
  2,000    
HCA Inc., 144A
    8.500%       4/15/19       BB       2,220,000  
  500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.418%       9/15/15       CCC+       438,125  
  750    
Select Medical Corporation
    7.625%       2/01/15       B–       721,875  
                                         
  3,250    
Total Health Care Providers & Services
                            3,380,000  
                                         
       
Health Care Technology – 0.5% (0.3% of Total Investments)
                                         
  2,500    
Merge Healthcare Inc., 144A
    11.750%       5/01/15       B+       2,525,000  
                                         
       
Hotels, Restaurants & Leisure – 1.6% (1.1% of Total Investments)
                                         
  1,875    
CKE Restaurant Inc., 144A
    11.375%       7/15/18       B       1,917,188  
  7,900    
Mohegan Tribal Gaming Authority
    8.000%       4/01/12       CCC+       6,794,000  
                                         
  9,775    
Total Hotels, Restaurants & Leisure
                            8,711,188  
                                         
       
Internet Software & Services – 0.4% (0.3% of Total Investments)
                                         
  2,750    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       2,138,125  
                                         
       
IT Services – 0.5% (0.3% of Total Investments)
                                         
  1,053    
First Data Corporation
    10.550%       9/24/15       B–       813,249  
  2,500    
First Data Corporation
    11.250%       3/31/16       CCC+       1,612,500  
                                         
  3,553    
Total IT Services
                            2,425,749  
                                         
       
Media – 1.1% (0.8% of Total Investments)
                                         
  3,000    
Clear Channel Communications, Inc.
    5.000%       3/15/12       CCC–       2,745,000  
  1,250    
Clear Channel Communications, Inc.
    5.500%       9/15/14       CCC–       743,750  
  3,250    
Clear Channel Communications, Inc.
    10.750%       8/01/16       CCC–       2,498,438  
                                         
  7,500    
Total Media
                            5,987,188  
                                         
       
Oil, Gas & Consumable Fuels – 0.4% (0.3% of Total Investments)
                                         
  2,500    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.954%       6/15/14       B3       2,287,500  
                                         
       
Paper & Forest Products – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR
    4.204%       8/01/14       B       1,732,500  
                                         
       
Road & Rail – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.954%       5/15/14       B       1,780,000  
                                         
       
Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB–       2,100,000  
                                         
$ 56,851    
Total Corporate Bonds (cost $44,735,167)
                            44,896,681  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Investment Companies – 2.3% (1.6% of Total Investments)
                                         
  353,668    
Eaton Vance Floating-Rate Income Trust Fund
                          $ 5,527,831  
  963,820    
Eaton Vance Senior Income Trust
                            6,756,378  
                                         
       
Total Investment Companies (cost $11,947,776)
    12,284,209  
                                         

     
     
26
  Nuveen Investments
     


 

                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Warrants – 0.5% (0.4% of Total Investments)
                                         
  120,965    
Citadel Broadcasting Corporation
                          $ 2,903,160  
                                         
       
Total Warrants (cost $3,686,408)
    2,903,160  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 8.4% (6.0% of Total Investments)
                                         
$ 45,774    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/30/10, repurchase price $45,774,102, collateralized by $6,890,000 U.S. Treasury Notes,
4.500%, due 2/28/11, value $7,186,959 and $39,260,000 U.S. Treasury Notes,
0.875%, due 3/31/11, value $39,505,375
    0.020%       8/02/10             $ 45,774,026  
                                         
       
Total Short-Term Investments (cost $45,774,026)
                            45,774,026  
                                         
       
Total Investments (cost $783,056,408) – 141.6%
    767,921,271  
                                         
       
Borrowings – (36.5)% (13), (15)
    (197,740,000 )
                                         
       
Other Assets Less Liabilities – (5.1)%
    (27,724,877 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 542,456,394  
                                         
 
             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at July 31, 2010.
        (6)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at July 31, 2010.
        (7)   At or subsequent to July 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (8)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (9)   The Fund’s Adviser concluded this issue is not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (11)   Subsequent to the reporting period, the Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (12)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (13)   Borrowings as a percentage of Total Investments is 25.8%.
        (14)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (15)   The Fund may pledge up to 100% of its eligible investments in the portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
Nuveen Investments
  27
     


 

           
           
  JRO
    Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments
          July 31, 2010

 
                                         
 
                             
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 120.3% (83.9% of Total Investments) (4)
         
       
Aerospace & Defense – 1.3% (0.9% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.230%       7/31/14       B     $ 521,330  
  558    
DAE Aviation Holdings, Inc., Term Loan B2
    4.230%       7/31/14       B       506,118  
  112    
Hawker Beechcraft, LLC, LC Facility
    2.533%       3/26/14       CCC+       90,580  
  496    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       494,544  
  1,874    
Hawker Beechcraft, LLC, Term Loan
    2.374%       3/26/14       CCC+       1,519,032  
  1,150    
Transdigm, Inc., Term Loan B
    2.538%       6/23/13       Ba2       1,119,607  
                                         
  4,764    
Total Aerospace & Defense
                            4,251,211  
                                         
       
Airlines – 3.3% (2.3% of Total Investments)
                                         
  2,227    
Delta Air Lines, Inc., Credit Linked Deposit
    2.258%       4/30/12       Ba2       2,127,287  
  3,339    
Delta Air Lines, Inc., Term Loan
    3.591%       4/30/14       B       3,033,123  
  6,249    
United Air Lines, Inc., Term Loan B
    2.375%       2/01/14       BB–       5,560,056  
                                         
  11,815    
Total Airlines
                            10,720,466  
                                         
       
Auto Components – 3.5% (2.5% of Total Investments)
                                         
  8,421    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.286%       12/29/14       Ba3       7,538,408  
  4,297    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.279%       12/28/15       Ba3       3,846,882  
                                         
  12,718    
Total Auto Components
                            11,385,290  
                                         
       
Automobiles – 2.5% (1.8% of Total Investments)
                                         
  8,366    
Ford Motor Company, Term Loan
    3.350%       12/15/13       Ba1       8,144,748  
                                         
       
Building Products – 2.1% (1.4% of Total Investments)
                                         
  3,296    
Building Materials Corporation of America, Term Loan
    3.125%       2/22/14       BBB–       3,191,515  
  3,531    
TFS Acquisition, Term Loan
    10.000%       8/11/13       B–       3,513,265  
                                         
  6,827    
Total Building Products
                            6,704,780  
                                         
       
Chemicals – 2.6% (1.8% of Total Investments)
                                         
  800    
Celanese US Holdings LLC, Credit Linked Deposit
    2.098%       4/02/14       BB+       768,000  
  517    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B2       460,801  
  1,460    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B1
    4.313%       5/05/15       Ba3       1,373,358  
  613    
Hexion Specialty Chemicals, Inc., Tranche C, Term Loan B2
    4.313%       5/05/15       Ba3       576,401  
  1,469    
Ineos US Finance LLC, Tranche B2
    7.500%       12/16/13       B       1,448,571  
  1,469    
Ineos US Finance LLC, Tranche C2
    8.000%       12/16/14       B       1,448,571  
  2,150    
Styron Corporation, Term Loan
    7.500%       6/17/16       B+       2,168,813  
                                         
  8,478    
Total Chemicals
                            8,244,515  
                                         
       
Commercial Services & Supplies – 1.5% (1.1% of Total Investments)
                                         
  1,562    
Rental Services Corporation, Term Loan
    4.040%       11/30/13       B–       1,483,082  
  89    
ServiceMaster Company, Delayed Term Loan
    2.820%       7/24/14       B+       82,074  
  893    
ServiceMaster Company, Term Loan
    2.879%       7/24/14       B+       824,156  
  1,990    
Universal City Development Partners, Ltd., Term Loan
    5.500%       11/06/14       Ba2       1,996,004  
  512    
West Corporation, Term Loan B4
    4.249%       7/15/16       BB–       497,318  
                                         
  5,046    
Total Commercial Services & Supplies
                            4,882,634  
                                         
       
Communications Equipment – 3.7% (2.6% of Total Investments)
                                         
  12,382    
Avaya, Inc., Term Loan
    3.260%       10/24/14       B1       11,017,609  
  1,006    
Telcordia Technologies, Inc., Term Loan
    6.750%       4/30/16       B+       1,002,110  
                                         
  13,388    
Total Communications Equipment
                            12,019,719  
                                         
       
Containers & Packaging – 0.1% (0.1% of Total Investments)
                                         
  455    
Amscan Holdings, Inc., Term Loan
    2.788%       5/27/13       B1       430,887  
                                         
       
Diversified Consumer Services – 2.5% (1.7% of Total Investments)
                                         
  3,148    
Cengage Learning Acquisitions, Inc., Term Loan
    3.030%       7/03/14       B+       2,792,547  
  254    
Laureate Education, Inc., Delayed Term Loan
    3.743%       8/15/14       B1       231,013  
  1,694    
Laureate Education, Inc., Term Loan B
    3.743%       8/15/14       B1       1,543,263  
  3,500    
Quad Graphics, Inc., Term Loan
    5.500%       8/23/16       BB+       3,331,563  
                                         
  8,596    
Total Diversified Consumer Services
                            7,898,386  
                                         

     
     
28
  Nuveen Investments
     


 

                                         
 
                             
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Diversified Financial Services – 1.0% (0.7% of Total Investments)
                                         
$ 550    
CIT Group, Inc., Tranche A1, Term Loan
    13.000%       1/18/12       BB     $ 568,385  
  1,100    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       BB       1,135,009  
  1,736    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,670,852  
                                         
  3,386    
Total Diversified Financial Services
                            3,374,246  
                                         
       
Diversified Telecommunication Services – 3.9% (2.7% of Total Investments)
                                         
  2,993    
Cincinnati Bell Inc., Tranche B, Term Loan
    6.500%       11/18/14       BB       2,944,408  
  1,901    
Intelsat, Tranche B2, Term Loan
    3.033%       1/03/14       BB–       1,808,663  
  575    
Intelsat, Tranche B2, Term Loan A
    3.033%       1/03/14       BB–       543,455  
  574    
Intelsat, Tranche B2, Term Loan B
    3.033%       1/03/14       BB–       543,288  
  574    
Intelsat, Tranche B2, Term Loan C
    3.033%       1/03/14       BB–       543,288  
  2,000    
Intelsat, Unsecured Term Loan
    3.026%       2/01/14       B+       1,800,000  
  4,533    
Level 3 Financing, Inc., Term Loan
    2.724%       3/13/14       B+       4,076,224  
  159    
MetroPCS Wireless, Inc., Term Loan
    2.625%       11/03/13       Ba1       154,459  
                                         
  13,309    
Total Diversified Telecommunication Services
                            12,413,785  
                                         
       
Electric Utilities – 0.9% (0.6% of Total Investments)
                                         
  918    
Calpine Corporation, DIP Term Loan
    3.415%       3/29/14       B+       872,928  
  1,111    
Calpine Corporation, Delayed Draw, Term Loan, (5), (6)
    0.500%       3/29/14       B+       (140,278 )
  1,667    
TXU Corporation, Term Loan B2
    3.975%       10/10/14       B+       1,297,291  
  950    
TXU Corporation, Term Loan B3
    3.846%       10/10/14       B+       736,933  
                                         
  4,646    
Total Electric Utilities
                            2,766,874  
                                         
       
Electrical Equipment – 1.3% (0.9% of Total Investments)
                                         
  4,311    
Allison Transmission Holdings, Inc., Term Loan
    3.100%       8/07/14       B       4,036,217  
                                         
       
Food & Staples Retailing – 1.8% (1.3% of Total Investments)
                                         
  500    
Roundy’s Supermarkets, Inc., Term Loan, Second Lien
    10.000%       4/16/16       CCC+       508,125  
  6,213    
U.S. Foodservice, Inc., Term Loan
    2.828%       7/03/14       B2       5,408,317  
                                         
  6,713    
Total Food & Staples Retailing
                            5,916,442  
                                         
       
Food Products – 2.2% (1.5% of Total Investments)
                                         
  2,000    
BLB Management Services, Inc., Term Loan, WI/DD
    TBD       TBD       N/R       1,446,666  
  168    
Dole Food Company, Inc., Deposit-Funded Commitment
    7.941%       4/12/13       Ba2       168,888  
  2,600    
Michael Foods Group, Inc., Term Loan B
    6.250%       6/29/16       BB–       2,610,075  
  2,951    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
    7.500%       4/02/14       B       2,963,801  
                                         
  7,719    
Total Food Products
                            7,189,430  
                                         
       
Health Care Equipment & Supplies – 1.8% (1.2% of Total Investments)
                                         
  195    
Bausch & Lomb, Inc., Delayed Term Loan
    3.566%       4/24/15       BB–       187,166  
  805    
Bausch & Lomb, Inc., Term Loan
    3.628%       4/24/15       BB–       772,773  
  239    
Fenwal, Inc., Delayed Term Loan
    2.788%       2/28/14       B       207,069  
  759    
Fenwal, Inc., Term Loan
    2.788%       2/28/14       B       657,379  
  1,424    
Select Medical Corporation, Term Loan, WI/DD
    TBD       TBD       Ba2       1,387,760  
  1,348    
Symbion, Inc., Term Loan A
    3.566%       8/23/13       B1       1,221,398  
  1,393    
Symbion, Inc., Term Loan B
    3.566%       8/25/14       B1       1,262,180  
                                         
  6,163    
Total Health Care Equipment & Supplies
                            5,695,725  
                                         
       
Health Care Providers & Services – 6.7% (4.7% of Total Investments)
                                         
  304    
Community Health Systems, Inc., Delayed Term Loan
    2.788%       7/25/14       BB       288,128  
  5,918    
Community Health Systems, Inc., Term Loan
    2.788%       7/25/14       BB       5,615,883  
  1,118    
HCA, Inc., Term Loan
    2.783%       11/18/13       BB       1,081,811  
  291    
IASIS Healthcare LLC, Delayed Term Loan
    2.316%       3/14/14       Ba2       275,421  
  79    
IASIS Healthcare LLC, Letter of Credit
    2.280%       3/14/14       Ba2       74,944  
  2,185    
IASIS Healthcare LLC, PIK Term Loan
    4.250%       6/16/14       CCC+       2,056,419  
  841    
IASIS Healthcare LLC, Term Loan
    2.316%       3/14/14       Ba2       795,783  
  7,000    
Universal Health Services Term Loan, WI/DD
    TBD       TBD       BB+       6,959,165  
  4,417    
Vanguard Health Holding Company II LLC, Initial Term Loan
    5.000%       1/29/16       Ba2       4,380,845  
                                         
  22,153    
Total Health Care Providers & Services
                            21,528,399  
                                         
       
Hotels, Restaurants & Leisure – 14.2% (9.9% of Total Investments)
                                         
  3,000    
24 Hour Fitness Worldwide, Inc., Term Loan
    6.750%       4/22/16       Ba2       2,799,750  
  97    
CBRL Group, Inc., Term Loan B2
    1.850%       4/26/13       BB–       95,261  
  1,507    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       1,488,944  
  2,205    
Cedar Fair LP, Term Loan, WI/DD
    TBD       TBD       Ba2       2,214,351  
  282    
Fontainebleau Las Vegas LLC, Delayed Term Loan, (7), (8)
    4.000%       6/06/14       N/R       61,028  

     
     
Nuveen Investments
  29
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
                             
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 1,408    
Fontainebleau Las Vegas LLC, Term Loan, (7), (8)
    4.000%       6/06/14       N/R     $ 305,141  
  1,500    
Harrah’s Operating Company, Inc., Term Loan B1
    3.498%       1/28/15       B       1,287,396  
  3,000    
Harrah’s Operating Company, Inc., Term Loan B2
    3.498%       1/28/15       B       2,583,189  
  1,994    
Harrah’s Operating Company, Inc., Term Loan B3
    3.498%       1/28/15       B       1,704,513  
  757    
Isle of Capri Casinos, Inc., Delayed Term Loan A, DD1
    5.000%       11/25/13       B+       716,983  
  814    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    5.000%       11/25/13       B+       771,513  
  1,995    
Isle of Capri Casinos, Inc., Delayed Term Loan, DD1
    5.000%       11/25/13       B+       1,890,352  
  4,721    
Orbitz Worldwide, Inc., Term Loan
    3.417%       7/25/14       B+       4,439,507  
  308    
OSI Restaurant Partners LLC, Revolver
    1.432%       6/14/13       B+       268,053  
  2,999    
OSI Restaurant Partners LLC, Term Loan
    2.875%       6/14/14       B+       2,611,342  
  994    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       993,005  
  3,489    
Shingle Springs Tribal Gaming Authority, Term Loan
    10.500%       12/17/13       N/R       3,297,379  
  3,219    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       3,226,332  
  1,940    
Travelport LLC, Delayed Term Loan
    2.816%       8/23/13       Ba3       1,828,989  
  406    
Travelport LLC, Letter of Credit
    3.033%       8/23/13       Ba3       384,196  
  1,865    
Travelport LLC, Term Loan
    2.816%       8/23/13       Ba3       1,762,688  
  2,296    
Venetian Casino Resort LLC, Delayed Term Loan, DD1
    2.070%       5/23/14       B–       2,136,295  
  9,421    
Venetian Casino Resort LLC, Term Loan, DD1
    2.070%       5/23/14       B–       8,767,065  
                                         
  50,217    
Total Hotels, Restaurants & Leisure
                            45,633,272  
                                         
       
Household Products – 2.0% (1.4% of Total Investments)
                                         
  6,439    
Spectrum Brands, Inc., Term Loan
    8.000%       6/16/16       B       6,515,282  
                                         
       
Insurance – 1.8% (1.2% of Total Investments)
                                         
  3,288    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B2       3,222,432  
  2,500    
Fidelity National Information Services, Inc., Term Loan B
    5.250%       7/18/16       Ba2       2,517,448  
                                         
  5,788    
Total Insurance
                            5,739,880  
                                         
       
Internet Software & Services – 2.2% (1.5% of Total Investments)
                                         
  762    
Open Solutions, Inc., Term Loan B
    2.625%       1/23/14       BB–       659,842  
  3,852    
Sabre, Inc., Term Loan
    2.373%       9/30/14       B1       3,482,150  
  3,000    
SkillSoft PLC Term Loan
    6.500%       5/30/17       BB       3,011,250  
                                         
  7,614    
Total Internet Software & Services
                            7,153,242  
                                         
       
IT Services – 4.7% (3.3% of Total Investments)
                                         
  826    
Attachmate Corporation, Term Loan
    3.566%       4/13/13       BB–       771,005  
  3,148    
First Data Corporation, Term Loan B2
    3.078%       9/24/14       B+       2,743,979  
  990    
First Data Corporation, Term Loan B3
    3.078%       9/24/14       B+       863,414  
  127    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, First Lien
    6.030%       7/28/15       B+       118,556  
  2,292    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       1,695,833  
  538    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Term Loan
    6.070%       7/28/15       B+       501,297  
  5,581    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan, DD1
    8.000%       9/02/14       N/R       2,297,316  
  270    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    4.070%       7/28/12       B+       251,521  
  3,958    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
    6.566%       3/02/14       CCC+       2,902,776  
  1,023    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    6.070%       7/28/15       B+       949,168  
  2,066    
SunGard Data Systems, Inc., Term Loan B
    2.095%       2/28/14       BB       1,960,819  
                                         
  20,819    
Total IT Services
                            15,055,684  
                                         
       
Leisure Equipment & Products – 2.0% (1.4% of Total Investments)
                                         
  7,612    
Bombardier Recreational Products, Inc., Term Loan
    3.193%       6/28/13       Caa1       6,603,718  
                                         
       
Media – 16.7% (11.6% of Total Investments)
                                         
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    3.038%       3/06/14       BB+       2,753,250  
  6,426    
Charter Communications Operating Holdings LLC, Term Loan C, DD1
    3.790%       9/06/16       BB+       6,142,342  
  669    
Charter Communications Operating Holdings LLC, Term Loan
    2.320%       3/06/14       BB+       635,947  
  2,421    
Citadel Broadcasting Corporation, Term Loan, (9), DD1
    11.000%       6/03/15       BB+       2,542,739  
  811    
Cumulus Media, Inc., Term Loan
    4.079%       6/11/14       B–       733,780  
  1,232    
Gray Television, Inc., Term Loan B
    3.850%       12/31/14       B       1,160,324  
  2,913    
HIT Entertainment, Inc., Term Loan B
    5.597%       6/01/12       B1       2,733,703  
  2,000    
HIT Entertainment, Inc., Term Loan
    5.850%       2/26/13       Caa2       1,325,000  
  4,000    
Interactive Data Corporation, Term Loan, WI/DD
    TBD       TBD       Ba3       3,998,332  
  3,087    
Live Nation Entertainment Inc., Term Loan B,
    4.500%       11/07/16       B–       3,046,911  
  6,804    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (8), (9)
    18.250%       4/09/12       N/R       2,983,752  
  5,857    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan, (7), (8)
    18.250%       4/09/12       N/R       2,568,316  
  1,430    
Nielsen Finance LLC, Term Loan A
    2.345%       8/09/13       Ba3       1,361,232  
  3,042    
Nielsen Finance LLC, Term Loan B
    4.095%       5/02/16       Ba3       2,947,921  

     
     
30
  Nuveen Investments
     


 

                                         
 
                             
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 3,667    
Philadelphia Newspapers, Term Loan A, (7), (8)
    0.000%       6/29/12       N/R     $ 4,034  
  2,971    
Spanish Broadcasting System, Inc., Term Loan B
    2.290%       6/11/12       B–       2,679,098  
  1,803    
SuperMedia, Term Loan
    8.000%       12/31/15       B–       1,525,713  
  4,557    
Tribune Company, Term Loan B, (7), (8), DD1
    3.000%       6/04/14       Ca       2,928,161  
  10,931    
Univision Communications, Inc., Term Loan
    2.566%       9/29/14       B2       9,571,863  
  3,402    
Yell Group PLC, Term Loan
    4.066%       7/31/14       N/R       2,058,039  
                                         
  71,023    
Total Media
                            53,700,457  
                                         
       
Metals & Mining – 0.2% (0.2% of Total Investments)
                                         
  763    
John Maneely Company, Term Loan
    3.775%       12/09/13       B       726,144  
                                         
       
Multiline Retail – 1.4% (1.0% of Total Investments)
                                         
  4,719    
Neiman Marcus Group, Inc., Term Loan, DD1
    2.473%       4/06/13       BB–       4,459,962  
                                         
       
Oil, Gas & Consumable Fuels – 4.5% (3.2% of Total Investments)
                                         
  223    
Alon USA Energy, Inc., Edgington Facility
    2.566%       8/05/13       BB–       175,091  
  1,784    
Alon USA Energy, Inc., Paramount Facility
    2.669%       8/05/13       BB–       1,400,616  
  2,000    
Big West Oil LLC, New Term Loan
    12.000%       7/23/15       B+       2,016,666  
  575    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.383%       1/03/15       B1       533,046  
  4,245    
Calumet Lubricants Company LP, Term Loan
    4.436%       1/03/15       B1       3,937,186  
  2,940    
CCS Income Trust, Term Loan
    3.316%       11/14/14       B       2,480,371  
  1,500    
DynCorp International, Inc., Term Loan
    6.250%       7/07/16       Ba1       1,508,250  
  2,868    
Venoco, Inc., Term Loan
    4.375%       5/07/14       BB–       2,599,625  
                                         
  16,135    
Total Oil, Gas & Consumable Fuels
                            14,650,851  
                                         
       
Paper & Forest Products – 2.2% (1.5% of Total Investments)
                                         
  4,000    
Newark Group, Inc., DIP Term Loan, WI/DD
    TBD       TBD       N/R       4,040,000  
  3,830    
Wilton Products, Term Loan
    3.760%       8/01/14       B+       3,121,648  
                                         
  7,830    
Total Paper & Forest Products
                            7,161,648  
                                         
       
Pharmaceuticals – 2.5% (1.7% of Total Investments)
                                         
  2,625    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (11), DD1
    6.816%       5/03/13       CCC       1,045,624  
  2,182    
Graceway Pharmaceuticals LLC, Term Loan
    3.066%       5/03/12       B–       1,831,711  
  708    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       709,235  
  1,932    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       1,932,928  
  910    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       911,154  
  1,516    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       1,517,236  
                                         
  9,873    
Total Pharmaceuticals
                            7,947,888  
                                         
       
Real Estate Management & Development – 4.0% (2.8% of Total Investments)
                                         
  5,235    
Capital Automotive LP, Tranche C
    2.850%       12/14/12       Ba3       4,888,104  
  3,786    
LNR Property Corporation, Term Loan B
    7.750%       7/12/11       CCC       3,617,896  
  4,850    
Realogy Corporation, Delayed Term Loan
    3.380%       10/10/13       Caa1       4,262,240  
                                         
  13,871    
Total Real Estate Management & Development
                            12,768,240  
                                         
       
Road & Rail – 5.1% (3.6% of Total Investments)
                                         
  522    
Avis Budget Car Rental LLC, Term Loan
    5.750%       4/19/14       Ba2       520,000  
  290    
Hertz Corporation, Letter of Credit
    2.087%       12/21/12       Ba1       280,589  
  1,566    
Hertz Corporation, Term Loan
    2.093%       12/21/12       Ba1       1,517,190  
  14,622    
Swift Transportation Company, Inc., Term Loan
    8.250%       5/12/14       B–       14,270,244  
                                         
  17,000    
Total Road & Rail
                            16,588,023  
                                         
       
Semiconductors & Equipment – 1.0% (0.7% of Total Investments)
                                         
  1,200    
Freescale Semiconductor, Inc., Term Loan
    4.596%       12/01/16       B2       1,105,934  
  1,995    
Spansion LLC, Term Loan
    5.500%       2/09/15       BB–       1,984,403  
                                         
  3,195    
Total Semiconductors & Equipment
                            3,090,337  
                                         
       
Software – 3.7% (2.6% of Total Investments)
                                         
  7,294    
Dealer Computer Services, Inc., New Term Loan
    5.250%       4/21/17       BB–       7,232,714  
  1,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.783%       6/01/15       CCC       825,000  
  3,370    
IPC Systems, Inc., Term Loan
    2.697%       6/02/14       B1       3,014,430  
  1,000    
Reynolds Group Holdings, Inc., Incremental US Term Loan
    5.750%       5/05/16       BB–       996,875  
                                         
  12,664    
Total Software
                            12,069,019  
                                         
       
Specialty Retail – 5.9% (4.1% of Total Investments)
  7,610    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.710%       5/28/13       B–       7,214,883  

     
     
Nuveen Investments
  31
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments July 31, 2010

                                         
 
                             
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Specialty Retail (continued)
                                         
$ 5,428    
Michaels Stores, Inc., Term Loan B1, DD1
    2.762%       10/31/13       B     $ 5,090,797  
  1,732    
Michaels Stores, Inc., Term Loan B2
    5.012%       7/31/16       B       1,658,307  
  4,985    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.575%       7/19/12       BB–       4,941,455  
                                         
  19,755    
Total Specialty Retail
                            18,905,442  
                                         
       
Wireless Telecommunication Services – 3.5% (2.4% of Total Investments)
                                         
  4,963    
Asurion Corporation, Term Loan
    3.356%       7/03/14       N/R       4,762,620  
  6,070    
Clear Channel Communications, Inc., Tranche B, Term Loan, DD1
    3.966%       11/13/15       Caa1       4,853,780  
  1,727    
MetroPCS Wireless, Inc., Term Loan
    3.500%       11/03/16       N/R       1,706,021  
                                         
  12,760    
Total Wireless Telecommunication Services
                            11,322,421  
                                         
$ 436,930    
Total Variable Rate Senior Loan Interests (cost $397,299,821)
                            387,695,264  
                                         
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 2.3% (1.6% of Total Investments)
         
       
Building Products – 1.6% (1.2% of Total Investments)
                                         
  124,402    
Masonite Worldwide Holdings, (10), (12)
                          $ 5,310,410  
                                         
       
Chemicals – 0.2% (0.1% of Total Investments)
                                         
  20,014    
LyondellBasell Industries NV, (10)
                            360,252  
  18,343    
LyondellBasell Industries NV, (10)
                            330,174  
                                         
       
Total Chemicals
                            690,426  
                                         
       
Media – 0.5% (0.3% of Total Investments)
                                         
  30,851    
Citadel Broadcasting Corp Class B Shares, (10), (12), DD1
                            740,424  
  6,606    
Citadel Broadcasting Corporation, (10), (12)
                            158,544  
  33,776    
Readers Digest Association Inc., (10), (12), DD1
                            667,076  
                                         
       
Total Media
                            1,566,044  
                                         
       
Total Common Stocks (cost $8,583,532)
    7,566,880  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 1.1% (0.8% of Total Investments)
         
       
Airlines – 0.3% (0.2% of Total Investments)
                                         
$ 1,000    
UAL Corporation
    4.500%       6/30/21       CCC     $ 1,015,000  
                                         
         
       
Communications Equipment – 0.1% (0.1% of Total Investments)
                                         
  500    
Nortel Networks Corporation, (7), (8), (14)
    1.750%       4/15/12       D       392,500  
                                         
       
Food & Staples Retailing – 0.7% (0.5% of Total Investments)
                                         
  2,547    
Great Atlantic & Pacific Tea Company Inc.
    5.125%       6/15/11       Caa3       2,015,314  
                                         
$ 4,047    
Total Convertible Bonds (cost $3,332,713)
                            3,422,814  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 11.8% (8.2% of Total Investments)
         
       
Auto Components – 0.2% (0.1% of Total Investments)
                                         
$ 600    
Exide Technologies
    10.500%       3/15/13       B–     $ 612,000  
                                         
       
Automobiles – 1.1% (0.8% of Total Investments)
                                         
  10,000    
General Motors Corporation, (8)
    8.250%       7/15/23       N/R       3,450,000  
                                         
       
Construction Materials – 0.6% (0.4% of Total Investments)
                                         
  2,000    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       2,040,000  
                                         
       
Diversified Telecommunication Services – 0.2% (0.2% of Total Investments)
                                         
  1,000    
Nortel Networks Limited, (7), (8), (14)
    0.000%       7/15/11       N/R       790,000  
                                         
       
Health Care Equipment & Supplies – 0.5% (0.3% of Total Investments)
                                         
  1,500    
Reable Therapeutics Financing Corporation
    11.750%       11/15/14       CCC+       1,582,500  
                                         

     
     
32
  Nuveen Investments
     


 

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Health Care Providers & Services – 1.6% (1.1% of Total Investments)
                                         
$ 1,000    
LifeCare Holdings Inc.
    9.250%       8/15/13       CCC–     $ 755,000  
  2,500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.418%       9/15/15       CCC+       2,190,625  
  1,250    
Select Medical Corporation
    7.625%       2/01/15       B–       1,203,125  
  1,031    
US Oncology Holdings Inc., Floating Rate Note, 5.500% plus six-month LIBOR
    6.168%       3/15/12       CCC+       982,028  
                                         
  5,781    
Total Health Care Providers & Services
                            5,130,778  
                                         
       
Health Care Technology – 0.8% (0.5% of Total Investments)
                                         
  2,500    
Merge Healthcare Inc., 144A
    11.750%       5/01/15       B+       2,525,000  
                                         
       
Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)
                                         
  1,875    
CKE Restaurant Inc., 144A
    11.375%       7/15/18       B       1,917,188  
                                         
       
Household Durables – 0.2% (0.1% of Total Investments)
                                         
  700    
William Lyon Homes Inc., Unsecured Senior Note
    10.750%       4/01/13       Caa3       584,500  
                                         
       
Internet Software & Services – 0.7% (0.5% of Total Investments)
                                         
  2,750    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       2,138,125  
                                         
       
IT Services – 0.8% (0.5% of Total Investments)
                                         
  1,053    
First Data Corporation
    10.550%       9/24/15       B–       813,249  
  2,500    
First Data Corporation
    11.250%       3/31/16       CCC+       1,612,500  
                                         
  3,553    
Total IT Services
                            2,425,749  
                                         
       
Media – 2.1% (1.5% of Total Investments)
                                         
  2,750    
Clear Channel Communications, Inc.
    5.000%       3/15/12       CCC–       2,516,250  
  1,250    
Clear Channel Communications, Inc.
    5.500%       9/15/14       CCC–       743,750  
  4,750    
Clear Channel Communications, Inc.
    10.750%       8/01/16       CCC–       3,651,563  
                                         
  8,750    
Total Media
                            6,911,563  
                                         
       
Multi-Utilities – 0.2% (0.1% of Total Investments)
                                         
  500    
Bon-Ton Department Stores Inc.
    10.250%       3/15/14       CCC+       491,875  
                                         
       
Oil, Gas & Consumable Fuels – 0.4% (0.3% of Total Investments)
                                         
  1,400    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR 144A
    7.954%       6/15/14       B3       1,281,000  
                                         
       
Pharmaceuticals – 0.3% (0.2% of Total Investments)
                                         
  1,500    
Angiotech Pharmaceuticals Inc., Floating Rate Note, 3.750% plus three-month LIBOR, WI/DD
    4.204%       4/01/14       CC       855,000  
                                         
       
Road & Rail – 0.5% (0.4% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.954%       5/15/14       B       1,780,000  
                                         
       
Trading Companies & Distributors – 0.4% (0.3% of Total Investments)
                                         
  2,000    
Penhall International Corporation, 144A, (8), (11)
    12.000%       8/01/14       Caa3       1,292,500  
                                         
       
Wireless Telecommunication Services – 0.6% (0.5% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB–       2,100,000  
                                         
$ 50,409    
Total Corporate Bonds (cost $36,090,618)
                            37,907,778  
                                         
 
                             
Shares     Description (1)                     Value  
       
Warrants – 0.8% (0.5% of Total Investments)
                                         
  103,736    
Citadel Broadcasting Corporation
                          $ 2,489,664  
                                         
       
Total Warrants (cost $3,161,355)
    2,489,664  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 7.1% (5.0% of Total Investments)
                                         
$ 22,898    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 7/30/10, repurchase price $22,898,282, collateralized by $23,270,000 U.S. Treasury Notes, 0.875%, due 12/31/10, value $23,357,263
    0.020%       8/02/10             $ 22,898,244  
                                         
       
Total Short-Term Investments (cost $22,898,244)
            22,898,244  
                                         
       
Total Investments (cost $471,366,283) – 143.4%
    461,980,644  
                                         
       
Borrowings – (36.4)% (13), (15)
    (117,270,000 )
                                         
       
Other Assets Less Liabilities – (7.0)%
    (22,574,925 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 322,135,719  
                                         

     
     
Nuveen Investments
  33
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments July 31, 2010

 
             
            For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at July 31, 2010.
        (6)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at July 31, 2010.
        (7)   At or subsequent to July 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (8)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (9)   The Fund’s Adviser concluded this issue is not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (11)   Subsequent to the reporting period, the Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (12)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1 – General Information and Significant Accounting Policies, Investment Valuation for more information.
        (13)   Borrowings as a percentage of Total Investments is 25.4%.
        (14)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
        (15)   The Fund may pledge up to 100% of its eligible instruments in the Portfolio of Investments as collateral for Borrowings.
        N/R   Not rated.
        DD1   Investment, or portion of investment, purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
34
  Nuveen Investments
     


 

           
           
  
    Statement of
Assets & Liabilities
          July 31, 2010

 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Assets
                       
Investments, at value (cost $282,353,206, $737,282,382 and $448,468,039, respectively)
  $ 272,137,800     $ 722,147,245     $ 439,082,400  
Short-term investments (at cost, which approximates value)
    23,817,907       45,774,026       22,898,244  
Cash
          2,625        
Receivables:
                       
Interest
    1,640,221       3,679,101       2,965,268  
Investments sold
    4,910,771       17,939,418       13,165,953  
Matured senior loans
    488,598       1,278,294       852,196  
Other assets
    169,838       332,625       194,322  
                         
Total assets
    303,165,135       791,153,334       479,158,383  
                         
Liabilities
                       
Borrowings
    73,950,000       197,740,000       117,270,000  
Payables:
                       
Investments purchased
    24,290,070       47,606,449       37,410,500  
Common share dividends
    1,174,282       2,327,544       1,742,945  
Accrued expenses:
                       
Interest on borrowings
    30,365       71,397       48,153  
Management fees
    195,046       414,539       227,061  
Other
    264,814       537,011       324,005  
                         
Total liabilities
    99,904,577       248,696,940       157,022,664  
                         
Net assets applicable to Common shares
  $ 203,260,558     $ 542,456,394     $ 322,135,719  
                         
Common shares outstanding
    29,846,884       47,297,036       28,411,034  
                         
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
  $ 6.81     $ 11.47     $ 11.34  
                         
                         
Net assets applicable to Common shares consist of:
                       
                         
Common shares, $.01 par value per share
  $ 298,469     $ 472,970     $ 284,110  
Paid-in surplus
    268,859,772       667,769,861       400,705,676  
Undistributed (Over-distribution of) net investment income
    (305,950 )     (582,484 )     1,153,709  
Accumulated net realized gain (loss) from investments
    (55,376,327 )     (110,068,816 )     (70,622,137 )
Net unrealized appreciation (depreciation) of investments
    (10,215,406 )     (15,135,137 )     (9,385,639 )
                         
Net assets applicable to Common shares
  $ 203,260,558     $ 542,456,394     $ 322,135,719  
                         
 
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  35
     


 

           
           
  
    Statement of
Operations
          Year Ended July 31, 2010

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Investment Income
                       
Interest
  $ 14,889,920     $ 44,925,405     $ 32,785,944  
Dividends
          695,560        
Fees
    187,703       1,792,754       1,302,235  
Other
    166,773       440,320       293,547  
                         
Total investment income
    15,244,396       47,854,039       34,381,726  
                         
Expenses
                       
Management fees
    2,226,026       5,901,440       3,539,246  
Preferred shares – auction fees
    197       15,420       6,432  
Preferred shares – dividend disbursing agent fees
    4,488       19,573       3,760  
Shareholders’ servicing agent fees and expenses
    3,650       1,196       678  
Interest expense on borrowings and amortization of borrowing costs
    256,397       179,203       403,671  
Fees on borrowings
    1,425,393       3,867,726       2,257,014  
Custodian’s fees and expenses
    121,159       262,066       170,773  
Trustees’ fees and expenses
    8,234       22,025       13,098  
Professional fees
    96,121       152,726       109,087  
Shareholders’ reports – printing and mailing expenses
    74,105       125,962       78,552  
Stock exchange listing fees
    10,152       16,099       9,662  
Investor relations expense
    32,065       25,275       15,211  
Other expenses
    15,472       23,461       18,091  
                         
Total expenses before custodian fee credit and expense reimbursement
    4,273,459       10,612,172       6,625,275  
Custodian fee credit
    (45 )     (53 )     (133 )
Expense reimbursement
    (30,102 )     (1,506,051 )     (928,804 )
                         
Net expenses
    4,243,312       9,106,068       5,696,338  
                         
Net investment income
    11,001,084       38,747,971       28,685,388  
                         
Realized and Unrealized Gain (Loss)
                       
Net realized gain (loss) from investments
    843,334       (15,811,388 )     (5,845,955 )
Change in net unrealized appreciation (depreciation) of investments
    35,288,873       85,441,084       48,450,761  
                         
Net realized and unrealized gain (loss)
    36,132,207       69,629,696       42,604,806  
                         
Distributions to Preferred Shareholders
                       
From net investment income
    (15,266 )     (219,515 )     (123,985 )
                         
Net increase (decrease) in net assets applicable to Common shares from operations
  $ 47,118,025     $ 108,158,152     $ 71,166,209  
                         
 
See accompanying notes to financial statements.

     
     
36
  Nuveen Investments
     


 

           
           
  
    Statement of
Changes in Net Assets
           

 
                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Year Ended
    Year Ended
    Year Ended
    Year Ended
    Year Ended
    Year Ended
 
    7/31/10     7/31/09     7/31/10     7/31/09     7/31/10     7/31/09  
Operations
                                               
Net investment income
  $ 11,001,084     $ 13,489,915     $ 38,747,971     $ 33,730,105     $ 28,685,388     $ 20,678,590  
Net realized gain (loss) from investments
    843,334       (41,868,681 )     (15,811,388 )     (88,776,440 )     (5,845,955 )     (59,909,344 )
Change in net unrealized appreciation (depreciation) of investments
    35,288,873       (2,031,671 )     85,441,084       (8,811,769 )     48,450,761       (1,018,926 )
Distributions to Preferred Shareholders from net investment income
    (15,266 )     (558,631 )     (219,515 )     (3,411,778 )     (123,985 )     (2,033,297 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from operations
    47,118,025       (30,969,068 )     108,158,152       (67,269,882 )     71,166,209       (42,282,977 )
                                                 
Distributions to Common Shareholders
                                               
From net investment income
    (13,860,296 )     (13,425,459 )     (27,633,733 )     (30,319,224 )     (20,196,415 )     (20,560,895 )
                                                 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
    (13,860,296 )     (13,425,459 )     (27,633,733 )     (30,319,224 )     (20,196,415 )     (20,560,895 )
                                                 
Capital Share Transactions
                                               
Common shares:
                                               
Net proceeds from shares issued to shareholders due to reinvestment of distributions
    86,152             169,959       216,446       128,250        
Repurchased and retired
                (1,264,374 )     (74,280 )     (87,047 )     (71,303 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
    86,152             (1,094,415 )     142,166       41,203       (71,303 )
                                                 
Net increase (decrease) in net assets applicable to Common shares
    33,343,881       (44,394,527 )     79,430,004       (97,446,940 )     51,010,997       (62,915,175 )
Net assets applicable to Common shares at the beginning of year
    169,916,677       214,311,204       463,026,390       560,473,330       271,124,722       334,039,897  
                                                 
Net assets applicable to Common shares at the end of year
  $ 203,260,558     $ 169,916,677     $ 542,456,394     $ 463,026,390     $ 322,135,719     $ 271,124,722  
                                                 
Undistributed (Over-distribution of) net investment income at the end of year
  $ (305,950 )   $ 152,935     $ (582,484 )   $ (3,729,664 )   $ 1,153,709     $ (794,250 )
                                                 
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  37
     


 

           
           
  
    Statement of
Cash Flows
      Year Ended July 31, 2010

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Cash Flows from Operating Activities:
                       
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
    47,118,025       108,158,152       71,166,209  
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
    (179,018,664 )     (368,205,820 )     (256,736,383 )
Proceeds from sales and maturities of investments
    173,182,914       350,984,439       238,742,739  
Proceeds from (Purchases of) short-term investments, net
    (12,200,142 )     (25,865,080 )     (13,912,540 )
Amortization (Accretion) of premiums and discounts, net
    (4,843,856 )     (7,356,446 )     (6,190,460 )
(Increase) Decrease in receivable for interest
    188,076       (581,037 )     41,623  
(Increase) Decrease in receivable for investments sold
    7,045,747       (219,362 )     2,634,593  
(Increase) Decrease in receivable for matured senior loans
    (488,598 )     (1,278,294 )     (852,196 )
(Increase) Decrease in other assets
    (99,086 )     (250,030 )     (151,354 )
Increase (Decrease) in payable for investments purchased
    1,422,735       (3,364,477 )     14,258,133  
Increase (Decrease) in payable for Preferred share dividends
    (3,704 )           (8,695 )
Increase (Decrease) in accrued interest on borrowings
    8,858       (198,798 )     23,737  
Increase (Decrease) in accrued management fees
    46,496       116,589       63,168  
Increase (Decrease) in accrued other liabilities
    (19,084 )     (311,197 )     (53,474 )
Net realized (gain) loss from investments
    (843,334 )     15,811,388       5,845,955  
Net realized (gain) loss from paydowns
    2,415,593       (7,942,309 )     (6,455,924 )
Change in net unrealized (appreciation) depreciation of investments
    (35,288,873 )     (85,441,084 )     (48,450,761 )
Taxes paid on undistributed capital gains
    (60,354 )     (28,157 )     (71,260 )
                         
Net cash provided by (used in) operating activities
    (1,437,251 )     (25,971,523 )     (106,890 )
                         
Cash Flows from Financing Activities:
                       
Increase (Decrease) in cash overdraft balance
    (31,564 )            
Increase (Decrease) in borrowings
    41,050,000       159,240,000       79,920,000  
Cash distributions paid to Common shareholders
    (13,581,185 )     (27,001,478 )     (19,726,063 )
Cost of Common shares repurchased and retired
          (1,264,374 )     (87,047 )
Increase (Decrease) in Preferred shares
    (26,000,000 )     (105,000,000 )     (60,000,000 )
                         
Net cash provided by (used in) financing activities
    1,437,251       25,974,148       106,890  
                         
Net Increase (Decrease) in Cash
          2,625        
Cash at the beginning of period
                 
                         
Cash at the End of Period
          2,625        
                         
 
Supplemental Disclosure of Cash Flow Information
 
Cash paid by Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) for interest on borrowings (excluding amortization of borrowing costs) during the fiscal year ended July 31, 2010, was $222,408, $811,833 and $339,989, respectively.
 
Non-cash financing activities not included herein consist of reinvestments of Common share distributions of $86,152, $169,959 and $128,250 for Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO), respectively.
 
See accompanying notes to financial statements.

     
     
38
  Nuveen Investments
     


 

           
           
  
    Notes to
Financial Statements
           

 
 
1.  General Information and Significant Accounting Policies
The funds covered in this report and their corresponding Common share New York Stock Exchange (“NYSE”) symbols are Nuveen Senior Income Fund (NSL), Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income Opportunity Fund (JRO) (collectively, the “Funds”). The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies.
 
Senior Income’s (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests 80% of its total assets in adjustable rate senior secured loans. The Fund may invest up to 20% of its total assets in U.S. dollar- denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities, and equity securities and warrants acquired in connection with the Fund’s investment in senior loans.
 
Floating Rate Income’s (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by the Fund’s sub-adviser Symphony Asset Management LLC (“Symphony”), a subsidiary of Nuveen Investments, Inc. (“Nuveen”).
 
Floating Rate Income Opportunity’s (JRO) investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.
 
In June 2009, the Financial Accounting Standards Board (“FASB”) established the FASB Accounting Standards Codificationtm (the “Codification”) as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with generally accepted accounting principles (“GAAP”). The Codification supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The Codification did not change GAAP but rather organized it into a hierarchy where all guidance within the Codification carries an equal level of authority. The Codification became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The Codification did not have a material effect on the Funds’ financial statements.
 
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
 
Investment Valuation
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued, except as indicated below, at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the mean between the quoted bid and ask prices.
 
Prices of fixed-income securities, senior loans and derivative instruments are provided by a pricing service approved by the Funds’ Board of Trustees. Floating Rate Income Opportunity (JRO) currently expects that the independent pricing services will be unable to provide a market based price for certain of the privately negotiated subordinated loans issued by middle market companies. The pricing services, with input from Symphony and Nuveen Asset Management (the “Adviser”), a wholly-owned subsidiary of Nuveen, will estimate the fair value for such subordinated loans, subject to the supervision of Symphony and the Adviser. Floating Rate Income Opportunity (JRO) may engage an independent appraiser to periodically provide an independent determination of the value, or an opinion with respect to the pricing services’ value, of such loans. These securities are generally classified as Level 2. Fixed-income securities are valued by a pricing service that values portfolio securities at the mean between the quoted bid and ask prices or the yield equivalent when quotations are readily available. These securities are generally classified as Level 2. Securities for which quotations are not readily available are valued at fair value as determined by the pricing service using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. The pricing service may employ electronic data processing techniques and/or a matrix system to

     
     
Nuveen Investments
  39
     


 

       
       
   
    Notes to
Financial Statements (continued)

determine valuations. These securities are generally classified as Level 2. Highly rated zero coupon fixed-income securities, like U.S. Treasury Bills, issued with maturities of one year or less, are valued using the amortized cost method when 60 days or less remain until maturity. With amortized cost, any discount or premium is amortized each day, regardless of the impact of fluctuating rates on the market value of the security. These securities will generally be classified as Level 1 or Level 2.
 
Like most fixed income instruments, the senior loans in which the Funds invest are not listed on an organized exchange. The secondary market of senior loans may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior 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.
 
Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. These securities are generally classified as Level 1.
 
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds’ Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; fixed-income securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of an issue of securities would appear to be the amount that the owner might reasonably expect to receive for them in a current sale. A variety of factors may be considered in determining the fair value of these 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 classified generally as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds’ Board of Trustees or its designee.
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Funds as of the end of the reporting period.
 
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At July 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding when-issued/delayed delivery purchase commitments of $24,286,327, $46,688,326 and $36,863,387, respectively.
 
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also includes paydown gains and losses, if any. Fee income, consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Other income includes the increase of the net realizable value of the receivable of matured senior loans during the current fiscal period.
 
Income Taxes
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 gains 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.

     
     
40
  Nuveen Investments
     


 

Dividends and Distributions to Common Shareholders
Dividends to Common shareholders are declared monthly. Net realized capital gains from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal corporate income tax regulations, which may differ from U.S. GAAP.
 
Preferred Shares
During the fiscal year ended July 31, 2010, Senior Income Fund (NSL) had outstanding Taxable Auction Preferred (“Preferred”) shares. The dividend rates paid by the Fund was determined every twenty-eight days, pursuant to a dutch auction process overseen by the auction agent, and was payable at the end of each rate period.
 
During the fiscal year ended July 31, 2010, Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding FundPreferred shares (“FundPreferred”) shares. The dividend rates paid by the Funds were determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and were payable at the end of each rate period.
 
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Preferred shares issued by the Funds than there were offers to buy. This meant that these auctions “failed to clear,” and that many Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the “maximum rate” applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares.
 
These developments have generally not affected the portfolio management or investment policies of the Funds. However, one continuing implication of these auction failures for Common shareholders is that the Funds’ cost of leverage likely had been incrementally higher at times than it otherwise would had been had the auctions continued to be successful. As a result, the Funds’ Common share earnings likely had been lower than they otherwise might have been.
 
As of July 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) redeemed all of their outstanding Preferred shares, at liquidation values of $46,000,000, $400,000,000 and $240,000,000, respectively.
 
Derivative Financial Instruments
Each Fund is authorized to invest in derivative financial instruments, including forwards, futures, options and swap transactions. Although each Fund is authorized to invest in such financial instruments, and may do so in the future, they did not make any such investments during the fiscal year ended July 31, 2010.
 
Repurchase Agreements
In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
 
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
 
Borrowing Costs
Costs incurred by each Fund in connection with structuring its refinancing during the fiscal year ended July 31, 2010, were recorded as a deferred charge which were amortized through May 14, 2010, and included as a component of “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations.
 
Indemnifications
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

     
     
Nuveen Investments
  41
     


 

       
       
        Notes to
Financial Statements (continued)

 
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.
 
2.  Fair Value Measurements
In determining the value of each Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
         
Level 1     Quoted prices in active markets for identical securities.
Level 2     Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3     Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of July 31, 2010:
 
                                 
Senior Income (NSL)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 239,291,209       $  –     $ 239,291,209  
Common Stocks*
    690,426       4,439,195             5,129,621  
Convertible Bonds
          4,441,375             4,441,375  
Corporate Bonds
          21,225,875             21,225,875  
Warrants
          2,049,720             2,049,720  
Short-Term Investments
    23,817,907                   23,817,907  
                                 
Total
  $ 24,508,333     $ 271,447,374     $     $ 295,955,707  
                                 
 
                                 
Floating Rate Income (JFR)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 643,619,158     $   –     $ 643,619,158  
Common Stocks*
    1,380,834       15,655,703             17,036,537  
Convertible Bonds
          1,407,500             1,407,500  
Corporate Bonds
          44,896,681             44,896,681  
Investment Companies
    12,284,209                   12,284,209  
Warrants
          2,903,160             2,903,160  
Short-Term Investments
    45,774,026                   45,774,026  
                                 
Total
  $ 59,439,069     $ 708,482,202     $     $ 767,921,271  
                                 
                                 
                                 
Floating Rate Income Opportunity (JRO)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 387,695,264     $     $ 387,695,264  
Common Stocks*
    690,426       6,876,454             7,566,880  
Convertible Bonds
          3,422,814             3,422,814  
Corporate Bonds
          37,907,778             37,907,778  
Warrants
          2,489,664             2,489,664  
Short-Term Investments
    22,898,244                   22,898,244  
                                 
Total
  $ 23,588,670     $ 438,391,974     $     $ 461,980,644  
                                 
Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.

     
     
42
  Nuveen Investments
     


 

The following is a reconciliation of Senior Income’s (NSL) Level 3 investments held at the beginning and end of the measurement period:
 
         
    Senior Income (NSL)
 
    Level 3
 
    Variable Rate
 
    Senior Loan Interests  
Balance at the beginning of year
  $ 89,569  
Gains (losses):
       
Net realized gains (losses)
    (7,138,672 )
Net change in unrealized appreciation (depreciation)
    8,355,543  
Net purchases at cost (sales at proceeds)
    (1,306,440 )
Net discounts (premiums)
     
Net transfers in to (out of) at end of period fair value
     
         
Balance at the end of year
  $  
         
 
3.  Derivative Instruments and Hedging Activities
The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. The Funds did not invest in derivative instruments during the fiscal year ended July 31, 2010.
 
4.  Fund Shares
Common Shares
Transactions in Common shares were as follows:
 
                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Year
    Year
    Year
    Year
    Year
    Year
 
    Ended
    Ended
    Ended
    Ended
    Ended
    Ended
 
    7/31/10     7/31/09     7/31/10     7/31/09     7/31/10     7/31/09  
Common shares:
                                               
Issued to shareholders due to reinvestment of distributions
    12,531             14,604       34,819       11,112        
Repurchased and retired
                (137,893 )     (9,700 )     (9,700 )     (9,700 )
                                                 
Total
    12,531             (123,289 )     25,119       1,412       (9,700 )
                                                 
Weighted average Common share:
                                               
Price per share repurchased and retired
    $  –       $  –       $  9.15       $  7.64       $  8.95       $  7.33  
Discount per share repurchased and retired
                12.86 %     16.08 %     13.25 %     16.02 %
 
Preferred Shares
Transactions in Preferred shares were as follows:
 
                                                                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Year Ended
    Year Ended
    Year Ended
    Year Ended
    Year Ended
    Year Ended
 
    7/31/10     7/31/09     7/31/10     7/31/09     7/31/10     7/31/09  
    Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount  
Preferred shares redeemed:
Series M
        $           $   –       1,050     $ 26,250,000       600     $ 15,000,000       800     $ 20,000,000       534     $ 13,350,000  
Series T
                            1,050       26,250,000       600       15,000,000                          
Series W
                            1,050       26,250,000       600       15,000,000                          
Series TH
    1,040       26,000,000       800       20,000,000                               800       20,000,000       534       13,350,000  
Series F
                            1,050       26,250,000       600       15,000,000       800       20,000,000       532       13,300,000  
                                                                                                 
Total
    1,040     $ 26,000,000       800      $ 20,000,000       4,200     $ 105,000,000       2,400     $ 60,000,000       2,400     $ 60,000,000       1,600     $ 40,000,000  
                                                                                                 

     
     
Nuveen Investments
  43
     


 

       
       
        Notes to
Financial Statements (continued)

 
5.  Investment Transactions
Purchases and sales (including maturities but excluding short-term investments) during the fiscal year ended July 31, 2010, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Purchases
  $ 179,018,664     $ 368,205,820     $ 256,736,383  
Sales and maturities
    173,182,914       350,984,439       238,742,739  
                         
 
6.  Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and, for Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO), recognition of premium amortization. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
 
At July 31, 2010, the cost and unrealized appreciation (depreciation) of investments as determined on a federal income tax basis, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Cost of investments
  $ 306,193,613     $ 784,531,193     $ 471,919,488  
                         
Gross unrealized:
                       
Appreciation
  $ 10,420,896     $ 23,638,909     $ 18,010,746  
Depreciation
    (20,658,802 )     (40,248,831 )     (27,949,590 )
                         
Net unrealized appreciation (depreciation) of investments
  $ (10,237,906 )   $ (16,609,922 )   $ (9,938,844 )
                         
 
Permanent differences, primarily due to federal taxes paid, paydowns, expiration of capital loss carryforwards and bond premium adjustments resulted in reclassifications among the Funds’ components of net assets at July 31, 2010, the Funds’ tax year-end, as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Paid-in-surplus
  $ (14,268,135 )   $ (28,157 )   $ (71,260 )
Undistributed (Over-distribution of) net investment income
    2,415,593       (7,747,543 )     (6,417,029 )
Accumulated net realized gain (loss)
    11,852,542       7,775,700       6,488,289  
                         
 
The tax components of undistributed net ordinary income and net long-term capital gains at July 31, 2010, the Funds’ tax year end, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Undistributed net ordinary income *
  $ 1,389,952     $ 3,605,436     $ 3,717,652  
Undistributed net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2010, paid on August 2, 2010.
 
The tax character of distributions paid during the Funds’ tax years ended July 31, 2010 and July 31, 2009, was designated for purposes of the dividends paid deduction as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
2010   (NSL)     (JFR)     (JRO)  
Distributions from net ordinary income *
  $ 13,684,842     $ 27,379,807     $ 19,988,093  
Distributions from net long-term capital gains
                 
                         

     
     
44
  Nuveen Investments
     


 

                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
2009   (NSL)     (JFR)     (JRO)  
Distributions from net ordinary income *
  $ 14,308,050     $ 35,343,923     $ 23,471,413  
Distributions from net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
 
At July 31, 2010, the Funds’ tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Expiration:
                       
July 31, 2011
  $ 10,704,255     $     $  
July 31, 2013
          819,145       30,377  
July 31, 2014
          2,934,270       2,151,577  
July 31, 2015
    1,002,070       9,492,118       5,017,841  
July 31, 2016
          183,234       1,294,188  
July 31, 2017
    8,900,332       21,620,554       13,760,353  
July 31, 2018
    29,264,459       67,020,214       46,332,843  
                         
Total
  $ 49,871,116     $ 102,069,535     $ 68,587,179  
                         
 
At July 31, 2010, $14,207,781 of Senior Income’s (NSL) capital loss carryforward expired.
 
The Funds have elected to defer net realized losses from investments incurred from November 1, 2009 through July 31, 2010, the Funds’ tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the following fiscal year:
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Post-October capital losses
  $ 5,482,712     $ 6,989,418     $ 1,503,280  
                         
 
7.  Management Fees and Other Transactions with Affiliates
Each Fund’s management fee is separated into 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 fund assets managed by the Adviser. This pricing structure enables each Fund’s shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
 
The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
    Senior Income (NSL)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $1 billion
    .6500 %
For the next $1 billion
    .6375  
For the next $3 billion
    .6250  
For the next $5 billion
    .6000  
For Managed Assets over $10 billion
    .5750  
         

     
     
Nuveen Investments
  45
     


 

       
       
        Notes to
Financial Statements (continued)

 
         
    Floating Rate Income (JFR)
    Floating Rate Income Opportunity (JRO)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $500 million
    .6500 %
For the next $500 million
    .6250  
For the next $500 million
    .6000  
For the next $500 million
    .5750  
For Managed Assets over $2 billion
    .5500  
         
 
The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
Complex-Level Managed Asset Breakpoint Level*   Effective Rate at Breakpoint Level
$55 billion
    .2000 %
$56 billion
    .1996  
$57 billion
    .1989  
$60 billion
    .1961  
$63 billion
    .1931  
$66 billion
    .1900  
$71 billion
    .1851  
$76 billion
    .1806  
$80 billion
    .1773  
$91 billion
    .1691  
$125 billion
    .1599  
$200 billion
    .1505  
$250 billion
    .1469  
$300 billion
    .1445  
         
The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds, with such daily managed assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. For the complex-level and fund-level fees, daily managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser to limit the amount of such assets for determining managed assets in certain circumstances. As of July 31, 2010, the complex-level fee rate was .1844%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser has entered into Sub-Advisory Agreements with Symphony under which Symphony manages the investment portfolios of the Funds. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.
 
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.
 
For the first ten years of Senior Income’s (NSL) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
October 31,       October 31,    
1999 *     .45 %   2005     .35 %
2000     .45     2006     .25  
2001     .45     2007     .15  
2002     .45     2008     .10  
2003     .45     2009     .05  
2004     .45              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of its fees and expenses beyond October 31, 2009.

     
     
46
  Nuveen Investments
     


 

For the first eight years of Floating Rate Income’s (JFR) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
March 31,       March 31,    
2004 *     .32 %   2009     .32 %
2005     .32     2010     .24  
2006     .32     2011     .16  
2007     .32     2012     .08  
2008     .32              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any portion of its fees and expenses beyond March 31, 2012.
 
For the first eight years of Floating Rate Income Opportunity’s (JRO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
July 31,       July 31,    
2004 *     .30 %   2009     .30 %
2005     .30     2010     .22  
2006     .30     2011     .14  
2007     .30     2012     .08  
2008     .30              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO) for any portion of its fees and expenses beyond July 31, 2012.
 
8.  Senior Loan Commitments
Unfunded Commitments
Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with the custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At July 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan commitments of $555,556, $2,222,222 and $1,111,111, respectively.
 
Participation Commitments
With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the Borrower. As such, the Fund not only assumes the credit risk of the Borrower, but also that of the Selling Participant or other persons interpositioned between the Fund and the Borrower. At July 31, 2010, there were no such outstanding participation commitments in any of the Funds.
 
9.  Borrowing Arrangements
Senior Income (NSL) has entered into a $75,500,000 million Revolving Credit and Security Agreement with an affiliate of Citibank N.A. (“Citibank”). As of July 31, 2010, the Fund’s outstanding balance on these borrowings was $73,950,000. For the fiscal year ended July 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $67,937,123 and .34%, respectively.
 
Floating Rate Income (JFR) has entered into a $209,500,000 million Revolving Credit and Security Agreement with an affiliate of Citibank. As of July 31, 2010, the Fund’s outstanding balance on these borrowings was $197,740,000. For the fiscal year ended July 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $180,143,945 and .34%, respectively.
 
Floating Rate Income Opportunity (JRO) has entered into a $120,000,000 million Revolving Credit and Security Agreement with an affiliate of Citibank. As of July 31, 2010, the Fund’s outstanding balance on these borrowings was $117,270,000. For the fiscal year ended July 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $107,208,411 and .34%, respectively.
 
The aforementioned agreements renewed on May 14, 2010.
 
In order to maintain these borrowing arrangements, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in the Funds’ Portfolios of Investments.

     
     
Nuveen Investments
  47
     


 

       
       
        Notes to
Financial Statements (continued)

 
Interest expense incurred on these borrowings, which is based on a commercial paper rate, is recognized as “Interest expense on borrowings” on the Statement of Operations. In addition to the interest expense, each Fund pays a .65% per annum program fee, based on the average daily outstanding balance and a .35% per annum liquidity fee, based on the total commitment amount of the borrowings through the renewal date, both of which are recognized as “Fees on borrowings” on the Statement of Operations.
 
10.  New Accounting Standards
 
Fair Value Measurements
On January 21, 2010, FASB issued changes to the authoritative guidance under U.S. GAAP for fair value measurements. The objective of which is to provide guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities disclose Level 3 activity for purchase, sales, issuances and settlements in the Level 3 roll-forward on a gross basis rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2010. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

     
     
48
  Nuveen Investments
     


 

           
           
  
    Financial
Highlights
           

 

     
     
Nuveen Investments
  49
     


 

           
           
       Financial
Highlights
      Selected data for a Common share outstanding throughout each period:

 
                                                                                                         
          Investment Operations     Less Distributions                          
                      Distributions
                                                       
                      from Net
    Distributions
          Net
                Offering Costs
                   
    Beginning
                Investment
    from Capital
          Investment
    Capital
          and
    Discount
    Ending
       
    Common
          Net
    Income to
    Gains to
          Income to
    Gains to
          Preferred
    from
    Common
       
    Share
    Net
    Realized/
    Preferred
    Preferred
          Common
    Common
          Share
    Shares
    Share
    Ending
 
    Net Asset
    Investment
    Unrealized
    Share-
    Share-
          Share-
    Share-
          Underwriting
    Repurchased
    Net Asset
    Market
 
    Value     Income(a)     Gain (Loss)     holders(b)     holders(b)     Total     holders     holders     Total     Discounts     and Retired     Value     Value  
Senior Income (NSL)
                                                                                                         
Year Ended 7/31:
2010   $ 5.70     $ .37     $ 1.20     $ *   $       1.57     $ (.46 )   $     $ (.46 )   $   –     $   –     $ 6.81     $ 6.95  
2009     7.18       .45       (1.46 )     (.02 )       –       (1.03 )     (.45 )       –       (.45 )                 5.70       5.15  
2008     8.00       .72       (.83 )     (.07 )           (.18 )     (.64 )           (.64 )                 7.18       6.18  
2007     8.33       .79       (.33 )     (.08 )           .38       (.71 )           (.71 )                 8.00       8.08  
2006     8.48       .69       (.15 )     (.07 )           .47       (.62 )           (.62 )                 8.33       8.15  
 
Floating Rate Income (JFR)
                                                                                                         
Year Ended 7/31:
2010     9.76       .82       1.47       *           2.29       (.58 )           (.58 )           *     11.47     $ 11.20  
2009     11.83       .71       (2.07 )     (.07 )           (1.43 )     (.64 )           (.64 )           *     9.76       8.37  
2008     13.08       1.40       (1.20 )     (.37 )           (.17 )     (1.08 )           (1.08 )                 11.83       10.19  
2007     13.90       1.56       (.78 )     (.43 )           .35       (1.17 )           (1.17 )                 13.08       12.88  
2006     14.11       1.31       (.18 )     (.35 )           .78       (.99 )           (.99 )                 13.90       13.15  
 
Floating Rate Income Opportunity (JRO)
                                                                                                         
Year Ended 7/31:
2010     9.54       1.01       1.50       *           2.51       (.71 )           (.71 )           *     11.34     $ 11.64  
2009     11.75       .73       (2.15 )     (.07 )           (1.49 )     (.72 )           (.72 )           *     9.54       8.35  
2008     13.14       1.41       (1.29 )     (.37 )           (.25 )     (1.14 )           (1.14 )                 11.75       10.06  
2007     13.95       1.62       (.78 )     (.43 )           .41       (1.22 )           (1.22 )                 13.14       13.05  
2006     14.08       1.38       (.13 )     (.35 )           .90       (1.03 )           (1.03 )                 13.95       13.30  
                                                                                                         
 
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) The amounts shown are based on Common share equivalents.
(c) Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

     
     
50
  Nuveen Investments
     


 

                                                                                                         
                Ratios/Supplemental Data                                
                Ratios to Average Net
    Ratios to Average Net
                   
                Assets Applicable to
    Assets Applicable to
                   
                Common Shares Before
    Common Shares After
                Borrowings at
 
    Total Returns           Reimbursement(d)     Reimbursement(d)(e)           Preferred Shares at End of Period     End of Period  
          Based
                                                                   
          on
    Ending
                                                             
          Common
    Net
                                                             
    Based
    Share
    Assets
                                  Aggregate
    Liquidation
          Aggregate
    Asset
 
    on
    Net
    Applicable to
          Net
          Net
    Portfolio
    Amount
    and Market
    Asset
    Amount
    Coverage
 
    Market
    Asset
    Common
          Investment
          Investment
    Turnover
    Outstanding
    Value Per
    Coverage
    Outstanding
    Per
 
    Value(c)     Value(c)     Shares (000)     Expenses     Income(f)     Expenses     Income(f)     Rate     (000)     Share     Per Share     (000)     $1,000  
                                                                                                         
      44.83 %     28.15 %     $203,261       2.18 %     5.61 %     2.17 %     5.62 %     68 %   $     $     $     $ 73,950     $ 3,749  
      (6.83 )     (12.25 )     169,917       3.50       9.39       3.39       9.50       48       26,000       25,000       188,381       32,900       6,955  
      (16.31 )     (2.32 )     214,311       3.88       9.38       3.69       9.57       50       46,000       25,000       141,473       90,000       3,892  
      7.79       4.39       238,779       3.88       8.99       3.59       9.27       80       46,000       25,000       154,771       103,000       3,765  
      (1.87 )     5.78       248,271       3.52       7.74       3.08       8.18       55       46,000       25,000       159,930       103,000       3,857  
 
 
                                                                                                         
                                                                                                         
      41.48 %     23.85 %     542,456       2.03       7.14       1.74       7.42       51                         197,740       3,743  
      (9.82 )     (10.37 )     463,026       3.25       8.27       2.79       8.74       38       105,000       25,000       135,244       38,500       15,754  
      (13.07 )     (1.43 )     560,473       2.04       10.71       1.50       11.25       30       165,000       25,000       109,920       235,000       4,087  
      6.69       2.33       619,843       1.59       10.63       1.08       11.14       81       400,000       25,000       63,740              
      3.70       5.72       657,517       1.61       8.83       1.10       9.34       50       400,000       25,000       66,095              
 
 
                                                                                                         
                                                                                                         
      49.00 %     26.66 %     322,136       2.14       8.95       1.84       9.25       58                         117,270       3,747  
      (7.35 )     (10.57 )     271,125       3.35       8.74       2.86       9.23       41       60,000       25,000       137,969       37,350       9,865  
      (14.88 )     (1.99 )     334,040       2.06       10.88       1.55       11.38       33       100,000       25,000       108,510       140,000       4,100  
      7.13       2.73       373,366       1.61       11.06       1.13       11.54       81       240,000       25,000       63,892              
      7.32       6.60       396,195       1.63       9.36       1.15       9.84       50       240,000       25,000       66,270              
                                                                                                         
 
(d)
• Ratios do not reflect the effect of dividend payments to Preferred shareholders.
• Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.
• Each ratio includes the effect of the interest expense paid on borrowings as follows:
 
         
Ratios of Borrowings Interest Expense to
 
Average Net Assets Applicable to Common Shares(g)  
Senior Income (NSL)
Year Ended 7/31:
2010     .13 %
2009     1.28  
2008     2.05  
2007     2.22  
2006     1.85  
         
Floating Rate Income (JFR)
Year Ended 7/31:
2010     .13 %
2009     1.04  
2008     .28  
2007      
2006      
         
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2010     .13 %
2009     1.14  
2008     .28  
2007      
2006      
         
 
(e) After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash deposit with the custodian bank and/or legal fee refunds, where applicable. As of October 31, 2009, the Adviser is no longer reimbursing Senior Income (NSL) for any fees or expenses.
(f) For the fiscal year ended July 31, 2010, each ratio of Net Investment Income includes the effect of the increase of the net realizable value of the receivable of matured senior loans as described in Footnote 1 — General Information and Significant Accounting Policies, Investment Income. For the fiscal year ended July 31, 2010, the increase (decrease) to the Ratios of Net Investment Income to Average Net Assets Applicable to Common Shares is .09%, .08% and .09% for Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO), respectively.
(g) Borrowings Interest Expense includes amortization of borrowing costs, where applicable. Borrowing costs were fully amortized and expensed as of July 31, 2009.
* Rounds to less than $.01 per share.
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
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Board Members & Officers (Unaudited)

 
 
The management of the Fund, including general supervision of the duties performed for the Fund by the Adviser, is the responsibility of the Board Members of the Fund. The number of board members of the Fund is currently set at nine. None of the board members who are not “interested” persons of the Fund (referred to herein as “independent board members”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Fund, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
 
                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  Including other Directorships
  in Fund Complex
 
     
  Appointed
  During Past 5 Years
  Overseen by
          and Term(1)       Board Member
 
 
INDEPENDENT BOARD MEMBERS:
 
n ROBERT P. BREMNER(2)
8/22/40
333 W. Wacker Drive
Chicago, IL 60606
    Chairman of
the Board
and Board Member
  1996
Class III
  Private Investor and Management Consultant; Treasurer and Director, Humanities Council of Washington, D.C.   200
 
n JACK B. EVANS
10/22/48
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   1999
Class III
  President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; President Pro Tem of the Board of Regents for the State of Iowa University System; Director, Gazette Companies; Life Trustee of Coe College and the Iowa College Foundation; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.   200
 
n WILLIAM C. HUNTER
3/6/48
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   2004
Class I
  Dean, Tippie College of Business, University of Iowa (since 2006); Director (since 2004) of Xerox Corporation; Director (since 2005), Beta Gamma Sigma International Honor Society; formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); Director, SS&C Technologies, Inc. (May 2005-October 2005); formerly, Director (1997-2007), Credit Research Center at Georgetown University.   200

     
     
52
  Nuveen Investments
     


 

                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  Including other Directorships
  in Fund Complex
 
     
  Appointed
  During Past 5 Years
  Overseen by
          and Term(1)       Board Member
 
INDEPENDENT BOARD MEMBERS (continued):
                   
 
n DAVID J. KUNDERT(2)
10/28/42
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   2005
Class II
  Director, Northwestern Mutual Wealth Management Company; retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Member, Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation.   200
 
n WILLIAM J. SCHNEIDER(2)
9/24/44
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   1997
Class III
  Chairman of Miller-Valentine Partners Ltd., a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired, 2004) of Miller-Valentine Group; member, University of Dayton Business School Advisory Council; member, Mid-America Health System Board; formerly member and Chair, Dayton Philharmonic Orchestra Association; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank.   200
 
n JUDITH M. STOCKDALE
12/29/47
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   1997
Class I
  Executive Director, Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).   200
 
n CAROLE E. STONE(2)
6/28/47
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   2007
Class I
  Director, Chicago Board Options Exchange (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Commissioner, New York State Commission on Public Authority Reform (since 2005); formerly, Chair, New York Racing Association Oversight Board (2005-2007).   200
 
n TERENCE J. TOTH(2)
9/29/59
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   2008
Class II
  Director, Legal & General Investment Management America, Inc. (since 2008); Managing Partner, Promus Capital (since 2008); formerly CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Goodman Theatre Board (since 2004); Chicago Fellowship Boards (since 2005), University of Illinois Leadership Council Board (since 2007) and Catalyst Schools of Chicago Board (since 2008); formerly member: Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).   200

     
     
Nuveen Investments
  53
     


 

                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  Including other Directorships
  in Fund Complex
 
     
  Appointed
  During Past 5 Years
  Overseen by
          and Term(1)       Board Member
 
INTERESTED BOARD MEMBER:
 
n JOHN P. AMBOIAN(3)
6/14/61
333 W. Wacker Drive
Chicago, IL 60606
    Board Member   2008
Class II
  Chief Executive Officer (since July 2007), Director (since 1999) and Chairman (since 2007) of Nuveen Investments, Inc.; Chief Executive Officer (since 2007) of Nuveen Asset Management, Nuveen Investments Advisors, Inc.; President (since 2005) of Nuveen Commodities Asset Management, LLC.   200
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  During Past 5 Years
  in Fund Complex
 
     
  Appointed(4)
   
  Overseen by
                  Officer
 
 
OFFICERS of the FUND:
 
n GIFFORD R. ZIMMERMAN
9/9/56
333 W. Wacker Drive
Chicago, IL 60606
    Chief
Administrative
Officer
  1988   Managing Director (since 2002), Assistant Secretary and Associate General Counsel of Nuveen Investments, LLC; Managing Director, Associate General Counsel and Assistant Secretary, of Nuveen Asset Management (since 2002) and of Symphony Asset Management LLC, (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC. (since 2002), Nuveen Investments Advisers Inc. (since 2002), Tradewinds Global Investors, LLC, and Santa Barbara Asset Management, LLC (since 2006), Nuveen HydePark Group LLC and Nuveen Investment Solutions, Inc. (since 2007); Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2005) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.   200
 
n WILLIAM ADAMS IV
6/9/55
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2007   Executive Vice President of Nuveen Investments, Inc.; Executive Vice President, U.S. Structured Products of Nuveen Investments, LLC, (since 1999); Executive Vice President (since 2005) of Nuveen Commodities Asset Management, LLC.   125
 
n CEDRIC H. ANTOSIEWICZ
1/11/62
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2007   Managing Director, (since 2004), previously, Vice President (1993-2004) of Nuveen Investments, LLC.   125
 
n NIZIDA ARRIAGA
6/1/68
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2009   Senior Vice President of Nuveen Investments, LLC (since 2010); formerly, Vice President (2007-2010); Portfolio Manager, Allstate Investments, LLC (1996-2006); Chartered Financial Analyst.   200

     
     
54
  Nuveen Investments
     


 

                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  During Past 5 Years
  in Fund Complex
 
     
  Appointed(4)
   
  Overseen by
                  Officer
 
OFFICERS of the FUND (continued):
                   
 
n MICHAEL T. ATKINSON
2/3/66
333 W. Wacker Drive
Chicago, IL 60606
    Vice President and Assistant Secretary   2000   Vice President (since 2002) of Nuveen Investments, LLC; Vice President of Nuveen Asset Management (since 2005).   200
 
n MARGO L. COOK
4/11/64
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2009   Executive Vice President (since Oct 2008) of Nuveen Investments, Inc.; previously, Head of Institutional Asset Management (2007-2008) of Bear Stearns Asset Management; Head of Institutional Asset Mgt (1986-2007) of Bank of NY Mellon; Chartered Financial Analyst.   200
 
n LORNA C. FERGUSON
10/24/45
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   1998   Managing Director (since 2004) of Nuveen Investments, LLC and Managing Director (since 2005) of Nuveen Asset Management.   200
 
n STEPHEN D. FOY
5/31/54
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Controller
  1998   Senior Vice President (since 2010), formerly, Vice President (1993-2010) and Funds Controller (since 1998) of Nuveen Investments, LLC; Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Asset Management; Certified Public Accountant.   200
 
n SCOTT S. GRACE
8/20/70
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Treasurer
  2009   Managing Director, Corporate Finance & Development, Treasurer (since 2009) of Nuveen Investments, LLC, Managing Director and Treasurer of Nuveen Asset Management (since 2009); formerly, Treasurer (2006-2009), Senior Vice President (2008-2009), previously, Vice President (2006-2008) of Janus Capital Group, Inc,; formerly, Senior Associate in Morgan Stanley’s Global Financial Services Group (2000-2003); Chartered Accountant Designation.   200
 
n WILLIAM T. HUFFMAN
5/7/69
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2009   Chief Operating Officer, Municipal Fixed Income (since 2008) of Nuveen Asset Management; previously, Chairman, President and Chief Executive Officer (2002-2007) of Northern Trust Global Advisors, Inc. and Chief Executive Officer (2007) of Northern Trust Global Investments Limited; Certified Public Accountant.   136
 
n WALTER M. KELLY
2/24/70
333 W. Wacker Drive
Chicago, IL 60606
    Chief Compliance
Officer and
Vice President
  2003   Senior Vice President (since 2008), Vice President (2006-2008) formerly, Assistant Vice President and Assistant General Counsel (2003-2006) of Nuveen Investments, LLC; Senior Vice President (since 2008), formerly, Vice President (2006-2008) and Assistant Secretary (since 2008) of Nuveen Asset Management.   200

     
     
Nuveen Investments
  55
     


 

                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  During Past 5 Years
  in Fund Complex
 
     
  Appointed(4)
   
  Overseen by
                  Officer
 
OFFICERS of the FUND (continued):
                   
 
n DAVID J. LAMB
3/22/63
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2000   Senior Vice President (since 2009), formerly, Vice President (2000-2009) of Nuveen Investments, LLC; Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Asset Management; Certified Public Accountant.   200
 
n TINA M. LAZAR
8/27/61
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2002   Senior Vice President (since 2009), formerly, Vice President of Nuveen Investments, LLC (1999-2009); Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Asset Management.   200
 
n LARRY W. MARTIN
7/27/51
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Assistant Secretary
  1988   Senior Vice President (since 2010), formerly, Vice President (1993-2010), Assistant Secretary and Assistant General Counsel of Nuveen Investments, LLC; Vice President (since 2005) and Assistant Secretary of Nuveen Investments, Inc.; Vice President (since 2005) and Assistant Secretary (since 1997) of Nuveen Asset Management; Vice President and Assistant Secretary of Nuveen Investments Advisers Inc. (since 2002); NWQ Investment Management Company, LLC (since 2002), Symphony Asset Management LLC (since 2003), Tradewinds Global Investors, LLC, Santa Barbara Asset Management LLC (since 2006) and of Nuveen HydePark Group, LLC and Nuveen Investment Solutions, Inc. (since 2007).   200
 
n KEVIN J. MCCARTHY
3/26/66
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Secretary
  2007   Managing Director (since 2008), formerly, Vice President (2007-2008), Nuveen Investments, LLC; Managing Director (since 2008), formerly, Vice President, and Assistant Secretary, Nuveen Asset Management, and Nuveen Investment Holdings, Inc.; Vice President (since 2007) and Assistant Secretary, Nuveen Investment Advisers Inc., NWQ Investment Management Company, LLC, Tradewinds Global Investors LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management LLC, Nuveen HydePark Group, LLC and Nuveen Investment Solutions, Inc. (since 2007); prior thereto, Partner, Bell, Boyd & Lloyd LLP (1997-2007).   200
 
n MICHELLE A. MCCARTHY
7/6/65
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2010   Managing Director, Director of Risk Management (since May, 2010), Nuveen Investments, LLC; formerly, Chief Risk Officer (2009-2010) of Russell Investment Group; formerly, SVP (2003-2009), Chief Market & Operational Risk Officer (2006-2009), Washington Mutual Bank.   200
 
n JOHN V. MILLER
4/10/67
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2007   Chief Investment Officer and Managing Director (since 2007), formerly, Vice President (2002-2007) of Nuveen Asset Management and Managing Director (since 2007), formerly, Vice President (2002-2007) of Nuveen Investments, LLC; Chartered Financial Analyst.   136

     
     
56
  Nuveen Investments
     


 

                   
 
Name, Birthdate
    Position(s) Held with
  Year First
  Principal Occupation(s)
  Number of Portfolios
and Address
    the Fund
  Elected or
  During Past 5 Years
  in Fund Complex
 
     
  Appointed(4)
   
  Overseen by
                  Officer
 
OFFICERS of the FUND (continued):
                   
 
n GREGORY T. MINO
1/4/71
333 W. Wacker Drive
Chicago, IL 60606
    Vice President   2009   Senior Vice President (since 2010) of Nuveen Investments, LLC, formerly, Director (2004-2007) and Executive Director (2007-2008) of UBS Global Asset Management; previously, Vice President (2000-2003) and Director (2003-2004) of Merrill Lynch Investment Managers; Chartered Financial Analyst.   200
 
n CHRISTOPHER M. ROHRBACHER
8/1/71
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Assistant
Secretary
  2008   Vice President, Nuveen Investments, LLC (since 2008); Vice President and Assistant Secretary, Nuveen Asset Management (since 2008); prior thereto, Associate, Skadden, Arps, Slate, Meagher & Flom LLP (2002-2008).   200
 
n JAMES F. RUANE
7/3/62
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Assistant
Secretary
  2007   Vice President, Nuveen Investments, LLC (since 2007); prior thereto, Partner, Deloitte & Touche USA LLP (2005-2007), formerly, senior tax manager (2002-2005); Certified Public Accountant.   200
 
n MARK L. WINGET
12/21/68
333 W. Wacker Drive
Chicago, IL 60606
    Vice President
and Assistant
Secretary
  2008   Vice President, Nuveen Investments, LLC (since 2008); Vice President and Assistant Secretary, Nuveen Asset Management (since 2008); prior thereto, Counsel, Vedder Price P.C. (1997-2007).   200
 
(1)  Board Members serve three year terms. The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the Board Member was first elected or appointed to any fund in the Nuveen Complex.
 
(2)  Also serves as a trustee of the Nuveen Diversified Commodity Fund, a Nuveen-sponsored commodity pool that has filed a registration statement on Form S-1 with the SEC for a proposed initial public offering. The S-1 has not been declared effective, and the commodity pool has not commenced operations.
 
(3)  Mr. Amboian is an interested trustee because of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.
 
(4)  Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

     
     
Nuveen Investments
  57
     


 

 
Annual Investment Management
Agreement Approval Process (Unaudited)

 
 
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser (including sub-advisers) will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board members, including by a vote of a majority of the board members who are not parties to the advisory agreement or “interested persons” of any parties (the “Independent Board Members”), cast in person at a meeting called for the purpose of considering such approval. In connection with such approvals, the fund’s board members must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. Accordingly, at a meeting held on May 25-26, 2010 (the “May Meeting”), the Boards of Trustees (each, a “Board,” and each Trustee, a “Board Member”) of the Funds, including a majority of the Independent Board Members, considered and approved the continuation of the advisory and sub-advisory agreements for the Funds for an additional one-year period. These agreements include the investment advisory agreements between Nuveen Asset Management (“NAM”) and each Fund and the sub-advisory agreements between NAM and Symphony Asset Management LLC (the “Sub-Adviser”). In preparation for their considerations at the May Meeting, the Board also held a separate meeting on April 21-22, 2010 (the “April Meeting”). Accordingly, the factors considered and determinations made regarding the renewals by the Independent Board Members include those made at the April Meeting.
 
In addition, in evaluating the applicable advisory agreements (each, an “Investment Management Agreement”) and sub-advisory agreements (each, a “Sub-advisory Agreement,” and each Investment Management Agreement and Sub-advisory Agreement, an “Advisory Agreement”), the Independent Board Members reviewed a broad range of information relating to the Funds, NAM and the Sub-Adviser (NAM and the Sub-Adviser are each a “Fund Adviser”), including absolute and comparative performance, fee and expense information for the Funds (as described in more detail below), the profitability of Nuveen for its advisory activities (which includes its wholly owned subsidiaries), and other information regarding the organization, personnel, and services provided by the respective Fund Adviser. The Independent Board Members also met quarterly as well as at other times as the need arose during the year and took into account the information provided at such meetings and the knowledge gained therefrom. Prior to approving the renewal of the Advisory Agreements, the Independent Board Members reviewed the foregoing information with their independent legal counsel and with management, reviewed materials from independent legal counsel describing applicable law and their duties in reviewing advisory contracts, and met with independent legal counsel in private sessions without management present. The Independent Board Members considered the legal advice provided by independent legal counsel and relied upon their knowledge of the Fund Adviser, its services and the Funds resulting from their meetings and other interactions throughout the year and their own business judgment in determining the factors to be considered in evaluating the Advisory Agreements. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund’s Advisory Agreements. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
 
A.  Nature, Extent and Quality of Services
In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser’s services, including advisory services and administrative services. The Independent Board Members reviewed materials outlining, among other things, the Fund Adviser’s organization and business; the types of services that the Fund Adviser or its affiliates provide and are expected to provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line, including continued activities to refinance

     
     
58
  Nuveen Investments
     


 

auction rate preferred securities, manage leverage during periods of market turbulence and implement an enhanced leverage management process, modify investment mandates in light of market conditions and seek shareholder approval as necessary, maintain the fund share repurchase program and maintain shareholder communications to keep shareholders apprised of Nuveen’s efforts in refinancing preferred shares. In addition to the foregoing, the Independent Board Members also noted the additional services that NAM or its affiliates provide to closed-end funds, including, in particular, Nuveen’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include maintaining an investor relations program to provide timely information and education to financial advisers and investors; providing marketing for the closed-end funds; maintaining and enhancing a closed-end fund website; participating in conferences and having direct communications with analysts and financial advisors.
 
As part of their review, the Independent Board Members also evaluated the background, experience and track record of the Fund Adviser’s investment personnel. In this regard, the Independent Board Members considered any changes in the personnel, and the impact on the level of services provided to the Funds, if any. The Independent Board Members also reviewed information regarding portfolio manager compensation arrangements to evaluate the Fund Adviser’s ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an incentive for taking undue risks.
 
In addition to advisory services, the Independent Board Members considered the quality of administrative services provided by NAM and its affiliates including product management, fund administration, oversight of service providers, shareholder services, administration of Board relations, regulatory and portfolio compliance and legal support. Given the importance of compliance, the Independent Board Members also considered NAM’s compliance program, including the report of the chief compliance officer regarding the Funds’ compliance policies and procedures.
 
The Independent Board Members also considered NAM’s oversight of the performance, business activities and compliance of the Sub-Adviser. In that regard, the Independent Board Members reviewed an evaluation of the Sub-Adviser from NAM. The evaluation also included information relating to the Sub-Adviser’s organization, operations, personnel, assets under management, investment philosophy, strategies and techniques in managing the Funds, developments affecting the Sub-Adviser, and an analysis of the Sub-Adviser. As described in further detail below, the Board also considered the performance of the Funds. In addition, the Board recognized that the Sub-advisory Agreements were essentially agreements for portfolio management services only and the Sub-Adviser was not expected to supply other significant administrative services to the Funds. As part of their oversight, the Independent Board Members also continued their program of seeking to visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Independent Board Members met with the Sub-Adviser in 2010. The Independent Board Members noted that NAM recommended the renewal of the Sub-advisory Agreements and considered the basis for such recommendations.
 
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the Funds under the respective Investment Management Agreement or Sub-advisory Agreement, as applicable, were satisfactory.
 
B.  The Investment Performance of the Funds and Fund Advisers
The Board considered the performance results of each Fund over various time periods. The Board reviewed, among other things, each Fund’s historic investment performance as well as information comparing the Fund’s performance information with that of other funds (the “Performance Peer Group”) based on data provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks. In this regard, the performance information the Board reviewed included the Fund’s total return information compared to the returns of its Performance Peer Group and recognized and/or customized benchmarks for the quarter, one-, three- and five-year periods ending December 31, 2009 and for the same periods ending March 31, 2010. Moreover, the Board reviewed the peer ranking of the Nuveen funds sub-advised by the Sub-Adviser in the aggregate. The Independent Board Members also reviewed historic premium and discount levels, including a summary of actions taken to date for the Nuveen Floating Rate Income Fund and the Nuveen Floating Rate Income Opportunity Fund. This information supplemented the Fund performance information provided to the

     
     
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Annual Investment Management
Agreement Approval Process
(Unaudited) (continued)

Board at each of its quarterly meetings. In reviewing peer comparison information, the Independent Board Members recognized that the Performance Peer Group of certain funds may not adequately represent the objectives and strategies of the funds, thereby limiting the usefulness of comparing a fund’s performance with that of its Performance Peer Group.
 
Based on their review, the Independent Board Members determined that each Fund’s investment performance over time had been satisfactory. In this regard, the Board noted that each Fund generally demonstrated favorable performance in comparison to its respective peers, performing in the top two quartiles.
 
C.  Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the fee and expenses of a comparable universe of funds based on data provided by an independent fund data provider (the “Peer Universe”) and in certain cases, to a more focused subset of funds in the Peer Universe (the “Peer Group”) and any expense limitations.
 
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe and/or Peer Group. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the asset level of a fund relative to peers; the limited size and particular composition of the Peer Universe or Peer Group; the investment objectives of the peers; expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement; the timing of information used; and the differences in the type and use of leverage may impact the comparative data, thereby limiting the ability to make a meaningful comparison with peers.
 
In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen (applicable, in particular, for certain closed-end funds launched since 1999). The Independent Board Members noted that the Nuveen Floating Rate Income Fund and the Nuveen Floating Rate Income Opportunity Fund had net management fees and/or net expense ratios below, at or near (within 5 basis points or less) the peer averages of their Peer Group or Peer Universe. They noted that the Nuveen Senior Income Fund had a net expense ratio above the peer average, but a net advisory fee below the peer average.
 
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.
 
2. Comparisons with the Fees of Other Clients
The Independent Board Members further reviewed information regarding the nature of services and fee rates offered by NAM to other clients. Such clients include separately managed accounts (both retail and institutional accounts), foreign investment funds offered by Nuveen and funds that are not offered by Nuveen but are sub-advised by one of Nuveen’s investment management teams. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.
 
In considering the fees of the Sub-Adviser, the Independent Board Members also considered the pricing schedule or fees that the Sub-Adviser charges for similar investment management services for other fund

     
     
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sponsors or clients (such as retail and/or institutional managed accounts) as applicable. The Independent Board Members also reviewed the fees the Sub-Adviser assesses for equity and taxable fixed-income hedge funds it manages, which include a performance fee.
 
3. Profitability of Fund Advisers
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen’s wholly-owned affiliated sub-advisers) and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2009. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members noted that they had also appointed an Independent Board Member as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen’s revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with similar amounts of assets under management and relatively comparable asset composition prepared by Nuveen.
 
In reviewing profitability, the Independent Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business. Based on their review, the Independent Board Members concluded that Nuveen’s level of profitability for its advisory activities was reasonable in light of the services provided.
 
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds, if any. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.
 
D.  Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase. Further, the Independent Board Members noted that although closed-end funds may from time to time make additional share offerings, the growth of their assets will occur primarily through the appreciation of such funds’ investment portfolio.
 
In addition to fund-level advisory fee breakpoints, the Board also considered the Funds’ complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion

     
     
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Annual Investment Management
Agreement Approval Process
(Unaudited) (continued)

that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base.
 
Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.
 
E.  Indirect Benefits
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered any revenues received by affiliates of NAM for serving as agent at Nuveen’s trading desk and as co-manager in initial public offerings of new closed-end funds.
 
In addition to the above, the Independent Board Members considered whether each Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. With respect to NAM, the Independent Board Members noted that NAM does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating “commissions,” NAM intends to comply with the applicable safe harbor provisions. With respect to the Sub-Adviser, the Board considered that the Sub-Adviser currently does not enter into soft dollar arrangements; however, it has adopted a soft dollar policy in the event it does so in the future.
 
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with a Fund were reasonable and within acceptable parameters.
 
F.  Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of the Investment Management Agreements and Sub-advisory Agreements are fair and reasonable, that the respective Fund Adviser’s fees are reasonable in light of the services provided to each Fund and that the Investment Management Agreements and the Sub-advisory Agreements be renewed.

     
     
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Reinvest Automatically
Easily and Conveniently

 
 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
Nuveen Closed-End Funds Dividend Reinvestment Plan
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional Fund shares.
 
By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested.
 
It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
 
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total dividends and 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. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and 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 dividend or 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.

     
     
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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 dividends and/or 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.

     
     
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Glossary of Terms
Used in this Report

 
 
n  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in common share NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
 
n  Collateralized Debt Obligations (CDOs): Collateralized debt obligations are a type of asset-backed security constructed from a portfolio of fixed-income assets. CDOs usually are divided into different tranches having different ratings and paying different interest rates. Losses, if any, are applied in reverse order of seniority and so junior tranches generally offer higher coupons to compensate for added default risk.
 
n  Market Yield (also known as Dividend Yield or Current Yield): Market yield is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a tax return of capital.
 
n  Net Asset Value (NAV): A Fund’s NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common shares outstanding. Fund NAVs are calculated at the end of each business day.

     
     
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Other Useful Information

 
 
Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Terence J. Toth
 
Fund Manager
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank & Trust Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI
02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer has submitted to the New York Stock Exchange (“NYSE”) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Distribution Information
 
The following federal income tax information is provided with respect to the Funds’ distributions paid during the taxable year ended July 31, 2010. Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) hereby designate 98.93%, 93.72% and 95.25%, respectively, (or the maximum amount eligible) of ordinary income distributions as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2010.

     
     
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Common Share Information
 
Each Fund intends to repurchase shares of its own common in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds repurchased shares of their common stock as shown in the accompanying table.
 
     
    Common Shares
Fund   Repurchased
NSL
 
JFR
  137,893
JRO
  9,700
     
 
Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

     
     
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Nuveen Investments:
Serving Investors for Generations

 
 
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, longterm investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
 
Focused on meeting investor needs.
 
Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. We market our growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $150 billion of assets on June 30, 2010.
 
Find out how we can help you.
 
To learn more about the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at: www.nuveen.com/cef
 
Nuveen makes things e-simple.
 
It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready—no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.
 
Free e-Reports right to your e-mail!
 
www.investordelivery.com
If you receive your Nuveen Fund distributions and statements from your financial advisor or brokerage account.
 
OR
 
www.nuveen.com/accountaccess
If you receive your Nuveen Fund distributions and statements directly from Nuveen.
 
         
Distributed by
Nuveen Investments, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
       

EAN-B-0710D


 

ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Info/Shareholder/. (To view the code, click on Fund Governance and then click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial expert is Jack B. Evans, who is “independent” for purposes of Item 3 of Form N-CSR.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
NUVEEN SENIOR INCOME FUND
The following tables show the amount of fees that Ernst & Young LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with Ernst & Young LLP the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND
                                 
    Audit Fees Billed   Audit-Related Fees   Tax Fees   All Other Fees
Fiscal Year Ended   to Fund 1   Billed to Fund 2   Billed to Fund 3   Billed to Fund 4
 
July 31, 2010
  $ 37,945     $ 0     $ 0     $ 10,000  
 
 
                               
Percentage approved pursuant to pre-approval exception
    0 %     0 %     0 %     0 %
 
 
                               
July 31, 2009
  $ 35,625     $ 0     $ 0     $ 16,000  
 
 
                               
Percentage approved pursuant to pre-approval exception
    0 %     0 %     0 %     0 %
 
1   “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.
 
2   “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements and are not reported under “Audit Fees”.
 
3   “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning.
 
4   “All Other Fees” are the aggregate fees billed for products and services for agreed upon procedures engagements performed for leveraged funds.
SERVICES THAT THE FUND’S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Asset Management (“NAM” or the “Adviser”), and any entity controlling, controlled by or under common control with NAM that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.
                         
    Audit-Related Fees   Tax Fees Billed to   All Other Fees
    Billed to Adviser and   Adviser and   Billed to Adviser
    Affiliated Fund   Affiliated Fund   and Affiliated Fund
Fiscal Year Ended   Service Providers   Service Providers   Service Providers
 
July 31, 2010
  $ 0     $ 0     $ 0  
 
 
                       
Percentage approved pursuant to pre-approval exception
    0 %     0 %     0 %
 
 
                       
July 31, 2009
  $ 0     $ 0     $ 0  
 
 
                       
Percentage approved pursuant to pre-approval exception
    0 %     0 %     0 %
 

 


 

NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP’s independence.
                                 
            Total Non-Audit Fees        
            billed to Adviser and        
            Affiliated Fund Service   Total Non-Audit Fees    
            Providers (engagements   billed to Adviser and    
            related directly to the   Affiliated Fund Service    
    Total Non-Audit Fees   operations and financial   Providers (all other    
Fiscal Year Ended   Billed to Fund   reporting of the Fund)   engagements)   Total
 
July 31, 2010
  $ 10,000     $ 0     $ 0     $ 10,000  
July 31, 2009
  $ 16,000     $ 0     $ 0     $ 16,000  
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Robert P. Bremner, Jack B. Evans, David J. Kundert, William J. Schneider and Terence J. Toth.
ITEM 6. SCHEDULE OF INVESTMENTS.
  (a)   See Portfolio of Investments in Item 1.
 
  (b)   Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
SYMPHONY
Symphony Asset Management votes proxies with the objective of maximizing shareholder value for its clients and in accordance with the firm’s Policies and Procedures for Proxy Voting. Symphony’s Proxy Voting Committee is responsible for establishing proxy voting guidelines; review and oversight of the firm’s Policies and Procedures for Proxy Voting; oversight of day-to-day proxy voting related activities; and, for overseeing the activities of proxy service providers utilized by the firm.
Symphony has established guidelines for proxy voting based on the recommendations of an independent third-party proxy service provider. Symphony utilizes one or more independent third-party service providers to vote proxy in accordance with Symphony’s guidelines. Service providers also provide proxy voting related research material as required.
In its Policies and Procedures for Proxy Voting, Symphony specifies a process for identifying and managing conflicts of interest in the proxy voting process so that votes are cast in the best interests of clients. Conflicts of interest may arise from relationships Symphony has with its clients, vendors and lenders. Symphony portfolio managers may change a proxy vote recommended by the firm’s guidelines to resolve a conflict of interest or for other reasons in the best economic interests of clients. Symphony’s Proxy Voting Committee reviews vote changes.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
The Adviser has engaged Symphony Asset Management also referred to as “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio managers of the Sub-Adviser.
SYMPHONY ASSET MANAGEMENT
A. PORTFOLIO MANAGER BIOGRAPHIES
Gunther Stein, Director of Fixed Income Strategies, Portfolio Manager
Gunther Stein is the lead portfolio manager for both high yield and convertible bond strategies at Symphony Asset Management as well as the lead portfolio manager of Nuveen’s senior loan asset management team. Prior to joining Symphony in 1999, Stein was a high yield portfolio manager at Wells Fargo Bank, where he was responsible for investing in public high yield bonds and bank loans and also managed a team of credit analysts. Stein joined Wells Fargo in 1993 as an Associate in its Loan Syndications/Leveraged Finance Group. Previously, Stein worked for four years as a euro-currency deposit trader with First Interstate Bank. He has also worked for Standard Chartered Bank, Mexico City and Citibank Investment Bank, London. He completed Wells Fargo’s Credit Management Training program and holds an M.B.A. from the University of Texas, Austin. He graduated from the University of California at Berkeley with a B.A. in Economics.
B. OTHER ACCOUNTS
OTHER ACCOUNTS MANAGED BY Gunther Stein AS OF 7/31/10
         
    Gunther Stein
(a) RICs
       
Number of accts
    6  
Assets
  1.94 billion
 
       
(b) Other pooled accts
       
Non-performance fee accts
       
Number of accts
    2  
Assets
  18.08 million
Performance fee accts
       
Number of accts
    13  
Assets
  3.98 billion
 
       
(c) Other
       
Non-performance fee accts
       
Number of accts
    4  
Assets
  5.21 million
Performance fee accts
       
Number of accts
    3  
Assets
  750.44 million
C. POTENTIAL MATERIAL CONFLICTS OF INTEREST
As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts. Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors. In addition, the Sub-adviser has adopted trade allocation procedures that require equitable allocation of trade orders for a particular security among participating accounts.
D. FUND MANAGER COMPENSATION
Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.
The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.
The portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. The level of this bonus to each individual portfolio manager is determined by senior management’s assessment of the team’s performance, and the individual’s contribution to and performance on that team. Factors considered in that assessment include the total return and risk-adjusted total return performance of the accounts for which the individual serves as portfolio manager relative to any benchmarks established for those accounts; the individual’s effectiveness in communicating investment performance to investors and/or their advisors; and the individual’s contribution to the firm’s overall investment process and to the execution of investment strategies. The portfolio manager also receives long-term incentives tied to the performance and growth of Symphony and Nuveen.
E. OWNERSHIP OF NSL SECURITIES AS OF JULY 31, 2010.
     
    Dollar range of equity securities beneficially owned
Name of Portfolio Manager   in Fund
Gunther Stein
  $10,001-$50,000
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
  (a)   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 


 

ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Info/Shareholder/ and there were no amendments during the period covered by this report. (To view the code, click on Fund Governance and then Code of Conduct.)
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

 


 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) NUVEEN SENIOR INCOME FUND
         
     
By (Signature and Title) /s/ Kevin J. McCarthy       
  Kevin J. McCarthy     
  Vice President and Secretary     
Date: October 7, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By (Signature and Title)  /s/ Gifford R. Zimmerman      
  Gifford R. Zimmerman     
  Chief Administrative Officer
(principal executive officer) 
   
Date: October 7, 2010
         
     
By (Signature and Title)  /s/ Stephen D. Foy      
  Stephen D. Foy     
  Vice President and Controller
(principal financial officer) 
   
Date: October 7, 2010