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 811-21579
-----------------------
Nuveen Floating Rate Income Opportunity 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)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
---------------------
Date of fiscal year end: July 31
-------------------
Date of reporting period: January 31, 2007
---------------------
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 STOCKHOLDERS.
SEMIANNUAL REPORT JANUARY 31, 2007
NUVEEN INVESTMENTS
CLOSED-END
FUNDS
NUVEEN SENIOR
INCOME FUND
NSL
NUVEEN FLOATING
RATE INCOME FUND
JFR
NUVEEN FLOATING
RATE INCOME
OPPORTUNITY FUND
JRO
HIGH CURRENT INCOME
FROM PORTFOLIOS OF
SENIOR CORPORATE LOANS
NUVEEN LOGO
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NUVEEN LOGO
(TIMOTHY SCHWERTFEGER PHOTO)
Timothy R. Schwertfeger
Chairman of the Board
CHAIRMAN'S
LETTER TO SHAREHOLDERS
Dear Shareholder,
I am very pleased to report that over the six-month period covered by this
report, your Fund continued to provide you with attractive monthly
distributions from a portfolio primarily composed of senior corporate
loans. For more information on your Fund's performance, please read the
Portfolio Managers' Comments, the Distribution and Share Price
Information, and the Performance Overview sections of this report.
Portfolio diversification is a recognized way to try to reduce some of the
risk that comes with investing. Since one part of your portfolio may be
going up when another is going down, portfolio diversification may help
smooth your investment returns over time. In addition to providing regular
monthly income, an investment like your Fund may help you achieve and
benefit from greater portfolio diversification. Your financial advisor can
explain these potential advantages in more detail. I urge you to contact
him or her soon for more information on this important investment
strategy.
"IN ADDITION TO PROVIDING REGULAR MONTHLY INCOME, AN INVESTMENT LIKE YOUR FUND
MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION."
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering investment services and products that can
help you to secure your financial objectives. We are grateful that you
have chosen us as a partner as you pursue your financial goals, and we
look forward to continuing to earn your trust in the months and years
ahead.
Sincerely,
(TIMOTHY SCHWERTFEGER SIG)
Timothy R. Schwertfeger
Chairman of the Board
March 15, 2007
Nuveen Investments Closed-End Funds (NSL, JFR, JRO)
PORTFOLIO MANAGERS'
COMMENTS
The Funds' investment portfolios are managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther and
Lenny have more than 25 years of combined investment management experience, much
of it in evaluating and purchasing senior corporate loans and other high-yield
debt. Here Gunther and Lenny talk about their management strategies and the
performances of the Funds for the six-month period ended January 31, 2007.
WHAT WERE THE BASIC STRATEGIES AND TACTICS YOU USED TO MANAGE THE FUNDS DURING
THIS PERIOD?
During the six months ended January 31, 2007, we continued to manage the
portfolios using fundamental analysis to select senior loans that we believed
offered strong asset coverage and attractive risk-adjusted returns. Given the
strength of the economy and the overall senior loan market, we focused on
avoiding loans we believed were not structured properly, as well as loans from
companies that we believed would have earnings volatility in a weakening
economy. Given these views, we continued to position the portfolios in a
relatively conservative manner. We focused the portfolios on larger
capitalization companies since we believed that these companies would perform
better than smaller companies over the course of a full credit cycle.
During this period, we avoided the senior loans of most automotive part
suppliers (with the exception of Federal Mogul, as discussed below) as well as
smaller homebuilders and land developers, even though many loans in these
sectors traded at discounts throughout the year. We also avoided many smaller
loans that were done to finance leveraged buyouts. We didn't believe that there
was sufficient incremental spread in many small loans to compensate for
potential illiquidity and volatility if earnings of the companies issuing them
should become challenged. Throughout the year we focused on adding high quality
new-issue senior loans at par. Given the elevated trading levels of the
marketplace we focused on the new issue market to buy these senior loans.
We also continued to avoid the vast majority of second lien loans. Similar to
smaller loans, we didn't believe that second lien loans offered sufficient
additional yield to compensate investors for potentially increased volatility
and lower recovery rates.
4
HOW DID THE FUNDS PERFORM?
The performance of the Funds as well as the performance of a comparative index,
are shown in the nearby table:
TOTAL RETURN ON NET ASSET VALUE
For the 6-month period ended January 31, 2007
NSL 6.73%
----------------------------------------------------------------------------------------------------
JFR 5.50%
----------------------------------------------------------------------------------------------------
JRO 5.65%
----------------------------------------------------------------------------------------------------
CSFB Leveraged Loan Index(1) 4.11%
----------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------
1 The CSFB Leveraged Loan Index is a representative, unmanaged index of
tradable, senior, U.S. dollar-denominated leveraged loans. It is not possible
to invest directly in an Index.
--------------------------------------------------------------------------------
Past performance does not guarantee future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that a shareholder may have to pay on Fund distributions or upon the sale
of Fund shares. For more information, please see the individual Performance
Overview pages in this report.
Over the six-month reporting period, the returns of all three funds outperformed
the CSFB Leveraged Loan Index.
All three Funds continued to benefit over this period from the strong
performance of their holdings in Federal Mogul, a global supplier of automotive
components. The Federal Mogul term loan traded up during the period due to the
continued expectation that the company will emerge out of bankruptcy soon due to
their steady operations and improving financial results.
The Funds also benefited from positions in Aladdin Gaming, a resort and gaming
company, which were paid off prior to the end of the reporting period. In
addition, NSL's returns during the period benefited from its holdings in
Norwood, a media printing company.
5
DISTRIBUTION AND SHARE PRICE
INFORMATION
Each of these Funds uses financial leverage in an effort to enhance its
dividend-paying capabilities. While this strategy adds volatility to a Fund's
net asset value (NAV) and share price, it generally works to enhance the amount
of income a Fund has to distribute to its common shareholders, as long as the
dividend rates the Fund pays to its preferred shareholders are less than the
interest rates the Fund receives from its portfolio of loans. This leveraging
strategy continued to make a positive contribution to each Fund's return over
this period.
Since each of these Funds invests in adjustable rate loans, their income streams
typically can be expected to rise or fall over time to reflect the movement of
shorter-term interest rates. These rates generally were rising over this
six-month reporting period ended January 31, 2007, and this led to two monthly
dividend increases in NSL, JFR and JRO.
All of these Funds seek to pay dividends at rates that reflect each Fund's past
results, and projected future performance. 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), which is part of the
Fund's 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 NAV. Each Fund will, over time, pay all of its net investment income
as dividends to shareholders. As of January 31, 2007, NSL had a positive UNII
balance for financial statement purposes and a positive UNII balance, based on
our best estimate, for tax purposes. JFR and JRO had negative UNII balances for
financial statement purposes, but had positive UNII balances, based on our best
estimates, for tax purposes.
As of January 31, 2007, JFR and JRO traded at discounts to their NAVs, and NSL
traded at a premium to its NAV as shown below.
1/31/07 PREMIUM 6-MONTH AVERAGE
DISCOUNT DISCOUNT
------------------------------------------------------------------------------
NSL 2.11% -1.11%
------------------------------------------------------------------------------
JFR -0.50% -4.43%
------------------------------------------------------------------------------
JRO -0.28% -2.84%
------------------------------------------------------------------------------
6
Nuveen Senior Income Fund
NSL
PERFORMANCE
OVERVIEW As of January 31, 2007
(PORTFOLIO ALLOCATION PIE CHART)
(as a % of total investments)
--------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 89.6%
--------------------------------------------------------------------------------------
Corporate Bonds 8.1%
--------------------------------------------------------------------------------------
Short-Term Investments 1.5%
--------------------------------------------------------------------------------------
Other 0.8%
--------------------------------------------------------------------------------------
(2006-2007 MONTHLY DIVIDENDS PER SHARE BAR CHART)
Feb 0.0510
Mar 0.0535
Apr 0.0535
May 0.0535
Jun 0.0535
Jul 0.0535
Aug 0.0535
Sep 0.0565
Oct 0.0565
Nov 0.0565
Dec 0.0585
Jan 0.0585
(SHARE PRICE PERFORMANCE CHART)
Past performance is not predictive of future results.
2/01/06 8.06
8.07
8.09
8.03
7.97
8.01
8.09
8.25
8.46
8.41
8.33
7.99
8.00
8.04
8.13
7.87
7.87
8.06
8.09
8.06
8.03
8.10
8.06
8.06
8.13
8.12
8.14
8.10
8.16
8.12
8.20
8.28
8.33
8.26
8.28
8.33
8.35
8.14
8.00
8.20
8.19
8.27
8.28
8.20
8.26
8.37
8.28
8.41
8.48
8.50
8.55
8.57
8.70
1/31/07 8.72
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $8.72
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $8.54
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV 2.11%
-------------------------------------------------------------------------------------
Latest Dividend $0.0585
-------------------------------------------------------------------------------------
Market Yield 8.05%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $254,547
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/99)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month (Cumulative) 11.41% 6.73%
-------------------------------------------------------------------------------------
1-Year 17.58% 9.80%
-------------------------------------------------------------------------------------
5-Year 10.79% 10.04%
-------------------------------------------------------------------------------------
Since
Inception 6.27% 6.88%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 17.4%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 8.6%
-------------------------------------------------------------------------------------
Health Care Providers & Services 8.4%
-------------------------------------------------------------------------------------
Auto Components 4.8%
-------------------------------------------------------------------------------------
Specialty Retail 4.6%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 4.1%
-------------------------------------------------------------------------------------
Building Products 4.0%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.7%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 3.2%
-------------------------------------------------------------------------------------
Chemicals 3.0%
-------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 2.9%
-------------------------------------------------------------------------------------
Containers & Packaging 2.5%
-------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 2.1%
-------------------------------------------------------------------------------------
Machinery 2.1%
-------------------------------------------------------------------------------------
Household Products 2.0%
-------------------------------------------------------------------------------------
Airlines 2.0%
-------------------------------------------------------------------------------------
Electronic Equipment & Instruments 1.9%
-------------------------------------------------------------------------------------
Real Estate Management & Development 1.8%
-------------------------------------------------------------------------------------
Wireless Telecommunication Services 1.5%
-------------------------------------------------------------------------------------
Insurance 1.5%
-------------------------------------------------------------------------------------
Food Products 1.5%
-------------------------------------------------------------------------------------
Short-Term Investments 1.5%
-------------------------------------------------------------------------------------
Other 14.9%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Federal-Mogul Corporation 2.4%
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.3%
-------------------------------------------------------------------------------------
Primedia Inc. 2.1%
-------------------------------------------------------------------------------------
Norwood Promotional Products 2.1%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.0%
-------------------------------------------------------------------------------------
7
Nuveen Floating Rate Income Fund
JFR
PERFORMANCE
OVERVIEW As of January 31, 2007
(PORTFOLIO ALLOCATION PIE CHART)
(as a % of total investments)
--------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 88.9%
--------------------------------------------------------------------------------------
Corporate Bonds 7.4%
--------------------------------------------------------------------------------------
Short-Term Investments 3.6%
--------------------------------------------------------------------------------------
Other 0.1%
--------------------------------------------------------------------------------------
(2006-2007 MONTHLY DIVIDENDS PER SHARE BAR CHART)
Feb 0.082
Mar 0.085
Apr 0.085
May 0.085
Jun 0.090
Jul 0.090
Aug 0.090
Sep 0.095
Oct 0.095
Nov 0.095
Dec 0.098
Jan 0.098
(SHARE PRICE PERFORMANCE CHART)
Past performance is not predictive of future results.
2/01/06 12.96
12.95
13.02
13.03
12.88
13.09
13.19
13.10
13.18
13.05
13.12
12.95
12.85
12.97
13.03
12.90
12.92
12.94
13.07
13.09
13.04
13.14
13.06
13.06
13.13
13.06
13.16
13.14
13.04
12.92
13.02
13.14
13.22
13.17
13.22
13.20
13.25
13.10
13.19
13.28
13.24
13.31
13.25
13.33
13.44
13.49
13.47
13.46
13.58
13.75
13.84
13.85
13.94
1/31/07 14.01
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $14.01
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $14.08
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -0.50%
-------------------------------------------------------------------------------------
Latest Dividend $0.0980
-------------------------------------------------------------------------------------
Market Yield 8.39%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $665,567
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/25/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month
(Cumulative) 11.14% 5.50%
-------------------------------------------------------------------------------------
1-Year 17.58% 8.36%
-------------------------------------------------------------------------------------
Since
Inception 4.51% 6.08%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 16.3%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 8.5%
-------------------------------------------------------------------------------------
Health Care Providers & Services 6.9%
-------------------------------------------------------------------------------------
Chemicals 6.0%
-------------------------------------------------------------------------------------
Diversified Telecommunication Services 5.2%
-------------------------------------------------------------------------------------
Specialty Retail 3.8%
-------------------------------------------------------------------------------------
Building Products 3.6%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 3.2%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.1%
-------------------------------------------------------------------------------------
Auto Components 2.8%
-------------------------------------------------------------------------------------
Containers & Packaging 2.6%
-------------------------------------------------------------------------------------
Electronic Equipment & Instruments 2.5%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.4%
-------------------------------------------------------------------------------------
IT Services 2.3%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 2.2%
-------------------------------------------------------------------------------------
Airlines 1.9%
-------------------------------------------------------------------------------------
Food & Staples Retailing 1.8%
-------------------------------------------------------------------------------------
Software 1.7%
-------------------------------------------------------------------------------------
Insurance 1.6%
-------------------------------------------------------------------------------------
Multi-Utilities 1.2%
-------------------------------------------------------------------------------------
Capital Markets 1.2%
-------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 1.1%
-------------------------------------------------------------------------------------
Household Products 1.1%
-------------------------------------------------------------------------------------
Short-Term Investments 3.6%
-------------------------------------------------------------------------------------
Other 13.4%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.4%
-------------------------------------------------------------------------------------
Charter Communications Inc. 2.1%
-------------------------------------------------------------------------------------
Intelsat Corporation 2.0%
-------------------------------------------------------------------------------------
SunGard Data Systems Inc. 2.0%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 1.9%
-------------------------------------------------------------------------------------
8
Nuveen Floating Rate Income Opportunity Fund
JRO
PERFORMANCE
OVERVIEW As of January 31, 2007
(PORTFOLIO ALLOCATION PIE CHART)
(as a % of total investments)
--------------------------------------------------------------------------------------
Variable Rate Senior Loan Interests 85.3%
--------------------------------------------------------------------------------------
Corporate Bonds 11.7%
--------------------------------------------------------------------------------------
Short-Term Investments 2.6%
--------------------------------------------------------------------------------------
Other 0.4%
--------------------------------------------------------------------------------------
(2006-2007 MONTHLY DIVIDENDS PER SHARE BAR CHART)
Feb 0.0850
Mar 0.0900
Apr 0.0900
May 0.0900
Jun 0.0950
Jul 0.0950
Aug 0.0950
Sep 0.0985
Oct 0.0985
Nov 0.0985
Dec 0.1015
Jan 0.1015
(SHARE PRICE PERFORMANCE CHART)
Past performance is not predictive of future results.
8/01/05 12.95
12.83
12.94
13.05
13.09
13.20
13.28
13.27
13.31
13.26
13.28
13.05
12.89
13.16
13.17
13.11
13.14
13.15
13.35
13.37
13.36
13.31
13.30
13.38
13.38
13.32
13.32
13.34
13.22
13.03
13.13
13.26
13.41
13.44
13.50
13.51
13.54
13.43
13.59
13.76
13.76
13.82
13.77
13.66
13.60
13.70
13.65
13.77
13.81
13.99
14.08
14.04
14.02
7/31/06 14.09
FUND SNAPSHOT
-------------------------------------------------------------------------------------
Common Share Price $14.09
-------------------------------------------------------------------------------------
Common Share
Net Asset Value $14.13
-------------------------------------------------------------------------------------
Premium/(Discount) to NAV -0.28%
-------------------------------------------------------------------------------------
Latest Dividend $0.1015
-------------------------------------------------------------------------------------
Market Yield 8.64%
-------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $401,274
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 7/27/04)
-------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
-------------------------------------------------------------------------------------
6-Month
(Cumulative) 10.61% 5.65%
-------------------------------------------------------------------------------------
1-Year 18.06% 9.19%
-------------------------------------------------------------------------------------
Since
Inception 4.86% 6.58%
-------------------------------------------------------------------------------------
INDUSTRIES
(as a % of total investments)
-------------------------------------------------------------------------------------
Media 17.8%
-------------------------------------------------------------------------------------
Diversified
Telecommunication Services 8.9%
-------------------------------------------------------------------------------------
Health Care Providers & Services 8.3%
-------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 5.3%
-------------------------------------------------------------------------------------
Chemicals 3.9%
-------------------------------------------------------------------------------------
Paper & Forest Products 3.9%
-------------------------------------------------------------------------------------
Specialty Retail 3.6%
-------------------------------------------------------------------------------------
Building Products 3.6%
-------------------------------------------------------------------------------------
Containers & Packaging 3.2%
-------------------------------------------------------------------------------------
Food & Staples Retailing 2.9%
-------------------------------------------------------------------------------------
Real Estate Management & Development 2.8%
-------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Goods 2.5%
-------------------------------------------------------------------------------------
Semiconductors & Equipment 2.2%
-------------------------------------------------------------------------------------
Airlines 2.2%
-------------------------------------------------------------------------------------
Auto Components 2.2%
-------------------------------------------------------------------------------------
Electronic Equipment & Instruments 2.1%
-------------------------------------------------------------------------------------
Commercial Services & Supplies 1.9%
-------------------------------------------------------------------------------------
Software 1.7%
-------------------------------------------------------------------------------------
IT Services 1.7%
-------------------------------------------------------------------------------------
Household Products 1.5%
-------------------------------------------------------------------------------------
Aerospace & Defense 1.4%
-------------------------------------------------------------------------------------
Short-Term Investments 2.6%
-------------------------------------------------------------------------------------
Other 13.8%
-------------------------------------------------------------------------------------
TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
-------------------------------------------------------------------------------------
Intelsat Corporation 3.4%
-------------------------------------------------------------------------------------
Century Cable Holdings, LLC 2.5%
-------------------------------------------------------------------------------------
Cablevision Systems Corporation 2.5%
-------------------------------------------------------------------------------------
Vanguard Health Holding Company, LLC 2.3%
-------------------------------------------------------------------------------------
Graham Packaging Company, L.P. 2.2%
-------------------------------------------------------------------------------------
9
Shareholder
MEETING REPORT
NSL JFR
-----------------------------------------------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common and Common and
FundPreferred FundPreferred FundPreferred FundPreferred
shares voting shares voting shares voting shares voting
together together together together
as a class as a class as a class as a class
-----------------------------------------------------------------------------------------------------------------------
Robert P. Bremner
For 26,811,019 -- 44,289,169 --
Withhold 344,990 -- 442,612 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown
For 26,805,434 -- 44,273,166 --
Withhold 350,575 -- 458,615 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
Jack B. Evans
For 26,824,219 -- 44,305,267 --
Withhold 331,790 -- 426,514 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
William C. Hunter
For 26,816,109 -- 44,309,866 --
Withhold 339,900 -- 421,915 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
David J. Kundert
For 26,812,429 -- 44,298,401 --
Withhold 343,580 -- 433,380 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
William J. Schneider
For -- 1,732 -- 14,329
Withhold -- 8 -- 47
-----------------------------------------------------------------------------------------------------------------------
Total -- 1,740 -- 14,376
-----------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger
For -- 1,732 -- 14,329
Withhold -- 8 -- 47
-----------------------------------------------------------------------------------------------------------------------
Total -- 1,740 -- 14,376
-----------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale
For 26,792,458 -- 44,283,100 --
Withhold 363,551 -- 448,681 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine
For 26,810,859 -- 44,296,866 --
Withhold 345,150 -- 434,915 --
-----------------------------------------------------------------------------------------------------------------------
Total 27,156,009 -- 44,731,781 --
-----------------------------------------------------------------------------------------------------------------------
JRO
----------------------------------------------------- -----------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common and
FundPreferred FundPreferred
shares voting shares voting
together together
as a class as a class
Robert P. Bremner
For 26,394,773 --
Withhold 230,317 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown
For 26,388,592 --
Withhold 236,498 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
Jack B. Evans
For 26,416,004 --
Withhold 209,086 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
William C. Hunter
For 26,414,606 --
Withhold 210,484 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
David J. Kundert
For 26,394,755 --
Withhold 230,335 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
William J. Schneider
For -- 8,884
Withhold -- 38
-----------------------------------------------------------------------------------------------------------------------
Total -- 8,922
-----------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger
For -- 8,881
Withhold -- 41
-----------------------------------------------------------------------------------------------------------------------
Total -- 8,922
-----------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale
For 26,414,119 --
Withhold 210,971 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine
For 26,413,877 --
Withhold 211,213 --
-----------------------------------------------------------------------------------------------------------------------
Total 26,625,090 --
-----------------------------------------------------------------------------------------------------------------------
10
Nuveen Senior Income Fund (NSL)
Portfolio of
INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 141.3% (89.6% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.2% (1.4% OF TOTAL INVESTMENTS)
$ 2,528 Mid-Western Aircraft Systems Inc., Term Loan B 7.110% 12/31/11 N/R $ 2,540,229
2,408 Vought Aircraft Industries, Inc., Term Loan 7.880% 12/22/11 B- 2,428,913
545 Vought Aircraft Industries, Inc., Tranche B, 7.822% 12/22/10 B- 549,205
Letter of Credit
----------------------------------------------------------------------------------------------------------------------------------
5,481 Total Aerospace & Defense 5,518,347
----------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.1% (2.0% OF TOTAL INVESTMENTS)
2,000 Northwest Airlines Inc., Term Loan 7.850% 7/19/08 BBB- 2,015,626
746 United Air Lines Inc., Delayed Draw Term Loan 11.000% 2/01/12 B+ 749,448
5,224 United Air Lines Inc., Term Loan B 9.120% 2/01/12 B+ 5,246,136
----------------------------------------------------------------------------------------------------------------------------------
7,970 Total Airlines 8,011,210
----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 7.6% (4.8% OF TOTAL INVESTMENTS)
4,224 Federal-Mogul Corporation, Term Loan A, (7) 7.570% 2/24/04 N/R 4,202,047
5,551 Federal-Mogul Corporation, Term Loan B, (7) 7.820% 2/24/05 N/R 5,526,440
1,864 Gen Tek Inc., Term Loan B 7.555% 12/31/10 B+ 1,869,816
2,000 Goodyear Tire & Rubber Company, Second Lien Term 8.140% 4/30/10 B+ 2,025,416
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 7.072% 4/30/10 BB 1,008,839
1,479 Metalforming Technologies, Inc., Term Loan A, (7) 0.000% 9/30/07 N/R 281,039
(8)
575 Metalforming Technologies, Inc., Term Loan B, 0.000% 9/30/07 N/R 109,299
(PIK) (7) (8)
3,042 Tenneco Automotive Inc., Term Loan B 7.360% 12/12/10 BB- 3,065,750
1,336 Tenneco Automotive Inc., Term Loan B-1 7.320% 12/12/10 BB- 1,346,729
----------------------------------------------------------------------------------------------------------------------------------
21,071 Total Auto Components 19,435,375
----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 4.8% (3.1% OF TOTAL INVESTMENTS)
886 Atrium Companies Inc., Term Loan 8.107% 5/31/12 B 874,487
2,553 Euramax Holdings Inc., Term Loan B 8.103% 6/29/12 B 2,559,780
1,955 Nortek, Inc., Term Loan B 7.355% 8/27/11 B 1,960,621
2,454 Stile Acquisition Corporation, Canadian Term Loan 7.360% 4/05/13 BB- 2,446,395
2,458 Stile Acquisition Corporation, Term Loan B 7.360% 4/05/13 BB- 2,450,562
1,995 TFS Acquisition, Term Loan 8.921% 8/11/13 B+ 2,009,963
----------------------------------------------------------------------------------------------------------------------------------
12,301 Total Building Products 12,301,808
----------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 0.7% (0.4% OF TOTAL INVESTMENTS)
1,777 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 1,783,157
----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 3.9% (2.5% OF TOTAL INVESTMENTS)
2,239 Celanese Holdings, LLC, Term Loan C 7.114% 4/06/11 N/R 2,254,624
2,993 Hexion Specialty Chemicals, Term Loan C 7.875% 5/05/13 B 3,008,583
762 Huntsman International LLC, Term Loan 7.070% 8/16/12 BB- 767,089
1,985 ISP Chemco Inc., Term Loan 7.375% 2/16/13 BB- 2,002,214
1,960 Rockwood Specialties Group, Inc., Term Loan E 7.360% 7/30/12 B+ 1,974,699
----------------------------------------------------------------------------------------------------------------------------------
9,939 Total Chemicals 10,007,209
----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 4.3% (2.7% OF TOTAL INVESTMENTS)
2,370 Acco Brands, Term Loan B 7.094% 8/17/12 BB- 2,385,924
1,457 Allied Waste North America, Inc., Letter of Credit 7.073% 1/15/12 Ba3 1,465,937
3,285 Allied Waste North America, Inc., Term Loan B 7.161% 1/15/12 Ba3 3,302,139
1,000 Rental Services Corporation, Term Loan 8.857% 11/21/13 B- 1,019,219
2,000 Williams Scotsman, Inc., Term Loan B 6.820% 6/28/10 B2 2,000,000
681 Workflow Management, Inc., Term Loan 9.360% 11/30/11 BB- 682,991
----------------------------------------------------------------------------------------------------------------------------------
10,793 Total Commercial Services & Supplies 10,856,210
----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING - 0.7% (0.4% OF TOTAL INVESTMENTS)
1,691 Maxim Crane Works, Term Loan 7.321% 1/28/10 N/R 1,695,125
----------------------------------------------------------------------------------------------------------------------------------
11
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 5.5% (3.5% OF TOTAL INVESTMENTS)
$ 458 Bluegrass Container Company, LLC, Delayed Draw, 7.600% 6/30/13 BB- $ 463,860
1st Lien
485 Bluegrass Container Company, LLC, Delayed Draw, 10.320% 5/28/13 B- 493,394
2nd Lien
1,532 Bluegrass Container Company, LLC, Term Loan B 7.603% 6/30/13 BB- 1,550,269
1,515 Bluegrass Container Company, LLC, Term Loan, 2nd 10.326% 12/31/13 BB- 1,541,856
Lien
4,900 Graham Packaging Company, L.P., Term Loan B 7.625% 2/14/10 B 4,946,812
2,857 Graham Packaging Company, L.P., Term Loan C 9.625% 3/15/12 CCC+ 2,892,143
437 Smurfit-Stone Container Corporation, 7.572% 11/01/11 B+ 441,141
Deposit-Funded Commitment
996 Smurfit-Stone Container Corporation, Term Loan B 7.625% 11/01/11 B+ 1,006,488
533 Smurfit-Stone Container Corporation, Term Loan C 7.625% 11/01/11 B+ 538,212
191 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 192,498
----------------------------------------------------------------------------------------------------------------------------------
13,904 Total Containers & Packaging 14,066,673
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 2.0% (1.3% OF TOTAL INVESTMENTS)
3,000 Riverdeep Group Limited, Term Loan 8.096% 12/20/13 B+ 3,035,625
2,000 West Corporation, Term Loan 8.085% 10/24/13 B+ 2,016,563
----------------------------------------------------------------------------------------------------------------------------------
5,000 Total Diversified Consumer Services 5,052,188
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 5.2% (3.3% OF TOTAL INVESTMENTS)
2,000 Cequel Communications LLC., Term Loan B 7.610% 11/05/13 B+ 2,014,375
1,970 Intelsat Corporation, Term Loan 7.360% 7/01/13 B2 1,993,950
2,000 Intelsat Corporation, Unsecured Term Loan, WI/DD TBD TBD B2 2,016,000
2,000 Level 3 Communications Incorporated, Term Loan 8.366% 12/01/11 B- 2,026,875
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 BB 5,131,784
5,000 WCI Capital Corporation, Term Loan B, (7) (8) 0.000% 9/30/07 N/R 127,083
----------------------------------------------------------------------------------------------------------------------------------
17,970 Total Diversified Telecommunication Services 13,310,067
----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.3% (0.2% OF TOTAL INVESTMENTS)
711 Astoria Generating Company, Term Loan B 7.370% 2/23/13 B1 716,851
----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.6% (1.1% OF TOTAL INVESTMENTS)
2,262 Mueller Group, Inc., Term Loan 7.363% 10/03/12 B+ 2,279,543
1,583 Sensus Metering Systems Inc., Term Loan B-1 7.393% 12/17/10 B+ 1,578,652
210 Sensus Metering Systems Inc., Term Loan B-2 7.405% 12/17/10 B+ 209,692
----------------------------------------------------------------------------------------------------------------------------------
4,055 Total Electrical Equipment 4,067,887
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,990 Sensata Technologies B.V., Term Loan 7.110% 4/27/13 B1 1,986,643
----------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 1.2% (0.7% OF TOTAL INVESTMENTS)
82 Dresser-Rand Group, Inc., Term Loan 7.320% 10/29/07 BB- 83,065
2,885 Dresser-Rand Group, Inc., Term Loan 8.125% 10/31/13 B 2,913,002
----------------------------------------------------------------------------------------------------------------------------------
Total Energy Equipment & Services 2,996,067
----------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,989 Jean Coutu Group Inc., Term Loan B 7.875% 7/30/11 B1 1,994,361
----------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 2.3% (1.5% OF TOTAL INVESTMENTS)
465 Dole Foods Company Inc., Deposit-Funded Commitment 7.374% 4/12/13 B 464,448
1,039 Dole Foods Company Inc., Term Loan B 7.546% 4/30/13 B 1,037,170
3,462 Dole Foods Company Inc., Term Loan C 7.460% 4/30/13 B+ 3,457,232
862 Michael Foods, Inc., Term Loan B 7.350% 11/21/10 B+ 866,145
----------------------------------------------------------------------------------------------------------------------------------
5,828 Total Food Products 5,824,995
----------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Energy Transfer Partners LP, Term Loan 7.100% 11/01/12 Ba2 2,017,142
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 13.1% (8.4% OF TOTAL INVESTMENTS)
5,308 Community Health Systems, Inc., Term Loan 7.120% 8/19/11 BB- 5,323,584
4,298 Davita Inc., Term Loan B 7.302% 10/05/12 BB- 4,335,309
1,985 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.740% 12/01/13 Ba2 1,982,036
4,000 HCA, Inc., Term Loan 8.114% 11/17/13 Ba3 4,040,966
1,990 HealthSouth Corporation, Term Loan 8.610% 3/10/13 B2 2,011,269
1,950 IASIS Healthcare LLC, Term Loan B 7.570% 6/22/11 B+ 1,971,938
3,950 LifeCare Holdings Inc., Term Loan B 7.570% 8/01/12 B 3,830,676
2,154 Psychiatric Solutions Inc., Term Loan B 7.096% 12/01/12 B+ 2,159,231
2,948 Select Medical Corporation, Term Loan 7.113% 2/24/12 B+ 2,943,564
12
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES (continued)
$ 4,908 Vanguard Health Holding Company, LLC, Replacement 7.614% 9/23/11 B $ 4,957,267
Term Loan
----------------------------------------------------------------------------------------------------------------------------------
33,491 Total Health Care Providers & Services 33,555,840
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 12.5% (8.0% OF TOTAL INVESTMENTS)
4,963 24 Hour Fitness Worldwide, Inc., Term Loan B 7.865% 6/08/12 B 5,002,820
1,793 Ameristar Casinos, Inc., Term Loan B 6.820% 11/10/12 Ba3 1,796,266
3,940 CCM Merger, Inc., Term Loan B 7.364% 7/13/12 B 3,955,287
1,990 Cedar Fair LP, Term Loan 7.820% 8/30/12 BB- 2,012,512
122 CBRL Group, Inc., Term B-2 Delayed Draw, (5) 0.750% 4/27/13 BB 153
780 CBRL Group, Inc., Term Loan B-1 6.869% 4/27/13 BB 782,145
3,000 Intrawest Corporation, Term Loan 7.320% 12/31/07 N/R 3,001,875
1,960 Isle of Capri Casinos, Inc., Term Loan 7.115% 2/04/11 BB- 1,969,800
3,950 Penn National Gaming, Inc., Term Loan B 7.120% 10/03/12 BB 3,980,859
2,000 Pinnacle Entertainment Inc., Term Loan 7.320% 12/14/11 B1 2,014,500
1,000 Quiznos Sub, Term Loan C 11.114% 11/05/13 N/R 1,023,125
2,726 TDS Investor Corp., Term Loan 7.864% 8/23/13 B+ 2,745,755
268 TDS Investor Corp., Letter of Credit 7.864% 8/23/13 B+ 269,655
2,073 Venetian Casino Resort, LLC, Term Loan 7.120% 6/15/11 BB- 2,089,589
427 Venetian Casino Resort, LLC, Term Loan B 7.120% 6/15/11 BB- 430,843
1,000 Worldspan LP, Term Loan 8.583% 12/07/13 B 1,006,251
----------------------------------------------------------------------------------------------------------------------------------
31,992 Total Hotels, Restaurants & Leisure 32,081,435
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.8% (1.1% OF TOTAL INVESTMENTS)
4,489 Shea Homes Inc., Term Loan 7.370% 10/27/11 N/R 4,480,334
----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 3.2% (2.0% OF TOTAL INVESTMENTS)
1,945 Prestige Brands, Inc., Term Loan B 7.710% 4/06/11 B+ 1,961,613
3,990 Solo Cup Company, Term Loan 8.820% 2/27/11 CCC+ 4,058,006
2,000 Spectrum Brands, Term Loan 8.605% 2/07/12 B- 2,009,821
----------------------------------------------------------------------------------------------------------------------------------
7,935 Total Household Products 8,029,440
----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.2% OF TOTAL INVESTMENTS)
520 Covanta Energy Corporation, Letter of Credit 7.588% 2/09/14 B+ 523,577
371 Covanta Energy Corporation, Term Loan B 7.600% 2/09/14 B- 373,320
----------------------------------------------------------------------------------------------------------------------------------
891 Total Independent Power Producers & Energy Traders 896,897
----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,978 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 6,011,249
----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 2.0% (1.2% OF TOTAL INVESTMENTS)
4,925 SunGard Data Systems Inc., Term Loan B 7.875% 2/11/13 B+ 4,976,560
----------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.1% (0.7% OF TOTAL INVESTMENTS)
2,734 Bombardier Recreational Products, Term Loan 7.900% 6/28/13 B1 2,752,405
----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 3.3% (2.1% OF TOTAL INVESTMENTS)
1,156 Navistar International, Synthetic Letter of Credit 7.166% 1/19/12 BB- 1,177,584
3,178 Navistar International, Term Loan 8.610% 1/31/12 BB- 3,238,355
2,000 Oshkosh Truck Corporation, Term Loan 7.350% 12/06/13 Ba3 2,012,947
1,934 Rexnord Corporation, Term Loan 7.875% 7/19/13 B+ 1,942,083
----------------------------------------------------------------------------------------------------------------------------------
8,268 Total Machinery 8,370,969
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 24.7% (15.7% OF TOTAL INVESTMENTS)
4,500 American Media Operations, Inc., Term Loan C 8.340% 1/30/13 B- 4,531,876
1,263 Blockbuster, Inc., Term Loan A 8.664% 8/20/09 B- 1,266,164
1,804 Blockbuster, Inc., Term Loan B 8.902% 8/20/11 B- 1,816,894
1,970 Cablevision Systems Corporation, Incremental Term 7.114% 3/29/13 BB 1,977,467
Loan
1,990 Carmike Cinemas Inc., Term Loan 8.600% 5/19/12 B- 2,013,631
1,640 Century Cable Holdings, LLC, Revolver, (7) (9) 9.250% 10/25/10 N/R 1,596,365
2,000 Century Cable Holdings, LLC, Revolver, (7) (9) 9.250% 10/25/10 N/R 1,946,786
6,000 Century Cable Holdings, LLC, Term Loan, (7) 10.250% 12/31/09 N/R 5,853,750
4,906 Charter Communications Inc., Term Loan B 7.985% 4/28/13 B 4,955,619
3,724 Dex Media West, LLC, Term Loan B 6.861% 3/09/10 BB 3,727,012
3,000 Idearc Inc., Term Loan 7.330% 11/17/14 Ba2 3,025,970
2,970 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.614% 6/30/12 N/R 2,979,886
4,988 Neilsen Finance LLC, Term Loan B 8.125% 8/09/13 B+ 5,032,841
1,990 Philadelphia Newspapers, Term Loan 8.120% 6/29/13 N/R 1,993,316
13
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
$ 5,940 Primedia Inc., Term Loan 7.570% 9/30/13 N/R $ 5,931,337
2,288 R. H. Donnelley Inc., Term Loan D-2 6.865% 6/30/11 BB 2,286,919
4,598 Regal Cinemas Corporation, Term Loan 7.114% 10/27/13 BB- 4,610,013
1,572 Sun Media Corporation, Term Loan B 7.110% 2/07/09 BB 1,576,759
1,500 UPC Broadband Holding BV, Term Loan J2 7.370% 3/29/13 B 1,507,756
1,500 UPC Broadband Holding BV, Term Loan K2 7.370% 12/31/13 B 1,507,756
2,909 WMG Acquisition Corp., Term Loan 7.370% 2/28/11 BB- 2,927,713
----------------------------------------------------------------------------------------------------------------------------------
63,052 Total Media 63,065,830
----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 2.6% (1.6% OF TOTAL INVESTMENTS)
2,000 Aleris International, Term Loan 7.750% 12/19/13 B2 2,021,250
1,876 Amsted Industries Incorporated, Delayed Term Loan, 0.500% 4/05/11 BB- (28,141)
(5) (10)
2,591 Amsted Industries Incorporated, Term Loan B 7.361% 4/05/13 BB- 2,600,702
1,984 John Maneely Company, Term Loan 8.618% 12/08/13 B3 1,989,893
----------------------------------------------------------------------------------------------------------------------------------
8,451 Total Metals & Mining 6,583,704
----------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 1.6% (1.1% OF TOTAL INVESTMENTS)
1,183 NRG Energy Inc., Credit-Linked Deposit 7.364% 2/01/13 BB- 1,194,252
2,868 NRG Energy Inc., Term Loan 7.364% 2/01/13 BB- 2,896,731
----------------------------------------------------------------------------------------------------------------------------------
4,051 Total Multi-Utilities 4,090,983
----------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.5% (2.2% OF TOTAL INVESTMENTS)
301 Coffeyville Resources LLC, Letter of Credit 8.360% 12/28/10 B2 302,602
1,553 Coffeyville Resources LLC, Term Loan 8.360% 12/31/13 B1 1,564,736
1,000 El Paso Corporation, Letter of Credit 7.320% 7/31/11 B+ 1,005,860
774 Targa Resources Inc., Synthetic Letter of Credit 7.489% 10/31/12 B+ 780,121
3,185 Targa Resources Inc., Term Loan B 7.613% 10/31/12 B+ 3,209,872
2,000 Venoco Inc, Term Loan 9.768% 3/30/11 Caa1 2,022,500
----------------------------------------------------------------------------------------------------------------------------------
8,813 Total Oil, Gas & Consumable Fuels 8,885,691
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.4% (2.2% OF TOTAL INVESTMENTS)
1,013 Boise Cascade Corporation, Term Loan D 7.108% 3/29/11 BB 1,019,111
3,960 Georgia-Pacific Corporation, Term Loan B 7.355% 12/23/10 BB- 3,999,600
1,558 Georgia-Pacific Corporation, Term Loan B-2 7.114% 12/31/13 BB- 1,569,127
2,091 NewPage Corporation, Term Loan B 7.656% 5/02/11 B+ 2,117,314
----------------------------------------------------------------------------------------------------------------------------------
8,622 Total Paper & Forest Products 8,705,152
----------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.9% (0.5% OF TOTAL INVESTMENTS)
867 Stiefel Laboratories Inc, Delayed Term Loan, (5) 2.250% 12/15/13 Ba3 9,751
1,000 Stiefel Laboratories Inc, Second Lien Term Loan 10.360% 6/15/13 B- 1,022,500
1,133 Stiefel Laboratories Inc, Term Loan 7.610% 12/15/13 Ba3 1,145,975
----------------------------------------------------------------------------------------------------------------------------------
3,000 Total Pharmaceuticals 2,178,226
----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 2.9% (1.8% OF TOTAL INVESTMENTS)
3,721 Capital Automotive LP., Term Loan 7.080% 12/16/10 BB+ 3,753,869
45 Lion Gables, Term Loan 7.070% 3/30/07 Ba2 44,843
3,500 LNR Property Corporation, Term Loan B 8.120% 7/12/11 B2 3,524,376
----------------------------------------------------------------------------------------------------------------------------------
7,266 Total Real Estate Management & Development 7,323,088
----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.5% (0.9% OF TOTAL INVESTMENTS)
1,773 Advanced Micro Devices, Term Loan B 7.620% 12/31/13 BB- 1,790,416
2,000 Freescale Semiconductor, Term Loan 7.369% 12/01/13 BB 2,015,000
----------------------------------------------------------------------------------------------------------------------------------
3,773 Total Semiconductors & Equipment 3,805,416
----------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 1.2% (0.8% OF TOTAL INVESTMENTS)
2,991 Dealer Computer Service, Term Loan 7.845% 10/26/12 BB- 3,020,288
----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 7.6% (4.8% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.620% 5/28/13 B 976,223
Term Loan
998 CSK Automotive Corporation, Term Loan 8.375% 6/30/12 B+ 1,013,086
3,907 Michaels Stores Inc., Term Loan 8.125% 10/31/13 B- 3,943,096
1,318 Micro Warehouse, Inc., Term Loan B, (7) (8) (11) 0.000% 1/30/07 N/R 39,534
3,969 Norwood Promotional Products, Term Loan A 11.625% 8/16/09 N/R 4,128,157
5,850 Norwood Promotional Products, Term Loan B 6.000% 8/16/11 N/R 4,299,995
998 Sally Beauty, Term Loan 7.870% 11/16/11 B2 1,007,163
14
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL (continued)
$ 4,000 TRU 2005 RE Holding Co. 1, Inc., Term Loan 8.326% 12/09/08 N/R $ 4,040,626
----------------------------------------------------------------------------------------------------------------------------------
22,023 Total Specialty Retail 19,447,880
----------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 2.2% (1.4% OF TOTAL INVESTMENTS)
4,530 Visant Holding Corporation, Term Loan C 7.122% 7/29/10 B+ 4,556,963
1,008 William Carter Company, Term Loan B 6.856% 7/14/12 Ba3 1,010,084
----------------------------------------------------------------------------------------------------------------------------------
5,538 Total Textiles, Apparel & Luxury Goods 5,567,047
----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.6% (1.0% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan B 7.570% 8/31/11 B3 2,000,000
393 Brenntag Holdings, Acquisition Facility 7.887% 1/20/14 B 395,182
1,607 Brenntag Holdings, Term Loan B2 7.887% 1/20/14 B 1,626,108
----------------------------------------------------------------------------------------------------------------------------------
4,000 Total Trading Companies & Distributors 4,021,290
----------------------------------------------------------------------------------------------------------------------------------
$ 369,720 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 359,491,039
$364,797,706)
==================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 12.7% (8.1% OF TOTAL INVESTMENTS)
BUILDING PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 2,000 Stile Acquisition Corporation, Bridge Loan, 144A 11.000% 4/06/15 N/R $ 1,985,000
----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 OM Group Inc. 9.250% 12/15/11 B- 2,087,500
----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.2% (0.8% OF TOTAL INVESTMENTS)
3,000 Intelsat Subsidiary Holding Company Limited, 10.275% 1/15/12 B+ 3,030,000
Floating Rate Note, 4.875% plus
six-month LIBOR
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.0% (1.4% OF TOTAL INVESTMENTS)
5,000 NXP BV, Floating Rate Note, 2.750% plus 8.110% 10/15/13 BB+ 5,118,750
three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.0% (0.6% OF TOTAL INVESTMENTS)
2,400 Park Place Entertainment 8.875% 9/15/08 Ba1 2,517,000
----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 2.7% (1.7% OF TOTAL INVESTMENTS)
1,930 AMC Entertainment Inc. 9.875% 2/01/12 B3 2,038,563
2,000 Cablevision Systems Corporation, Floating Rate 9.900% 4/01/09 B+ 2,130,000
Note, 4.500% plus six-month LIBOR, Series B
2,500 Primedia Inc., Floating Rate Note, 5.375% plus 10.735% 5/15/10 B 2,609,375
three-month LIBOR
----------------------------------------------------------------------------------------------------------------------------------
6,430 Total Media 6,777,938
----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC., Floating Rate Note, 9.110% 8/01/14 B+ 2,060,000
3.750% plus three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 0.2% (0.1% OF TOTAL INVESTMENTS)
500 Avago Technologies Finance Pte. Ltd., Floating 10.860% 6/01/13 B 524,375
Rate Note, 5.500% plus three-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 HanesBrands Inc., Floating Rate Note, 3.375% plus 8.775% 12/15/14 B2 2,065,000
six-month LIBOR, 144A
----------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 2.4% (1.5% OF TOTAL INVESTMENTS)
6,000 Dobson Communications Corporation, Floating Rate 9.610% 10/15/12 CCC 6,180,000
Note, 4.250% plus three-month LIBOR
----------------------------------------------------------------------------------------------------------------------------------
$ 31,330 TOTAL CORPORATE BONDS (COST $31,411,466) 32,345,563
==================================================================================================================================
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.6% (0.4% OF TOTAL INVESTMENTS)
205,050 ING Prime Rate Trust $ 1,517,370
----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $1,432,329) 1,517,370
===================================================================================================================
15
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 0.6% (0.4% OF TOTAL INVESTMENTS)
AUTO COMPONENTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
511 Gen Tek Inc., (8) $ 19,004
279,642 Metalforming Technologies Inc., (7) (8) (11) --
----------------------------------------------------------------------------------------------------------------------------------
Total Auto Components 19,004
-------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 0.6% (0.4% OF TOTAL INVESTMENTS)
34,834 Armstrong World Industries Inc., (8) 1,532,009
----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $1,393,369) 1,551,013
===================================================================================================================
SHARES DESCRIPTION (1) VALUE
----------------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
545 Gen Tek Inc., Warrant $ 30,793
268 Gen Tek Inc., Warrant 14,740
5,672 Reliant Energy Inc. 52,466
----------------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $40,254) 97,999
===================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
$ 6,078 Repurchase Agreement with Fixed Income Clearing 5.000% 2/01/07 $ 6,077,880
Corporation, dated 1/31/07, repurchase price
$6,078,724, collateralized by $6,360,000, U.S.
Treasury Notes, 3.375%, due 9/15/09, value
$6,201,000
========== -------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $6,077,880) 6,077,880
===================================================================================================================
TOTAL INVESTMENTS (COST $405,153,004) - 157.6% 401,080,864
===================================================================================================================
BORROWINGS PAYABLE - (40.5)% (6) (103,000,000)
===================================================================================================================
OTHER ASSETS LESS LIABILITIES - 1.0% 2,466,188
===================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (18.1)% (46,000,000)
===================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 254,547,052
===================================================================================================================
(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) Portion of position represents an unfunded Senior Loan commitment outstanding at January
31, 2007.
(6) Borrowings Payable as a percentage of total investments is (25.7)%.
(7) At or subsequent to January 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(8) Non-income producing. Non-income producing, in the case of a loan, generally denotes that
the issuer has defaulted on the payment of principal or interest or has filed for
bankruptcy.
(9) Position represents a participation commitment outstanding at January 31, 2007.
(10) Negative value represents unrealized depreciation on Senior Loan commitment at January 31,
2007.
(11) Investment valued at fair value using methods determined in good faith by, or at the
discretion of, the Board of Trustees.
N/R Not rated.
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.
(PIK) In lieu of cash payment, interest accrued on "Payment in Kind" investment increases
principal outstanding.
See accompanying notes to financial statements.
16
Nuveen Floating Rate Income Fund (JFR)
Portfolio of
INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 142.8% (88.9% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 1.5% (0.9% OF TOTAL INVESTMENTS)
$ 5,055 Mid-Western Aircraft Systems Inc., Term Loan B 7.110% 12/31/11 N/R $ 5,080,458
2,000 Transdigm Inc., Term Loan B 7.366% 6/23/13 B+ 2,013,750
2,408 Vought Aircraft Industries, Inc., Term Loan 7.880% 12/22/11 B- 2,428,913
545 Vought Aircraft Industries, Inc., Tranche B, 7.822% 12/22/10 B- 549,205
Letter of Credit
--------------------------------------------------------------------------------------------------------------------------------
10,008 Total Aerospace & Defense 10,072,326
--------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.0% (1.9% OF TOTAL INVESTMENTS)
8,000 Northwest Airlines Inc., Term Loan 7.850% 7/19/08 BBB- 8,062,504
1,493 United Air Lines Inc., Delayed Draw Term Loan 11.000% 2/01/12 B+ 1,498,896
10,448 United Air Lines Inc., Term Loan B 9.120% 2/01/12 B+ 10,492,273
--------------------------------------------------------------------------------------------------------------------------------
19,941 Total Airlines 20,053,673
--------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 4.5% (2.8% OF TOTAL INVESTMENTS)
3,000 Delphi Automotive Systems Corporation, DIP Term 8.125% 12/31/07 Ba2 3,020,625
Loan
17,662 Federal-Mogul Corporation, Term Loan A, (6) 7.570% 2/24/04 N/R 17,568,171
2,000 Federal-Mogul Corporation, Term Loan B, (6) 7.820% 2/24/05 N/R 1,991,250
6,000 Goodyear Tire & Rubber Company, Second Lien Term 8.140% 4/30/10 B+ 6,076,248
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 7.072% 4/30/10 BB 1,008,839
--------------------------------------------------------------------------------------------------------------------------------
29,662 Total Auto Components 29,665,133
--------------------------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,083 Constellation Brands, Inc., Term Loan 6.875% 6/05/13 BB 2,098,670
--------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 6.0% (3.7% OF TOTAL INVESTMENTS)
1,772 Atrium Companies Inc., Term Loan 8.107% 5/31/12 B 1,748,975
14,663 Nortek, Inc., Term Loan B 7.355% 8/27/11 B 14,704,655
4,423 PP Acquisition Corporation, Term Loan 8.320% 11/12/11 B 4,456,292
7,362 Stile Acquisition Corporation, Canadian Term 7.360% 4/05/13 BB- 7,339,184
Loan
7,375 Stile Acquisition Corporation, Term Loan B 7.360% 4/05/13 BB- 7,351,687
3,990 TFS Acquisition, Term Loan 8.921% 8/11/13 B+ 4,019,925
--------------------------------------------------------------------------------------------------------------------------------
39,585 Total Building Products 39,620,718
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.9% (1.2% OF TOTAL INVESTMENTS)
7,773 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 7,800,228
4,643 BNY Convergex Group LLC, Term Loan 8.360% 10/02/13 B+ 4,669,700
--------------------------------------------------------------------------------------------------------------------------------
12,416 Total Capital Markets 12,469,928
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 9.7% (6.0% OF TOTAL INVESTMENTS)
7,090 Celanese Holdings, LLC, Term Loan C 7.114% 4/06/11 N/R 7,139,644
845 Headwaters Inc., 1st Lien Term Loan 7.320% 4/30/11 BB- 847,914
12,190 Hercules Inc., Term Loan B 6.820% 10/08/10 BB 12,220,324
4,905 Hexion Specialty Chemicals, Term Loan C1 7.875% 5/05/13 B 4,930,944
1,065 Hexion Specialty Chemicals, Term Loan C2 7.875% 5/05/13 B 1,071,141
8,150 Huntsman International LLC, Term Loan 7.070% 8/16/12 BB- 8,204,081
3,960 Ineos Group Holdings PLC, Term Loan B 7.611% 12/06/13 B+ 4,011,151
3,960 Ineos Group Holdings PLC, Term Loan C 8.111% 12/16/14 B- 4,011,151
461 JohnsonDiversey Inc., Term Loan 7.870% 12/16/11 B+ 465,728
1,474 Lucite International, Term Loan B-1 8.070% 7/07/13 B+ 1,489,628
519 Lucite International, Term Loan B-2, (5) 1.375% 7/07/13 B+ 5,677
6,983 Lyondell Citgo Refining LP, Term Loan 7.121% 8/16/13 BB 7,040,689
12,740 Rockwood Specialties Group, Inc., Term Loan E 7.360% 7/30/12 B+ 12,835,544
--------------------------------------------------------------------------------------------------------------------------------
64,342 Total Chemicals 64,273,616
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 5.2% (3.2% OF TOTAL INVESTMENTS)
4,278 Allied Waste North America, Inc., Letter of 7.073% 1/15/12 Ba3 4,304,525
Credit
9,646 Allied Waste North America, Inc., Term Loan B 7.161% 1/15/12 Ba3 9,696,282
724 Aramark Corporation, Letter of Credit, WI/DD TBD TBD B+ 732,992
10,276 Aramark Corporation, Term Loan, WI/DD TBD TBD B+ 10,399,695
17
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES (continued)
$ 1,000 NCO Group Inc., Term Loan 8.380% 5/15/13 B+ $ 1,008,750
5,500 Williams Scotsman, Inc., Term Loan B 6.820% 6/28/10 B2 5,500,000
1,362 Workflow Management, Inc., Term Loan 9.360% 11/30/11 BB- 1,365,982
1,810 Xerium Technologies Inc. Term Loan B 7.864% 5/18/12 B+ 1,808,946
--------------------------------------------------------------------------------------------------------------------------------
34,596 Total Commercial Services & Supplies 34,817,172
--------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,993 Aspect Software, Term Loan B 8.375% 7/11/11 B+ 3,008,709
1,995 IPC Acquisition Corporation First Lien Term Loan 7.864% 9/29/13 B+ 2,018,275
--------------------------------------------------------------------------------------------------------------------------------
4,988 Total Communications Equipment 5,026,984
--------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
3,000 Peach Holdings Inc., Term Loan 9.120% 11/30/13 B 3,015,000
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 5.0% (3.1% OF TOTAL INVESTMENTS)
1,985 Amscan Holdings Inc., Term Loan B 8.387% 4/30/12 B+ 2,010,743
1,146 Bluegrass Container Company LLC, Delayed Draw, 7.600% 6/30/13 BB- 1,159,650
1st Lien
3,829 Bluegrass Container Company, LLC, Term Loan B 7.603% 6/30/13 BB- 3,875,672
16,643 Graham Packaging Company, L.P., Term Loan B 7.625% 2/14/10 B 16,801,539
3,571 Graham Packaging Company, L.P., Term Loan C 9.625% 3/15/12 CCC+ 3,615,179
699 Smurfit-Stone Container Corporation, 7.572% 11/01/11 B+ 705,825
Deposit-Funded Commitment
2,762 Smurfit-Stone Container Corporation, Term Loan B 7.625% 11/01/11 B+ 2,789,952
1,684 Smurfit-Stone Container Corporation, Term Loan C 7.625% 11/01/11 B+ 1,700,348
528 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 533,598
--------------------------------------------------------------------------------------------------------------------------------
32,847 Total Containers & Packaging 33,192,506
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 1.6% (1.0% OF TOTAL INVESTMENTS)
3,000 Riverdeep Group Limited, Term Loan 8.096% 12/20/13 B+ 3,035,625
7,500 West Corporation, Term Loan 8.085% 10/24/13 B+ 7,562,111
--------------------------------------------------------------------------------------------------------------------------------
10,500 Total Diversified Consumer Services 10,597,736
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,408 NASDAQ Stock Market, Inc., Term Loan B 7.070% 4/18/12 Ba3 3,423,543
1,976 NASDAQ Stock Market, Inc., Term Loan C 7.071% 4/18/12 Ba3 1,984,548
--------------------------------------------------------------------------------------------------------------------------------
5,384 Total Diversified Financial Services 5,408,091
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 7.5% (4.7% OF TOTAL INVESTMENTS)
6,000 Cequel Communications LLC., Term Loan B 7.610% 11/05/13 B+ 6,043,125
1,000 Choice One Communications, Term Loan B 9.375% 6/27/12 B 1,015,157
3,940 Intelsat Corporation, Term Loan 7.360% 7/01/13 B2 3,987,899
16,958 Intelsat Corporation, Tranche B-2 Term Loan 7.860% 1/03/14 BB 17,149,442
6,000 Level 3 Communications Incorporated, Term Loan 8.366% 12/01/11 B- 6,080,625
1,981 Madison River Capital LLC, Term Loan 7.610% 7/29/12 B+ 1,986,834
7,980 MetroPCS Inc., Term Loan 7.875% 11/03/13 B 8,058,376
5,500 Qwest Corporation, Term Loan B 6.950% 6/30/10 BB 5,644,947
--------------------------------------------------------------------------------------------------------------------------------
49,359 Total Diversified Telecommunication Services 49,966,405
--------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.5% (0.9% OF TOTAL INVESTMENTS)
3,921 EPCO Holdings Inc., Term Loan B 7.360% 8/18/10 BB- 3,953,524
6,032 Mueller Group, Inc., Term Loan 7.363% 10/03/12 B+ 6,078,780
--------------------------------------------------------------------------------------------------------------------------------
9,953 Total Electrical Equipment 10,032,304
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.7% (1.0% OF TOTAL INVESTMENTS)
10,000 Sanmina-SCI Corporation, Term Loan 7.875% 7/31/08 BB- 10,042,500
995 Sensata Technologies B.V., Term Loan 7.110% 4/27/13 B1 993,321
--------------------------------------------------------------------------------------------------------------------------------
10,995 Total Electronic Equipment & Instruments 11,035,821
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.1% (0.1% OF TOTAL INVESTMENTS)
124 Dresser-Rand Group, Inc., Term Loan 7.320% 10/29/07 BB- 124,597
573 Petroleum Geo-Services, Term Loan 7.610% 12/15/12 BB- 577,678
--------------------------------------------------------------------------------------------------------------------------------
697 Total Energy Equipment & Services 702,275
--------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 2.8% (1.8% OF TOTAL INVESTMENTS)
11,819 Jean Coutu Group, Inc., Term Loan B 7.875% 7/30/11 B1 11,851,064
6,948 Supervalu, Term Loan B 7.100% 6/02/12 B1 6,986,927
--------------------------------------------------------------------------------------------------------------------------------
18,767 Total Food & Staples Retailing 18,837,991
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.7% (0.5% OF TOTAL INVESTMENTS)
465 Dole Foods Company Inc., Deposit-Funded 7.374% 4/12/13 B 464,448
Commitment
18
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS (continued)
$ 1,039 Dole Foods Company Inc., Term Loan B 7.546% 4/30/13 B $ 1,037,170
3,462 Dole Foods Company Inc., Term Loan C 7.460% 4/30/13 B+ 3,457,232
--------------------------------------------------------------------------------------------------------------------------------
4,966 Total Food Products 4,958,850
--------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 Energy Transfer Partners LP, Term Loan 7.100% 11/01/12 Ba2 1,008,571
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.5% (0.3% OF TOTAL INVESTMENTS)
3,424 Kinetic Concepts Inc., Term Loan B-1 7.120% 8/11/10 BB 3,440,158
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 11.0% (6.9% OF TOTAL INVESTMENTS)
12,725 Davita Inc., Term Loan B 7.302% 10/05/12 BB- 12,835,915
5,930 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.740% 12/01/13 Ba2 5,921,209
16,000 HCA, Inc., Term Loan 8.114% 11/17/13 Ba3 16,163,864
3,980 HealthSouth Corporation, Term Loan 8.610% 3/10/13 B2 4,022,538
13,649 IASIS Healthcare LLC, Term Loan B 7.570% 6/22/11 B+ 13,802,158
3,950 LifeCare Holdings Inc., Term Loan B 7.570% 8/01/12 B 3,830,676
1,010 LifePoint Hospitals Holdings, Inc., Term Loan B 6.945% 4/15/12 BB- 1,009,510
2,948 Select Medical Corporation, Term Loan 7.113% 2/24/12 B+ 2,943,564
12,772 Vanguard Health Holding Company, LLC, 7.614% 9/23/11 B 12,899,367
Replacement Term Loan
--------------------------------------------------------------------------------------------------------------------------------
72,964 Total Health Care Providers & Services 73,428,801
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,987 Emdeon Business Services Term Loan 7.870% 11/16/13 B+ 1,998,758
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 10.9% (6.8% OF TOTAL INVESTMENTS)
9,374 24 Hour Fitness Worldwide, Inc., Term Loan B 7.865% 6/08/12 B 9,450,190
3,157 Ameristar Casinos, Inc., Term Loan B 6.820% 11/10/12 Ba3 3,163,634
5,850 Boyd Gaming Corporation, Term Loan B 6.864% 6/30/11 BB 5,866,746
1,293 Burger King Corporation, Term Loan B 6.875% 6/30/12 BB- 1,295,900
4,975 Cedar Fair LP, Term Loan 7.820% 8/30/12 BB- 5,031,280
122 CBRL Group, Inc., Term B-2 Delayed Draw, (5) 0.750% 4/27/13 BB 153
780 CBRL Group, Inc., Term Loan B-1 6.869% 4/27/13 BB 782,145
5,000 Intrawest Corporation, Term Loan 7.320% 12/31/07 N/R 5,003,125
7,895 Penn National Gaming, Inc., Term Loan B 7.120% 10/03/12 BB 7,956,730
981 TDS Investor Corp., Letter of Credit 7.864% 8/23/13 B+ 988,734
9,994 TDS Investor Corp., Term Loan 7.864% 8/23/13 B+ 10,067,769
1,970 Trump International, Term Loan B 7.870% 5/20/12 BB- 1,991,523
1,970 Trump International, Term Loan B-2 (5) 7.870% 5/20/12 BB- 21,548
9,255 Universal City Development Partners, Ltd., Term 7.368% 6/09/11 BB- 9,300,818
Loan
1,709 Venetian Casino Resort, LLC, Delayed Term Loan 7.120% 6/15/11 BB- 1,723,373
8,291 Venetian Casino Resort, LLC, Term Loan 7.120% 6/15/11 BB- 8,358,357
2,000 Worldspan LP, Term Loan 8.583% 12/07/13 B 2,012,501
--------------------------------------------------------------------------------------------------------------------------------
74,616 Total Hotels, Restaurants & Leisure 73,014,526
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.3% (0.2% OF TOTAL INVESTMENTS)
1,995 Rent-A-Center Inc., Term Loan B 7.125% 6/30/12 Ba2 2,002,781
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.8% (1.1% OF TOTAL INVESTMENTS)
8,735 Prestige Brands, Inc., Term Loan B 7.710% 4/06/11 B+ 8,810,052
2,820 Solo Cup Company, Term Loan, WI/DD TBD TBD CCC+ 2,868,388
--------------------------------------------------------------------------------------------------------------------------------
11,555 Total Household Products 11,678,440
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.3% OF TOTAL INVESTMENTS)
1,561 Covanta Energy Corporation, Letter of Credit 7.588% 2/09/14 B+ 1,570,732
1,113 Covanta Energy Corporation, Term Loan B 7.600% 2/09/14 B- 1,119,961
--------------------------------------------------------------------------------------------------------------------------------
2,674 Total Independent Power Producers & Energy 2,690,693
Traders
--------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.5% (1.6% OF TOTAL INVESTMENTS)
16,774 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 16,868,312
--------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 3.7% (2.3% OF TOTAL INVESTMENTS)
1,368 Infor Global Solutions, Delayed Draw Term Loan 9.120% 7/28/12 B 1,379,286
2,622 Infor Global Solutions, Term Loan 9.120% 7/28/12 B 2,648,876
20,692 SunGard Data Systems Inc., Term Loan B 7.875% 2/11/13 B+ 20,909,035
--------------------------------------------------------------------------------------------------------------------------------
24,682 Total IT Services 24,937,197
--------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.5% (0.9% OF TOTAL INVESTMENTS)
10,025 Bombardier Recreational Products, Term Loan 7.900% 6/28/13 B1 10,092,150
--------------------------------------------------------------------------------------------------------------------------------
19
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.1% (0.7% OF TOTAL INVESTMENTS)
$ 933 Navistar International, Synthetic Letter of 7.166% 1/19/12 BB- $ 951,125
Credit
2,567 Navistar International, Term Loan 8.610% 1/31/12 BB- 2,615,595
4,000 Oshkosh Truck Corporation, Term Loan 7.350% 12/06/13 Ba3 4,025,894
--------------------------------------------------------------------------------------------------------------------------------
7,500 Total Machinery 7,592,614
--------------------------------------------------------------------------------------------------------------------------------
MARINE - 0.7% (0.4% OF TOTAL INVESTMENTS)
4,376 Horizon Lines, LLC, Term Loan B 7.620% 7/11/11 B 4,399,528
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 24.5% (15.3% OF TOTAL INVESTMENTS)
2,000 American Media Operations, Inc., Term Loan C 8.340% 1/30/13 B- 2,014,167
4,749 Blockbuster, Inc., Term Loan B 8.902% 8/20/11 B- 4,782,257
2,943 Cablevision Systems Corporation, Incremental 7.114% 3/29/13 BB 2,953,684
Term Loan
17,000 Century Cable Holdings, LLC, Discretionary Term 10.250% 12/31/09 N/R 16,585,625
Loan, (6)
7,000 Century Cable Holdings, LLC, Revolver, (6) 9.250% 10/25/10 N/R 6,813,751
2,000 Century Cable Holdings, LLC, Term Loan, (6) 10.250% 6/30/09 N/R 1,956,786
21,798 Charter Communications Inc., Term Loan B 7.985% 4/28/13 B 22,016,566
4,940 Clear Channel Entertainment, Term Loan B 8.101% 6/20/13 B+ 4,949,313
3,858 Dex Media West, LLC, Term Loan B 6.861% 3/09/10 BB 3,861,489
8,000 Idearc Inc., Term Loan 7.330% 11/17/14 Ba2 8,069,252
13,853 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.614% 6/30/12 N/R 13,898,629
15,960 Neilsen Finance LLC, Term Loan B 8.125% 8/09/13 B+ 16,105,092
1,214 Nextmedia Operating Group, Delayed Draw Term 7.320% 11/15/12 B 1,213,410
Loan
2,736 Nextmedia Operating Inc., First Lien Term Loan 7.320% 11/15/12 B 2,735,109
4,975 Philadelphia Newspapers, Term Loan 8.120% 6/29/13 N/R 4,983,291
6,435 Primedia Inc., Term Loan 7.570% 9/30/13 B 6,425,615
2,288 R. H. Donnelley Inc., Term Loan D-2 6.865% 6/30/11 BB 2,286,919
12,335 Regal Cinemas Corporation, Term Loan 7.114% 10/27/13 BB- 12,368,345
983 Spanish Broadcasting System Inc., Term Loan B 7.120% 6/10/12 B 984,547
3,500 UPC Broadband Holding BV, Term Loan J2 7.370% 3/29/13 B 3,518,097
3,500 UPC Broadband Holding BV, Term Loan K2 7.370% 12/31/13 B 3,518,097
15,383 WMG Acquisition Corp., Term Loan 7.370% 2/28/11 BB- 15,481,726
6,025 Yell Group, Term Loan 7.320% 10/26/12 Ba3 6,082,111
--------------------------------------------------------------------------------------------------------------------------------
163,475 Total Media 163,603,878
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.9% (0.5% OF TOTAL INVESTMENTS)
2,775 Amsted Industries Incorporated, Delayed Term 0.500% 4/05/11 BB- (41,622)
Loan, (5) (7)
3,832 Amsted Industries Incorporated, Term Loan B 7.361% 4/05/13 BB- 3,846,605
1,984 John Maneely Company, Term Loan 8.618% 12/08/13 B3 1,989,893
--------------------------------------------------------------------------------------------------------------------------------
8,591 Total Metals & Mining 5,794,876
--------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 1.3% (0.8% OF TOTAL INVESTMENTS)
8,608 Neiman Marcus Group Inc., Term Loan 7.602% 4/06/13 B+ 8,708,127
--------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.0% (1.2% OF TOTAL INVESTMENTS)
3,814 NRG Energy Inc., Credit-Linked Deposit 7.364% 2/01/13 BB- 3,851,024
9,322 NRG Energy Inc., Term Loan 7.364% 2/01/13 BB- 9,414,375
--------------------------------------------------------------------------------------------------------------------------------
13,136 Total Multi-Utilities 13,265,399
--------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 0.8% (0.5% OF TOTAL INVESTMENTS)
301 Coffeyville Resources LLC, Letter of Credit 8.360% 12/28/10 B2 302,602
1,553 Coffeyville Resources LLC, Term Loan 8.360% 12/31/13 B2 1,564,737
1,165 El Paso Corporation, Letter of Credit 7.320% 7/31/11 B+ 1,172,066
484 Targa Resources Inc., Synthetic Letter of Credit 7.489% 10/31/12 B+ 487,575
1,991 Targa Resources Inc., Term Loan B 7.613% 10/31/12 B+ 2,006,170
--------------------------------------------------------------------------------------------------------------------------------
5,494 Total Oil, Gas & Consumable Fuels 5,533,150
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.6% (2.2% OF TOTAL INVESTMENTS)
3,997 Boise Cascade Corporation, Term Loan D 7.108% 3/29/11 BB 4,021,398
11,880 Georgia-Pacific Corporation, Term Loan B 7.355% 12/23/10 BB- 11,998,800
4,675 Georgia-Pacific Corporation, Term Loan B-2 7.114% 12/31/13 BB- 4,707,380
2,091 NewPage Corporation, Term Loan B 7.656% 5/02/11 B+ 2,117,314
1,000 White Birch Paper Company, Second Lien Term Loan 12.870% 4/08/13 CCC+ 1,015,834
--------------------------------------------------------------------------------------------------------------------------------
23,643 Total Paper & Forest Products 23,860,726
--------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,734 Stiefel Laboratories Inc, Delayed Term Loan (5) 2.250% 12/15/13 Ba3 19,502
2,266 Stiefel Laboratories Inc, Term Loan 7.610% 12/15/13 Ba3 2,291,950
407 Warner Chilcott Corporation, Dovonex Delayed 7.364% 1/18/12 B+ 409,499
Draw Term Commitment
1,884 Warner Chilcott Corporation, Tranche B 7.367% 1/18/12 B+ 1,894,936
20
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS (continued)
$ 517 Warner Chilcott Corporation, Tranche C 7.364% 1/18/12 B+ $ 520,254
--------------------------------------------------------------------------------------------------------------------------------
6,808 Total Pharmaceuticals 5,136,141
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 3.9% (2.4% OF TOTAL INVESTMENTS)
9,303 Capital Automotive LP., Term Loan 7.080% 12/16/10 BB+ 9,384,673
134 Lion Gables, Term Loan 7.070% 3/30/07 Ba2 134,529
16,000 LNR Property Corporation, Term Loan B 8.120% 7/12/11 B2 16,111,432
--------------------------------------------------------------------------------------------------------------------------------
25,437 Total Real Estate Management & Development 25,630,634
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.9% (0.6% OF TOTAL INVESTMENTS)
667 Hertz Corporation, Synthetic Term Loan 5.365% 12/21/12 BB+ 672,135
5,284 Hertz Corporation, Term Loan B 7.347% 12/21/12 BB 5,326,859
--------------------------------------------------------------------------------------------------------------------------------
5,951 Total Road & Rail 5,998,994
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 2.4% (1.5% OF TOTAL INVESTMENTS)
11,524 Advanced Micro Devices, Term Loan B 7.620% 12/31/13 BB- 11,637,701
3,000 Freescale Semiconductor, Term Loan 7.369% 12/01/13 BB 3,022,500
1,000 Spansion Inc., Term Loan 8.375% 11/03/12 B+ 1,005,625
--------------------------------------------------------------------------------------------------------------------------------
15,524 Total Semiconductors & Equipment 15,665,826
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.7% (1.7% OF TOTAL INVESTMENTS)
11,970 Dealer Computer Service, Term Loan 7.845% 10/26/12 BB- 12,081,153
6,000 Dealer Computer Service, Term Loan, 2nd Lien 10.845% 10/26/13 B3 6,119,064
--------------------------------------------------------------------------------------------------------------------------------
17,970 Total Software 18,200,217
--------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 6.2% (3.9% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.620% 5/28/13 B 976,223
Term Loan
5,985 CSK Automotive Corporation, Term Loan 8.375% 6/30/12 B+ 6,078,516
1,404 J Crew Operating Corporation, Term Loan 7.153% 5/15/13 B+ 1,406,433
12,697 Michaels Stores Inc., Term Loan 8.125% 10/31/13 B- 12,815,061
5,985 Sally Beauty, Term Loan 7.870% 11/16/11 B2 6,042,980
11,000 TRU 2005 RE Holding Co. 1, Term Loan 8.326% 12/09/08 N/R 11,111,722
3,000 Toys "R" Us, Inc., Term Loan B 9.625% 7/19/12 B 3,098,532
--------------------------------------------------------------------------------------------------------------------------------
41,054 Total Specialty Retail 41,529,467
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 1.5% (0.9% OF TOTAL INVESTMENTS)
3,704 HanesBrands Inc., Term Loan 7.607% 9/15/13 BB- 3,753,601
2,000 HanesBrands Inc., Term Loan, 2nd Lien 9.110% 3/05/14 B- 2,062,188
4,111 Visant Holding Corporation, Term Loan C 7.122% 7/29/10 B+ 4,142,694
--------------------------------------------------------------------------------------------------------------------------------
9,815 Total Textiles, Apparel & Luxury Goods 9,958,483
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.3% (0.8% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 7.570% 8/31/11 B3 2,000,000
B
393 Brenntag Holdings, Acquisition Facility 7.887% 1/20/14 B 395,182
1,607 Brenntag Holdings, Term Loan B2 7.887% 1/20/14 B 1,626,108
1,219 United Rentals Inc., Credit Linked Deposit 5.220% 2/13/11 BB- 1,232,262
3,138 United Rentals Inc., Delayed Draw Term Loan B 7.320% 2/14/11 BB- 3,172,624
--------------------------------------------------------------------------------------------------------------------------------
8,357 Total Trading Companies & Distributors 8,426,176
--------------------------------------------------------------------------------------------------------------------------------
$ 951,524 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 950,309,822
$942,871,585)
================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 11.9% (7.4% OF TOTAL INVESTMENTS)
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
$ 5,000 Qwest Corporation, Floating Rate Note, 3.250% 8.610% 6/15/13 BB $ 5,475,000
plus three-month LIBOR
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
16,000 NXP BV, Floating Rate Note, 2.750% plus 8.110% 10/15/13 BB+ 16,380,000
three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
5,000 Williams Companies Inc., Floating Rate Note, 7.360% 10/01/10 Ba2 5,150,000
2.000% plus three-month LIBOR, 144A
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,528 Dole Foods Company 8.625% 5/01/09 B- 1,535,640
1,780 Dole Foods Company 8.875% 3/15/11 B- 1,780,000
--------------------------------------------------------------------------------------------------------------------------------
3,308 Total Food Products 3,315,640
--------------------------------------------------------------------------------------------------------------------------------
21
Nuveen Floating Rate Income Fund (JFR) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
-----------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 2.7% (1.7% OF TOTAL INVESTMENTS)
$ 9,505 Aztar Corporation 9.000% 8/15/11 Ba3 $ 9,932,725
7,900 Mohegan Tribal Gaming Authority 8.000% 4/01/12 Ba2 8,245,625
-----------------------------------------------------------------------------------------------------------------------------
17,405 Total Hotels, Restaurants & Leisure 18,178,350
-----------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.3% (0.2% OF TOTAL INVESTMENTS)
2,000 K. Hovnanian Enterprises Inc. 10.500% 10/01/07 Ba1 2,067,500
-----------------------------------------------------------------------------------------------------------------------------
MEDIA - 1.6% (1.0% OF TOTAL INVESTMENTS)
10,000 Cablevision Systems Corporation, Floating Rate 9.900% 4/01/09 B+ 10,650,000
Note, 4.500% plus six-month LIBOR, Series B
-----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.7% (0.4% OF TOTAL INVESTMENTS)
500 Verso Paper Holdings LLC., 144A 9.125% 8/01/14 B+ 527,500
4,000 Verso Paper Holdings LLC., Floating Rate Note, 9.110% 8/01/14 B+ 4,120,000
3.750% plus three-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
4,500 Total Paper & Forest Products 4,647,500
-----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.6% (0.4% OF TOTAL INVESTMENTS)
4,000 Felcor Lodging Trust Inc., Floating Rate Note, 7.275% 12/01/11 Ba3 4,050,000
1.875% plus six-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.1% (0.7% OF TOTAL INVESTMENTS)
7,000 Avago Technologies Finance Pte. Ltd., Floating 10.860% 6/01/13 B 7,341,250
Rate Note, 5.500% plus three-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 HanesBrands Inc., Floating Rate Note, 3.375% 8.775% 12/15/14 B2 1,032,500
plus six-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.2% (0.1% OF TOTAL INVESTMENTS)
1,000 Dobson Communications Corporation, Floating Rate 9.610% 10/15/12 CCC 1,030,000
Note, 4.250% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
$ 76,213 TOTAL CORPORATE BONDS (COST $78,104,133) 79,317,740
=============================================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.2% (0.1% OF TOTAL INVESTMENTS)
74,200 Eaton Vance Floating-Rate Income Trust Fund $ 1,407,574
-----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $1,260,676) 1,407,574
==============================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.0% OF TOTAL INVESTMENTS)
36,521 Reliant Energy Inc. $ 337,819
-----------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $257,912) 337,819
==============================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.8% (3.6% OF TOTAL INVESTMENTS)
$ 38,918 Repurchase Agreement with Fixed Income Clearing 5.000% 2/01/07 $ 38,917,760
Corporation, dated 1/31/07, repurchase price
$38,923,165, collateralized by $40,715,000,
U.S. Treasury Notes, 3.375%, due 9/15/09, value
$39,697,125
========== --------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $38,917,760) 38,917,760
==============================================================================================================
TOTAL INVESTMENTS (COST $1,061,412,066) - 160.8% 1,070,290,715
==============================================================================================================
OTHER ASSETS LESS LIABILITIES - (0.7)% (4,723,668)
==============================================================================================================
PREFERRED SHARES, AT LIQUIDATION (400,000,000)
VALUE -- (60.1)%
==============================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES -- 100% $ 665,567,047
==============================================================================================================
22
(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) Portion of position represents an unfunded Senior Loan commitment outstanding at January
31, 2007.
(6) At or subsequent to January 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at January 31,
2007.
N/R Not rated.
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.
23
Nuveen Floating Rate Income Opportunity Fund (JRO)
Portfolio of
INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 135.5% (85.3% OF TOTAL INVESTMENTS) (2)
AEROSPACE & DEFENSE - 2.3% (1.4% OF TOTAL INVESTMENTS)
$ 8,104 K&F Industries, Inc., Term Loan C 7.320% 11/18/12 B+ $ 8,143,423
1,000 Transdigm Inc., Term Loan B 7.366% 6/23/13 B+ 1,006,875
--------------------------------------------------------------------------------------------------------------------------------
9,104 Total Aerospace & Defense 9,150,298
--------------------------------------------------------------------------------------------------------------------------------
AIRLINES - 3.5% (2.2% OF TOTAL INVESTMENTS)
5,000 Northwest Airlines Inc., Term Loan 7.850% 7/19/08 BBB- 5,039,065
1,119 United Air Lines Inc., Delayed Draw Term Loan 11.000% 2/01/12 B+ 1,124,172
7,836 United Air Lines Inc., Term Loan B 9.120% 2/01/12 B+ 7,869,205
--------------------------------------------------------------------------------------------------------------------------------
13,955 Total Airlines 14,032,442
--------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 3.5% (2.2% OF TOTAL INVESTMENTS)
1,649 Accuride Corporation, Term Loan B 7.375% 1/31/12 B+ 1,655,552
5,485 Federal-Mogul Corporation, Revolver, (5) (6) 6.851% 2/05/05 N/R 5,206,820
4,000 Goodyear Tire & Rubber Company, Second Lien Term 8.140% 4/30/10 B+ 4,050,832
Loan
1,000 Goodyear Tire & Rubber Company, Term Loan 7.072% 4/30/10 BB 1,008,839
1,994 Lear Corporation, Term Loan 7.866% 4/25/12 B2 2,016,847
--------------------------------------------------------------------------------------------------------------------------------
14,128 Total Auto Components 13,938,890
--------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 5.2% (3.3% OF TOTAL INVESTMENTS)
1,772 Atrium Companies Inc., Term Loan 8.107% 5/31/12 B 1,748,975
9,775 Nortek, Inc., Term Loan B 7.355% 8/27/11 B 9,803,103
500 Ply Gem Industries Inc., Term Loan 11.070% 11/05/11 B3 513,750
2,945 Stile Acquisition Corporation, Canadian Term 7.360% 4/05/13 BB- 2,935,674
Loan
2,950 Stile Acquisition Corporation, Term Loan B 7.360% 4/05/13 BB- 2,940,675
2,993 TFS Acquisition, Term Loan 8.921% 8/11/13 B+ 3,014,944
--------------------------------------------------------------------------------------------------------------------------------
20,935 Total Building Products 20,957,121
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.4% (0.9% OF TOTAL INVESTMENTS)
2,665 Ameritrade Holdings Corporation, Term Loan B 6.820% 12/31/12 Ba1 2,674,735
2,786 BNY Convergex Group LLC, Term Loan 8.360% 10/02/13 B+ 2,801,820
--------------------------------------------------------------------------------------------------------------------------------
5,451 Total Capital Markets 5,476,555
--------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 6.2% (3.9% OF TOTAL INVESTMENTS)
4,105 Celanese Holdings, LLC, Term Loan C 7.114% 4/06/11 N/R 4,133,478
845 Headwaters Inc., 1st Lien Term Loan 7.320% 4/30/11 BB- 847,914
2,452 Hexion Specialty Chemicals, Term Loan C1 7.875% 5/05/13 B 2,465,472
533 Hexion Specialty Chemicals, Term Loan C2 7.875% 5/05/13 B 535,571
5,349 Huntsman International LLC, Term Loan 7.070% 8/16/12 BB- 5,384,155
1,272 JohnsonDiversey Inc., Term Loan 7.870% 12/16/10 B+ 1,283,191
1,474 Lucite International, Term Loan B 8.070% 7/07/13 B+ 1,489,628
519 Lucite International, Term Loan B-2, (5) 1.375% 7/07/13 B+ 5,677
998 Lyondell Citgo Refining LP, Term Loan 7.121% 8/16/13 BB 1,005,813
7,840 Rockwood Specialties Group, Inc., Term Loan E 7.360% 7/30/12 B+ 7,898,796
--------------------------------------------------------------------------------------------------------------------------------
25,387 Total Chemicals 25,049,695
--------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 3.0% (1.9% OF TOTAL INVESTMENTS)
2,784 Allied Waste North America, Inc., Letter of 7.073% 1/15/12 Ba3 2,801,157
Credit
6,277 Allied Waste North America, Inc., Term Loan B 7.161% 1/15/12 Ba3 6,309,772
995 Cenveo Inc., Term Loan B 7.365% 6/21/13 BB- 998,731
1,000 NCO Group Inc., Term Loan 8.380% 5/15/13 B+ 1,008,750
1,021 Workflow Management, Inc., Term Loan 9.360% 11/30/11 BB- 1,024,487
--------------------------------------------------------------------------------------------------------------------------------
12,077 Total Commercial Services & Supplies 12,142,897
--------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 0.7% (0.5% OF TOTAL INVESTMENTS)
2,993 Aspect Software, Term Loan B 8.375% 7/11/11 B+ 3,008,709
--------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Peach Holdings Inc., Term Loan 9.120% 11/30/13 B 2,010,000
--------------------------------------------------------------------------------------------------------------------------------
24
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 6.8% (4.3% OF TOTAL INVESTMENTS)
$ 993 Amscan Holdings Inc., Term Loan B 8.387% 4/30/12 B+ $ 1,005,372
687 Bluegrass Container Company, LLC, Delayed Draw, 7.600% 6/30/13 BB- 695,790
1st Lien
970 Bluegrass Container Company, LLC, Delayed Draw, 10.320% 5/28/13 B- 986,788
2nd Lien
2,294 Bluegrass Container Company, LLC, Term Loan B 7.603% 6/30/13 BB- 2,325,403
3,030 Bluegrass Container Company, LLC, Term Loan, 2nd 10.326% 12/31/13 BB- 3,083,712
Lien
12,740 Graham Packaging Company, L.P., Term Loan B 7.625% 2/14/10 B 12,861,712
1,429 Graham Packaging Company, L.P., Term Loan C 9.625% 3/15/12 CCC+ 1,446,071
611 Smurfit-Stone Container Corporation, 7.572% 11/01/11 B+ 617,597
Deposit-Funded Commitment
2,416 Smurfit-Stone Container Corporation, Term Loan B 7.625% 11/01/11 B+ 2,441,208
1,473 Smurfit-Stone Container Corporation, Term Loan C 7.625% 11/01/11 B+ 1,487,804
462 Smurfit-Stone Container Corporation, Tranche C-1 7.625% 11/01/11 B+ 466,898
--------------------------------------------------------------------------------------------------------------------------------
27,105 Total Containers & Packaging 27,418,355
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 West Corporation, Term Loan 8.085% 10/24/13 B+ 3,024,845
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 9.7% (6.1% OF TOTAL INVESTMENTS)
8,000 Cequel Communications LLC., Term Loan B 7.610% 11/05/13 B+ 8,057,500
1,000 Choice One Communications, Term Loan B 9.375% 6/27/12 B 1,015,157
1,970 Intelsat Corporation, Term Loan 7.360% 7/01/13 B2 1,993,950
10,973 Intelsat Corporation, Tranche B-2 Term Loan 7.860% 1/03/14 BB 11,096,698
2,000 Intelsat Corporation, Unsecured Term Loan, WI/DD TBD TBD BB 2,016,000
6,500 Iowa Telecommunications Services, Inc., Term 7.115% 11/23/11 BB- 6,536,563
Loan B
4,000 Level 3 Communications Incorporated, Term Loan 8.366% 12/01/11 B- 4,053,750
3,990 MetroPCS Inc., Term Loan 7.875% 11/03/13 B 4,029,188
--------------------------------------------------------------------------------------------------------------------------------
38,433 Total Diversified Telecommunication Services 38,798,806
--------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.6% (0.4% OF TOTAL INVESTMENTS)
2,164 Murray Energy Corporation, Term Loan C 13.875% 1/28/11 N/R 2,250,560
--------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,500 Generac Inc., Term Loan 7.860% 11/10/13 N/R 1,505,625
--------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,990 Sensata Technologies B.V., Term Loan 7.110% 4/27/13 B1 1,986,643
--------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 0.2% (0.1% OF TOTAL INVESTMENTS)
350 Dresser-Rand Group, Inc., Term Loan 7.320% 10/29/07 BB- 353,025
287 Petroleum Geo-Services, Term Loan 7.610% 12/15/12 BB- 288,839
--------------------------------------------------------------------------------------------------------------------------------
637 Total Energy Equipment & Services 641,864
--------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 2.1% (1.3% OF TOTAL INVESTMENTS)
8,258 Jean Coutu Group, Inc., Term Loan B 7.875% 7/30/11 B1 8,280,777
--------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 1.7% (1.1% OF TOTAL INVESTMENTS)
651 Dole Foods Company Inc., Deposit-Funded 7.374% 4/12/13 B 650,227
Commitment
1,454 Dole Foods Company Inc., Term Loan B 7.546% 4/30/13 B 1,452,038
4,847 Dole Foods Company Inc., Term Loan C 7.460% 4/30/13 B+ 4,840,124
--------------------------------------------------------------------------------------------------------------------------------
6,952 Total Food Products 6,942,389
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4% (0.3% OF TOTAL INVESTMENTS)
1,634 Kinetic Concepts Inc., Term Loan B-1 7.120% 8/11/10 BB 1,641,406
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 13.0% (8.3% OF TOTAL INVESTMENTS)
7,165 Community Health Systems, Inc., Term Loan 7.120% 8/19/11 BB- 7,186,561
5,006 Davita Inc., Term Loan B 7.302% 10/05/12 BB- 5,049,360
5,955 Fresenius Medical Care AG & Co. KGaA, Term Loan 6.740% 12/01/13 Ba2 5,946,109
9,000 HCA, Inc., Term Loan 8.114% 11/17/13 Ba3 9,092,174
3,980 HealthSouth Corporation, Term Loan 8.610% 3/10/13 B2 4,022,538
5,363 IASIS Healthcare LLC, Term Loan B 7.570% 6/22/11 B+ 5,422,828
1,010 LifePoint Hospitals Holdings, Inc., Term Loan B 6.945% 4/15/12 BB- 1,009,510
14,710 Vanguard Health Holding Company, LLC, 7.614% 9/23/11 B 14,856,839
Replacement Term Loan
--------------------------------------------------------------------------------------------------------------------------------
52,189 Total Health Care Providers & Services 52,585,919
--------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE TECHNOLOGY - 0.5% (0.3% OF TOTAL INVESTMENTS)
1,987 Emdeon Business Services, Term Loan 7.870% 11/16/13 B+ 1,998,758
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 8.4% (5.3% OF TOTAL INVESTMENTS)
3,972 24 Hour Fitness Worldwide, Inc., Term Loan B 7.865% 6/08/12 B 4,004,764
2,985 Cedar Fair LP, Term Loan 7.820% 8/30/12 BB- 3,018,768
488 CBRL Group, Inc., Term B-2 Delayed Draw, (5) 0.750% 4/27/13 BB 610
25
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (continued)
$ 3,120 CBRL Group, Inc., Term Loan B-1 6.869% 4/27/13 BB $ 3,128,579
4,000 Intrawest Corporation, Term Loan 7.320% 12/31/07 N/R 4,002,500
1,975 Penn National Gaming, Inc., Term Loan B 7.120% 10/03/12 BB 1,990,430
7,268 TDS Investor Corp., Term Loan 7.864% 8/23/13 B+ 7,322,014
714 TDS Investor Corp., Letter of Credit 7.864% 8/23/13 B+ 719,080
6,218 Venetian Casino Resort, LLC, Term Loan 7.120% 6/15/11 BB- 6,268,768
1,282 Venetian Casino Resort, LLC, Term Loan B 7.120% 6/15/11 BB- 1,292,529
2,000 Worldspan LP, Term Loan 8.583% 12/07/13 B 2,012,501
--------------------------------------------------------------------------------------------------------------------------------
34,022 Total Hotels, Restaurants & Leisure 33,760,543
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.9% (1.2% OF TOTAL INVESTMENTS)
7,488 Jarden Corporation, Term Loan 7.364% 1/24/12 B+ 7,514,813
--------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.5% (1.5% OF TOTAL INVESTMENTS)
9,749 Prestige Brands, Inc., Term Loan B 7.710% 4/06/11 B+ 9,832,648
--------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 1.6% (1.0% OF TOTAL INVESTMENTS)
1,000 Affirmative Insurance Holdings Inc., Term Loan, TBD TBD B 1,005,000
WI/DD
5,434 Conseco, Inc., Term Loan 7.320% 10/10/13 BB- 5,465,038
--------------------------------------------------------------------------------------------------------------------------------
6,434 Total Insurance 6,470,038
--------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 2.7% (1.7% OF TOTAL INVESTMENTS)
342 Infor Global Solutions, Delayed Draw Term Loan 9.120% 7/28/12 B 344,822
656 Infor Global Solutions, Term Loan 9.120% 7/28/12 B 662,219
9,850 SunGard Data Systems Inc., Term Loan B 7.875% 2/11/13 B+ 9,953,120
--------------------------------------------------------------------------------------------------------------------------------
10,848 Total IT Services 10,960,161
--------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 1.4% (0.9% OF TOTAL INVESTMENTS)
5,468 Bombardier Recreational Products, Term Loan 7.900% 6/28/13 B1 5,504,809
--------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.3% (0.8% OF TOTAL INVESTMENTS)
578 Navistar International, Synthetic Letter of 7.166% 1/19/12 BB- 588,792
Credit
1,589 Navistar International, Term Loan 8.610% 1/31/12 BB- 1,619,178
2,000 Oshkosh Truck Corporation, Term Loan 7.350% 12/06/13 Ba3 2,012,947
967 Rexnord Corporation, Term Loan 7.875% 7/19/13 B+ 971,041
--------------------------------------------------------------------------------------------------------------------------------
5,134 Total Machinery 5,191,958
--------------------------------------------------------------------------------------------------------------------------------
MEDIA - 24.1% (15.3% OF TOTAL INVESTMENTS)
1,980 AMC Entertainment Inc., Term Loan 7.445% 1/26/13 B+ 2,000,470
2,500 American Lawyer Media, Inc., Second Lien Term 11.114% 3/07/11 CCC 2,508,334
Loan
861 Blockbuster, Inc., Term Loan A 8.664% 8/20/09 B- 863,265
2,937 Blockbuster, Inc., Term Loan B 8.902% 8/20/11 B- 2,957,896
9,000 Century Cable Holdings, LLC, Revolver (6) 9.250% 10/25/10 N/R 8,760,537
7,500 Century Cable Holdings, LLC, Term Loan B (6) 10.250% 12/31/09 N/R 7,317,188
10,953 Charter Communications Inc., Term Loan B 7.985% 4/28/13 B 11,062,450
4,950 Clear Channel Entertainment, Term Loan B 8.101% 6/20/13 B+ 4,959,281
995 Cumulus Media Inc, Term Loan 7.333% 6/07/13 B 1,001,322
2,000 HIT Entertainment Inc., Second Lien Term Loan 10.860% 2/26/13 CCC+ 2,026,876
3,940 HIT Entertainment Inc., Term Loan B 7.600% 3/20/12 B 3,975,706
5,000 Idearc Inc., Term Loan 7.330% 11/17/14 Ba2 5,043,283
3,965 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 8.614% 6/30/12 N/R 3,978,176
8,978 Neilsen Finance LLC, Term Loan B 8.125% 8/09/13 B+ 9,059,114
3,000 NextMedia Operating Inc., Second Lien Term Loan 9.850% 11/15/12 CCC+ 3,032,813
3,000 Philadelphia Newspapers, Mezzanine Term Loan 16.000% 6/29/12 N/R 2,985,000
8,565 R. H. Donnelley Inc., Term Loan D-2 6.865% 6/30/11 BB 8,562,440
3,901 Regal Cinemas Corporation, Term Loan 7.114% 10/27/13 BB- 3,911,059
2,000 UPC Broadband Holding BV, Term Loan J2 7.370% 3/29/13 B 2,010,341
2,000 UPC Broadband Holding BV, Term Loan K2 7.370% 12/31/13 B 2,010,341
4,853 WMG Acquisition Corp., Term Loan 7.370% 2/28/11 BB- 4,884,401
4,025 Yell Group, Term Loan 7.320% 10/26/12 Ba3 4,063,153
--------------------------------------------------------------------------------------------------------------------------------
96,903 Total Media 96,973,446
--------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.9% (0.5% OF TOTAL INVESTMENTS)
2,541 Amsted Industries Incorporated, Delayed Term 0.500% 4/05/11 BB- (38,110)
Loan, (5) (7)
3,509 Amsted Industries Incorporated, Term Loan B 7.361% 4/05/13 BB- 3,522,027
--------------------------------------------------------------------------------------------------------------------------------
6,050 Total Metals & Mining 3,483,917
--------------------------------------------------------------------------------------------------------------------------------
26
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 2.0% (1.3% OF TOTAL INVESTMENTS)
$ 5,737 NRG Energy Inc., Credit-Linked Deposit 7.364% 2/01/13 BB- $ 5,793,461
2,365 NRG Energy Inc., Term Loan 7.364% 2/01/13 BB- 2,388,504
--------------------------------------------------------------------------------------------------------------------------------
8,102 Total Multi-Utilities 8,181,965
--------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 1.0% (0.6% OF TOTAL INVESTMENTS)
301 Coffeyville Resources LLC, Letter of Credit 8.360% 12/28/10 B2 302,602
1,553 Coffeyville Resources LLC, Term Loan 8.360% 12/31/13 B2 1,564,737
2,000 El Paso Corporation, Letter of Credit 7.320% 7/31/11 B+ 2,011,719
--------------------------------------------------------------------------------------------------------------------------------
3,854 Total Oil, Gas & Consumable Fuels 3,879,058
--------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.9% (2.5% OF TOTAL INVESTMENTS)
3,486 Boise Cascade Corporation, Term Loan D 7.108% 3/29/11 BB 3,506,719
7,920 Georgia-Pacific Corporation, Term Loan B 7.355% 12/23/10 BB- 7,999,200
3,117 Georgia-Pacific Corporation, Term Loan B-2 7.114% 12/31/13 BB- 3,138,254
1,000 White Birch Paper Company, Second Lien Term Loan 12.870% 4/08/13 CCC+ 1,015,834
--------------------------------------------------------------------------------------------------------------------------------
15,523 Total Paper & Forest Products 15,660,007
--------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.5% (2.8% OF TOTAL INVESTMENTS)
4,563 Capital Automotive LP., Term Loan 7.080% 12/16/10 BB+ 4,603,123
9,500 LNR Property Corporation, Term Loan B 8.120% 7/12/11 B2 9,566,163
2,000 Promontory Club, Second Lien Term Loan 11.820% 8/31/11 N/R 1,933,333
1,960 Promontory Club, Term Loan B 8.070% 8/31/10 N/R 1,956,779
--------------------------------------------------------------------------------------------------------------------------------
18,023 Total Real Estate Management & Development 18,059,398
--------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 1.0% (0.6% OF TOTAL INVESTMENTS)
444 Hertz Corporation, Synthetic Term Loan 5.365% 12/21/12 BB+ 448,090
3,522 Hertz Corporation, Term Loan B 7.347% 12/21/12 BB 3,551,240
--------------------------------------------------------------------------------------------------------------------------------
3,966 Total Road & Rail 3,999,330
--------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 2.3% (1.4% OF TOTAL INVESTMENTS)
7,092 Advanced Micro Devices, Term Loan B 7.620% 12/31/13 BB- 7,161,662
2,000 Freescale Semiconductor, Term Loan 7.369% 12/01/13 BB 2,015,000
--------------------------------------------------------------------------------------------------------------------------------
9,092 Total Semiconductors & Equipment 9,176,662
--------------------------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.8% (1.7% OF TOTAL INVESTMENTS)
6,983 Dealer Computer Service, Term Loan 7.845% 10/26/12 BB- 7,047,339
4,000 Dealer Computer Service, Term Loan, 2nd Lien 10.845% 10/26/13 B3 4,079,376
--------------------------------------------------------------------------------------------------------------------------------
10,983 Total Software 11,126,715
--------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 6.0% (3.8% OF TOTAL INVESTMENTS)
983 Burlington Coat Factory Warehouse Corporation, 7.620% 5/28/13 B 976,223
Term Loan
4,000 FGX International Inc., Term Loan B 9.361% 12/09/12 B 3,990,000
6,837 Michaels Stores Inc., Term Loan 8.125% 10/31/13 B- 6,900,417
1,995 Sally Beauty, Term Loan 7.870% 11/16/11 B2 2,014,327
7,000 TRU 2005 RE Holding Co. 1, Term Loan 8.326% 12/09/08 N/R 7,071,096
3,000 Toys "R" Us, Inc., Term Loan B 9.625% 7/19/12 Ba3 3,098,532
--------------------------------------------------------------------------------------------------------------------------------
23,815 Total Specialty Retail 24,050,595
--------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 3.7% (2.3% OF TOTAL INVESTMENTS)
1,852 HanesBrands Inc., Term Loan 7.607% 9/15/13 BB- 1,876,800
1,000 HanesBrands Inc., Term Loan, 2nd Lien 9.110% 3/05/14 B- 1,031,094
11,942 Visant Holding Corporation, Term Loan C 7.122% 7/29/10 B+ 12,013,849
--------------------------------------------------------------------------------------------------------------------------------
14,794 Total Textiles, Apparel & Luxury Goods 14,921,743
--------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 7.570% 8/31/11 B3 2,000,000
B
--------------------------------------------------------------------------------------------------------------------------------
$ 544,127 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (COST 543,590,360
$540,738,241)
================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
--------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 18.5% (11.7% OF TOTAL INVESTMENTS)
BUILDING PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
$ 2,000 Stile Acquisition Corporation, Bridge Loan, 144A 11.000% 4/06/15 N/R $ 1,985,000
--------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.3% (2.8% OF TOTAL INVESTMENTS)
1,500 Intelsat Bermuda Limited, Floating Rate Note, 8.900% 1/15/15 B 1,533,750
3.500% plus six-month LIBOR, 144A
5,000 Intelsat Subsidiary Holding Company Limited, 10.275% 1/15/12 B+ 5,050,000
Floating Rate Note, 4.875% plus six-month LIBOR
27
Nuveen Floating Rate Income Opportunity Fund (JRO) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (4) VALUE
-----------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES (continued)
$ 10,000 Qwest Corporation, Floating Rate Note, 3.250% 8.610% 6/15/13 BB $ 10,950,000
plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
16,500 Total Diversified Telecommunication Services 17,533,750
-----------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.8% (1.8% OF TOTAL INVESTMENTS)
11,000 NXP BV, Floating Rate Note, 2.750% plus 8.110% 10/15/13 BB+ 11,261,250
three-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 2.5% (1.6% OF TOTAL INVESTMENTS)
10,000 Stater Brothers Holdings Inc., Floating Rate 8.860% 6/15/10 B+ 10,175,000
Note, 3.500% plus three-month LIBOR
-----------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,500 Encore Medical Finance LLC, 144A 11.750% 11/15/14 CCC+ 1,500,000
-----------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.0% (2.5% OF TOTAL INVESTMENTS)
15,000 Cablevision Systems Corporation, Floating Rate 9.900% 4/01/09 B+ 15,975,000
Note, 4.500% plus six-month LIBOR, Series B
-----------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.5% (0.3% OF TOTAL INVESTMENTS)
2,000 Verso Paper Holdings LLC., 144A 9.125% 8/01/14 B+ 2,110,000
-----------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.8% (0.5% OF TOTAL INVESTMENTS)
3,000 Felcor Lodging Trust Inc., Floating Rate Note, 7.275% 12/01/11 Ba3 3,037,500
1.875% plus six-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 1.3% (0.8% OF TOTAL INVESTMENTS)
5,000 Avago Technologies Finance Pte. Ltd., Floating 10.860% 6/01/13 B 5,243,750
Rate Note, 5.500% plus three-month LIBOR, 144A
-----------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 1.4% (0.9% OF TOTAL INVESTMENTS)
3,000 Neff Rental LLC/Neff Finance Corporation 11.250% 6/15/12 B- 3,330,000
2,000 Penhall International Corporation, 144A 12.000% 8/01/14 B3 2,195,000
-----------------------------------------------------------------------------------------------------------------------------
5,000 Total Trading Companies & Distributors 5,525,000
-----------------------------------------------------------------------------------------------------------------------------
$ 71,000 TOTAL CORPORATE BONDS (COST $71,652,778) 74,346,250
=============================================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES - 0.7% (0.4% OF TOTAL INVESTMENTS)
369,650 ING Prime Rate Trust $ 2,735,410
-----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT COMPANIES (COST $2,516,171) 2,735,410
==============================================================================================================
SHARES DESCRIPTION (1) VALUE
-----------------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.1% (0.0% OF TOTAL INVESTMENTS)
26,182 Reliant Energy Inc. $ 242,184
-----------------------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS (COST $184,678) 242,184
==============================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
-----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.1% (2.6% OF TOTAL INVESTMENTS)
$ 16,647 Repurchase Agreement with Fixed Income Clearing 5.000% 2/01/07 $ 16,646,790
Corporation, dated 1/31/07, repurchase price
$16,649,102, collateralized by $17,420,000,
U.S. Treasury Notes, 3.375%, due 9/15/09, value
$16,984,500
========== --------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $16,646,790) 16,646,790
==============================================================================================================
TOTAL INVESTMENTS (COST $631,738,658) - 158.9% 637,560,994
==============================================================================================================
OTHER ASSETS LESS LIABILITIES - 0.9% 3,713,285
==============================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (59.8)% (240,000,000)
==============================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 401,274,279
==============================================================================================================
28
(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) Portion of position represents an unfunded Senior Loan commitment outstanding at January
31, 2007.
(6) At or subsequent to January 31, 2007, this issue was under the protection of the Federal
Bankruptcy Court.
(7) Negative value represents unrealized depreciation on Senior Loan commitment at January 31,
2007.
N/R Not rated.
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.
29
Statement of
ASSETS AND LIABILITIES January 31, 2007 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
---------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $405,153,004, $1,061,412,066 and
$631,738,658, respectively) $401,080,864 $1,070,290,715 $637,560,994
Receivables:
Interest 3,452,203 8,821,896 5,595,942
Investments sold 1,997,423 1,090,925 1,606,688
Other assets 84,528 38,842 33,738
---------------------------------------------------------------------------------------------------------------
Total assets 406,615,018 1,080,242,378 644,797,362
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft 28,101 -- --
Payables:
Borrowings 103,000,000 -- --
Investments purchased 1,990,000 13,844,483 2,990,000
Accrued expenses:
Management fees 233,355 451,156 287,367
Interest on borrowings 474,431 -- --
Other 164,793 203,686 127,238
Preferred share dividends payable 177,286 176,006 118,478
---------------------------------------------------------------------------------------------------------------
Total liabilities 106,067,966 14,675,331 3,523,083
---------------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000 400,000,000 240,000,000
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $254,547,052 $ 665,567,047 $401,274,279
---------------------------------------------------------------------------------------------------------------
Common shares outstanding 29,813,616 47,286,920 28,397,051
---------------------------------------------------------------------------------------------------------------
Net asset value per Common share outstanding (net assets
applicable to
Common shares, divided by Common shares outstanding) $ 8.54 $ 14.08 $ 14.13
---------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
---------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,136 $ 472,869 $ 283,971
Paid-in surplus 282,998,092 667,328,897 400,573,708
Undistributed (Over-distribution of) net investment income 5,650,038 (4,417,516) (2,357,587)
Accumulated net realized gain (loss) from investments and
SAMI transactions (30,327,074) (6,695,852) (3,048,149)
Net unrealized appreciation (depreciation) of investments (4,072,140) 8,878,649 5,822,336
---------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $254,547,052 $ 665,567,047 $401,274,279
---------------------------------------------------------------------------------------------------------------
Authorized shares:
Common Unlimited Unlimited Unlimited
Preferred Unlimited Unlimited Unlimited
---------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
30
Statement of
OPERATIONS Six Months Ended January 31, 2007 (Unaudited)
FLOATING RATE
SENIOR FLOATING RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
-------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends and Interest $19,463,331 $ 36,457,951 $22,278,773
Fees 487,032 364,612 421,299
-------------------------------------------------------------------------------------------------------------
Total investment income 19,950,363 36,822,563 22,700,072
-------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 1,680,635 4,385,927 2,667,705
Preferred shares - auction fees 57,973 504,110 302,467
Preferred shares - dividend disbursing agent fees 3,025 11,139 10,171
Shareholders' servicing agent fees and expenses 2,098 94 173
Interest expense and program usage fees 2,821,192 -- --
Commitment fees 164,646 -- --
Custodian's fees and expenses 80,981 178,781 113,893
Trustees' fees and expenses 5,255 15,265 8,910
Professional fees 28,033 41,154 28,298
Shareholders' reports - printing and mailing expenses 34,083 62,449 34,938
Stock exchange listing fees 5,520 8,807 5,231
Investor relations expense 23,794 70,686 42,384
Other expenses 7,217 8,088 31,568
-------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit, expense
reimbursement and legal fee refund 4,914,452 5,286,500 3,245,738
Custodian fee credit (195) (406) (1,195)
Expense reimbursement (402,103) (1,710,004) (964,248)
Legal fee refund (10,872) -- --
-------------------------------------------------------------------------------------------------------------
Net expenses 4,501,282 3,576,090 2,280,295
-------------------------------------------------------------------------------------------------------------
Net investment income 15,449,081 33,246,473 20,419,777
-------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (4,169,149) 1,830,437 3,135,429
Change in net unrealized appreciation (depreciation) of
investments 6,274,449 10,138,634 4,484,718
-------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 2,105,300 11,969,071 7,620,147
-------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,173,931) (10,164,286) (6,106,501)
-------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common
shares from operations $16,380,450 $ 35,051,258 $21,933,423
-------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
31
Statement of
CHANGES IN NET ASSETS (Unaudited)
FLOATING RATE FLOATING RATE
SENIOR INCOME (NSL) INCOME (JFR) INCOME OPPORTUNITY (JRO)
--------------------------- --------------------------- ----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
1/31/07 7/31/06 1/31/07 7/31/06 1/31/07 7/31/06
---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 15,449,081 $ 20,514,989 $ 33,246,473 $ 61,979,154 $ 20,419,777 $ 39,228,036
Net realized gain (loss) from
investments (4,169,149) (586,687) 1,830,437 (613,927) 3,135,429 (899,739)
Net realized gain (loss) from SAMIs -- -- -- 63,959 -- --
Change in net unrealized appreciation
(depreciation) of investments 6,274,449 (3,741,140) 10,138,634 (7,633,568) 4,484,718 (2,806,257)
Change in net unrealized appreciation
(depreciation) of SAMIs -- -- -- (46,786) -- --
Distributions to Preferred Shareholders
from net investment income (1,173,931) (1,963,968) (10,164,286) (16,418,103) (6,106,501) (9,837,234)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares from
operations 16,380,450 14,223,194 35,051,258 37,330,729 21,933,423 25,684,806
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (10,135,588) (18,614,747) (27,000,832) (47,003,199) (16,853,650) (29,277,360)
---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to
Common shares from distributions to
Common shareholders (10,135,588) (18,614,747) (27,000,832) (47,003,199) (16,853,650) (29,277,360)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common shares:
Offering costs adjustments -- -- -- (2,399) -- (2,491)
Net proceeds from shares issued to
shareholders due to reinvestment of
distributions 31,254 64,606 -- -- -- --
Preferred shares offering costs
adjustments -- -- -- (2,399) -- (2,491)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares from
capital share transactions 31,254 64,606 -- (4,798) -- (4,982)
---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares 6,276,116 (4,326,947) 8,050,426 (9,677,268) 5,079,773 (3,597,536)
Net assets applicable to Common shares
at the beginning of period 248,270,936 252,597,883 657,516,621 667,193,889 396,194,506 399,792,042
---------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares
at the end of period $254,547,052 $248,270,936 $665,567,047 $657,516,621 $401,274,279 $396,194,506
---------------------------------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of)
net investment income at the end of
period $ 5,650,038 $ 1,510,476 $ (4,417,516) $ (498,871) $ (2,357,587) $ 182,787
---------------------------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
32
Statement of
CASH FLOWS Six Months Ended January 31, 2007 (Unaudited)
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 $ 16,380,450 $ 35,051,258 $ 21,933,423
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 (121,979,023) (331,235,529) (185,794,785)
Proceeds from sales of investments 116,133,642 326,674,662 184,204,385
Proceeds from (Purchases of) short-term investments, net 10,603,061 4,412,256 2,503,315
Amortization/(Accretion) of premiums and discounts, net 113,513 453,701 247,675
(Increase) Decrease in receivable for interest (130,885) 417,267 (161,552)
(Increase) Decrease in receivable for investments sold 3,923,723 3,888,884 9,694,212
(Increase) Decrease in other assets (622) 7,480 (14,717)
Increase (Decrease) in payable for investments purchased (9,552,977) (4,865,504) (11,432,749)
Increase (Decrease) in interest on borrowings 6,405 -- --
Increase (Decrease) in accrued management fees 34,981 (1,101) (323)
Increase (Decrease) in accrued other liabilities (13,863) (76,860) (31,167)
Increase (Decrease) in Preferred share dividends payable 104,560 (73,354) (4,507)
Net realized (gain) loss from investments 4,169,149 (1,830,437) (3,135,429)
Net realized (gain) loss from paydowns (3,441,432) 4,316,743 3,330,587
Change in net unrealized (appreciation) depreciation of
investments (6,274,449) (10,138,634) (4,484,718)
-----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 10,076,233 27,000,832 16,853,650
-----------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (10,104,334) (27,000,832) (16,853,650)
-----------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (10,104,334) (27,000,832) (16,853,650)
-----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH (28,101) -- --
Cash at the beginning of period -- -- --
-----------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ (28,101) $ -- $ --
-----------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid by Senior Income (NSL) for interest on bank borrowings during the six
months ended January 31, 2007, was $2,814,787.
Non-cash financing activities not included herein consist of reinvestments of
Common share distributions of $31,254 for Senior Income (NSL).
See accompanying notes to financial statements.
33
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The funds (the "Funds") covered in this report and their corresponding Common
share New York Stock Exchange symbols are Nuveen Senior Income Fund (NSL),
Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income
Opportunity Fund (JRO). The Funds are registered under the Investment Company
Act of 1940, as amended, as closed-end management investment companies.
Each Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of senior loans, bonds and other securities in the Funds' investment
portfolios, other than subordinated loans issued by middle market companies, are
generally provided by one or more independent pricing services 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 Asset
Management, LLC ("Symphony"), an indirect wholly owned subsidiary of Nuveen, 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. The pricing services typically value exchange-listed
securities at the last sales price on that day; and value senior loans, bonds
and other securities traded in the over-the-counter market at the mean of the
highest bona fide bid and lowest bona fide asked prices when current quotations
are readily available. The pricing services or, in the absence of a pricing
service for a particular investment, the Board of Trustees of the Funds, or its
designee, may establish fair market value using a wide variety of market data
including 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 by the pricing service or the Board of
Trustees' designee. Short-term investments are valued at amortized cost, which
approximates market value.
The senior and subordinated loans in which the Funds invest are not listed on an
organized exchange and the secondary market for such investments may be less
liquid relative to markets for other fixed income securities. Consequently, the
value of senior and subordinated loans, determined as described above, may
differ significantly from the value that would have been determined had there
been an active market for that loan.
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 maintain liquid assets with a current value at least
equal to the amount of the when-issued/delayed delivery purchase commitments. At
January 31, 2007, Senior Income (NSL), Floating Rate Income (JFR) and Floating
Rate Income Opportunity (JRO) had outstanding when-issued/delayed delivery
purchase commitments of $1,990,000, $13,844,483 and $2,990,000, 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 on senior and subordinated loans. Fee income,
if any, consists primarily of amendment fees. Amendment fees are earned as
compensation for evaluating and accepting changes to the original loan agreement
and are recognized when received.
34
Professional Fees
Professional fees presented in the Statement of Operations consist of legal fees
incurred in the normal course of operations, audit fees, tax consulting fees
and, in some cases, workout expenditures. Workout expenditures are incurred in
an attempt to protect or enhance an investment, or to pursue other claims or
legal actions on behalf of Fund shareholders. Legal fee refund presented in the
Statement of Operations for Senior Income (NSL) reflects a refund of workout
expenditures paid in a prior reporting period.
Federal Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund
intends to distribute substantially all 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.
Dividends and Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Each Fund declares monthly income distributions to Common shareholders. Net
realized capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
Preferred Shares
Senior Income (NSL) has issued and outstanding 1,840 shares of Series TH,
Taxable Auctioned Preferred shares, $25,000 stated value per share, as a means
of effecting financial leverage. The dividend rate paid by the Fund is
determined every 28 days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period. Senior Income
(NSL) has also effected financial leverage by borrowing, as described in
footnote 8.
Floating Rate Income (JFR) has issued and outstanding 4,000 shares of each
Series M, T, W and F, FundPreferred shares, $25,000 stated value per share, as a
means of effecting financial leverage. The dividend rate paid by the Fund is
determined every seven days, pursuant to a dutch auction process overseen by the
auction agent, and is payable at the end of each rate period.
Floating Rate Income Opportunity (JRO) issued 3,200 shares of each Series M, TH
and F, FundPreferred shares, $25,000 stated value per share, as a means of
effecting financial leverage. The dividend rate paid by the Fund is determined
every seven days, pursuant to a dutch auction process overseen by the auction
agent, and is payable at the end of each rate period.
Select Aggregate Market Index
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) may invest
in Select Aggregate Market Indexes ("SAMI") to synthetically increase their
exposure to the senior secured loan market during a period when the Funds
otherwise would have excess uninvested cash. The SAMI is designed to replicate
the performance and risk of the CSFB Leveraged Loan Index. An investment in a
SAMI, when combined with high-grade short-term investments such as repurchase
agreements related to U.S. government securities in an amount equal to the
notional amount of the SAMI, is designed to provide an aggregate return
equivalent to an investment in a basket of senior secured bank loan debt
("Reference Obligations"), less certain costs.
Upon entering into a SAMI, the Funds may pay the counterparty a premium based on
the notional amount. The premium, if any, will be amortized over the life of the
SAMI and recorded in "Other assets" in the Statement of Assets and Liabilities.
The Funds will receive from the counterparty a fixed-rate interest payment based
on the notional amount of the contract. In exchange for the interest payment,
the Funds protect the counterparty from the risk of loss at the time of a credit
event, such as a bankruptcy or default, affecting any of the Reference
Obligations. Interest is recorded on an accrual basis and included in the
Statement of Operations. The Funds are required to provide collateral to the
counterparty based on a percentage of the notional amount of the SAMI and has
instructed the custodian to segregate liquid assets with a current value at
least equal to the remaining notional amount of the SAMI. The SAMI is valued
daily and any change in value is recorded in "Change in net unrealized
appreciation (depreciation) of SAMI." Upon termination of a SAMI, net realized
gain (loss) is recorded in "Net realized gain (loss) from SAMI." Although there
are economic advantages of entering into SAMI transactions, there are also
additional risks, including but not limited to senior loan credit risk and the
inability of the counterparty to meet its interest payment obligations. The
Funds did not hold any SAMI positions as of January 31, 2007.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds'
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 credits earned on the Funds' cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
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.
35
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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. FUND SHARES
Transactions in Common shares were as follows:
FLOATING RATE INCOME
SENIOR INCOME (NSL) FLOATING RATE INCOME (JFR) OPPORTUNITY (JRO)
---------------------------- ---------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
1/31/07 7/31/06 1/31/07 7/31/06 1/31/07 7/31/06
--------------------------------------------------------------------------------------------------------------------
Common shares:
Shares sold -- -- -- -- -- --
Shares issued to
shareholders due
to reinvestment
of
distributions 3,699 7,631 -- -- -- --
--------------------------------------------------------------------------------------------------------------------
3,699 7,631 -- -- -- --
--------------------------------------------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding short-term investments) during the six months
ended January 31, 2007, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
----------------------------------------------------------------------------------------------------------------
Purchases $121,979,023 $331,235,529 $185,794,785
Sales and maturities 116,133,642 326,674,662 184,204,385
----------------------------------------------------------------------------------------------------------------
4. 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 on the Statement of Assets and Liabilities presented in the annual
report, based on their federal tax basis treatment; temporary differences do not
require reclassification. Temporary and permanent differences do not impact the
net asset values of the Funds.
At January 31, 2007, the cost of investments was as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Cost of investments $405,153,004 $1,062,982,860 $632,346,447
--------------------------------------------------------------------------------------------------------------------
36
Gross unrealized appreciation and gross unrealized depreciation of investments
at January 31, 2007, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $5,498,830 $9,867,505 $6,266,875
Depreciation (9,570,970) (2,559,650) (1,052,328)
--------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments $(4,072,140) $7,307,855 $5,214,547
--------------------------------------------------------------------------------------------------------------------
The tax components of undistributed net ordinary income and net long-term
capital gains at July 31, 2006, the Funds' last tax year end, were as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $3,178,033 $7,665,614 $4,596,621
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
3, 2006, paid on August 1, 2006.
The tax character of distributions paid during the Funds' last tax year ended
July 31, 2006, was designated for purposes of the dividends paid deduction as
follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Distributions from net ordinary income * $20,471,502 $62,698,822 $38,562,840
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, 2006, the Funds' last tax year end, the Funds had unused capital
loss carryforwards available for federal income tax purposes to be applied
against future capital gains, if any. If not applied, the carryforwards will
expire as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Expiration year:
2010 $14,867,781 $ -- $ --
2011 10,704,255 -- --
2012 -- -- --
2013 -- 819,145 30,377
2014 -- 2,934,270 2,151,577
--------------------------------------------------------------------------------------------------------------------
Total $25,572,036 $3,753,415 $2,181,954
--------------------------------------------------------------------------------------------------------------------
The Funds elected to defer net realized losses from investments incurred from
November 1, 2005 through July 31, 2006 ("post-October losses") in accordance
with federal income tax regulations. Post-October losses were treated as having
arisen on the first day of the current fiscal year.
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
$585,890 $4,668,296 $3,999,658
--------------------------------------------------------------------------------------------------------------------
37
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only on
the amount of assets within each individual fund. This pricing structure enables
Nuveen fund shareholders to benefit from growth in the assets within each
individual fund as well as from growth in the amount of complex-wide assets
managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily Managed Assets of each Fund as follows:
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
--------------------------------------------------------------------------------------------------------------
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, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of January 31, 2007, the complex-level fee was .1844%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
--------------------------------------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
--------------------------------------------------------------------------------------------------------------
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
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 portfolio of the Funds. Symphony is compensated for its services to
the Funds from the management fee paid to the Adviser.
38
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.
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 .07
2008 .30
---------------------------------------------------------------------------------------
* From the commencement of operations.
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO)
for any portion of its fees and expenses beyond July 31, 2012.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Funds may have unfunded senior loan commit-ments. Each Fund will maintain
with the custodian, cash, liquid securities and/or liquid senior loans having an
aggregate value at least equal to the amount of unfunded senior loan
commitments. At January 31, 2007, Senior Income (NSL), Floating Rate Income
(JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan
commitments of $2,864,912, $7,119,502 and $3,549,322, respectively.
39
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
7. SENIOR LOAN 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.
Senior Income (NSL) had the following participation commitments outstanding at
January 31, 2007:
COMMITMENT
COUNTERPARTY AMOUNT VALUE
-------------------------------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $2,000,000 $1,946,786
Morgan Stanley 1,640,000 1,596,365
-------------------------------------------------------------------------------------------------------
Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had no
such participation commitments outstanding at January 31, 2007.
8. BORROWINGS
In accordance with Senior Income's (NSL) current investment policies, the Fund
may utilize financial leverage for investment purposes in an amount currently
anticipated to represent approximately 40% of the Fund's total assets, and in no
event exceeding 50% of the Fund's total assets.
Senior Income (NSL) has entered into a commercial paper program ($110 million
maximum) with Bank One's conduit financing agency, Falcon Asset Securitization
Corp. ("Falcon"), whose sole purpose is the issuance of high grade commercial
paper. Falcon uses the proceeds to makes advances to Senior Income (NSL) and to
many other borrowers who comprise Falcon's total borrowing base. For the six
months ended January 31, 2007, the average daily balance of borrowings under the
commercial paper program agreement was $103 million. The average annualized
interest rate for funding and program usage fees on such borrowings was 5.43%.
Senior Income (NSL) has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the six months ended January 31, 2007.
40
9. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. Recent SEC guidance allows funds
to delay implementing FIN 48 into NAV calculations until the fund's last NAV
calculation in the first required financial statement reporting period. As a
result, the Funds must begin to incorporate FIN 48 into their NAV calculations
by July 31, 2007. At this time, management is continuing to evaluate the
implications of FIN 48 and does not expect the adoption of FIN 48 will have a
significant impact on the net assets or results of operations of the Funds.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
The changes to current generally accepted accounting principles from the
application of this standard relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. As of January 31, 2007, the Funds do not believe the adoption of
SFAS No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
10. SUBSEQUENT EVENT
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their net investment
income which was paid on March 1, 2007, to shareholders of record on February
15, 2007, as follows:
FLOATING
FLOATING RATE
SENIOR RATE INCOME
INCOME INCOME OPPORTUNITY
(NSL) (JFR) (JRO)
--------------------------------------------------------------------------------------------------------------------
Dividend per share $.0585 $.0980 $.1015
--------------------------------------------------------------------------------------------------------------------
41
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations
----------------------------------------------------------------
Distributions
from Net Distributions
Beginning Investment from Capital
Common Net Income to Gains to
Share Net Realized/ Preferred Preferred
Net Asset Investment Unrealized Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total
----------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
----------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) $ 8.33 $ .52 $ .07 $ (.04) $ -- $ .55
2006 8.48 .69 (.15) (.07) -- .47
2005 8.44 .66 -- (.04) -- .62
2004 7.84 .64 .50 (.02) -- 1.12
2003 7.38 .60 .41 (.02) -- .99
2002 8.13 .68 (.71) (.04) -- (.07)
FLOATING RATE INCOME (JFR)
----------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) 13.90 .70 .26 (.21) -- .75
2006 14.11 1.31 (.18) (.35) -- .78
2005 14.07 1.00 .10 (.20) -- .90
2004(b) 14.33 .14 .04 (.02) -- .16
FLOATING RATE INCOME OPPORTUNITY (JRO)
----------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) 13.95 .72 .27 (.22) -- .77
2006 14.08 1.38 (.13) (.35) -- .90
2005 14.30 .80 .19 (.19) -- .80
2004(c) 14.33 -- -- -- -- --
----------------------------------------------------------------------------------------------------
Less Distributions
------------------------------
Net Offering
Investment Capital Costs and Ending
Income to Gains to Preferred Common
Common Common Share Share Ending
Share- Share- Underwriting Net Asset Market
holders holders Total Discounts Value Value
--------------------- -------------------------------------------------------------------
SENIOR INCOME (NSL)
------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) $ (.34) $ -- $ (.34) $ -- $ 8.54 $ 8.72
2006 (.62) -- (.62) -- 8.33 8.15
2005 (.58) -- (.58) -- 8.48 8.97
2004 (.52) -- (.52) -- 8.44 9.91
2003 (.53) -- (.53) -- 7.84 8.43
2002 (.68) -- (.68) -- 7.38 7.20
FLOATING RATE INCOME
------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) (.57) -- (.57) -- 14.08 14.01
2006 (.99) -- (.99) -- 13.90 13.15
2005 (.86) -- (.86) -- 14.11 13.69
2004(b) (.21) -- (.21) (.21) 14.07 14.85
FLOATING RATE INCOME
------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(e) (.59) -- (.59) -- 14.13 14.09
2006 (1.03) -- (1.03) -- 13.95 13.30
2005 (.84) -- (.84) (.18) 14.08 13.41
2004(c) -- -- -- (.03) 14.30 15.01
------------------------------------------------------------------------------------------
Preferred Stock at End of Period Borrowings at End of Period
------------------------------------------------------- ----------------------------------
Aggregate Aggregate
Amount Liquidation Asset Amount Asset
Outstanding and Market Coverage Outstanding Coverage
(000) Value Per Share Per Share (000) Per $1,000
--------------------------------------------------------------------------------------------------------------
SENIOR INCOME (NSL)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2007(e) $ 46,000 $ 25,000 $ 163,341 $ 103,000 $ 3,918
2006 46,000 25,000 159,930 103,000 3,857
2005 46,000 25,000 162,281 103,000 3,899
2004 46,000 25,000 161,564 103,000 3,886
2003(d) 46,000 25,000 151,750 103,000 3,711
2002(d) 46,000 25,000 144,271 103,000 3,577
FLOATING RATE INCOME (JFR)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2007(e) 400,000 25,000 66,598 -- --
2006 400,000 25,000 66,095 -- --
2005 400,000 25,000 66,700 -- --
2004(b) 400,000 25,000 66,476 -- --
FLOATING RATE INCOME OPPORTUNITY (JRO)
--------------------------------------------------------------------------------------------------------------
Year Ended
7/31:
2007(e) 240,000 25,000 66,799 -- --
2006 240,000 25,000 66,270 -- --
2005 240,000 25,000 66,645 -- --
2004(c) -- -- -- -- --
--------------------------------------------------------------------------------------------------------------
42
Ratios/Supplemental Data
----------------------------------------------------------------------------------------
Ratios to Average Net Ratios to Average Net
Assets Applicable to Assets Applicable to
Common Shares Before Common Shares After
Total Returns Credit/Reimbursement/Refund Credit/Reimbursement/Refund***
----------------- --------------------------- -------------------------------
Based
on
Common Ending Net
Based Share Assets
on Net Applicable Net Net Portfolio
Market Asset to Common Investment Investment Turnover
Value** Value** Shares (000) Expenses++ Income++ Expenses++ Income++ Rate
-----------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------
11.41% 6.73% $ 254,547 3.90%* 11.92%* 3.57%* 12.25%* 30%
(1.87) 5.78 248,271 3.52 7.74 3.08 8.18 55
(3.40) 7.53 252,598 2.70 7.21 2.10 7.80 100
24.50 14.61 251,278 2.23 7.10 1.50 7.83 91
25.93 14.25 233,220 2.66 7.57 1.90 8.33 80
(21.16) (.65) 219,459 3.12 8.20 2.37 8.95 64
-----------------------------------------------------------------------------------------------------------------
11.14 5.50 665,567 1.59* 9.48* 1.07* 9.99* 32
3.70 5.72 657,517 1.61 8.83 1.10 9.34 50
(1.99) 6.56 667,194 1.60 6.56 1.09 7.07 74
.40 (.39) 663,609 1.37* 2.46* .93* 2.90* 14
-----------------------------------------------------------------------------------------------------------------
10.61 5.65 401,274 1.62* 9.70* 1.14* 10.19* 30
7.32 6.60 396,195 1.63 9.36 1.15 9.84 50
(5.13) 4.47 399,792 1.53 5.25 1.08 5.70 58
.07 (.21) 383,212 1.28* (.01)* .98* .29* --
-----------------------------------------------------------------------------------------------------------------
---
---
---
---
---
* Annualized.
** Total Return 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. Total
Return 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. Total returns are not
annualized.
*** After custodian fee credit, expense reimbursement
and legal fee refund from the Adviser, where
applicable.
+ The amounts shown are based on Common share
equivalents.
++ - Ratios do not reflect the effect of dividend
payments to Preferred shareholders.
- Income ratios reflect income earned on assets
attributable to Preferred shares and bank
borrowings, where applicable.
- With respect to Senior Income (NSL), each ratio
includes the effect of the interest expense paid
on bank borrowings as follows:
Ratio of Interest
Expense to Average
Net Assets Applicable to
Common Shares
---------------------------------
2007(e) 2.24%
2006 1.85
2005 1.00
2004 .48
2003 .74
2002 1.09
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the period March 25, 2004 (commencement of operations) through July
31, 2004.
(c) For the period July 27, 2004 (commencement of operations) through July 31,
2004.
(d) Unaudited.
(e) For the six months ended January 31, 2007.
See accompanying notes to financial statements.
43
Notes
44
Notes
45
Reinvest Automatically
EASILY AND CONVENIENTLY
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 compounding.
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
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO
SET UP YOUR REINVESTMENT ACCOUNT.
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. 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.
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
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.
46
OTHER USEFUL
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
The Funds' (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
most recent 12-month period ended June 30, 2006, and (iii) a description of the
policies and procedures that the Fund used to determine how to vote proxies
relating to portfolio securities are available 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 1-202-942-8090
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 450 Fifth Street NW, Washington, D.C. 20549.
GLOSSARY OF TERMS USED IN THIS REPORT
AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
MARKET 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 Funds'
cumulative net ordinary income and net realized gains are less than the amount
of the Fund's distributions, a tax return of capital.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carole E. Stone
Eugene S. Sunshine
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
The Funds intend to repurchase shares of their common and preferred stock in the
future at such time and in such amounts as is deemed desirable. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
47
(BACK COVER PHOTO)
NUVEEN INVESTMENTS:
SERVING INVESTORS
FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past
century, Nuveen Investments has adhered to the belief that the best
approach to investing is to apply conservative risk-management principles
to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that are integral to a well-diversified core
portfolio. Our clients have come to appreciate this diversity, as well as
our continued adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT
NEEDS.
Managing approximately $162 billion in assets, as of December 31, 2006,
Nuveen Investments offers access to a number of different asset classes
and investing solutions through a variety of products. Nuveen Investments
markets its capabilities under six distinct brands: NWQ, specializing in
value-style equities; Nuveen, managing fixed-income investments; Santa
Barbara, committed to growth equities; Tradewinds, specializing in global
value equities; Rittenhouse, focused on "blue-chip" growth equities; and
Symphony, with expertise in alternative investments as well as equity and
income portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers,
talk to your financial advisor, or call us at (800) 257-8787. Please read
the information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should
consider the investment objective and policies, risk considerations,
charges and expenses of the Fund carefully before investing. The
prospectus contains this and other information relevant to an investment
in the Fund. For 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
- Share prices
- Fund details
- Daily financial news
- Investor education
- Interactive planning tools
ESA-C-0107D
NUVEEN LOGO
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board after the registrant last provided
disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded
that the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as
amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of
a date within 90 days of the filing date of this report that
includes the disclosure required by this paragraph, based on their
evaluation of the controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (the
"Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Floating Rate Income Opportunity Fund
By (Signature and Title)* /s/ Jessica R. Droeger
---------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: April 9, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
---------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: April 9, 2007
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: April 9, 2007
* Print the name and title of each signing officer under his or her signature.