nvq
Table of Contents

 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811 - 21579
Nuveen Floating Rate Income Opportunity Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
Jessica R. Droeger—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)
Registrant’s telephone number, including area code:      312-917-7700     
Date of fiscal year end:        7/31      
Date of reporting period:    4/30/06   
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.
 
 

 

TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
Certification

Table of Contents

Item 1. Schedule of Investments
     
 
Portfolio of Investments (Unaudited)

Nuveen Floating Rate Income Opportunity Fund (JRO)
April 30, 2006		  
                                         
            Weighted                    
Principal         Average                    
Amount (000)     Description (1)   Coupon     Maturity (3)     Ratings (4)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests - 136.9% (84.2% of Total Investments) (2)
                                
       
 
                                
       
Aerospace & Defense - 2.3% (1.4% of Total Investments)
                                
       
 
                                
$ 9,125    
K&F Industries, Inc., Term Loan B
     7.169%     11/18/12       B2     $ 9,254,748  
 
       
 
                                
       
Airlines - 2.3% (1.4% of Total Investments)
                                
       
 
                                
  1,125    
United Air Lines, Delayed Term Loan, (5)
     8.750%     2/01/12       B+       1,143,000  
  7,875    
United Air Lines, Term Loan B, (5)
     8.625%     2/12/12       B+       8,001,000  
 
  9,000    
Total Airlines
                             9,144,000  
 
       
 
                                
       
Auto Components - 3.8% (2.3% of Total Investments)
                                
       
 
                                
  3,015    
Accuride Corporation, Term Loan
     6.938%       1/31/12       B+       3,056,917  
  5,486    
Federal Mogul Corporation, Revolver, (5) (6)
     6.517%       2/05/05       N/R       5,115,037  
  4,000    
Goodyear Tire & Rubber Company, Second Lien Term Loan
     7.954%       4/30/10       B2       4,061,250  
  1,000    
Goodyear Tire & Rubber Company, Term Loan
     3.764%       4/30/10       B3       1,010,179  
  2,000    
Lear Corporation, Term Loan, WI/DD
   TBD     TBD       B2       2,008,750  
 
  15,501    
Total Auto Components
                             15,252,133  
 
       
 
                                
       
Beverages - 1.3% (0.8% of Total Investments)
                                
       
 
                                
  5,213    
Dr Pepper/Seven Up Bottling Group, Inc., Term Loan B
     6.929%       12/19/10       N/R       5,257,814  
 
       
 
                                
       
Building Products - 4.0% (2.4% of Total Investments)
                                
       
 
                                
  9,850    
Nortek, Inc., Term Loan B
     6.695%       8/27/11       B       9,940,807  
  2,967    
Stile Acquisition Corporation, Canadian Term Loan
     7.106%       4/08/13       B2       2,950,780  
  2,973    
Stile Acquisition Corporation, Term Loan B
     7.106%       4/08/13       B2       2,955,807  
 
  15,790    
Total Building Products
                             15,847,394  
 
       
 
                                
       
Capital Markets - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  3,000    
Ameritrade Holdings Corporation, Term Loan
     6.490%       12/31/12     BB       3,015,375  
 
       
 
                                
       
Chemicals - 5.2% (3.2% of Total Investments)
                                
       
 
                                
  4,406    
Celanese Holdings LLC, Term Loan C
     6.979%       4/06/11       B+       4,476,762  
  1,298    
Headwaters Inc., Term Loan B
     7.330%       4/30/11       B1       1,309,769  
  7,066    
Huntsman International LLC, Term Loan
     6.679%       8/16/12     BB-       7,114,126  
  1,272    
Johnson Diversey, Delayed Draw Term Loan, (6)
     2.000%       12/16/11       B+       6,093  
  7,920    
Rockwood Specialties Group, Inc., Term Loan E
     7.126%       7/30/12       B+       8,030,140  
 
  21,962    
Total Chemicals
                             20,936,890  
 
       
 
                                
       
Commercial Services & Supplies - 4.1% (2.5% of Total Investments)
                                
       
 
                                
  2,812    
Allied Waste North America, Inc., Letter of Credit
     5.750%       3/21/12       B1       2,824,962  
  7,243    
Allied Waste North America, Inc., Term Loan B
     6.759%       1/15/12       B1       7,278,724  
  4,920    
National Equipment Services, Inc., Term Loan
     10.498%       8/17/10       B3       4,987,536  
  1,481    
Workflow Management, Inc., Term Loan
     9.126%       11/30/11       B2       1,484,953  
 
  16,456    
Total Commercial Services & Supplies
                             16,576,175  
 
       
 
                                
       
Communications Equipment - 1.3% (0.8% of Total Investments)
                                
       
 
                                
  959    
IPC Acquisition Corporation First Lien Term Loan
     7.589%       8/05/11       B2       974,693  
  4,000    
IPC Acquisition Corporation Second Lien Term Loan
     12.090%       8/05/12       B-       4,081,666  
 
  4,959    
Total Communications Equipment
                             5,056,359  
 
       
 
                                
       
Containers & Packaging - 5.6% (3.5% of Total Investments)
                                
       
 
                                
  1,000    
Amscan Holdings Inc., Term Loan B
     7.700%       12/23/12       B+       1,010,209  
  12,838    
Graham Packaging Company, L.P., Term Loan B
     7.108%       10/07/11       B       12,999,304  
  1,429    
Graham Packaging Company, L.P., Term Loan C
     9.250%       3/15/12     CCC+       1,465,179  
  611    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
     2.350%       11/01/11       B+       620,212  
  4,376    
Smurfit-Stone Container Corporation, Term Loan B
     7.193%       11/01/11       B+       4,438,607  
  1,484    
Smurfit-Stone Container Corporation, Term Loan C
     7.125%       11/01/11       B+       1,505,770  
  466    
Smurfit-Stone Container Corporation, Tranche C-1
     7.125%       11/01/11       B+       472,509  
 
  22,204    
Total Containers & Packaging
                             22,511,790  
 
       
 
                                
       
Diversified Consumer Services - 1.0% (0.6% of Total Investments)
                                
       
 
                                
  4,154    
Alderwoods Group, Inc., Term Loan B-2
     6.798%       9/29/08       B1       4,191,894  
 
       
 
                                
       
Diversified Telecommunication Services - 3.7% (2.3% of Total Investments)
                                
       
 
                                
  1,975    
Intelsat, Ltd., Term Loan B
     6.750%       7/06/11       B       1,994,134  
  8,500    
Iowa Telecommunications Services, Inc., Term Loan B
     6.689%       11/23/11     BB-       8,593,857  
  3,200    
Qwest Corporation, Term Loan A
     9.651%       6/30/07     Ba3       3,281,334  
  967    
Valor Telecommunications Enterprises, LLC, Term Loan
     6.763%       2/14/12     BB-       970,033  
 
  14,642    
Total Diversified Telecommunication Services
                             14,839,358  
 
       
 
                                
       
Electric Utilities - 2.1% (1.3% of Total Investments)
                                
       
 
                                
  6,332    
Allegheny Energy Supply Company, LLC, Term Loan C
     6.342%       3/08/11     Ba2       6,352,396  
  1,980    
Murray Energy Corporation, Term Loan C
     12.625%       1/28/11       N/R       2,059,200  
 
  8,312    
Total Electric Utilities
                             8,411,596  
 
       
 
                                
       
Electronic Equipment & Instruments - 0.5% (0.3% of Total Investments)
                                
       
 
                                
  2,000    
Sensata Technologies B.V., Term Loan, WI/DD
   TBD     TBD       B1       2,013,438  
 
       
 
                                
       
Energy Equipment & Services - 0.3% (0.3% of Total Investments)
                                
       
 
                                
  998    
Petroleum Geo-Services, Term Loan
     7.480%       12/15/12       B+       1,009,034  
 
       
 
                                
       
Food & Staples Retailing - 2.5% (1.5% of Total Investments)
                                
       
 
                                
  3,000    
Dunkin’ Donuts Inc., Term Loan B
     7.326%       3/01/13       B2       3,006,750  
  6,752    
Jean Coutu Group, Inc., Term Loan B
     7.625%       7/30/11       B2       6,821,749  
 
  9,752    
Total Food & Staples Retailing
                             9,828,499  
 
       
 
                                
       
Food Products - 3.4% (2.1% of Total Investments)
                                
       
 
                                
  651    
Dole Foods Company Inc., Deposit-Funded Commitment
     4.920%       4/12/13     BB-       652,113  
  1,465    
Dole Foods Company Inc., Term Loan B
     6.808%       4/12/13     BB-       1,467,253  
  4,884    
Dole Foods Company Inc., Term Loan C
     6.724%       4/12/13       B+       4,890,844  
  6,500    
Dole Holding Company, LLC, Term Loan
     9.938%       7/21/10       B3       6,707,188  
 
  13,500    
Total Food Products
                             13,717,398  
 
       
 
                                
       
Health Care Equipment & Supplies - 0.5% (0.3% of Total Investments)
                                
       
 
                                
  2,166    
Kinetic Concepts Inc., Term Loan B-2
     6.730%       8/11/10     Ba3       2,193,132  
 
       
 
                                
       
Health Care Providers & Services - 11.2% (6.9% of Total Investments)
                                
       
 
                                
  7,220    
Community Health Systems, Inc., Term Loan
     6.560%       8/19/11     BB-       7,297,730  
  5,707    
Davita Inc., Term Loan B
     6.933%       10/05/12       B1       5,775,719  
  6,000    
Fresenius Medical Care AG & Co. KGaA, Term Loan
     6.384%       3/31/13     BB       6,012,501  
  4,000    
HealthSouth Corporation, Term Loan
     8.150%       3/10/13       B2       4,048,928  
  5,404    
IASIS Healthcare LLC, Term Loan B
     7.264%       6/22/11       B+       5,481,429  
  1,042    
LifePoint Hospitals Holdings, Inc., Term Loan B
     6.185%       4/15/12     Ba3       1,048,854  
  14,821    
Vanguard Health Holding Company, LLC, Replacement Term Loan
     6.950%       9/23/11       B       15,026,721  
 
  44,194    
Total Health Care Providers & Services
                             44,691,882  
 
       
 
                                
       
Health Care Technology - 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,328    
Per-Se Technologies Inc., Term Loan
     7.230%       1/06/13       B+       1,345,841  
 
       
 
                                
       
Hotels, Restaurants & Leisure - 7.5% (4.6% of Total Investments)
                                
       
 
                                
  3,000    
24 Hour Fitness Worldwide, Inc., Term Loan B
     7.850%       6/08/12       B       3,042,501  
  9,977    
OpBiz, LLC, Term Loan A
     7.990%       8/31/10       B-       9,777,296  
  13    
OpBiz, LLC, Term Loan B (PIK)
     8.990%       8/31/10       B-       12,843  
  1,990    
Penn National Gaming, Inc., Term Loan B
     6.662%       10/03/12     BB       2,018,296  
  7,636    
Resorts International Hotel and Casino Inc., Term Loan B
     8.980%       4/26/12     CCC+       7,732,430  
  1,282    
Venetian Casino Resort, LLC, Delayed Draw Term Loan
     6.730%       6/15/11     BB-       1,297,176  
  6,218    
Venetian Casino Resort, LLC, Term Loan
     6.730%       6/15/11     BB-       6,291,302  
 
  30,116    
Total Hotels, Restaurants & Leisure
                             30,171,844  
 
       
 
                                
       
Household Durables - 3.5% (2.1% of Total Investments)
                                
       
 
                                
  7,673    
Jarden Corporation, Term Loan
     6.990%       1/24/12       B+       7,757,619  
  6,045    
Sealy Mattress Company, Term Loan D
     6.623%       4/06/12       B+       6,123,225  
 
  13,718    
Total Household Durables
                             13,880,844  
 
       
 
                                
       
Household Products - 2.5% (1.5% of Total Investments)
                                
       
 
                                
  9,825    
Prestige Brands, Inc., Term Loan B
     7.235%       4/06/11       B+       9,957,601  
 
       
 
                                
       
Insurance - 1.4% (0.8% of Total Investments)
                                
       
 
                                
  5,445    
Conseco, Inc., Term Loan
     6.651%       6/22/10     BB-       5,494,849  
 
       
 
                                
       
IT Services - 5.7% (3.5% of Total Investments)
                                
       
 
                                
  12,804    
Fidelity National Information Services, Term Loan B
     6.602%       3/09/13     BB+       12,900,618  
  9,925    
SunGard Data Systems Inc., Term Loan B
     7.215%       2/11/13       B+       10,051,722  
 
  22,729    
Total IT Services
                             22,952,340  
 
       
 
                                
       
Machinery - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  3,232    
Dresser-Rand Group, Inc., Term Loan
     6.924%       10/10/10       B+       3,287,254  
 
       
 
                                
       
Media - 27.2% (16.7% of Total Investments)
                                
       
 
                                
  10,890    
Alliance Atlantis Communications Inc., Term Loan C
     6.479%       12/20/11     BB       10,983,017  
  1,995    
AMC Entertainment Inc., Term Loan
     7.114%       1/26/13       B+       2,017,444  
  2,500    
American Lawyer Media, Inc., Second Lien Term Loan
     10.729%       2/24/11     CCC       2,503,125  
  1,000    
Blockbuster, Inc., Term Loan A, WI/DD
   TBD     TBD       B-       998,681  
  991    
Blockbuster, Inc., Term Loan B
     8.732%       8/20/11       B-       992,383  
  9,000    
Century Cable Holdings, LLC, Revolver, (5)
     8.750%       10/25/10       N/R       8,715,002  
  7,500    
Century Cable Holdings, LLC, Discretionary Term Loan, (5)
     8.750%       12/31/09       N/R       7,327,500  
  13,953    
Charter Communications Inc., Term Loan, WI/DD
   TBD     TBD       B       14,027,037  
  4,988    
Clear Channel Entertainment, Term Loan
     7.230%       6/20/13       B+       5,009,320  
  2,000    
HIT Entertainment Inc., Second Lien Term Loan
     10.240%       2/24/13     CCC+       2,016,876  
  3,980    
HIT Entertainment Inc., Term Loan B
     7.170%       3/20/12       B       4,013,830  
  5,000    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
     7.229%       4/08/12       B+       5,060,938  
  3,000    
NextMedia Operating Inc., Second Lien Term Loan
     9.410%       11/15/12     CCC+       3,069,999  
  10,863    
Panamsat Corporation, Term Loan B-1
     6.900%       8/20/11     Ba3       11,000,090  
  8,631    
R. H. Donnelley Inc., Tranche D
     6.441%       6/30/11     Ba3       8,676,557  
  4,950    
Rainbow Media Holdings LLC, Term Loan
     7.563%       3/31/12     Ba3       5,012,390  
  3,930    
Regal Cinemas Corporation, Term Loan
     6.479%       11/10/10     BB-       3,960,035  
  2,000    
UPC Broadband Holding BV, Term Loan J2, WI/DD
   TBD     TBD       B       2,017,916  
  2,000    
UPC Broadband Holding BV, Term Loan K2, WI/DD
   TBD     TBD       B       2,017,916  
  4,000    
UPC Financing Partnership, Term Loan H2
     7.330%       9/30/12       B       4,025,834  
  4,897    
WMG Acquisition Corp., Term Loan
     6.805%       2/28/11       B+       4,952,640  
 
  108,068    
Total Media
                             108,398,530  
 

 

Table of Contents

                                         
       
 
                                
       
Metals & Mining - 0.9% (0.6% of Total Investments)
                                
       
 
                                
  2,541    
Amsted Industries Incorporated, Delayed Draw Term Loan, (6) (7)
     2.000%       4/05/11       B1       (3,176 )
  3,557    
Amsted Industries Incorporated, Term Loan B
     7.002%       4/05/13       B1       3,608,091  
 
  6,098    
Total Metals & Mining
                             3,604,915  
 
       
 
                                
       
Multiline Retail - 0.5% (0.3% of Total Investments)
                                
       
 
                                
  2,000    
Sears Canada Inc., Term Loan
     6.712%       12/15/12     BB+       2,025,000  
 
       
 
                                
       
Multi-Utilities - 2.0% (1.2% of Total Investments)
                                
       
 
                                
  1,485    
NRG Energy Inc., Credit-Linked Deposit
     6.979%       2/01/13     BB-       1,503,174  
  6,515    
NRG Energy Inc., Term Loan
     6.820%       2/01/13     BB-       6,592,960  
 
  8,000    
Total Multi-Utilities
                             8,096,134  
 
       
 
                                
       
Oil, Gas & Consumable Fuels - 4.0% (2.5% of Total Investments)
                                
       
 
                                
  800    
Coffeyville Resources LLC, Letter of Credit
     7.400%       7/08/11       B1       812,250  
  1,191    
Coffeyville Resources LLC, Term Loan B
     7.503%       7/08/12       B1       1,209,260  
  5,625    
El Paso Corporation, Deposit-Funded Commitment
     4.290%       11/23/09       B3       5,690,624  
  8,213    
El Paso Corporation, Term Loan
     7.750%       11/23/09       B3       8,315,156  
 
  15,829    
Total Oil, Gas & Consumable Fuels
                             16,027,290  
 
       
 
                                
       
Paper & Forest Products - 4.2% (2.6% of Total Investments)
                                
       
 
                                
  3,772    
Boise Cascade Holdings, LLC, Term Loan D
     6.750%       3/29/11     Ba3       3,824,628  
  7,980    
Georgia-Pacific Corporation, Term Loan B
     6.885%       12/20/12     BB-       8,033,614  
  4,000    
Georgia-Pacific Corporation, Term Loan C
     7.939%       12/23/13       B+       4,091,538  
  1,000    
White Birch Paper Company, Second Lien Term Loan
     12.480%       3/31/13     CCC+       1,001,875  
 
  16,752    
Total Paper & Forest Products
                             16,951,655  
 
       
 
                                
       
Pharmaceuticals - 0.7% (0.5% of Total Investments)
                                
       
 
                                
  2,970    
Talecris Biotherapeutics Inc., Term Loan B
     8.022%       3/31/10       N/R       2,984,850  
 
       
 
                                
       
Real Estate Management & Development - 8.9% (5.5% of Total Investments)
                                
       
 
                                
  8,000    
Capital Automotive LP., Term Loan
     6.580%       12/16/10     BB+       8,074,601  
  11,771    
LNR Property Corporation, Term Loan
     7.831%       2/03/08       B2       11,880,109  
  4,536    
LNR Property Corporation, Term Loan A
     9.330%       2/03/08       B2       4,592,700  
  3,000    
Promontory Club, Second Lien Term Loan
     11.500%       8/31/11       B-       3,006,251  
  1,990    
Promontory Club, Term Loan B
     7.750%       8/31/10       B+       1,990,000  
  6,000    
Trizec Properties Inc., Term Loan, WI/DD
   TBD     TBD     Ba2       6,006,564  
 
  35,297    
Total Real Estate Management & Development
                             35,550,225  
 
       
 
                                
       
Road & Rail - 0.9% (0.5% of Total Investments)
                                
       
 
                                
  521    
Hertz Corporation, Delayed Draw Term Loan, (6)
     2.250%       12/21/12     BB+       5,475  
  444    
Hertz Corporation, Synthetic Term Loan
     4.930%       12/21/12     BB+       449,509  
  3,027    
Hertz Corporation, Term Loan
     7.103%       12/21/12     BB       3,061,572  
 
  3,992    
Total Road & Rail
                             3,516,556  
 
       
 
                                
       
Software - 1.0% (0.6% of Total Investments)
                                
       
 
                                
  3,955    
Corel Corporation, First Lien Term Loan
     10.000%       1/27/10       B3       3,975,180  
 
       
 
                                
       
Specialty Retail - 2.7% (1.7% of Total Investments)
                                
       
 
                                
  4,000    
FGX International Inc., Term Loan B
     8.930%       12/14/12       B       3,990,000  
  7,000    
Toys “R” Us, Inc., Term Loan
     7.826%       12/09/08       B-       7,012,033  
 
  11,000    
Total Specialty Retail
                             11,002,033  
 
       
 
                                
       
Textiles, Apparel & Luxury Goods - 3.7% (2.3% of Total Investments)
                                
       
 
                                
  1,000    
Burlington Coat Factory Warehouse Corporation, Term Loan
     7.160%       5/28/13       B       998,750  
  13,608    
Visant Holding Corporation, Term Loan C
     7.068%       7/29/10       B+       13,792,046  
 
  14,608    
Total Textiles, Apparel & Luxury Goods
                             14,790,796  
 
       
 
                                
       
Trading Companies & Distributors - 2.5% (1.5% of Total Investments)
                                
       
 
                                
  6,900    
Ashtead Group Public Limited Company, Term Loan
     6.500%       11/12/09     Ba3       6,980,085  
  3,000    
Penhall, Term Loan
     11.599%       11/01/10       N/R       3,037,500  
 
  9,900    
Total Trading Companies & Distributors
                             10,017,585  
 
$ 547,790    
Total Variable Rate Senior Loan Interests (cost $544,121,910)
                             547,780,231  
 

 

Table of Contents

                                         
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (4)     Value  
 
       
 
                                
       
Corporate Bonds - 21.1% (13.0% of Total Investments)
                                
       
 
                                
       
Diversified Telecommunication Services - 4.0% (2.5% of Total Investments)
                                
       
 
                                
$ 5,000    
Intelsat Subsidiary Holding Company Limited, Floating Rate Note, 4.875% plus six-month LIBOR
     10.095%       1/15/12       B+     $ 5,100,000  
  10,000    
Qwest Corporation, Floating Rate Note, 3.250% plus three-month LIBOR
     8.380%       6/15/13       BB       10,937,500  
 
  15,000    
Total Diversified Telecommunication Services
                             16,037,500  
 
       
 
                                
       
Food & Staples Retailing - 2.6% (1.6% of Total Investments)
                                
       
 
                                
  10,000    
Stater Brothers Holdings Inc., Floating Rate Note, 3.500% plus three-month LIBOR
     8.630%       6/15/10     BB-       10,225,000  
 
       
Hotels, Restaurants & Leisure - 4.2% (2.6% of Total Investments)
                                
       
 
                                
  3,785    
MGM Mirage Inc.
     9.750%       6/01/07     Ba3       3,945,863  
  8,315    
Mirage Resorts
     7.250%       10/15/06     BB       8,398,150  
  4,440    
Park Place Entertainment
     8.500%       11/15/06     BBB-       4,509,686  
 
  16,540    
Total Hotels, Restaurants & Leisure
                             16,853,699  
 
       
 
                                
       
Machinery - 3.3% (2.0% of Total Investments)
                                
       
 
                                
  13,167    
Navistar International Corporation, Series B
     9.375%       6/01/06     BB-       13,241,064  
 
       
 
                                
       
Media - 4.8% (2.9% of Total Investments)
                                
       
 
                                
  18,000    
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR, Series B
     9.720%       4/01/09       B+       19,125,000  
 
       
 
                                
       
Semiconductors & Equipment - 1.3% (0.8% of Total Investments)
                                
       
 
                                
  5,000    
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A
     10.630%       6/01/13       B       5,293,750  
 
       
 
                                
       
Trading Companies & Distributors - 0.9% (0.6% of Total Investments)
                                
       
 
                                
  3,000    
Neff Rental LLC/Neff Finance Corporation, Series 144A
     11.250%       6/15/12       B-       3,315,000  
 
$ 80,707    
Total Corporate Bonds (cost $82,152,585)
                             84,091,013  
 
                                         
Shares     Description (1)                     Value  
 
       
 
                                
       
Investment Companies - 0.6% (0.4% of Total Investments)
                                
       
 
                                
  369,650    
ING Prime Rate Trust
                           $ 2,565,371  
 
       
Total Investment Companies (cost $2,516,171)
                             2,565,371  
         
                                         
Shares     Description (1)                     Value  
 
       
 
                                
       
Warrants - 0.0% (0.0% of Total Investments)
                                
       
 
                                
  26,182    
Reliant Energy Inc.
                           $ 170,183  
 
       
Total Warrants (cost $184,678)
                             170,183  
         
                                         
Principal                              
Amount (000)     Description (1)   Coupon     Maturity           Value  
 
       
 
                                
       
Short-Term Investments - 3.9% (2.4% of Total Investments)
                                
       
 
                                
$ 15,749    
Repurchase Agreement with State Street Bank, dated 4/28/06, repurchase price $15,754,934, collateralized by $16,145,000, U.S. Treasury Bills, 0.000%, due 6/08/06, value $16,064,275
     4.450%       5/01/06             $ 15,749,094  
   
       
Total Short-Term Investments (cost $15,749,094)
                             15,749,094  
         
       
Total Investments (cost $644,724,438) – 162.5%
                             650,355,892  
         
       
Other Assets Less Liabilities – (2.5)%
                             (10,030,550 )
         
       
Preferred Shares, at Liquidation Value – (60.0)%
                             (240,000,000 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 400,325,342  
         
             
 
    (1)     All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
 
            
 
    (2)     Senior Loans in which the Fund invests 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.
 
            
 
    (3)     Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
 
            
 
    (4)     Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.
 
            
 
    (5)     At or subsequent to April 30, 2006, this issue was under the protection of the Federal Bankruptcy Court.
 
            
 
     (6)     Position represents an unfunded Senior Loan commitment outstanding at April 30, 2006. At April 30, 2006, the Fund had unfunded Senior Loan commitments of $4,589,104.
 
            
 
     (7)     Negative value represents unrealized depreciation on Senior Loan commitment at April 30, 2006.
 
            
 
  WI/DD     Purchased on a when-issued or delayed delivery basis.
 
            
 
    N/R     Not rated.
 
            
 
    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.
 
            
 
  (PIK)     In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.
 
            
                                         
        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, recognition of premium amortization and timing differences in recognizing certain gains and losses on investment transactions.
       
 
                                
        At April 30, 2006, the cost of investments was $647,349,729.
       
 
                                
        Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2006, were as follows:
       
 
                                
         
       
 
                                
       
Gross unrealized:
                                
       
Appreciation
                           $ 5,982,850  
       
Depreciation
                             (2,976,687 )
       
 
                                
         
       
 
                                
       
Net unrealized appreciation (depreciation) of investments
                           $ 3,006,163  
       
 
                                
         

 

Table of Contents

Item 2. 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits.
File as exhibits as part of this Form 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)), exactly as set forth below: EX-99 CERT Attached hereto.

 

Table of Contents

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 Floating Rate Income Opportunity Fund
         
     
By (Signature and Title)*  /s/ Jessica R. Droeger    
  Jessica R. Droeger   
  Vice President and Secretary   
 
Date June 28, 2006
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 June 28, 2006
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 28, 2006
 
*   Print the name and title of each signing officer under his or her signature.