UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number

811-09571

 

Nuveen Senior Income Fund

(Exact name of registrant as specified in charter)

 

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

(Address of principal executive offices) (Zip code)

 

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(312) 917-7700

 

 

Date of fiscal year end:

July 31

 

 

Date of reporting period:

July 31, 2013

 

 

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.

 



Closed-End Funds

Nuveen Investments

Closed-End Funds

Seeks high current income from portfolios of senior corporate loans.

Annual Report

July 31, 2013

Nuveen Senior
Income Fund

NSL

Nuveen Floating
Rate Income Fund

JFR

Nuveen Floating
Rate Income
Opportunity Fund

JRO

Nuveen Short
Duration Credit
Opportunities Fund

JSD



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Table of Contents

Chairman's Letter to Shareholders

   

4

   

Portfolio Managers' Comments

   

5

   

Fund Leverage

   

8

   

Common Share Information

   

9

   

Risk Consideration

   

11

   

Performance Overviews and Holding Summaries

   

14

   

Report of Independent Registered Public Accounting Firm

   

22

   

Portfolios of Investments

   

23

   

Statement of Assets and Liabilities

   

60

   

Statement of Operations

   

61

   

Statement of Changes in Net Assets

   

62

   

Statement of Cash Flows

   

64

   

Financial Highlights

   

66

   

Notes to Financial Statements

   

70

   

Annual Investment Management Agreement Approval Process

   

84

   

Board Members & Officers

   

92

   

Reinvest Automatically, Easily and Conveniently

   

98

   

Glossary of Terms Used in this Report

   

99

   

Additional Fund Information

   

103

   



Chairman's
Letter to Shareholders

Dear Shareholders,

I am pleased to have this opportunity to introduce myself to you as the new independent chairman of the Nuveen Fund Board, effective July 1, 2013. I am honored to have been selected as chairman, with its primary responsibility to serve the interests of the Nuveen fund shareholders. My predecessor, Robert Bremner, was the first independent director to serve as chairman of the Board and I, and my fellow Board members, plan to continue his legacy of strong independent oversight of your funds.

The global economy has hit major turning points over the last several months to a year. The developed world is gradually recovering from their financial crisis while the emerging markets appear to be struggling with the downshift of China's growth potential. Japan is entering a new era of growth after decades of economic stagnation and many of the Eurozone nations appear to be exiting their recession. Despite the positive events, there are still potential risks. Middle East tensions, rising oil prices, defaults in Europe and fallout from the financial stress in emerging markets could all reverse the recent progress in the global economy.

On the domestic front, the U.S. economy is experiencing sustainable slow growth. Corporate fundamentals are strong as earnings per share and corporate cash are at the highest level in two decades. Unemployment is trending down and the housing market has experienced a rebound, each assisting the positive economic scenario. However, there are some issues to be watched. Interest rates are expected to increase but significant uncertainty about the timing remains. Another potential fiscal cliff in October along with a possible conflict in the Middle East both add to the uncertainties that could cause problems for the economy going forward.

In the near term, governments are focused on economic recovery and the growth of their economies, which could lead to an environment of attractive investment opportunities. Over the long term, the uncertainties mentioned earlier could hinder the potential growth. Because of this, Nuveen's investment management teams work hard to balance return and risk with a range of investment strategies. I encourage you to read the following commentary on the management of your fund.

On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

William J. Schneider
Chairman of the Nuveen Fund Board
September 23, 2013

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Portfolio Managers' Comments

Nuveen Senior Income Fund (NSL)
Nuveen Floating Rate Income Fund (JFR)
Nuveen Floating Rate Income Opportunity Fund (JRO)
Nuveen Short Duration Credit Opportunities Fund (JSD)

The Funds' investment portfolios are managed by Symphony Asset Management, LLC (Symphony), an affiliate of Nuveen Investments. Gunther Stein and Scott Caraher manage NSL, JFR and JRO. JSD is managed by Gunther, Scott and Jenny Rhee. Here they discuss the economic and market conditions, key investment strategies and performance of the Funds for the twelve-month reporting period ended July 31, 2013.

What were the general market conditions and trends during this twelve-month reporting period ended July 31, 2013?

During this reporting period, the U.S. economy's progress toward recovery from recession continued at a moderate pace. The Federal Reserve (Fed) maintained its efforts to improve the overall economic environment by holding the benchmark fed funds rate at the record low level of zero to 0.25% that it established in December 2008. The Fed also continued its monthly purchases of $40 billion of mortgage-backed securities and $45 billion of longer-term Treasury securities in an open-ended effort to bolster growth. At its September 2013 meeting (subsequent to the end of this reporting period), the Fed indicated that downside risks to the economy had diminished since the fall of 2012, but that recent tightening of financial conditions, if sustained, could potentially slow the pace of improvement in the economy and labor market. Consequently, the Fed made no changes to its highly accommodative monetary policies at the September meeting, announcing its decision to wait for additional evidence of sustained economic progress before adjusting the pace of its bond buying program.

As measured by gross domestic product (GDP), the U.S. economy grew at an estimated annualized rate of 1.7% in the second quarter of 2013, compared with 1.1% for the first quarter, continuing the pattern of positive economic growth for the 16th consecutive quarter. The Consumer Price Index (CPI) rose 2.0% year-over-year as of July 2013, while the core CPI (which excludes food and energy) increased 1.7% during the period, staying within the Fed's unofficial objective of 2.0% or lower for this inflation measure. Meanwhile, labor market conditions continued slowly to show signs of improvement, although unemployment remained above the Central Bank's 6.5% target. As of July 2013, the national unemployment rate was 7.4%. The housing market, long a major weak spot in the U.S. economic recovery, also delivered some good news as the average home price in the S&P/Case-Shiller Index of 20 major metropolitan areas rose 12.1% for the twelve months ended June 2013 (most recent data available at the time this report was prepared). The outlook for the U.S. economy, however, continued to be clouded by uncertainty about global financial markets and the

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

Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor's, Moody's Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

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5



outcome of the "fiscal cliff" negotiations. The tax consequences of the fiscal cliff situation, scheduled to become effective in January 2013, were averted through a last minute deal that raised payroll taxes, but left in place a number of tax breaks. Lawmakers postponed and then failed to reach a resolution on $1.2 trillion in spending cuts intended to address the federal budget deficit. As a result, automatic spending cuts (or sequestration) affecting both defense and non-defense programs (excluding Social Security and Medicaid) took effect March 1, 2013, with potential implications for U.S. economic growth over the next decade. In late March 2013, Congress passed legislation that established federal funding levels for the remainder of fiscal 2013, which ends on September 30, 2013, preventing a federal government shutdown. The proposed federal budget for fiscal 2014 remains under debate.

For the majority of the reporting period, generally improving economic data and diminished systemic risk fears were supportive of risk assets in general and fixed income spread sectors specifically. The pressure to find yield continued to provide strong technical underpinnings to the market as investor flows indicated robust demand for fixed income securities during most of the reporting period. The tide quickly turned in the final month of the reporting period, however, triggered by the Fed Chairman's comments that the economic outlook had improved enough to warrant a possible "tapering" of the Central Bank's quantitative easing programs as soon as September of this year, earlier than the market anticipated. In response, Treasury yields rose sharply, while global risk assets, including equities, spread products and growth-sensitive currencies, sold off significantly. The combination of rising yields and a sell-off in risk assets in June was somewhat unusual; the two have generally been negatively correlated over the past several years. The common thread in the markets appeared to be a general "de-risking" by investors based on concerns about the Central Bank's withdrawal of policy stimulus.

While the Fed Chairman's remarks and the subsequent magnitude and speed of the rise in Treasury yields surprised many investors, we believe the overall positioning by the Fed is a positive. As investors adjust their expectations and shift their portfolios to more appropriately position for increasing interest rates, we anticipate loans will hold up on a technical basis and continue to outperform other fixed income instruments on a relative basis.

What strategies were used to manage the Funds during the twelve-month reporting period ended July 31, 2013? How did these strategies influence performance?

NSL, JFR and JRO have similar investment objectives and strategies. Each Fund is designed to seek a high level of current income by primarily investing in a portfolio of adjustable rate, senior secured corporate loans. The Funds also may invest in unsecured senior loans, other debt securities, equity securities and warrants acquired in connection with an investment in senior loans. A significant portion of each Fund's assets may be invested in instruments that, at the time of investment, are rated below investment grade or are unrated but judged by Symphony to be of comparable quality. JSD seeks to provide current income and the potential for capital appreciation. The Fund invests primarily in a blended portfolio of below investment grade adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may also make limited tactical investments in other types of debt instruments and may enter into tactical short positions consisting of primarily high yield debt. During the reporting period, the maximum CCC+ and lower rated policy for all four Funds was changed. NSL (originally 10%), JFR (originally 10%), JRO (originally 15%) and JSD (originally 20%) may now invest up to 30% of their managed assets in CCC+ and lower rated credits. The purpose of the change was to increase each Fund's flexibility and the team's ability to take advantage of market opportunities.

How did the Funds perform during this twelve-month reporting period ended July 31, 2013?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the one-year, five-year, ten-year and/or since inception periods ended July 31, 2013. For the twelve-month reporting period ended July 31, 2013, the Funds' common share at net asset value (NAV) outperformed both the

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6



Barclays U.S. Aggregate Bond Index and the CSFB Leveraged Loan Index. Loans in general performed well during the reporting period, as the asset class was supported by demand for floating rate products from institutional investors and collateralized loan obligation new issuance.

The Fund's maintained exposure primarily to senior loans during the reporting period which benefitted performance. Exposure consisted of mainly U.S. issuers and was focused on companies that, in general, had high levels of tangible assets, predictable revenue streams, significant market share within their respective industries and positive free cashflow. The term loans and high yield bonds of Clear Channel Communications Inc., a diversified media and entertainment company, continued to be strong performers for the Funds. The loans and bonds traded higher as the company launched an exchange in May 2013 to push out approximately half of their 2016 maturities, offering significantly higher yield in exchange for a longer maturity. The term loans and high yield bonds of Avaya, Inc., an enterprise communications company, were also contributors to the Funds' positive performance as the company reached an agreement with investors to amend and extend its term B-1 loans. We sold our positions in Avaya during the reporting period. On the downside, the Funds were negatively affected by positions in LifeCare Holdings, Inc. because the loans traded down during the reporting period. Also detracting from performance were the loans of Cengage Learning Acquisitions, Inc., a private textbook company, that filed for Chapter 11 bankruptcy protection in July 2013. While the company's results deteriorated quicker than we originally forecasted, we continue to believe the recovery value will be higher than the current valuation. In addition, JSD benefited from short exposures to Kohl's Corporation and Best Buy Co., Inc. Both companies sold off during the fourth quarter of 2012 after reporting disappointing revenue results.

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

For JSD, we also continued to invest in credit default swaps, which were used to provide a benefit if particular bonds' credit quality worsened. The Fund does not hold other securities issued by the issuers referenced under these credit default swap contracts. These contracts had a negligible effect on performance.

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7



Fund Leverage

IMPACT OF THE FUNDS' LEVERAGE STRATEGY ON PERFORMANCE

One important factor impacting the returns of the Funds relative to their benchmarks was the Funds' use of leverage through the use of bank borrowings. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share NAV and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by a Fund generally are rising. Leverage had a positive impact on the performance of the Funds over this reporting period. During the period, the Funds continued to invest in interest rate swap contracts to partially fix the interest cost of their leverage. This had a negligible effect on performance during the period.

THE FUNDS' REGULATORY LEVERAGE

Bank Borrowings

As discussed previously, the Funds employ regulatory leverage through the use of bank borrowings. As of July 31, 2013, the Funds have outstanding bank borrowings as shown in the accompanying table.

Fund

 

Bank Borrowings

 

NSL

 

$

123,000,000

   

JFR

 

$

295,200,000

   

JRO

 

$

201,900,000

   

JSD

 

$

85,000,000

   

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

As of July 31, 2013, the Funds' percentages of leverage are shown in the accompanying table.

Fund   Effective
Leverage*
  Regulatory
Leverage*
 

NSL

   

29.93

%

   

29.93

%

 

JFR

   

29.92

%

   

29.92

%

 

JRO

   

29.51

%

   

29.51

%

 

JSD

   

29.72

%

   

29.72

%

 

*  Effective leverage is a Fund's effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund's portfolio that increase the Fund's investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund's capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

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8



Common Share Information

Distribution Information

The following information regarding the Funds' distributions is current as of July 31, 2013. The Funds' distribution levels may vary over time based on each Fund's investment activity and portfolio investment value changes.

During the current reporting period, the Funds' monthly distributions to common shareholders were as shown in the accompanying table.

 

Per Common Share Amounts

 

 

NSL

 

JFR

 

JRO

 

JSD

 

August

 

$

0.0455

   

$

0.0735

   

$

0.0775

   

$

0.1245

   

September

   

0.0455

     

0.0760

     

0.0800

     

0.1270

   

October

   

0.0455

     

0.0760

     

0.0800

     

0.1270

   

November

   

0.0455

     

0.0760

     

0.0800

     

0.1270

   

December

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

January

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

February

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

March

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

April

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

May

   

0.0455

     

0.0760

     

0.0800

     

0.1320

   

June

   

0.0410

     

0.0700

     

0.0730

     

0.1260

   

July

   

0.0410

     

0.0700

     

0.0730

     

0.1260

   

Short-Term Capital Gain*

   

     

     

     

0.0523

   

Ordinary Income Distribution*

   

     

     

     

0.0224

   

Non-recurring supplemental taxable distribution*

   

0.0248

     

0.0736

     

0.0930

     

0.0598

   

Current Distribution Rate**

   

6.60

%

   

6.60

%

   

6.88

%

   

7.60

%

 

*  Distribution paid in December 2012.

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

The Funds employ leverage through the use of bank borrowings. Leverage provides the potential for higher earnings (net investment income), total returns and distributions over time, but also increases the variability of common shareholders' NAV per share in response to changing market conditions.

During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of 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 July 31, 2013, all four Funds had positive UNII balances for tax purposes and negative UNII balances for financial reporting purposes.

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9



Common Share Repurchases

As of July 31, 2013, and since the inception of the Funds' repurchase programs, JFR and JRO have cumulatively repurchased and retired their common shares as shown in the accompanying table. Since the inception of the Funds' repurchase programs, NSL and JSD have not repurchased any of their outstanding common shares.

 

NSL

 

JFR

 

JRO

 

JSD

 

Common Shares Repurchased and Retired

   

     

147,593

     

19,400

     

   

Common Shares Authorized for Repurchase

   

3,385,000

     

4,975,000

     

3,255,000

     

1,005,000

   

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

Common Share Equity Shelf Programs

During the current reporting period, NSL, JFR and JRO filed registration statements with the Securities and Exchange Commission (SEC) authorizing the Funds to issue additional common shares through their ongoing equity shelf programs. NSL filed registration statements with the SEC for 3.2 million and 8.8 million additional common shares during August 2012 and March 2013, respectively. JFR filed a registration statement with the SEC for 12.9 million additional common shares during March 2013. JRO filed registration statements with the SEC for 3.1 million and 8.5 million additional common shares during August 2012 and March 2013, respectively.

JSD filed a registration statement with the SEC authorizing the Fund to issue an additional 1.0 million shares through its initial equity shelf program during February 2013.

Under these equity shelf programs, the Funds, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price at or above each Fund's NAV per common share.

During the current reporting period, the Funds sold common shares through their equity shelf programs at a weighted average premium to NAV per common share as shown in the accompanying table.

 

NSL

 

JFR

 

JRO

 

JSD

 

Common Shares Sold through Shelf Offering

   

5,798,036

     

6,888,559

     

7,155,904

     

36,711

   

Weighted Average Premium to NAV per Common Share Sold

   

5.32

%

   

3.70

%

   

4.92

%

   

1.68

%

 

Other Common Share Information

As of July 31, 2013, and during the current reporting period, the Funds common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

 

NSL

 

JFR

 

JRO

 

JSD

 

Common Share NAV

 

$

7.46

   

$

12.54

   

$

12.55

   

$

19.91

   

Common Share Price

 

$

7.45

   

$

12.72

   

$

12.73

   

$

19.89

   

Premium/(Discount) to NAV

   

(0.13

)%

   

1.44

%

   

1.43

%

   

(0.10

)%

 

12-Month Average Premium/(Discount) to NAV

   

4.09

%

   

2.62

%

   

4.54

%

   

2.54

%

 

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10



Risk Considerations

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Shares of closed-end funds are subject to investment risks, including the possible loss of principal invested. Past performance is no guarantee of future results.

Investment, Market and Price Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in common shares represents an indirect investment in the corporate securities owned by the Funds, which generally trade in the over-the-counter markets. Shares of closed-end investment companies like the Funds frequently trade at a discount to their NAV. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

Leverage Risk. The Funds' use of leverage creates the possibility of higher volatility for the Funds' per share NAV, market price and distributions. Leverage risk can be introduced through regulatory leverage (issuing preferred shares or debt borrowings at the Fund level) or through certain derivative investments held in a Fund's portfolio. Leverage typically magnifies the total return of a Fund's portfolio, whether that return is positive or negative. The use of leverage creates an opportunity for increased common share net income, but there is no assurance that a Fund's leveraging strategy will be successful.

Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations.

Issuer Credit Risk. This is the risk that a security in a Fund's portfolio will fail to make dividend or interest payments when due.

Illiquid Securities Risk. This is the risk that a Fund may not be able to sell securities in its portfolio at the time or price desired by the Fund.

Non-Investment Grade or Below-Investment Grade Risk. Investments in securities below investment grade quality are predominantly speculative and subject to greater volatility and risk of default.

Unrated Investment Risk. In determining whether an unrated security is an appropriate investment for a Fund, the manager will consider information from industry sources, as well as its own quantitative and qualitative analysis, in making such a determination. However, such a determination by the manager is not the equivalent of a rating by a rating agency.

Senior Loan Risk. Senior loans, both secured and unsecured, may not be rated by a national rating agency at the time of investment, generally will not be registered with the Securities and Exchange Commission (SEC) and generally will not be listed on a securities exchange. In addition, the amount of public information available with respect to senior loans generally is less extensive than that available for more widely rated, registered and exchange-listed securities.

Risks from Unsecured Adjustable Rate Loans or Insufficient Collateral Securing Adjustable Rate Loans. Some of the adjustable rate loans in which a Fund may invest will be unsecured, thereby increasing the risk of loss to the Fund in the event of issuer default. Other adjustable rate loans may be secured by specific collateral, but there can be no assurance that liquidating this collateral would satisfy a borrower's obligation to the Fund in the event of borrower default, or that such collateral could be readily liquidated under such circumstances.

Derivatives Strategy Risk. Derivative securities, such as calls, puts, warrants, swaps and forwards, carry risks different from, and possibly greater than, the risks associated with the underlying investments.

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11



Interest Rate Risk. Fixed-income securities such as bonds, preferred, convertible and other debt securities will decline in value if market interest rates rise.

Reinvestment Risk. If market interest rates decline, income earned from a Fund's portfolio may be reinvested at rates below that of the original investment that generated the income.

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Intentionally Left Blank

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Nuveen Senior Income Fund (NSL)

Performance Overview and Holding Summaries as of July 31, 2013

Average Annual Total Returns as of July 31, 2013

 

Average Annual

 

 

1-Year

 

5-Year

 

10-Year

 

NSL at Common Share NAV

   

13.89

%

   

9.02

%

   

7.42

%

 

NSL at Common Share Price

   

10.23

%

   

12.57

%

   

6.77

%

 

Barclays U.S. Aggregate Bond Index

   

(1.91

)%

   

5.23

%

   

4.89

%

 

CSFB Leveraged Loan Index

   

7.74

%

   

6.20

%

   

5.20

%

 

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

Common Share Price Performance — Weekly Closing Price

Portfolio Allocation1,2

(as a % of total investments)

Variable Rate Senior Loan Interests

   

82.3

%

 

Corporate Bonds

   

10.9

%

 

Short-Term Investments

   

4.2

%

 

Common Stocks

   

2.4

%

 

Convertible Bonds

   

0.2

%

 

Top Five Issuers1,2

(as a % of total long-term investments)

H.J. Heinz Company

   

2.3

%

 

Clear Channel Communications, Inc.

   

2.1

%

 

Federal-Mogul Corporation

   

1.9

%

 

US Foods, Inc.

   

1.8

%

 

HD Supply, Inc.

   

1.8

%

 

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

1  Holdings are subject to change.

2  Excluding investments in derivatives.

Nuveen Investments
14



Portfolio Composition1,2

 

(as a % of total investments)

Media

   

9.1

%

 

Health Care Providers & Services

   

8.2

%

 

Software

   

7.4

%

 

Pharmaceuticals

   

7.4

%

 

Food Products

   

6.0

%

 

Hotels, Restaurants & Leisure

   

4.1

%

 

Health Care Equipment & Supplies

   

3.5

%

 

Wireless Telecommunication Services

   

3.3

%

 

Commercial Services & Supplies

   

3.2

%

 

Oil, Gas & Consumable Fuels

   

3.2

%

 

Airlines

   

3.0

%

 

Diversified Telecommunication Services

   

2.8

%

 

IT Services

   

2.6

%

 

Diversified Financial Services

   

2.2

%

 

Semiconductors & Equipment

   

2.0

%

 

Specialty Retail

   

2.0

%

 

Food & Staples Retailing

   

1.9

%

 

Auto Components

   

1.8

%

 

Leisure Equipment & Products

   

1.5

%

 

Distributors

   

1.4

%

 

Short-Term Investments

   

4.2

%

 

Other

   

19.2

%

 

Nuveen Investments
15



Nuveen Floating Rate Income Fund (JFR)

Performance Overview and Holding Summaries as of July 31, 2013

Average Annual Total Returns as of July 31, 2013

 

Average Annual

 

 

1-Year

 

5-Year

  Since
Inception1
 

JFR at Common Share NAV

   

14.26

%

   

8.58

%

   

5.89

%

 

JFR at Common Share Price

   

16.76

%

   

12.57

%

   

5.91

%

 

Barclays U.S. Aggregate Bond Index

   

(1.91

)%

   

5.23

%

   

4.51

%

 

CSFB Leveraged Loan Index

   

7.74

%

   

6.20

%

   

5.03

%

 

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

Common Share Price Performance — Weekly Closing Price

Portfolio Allocation2,3

(as a % of total investments)

Variable Rate Senior Loan Interests

   

78.6

%

 

Corporate Bonds

   

9.9

%

 

Asset-Backed Securities

   

3.7

%

 

Common Stocks

   

3.2

%

 

Short-Term Investments

   

3.1

%

 

Investment Companies

   

1.3

%

 

Convertible Bonds

   

0.2

%

 

Top Five Issuers2,3

(as a % of total long-term investments)

Clear Channel Communications, Inc.

   

1.9

%

 

US Foods, Inc.

   

1.9

%

 

Univision Communications, Inc.

   

1.9

%

 

H.J. Heinz Company

   

1.8

%

 

Federal-Mogul Corporation

   

1.7

%

 

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

1  Since inception returns are from 3/25/04.

2  Holdings are subject to change.

3  Excluding investments in derivatives.

Nuveen Investments
16



Portfolio Composition2,3

 

(as a % of total investments)

Media

   

10.7

%

 

Health Care Providers & Services

   

8.8

%

 

Software

   

6.4

%

 

Pharmaceuticals

   

6.1

%

 

Food Products

   

5.4

%

 

Hotels, Restaurants & Leisure

   

3.3

%

 

Wireless Telecommunication Services

   

3.1

%

 

Oil, Gas & Consumable Fuels

   

2.8

%

 

Diversified Telecommunication Services

   

2.8

%

 

Airlines

   

2.8

%

 

Diversified Financial Services

   

2.8

%

 

Health Care Equipment & Supplies

   

2.5

%

 

Commercial Services & Supplies

   

2.4

%

 

IT Services

   

2.2

%

 

Semiconductors & Equipment

   

2.1

%

 

Specialty Retail

   

1.9

%

 

Auto Components

   

1.6

%

 

Food & Staples Retailing

   

1.6

%

 

Building Products

   

1.5

%

 

Communications Equipment

   

1.5

%

 

Asset-Backed Securities

   

3.7

%

 

Investment Companies

   

1.3

%

 

Short-Term Investments

   

3.1

%

 

Other

   

19.6

%

 

Nuveen Investments
17



Nuveen Floating Rate Income Opportunity Fund (JRO)

Performance Overview and Holding Summaries as of July 31, 2013

Average Annual Total Returns as of July 31, 2013

 

Average Annual

 

 

1-Year

 

5-Year

  Since
Inception1
 

JRO at Common Share NAV

   

15.27

%

   

9.73

%

   

6.61

%

 

JRO at Common Share Price

   

14.42

%

   

13.87

%

   

6.60

%

 

Barclays U.S. Aggregate Bond Index

   

(1.91

)%

   

5.23

%

   

4.97

%

 

CSFB Leveraged Loan Index

   

7.74

%

   

6.20

%

   

5.02

%

 

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

Common Share Price Performance — Weekly Closing Price

Portfolio Allocation2,3

(as a % of total long-term investments)

Variable Rate Senior Loan Interests

   

77.3

%

 

Corporate Bonds

   

11.2

%

 

Short-Term Investments

   

4.9

%

 

Asset-Backed Securities

   

3.5

%

 

Common Stocks

   

2.9

%

 

Convertible Bonds

   

0.2

%

 

Top Five Issuers2,3

(as a % of total long-term investments)

Clear Channel Communications, Inc.

   

2.7

%

 

US Foods, Inc.

   

2.0

%

 

Federal-Mogul Corporation

   

1.8

%

 

H.J. Heinz Company

   

1.7

%

 

Delta Air Lines, Inc.

   

1.7

%

 

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

1  Since inception returns are from 7/27/04.

2  Holdings are subject to change.

3  Excluding investments in derivatives.

Nuveen Investments
18



Portfolio Composition2,3

 

(as a % of total investments)

Media

   

11.7

%

 

Health Care Providers & Services

   

7.2

%

 

Software

   

6.6

%

 

Pharmaceuticals

   

6.5

%

 

Food Products

   

4.9

%

 

Health Care Equipment & Supplies

   

3.2

%

 

Hotels, Restaurants & Leisure

   

3.0

%

 

Oil, Gas & Consumable Fuels

   

2.9

%

 

Wireless Telecommunication Services

   

2.9

%

 

Diversified Financial Services

   

2.8

%

 

Airlines

   

2.7

%

 

Commercial Services & Supplies

   

2.5

%

 

Diversified Telecommunication Services

   

2.5

%

 

IT Services

   

2.2

%

 

Semiconductors & Equipment

   

1.9

%

 

Internet Software & Services

   

1.8

%

 

Food & Staples Retailing

   

1.7

%

 

Auto Components

   

1.7

%

 

Specialty Retail

   

1.7

%

 

Leisure Equipment & Products

   

1.5

%

 

Asset-Backed Securities

   

3.5

%

 

Short-Term Investments

   

4.9

%

 

Other

   

19.7

%

 

Nuveen Investments
19



Nuveen Short Duration Credit Opportunities Fund (JSD)

Performance Overview and Holding Summaries as of July 31, 2013

Average Annual Total Returns as of July 31, 2013

 

Average Annual

 

 

1-Year

  Since
Inception1
 

JSD at Common Share NAV

   

11.17

%

   

9.86

%

 

JSD at Common Share Price

   

10.77

%

   

7.65

%

 

Barclays U.S. Aggregate Bond Index

   

(1.91

)%

   

3.13

%

 

CSFB Leveraged Loan Index

   

7.74

%

   

5.37

%

 

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

Common Share Price Performance — Weekly Closing Price

Portfolio Allocation2,3

(as a % of total investments)

Variable Rate Senior Loan Interests

   

85.2

%

 

Corporate Bonds

   

14.6

%

 

Common Stocks

   

0.2

%

 

Top Five Issuers2,3

(as a % of total investments)

Clear Channel Communications, Inc.

   

2.2

%

 

Delta Air Lines, Inc.

   

2.2

%

 

Valeant Pharmaceuticals International, Inc.

   

1.8

%

 

Onex Carestream Finance LP

   

1.6

%

 

EIG Investors Corp.

   

1.5

%

 

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

1  Since inception returns are from 5/25/11.

2  Holdings are subject to change.

3  Excluding investments in derivatives.

Nuveen Investments
20



Portfolio Composition2,3

 

(as a % of total investments)

Health Care Providers & Services

   

11.5

%

 

Pharmaceuticals

   

9.1

%

 

Software

   

8.4

%

 

Media

   

6.8

%

 

Oil, Gas & Consumable Fuels

   

5.2

%

 

Health Care Equipment & Supplies

   

4.6

%

 

Hotels, Restaurants & Leisure

   

4.4

%

 

Commercial Services & Supplies

   

4.1

%

 

Internet Software & Services

   

3.6

%

 

Wireless Telecommunication Services

   

3.6

%

 

IT Services

   

3.5

%

 

Food Products

   

3.1

%

 

Airlines

   

2.9

%

 

Specialty Retail

   

1.9

%

 

Diversified Consumer Services

   

1.9

%

 

Diversified Financial Services

   

1.9

%

 

Insurance

   

1.9

%

 

Food & Staples Retailing

   

1.8

%

 

Other

   

19.8

%

 

Nuveen Investments
21




Report of INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders
Nuveen Senior Income Fund
Nuveen Floating Rate Income Fund
Nuveen Floating Rate Income Opportunity Fund
Nuveen Short Duration Credit Opportunities Fund

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, and Nuveen Short Duration Credit Opportunities Fund (the "Funds") as of July 31, 2013, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2013, by correspondence with the custodian, counterparty, selling or agent banks, and brokers or by other appropriate auditing procedures where replies from selling or agent banks and brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, and Nuveen Short Duration Credit Opportunities Fund at July 31, 2013, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Chicago, Illinois
September 25, 2013

Nuveen Investments
22




NSL

Nuveen Senior Income Fund

Portfolio of Investments

  July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Long-Term Investments – 139.5% (95.8% of Total Investments)

 
   

Variable Rate Senior Loan Interests – 119.9% (82.3% of Total Investments) (4)

 
   

Aerospace & Defense – 0.5% (0.4% of Total Investments)

 

$

1,493

   

Sequa Corporation, Term Loan B

   

5.250

%

 

6/19/17

 

B1

 

$

1,513,022

   
   

Airlines – 4.3% (3.0% of Total Investments)

 
  2,000    

American Airlines, Inc., Exit Term Loan, WI/DD

 

TBD

 

TBD

 

Baa2

   

1,990,000

   
  4,975    

Delta Air Lines, Inc., Term Loan B1

   

4.000

%

 

10/18/18

 

Ba1

   

5,002,094

   
  995    

Delta Air Lines, Inc., Term Loan B2

   

3.250

%

 

4/18/16

 

Ba1

   

1,001,716

   
  1,995    

United Air Lines, Inc., Term Loan B

   

4.000

%

 

4/01/19

 

Ba2

   

2,016,197

   
  2,500    

US Airways, Inc., Term Loan B1, DD1

   

4.250

%

 

5/23/19

 

B+

   

2,504,062

   
  12,465    

Total Airlines

                           

12,514,069

   
   

Auto Components – 2.6% (1.8% of Total Investments)

 
  5,065    

Federal-Mogul Corporation, Tranche B, Term Loan, DD1

   

2.137

%

 

12/29/14

 

B1

   

4,988,475

   
  2,585    

Federal-Mogul Corporation, Tranche C, Term Loan, DD1

   

2.137

%

 

12/28/15

 

B1

   

2,545,543

   
  7,650    

Total Auto Components

                           

7,534,018

   
   

Beverages – 0.3% (0.2% of Total Investments)

 
  1,000    

Constellation Brands, Inc., Term Loan

   

2.750

%

 

5/01/20

 

BB+

   

1,002,125

   
   

Biotechnology – 0.6% (0.4% of Total Investments)

 
  1,756    

Grifols, Inc., Term Loan

   

4.250

%

 

6/01/17

 

Ba1

   

1,776,356

   
   

Capital Markets – 1.8% (1.2% of Total Investments)

 
  850    

American Capital, LTD., Senior Secured Term Loan

   

5.500

%

 

8/15/16

 

B+

   

855,568

   
  4,180    

Walter Investment Management Corporation, Tranche B, Term Loan, DD1

   

5.750

%

 

11/28/17

 

B+

   

4,226,059

   
  5,030    

Total Capital Markets

                           

5,081,627

   
   

Chemicals – 1.8% (1.2% of Total Investments)

 
  2,649    

Ineos US Finance LLC, Term Loan, First Lien

   

4.000

%

 

5/04/18

 

BB-

   

2,648,735

   
  995    

PQ Corporation, Term Loan, First Lien

   

4.500

%

 

8/07/17

 

B+

   

1,004,950

   
  1,443    

Univar, Inc., Term Loan

   

5.000

%

 

6/30/17

 

B+

   

1,427,486

   
  5,087    

Total Chemicals

                           

5,081,171

   
   

Commercial Services & Supplies – 4.1% (2.8% of Total Investments)

 
  2,500    

Aramark Corporation, Term Loan, Tranche D

   

4.000

%

 

9/09/19

 

BB-

   

2,528,515

   
  384    

Brand Energy & Infrastructure Services, Inc., Canadian Tranche 1, Term Loan

   

6.250

%

 

10/23/18

 

B

   

391,557

   
  1,000    

Brand Energy & Infrastructure Services, Inc., Term Loan, Second Lien

   

11.000

%

 

10/23/19

 

CCC+

   

1,028,750

   
  1,601    

Brand Energy & Infrastructure Services, Inc., Term Loan

   

6.250

%

 

10/23/18

 

B

   

1,631,489

   
  507    

Brickman Group Holdings, Inc., Tranche B2, Term Loan

   

3.273

%

 

10/14/16

 

B+

   

511,559

   
  640    

Brickman Group Holdings, Inc., Tranche B3, Term Loan

   

4.000

%

 

9/28/18

 

B+

   

643,339

   
  1,574    

Ceridian Corporation, Extended Term Loan

   

5.942

%

 

5/09/17

 

B1

   

1,587,908

   
  3,054    

Harland Clarke Holdings Corporation, Term Loan B3

   

7.000

%

 

5/22/18

 

B+

   

3,028,472

   
  494    

Houghton Mifflin, Term Loan

   

5.250

%

 

5/22/18

 

B2

   

497,762

   
  90    

Vertrue Inc., Term Loan, First Lien

   

15.000

%

 

2/04/18

 

N/R

   

90,556

   
  11,844    

Total Commercial Services & Supplies

                           

11,939,907

   

Nuveen Investments
23



NSL

Nuveen Senior Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Communications Equipment – 0.8% (0.5% of Total Investments)

 

$

1,742

   

Alcatel-Lucent, Term Loan C

   

7.250

%

 

1/29/19

 

B+

 

$

1,782,699

   
  499    

Arris Group, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB-

   

498,542

   
  2,241    

Total Communications Equipment

                           

2,281,241

   
   

Computers & Peripherals – 0.4% (0.3% of Total Investments)

 
  1,194    

SunGard Data Systems, Inc., Term Loan D

   

4.500

%

 

1/31/20

 

BB

   

1,210,915

   
   

Consumer Finance – 1.2% (0.8% of Total Investments)

 
  727    

Jackson Hewitt Tax Service, Inc., Term Loan

   

10.000

%

 

10/16/17

 

N/R

   

710,215

   
  1,821    

Royalty Pharma Finance Trust, Incremental Term Loan

   

4.000

%

 

11/09/18

 

Baa2

   

1,829,183

   
  780    

Springleaf Financial Funding Company, Term Loan

   

5.500

%

 

5/10/17

 

B

   

782,242

   
  3,328    

Total Consumer Finance

                           

3,321,640

   
   

Containers & Packaging – 0.4% (0.2% of Total Investments)

 
  1,000    

Pact Group, Inc., Term Loan B

   

3.750

%

 

5/22/20

 

Ba3

   

1,000,625

   
   

Distributors – 2.1% (1.4% of Total Investments)

 
  6,003    

HD Supply, Inc., Term Loan B, DD1

   

4.500

%

 

10/12/17

 

B+

   

6,069,819

   
   

Diversified Consumer Services – 1.5% (1.1% of Total Investments)

 
  2,680    

Cengage Learning Acquisitions, Inc., Term Loan, (5)

   

0.000

%

 

7/03/14

 

D

   

1,979,850

   
  2,454    

Laureate Education, Inc., Extended Term Loan

   

5.250

%

 

6/15/18

 

B1

   

2,459,150

   
  5,134    

Total Diversified Consumer Services

                           

4,439,000

   
   

Diversified Financial Services – 3.2% (2.2% of Total Investments)

 
  1,500    

Guggenheim Partners LLC, Initial Term Loan

   

4.250

%

 

7/22/20

 

N/R

   

1,519,687

   
  2,000    

Home Loan Servicing Solutions, Ltd., Term Loan B

   

4.500

%

 

6/26/20

 

BB-

   

2,016,200

   
  1,995    

Ocwen Financial Corporation, Term Loan B

   

5.000

%

 

2/05/18

 

B1

   

2,024,925

   
  3,712    

WideOpenWest Finance LLC, Term Loan B

   

4.750

%

 

4/01/19

 

B1

   

3,759,559

   
  9,207    

Total Diversified Financial Services

                           

9,320,371

   
   

Diversified Telecommunication Services – 2.3% (1.5% of Total Investments)

 
  2,000    

Charter Communications Operating Holdings LLC, Holdco Term Loan

   

2.686

%

 

3/06/14

 

BB+

   

2,006,500

   
  1,788    

Intelsat Jackson Holdings, Ltd., Term Loan B1

   

4.250

%

 

4/02/18

 

BB-

   

1,804,187

   
  2,667    

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

   

5.250

%

 

8/01/19

 

Ba2

   

2,689,987

   
  6,455    

Total Diversified Telecommunication Services

                           

6,500,674

   
   

Electric Utilities – 0.6% (0.4% of Total Investments)

 
  1,000    

Equipower Resources Holdings LLC, Term Loan C, WI/DD

 

TBD

 

TBD

 

BB

   

1,007,500

   
  854    

TXU Corporation, 2014 Term Loan

   

3.721

%

 

10/10/14

 

B2

   

612,338

   
  1,854    

Total Electric Utilities

                           

1,619,838

   
   

Electrical Equipment – 0.2% (0.1% of Total Investments)

 
  587    

Sensus Metering Systems, Inc., Term Loan, First Lien

   

4.750

%

 

5/09/17

 

B1

   

580,390

   
   

Electronic Equipment & Instruments – 0.6% (0.4% of Total Investments)

 
  1,935    

SMART Modular Technologies, Inc., Term Loan B

   

8.250

%

 

8/26/17

 

B

   

1,765,688

   
   

Food & Staples Retailing – 2.7% (1.9% of Total Investments)

 
  905    

Albertson's LLC, Term Loan B1

   

4.250

%

 

3/21/16

 

BB-

   

914,810

   
  591    

Albertson's LLC, Term Loan B2

   

4.750

%

 

3/21/19

 

BB-

   

595,208

   
  1,500    

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

   

4.875

%

 

6/21/21

 

B-

   

1,513,125

   
  996    

Supervalu, Inc., New Term Loan B

   

5.000

%

 

3/21/19

 

B+

   

1,007,674

   
  3,850    

Wilton Products, Inc., Tranche B, Term Loan

   

7.500

%

 

8/30/18

 

B1

   

3,866,844

   
  7,842    

Total Food & Staples Retailing

                           

7,897,661

   

Nuveen Investments
24



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Food Products – 8.7% (6.0% of Total Investments)

 

$

1,990

   

AdvancePierre Foods, Inc., Term Loan, First Lien

   

5.750

%

 

7/10/17

 

B1

 

$

2,015,705

   
  900    

AdvancePierre Foods, Inc., Term Loan, Second Lien

   

9.500

%

 

10/10/17

 

CCC+

   

919,875

   
  893    

BJ's Wholesale Club, Inc., Term Loan, First Lien

   

4.250

%

 

9/26/19

 

B

   

898,786

   
  427    

Ferrara Candy Company, Term Loan B

   

7.504

%

 

6/18/18

 

B

   

426,599

   
  9,300    

H.J. Heinz Company, Term Loan B2

   

3.500

%

 

6/05/20

 

BB

   

9,400,105

   
  1,619    

Michael Foods Group, Inc., Term Loan

   

4.250

%

 

2/25/18

 

Ba3

   

1,643,748

   
  998    

Pinnacle Foods Finance LLC, Term Loan G

   

3.250

%

 

4/29/20

 

BB-

   

999,370

   
  1,000    

Sprouts Farmers Market Holdings LLC, Term Loan

   

4.500

%

 

4/23/20

 

B+

   

1,002,500

   
  7,252    

US Foods, Inc., Incremental Term Loan

   

4.500

%

 

3/31/19

 

B2

   

7,275,232

   
  545    

Wendy's, Inc., Term Loan B

   

3.250

%

 

5/15/19

 

BB-

   

546,829

   
  24,924    

Total Food Products

                           

25,128,749

   
   

Health Care Equipment & Supplies – 4.1% (2.8% of Total Investments)

 
  1,731    

Hologic, Inc., Term Loan B

   

4.500

%

 

8/01/19

 

BBB-

   

1,743,053

   
  4,925    

Kinetic Concepts, Inc., Term Loan D1

   

4.500

%

 

5/04/18

 

Ba2

   

4,988,357

   
  4,000    

Onex Carestream Finance LP, Term Loan, First Lien

   

5.000

%

 

6/07/19

 

B+

   

4,030,832

   
  1,000    

Onex Carestream Finance LP, Term Loan, Second Lien

   

9.500

%

 

12/07/19

 

B-

   

991,667

   
  11,656    

Total Health Care Equipment & Supplies

                           

11,753,909

   
   

Health Care Providers & Services – 9.7% (6.7% of Total Investments)

 
  2,993    

Apria Healthcare Group, Inc., Term Loan, First Lien

   

6.750

%

 

4/06/20

 

BB-

   

3,020,555

   
  1,406    

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

   

6.750

%

 

7/02/18

 

B+

   

1,414,260

   
  938    

BioScrip, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

948,047

   
  21    

Community Health Systems, Inc., Extended Term Loan

   

3.773

%

 

1/25/17

 

BB

   

21,263

   
  3,980    

DaVita, Inc., New Term Loan B2

   

4.000

%

 

11/01/19

 

Ba2

   

4,007,717

   
  618    

Genesis Healthcare LLC, Term Loan

   

10.002

%

 

12/04/17

 

B+

   

631,010

   
  2,135    

Gentiva Health Services, Inc., Term Loan B

   

6.500

%

 

8/17/16

 

B+

   

2,143,177

   
  3,526    

Golden Living, Term Loan

   

5.000

%

 

5/04/18

 

B1

   

3,426,756

   
  582    

Health Management Associates, Inc., Replacement Term Loan B

   

3.500

%

 

11/16/18

 

BB-

   

584,508

   
  995    

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

   

6.250

%

 

12/21/18

 

Ba3

   

1,004,535

   
  500    

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

   

9.750

%

 

6/20/19

 

CCC+

   

511,875

   
  1,302    

Kindred Healthcare, Inc., Term Loan B1

   

4.250

%

 

6/01/18

 

Ba3

   

1,302,589

   
  924    

LHP Operations Co. LLC, Term Loan B

   

9.000

%

 

7/03/18

 

B

   

937,860

   
  992    

National Mentor Holdings, Inc., Term Loan B

   

6.500

%

 

2/09/17

 

B+

   

999,213

   
  1,340    

Select Medical Corporation, Term Loan B

   

4.002

%

 

6/01/18

 

Ba2

   

1,347,059

   
  1,980    

Sheridan Holdings, Inc., Term Loan, First Lien

   

4.500

%

 

6/29/18

 

B+

   

1,995,395

   
  1,000    

Sheridan Holdings, Inc., Term Loan, Second Lien

   

9.000

%

 

7/01/19

 

B-

   

1,008,750

   
  1,040    

Skilled Healthcare Group, Inc., Term Loan

   

6.788

%

 

4/09/16

 

B1

   

1,048,076

   
  1,531    

Vanguard Health Holding Company II LLC, Term Loan B

   

3.750

%

 

1/29/16

 

Ba2

   

1,538,230

   
  27,803    

Total Health Care Providers & Services

                           

27,890,875

   
   

Hotels, Restaurants & Leisure – 5.6% (3.9% of Total Investments)

 
  1,940    

24 Hour Fitness Worldwide, Inc., Term Loan B

   

5.250

%

 

4/22/16

 

Ba3

   

1,964,263

   
  1,426    

BLB Management Services, Inc., Term Loan

   

5.250

%

 

11/10/18

 

BB-

   

1,444,641

   
  1,428    

Caesars Entertainment Operating Company, Inc., Term Loan B6

   

5.440

%

 

1/28/18

 

B-

   

1,269,493

   
  3,074    

CCM Merger, Inc., Term Loan

   

5.000

%

 

3/01/17

 

B+

   

3,109,010

   
  1,968    

Landry's Restaurant's, Inc., Term Loan B

   

4.750

%

 

4/24/18

 

BB-

   

1,994,553

   
  1,493    

MGM Resorts International, Term Loan B

   

3.500

%

 

12/20/19

 

BB

   

1,497,158

   
  2,000    

Scientific Games Corporation, Term Loan B, WI/DD

 

TBD

 

TBD

 

Ba2

   

1,997,500

   
  952    

Seaworld Parks and Entertainment, Inc., Term Loan B2

   

3.000

%

 

5/14/20

 

BB-

   

951,389

   
  1,995    

Station Casino LLC, Term Loan B

   

5.000

%

 

3/02/20

 

B1

   

2,016,554

   
  16,276    

Total Hotels, Restaurants & Leisure

                           

16,244,561

   
   

Household Durables – 1.1% (0.7% of Total Investments)

 
  498    

AOT Bedding Super Holdings LLC, Term Loan B

   

5.000

%

 

10/01/19

 

B+

   

502,431

   
  530    

Spectrum Brands, Inc., Term Loan

   

4.510

%

 

12/17/19

 

Ba3

   

534,976

   
  1,995    

Sun Products Corporation, Term Loan

   

5.500

%

 

3/23/20

 

B1

   

1,997,494

   
  3,023    

Total Household Durables

                           

3,034,901

   

Nuveen Investments
25



NSL

Nuveen Senior Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Industrial Conglomerates – 1.4% (1.0% of Total Investments)

 

$

3,993

   

DuPont Performance Coatings, Dollar Term Loan B, DD1

   

4.750

%

 

2/03/20

 

B+

 

$

4,036,793

   
   

Insurance – 2.1% (1.4% of Total Investments)

 
  1,442    

Sedgwick Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/12/18

 

B+

   

1,456,731

   
  2,488    

USI Holdings Corporation, Term Loan B

   

5.250

%

 

12/27/19

 

B1

   

2,512,064

   
  1,925    

Vantage Drilling Company, Term Loan B

   

6.250

%

 

10/25/17

 

B-

   

1,941,041

   
  5,855    

Total Insurance

                           

5,909,836

   
   

Internet & Catalog Retail – 1.0% (0.7% of Total Investments)

 
  2,886    

EIG Investors Corp., Term Loan, First Lien

   

6.250

%

 

11/09/19

 

B1

   

2,910,748

   
   

Internet Software & Services – 1.3% (0.9% of Total Investments)

 
  925    

Sabre Inc., Term Loan C

   

4.000

%

 

2/19/18

 

B1

   

932,169

   
  746    

Sabre, Inc., Term Loan B

   

5.250

%

 

2/19/19

 

B1

   

757,094

   
  1,935    

SSI Investments II, Ltd., New Term Loan

   

5.000

%

 

5/26/17

 

Ba3

   

1,952,099

   
  3,606    

Total Internet Software & Services

                           

3,641,362

   
   

IT Services – 3.3% (2.3% of Total Investments)

 
  1,490    

CompuCom Systems, Inc., Term Loan B

   

4.250

%

 

5/09/20

 

B1

   

1,503,282

   
  2,000    

EIG Investors Corp., Term Loan, Second Lien

   

10.250

%

 

5/09/20

 

CCC+

   

2,012,500

   
  327    

SRA International, Term Loan

   

6.500

%

 

7/20/18

 

B1

   

328,652

   
  998    

SunGard Data Systems, Inc., Term Loan E

   

4.000

%

 

3/08/20

 

BB

   

1,006,683

   
  1,163    

VFH Parent LLC, Term Loan B

   

5.775

%

 

7/08/16

 

N/R

   

1,174,140

   
  3,465    

Zayo Group LLC, Term Loan B

   

4.500

%

 

7/02/19

 

B1

   

3,499,109

   
  9,443    

Total IT Services

                           

9,524,366

   
   

Leisure Equipment & Products – 2.2% (1.5% of Total Investments)

 
  3,017    

Bombardier Recreational Products, Inc., Term Loan

   

4.000

%

 

1/30/19

 

B+

   

3,028,457

   
  1,197    

Equinox Holdings, Inc., New Initial Term Loan B

   

4.501

%

 

1/31/20

 

B1

   

1,205,978

   
  1,500    

Four Seasons Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/27/20

 

BB-

   

1,520,625

   
  500    

Four Seasons Holdings, Inc., Term Loan, Second Lien

   

6.250

%

 

12/27/20

 

B-

   

512,500

   
  6,214    

Total Leisure Equipment & Products

                           

6,267,560

   
   

Machinery – 1.0% (0.7% of Total Investments)

 
  3,000    

Gardner Denver, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B1

   

3,015,000

   
   

Media – 8.8% (6.0% of Total Investments)

 
  873    

Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan, (5)

   

0.000

%

 

7/04/17

 

D

   

648,813

   
  1,334    

Cumulus Media, Inc., Term Loan B, First Lien

   

4.500

%

 

9/18/18

 

Ba2

   

1,348,853

   
  968    

Cumulus Media, Inc., Term Loan, Second Lien

   

7.500

%

 

9/16/19

 

B3

   

994,598

   
  1,000    

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

   

5.500

%

 

6/17/20

 

BB-

   

1,010,000

   
  993    

FoxCo Acquisition Sub LLC, Initial Term Loan

   

5.500

%

 

7/14/17

 

B

   

1,004,909

   
  572    

Interactive Data Corporation, Term Loan

   

3.750

%

 

1/31/18

 

Ba3

   

574,250

   
  998    

Internet Brands, Inc., Term Loan B

   

6.250

%

 

3/18/19

 

B+

   

1,001,864

   
  1,995    

McGraw-Hill Education Holdings LLC, Term Loan

   

9.000

%

 

3/22/19

 

B2

   

2,008,716

   
  1,000    

Media General, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

BB-

   

1,000,938

   
  993    

Mediacom Broadband LLC, Tranche G, Term Loan

   

4.000

%

 

1/20/20

 

Ba3

   

994,567

   
  1,861    

Radio One, Inc., Term Loan B, First Lien

   

7.500

%

 

2/14/17

 

B+

   

1,912,682

   
  1,500    

Springer Science & Business Media, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

1,484,062

   
  500    

Weather Channel Corporation, Term Loan, Second Lien

   

7.000

%

 

6/26/20

 

B3

   

513,125

   
  3,317    

Tribune Company, Exit Term Loan B

   

4.000

%

 

12/17/19

 

BB+

   

3,344,867

   
  3,899    

Univision Communications, Inc., Term Loan C1

   

4.500

%

 

3/01/20

 

B+

   

3,925,982

   
  1,714    

UPC Broadband Holding BV, Term Loan AF

   

4.000

%

 

1/31/21

 

BB-

   

1,727,680

   
  1,328    

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

   

3.750

%

 

7/01/20

 

BB-

   

1,333,394

   
  1,839    

Yell Group PLC, Term Loan, (5)

   

0.000

%

 

7/31/14

 

N/R

   

395,301

   
  26,684    

Total Media

                           

25,224,601

   
   

Multiline Retail – 0.3% (0.2% of Total Investments)

 
  833    

99 Cents Only Stores, Term Loan B1

   

5.253

%

 

1/11/19

 

B+

   

842,708

   

Nuveen Investments
26



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Oil, Gas & Consumable Fuels – 4.6% (3.2% of Total Investments)

 

$

1,377

   

Crestwood Holdings LLC, Term Loan B

   

7.000

%

 

6/19/19

 

B

 

$

1,404,494

   
  1,250    

EP Energy LLC, Term Loan B3, Second Lien

   

3.500

%

 

5/24/18

 

Ba3

   

1,252,474

   
  751    

Frac Tech International LLC, Term Loan

   

8.500

%

 

5/06/16

 

B+

   

750,648

   
  2,000    

Harvey Gulf International Marine, Inc., Term Loan B

   

5.500

%

 

6/18/20

 

B1

   

2,032,500

   
  3,000    

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

   

6.000

%

 

3/31/21

 

B+

   

3,041,250

   
  1,500    

Pacific Drilling S.A., Term Loan B

   

4.500

%

 

6/03/18

 

B+

   

1,510,500

   
  998    

Rice Drilling LLC., Term Loan, Second Lien

   

8.500

%

 

10/25/18

 

N/R

   

987,525

   
  1,250    

Samson Investment Company, Initial Term Loan, Second Lien

   

6.000

%

 

9/25/18

 

B1

   

1,266,406

   
  998    

Saxon Energy Services, Inc., Term Loan

   

5.500

%

 

2/13/19

 

Ba3

   

1,003,111

   
  13,124    

Total Oil, Gas & Consumable Fuels

                           

13,248,908

   
   

Personal Products – 0.2% (0.1% of Total Investments)

 
  429    

Prestige Brands, Inc., Term Loan B1

   

3.778

%

 

1/31/19

 

BB-

   

434,071

   
   

Pharmaceuticals – 9.5% (6.5% of Total Investments)

 
  563    

BioScrip, Inc., Term Loan B, WI/DD

 

TBD

 

TBD

 

B

   

568,828

   
  1,051    

ConvaTec Healthcare, Incremental Term Loan B

   

5.000

%

 

12/22/16

 

Ba3

   

1,056,896

   
  863    

Generic Drug Holdings, Inc., Term Loan B

   

5.000

%

 

10/29/19

 

B+

   

868,078

   
  2,000    

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)

   

0.000

%

 

5/03/13

 

N/R

   

60,000

   
  129    

Graceway Pharmaceuticals LLC, Term Loan, (5)

   

0.000

%

 

5/03/12

 

N/R

   

142,310

   
  1,820    

Par Pharmaceutical Companies, Inc., Additional Term Loan B1

   

4.250

%

 

9/30/19

 

B+

   

1,828,216

   
  2,953    

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

   

4.250

%

 

12/01/18

 

Ba3

   

2,980,295

   
  2,327    

Quintiles Transnational Corp., Term Loan B2

   

4.500

%

 

6/08/18

 

BB-

   

2,352,882

   
  1,493    

Therakos, Inc., Term Loan, First Lien

   

7.500

%

 

12/27/17

 

B

   

1,498,097

   
  3,718    

Valeant Pharmaceuticals International, Inc., Series D, Term Loan

   

3.500

%

 

2/19/19

 

BBB-

   

3,760,466

   
  7,000    

Valeant Pharmaceuticals International, Inc., Term Loan E, WI/DD

 

TBD

 

TBD

 

Ba1

   

7,102,375

   
  794    

Warner Chilcott Company LLC, Additional Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

796,202

   
  1,824    

Warner Chilcott Corporation, Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

1,828,985

   
  112    

Warner Chilcott Corporation, Term Loan B2

   

4.250

%

 

3/15/18

 

BBB-

   

111,924

   
  1,437    

Warner Chilcott Corporation, Term Loan B3

   

4.250

%

 

3/15/18

 

BBB-

   

1,441,273

   
  771    

Warner Chilcott Corporation, Term Loan B4

   

3.186

%

 

8/15/17

 

BBB-

   

772,038

   
  154    

Warner Chilcott Corporation, Term Loan B5

   

3.186

%

 

8/20/17

 

BBB-

   

154,408

   
  29,009    

Total Pharmaceuticals

                           

27,323,273

   
   

Real Estate Investment Trust – 1.8% (1.3% of Total Investments)

 
  1,500    

Capital Automotive LP, Term Loan, Second Lien

   

6.000

%

 

4/30/20

 

B1

   

1,548,750

   
  2,237    

iStar Financial, Inc., Term Loan

   

4.500

%

 

10/15/17

 

BB-

   

2,249,390

   
  1,496    

Starwood Property Trust, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB+

   

1,499,991

   
  5,233    

Total Real Estate Investment Trust

                           

5,298,131

   
   

Real Estate Management & Development – 1.3% (0.9% of Total Investments)

 
  1,198    

Capital Automotive LP, Term Loan, Tranche B1

   

4.000

%

 

4/10/19

 

Ba2

   

1,209,510

   
  2,492    

Realogy Corporation, Term Loan B

   

4.500

%

 

3/05/20

 

BB-

   

2,523,363

   
  3,690    

Total Real Estate Management & Development

                           

3,732,873

   
   

Road & Rail – 0.4% (0.3% of Total Investments)

 
  1,123    

Swift Transportation Company, Inc., Term Loan B2

   

4.000

%

 

12/21/17

 

BB

   

1,135,415

   
   

Semiconductors & Equipment – 2.1% (1.4% of Total Investments)

 
  1,995    

Freescale Semiconductor, Inc., Term Loan, Tranche B4

   

5.000

%

 

2/28/20

 

B1

   

2,018,276

   
  995    

NXP Semiconductor LLC, Incremental Term Loan C

   

4.750

%

 

1/10/20

 

B+

   

1,016,559

   
  1,955    

NXP Semiconductor LLC, Term Loan

   

4.500

%

 

3/03/17

 

B1

   

1,991,656

   
  965    

Spansion LLC, Term Loan B

   

5.250

%

 

12/13/18

 

BB+

   

972,907

   
  5,910    

Total Semiconductors & Equipment

                           

5,999,398

   
   

Software – 10.2% (7.0% of Total Investments)

 
  2,490    

Attachmate Corporation, Term Loan, First Lien

   

7.250

%

 

11/22/17

 

BB-

   

2,518,967

   
  1,128    

Blackboard, Inc., Term Loan B2

   

6.250

%

 

10/04/18

 

B+

   

1,143,388

   
  2,406    

Datatel Parent Corp, Term Loan B, DD1

   

4.500

%

 

7/19/18

 

B+

   

2,431,659

   
  4,579    

Emdeon Business Services LLC, Term Loan B2, DD1

   

3.750

%

 

11/02/18

 

BB-

   

4,613,380

   

Nuveen Investments
27



NSL

Nuveen Senior Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Software (continued)  

$

653

   

Epicor Software Corporation, Term Loan, B1

   

4.500

%

 

5/16/18

 

Ba3

 

$

658,447

   
  993    

Explorer Holdings, Inc., Term Loan

   

6.000

%

 

5/02/18

 

B+

   

998,095

   
  876    

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

   

4.000

%

 

2/08/20

 

B+

   

878,353

   
  6,981    

Infor Enterprise Applications, Term Loan B

   

5.250

%

 

4/05/18

 

Ba3

   

7,058,143

   
  1,234    

IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien

   

7.750

%

 

7/31/17

 

B1

   

1,227,364

   
  2,500    

IPC Systems, Inc., Term Loan, Second Lien

   

5.436

%

 

6/01/15

 

CCC

   

2,100,000

   
  3,474    

Misys PLC, Term Loan, First Lien

   

7.250

%

 

12/12/18

 

Ba3

   

3,514,567

   
  1,194    

RedPrairie Corporation, Term Loan, First Lien

   

6.750

%

 

12/21/18

 

B+

   

1,206,473

   
  975    

Vertafore, Inc., Term Loan, First Lien

   

4.250

%

 

10/03/19

 

B+

   

981,364

   
  29,483    

Total Software

                           

29,330,200

   
   

Specialty Retail – 2.9% (2.0% of Total Investments)

 
  1,000    

Charlotte Russe, Inc., Initial Term Loan

   

6.750

%

 

5/22/19

 

B2

   

981,875

   
  2,729    

Collective Brands, Inc., Term Loan B

   

7.250

%

 

10/09/19

 

B

   

2,771,717

   
  3,000    

J.C. Penney Corporation, Inc., Term Loan, First Lien

   

6.000

%

 

5/22/18

 

B2

   

3,028,125

   
  1,657    

Jo-Ann Stores, Inc., Term Loan, First Lien

   

4.000

%

 

3/16/18

 

B+

   

1,664,497

   
  8,386    

Total Specialty Retail

                           

8,446,214

   
   

Trading Companies & Distributors – 0.3% (0.2% of Total Investments)

 
  842    

Wesco Distribution, Inc., Term Loan B

   

4.500

%

 

12/04/19

 

Ba3

   

849,441

   
   

Wireless Telecommunication Services – 4.0% (2.8% of Total Investments)

 
  1,818    

Asurion LLC, Term Loan B1

   

4.500

%

 

5/24/19

 

B+

   

1,820,967

   
  1,723    

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

   

3.836

%

 

1/29/16

 

CCC+

   

1,620,571

   
  2,500    

Cricket Communications, Inc., Term Loan C

   

4.750

%

 

3/08/20

 

Ba3

   

2,521,095

   
  3,034    

Fairpoint Communications, Inc., Term Loan B

   

7.500

%

 

2/11/19

 

B

   

3,022,525

   
  1,985    

IPC Systems, Inc., Term Loan, Tranche C, First Lien

   

7.750

%

 

7/31/17

 

B1

   

1,937,856

   
  695    

Presidio, Inc., New Term Loan

   

5.750

%

 

3/31/17

 

Ba3

   

697,232

   
  11,755    

Total Wireless Telecommunication Services

                           

11,620,246

   

$

348,285

   

Total Variable Rate Senior Loan Interests (cost $343,893,052)

                           

345,294,296

   
Shares  

Description (1)

             

Value

 
   

Common Stocks – 3.5% (2.4% of Total Investments)

 
   

Building Products – 1.6% (1.1% of Total Investments)

 
  88,501    

Masonite Worldwide Holdings, (6)

                         

$

4,425,050

   
   

Health Care Providers & Services – 0.3% (0.2% of Total Investments)

 
  7,231    

LifeCare Holdings Private Stock, (6), (7)

                           

940,030

   
   

Hotels, Restaurants & Leisure – 0.3% (0.2% of Total Investments)

 
  40,968    

BLB Worldwide Holdings Inc., (6), (7)

                           

947,385

   
   

Media – 1.3% (0.9% of Total Investments)

 
  48,954    

Metro-Goldwyn-Mayer, (6), (7)

                           

2,655,755

   
  18,422    

Tribune Company, (6)

                           

1,164,270

   
  14,825    

Tribune Company, (8)

                           

   
   

Total Media

                           

3,820,025

   
   

Professional Services – 0.0% (0.0% of Total Investments)

 
  47,152    

Vertrue, Inc., (7)

                           

28,291

   
   

Total Common Stocks (cost $9,679,279)

                           

10,160,781

   

Nuveen Investments
28



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Convertible Bonds – 0.3% (0.2% of Total Investments)

 
   

Communications Equipment – 0.3% (0.2% of Total Investments)

 

$

850

   

Nortel Networks Corp., (5)

   

1.750

%

 

4/15/12

 

N/R

 

$

833,000

   

$

850

   

Total Convertible Bonds (cost $710,500)

                           

833,000

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Corporate Bonds – 15.8% (10.9% of Total Investments)

 
   

Commercial Services & Supplies – 0.6% (0.4% of Total Investments)

 

$

500

   

Ceridian Corporation

   

11.250

%

 

11/15/15

 

CCC

 

$

508,750

   
  816    

Harland Clarke Holdings

   

9.500

%

 

5/15/15

 

B-

   

819,060

   
  500    

Tervita Corporation, 144A

   

8.000

%

 

11/15/18

 

B2

   

518,125

   
  1,816    

Total Commercial Services & Supplies

                           

1,845,935

   
   

Communications Equipment – 0.6% (0.4% of Total Investments)

 
  1,000    

Nortel Networks Limited, (5)

   

0.000

%

 

7/15/11

 

N/R

   

1,055,000

   
  650    

Nortel Networks Limited, (5)

   

10.750

%

 

7/15/16

 

N/R

   

749,938

   
  1,650    

Total Communications Equipment

                           

1,804,938

   
   

Diversified Consumer Services – 0.3% (0.2% of Total Investments)

 
  900    

NES Rental Holdings Inc., 144A

   

7.875

%

 

5/01/18

 

CCC+

   

922,500

   
   

Diversified Telecommunication Services – 1.8% (1.3% of Total Investments)

 
  2,000    

IntelSat Limited, 144A

   

7.750

%

 

6/01/21

 

CCC+

   

2,105,000

   
  450    

IntelSat Limited

   

8.125

%

 

6/01/23

 

CCC+

   

483,750

   
  2,286    

Level 3 Communications Inc.

   

11.875

%

 

2/01/19

 

B-

   

2,634,615

   
  4,736    

Total Diversified Telecommunication Services

                           

5,223,365

   
   

Energy Equipment & Services – 0.2% (0.1% of Total Investments)

 
  500    

Offshore Group Investment Limited, 144A

   

7.125

%

 

4/01/23

 

B-

   

501,250

   
   

Health Care Equipment & Supplies – 1.0% (0.7% of Total Investments)

 
  2,025    

Kinetic Concepts

   

10.500

%

 

11/01/18

 

B

   

2,227,500

   
  625    

Rotech Healthcare Inc.

   

10.750

%

 

10/15/15

 

D

   

631,250

   
  2,650    

Total Health Care Equipment & Supplies

                           

2,858,750

   
   

Health Care Providers & Services – 1.9% (1.3% of Total Investments)

 
  1,000    

HCA Inc.

   

8.500

%

 

4/15/19

 

BB+

   

1,082,500

   
  325    

HCA Inc.

   

7.250

%

 

9/15/20

 

BB+

   

355,469

   
  600    

IASIS Healthcare Capital Corporation

   

8.375

%

 

5/15/19

 

CCC+

   

630,000

   
  1,000    

Truven Health Analytics Inc.

   

10.625

%

 

6/01/20

 

CCC+

   

1,095,000

   
  500    

Vanguard Health Holding LLC/Inc.

   

8.000

%

 

2/01/18

 

B-

   

530,625

   
  1,500    

Vanguard Health Holding LLC/Inc.

   

7.750

%

 

2/01/19

 

B-

   

1,610,623

   
  4,925    

Total Health Care Providers & Services

                           

5,304,217

   
   

Household Products – 1.7% (1.2% of Total Investments)

 
  2,600    

Reynolds Group

   

9.875

%

 

8/15/19

 

CCC+

   

2,808,000

   
  2,000    

Spectrum Brands Inc.

   

9.500

%

 

6/15/18

 

Ba3

   

2,205,000

   
  4,600    

Total Household Products

                           

5,013,000

   
   

IT Services – 0.4% (0.3% of Total Investments)

 
  1,000    

First Data Corporation, 144A

   

7.375

%

 

6/15/19

 

BB-

   

1,050,000

   
   

Machinery – 0.4% (0.3% of Total Investments)

 
  1,000    

HD Supply Inc.

   

8.125

%

 

4/15/19

 

B+

   

1,120,000

   

Nuveen Investments
29



NSL

Nuveen Senior Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Media – 3.1% (2.2% of Total Investments)

 

$

931

   

Clear Channel Communications, Inc.

   

11.000

%

 

8/01/16

 

CCC-

 

$

868,018

   
 

3,200

   

Clear Channel Communications, Inc.

   

5.500

%

 

12/15/16

 

CCC-

   

2,560,000

   
 

2,872

   

Clear Channel Communications, Inc.

   

9.000

%

 

12/15/19

 

CCC+

   

2,864,820

   
 

2,000

   

Clear Channel Communications, Inc.

   

9.000

%

 

3/01/21

 

CCC+

   

1,970,000

   
 

500

   

McGraw-Hill Global Education Holdings, 144A

   

9.750

%

 

4/01/21

 

BB

   

525,000

   
 

200

   

WMG Acquisition Group

   

11.500

%

 

10/01/18

 

B

   

231,500

   
 

9,703

   

Total Media

                           

9,019,338

   
   

Pharmaceuticals – 1.3% (0.9% of Total Investments)

 
 

2,000

   

Valeant Pharmaceuticals International, 144A

   

7.000

%

 

10/01/20

 

B1

   

2,120,000

   
 

500

   

Valeant Pharmaceuticals International, 144A

   

7.250

%

 

7/15/22

 

B1

   

531,250

   
 

1,000

   

VPII Escrow Corporation, 144A

   

7.500

%

 

7/15/21

 

B1

   

1,072,500

   
 

3,500

   

Total Pharmaceuticals

                           

3,723,750

   
   

Road & Rail – 0.2% (0.1% of Total Investments)

 
 

600

   

Avis Budget Car Rental

   

2.775

%

 

5/15/14

 

B+

   

600,006

   
   

Semiconductors & Equipment – 0.9% (0.6% of Total Investments)

 
 

1,075

   

Advanced Micro Devices, Inc.

   

7.750

%

 

8/01/20

 

B

   

1,061,563

   
 

1,500

   

Advanced Micro Devices, Inc.

   

7.500

%

 

8/15/22

 

B

   

1,455,000

   
 

2,575

   

Total Semiconductors & Equipment

                           

2,516,563

   
   

Software – 0.6% (0.4% of Total Investments)

 
 

850

   

Infor Us Inc.

   

11.500

%

 

7/15/18

 

B-

   

979,625

   
 

750

   

Infor Us Inc.

   

9.375

%

 

4/01/19

 

B-

   

838,125

   
 

1,600

   

Total Software

                           

1,817,750

   
   

Specialty Retail – 0.0% (0.0% of Total Investments)

 
 

480

   

Local Insight Regatta Holdings, (5), (8)

   

11.000

%

 

12/01/17

 

D

   

5

   
   

Wireless Telecommunication Services – 0.8% (0.5% of Total Investments)

 
 

500

   

FairPoint Communications Inc., 144A

   

8.750

%

 

8/15/19

 

B

   

505,000

   
 

1,750

   

MetroPCS Wireless Inc., 144A

   

6.250

%

 

4/01/21

 

BB

   

1,785,000

   
 

2,250

   

Total Wireless Telecommunication Services

                           

2,290,000

   

$

44,485

   

Total Corporate Bonds (cost $43,282,755)

                           

45,611,367

   
 

   

Total Long-Term Investments (cost $397,565,586)

                           

401,899,444

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

     

Value

 
   

Short-Term Investments – 6.2% (4.2% of Total Investments)

 

$

17,823

  Repurchase Agreement with Fixed Income Clearing Corporation, dated
7/31/13, repurchase price $17,822,619, collateralized by $18,220,000
U.S. Treasury Notes, 0.875%, due 4/30/17, value $18,180,153
  0.010
 
 

%

  8/01/13
 
 
         

$

17,822,614

 
       

Total Short-Term Investments (cost $17,822,614)

                           

17,822,614

   
       

Total Investments (cost $415,388,200) – 145.7%

                           

419,722,058

   
       

Borrowings – (42.7)% (9), (10)

                           

(123,000,000

)

 
       

Other Assets Less Liabilities – (3.0)% (11)

                           

(8,696,690

)

 
       

Net Assets Applicable to Common Shares – 100%

                         

$

288,025,368

   

Nuveen Investments
30



Investments in Derivatives as of July 31, 2013

Interest Rate Swaps outstanding:

Counterparty

  Notional
Amount
  Fund
Pay/Receive
Floating Rate
 

Floating Rate Index

  Fixed Rate
(Annualized)
  Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation) (11)
 

Goldman Sachs

 

$

18,487,500

   

Receive

  1-Month USD-LIBOR    

1.300

%

 

Monthly

 

4/20/14

 

$

(149,148

)

 

Morgan Stanley

   

18,487,500

   

Receive

  1-Month USD-LIBOR    

2.201

   

Monthly

 

4/20/16

   

(824,577

)

 
   

$

36,975,000

                       

$

(973,725

)

 

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

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

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

  (3)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (4)  Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States banks.

    Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

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

  (7)  For fair value measurement disclosure purposes, Common Stock classified as Level 2. See Notes to Financial Statements, Note 2— Investment Valuation and Fair Value Measurments for more information.

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

  (9)  Borrowings as a percentage of Total Investments is 29.3%.

  (10)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (11)  Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

  DD1  Portion of investment purchased on a delayed delivery basis.

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

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

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

  USD-LIBOR  United States Dollar—London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
31




JFR

Nuveen Floating Rate Income Fund

Portfolio of Investments

  July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Long-Term Investments – 140.1% (96.9% of Total Investments)

 
   

Variable Rate Senior Loan Interests – 113.7% (78.6% of Total Investments) (4)

 
   

Aerospace & Defense – 0.7% (0.5% of Total Investments)

 

$

2,024

   

Beechcraft Holdings LLC, Exit Term Loan B

   

5.750

%

 

2/15/20

 

BB-

 

$

2,040,253

   
  204    

Hamilton Sundstrand, Term Loan, First Lien

   

4.000

%

 

12/13/19

 

B1

   

204,414

   
  2,488    

Sequa Corporation, Term Loan B

   

5.250

%

 

6/19/17

 

B1

   

2,521,703

   
  4,716    

Total Aerospace & Defense

                           

4,766,370

   
   

Airlines – 4.1% (2.8% of Total Investments)

 
  4,000    

American Airlines, Inc., Exit Term Loan, WI/DD

 

TBD

 

TBD

 

Baa2

   

3,980,000

   
  10,945    

Delta Air Lines, Inc., Term Loan B1

   

4.000

%

 

10/18/18

 

Ba1

   

11,004,606

   
  1,990    

Delta Air Lines, Inc., Term Loan B2

   

3.250

%

 

4/18/16

 

Ba1

   

2,003,432

   
  6,476    

United Air Lines, Inc., Term Loan B

   

4.000

%

 

4/01/19

 

Ba2

   

6,545,060

   
  4,500    

US Airways, Inc., Term Loan B1, DD1

   

4.250

%

 

5/23/19

 

B+

   

4,507,312

   
  27,911    

Total Airlines

                           

28,040,410

   
   

Auto Components – 2.4% (1.6% of Total Investments)

 
  10,647    

Federal-Mogul Corporation, Tranche B, Term Loan, DD1

   

2.137

%

 

12/29/14

 

B1

   

10,486,241

   
  5,856    

Federal-Mogul Corporation, Tranche C, Term Loan, DD1

   

2.137

%

 

12/28/15

 

B1

   

5,767,439

   
  16,503    

Total Auto Components

                           

16,253,680

   
   

Beverages – 0.4% (0.3% of Total Investments)

 
  2,500    

Constellation Brands, Inc., Term Loan

   

2.750

%

 

5/01/20

 

BB+

   

2,505,312

   
   

Biotechnology – 0.9% (0.6% of Total Investments)

 
  5,854    

Grifols, Inc., Term Loan

   

4.250

%

 

6/01/17

 

Ba1

   

5,921,188

   
   

Capital Markets – 1.5% (1.0% of Total Investments)

 
  1,700    

American Capital, LTD., Senior Secured Term Loan

   

5.500

%

 

8/15/16

 

B+

   

1,711,135

   
  8,404    

Walter Investment Management Corporation, Tranche B, Term Loan, DD1

   

5.750

%

 

11/28/17

 

B+

   

8,496,011

   
  10,104    

Total Capital Markets

                           

10,207,146

   
   

Chemicals – 1.8% (1.2% of Total Investments)

 
  4,132    

Ineos US Finance LLC, Term Loan, First Lien

   

4.000

%

 

5/04/18

 

BB-

   

4,131,631

   
  1,250    

MacDermid, Inc., Tranche B, Term Loan, Second Lien

   

7.750

%

 

12/07/20

 

B-

   

1,268,750

   
  2,488    

PQ Corporation, Term Loan, First Lien

   

4.500

%

 

8/07/17

 

B+

   

2,512,375

   
  4,346    

Univar, Inc., Term Loan

   

5.000

%

 

6/30/17

 

B+

   

4,299,372

   
  12,216    

Total Chemicals

                           

12,212,128

   
   

Commercial Services & Supplies – 2.9% (2.0% of Total Investments)

 
  4,167    

Aramark Corporation, Term Loan, Tranche D

   

4.000

%

 

9/09/19

 

BB-

   

4,214,192

   
  672    

Brand Energy & Infrastructure Services, Inc., Canadian Tranche 1, Term Loan

   

6.250

%

 

10/23/18

 

B

   

685,225

   
  2,500    

Brand Energy & Infrastructure Services, Inc., Term Loan, Second Lien

   

11.000

%

 

10/23/19

 

CCC+

   

2,571,875

   
  2,800    

Brand Energy & Infrastructure Services, Inc., Term Loan

   

6.250

%

 

10/23/18

 

B

   

2,855,106

   
  572    

Brickman Group Holdings, Inc., Tranche B2, Term Loan

   

3.273

%

 

10/14/16

 

B+

   

577,155

   
  722    

Brickman Group Holdings, Inc., Tranche B3, Term Loan

   

4.000

%

 

9/28/18

 

B+

   

725,833

   
  629    

CCS Income Trust, Term Loan, First Lien

   

6.250

%

 

5/12/18

 

B2

   

633,995

   
  3,299    

Ceridian Corporation, Extended Term Loan

   

5.942

%

 

5/09/17

 

B1

   

3,328,820

   
  3,477    

Harland Clarke Holdings Corporation, Term Loan B3

   

7.000

%

 

5/22/18

 

B+

   

3,448,041

   
  988    

Houghton Mifflin, Term Loan

   

5.250

%

 

5/22/18

 

B2

   

995,523

   

Nuveen Investments
32



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Commercial Services & Supplies (continued)  

$

90

   

Vertrue Inc., Term Loan, First Lien

   

15.000

%

 

2/04/18

 

N/R

 

$

90,556

   
  19,916    

Total Commercial Services & Supplies

                           

20,126,321

   
   

Communications Equipment – 1.2% (0.8% of Total Investments)

 
  3,234    

Alcatel-Lucent, Term Loan C

   

7.250

%

 

1/29/19

 

B+

   

3,310,181

   
  2,494    

Arris Group, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB-

   

2,492,710

   
  2,168    

Riverbed Technology, Inc., Term Loan

   

4.000

%

 

12/18/19

 

BBB-

   

2,192,808

   
  7,896    

Total Communications Equipment

                           

7,995,699

   
   

Computers & Peripherals – 0.4% (0.2% of Total Investments)

 
  2,388    

SunGard Data Systems, Inc., Term Loan D

   

4.500

%

 

1/31/20

 

BB

   

2,421,831

   
   

Consumer Finance – 1.0% (0.7% of Total Investments)

 
  969    

Jackson Hewitt Tax Service, Inc., Term Loan

   

10.000

%

 

10/16/17

 

N/R

   

946,953

   
  4,713    

Royalty Pharma Finance Trust, Incremental Term Loan

   

4.000

%

 

11/09/18

 

Baa2

   

4,734,804

   
  1,440    

Springleaf Financial Funding Company, Term Loan

   

5.500

%

 

5/10/17

 

B

   

1,444,140

   
  7,122    

Total Consumer Finance

                           

7,125,897

   
   

Containers & Packaging – 0.4% (0.3% of Total Investments)

 
  2,937    

Reynolds Group Holdings, Inc., Term Loan

   

4.750

%

 

9/28/18

 

B+

   

2,975,371

   
   

Distributors – 1.6% (1.1% of Total Investments)

 
  10,953    

HD Supply, Inc., Term Loan B, DD1

   

4.500

%

 

10/12/17

 

B+

   

11,074,992

   
   

Diversified Consumer Services – 1.0% (0.7% of Total Investments)

 
  4,393    

Cengage Learning Acquisitions, Inc., Term Loan, (5)

   

0.000

%

 

7/03/14

 

D

   

3,245,608

   
  3,930    

Laureate Education, Inc., Extended Term Loan

   

5.250

%

 

6/15/18

 

B1

   

3,938,637

   
  8,323    

Total Diversified Consumer Services

                           

7,184,245

   
   

Diversified Financial Services – 4.0% (2.8% of Total Investments)

 
  2,867    

Citco III Limited, Term Loan B

   

4.250

%

 

6/29/18

 

N/R

   

2,877,281

   
  3,000    

Guggenheim Partners LLC, Initial Term Loan

   

4.250

%

 

7/22/20

 

N/R

   

3,039,375

   
  3,500    

Home Loan Servicing Solutions, Ltd., Term Loan B

   

4.500

%

 

6/26/20

 

BB-

   

3,528,350

   
  5,237    

Ocwen Financial Corporation, Term Loan B

   

5.000

%

 

2/05/18

 

B1

   

5,315,428

   
  12,794    

WideOpenWest Finance LLC, Term Loan B

   

4.750

%

 

4/01/19

 

B1

   

12,958,375

   
  27,398    

Total Diversified Financial Services

                           

27,718,809

   
   

Diversified Telecommunication Services – 2.3% (1.6% of Total Investments)

 
  3,000    

Charter Communications Operating Holdings LLC, Holdco Term Loan

   

2.686

%

 

3/06/14

 

BB+

   

3,009,750

   
  1,750    

Charter Communications Operating Holdings LLC, Term Loan E

   

3.000

%

 

7/01/20

 

BB+

   

1,747,048

   
  5,750    

Intelsat Jackson Holdings, Ltd., Term Loan B1

   

4.250

%

 

4/02/18

 

BB-

   

5,802,480

   
  5,167    

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

   

5.250

%

 

8/01/19

 

Ba2

   

5,211,849

   
  15,667    

Total Diversified Telecommunication Services

                           

15,771,127

   
   

Electric Utilities – 0.8% (0.5% of Total Investments)

 
  2,000    

Equipower Resources Holdings LLC, Term Loan C, WI/DD

 

TBD

 

TBD

 

BB

   

2,015,000

   
  4,781    

TXU Corporation, 2014 Term Loan

   

3.721

%

 

10/10/14

 

B2

   

3,428,318

   
  6,781    

Total Electric Utilities

                           

5,443,318

   
   

Electronic Equipment & Instruments – 0.7% (0.5% of Total Investments)

 
  5,321    

SMART Modular Technologies, Inc., Term Loan B

   

8.250

%

 

8/26/17

 

B

   

4,855,641

   
   

Food & Staples Retailing – 2.3% (1.6% of Total Investments)

 
  1,811    

Albertson's LLC, Term Loan B1

   

4.250

%

 

3/21/16

 

BB-

   

1,829,621

   
  1,182    

Albertson's LLC, Term Loan B2

   

4.750

%

 

3/21/19

 

BB-

   

1,190,417

   
  1,500    

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

   

5.750

%

 

8/21/20

 

B-

   

1,546,312

   
  2,500    

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

   

4.875

%

 

6/21/21

 

B-

   

2,521,875

   
  3,193    

Supervalu, Inc., New Term Loan B, DD1

   

5.000

%

 

3/21/19

 

B+

   

3,228,547

   
  5,775    

Wilton Products, Inc., Tranche B, Term Loan

   

7.500

%

 

8/30/18

 

B1

   

5,800,266

   
  15,961    

Total Food & Staples Retailing

                           

16,117,038

   

Nuveen Investments
33



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Food Products – 7.8% (5.4% of Total Investments)

 

$

3,980

   

AdvancePierre Foods, Inc., Term Loan, First Lien

   

5.750

%

 

7/10/17

 

B1

 

$

4,031,410

   
  1,800    

AdvancePierre Foods, Inc., Term Loan, Second Lien

   

9.500

%

 

10/10/17

 

CCC+

   

1,839,749

   
  1,287    

BJ's Wholesale Club, Inc., Term Loan, First Lien

   

4.250

%

 

9/26/19

 

B

   

1,294,480

   
  998    

Dole Food Company, Inc., Term Loan

   

3.752

%

 

4/01/20

 

Ba3

   

999,370

   
  1,066    

Ferrara Candy Company, Term Loan B

   

7.504

%

 

6/18/18

 

B

   

1,066,498

   
  17,400    

H.J Heinz Company, Term Loan B2

   

3.500

%

 

6/05/20

 

BB

   

17,587,294

   
  4,477    

Michael Foods Group, Inc., Term Loan

   

4.250

%

 

2/25/18

 

Ba3

   

4,544,481

   
  2,993    

Pinnacle Foods Finance LLC, Term Loan G

   

3.250

%

 

4/29/20

 

BB-

   

2,998,111

   
  1,000    

Sprouts Farmers Market Holdings LLC, Term Loan

   

4.500

%

 

4/23/20

 

B+

   

1,002,500

   
  18,179    

US Foods, Inc., Incremental Term Loan

   

4.500

%

 

3/31/19

 

B2

   

18,237,748

   
  53,180    

Total Food Products

                           

53,601,641

   
   

Health Care Equipment & Supplies – 2.9% (2.0% of Total Investments)

 
  2,323    

Hologic, Inc., Term Loan B

   

4.500

%

 

8/01/19

 

BBB-

   

2,337,332

   
  9,851    

Kinetic Concepts, Inc., Term Loan D1

   

4.500

%

 

5/04/18

 

Ba2

   

9,976,714

   
  6,000    

Onex Carestream Finance LP, Term Loan, First Lien

   

5.000

%

 

6/07/19

 

B+

   

6,046,248

   
  2,000    

Onex Carestream Finance LP, Term Loan, Second Lien

   

9.500

%

 

12/07/19

 

B-

   

1,983,334

   
  20,174    

Total Health Care Equipment & Supplies

                           

20,343,628

   
   

Health Care Providers & Services – 10.9% (7.5% of Total Investments)

 
  5,985    

Apria Healthcare Group, Inc., Term Loan, First Lien

   

6.750

%

 

4/06/20

 

BB-

   

6,041,109

   
  1,406    

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

   

6.750

%

 

7/02/18

 

B+

   

1,414,260

   
  2,031    

BioScrip, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

2,054,102

   
  9,950    

DaVita, Inc., New Term Loan B2

   

4.000

%

 

11/01/19

 

Ba2

   

10,019,292

   
  1,544    

Genesis Healthcare LLC, Term Loan

   

10.002

%

 

12/04/17

 

B+

   

1,577,527

   
  4,852    

Gentiva Health Services, Inc., Term Loan B

   

6.500

%

 

8/17/16

 

B+

   

4,870,051

   
  13,565    

Golden Living, Term Loan

   

5.000

%

 

5/04/18

 

B1

   

13,183,490

   
  1,325    

HCA, Inc., Tranche B5, Term Loan

   

3.026

%

 

3/31/17

 

BB

   

1,330,783

   
  2,910    

Health Management Associates, Inc., Replacement Term Loan B

   

3.500

%

 

11/16/18

 

BB-

   

2,922,539

   
  2,985    

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

   

6.250

%

 

12/21/18

 

Ba3

   

3,013,605

   
  2,000    

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

   

9.750

%

 

6/20/19

 

CCC+

   

2,047,500

   
  2,586    

Kindred Healthcare, Inc., Term Loan B1

   

4.250

%

 

6/01/18

 

Ba3

   

2,587,815

   
  1,848    

LHP Operations Co. LLC, Term Loan B

   

9.000

%

 

7/03/18

 

B

   

1,875,720

   
  3,970    

National Mentor Holdings, Inc., Term Loan B

   

6.500

%

 

2/09/17

 

B+

   

3,996,853

   
  3,717    

Select Medical Corporation, Term Loan B

   

4.002

%

 

6/01/18

 

Ba2

   

3,737,834

   
  4,950    

Sheridan Holdings, Inc., Term Loan, First Lien

   

4.500

%

 

6/29/18

 

B+

   

4,988,488

   
  1,750    

Sheridan Holdings, Inc., Term Loan, Second Lien

   

9.000

%

 

7/01/19

 

B-

   

1,765,312

   
  1,270    

Skilled Healthcare Group, Inc., Term Loan

   

6.788

%

 

4/09/16

 

B1

   

1,279,297

   
  6,525    

Vanguard Health Holding Company II LLC, Term Loan B

   

3.750

%

 

1/29/16

 

Ba2

   

6,554,672

   
  75,169    

Total Health Care Providers & Services

                           

75,260,249

   
   

Hotels, Restaurants & Leisure – 4.7% (3.2% of Total Investments)

 
  4,850    

24 Hour Fitness Worldwide, Inc., Term Loan B

   

5.250

%

 

4/22/16

 

Ba3

   

4,910,657

   
  2,037    

BLB Management Services, Inc., Term Loan

   

5.250

%

 

11/10/18

 

BB-

   

2,063,773

   
  3,095    

Caesars Entertainment Operating Company, Inc., Term Loan B6

   

5.440

%

 

1/28/18

 

B-

   

2,751,984

   
  1,749    

CCM Merger, Inc., Term Loan

   

5.000

%

 

3/01/17

 

B+

   

1,768,931

   
  4,919    

Landry's Restaurants, Inc., Term Loan B

   

4.750

%

 

4/24/18

 

BB-

   

4,986,383

   
  2,985    

MGM Resorts International, Term Loan B

   

3.500

%

 

12/20/19

 

BB

   

2,994,316

   
  4,000    

Scientific Games Corporation, Term Loan B, WI/DD

 

TBD

 

TBD

 

Ba2

   

3,995,000

   
  3,427    

Seaworld Parks and Entertainment, Inc., Term Loan B2

   

3.000

%

 

5/14/20

 

BB-

   

3,425,622

   
  1,347    

Six Flags Theme Parks, Inc., Term Loan B, First Lien

   

4.001

%

 

12/20/18

 

BB+

   

1,363,753

   
  3,990    

Station Casino LLC, Term Loan B

   

5.000

%

 

3/02/20

 

B1

   

4,033,108

   
  32,399    

Total Hotels, Restaurants & Leisure

                           

32,293,527

   
   

Household Durables – 1.5% (1.0% of Total Investments)

 
  2,736    

AOT Bedding Super Holdings LLC, Term Loan B

   

5.000

%

 

10/01/19

 

B+

   

2,763,369

   
  1,413    

Spectrum Brands, Inc., Term Loan

   

4.510

%

 

12/17/19

 

Ba3

   

1,426,751

   
  3,990    

Sun Products Corporation, Term Loan

   

5.500

%

 

3/23/20

 

B1

   

3,994,988

   

Nuveen Investments
34



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Household Durables (continued)  

$

2,119

   

Tempur-Pedic International, Inc., New Term Loan B

   

3.500

%

 

3/18/20

 

BB

 

$

2,115,371

   
  10,258    

Total Household Durables

                           

10,300,479

   
   

Industrial Conglomerates – 1.5% (1.1% of Total Investments)

 
  8,484    

DuPont Performance Coatings, Dollar Term Loan B, DD1

   

4.750

%

 

2/03/20

 

B+

   

8,577,869

   
  1,959    

Rexnord LLC, New Term Loan B

   

3.750

%

 

4/01/18

 

BB

   

1,970,856

   
  10,443    

Total Industrial Conglomerates

                           

10,548,725

   
   

Insurance – 1.6% (1.1% of Total Investments)

 
  2,885    

Sedgwick Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/12/18

 

B+

   

2,913,462

   
  4,478    

USI Holdings Corporation, Term Loan B

   

5.250

%

 

12/27/19

 

B1

   

4,521,715

   
  3,369    

Vantage Drilling Company, Term Loan B

   

6.250

%

 

10/25/17

 

B-

   

3,396,822

   
  10,732    

Total Insurance

                           

10,831,999

   
   

Internet & Catalog Retail – 0.8% (0.6% of Total Investments)

 
  5,473    

EIG Investors Corp., Term Loan, First Lien

   

6.250

%

 

11/09/19

 

B1

   

5,520,384

   
   

Internet Software & Services – 1.4% (1.0% of Total Investments)

 
  2,313    

Sabre Inc., Term Loan C

   

4.000

%

 

2/19/18

 

B1

   

2,330,422

   
  3,483    

Sabre, Inc., Term Loan B

   

5.250

%

 

2/19/19

 

B1

   

3,533,104

   
  3,870    

SSI Investments II, Ltd., New Term Loan

   

5.000

%

 

5/26/17

 

Ba3

   

3,904,199

   
  9,666    

Total Internet Software & Services

                           

9,767,725

   
   

IT Services – 2.7% (1.9% of Total Investments)

 
  3,645    

CompuCom Systems, Inc., Term Loan B

   

4.250

%

 

5/09/20

 

B1

   

3,676,454

   
  2,500    

EIG Investors Corp., Term Loan, Second Lien

   

10.250

%

 

5/09/20

 

CCC+

   

2,515,625

   
  918    

SRA International, Term Loan

   

6.500

%

 

7/20/18

 

B1

   

922,397

   
  760    

SunGard Data Systems, Inc., Term Loan B

   

1.942

%

 

2/28/14

 

BB

   

760,732

   
  2,993    

SunGard Data Systems, Inc., Term Loan E

   

4.000

%

 

3/08/20

 

BB

   

3,020,049

   
  2,325    

VFH Parent LLC, Term Loan B

   

5.775

%

 

7/08/16

 

N/R

   

2,348,279

   
  5,346    

Zayo Group LLC, Term Loan B

   

4.500

%

 

7/02/19

 

B1

   

5,398,626

   
  18,487    

Total IT Services

                           

18,642,162

   
   

Leisure Equipment & Products – 2.0% (1.4% of Total Investments)

 
  6,789    

Bombardier Recreational Products, Inc., Term Loan

   

4.000

%

 

1/30/19

 

B+

   

6,814,029

   
  3,242    

Equinox Holdings, Inc., New Initial Term Loan B

   

4.501

%

 

1/31/20

 

B1

   

3,266,189

   
  3,000    

Four Seasons Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/27/20

 

BB-

   

3,041,250

   
  1,000    

Four Seasons Holdings, Inc., Term Loan, Second Lien

   

6.250

%

 

12/27/20

 

B-

   

1,025,000

   
  14,031    

Total Leisure Equipment & Products

                           

14,146,468

   
   

Machinery – 0.7% (0.5% of Total Investments)

 
  5,000    

Gardner Denver, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B1

   

5,025,000

   
   

Media – 10.2% (7.1% of Total Investments)

 
  819    

Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan, (5)

   

0.000

%

 

7/04/17

 

D

   

608,877

   
  1,247    

Clear Channel Communications, Inc., Tranche D, Term Loan, WI/DD

 

TBD

 

TBD

 

CCC+

   

1,152,613

   
  2,744    

Cumulus Media, Inc., Term Loan B, First Lien

   

4.500

%

 

9/18/18

 

Ba2

   

2,773,368

   
  4,503    

Cumulus Media, Inc., Term Loan, Second Lien

   

7.500

%

 

9/16/19

 

B3

   

4,624,882

   
  3,000    

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

   

5.500

%

 

6/17/20

 

BB-

   

3,030,000

   
  1,998    

EMI Music Publishing LLC, Term Loan B

   

4.250

%

 

6/29/18

 

BB-

   

2,019,352

   
  993    

FoxCo Acquisition Sub LLC, Initial Term Loan

   

5.500

%

 

7/14/17

 

B

   

1,004,909

   
  2,171    

Interactive Data Corporation, Term Loan

   

3.750

%

 

1/31/18

 

Ba3

   

2,179,070

   
  2,992    

Internet Brands, Inc., Term Loan B

   

6.250

%

 

3/18/19

 

B+

   

3,005,592

   
  3,990    

McGraw-Hill Education Holdings LLC, Term Loan

   

9.000

%

 

3/22/19

 

B2

   

4,017,431

   
  3,000    

Media General, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

BB-

   

3,002,814

   
  1,985    

Mediacom Broadband LLC, Tranche G, Term Loan

   

4.000

%

 

1/20/20

 

Ba3

   

1,989,135

   
  3,951    

Radio One, Inc., Term Loan B, First Lien

   

7.500

%

 

2/14/17

 

B+

   

4,060,108

   
  3,000    

Springer Science & Business Media, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

2,968,125

   

Nuveen Investments
35



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Media (continued)  

$

750

   

Weather Channel Corporation, Term Loan, Second Lien

   

7.000

%

 

6/26/20

 

B3

 

$

769,687

   
  6,302    

Tribune Company, Exit Term Loan B

   

4.000

%

 

12/17/19

 

BB+

   

6,354,494

   
  17,937    

Univision Communications, Inc., Term Loan C1

   

4.500

%

 

3/01/20

 

B+

   

18,059,519

   
  3,000    

UPC Broadband Holding BV, Term Loan AF

   

4.000

%

 

1/31/21

 

BB-

   

3,023,439

   
  2,000    

UPC Broadband Holding BV, Term Loan AH

   

3.250

%

 

6/30/21

 

BB-

   

2,000,834

   
  1,000    

Virgin Media Investment Holdings, Term Loan B

   

3.500

%

 

6/08/20

 

BB-

   

1,000,486

   
  2,034    

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

   

3.750

%

 

7/01/20

 

BB-

   

2,043,384

   
  4,681    

Yell Group PLC, Term Loan, (5)

   

0.000

%

 

7/31/14

 

N/R

   

1,006,438

   
  74,097    

Total Media

                           

70,694,557

   
   

Multiline Retail – 0.6% (0.4% of Total Investments)

 
  2,158    

99 Cents Only Stores, Term Loan B1

   

5.253

%

 

1/11/19

 

B+

   

2,179,798

   
  2,000    

Neiman Marcus Group, Inc., Term Loan

   

4.000

%

 

5/16/18

 

B+

   

2,008,594

   
  4,158    

Total Multiline Retail

                           

4,188,392

   
   

Multi-Utilities – 0.1% (0.1% of Total Investments)

 
  993    

ADS Waste Holdings, Inc., Term Loan B

   

4.250

%

 

8/05/19

 

B+

   

1,000,767

   
   

Oil, Gas & Consumable Fuels – 4.1% (2.8% of Total Investments)

 
  2,754    

Crestwood Holdings LLC, Term Loan B

   

7.000

%

 

6/19/19

 

B

   

2,808,988

   
  169    

Energy Transfer Partners LP, Term Loan B

   

3.750

%

 

3/24/17

 

BB

   

170,461

   
  2,500    

EP Energy LLC, Term Loan B3, Second Lien

   

3.500

%

 

5/24/18

 

Ba3

   

2,504,948

   
  1,341    

Frac Tech International LLC, Term Loan

   

8.500

%

 

5/06/16

 

B+

   

1,339,645

   
  4,000    

Harvey Gulf International Marine, Inc., Term Loan B

   

5.500

%

 

6/18/20

 

B1

   

4,065,000

   
  7,000    

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

   

6.000

%

 

3/31/21

 

B+

   

7,096,250

   
  3,000    

Pacific Drilling S.A., Term Loan B

   

4.500

%

 

6/03/18

 

B+

   

3,021,000

   
  2,743    

Rice Drilling LLC., Term Loan, Second Lien

   

8.500

%

 

10/25/18

 

N/R

   

2,715,694

   
  2,500    

Samson Investment Company, Initial Term Loan, Second Lien

   

6.000

%

 

9/25/18

 

B1

   

2,532,812

   
  1,995    

Saxon Energy Services, Inc., Term Loan

   

5.500

%

 

2/13/19

 

Ba3

   

2,006,222

   
  28,002    

Total Oil, Gas & Consumable Fuels

                           

28,261,020

   
   

Personal Products – 0.1% (0.0% of Total Investments)

 
  429    

Prestige Brands, Inc., Term Loan B1

   

3.778

%

 

1/31/19

 

BB-

   

434,071

   
   

Pharmaceuticals – 8.1% (5.6% of Total Investments)

 
  1,219    

BioScrip, Inc., Term Loan B, WI/DD

 

TBD

 

TBD

 

B

   

1,232,461

   
  2,628    

ConvaTec Healthcare, Incremental Term Loan B

   

5.000

%

 

12/22/16

 

Ba3

   

2,642,240

   
  1,726    

Generic Drug Holdings, Inc., Term Loan B

   

5.000

%

 

10/29/19

 

B+

   

1,736,155

   
  5,625    

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)

   

0.000

%

 

5/03/13

 

N/R

   

168,750

   
  69    

Graceway Pharmaceuticals LLC, Term Loan, (5)

   

0.000

%

 

5/03/12

 

N/R

   

76,019

   
  3,639    

Par Pharmaceutical Companies, Inc., Additional Term Loan B1

   

4.250

%

 

9/30/19

 

B+

   

3,656,434

   
  5,905    

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

   

4.250

%

 

12/01/18

 

Ba3

   

5,960,591

   
  7,971    

Quintiles Transnational Corp., Term Loan B2

   

4.500

%

 

6/08/18

 

BB-

   

8,061,350

   
  3,483    

Therakos, Inc., Term Loan, First Lien

   

7.500

%

 

12/27/17

 

B

   

3,495,559

   
  4,913    

Valeant Pharmaceuticals International, Inc., Series D, Term Loan

   

3.500

%

 

2/19/19

 

BBB-

   

4,968,797

   
  14,000    

Valeant Pharmaceuticals International, Inc., Term Loan E, WI/DD

 

TBD

 

TBD

 

Ba1

   

14,204,750

   
  1,589    

Warner Chilcott Company LLC, Additional Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

1,592,840

   
  3,649    

Warner Chilcott Corporation, Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

3,658,973

   
  223    

Warner Chilcott Corporation, Term Loan B2

   

4.250

%

 

3/15/18

 

BBB-

   

223,909

   
  2,876    

Warner Chilcott Corporation, Term Loan B3

   

4.250

%

 

3/15/18

 

BBB-

   

2,883,335

   
  1,542    

Warner Chilcott Corporation, Term Loan B4

   

3.186

%

 

8/15/17

 

BBB-

   

1,544,076

   
  308    

Warner Chilcott Corporation, Term Loan B5

   

3.186

%

 

8/20/17

 

BBB-

   

308,815

   
  61,365    

Total Pharmaceuticals

                           

56,415,054

   
   

Real Estate Investment Trust – 1.8% (1.3% of Total Investments)

 
  3,000    

Capital Automotive LP, Term Loan, Second Lien

   

6.000

%

 

4/30/20

 

B1

   

3,097,500

   
  10    

iStar Financial, Inc., Term Loan, Tranche A1

   

5.250

%

 

3/19/16

 

BB-

   

10,119

   
  5,465    

iStar Financial, Inc., Term Loan, DD1

   

4.500

%

 

10/15/17

 

BB-

   

5,496,290

   
  3,990    

Starwood Property Trust, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB+

   

3,999,975

   
  12,465    

Total Real Estate Investment Trust

                           

12,603,884

   

Nuveen Investments
36



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Real Estate Management & Development – 1.7% (1.2% of Total Investments)

 

$

6,797

   

Capital Automotive LP, Term Loan, Tranche B1, DD1

   

4.000

%

 

4/10/19

 

Ba2

 

$

6,862,469

   
  4,988    

Realogy Corporation, Term Loan B

   

4.500

%

 

3/05/20

 

BB-

   

5,046,727

   
  11,785    

Total Real Estate Management & Development

                           

11,909,196

   
   

Road & Rail – 0.6% (0.4% of Total Investments)

 
  3,910    

Swift Transportation Company, Inc., Term Loan B2

   

4.000

%

 

12/21/17

 

BB

   

3,951,641

   
   

Semiconductors & Equipment – 2.1% (1.5% of Total Investments)

 
  3,990    

Freescale Semiconductor, Inc., Term Loan, Tranche B4

   

5.000

%

 

2/28/20

 

B1

   

4,036,551

   
  2,984    

NXP Semiconductor LLC, Incremental Term Loan C

   

4.750

%

 

1/10/20

 

B+

   

3,049,676

   
  5,860    

NXP Semiconductor LLC, Term Loan

   

4.500

%

 

3/03/17

 

B1

   

5,969,977

   
  1,448    

Spansion LLC, Term Loan B

   

5.250

%

 

12/13/18

 

BB+

   

1,459,360

   
  14,282    

Total Semiconductors & Equipment

                           

14,515,564

   
   

Software – 8.7% (6.0% of Total Investments)

 
  6,004    

Attachmate Corporation, Term Loan, First Lien

   

7.250

%

 

11/22/17

 

BB-

   

6,074,829

   
  2,957    

Blackboard, Inc., Term Loan B2

   

6.250

%

 

10/04/18

 

B+

   

2,996,089

   
  3,561    

Datatel Parent Corp, Term Loan B, DD1

   

4.500

%

 

7/19/18

 

B+

   

3,599,787

   
  7,565    

Emdeon Business Services LLC, Term Loan B2, DD1

   

3.750

%

 

11/02/18

 

BB-

   

7,621,306

   
  653    

Epicor Software Corporation, Term Loan, B1

   

4.500

%

 

5/16/18

 

Ba3

   

658,446

   
  1,985    

Explorer Holdings, Inc., Term Loan

   

6.000

%

 

5/02/18

 

B+

   

1,996,191

   
  1,752    

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

   

4.000

%

 

2/08/20

 

B+

   

1,756,705

   
  13,960    

Infor Enterprise Applications, Term Loan B

   

5.250

%

 

4/05/18

 

Ba3

   

14,116,287

   
  4,207    

IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien

   

7.750

%

 

7/31/17

 

B1

   

4,183,321

   
  8,500    

IPC Systems, Inc., Term Loan, Second Lien

   

5.436

%

 

6/01/15

 

CCC

   

7,140,000

   
  6,451    

Misys PLC, Term Loan, First Lien

   

7.250

%

 

12/12/18

 

Ba3

   

6,527,052

   
  1,990    

RedPrairie Corporation, Term Loan, First Lien

   

6.750

%

 

12/21/18

 

B+

   

2,010,788

   
  1,529     SS&C Technologies, Inc./ Sunshine Acquisition II, Inc.
2013 Replacement Term Loan B1
   

3.500

%

 

6/07/19

 

BB

   

1,533,293

   
  158     SS&C Technologies, Inc./ Sunshine Acquisition II, Inc.
2013 Replacement Term Loan B2
   

3.500

%

 

6/07/19

 

BB

   

158,649

   
  61,272    

Total Software

                           

60,372,743

   
   

Specialty Retail – 2.8% (1.9% of Total Investments)

 
  2,000    

Charlotte Russe, Inc., Initial Term Loan

   

6.750

%

 

5/22/19

 

B2

   

1,963,750

   
  3,639    

Collective Brands, Inc., Term Loan B

   

7.250

%

 

10/09/19

 

B

   

3,695,618

   
  416    

J Crew Group, Term Loan B1

   

4.000

%

 

3/07/18

 

B1

   

419,006

   
  7,000    

J.C. Penney Corporation, Inc., Term Loan, First Lien

   

6.000

%

 

5/22/18

 

B2

   

7,065,625

   
  3,802    

Jo-Ann Stores, Inc., Term Loan, First Lien

   

4.000

%

 

3/16/18

 

B+

   

3,818,505

   
  2,194    

Petco Animal Supplies, Inc., Term Loan B

   

4.000

%

 

11/24/17

 

Ba3

   

2,210,374

   
  19,051    

Total Specialty Retail

                           

19,172,878

   
   

Trading Companies & Distributors – 0.2% (0.2% of Total Investments)

 
  1,684    

Wesco Distribution, Inc., Term Loan B

   

4.500

%

 

12/04/19

 

Ba3

   

1,698,881

   
   

Wireless Telecommunication Services – 3.7% (2.6% of Total Investments)

 
  10,001    

Asurion LLC, Term Loan B1

   

4.500

%

 

5/24/19

 

B+

   

10,015,320

   
  4,333    

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

   

3.836

%

 

1/29/16

 

CCC+

   

4,072,623

   
  4,000    

Cricket Communications, Inc., Term Loan C

   

4.750

%

 

3/08/20

 

Ba3

   

4,033,752

   
  4,987    

Fairpoint Communications, Inc., Term Loan B

   

7.500

%

 

2/11/19

 

B

   

4,968,019

   
  993    

IPC Systems, Inc., Term Loan, Tranche C, First Lien

   

7.750

%

 

7/31/17

 

B1

   

968,928

   
  1,855    

Presidio, Inc., New Term Loan

   

5.750

%

 

3/31/17

 

Ba3

   

1,859,286

   
  26,169    

Total Wireless Telecommunication Services

                           

25,917,928

   

$

795,141

   

Total Variable Rate Senior Loan Interests (cost $783,386,133)

                           

786,135,086

   

Nuveen Investments
37



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of Investments July 31, 2013

Shares  

Description (1)

             

Value

 
   

Common Stocks – 4.6% (3.2% of Total Investments)

 
   

Building Products – 2.2% (1.5% of Total Investments)

 
  301,905    

Masonite Worldwide Holdings, (6)

                         

$

15,095,250

   
   

Health Care Providers & Services – 0.2% (0.1% of Total Investments)

 
  11,176    

LifeCare Holdings Private Stock, (6), (7)

                           

1,452,880

   
   

Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)

 
  42,041    

BLB Worldwide Holdings Inc., (6), (7)

                           

972,198

   
  2,670    

Buffets Term Loan, (6), (7)

                           

15,353

   
   

Total Hotels. Restaurants & Leisure

                           

987,551

   
   

Media – 2.1% (1.5% of Total Investments)

 
  203,449    

Metro-Goldwyn-Mayer, (6), (7)

                           

11,037,108

   
  57,088    

Tribune Company, (6)

                           

3,607,962

   
  45,942    

Tribune Company, (8)

                           

   
   

Total Media

                           

14,645,070

   
   

Professional Services – 0.0% (0.0% of Total Investments)

 
  47,152    

Vertrue, Inc., (7)

                           

28,291

   
   

Total Common Stocks (cost $32,268,773)

                           

32,209,042

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Convertible Bonds – 0.3% (0.2% of Total Investments)

 
   

Communications Equipment – 0.3% (0.2% of Total Investments)

 

$

850

   

Nortel Networks Corp., (5)

   

1.750

%

 

4/15/12

 

N/R

 

$

833,000

   
  1,000    

Nortel Networks Corp., (5)

   

2.125

%

 

4/15/14

 

N/R

   

982,500

   

$

1,850

   

Total Convertible Bonds (cost $1,563,750)

                           

1,815,500

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Corporate Bonds – 14.3% (9.9% of Total Investments)

 
   

Commercial Services & Supplies – 0.5% (0.4% of Total Investments)

 

$

1,000

   

Ceridian Corporation

   

11.250

%

 

11/15/15

 

CCC

 

$

1,017,500

   
  1,631    

Harland Clarke Holdings

   

9.500

%

 

5/15/15

 

B-

   

1,637,116

   
  1,000    

Tervita Corporation, 144A

   

8.000

%

 

11/15/18

 

B2

   

1,036,250

   
  3,631    

Total Commercial Services & Supplies

                           

3,690,866

   
   

Communications Equipment – 0.7% (0.5% of Total Investments)

 
  4,000    

Nortel Networks Limited, (5)

   

0.000

%

 

7/15/11

 

N/R

   

4,220,000

   
  650    

Nortel Networks Limited, (5)

   

10.750

%

 

7/15/16

 

N/R

   

749,938

   
  4,650    

Total Communications Equipment

                           

4,969,938

   
   

Diversified Consumer Services – 0.1% (0.1% of Total Investments)

 
  700    

NES Rental Holdings Inc., 144A

   

7.875

%

 

5/01/18

 

CCC+

   

717,500

   
   

Diversified Telecommunication Services – 1.8% (1.2% of Total Investments)

 
  1,500    

Consolidated Communications Finance Company

   

10.875

%

 

6/01/20

 

B-

   

1,725,000

   
  4,000    

IntelSat Limited, 144A

   

7.750

%

 

6/01/21

 

CCC+

   

4,210,000

   
  1,050    

IntelSat Limited

   

8.125

%

 

6/01/23

 

CCC+

   

1,128,750

   
  4,611    

Level 3 Communications Inc.

   

11.875

%

 

2/01/19

 

B-

   

5,314,178

   
  11,161    

Total Diversified Telecommunication Services

                           

12,377,928

   
   

Energy Equipment & Services – 0.2% (0.1% of Total Investments)

 
  1,000    

Offshore Group Investment Limited, 144A

   

7.125

%

 

4/01/23

 

B-

   

1,002,500

   

Nuveen Investments
38



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Health Care Equipment & Supplies – 0.7% (0.5% of Total Investments)

 

$

3,250

   

Kinetic Concepts

   

10.500

%

 

11/01/18

 

B

 

$

3,575,000

   
  1,455    

Rotech Healthcare Inc.

   

10.750

%

 

10/15/15

 

D

   

1,469,550

   
  4,705    

Total Health Care Equipment & Supplies

                           

5,044,550

   
   

Health Care Providers & Services – 1.7% (1.2% of Total Investments)

 
  2,000    

Aurora Diagnostics Holdings LLC

   

10.750

%

 

1/15/18

 

Caa1

   

1,180,000

   
  3,750    

HCA Inc.

   

8.500

%

 

4/15/19

 

BB+

   

4,059,375

   
  725    

HCA Inc.

   

7.250

%

 

9/15/20

 

BB+

   

792,969

   
  1,200    

IASIS Healthcare Capital Corporation

   

8.375

%

 

5/15/19

 

CCC+

   

1,260,000

   
  1,000    

Truven Health Analytics Inc.

   

10.625

%

 

6/01/20

 

CCC+

   

1,095,000

   
  500    

Vanguard Health Holding LLC/Inc.

   

8.000

%

 

2/01/18

 

B-

   

530,625

   
  2,923    

Vanguard Health Holding LLC/Inc.

   

7.750

%

 

2/01/19

 

B-

   

3,138,571

   
  12,098    

Total Health Care Providers & Services

                           

12,056,540

   
   

Household Products – 1.3% (0.9% of Total Investments)

 
  5,750    

Reynolds Group

   

9.875

%

 

8/15/19

 

CCC+

   

6,210,000

   
  2,750    

Spectrum Brands Inc.

   

9.500

%

 

6/15/18

 

Ba3

   

3,031,875

   
  8,500    

Total Household Products

                           

9,241,875

   
   

IT Services – 0.5% (0.3% of Total Investments)

 
  3,000    

First Data Corporation, 144A

   

7.375

%

 

6/15/19

 

BB-

   

3,150,000

   
   

Machinery – 0.3% (0.2% of Total Investments)

 
  2,000    

HD Supply Inc.

   

8.125

%

 

4/15/19

 

B+

   

2,240,000

   
   

Media – 3.1% (2.1% of Total Investments)

 
  2,094    

Clear Channel Communications, Inc.

   

11.000

%

 

8/01/16

 

CCC-

   

1,953,039

   
  3,700    

Clear Channel Communications, Inc.

   

5.500

%

 

12/15/16

 

CCC-

   

2,960,000

   
  6,562    

Clear Channel Communications, Inc.

   

9.000

%

 

12/15/19

 

CCC+

   

6,545,595

   
  7,500    

Clear Channel Communications, Inc.

   

9.000

%

 

3/01/21

 

CCC+

   

7,387,500

   
  1,875    

McGraw-Hill Global Education Holdings, 144A

   

9.750

%

 

4/01/21

 

BB

   

1,968,750

   
  400    

WMG Acquisition Group

   

11.500

%

 

10/01/18

 

B

   

463,000

   
  22,131    

Total Media

                           

21,277,884

   
   

Pharmaceuticals – 0.8% (0.5% of Total Investments)

 
  1,000    

Valeant Pharmaceuticals International, 144A

   

7.000

%

 

10/01/20

 

B1

   

1,060,000

   
  1,000    

Valeant Pharmaceuticals International, 144A

   

7.250

%

 

7/15/22

 

B1

   

1,062,500

   
  3,000    

VPII Escrow Corporation, 144A

   

7.500

%

 

7/15/21

 

B1

   

3,217,500

   
  5,000    

Total Pharmaceuticals

                           

5,340,000

   
   

Road & Rail – 0.5% (0.4% of Total Investments)

 
  1,200    

Avis Budget Car Rental

   

2.775

%

 

5/15/14

 

B+

   

1,200,012

   
  2,000    

Swift Services Holdings Inc.

   

10.000

%

 

11/15/18

 

B+

   

2,235,000

   
  3,200    

Total Road & Rail

                           

3,435,012

   
   

Semiconductors & Equipment – 0.8% (0.6% of Total Investments)

 
  2,800    

Advanced Micro Devices, Inc.

   

7.750

%

 

8/01/20

 

B

   

2,765,000

   
  3,168    

Advanced Micro Devices, Inc.

   

7.500

%

 

8/15/22

 

B

   

3,072,960

   
  5,968    

Total Semiconductors & Equipment

                           

5,837,960

   
   

Software – 0.6% (0.4% of Total Investments)

 
  1,700    

Infor Us Inc.

   

11.500

%

 

7/15/18

 

B-

   

1,959,250

   
  1,875    

Infor Us Inc.

   

9.375

%

 

4/01/19

 

B-

   

2,095,312

   
  3,575    

Total Software

                           

4,054,562

   

Nuveen Investments
39



JFR

Nuveen Floating Rate Income Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Wireless Telecommunication Services – 0.7% (0.5% of Total Investments)

 

$

750

   

FairPoint Communications Inc., 144A

   

8.750

%

 

8/15/19

 

B

 

$

757,500

   
  3,750    

MetroPCS Wireless Inc., 144A

   

6.250

%

 

4/01/21

 

BB

   

3,825,000

   
  4,500    

Total Wireless Telecommunication Services

                           

4,582,500

   

$

95,819

   

Total Corporate Bonds (cost $94,658,581)

                           

99,019,615

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Asset-Backed Securities – 5.3% (3.7% of Total Investments)

 

$

1,200

   

Bluemountain Collateralized Loan Obligation, Series 2012 2A E14

   

5.374

%

 

11/20/24

 

BB

 

$

1,114,204

   
  2,500    

BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A

   

5.766

%

 

7/20/23

 

BB

   

2,402,099

   
  500     Carlyle Global Market Strategies Collateralized Loan Obligations,
Series 2013-2A E
   

5.266

%

 

4/18/25

 

BB

   

459,375

   
  1,750     Carlyle Global Market Strategies, Collateralized Loan Obligations,
Series 2013-3A, 144A
   

4.870

%

 

7/15/25

 

BB

   

1,584,265

   
  1,000    

Dryden Senior Loan 2013-26A E, 144A

   

4.768

%

 

7/15/25

 

BB

   

884,933

   
  1,000    

Finn Square Collateralized Loan Obligations Limited, Series 2012-1A, 144A

   

5.323

%

 

12/24/23

 

BB

   

924,376

   
  1,500    

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A

   

4.668

%

 

1/15/23

 

BB

   

1,346,507

   
  1,500    

Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A

   

5.773

%

 

11/22/22

 

BB

   

1,430,096

   
  500    

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

   

5.310

%

 

4/15/24

 

BB

   

452,057

   
  3,000    

LCM Limited Partnership, Collateralized Loan Obligations, 144A

   

6.018

%

 

4/15/22

 

BB

   

2,930,256

   
  1,500    

LCM Limited Partnership, Collateralized Loan Obligations

   

5.416

%

 

4/19/22

 

BB

   

1,396,782

   
  2,700    

LCM Limited Partnership Series 2012A, 144A

   

6.016

%

 

10/19/22

 

BB

   

2,608,743

   
  1,500     Madison Park Funding Limited, Collateralized Loan Obligations,
Series 2012-8A, 144A
   

5.616

%

 

4/22/22

 

BB

   

1,427,438

   
  1,000     Madison Park Funding Limited, Collateralized Loan Obligations,
Series 2012-8A, 144A
   

4.616

%

 

4/22/22

 

BBB

   

992,486

   
  1,500    

Madison Park Funding Limited, Series 2012-10A

   

5.516

%

 

1/20/25

 

BB

   

1,440,224

   
  1,000    

Nomad CLO Ltd, Series 2013-1A D, 144A

   

5.018

%

 

1/15/25

 

BB

   

907,093

   
  500    

North End CLO Limited, Loan Pool, 144A, WI/DD (8)

   

1.000

%

 

7/17/25

 

N/R

   

442,600

   
  750    

Northwoods Capital Corporation, Collateralized Loan Obligations 2012-9A

   

5.366

%

 

1/18/24

 

BB-

   

694,098

   
  3,000    

Oak Hill Credit Partners IV Limited, Collateralized Loan Obligation Series 2012-6A

   

5.775

%

 

5/15/23

 

BB

   

2,867,382

   
  3,360    

Oak Hill Credit Partners, Series 2012-7A

   

5.274

%

 

11/20/23

 

BB

   

3,098,226

   
  750    

Octagon Investment Partners, Series 2012-1A D, 144A

   

5.518

%

 

1/15/24

 

BB-

   

699,056

   
  1,000    

Race Point Collateralized Loan Obligations, Series 2011-5A, 144A

   

6.773

%

 

12/15/22

 

BB

   

999,853

   
  3,000    

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

   

5.774

%

 

5/24/23

 

BB

   

2,889,257

   
  3,000    

Race Point Collateralized Loan Obligations Series 2012-7A, 144A

   

5.275

%

 

11/08/24

 

BB-

   

2,762,182

   

$

39,010

   

Total Asset-Backed Securities (cost $34,302,518)

                           

36,753,588

   
Shares  

Description (1), (9)

             

Value

 
   

Investment Companies – 1.9% (1.3% of Total Investments)

 
  353,668    

Eaton Vance Floating-Rate Income Trust Fund

                         

$

5,913,329

   
  963,820    

Eaton Vance Senior Income Trust

                           

7,141,906

   
   

Total Investment Companies (cost $11,947,776)

                           

13,055,235

   

 

Total Long-Term Investments (cost $958,127,531)

                           

968,988,066

   

Nuveen Investments
40



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

     

Value

 
   

Short-Term Investments – 4.5% (3.1% of Total Investments)

 

$

30,918
 
 
 
 
  Repurchase Agreement with Fixed Income Clearing Corporation, dated
7/31/13, repurchase price $30,918,433, collateralized by:
$12,365,000 U.S. Treasury Notes, 0.875%, due 4/30/17, value $12,337,958
$11,115,000 U.S. Treasury Notes, 0.250%, due 5/15/16, value $11,017,744
$8,275,000 U.S. Treasury Notes, 1.875%, due 6/30/20, value $8,181,906
  0.010
 
 
 
 

%

  8/01/13
 
 
 
 
         

$

30,918,424
 
 
 
 
 
   

Total Short-Term Investments (cost $30,918,424)

                           

30,918,424

   
   

Total Investments (cost $989,045,955) – 144.6%

                           

999,906,490

   
   

Borrowings – (42.7)% (10), (11)

                           

(295,200,000

)

 
   

Other Assets Less Liabilities – (1.9)% (12)

                           

(13,394,447

)

 
   

Net Assets Applicable to Common Shares – 100%

                         

$

691,312,043

   

Investments in Derivatives as of July 31, 2013

Interest Rate Swaps outstanding:

Counterparty

  Notional
Amount
  Fund
Pay/Receive
Floating Rate
 

Floating Rate Index

  Fixed Rate
(Annualized)
  Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation) (12)
 

Goldman Sachs

 

$

49,435,000

   

Receive

  1-Month USD-LIBOR    

1.300

%

 

Monthly

 

4/20/14

 

$

(398,818

)

 

Morgan Stanley

   

49,435,000

   

Receive

  1-Month USD-LIBOR    

2.201

   

Monthly

 

4/20/16

   

(2,204,894

)

 
   

$

98,870,000

                       

$

(2,603,712

)

 

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

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

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

  (3)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (4)  Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States banks.

    Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

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

  (7)  For fair value measurement disclosure purposes, Common Stock classified as Level 2. See Notes to Financial Statements, Note 2—Investment Valuation and Fair Value Measurments for more information.

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

  (9)  A copy of the most recent financial statements for the investment companies in which the Fund invests can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

  (10)  Borrowings as a percentage of Total Investments is 29.5%.

  (11)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (12)  Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

  DD1  Portion of investment purchased on a delayed delivery basis.

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

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

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

  USD-LIBOR  United States Dollar—London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
41




JRO

Nuveen Floating Rate Income Opportunity Fund

Portfolio of Investments

  July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Long-Term Investments – 138.1% (95.1% of Total Investments)

 
   

Variable Rate Senior Loan Interests – 112.3% (77.3% of Total Investments) (4)

 
   

Aerospace & Defense – 0.8% (0.6% of Total Investments)

 

$

2,024

   

Beechcraft Holdings LLC, Exit Term Loan B

   

5.750

%

 

2/15/20

 

BB-

 

$

2,040,253

   
  1,990    

Sequa Corporation, Term Loan B

   

5.250

%

 

6/19/17

 

B1

   

2,017,362

   
  4,014    

Total Aerospace & Defense

                           

4,057,615

   
   

Airlines – 3.9% (2.7% of Total Investments)

 
  3,000    

American Airlines, Inc., Exit Term Loan, WI/DD

 

TBD

 

TBD

 

Baa2

   

2,985,000

   
  7,960    

Delta Air Lines, Inc., Term Loan B1

   

4.000

%

 

10/18/18

 

Ba1

   

8,003,350

   
  2,985    

Delta Air Lines, Inc., Term Loan B2

   

3.250

%

 

4/18/16

 

Ba1

   

3,005,149

   
  998    

United Air Lines, Inc., Term Loan B

   

4.000

%

 

4/01/19

 

Ba2

   

1,008,098

   
  4,000    

US Airways, Inc., Term Loan B1, DD1

   

4.250

%

 

5/23/19

 

B+

   

4,006,500

   
  18,943    

Total Airlines

                           

19,008,097

   
   

Auto Components – 2.5% (1.7% of Total Investments)

 
  8,066    

Federal-Mogul Corporation, Tranche B, Term Loan

   

2.137

%

 

12/29/14

 

B1

   

7,944,278

   
  4,116    

Federal-Mogul Corporation, Tranche C, Term Loan

   

2.137

%

 

12/28/15

 

B1

   

4,054,009

   
  12,182    

Total Auto Components

                           

11,998,287

   
   

Beverages – 0.3% (0.2% of Total Investments)

 
  1,500    

Constellation Brands, Inc., Term Loan

   

2.750

%

 

5/01/20

 

BB+

   

1,503,188

   
   

Biotechnology – 0.7% (0.5% of Total Investments)

 
  3,512    

Grifols, Inc., Term Loan

   

4.250

%

 

6/01/17

 

Ba1

   

3,552,713

   
   

Capital Markets – 1.6% (1.1% of Total Investments)

 
  1,700    

American Capital, LTD., Senior Secured Term Loan

   

5.500

%

 

8/15/16

 

B+

   

1,711,135

   
  6,167    

Walter Investment Management Corporation, Tranche B, Term Loan, DD1

   

5.750

%

 

11/28/17

 

B+

   

6,235,197

   
  7,867    

Total Capital Markets

                           

7,946,332

   
   

Chemicals – 1.2% (0.9% of Total Investments)

 
  3,242    

Ineos US Finance LLC, Term Loan, First Lien

   

4.000

%

 

5/04/18

 

BB-

   

3,241,894

   
  1,250    

MacDermid, Inc., Tranche B, Term Loan, Second Lien

   

7.750

%

 

12/07/20

 

B-

   

1,268,750

   
  1,493    

PQ Corporation, Term Loan, First Lien

   

4.500

%

 

8/07/17

 

B+

   

1,507,425

   
  5,985    

Total Chemicals

                           

6,018,069

   
   

Commercial Services & Supplies – 3.2% (2.2% of Total Investments)

 
  2,917    

Aramark Corporation, Term Loan, Tranche D

   

4.000

%

 

9/09/19

 

BB-

   

2,949,934

   
  480    

Brand Energy & Infrastructure Services, Inc., Canadian Tranche 1, Term Loan

   

6.250

%

 

10/23/18

 

B

   

489,447

   
  1,500    

Brand Energy & Infrastructure Services, Inc., Term Loan, Second Lien

   

11.000

%

 

10/23/19

 

CCC+

   

1,543,125

   
  2,001    

Brand Energy & Infrastructure Services, Inc., Term Loan

   

6.250

%

 

10/23/18

 

B

   

2,039,361

   
  1,384    

Brickman Group Holdings, Inc., Tranche B2, Term Loan

   

3.273

%

 

10/14/16

 

B+

   

1,395,951

   
  1,745    

Brickman Group Holdings, Inc., Tranche B3, Term Loan

   

4.000

%

 

9/28/18

 

B+

   

1,755,554

   
  632    

CCS Income Trust, Term Loan, First Lien

   

6.250

%

 

5/12/18

 

B2

   

637,157

   
  1,316    

Ceridian Corporation, Extended Term Loan

   

5.942

%

 

5/09/17

 

B1

   

1,328,129

   
  2,484    

Harland Clarke Holdings Corporation, Term Loan B3

   

7.000

%

 

5/22/18

 

B+

   

2,462,886

   
  988    

Houghton Mifflin, Term Loan

   

5.250

%

 

5/22/18

 

B2

   

995,523

   
  15,447    

Total Commercial Services & Supplies

                           

15,597,067

   

Nuveen Investments
42



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Communications Equipment – 0.6% (0.4% of Total Investments)

 

$

2,239

   

Alcatel-Lucent, Term Loan C

   

7.250

%

 

1/29/19

 

B+

 

$

2,291,860

   
  499    

Arris Group, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB-

   

498,542

   
  2,738    

Total Communications Equipment

                           

2,790,402

   
   

Computers & Peripherals – 0.3% (0.2% of Total Investments)

 
  1,592    

SunGard Data Systems, Inc., Term Loan D

   

4.500

%

 

1/31/20

 

BB

   

1,614,554

   
   

Consumer Finance – 1.1% (0.8% of Total Investments)

 
  969    

Jackson Hewitt Tax Service, Inc., Term Loan

   

10.000

%

 

10/16/17

 

N/R

   

946,953

   
  3,428    

Royalty Pharma Finance Trust, Incremental Term Loan

   

4.000

%

 

11/09/18

 

Baa2

   

3,443,494

   
  840    

Springleaf Financial Funding Company, Term Loan

   

5.500

%

 

5/10/17

 

B

   

842,415

   
  5,237    

Total Consumer Finance

                           

5,232,862

   
   

Containers & Packaging – 0.3% (0.2% of Total Investments)

 
  1,500    

Pact Group, Inc., Term Loan B

   

3.750

%

 

5/22/20

 

Ba3

   

1,500,938

   
   

Distributors – 1.6% (1.1% of Total Investments)

 
  7,488    

HD Supply, Inc., Term Loan B, DD1

   

4.500

%

 

10/12/17

 

B+

   

7,571,371

   
   

Diversified Consumer Services – 1.5% (1.0% of Total Investments)

 
  3,038    

Cengage Learning Acquisitions, Inc., Term Loan, (5)

   

0.000

%

 

7/03/14

 

D

   

2,244,318

   
  4,829    

Laureate Education, Inc., Extended Term Loan

   

5.250

%

 

6/15/18

 

B1

   

4,839,922

   
  7,867    

Total Diversified Consumer Services

                           

7,084,240

   
   

Diversified Financial Services – 4.0% (2.8% of Total Investments)

 
  2,867    

Citco III Limited, Term Loan B

   

4.250

%

 

6/29/18

 

N/R

   

2,877,281

   
  2,000    

Guggenheim Partners LLC, Initial Term Loan

   

4.250

%

 

7/22/20

 

N/R

   

2,026,250

   
  2,500    

Home Loan Servicing Solutions, Ltd., Term Loan B

   

4.500

%

 

6/26/20

 

BB-

   

2,520,250

   
  2,743    

Ocwen Financial Corporation, Term Loan B

   

5.000

%

 

2/05/18

 

B1

   

2,784,272

   
  9,102    

WideOpenWest Finance LLC, Term Loan B

   

4.750

%

 

4/01/19

 

B1

   

9,218,746

   
  19,212    

Total Diversified Financial Services

                           

19,426,799

   
   

Diversified Telecommunication Services – 2.1% (1.4% of Total Investments)

 
  3,000    

Charter Communications Operating Holdings LLC, Holdco Term Loan

   

2.686

%

 

3/06/14

 

BB+

   

3,009,750

   
  750    

Charter Communications Operating Holdings LLC, Term Loan E

   

3.000

%

 

7/01/20

 

BB+

   

748,735

   
  993    

Intelsat Jackson Holdings, Ltd., Term Loan B1

   

4.250

%

 

4/02/18

 

BB-

   

1,001,495

   
  4,167    

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

   

5.250

%

 

8/01/19

 

Ba2

   

4,203,104

   
  1,000    

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

   

4.750

%

 

8/01/19

 

BB-

   

1,008,850

   
  9,910    

Total Diversified Telecommunication Services

                           

9,971,934

   
   

Electric Utilities – 0.6% (0.4% of Total Investments)

 
  1,500    

Equipower Resources Holdings LLC, Term Loan C, WI/DD

 

TBD

 

TBD

 

BB

   

1,511,250

   
  2,022    

TXU Corporation, 2014 Term Loan

   

3.721

%

 

10/10/14

 

B2

   

1,449,830

   
  3,522    

Total Electric Utilities

                           

2,961,080

   
   

Electrical Equipment – 0.5% (0.3% of Total Investments)

 
  2,500    

Sensus Metering Systems, Inc., Term Loan, Second Lien

   

8.500

%

 

5/09/18

 

CCC

   

2,443,750

   
   

Electronic Equipment & Instruments – 0.6% (0.4% of Total Investments)

 
  3,386    

SMART Modular Technologies, Inc., Term Loan B

   

8.250

%

 

8/26/17

 

B

   

3,089,953

   
   

Food & Staples Retailing – 2.5% (1.7% of Total Investments)

 
  1,207    

Albertson's LLC, Term Loan B1

   

4.250

%

 

3/21/16

 

BB-

   

1,219,747

   
  788    

Albertson's LLC, Term Loan B2

   

4.750

%

 

3/21/19

 

BB-

   

793,611

   
  500    

BJ Wholesale Club, Inc., Term Loan, Second Lien

   

9.750

%

 

3/26/20

 

CCC+

   

511,250

   
  2,000    

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

   

4.875

%

 

6/21/21

 

B-

   

2,017,500

   
  2,695    

Supervalu, Inc., New Term Loan B, DD1

   

5.000

%

 

3/21/19

 

B+

   

2,724,711

   
  4,813    

Wilton Products, Inc., Tranche B, Term Loan

   

7.500

%

 

8/30/18

 

B1

   

4,833,555

   
  12,003    

Total Food & Staples Retailing

                           

12,100,374

   

Nuveen Investments
43



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Food Products – 7.1% (4.9% of Total Investments)

 

$

2,985

   

AdvancePierre Foods, Inc., Term Loan, First Lien

   

5.750

%

 

7/10/17

 

B1

 

$

3,023,557

   
  900    

AdvancePierre Foods, Inc., Term Loan, Second Lien

   

9.500

%

 

10/10/17

 

CCC+

   

919,875

   
  1,340    

BJ's Wholesale Club, Inc., Term Loan, First Lien

   

4.250

%

 

9/26/19

 

B

   

1,348,179

   
  747    

Ferrara Candy Company, Term Loan B

   

7.504

%

 

6/18/18

 

B

   

746,549

   
  11,500    

H.J Heinz Company, Term Loan B2

   

3.500

%

 

6/05/20

 

BB

   

11,623,786

   
  1,496    

Pinnacle Foods Finance LLC, Term Loan G

   

3.250

%

 

4/29/20

 

BB-

   

1,499,055

   
  1,000    

Sprouts Farmers Market Holdings LLC, Term Loan

   

4.500

%

 

4/23/20

 

B+

   

1,002,500

   
  13,356    

US Foods, Inc., Incremental Term Loan

   

4.500

%

 

3/31/19

 

B2

   

13,399,467

   
  545    

Wendy's, Inc., Term Loan B

   

3.250

%

 

5/15/19

 

BB-

   

546,829

   
  33,869    

Total Food Products

                           

34,109,797

   
   

Health Care Equipment & Supplies – 3.6% (2.5% of Total Investments)

 
  2,166    

Hologic, Inc., Term Loan B

   

4.500

%

 

8/01/19

 

BBB-

   

2,178,816

   
  6,895    

Kinetic Concepts, Inc., Term Loan D1

   

4.500

%

 

5/04/18

 

Ba2

   

6,983,700

   
  5,000    

Onex Carestream Finance LP, Term Loan, First Lien

   

5.000

%

 

6/07/19

 

B+

   

5,038,540

   
  2,000    

Onex Carestream Finance LP, Term Loan, Second Lien

   

9.500

%

 

12/07/19

 

B-

   

1,983,334

   
  993    

United Surgical Partners International, Inc., Incremental Term Loan

   

4.750

%

 

4/03/19

 

B1

   

1,003,058

   
  17,054    

Total Health Care Equipment & Supplies

                           

17,187,448

   
   

Health Care Providers & Services – 8.4% (5.8% of Total Investments)

 
  3,990    

Apria Healthcare Group, Inc., Term Loan, First Lien

   

6.750

%

 

4/06/20

 

BB-

   

4,027,406

   
  1,406    

BioScrip, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

1,422,070

   
  3,980    

DaVita, Inc., New Term Loan B2

   

4.000

%

 

11/01/19

 

Ba2

   

4,007,717

   
  926    

Genesis Healthcare LLC, Term Loan

   

10.002

%

 

12/04/17

 

B+

   

946,516

   
  2,993    

Gentiva Health Services, Inc., Term Loan B

   

6.500

%

 

8/17/16

 

B+

   

3,004,105

   
  7,688    

Golden Living, Term Loan

   

5.000

%

 

5/04/18

 

B1

   

7,472,231

   
  975    

Health Management Associates, Inc., Replacement Term Loan B

   

3.500

%

 

11/16/18

 

BB-

   

979,075

   
  1,493    

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

   

6.250

%

 

12/21/18

 

Ba3

   

1,506,803

   
  1,500    

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

   

9.750

%

 

6/20/19

 

CCC+

   

1,535,625

   
  953    

Kindred Healthcare, Inc., Term Loan B1

   

4.250

%

 

6/01/18

 

Ba3

   

953,870

   
  1,386    

LHP Operations Co. LLC, Term Loan B

   

9.000

%

 

7/03/18

 

B

   

1,406,790

   
  2,977    

National Mentor Holdings, Inc., Term Loan B

   

6.500

%

 

2/09/17

 

B+

   

2,997,640

   
  1,959    

Select Medical Corporation, Term Loan B

   

4.002

%

 

6/01/18

 

Ba2

   

1,969,666

   
  3,960    

Sheridan Holdings, Inc., Term Loan, First Lien

   

4.500

%

 

6/29/18

 

B+

   

3,990,791

   
  1,500    

Sheridan Holdings, Inc., Term Loan, Second Lien

   

9.000

%

 

7/01/19

 

B-

   

1,513,125

   
  1,283    

Skilled Healthcare Group, Inc., Term Loan

   

6.788

%

 

4/09/16

 

B1

   

1,292,486

   
  1,187    

Vanguard Health Holding Company II LLC, Term Loan B, WI/DD

 

TBD

 

TBD

 

Ba2

   

1,192,406

   
  40,156    

Total Health Care Providers & Services

                           

40,218,322

   
   

Hotels, Restaurants & Leisure – 4.1% (2.8% of Total Investments)

 
  2,910    

24 Hour Fitness Worldwide, Inc., Term Loan B

   

5.250

%

 

4/22/16

 

Ba3

   

2,946,394

   
  1,426    

BLB Management Services, Inc., Term Loan

   

5.250

%

 

11/10/18

 

BB-

   

1,444,641

   
  2,616    

Caesars Entertainment Operating Company, Inc., Term Loan B6

   

5.440

%

 

1/28/18

 

B-

   

2,325,986

   
  1,376    

CCM Merger, Inc., Term Loan

   

5.000

%

 

3/01/17

 

B+

   

1,390,991

   
  2,951    

Landry's Restaurants, Inc., Term Loan B

   

4.750

%

 

4/24/18

 

BB-

   

2,991,830

   
  1,990    

MGM Resorts International, Term Loan B

   

3.500

%

 

12/20/19

 

BB

   

1,996,211

   
  3,000    

Scientific Games Corporation, Term Loan B, WI/DD

 

TBD

 

TBD

 

Ba2

   

2,996,250

   
  498    

Shingle Springs Tribal Gaming Authority, Term Loan

   

10.500

%

 

12/17/13

 

B

   

471,054

   
  2,993    

Station Casino LLC, Term Loan B

   

5.000

%

 

3/02/20

 

B1

   

3,024,831

   
  19,760    

Total Hotels, Restaurants & Leisure

                           

19,588,188

   
   

Household Durables – 1.2% (0.8% of Total Investments)

 
  995    

AOT Bedding Super Holdings LLC, Term Loan B

   

5.000

%

 

10/01/19

 

B+

   

1,004,861

   
  972    

Spectrum Brands, Inc., Term Loan

   

4.510

%

 

12/17/19

 

Ba3

   

981,543

   
  2,743    

Sun Products Corporation, Term Loan

   

5.500

%

 

3/23/20

 

B1

   

2,746,554

   
  817    

Tempur-Pedic International, Inc., New Term Loan B

   

3.500

%

 

3/18/20

 

BB

   

815,784

   
  5,527    

Total Household Durables

                           

5,548,742

   

Nuveen Investments
44



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Industrial Conglomerates – 1.6% (1.1% of Total Investments)

 

$

6,489

   

DuPont Performance Coatings, Dollar Term Loan B, DD1

   

4.750

%

 

2/03/20

 

B+

 

$

6,560,736

   
  1,314    

Rexnord LLC, New Term Loan B

   

3.750

%

 

4/01/18

 

BB

   

1,321,616

   
  7,803    

Total Industrial Conglomerates

                           

7,882,352

   
   

Insurance – 1.8% (1.3% of Total Investments)

 
  1,923    

Sedgwick Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/12/18

 

B+

   

1,942,308

   
  1,000    

Sedgwick Holdings, Inc., Term Loan, Second Lien

   

8.000

%

 

12/12/18

 

CCC+

   

1,018,750

   
  3,483    

USI Holdings Corporation, Term Loan B

   

5.250

%

 

12/27/19

 

B1

   

3,516,890

   
  2,406    

Vantage Drilling Company, Term Loan B

   

6.250

%

 

10/25/17

 

B-

   

2,426,301

   
  8,812    

Total Insurance

                           

8,904,249

   
   

Internet & Catalog Retail – 0.9% (0.6% of Total Investments)

 
  4,478    

EIG Investors Corp., Term Loan, First Lien

   

6.250

%

 

11/09/19

 

B1

   

4,516,678

   
   

Internet Software & Services – 2.6% (1.8% of Total Investments)

 
  1,500    

ION Trading Technologies S.A.R.L., Term Loan, Second Lien

   

8.250

%

 

5/22/21

 

CCC+

   

1,506,094

   
  2,313    

Sabre Inc., Term Loan C

   

4.000

%

 

2/19/18

 

B1

   

2,330,422

   
  3,483    

Sabre, Inc., Term Loan B

   

5.250

%

 

2/19/19

 

B1

   

3,533,104

   
  2,000    

San Juan Cable LLC, Term Loan, Second Lien

   

10.000

%

 

6/09/18

 

CCC+

   

2,015,000

   
  2,903    

SSI Investments II, Ltd., New Term Loan

   

5.000

%

 

5/26/17

 

Ba3

   

2,928,149

   
  12,199    

Total Internet Software & Services

                           

12,312,769

   
   

IT Services – 2.8% (1.9% of Total Investments)

 
  1,658    

CompuCom Systems, Inc., Term Loan B

   

4.250

%

 

5/09/20

 

B1

   

1,672,636

   
  3,000    

EIG Investors Corp., Term Loan, Second Lien

   

10.250

%

 

5/09/20

 

CCC+

   

3,018,750

   
  2,494    

SunGard Data Systems, Inc., Term Loan E

   

4.000

%

 

3/08/20

 

BB

   

2,516,707

   
  1,473    

VFH Parent LLC, Term Loan B

   

5.775

%

 

7/08/16

 

N/R

   

1,487,244

   
  4,752    

Zayo Group LLC, Term Loan B

   

4.500

%

 

7/02/19

 

B1

   

4,798,779

   
  13,377    

Total IT Services

                           

13,494,116

   
   

Leisure Equipment & Products – 2.2% (1.5% of Total Investments)

 
  5,280    

Bombardier Recreational Products, Inc., Term Loan

   

4.000

%

 

1/30/19

 

B+

   

5,299,800

   
  2,193    

Equinox Holdings, Inc., New Initial Term Loan B

   

4.501

%

 

1/31/20

 

B1

   

2,210,959

   
  2,000    

Four Seasons Holdings, Inc., Term Loan, First Lien

   

4.250

%

 

6/27/20

 

BB-

   

2,027,500

   
  1,000    

Four Seasons Holdings, Inc., Term Loan, Second Lien

   

6.250

%

 

12/27/20

 

B-

   

1,025,000

   
  10,473    

Total Leisure Equipment & Products

                           

10,563,259

   
   

Machinery – 0.8% (0.6% of Total Investments)

 
  4,000    

Gardner Denver, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B1

   

4,020,000

   
   

Media – 10.2% (7.0% of Total Investments)

 
  1,737    

Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan, (5)

   

0.000

%

 

7/04/17

 

D

   

1,291,157

   
  1,247    

Clear Channel Communications, Inc., Tranche D, Term Loan, WI/DD

 

TBD

 

TBD

 

CCC+

   

1,152,613

   
  1,409    

Cumulus Media, Inc., Term Loan B, First Lien

   

4.500

%

 

9/18/18

 

Ba2

   

1,424,515

   
  2,905    

Cumulus Media, Inc., Term Loan, Second Lien

   

7.500

%

 

9/16/19

 

B3

   

2,983,795

   
  2,000    

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

   

5.500

%

 

6/17/20

 

BB-

   

2,020,000

   
  1,998    

EMI Music Publishing LLC, Term Loan B

   

4.250

%

 

6/29/18

 

BB-

   

2,019,352

   
  993    

FoxCo Acquisition Sub LLC, Initial Term Loan

   

5.500

%

 

7/14/17

 

B

   

1,004,909

   
  1,995    

Internet Brands, Inc., Term Loan B

   

6.250

%

 

3/18/19

 

B+

   

2,003,728

   
  2,993    

McGraw-Hill Education Holdings LLC, Term Loan

   

9.000

%

 

3/22/19

 

B2

   

3,013,073

   
  2,000    

Media General, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

BB-

   

2,001,876

   
  1,985    

Mediacom Broadband LLC, Tranche G, Term Loan

   

4.000

%

 

1/20/20

 

Ba3

   

1,989,135

   
  3,429    

Radio One, Inc., Term Loan B, First Lien

   

7.500

%

 

2/14/17

 

B+

   

3,523,361

   
  2,000    

Springer Science & Business Media, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

1,978,750

   
  750    

Weather Channel Corporation, Term Loan, Second Lien

   

7.000

%

 

6/26/20

 

B3

   

769,687

   
  7,297    

Tribune Company, Exit Term Loan B

   

4.000

%

 

12/17/19

 

BB+

   

7,357,702

   
  8,579    

Univision Communications, Inc., Term Loan C1

   

4.500

%

 

3/01/20

 

B+

   

8,637,161

   
  2,143    

UPC Broadband Holding BV, Term Loan AF

   

4.000

%

 

1/31/21

 

BB-

   

2,159,599

   
  1,500    

UPC Broadband Holding BV, Term Loan AH

   

3.250

%

 

6/30/21

 

BB-

   

1,500,626

   

Nuveen Investments
45



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Media (continued)  

$

1,500

   

WMG Acquisition Corporation, Tranche B, Refinancing Term Loan

   

3.750

%

 

7/01/20

 

BB-

 

$

1,506,562

   
  3,127    

Yell Group PLC, Term Loan, (5)

   

0.000

%

 

7/31/14

 

N/R

   

672,351

   
  51,587    

Total Media

                           

49,009,952

   
   

Multiline Retail – 0.2% (0.2% of Total Investments)

 
  1,112    

99 Cents Only Stores, Term Loan B1

   

5.253

%

 

1/11/19

 

B+

   

1,123,609

   
   

Multi-Utilities – 0.2% (0.1% of Total Investments)

 
  995    

ADS Waste Holdings, Inc., Term Loan B

   

4.250

%

 

8/05/19

 

B+

   

1,003,287

   
   

Oil, Gas & Consumable Fuels – 4.3% (2.9% of Total Investments)

 
  2,790    

Crestwood Holdings LLC, Term Loan B

   

7.000

%

 

6/19/19

 

B

   

2,846,241

   
  1,650    

EP Energy LLC, Term Loan B3, Second Lien

   

3.500

%

 

5/24/18

 

Ba3

   

1,653,265

   
  982    

Frac Tech International LLC, Term Loan

   

8.500

%

 

5/06/16

 

B+

   

981,089

   
  3,000    

Harvey Gulf International Marine, Inc., Term Loan B

   

5.500

%

 

6/18/20

 

B1

   

3,048,750

   
  5,000    

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

   

6.000

%

 

3/31/21

 

B+

   

5,068,750

   
  2,500    

Pacific Drilling S.A., Term Loan B

   

4.500

%

 

6/03/18

 

B+

   

2,517,500

   
  1,745    

Rice Drilling LLC., Term Loan, Second Lien

   

8.500

%

 

10/25/18

 

N/R

   

1,728,169

   
  1,667    

Samson Investment Company, Initial Term Loan, Second Lien

   

6.000

%

 

9/25/18

 

B1

   

1,688,542

   
  998    

Saxon Energy Services, Inc., Term Loan

   

5.500

%

 

2/13/19

 

Ba3

   

1,003,111

   
  20,332    

Total Oil, Gas & Consumable Fuels

                           

20,535,417

   
   

Personal Products – 0.1% (0.1% of Total Investments)

 
  429    

Prestige Brands, Inc., Term Loan B1

   

3.778

%

 

1/31/19

 

BB-

   

434,071

   
   

Pharmaceuticals – 8.3% (5.7% of Total Investments)

 
  1,975    

Auxilium Pharmaceuticals, Inc., Term Loan

   

6.250

%

 

4/26/17

 

Ba2

   

1,988,578

   
  844    

BioScrip, Inc., Term Loan B, WI/DD

 

TBD

 

TBD

 

B

   

853,242

   
  2,102    

ConvaTec Healthcare, Incremental Term Loan B

   

5.000

%

 

12/22/16

 

Ba3

   

2,113,792

   
  1,295    

Generic Drug Holdings, Inc., Term Loan B

   

5.000

%

 

10/29/19

 

B+

   

1,302,116

   
  3,125    

Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)

   

0.000

%

 

5/03/13

 

N/R

   

93,750

   
  84    

Graceway Pharmaceuticals LLC, Term Loan, (5)

   

0.000

%

 

5/03/12

 

N/R

   

93,129

   
  2,275    

Par Pharmaceutical Companies, Inc., Additional Term Loan B1

   

4.250

%

 

9/30/19

 

B+

   

2,285,271

   
  3,936    

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

   

4.250

%

 

12/01/18

 

Ba3

   

3,973,727

   
  4,860    

Quintiles Transnational Corp., Term Loan B2

   

4.500

%

 

6/08/18

 

BB-

   

4,914,246

   
  1,989    

Therakos, Inc., Term Loan, First Lien

   

7.500

%

 

12/27/17

 

B

   

1,997,462

   
  3,126    

Valeant Pharmaceuticals International, Inc., Series D, Term Loan

   

3.500

%

 

2/19/19

 

BBB-

   

3,161,962

   
  10,000    

Valeant Pharmaceuticals International, Inc., Term Loan E, WI/DD

 

TBD

 

TBD

 

Ba1

   

10,146,250

   
  975    

Warner Chilcott Company LLC, Additional Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

977,410

   
  2,239    

Warner Chilcott Corporation, Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

2,245,246

   
  137    

Warner Chilcott Corporation, Term Loan B2

   

4.250

%

 

3/15/18

 

BBB-

   

137,397

   
  1,765    

Warner Chilcott Corporation, Term Loan B3

   

4.250

%

 

3/15/18

 

BBB-

   

1,769,294

   
  1,542    

Warner Chilcott Corporation, Term Loan B4

   

3.186

%

 

8/15/17

 

BBB-

   

1,544,076

   
  308    

Warner Chilcott Corporation, Term Loan B5

   

3.186

%

 

8/20/17

 

BBB-

   

308,815

   
  42,577    

Total Pharmaceuticals

                           

39,905,763

   
   

Real Estate Investment Trust – 2.0% (1.4% of Total Investments)

 
  2,000    

Capital Automotive LP, Term Loan, Second Lien

   

6.000

%

 

4/30/20

 

B1

   

2,065,000

   
  5,030    

iStar Financial, Inc., Term Loan, DD1

   

4.500

%

 

10/15/17

 

BB-

   

5,058,631

   
  2,494    

Starwood Property Trust, Inc., Term Loan B

   

3.500

%

 

4/17/20

 

BB+

   

2,499,984

   
  9,524    

Total Real Estate Investment Trust

                           

9,623,615

   
   

Real Estate Management & Development – 1.9% (1.3% of Total Investments)

 
  4,949    

Capital Automotive LP, Term Loan, Tranche B1, DD1

   

4.000

%

 

4/10/19

 

Ba2

   

4,996,345

   
  3,990    

Realogy Corporation, Term Loan B

   

4.500

%

 

3/05/20

 

BB-

   

4,037,381

   
  8,939    

Total Real Estate Management & Development

                           

9,033,726

   
   

Road & Rail – 0.6% (0.4% of Total Investments)

 
  3,008    

Swift Transportation Company, Inc., Term Loan B2

   

4.000

%

 

12/21/17

 

BB

   

3,039,978

   

Nuveen Investments
46



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Semiconductors & Equipment – 1.9% (1.3% of Total Investments)

 

$

2,993

   

Freescale Semiconductor, Inc., Term Loan, Tranche B4

   

5.000

%

 

2/28/20

 

B1

 

$

3,027,413

   
  1,990    

NXP Semiconductor LLC, Incremental Term Loan C

   

4.750

%

 

1/10/20

 

B+

   

2,033,117

   
  2,928    

NXP Semiconductor LLC, Term Loan

   

4.500

%

 

3/03/17

 

B1

   

2,982,493

   
  965    

Spansion LLC, Term Loan B

   

5.250

%

 

12/13/18

 

BB+

   

972,907

   
  8,876    

Total Semiconductors & Equipment

                           

9,015,930

   
   

Software – 9.0% (6.2% of Total Investments)

 
  4,013    

Attachmate Corporation, Term Loan, First Lien

   

7.250

%

 

11/22/17

 

BB-

   

4,060,297

   
  2,279    

Blackboard, Inc., Term Loan B2

   

6.250

%

 

10/04/18

 

B+

   

2,309,712

   
  3,276    

Datatel Parent Corp, Term Loan B, DD1

   

4.500

%

 

7/19/18

 

B+

   

3,311,398

   
  1,000    

Deltek, Inc., Term Loan, Second Lien

   

10.000

%

 

10/10/19

 

CCC+

   

1,010,000

   
  5,738    

Emdeon Business Services LLC, Term Loan B2, DD1

   

3.750

%

 

11/02/18

 

BB-

   

5,780,684

   
  1,985    

Explorer Holdings, Inc., Term Loan

   

6.000

%

 

5/02/18

 

B+

   

1,996,191

   
  1,095    

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

   

4.000

%

 

2/08/20

 

B+

   

1,097,941

   
  10,020    

Infor Enterprise Applications, Term Loan B

   

5.250

%

 

4/05/18

 

Ba3

   

10,131,854

   
  3,380    

IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien

   

7.750

%

 

7/31/17

 

B1

   

3,360,551

   
  4,000    

IPC Systems, Inc., Term Loan, Second Lien

   

5.436

%

 

6/01/15

 

CCC

   

3,360,000

   
  4,714    

Misys PLC, Term Loan, First Lien

   

7.250

%

 

12/12/18

 

Ba3

   

4,769,769

   
  1,592    

RedPrairie Corporation, Term Loan, First Lien

   

6.750

%

 

12/21/18

 

B+

   

1,608,630

   
  800    

RedPrairie Corporation, Term Loan, Second Lien

   

11.250

%

 

12/21/19

 

CCC+

   

819,000

   
  43,892    

Total Software

                           

43,616,027

   
   

Specialty Retail – 2.3% (1.6% of Total Investments)

 
  1,500    

Charlotte Russe, Inc., Initial Term Loan

   

6.750

%

 

5/22/19

 

B2

   

1,472,812

   
  2,729    

Collective Brands, Inc., Term Loan B

   

7.250

%

 

10/09/19

 

B

   

2,771,715

   
  4,500    

J.C. Penney Corporation, Inc., Term Loan, First Lien

   

6.000

%

 

5/22/18

 

B2

   

4,542,190

   
  2,047    

Jo-Ann Stores, Inc., Term Loan, First Lien

   

4.000

%

 

3/16/18

 

B+

   

2,056,160

   
  10,776    

Total Specialty Retail

                           

10,842,877

   
   

Textiles, Apparel & Luxury Goods – 0.5% (0.3% of Total Investments)

 
  742    

Philips-Van Heusen Corporation, Term Loan B

   

3.250

%

 

2/13/20

 

BBB-

   

746,087

   
  1,559    

Wolverine World Wide, Inc., Tranche B, Term Loan

   

4.000

%

 

10/09/19

 

BB

   

1,571,225

   
  2,301    

Total Textiles, Apparel & Luxury Goods

                           

2,317,312

   
   

Trading Companies & Distributors – 0.3% (0.2% of Total Investments)

 
  1,263    

Wesco Distribution, Inc., Term Loan B

   

4.500

%

 

12/04/19

 

Ba3

   

1,274,162

   
   

Wireless Telecommunication Services – 3.5% (2.4% of Total Investments)

 
  4,545    

Asurion LLC, Term Loan B1

   

4.500

%

 

5/24/19

 

B+

   

4,552,418

   
  2,827    

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

   

3.836

%

 

1/29/16

 

CCC+

   

2,656,869

   
  3,500    

Cricket Communications, Inc., Term Loan C

   

4.750

%

 

3/08/20

 

Ba3

   

3,529,533

   
  3,242    

Fairpoint Communications, Inc., Term Loan B

   

7.500

%

 

2/11/19

 

B

   

3,229,212

   
  1,985    

IPC Systems, Inc., Term Loan, Tranche C, First Lien

   

7.750

%

 

7/31/17

 

B1

   

1,937,856

   
  927    

Presidio, Inc., New Term Loan

   

5.750

%

 

3/31/17

 

Ba3

   

929,643

   
  17,026    

Total Wireless Telecommunication Services

                           

16,835,531

   

$

546,550

   

Total Variable Rate Senior Loan Interests (cost $538,712,334)

                           

541,426,802

   
Shares  

Description (1)

             

Value

 
   

Common Stocks – 4.2% (2.9% of Total Investments)

 
   

Building Products – 1.3% (0.9% of Total Investments)

 
  124,402    

Masonite Worldwide Holdings, (6)

                         

$

6,220,100

   
   

Health Care Providers & Services – 0.0% (0.0% of Total Investments)

 
  1,397    

LifeCare Holdings Private Stock, (6), (7)

                           

181,610

   
   

Hotels, Restaurants & Leisure – 0.2% (0.2% of Total Investments)

 
  42,041    

BLB Worldwide Holdings Inc., (6), (7)

                           

972,198

   

Nuveen Investments
47



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of Investments July 31, 2013

Shares  

Description (1)

             

Value

 
   

Media – 2.7% (1.8% of Total Investments)

 
  182,499    

Metro-Goldwyn-Mayer, (6), (7)

                         

$

9,900,571

   
  44,843    

Tribune Company, (6)

                           

2,834,078

   
  36,087    

Tribune Company, (8)

                           

   
   

Total Media

                           

12,734,649

   
   

Total Common Stocks (cost $19,262,278)

                           

20,108,557

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Convertible Bonds – 0.3% (0.2% of Total Investments)

 
   

Communications Equipment – 0.3% (0.2% of Total Investments)

 

$

550

   

Nortel Networks Corp., (5)

   

1.750

%

 

4/15/12

 

N/R

 

$

539,000

   
  1,000    

Nortel Networks Corp., (5)

   

2.125

%

 

4/15/14

 

N/R

   

982,500

   

$

1,550

   

Total Convertible Bonds (cost $1,307,500)

                           

1,521,500

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Corporate Bonds – 16.3% (11.2% of Total Investments)

 
   

Commercial Services & Supplies – 0.5% (0.3% of Total Investments)

 

$

500

   

Ceridian Corporation

   

11.250

%

 

11/15/15

 

CCC

 

$

508,750

   
  1,224    

Harland Clarke Holdings

   

9.500

%

 

5/15/15

 

B-

   

1,228,590

   
  500    

Tervita Corporation, 144A

   

8.000

%

 

11/15/18

 

B2

   

518,125

   
  2,224    

Total Commercial Services & Supplies

                           

2,255,465

   
   

Communications Equipment – 0.8% (0.5% of Total Investments)

 
  3,000    

Nortel Networks Limited, (5)

   

0.000

%

 

7/15/11

 

N/R

   

3,165,000

   
  450    

Nortel Networks Limited, (5)

   

10.750

%

 

7/15/16

 

N/R

   

519,188

   
  3,450    

Total Communications Equipment

                           

3,684,188

   
   

Diversified Consumer Services – 0.2% (0.1% of Total Investments)

 
  900    

NES Rental Holdings Inc., 144A

   

7.875

%

 

5/01/18

 

CCC+

   

922,500

   
   

Diversified Telecommunication Services – 1.6% (1.1% of Total Investments)

 
  2,900    

IntelSat Limited, 144A

   

7.750

%

 

6/01/21

 

CCC+

   

3,052,250

   
  750    

IntelSat Limited

   

8.125

%

 

6/01/23

 

CCC+

   

806,250

   
  3,343    

Level 3 Communications Inc.

   

11.875

%

 

2/01/19

 

B-

   

3,852,808

   
  6,993    

Total Diversified Telecommunication Services

                           

7,711,308

   
   

Energy Equipment & Services – 0.1% (0.1% of Total Investments)

 
  500    

Offshore Group Investment Limited, 144A

   

7.125

%

 

4/01/23

 

B-

   

501,250

   
   

Health Care Equipment & Supplies – 1.0% (0.7% of Total Investments)

 
  3,000    

Kinetic Concepts

   

10.500

%

 

11/01/18

 

B

   

3,300,000

   
  1,455    

Rotech Healthcare Inc.

   

10.750

%

 

10/15/15

 

D

   

1,469,550

   
  4,455    

Total Health Care Equipment & Supplies

                           

4,769,550

   
   

Health Care Providers & Services – 2.0% (1.4% of Total Investments)

 
  2,000    

Aurora Diagnostics Holdings LLC

   

10.750

%

 

1/15/18

 

Caa1

   

1,180,000

   
  2,750    

HCA Inc.

   

8.500

%

 

4/15/19

 

BB+

   

2,976,875

   
  575    

HCA Inc.

   

7.250

%

 

9/15/20

 

BB+

   

628,906

   
  900    

IASIS Healthcare Capital Corporation

   

8.375

%

 

5/15/19

 

CCC+

   

945,000

   
  1,000    

Truven Health Analytics Inc.

   

10.625

%

 

6/01/20

 

CCC+

   

1,095,000

   
  2,500    

Vanguard Health Holding LLC/Inc.

   

7.750

%

 

2/01/19

 

B-

   

2,684,375

   
  9,725    

Total Health Care Providers & Services

                           

9,510,156

   

Nuveen Investments
48



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Household Products – 1.5% (1.0% of Total Investments)

 

$

3,950

   

Reynolds Group

   

9.875

%

 

8/15/19

 

CCC+

 

$

4,266,000

   
  2,750    

Spectrum Brands Inc.

   

9.500

%

 

6/15/18

 

Ba3

   

3,031,875

   
  6,700    

Total Household Products

                           

7,297,875

   
   

IT Services – 0.4% (0.3% of Total Investments)

 
  2,000    

First Data Corporation, 144A

   

7.375

%

 

6/15/19

 

BB-

   

2,100,000

   
   

Machinery – 0.2% (0.2% of Total Investments)

 
  1,000    

HD Supply Inc.

   

8.125

%

 

4/15/19

 

B+

   

1,120,000

   
   

Media – 4.3% (2.9% of Total Investments)

 
  3,491    

Clear Channel Communications, Inc.

   

11.000

%

 

8/01/16

 

CCC-

   

3,255,066

   
  3,600    

Clear Channel Communications, Inc.

   

5.500

%

 

12/15/16

 

CCC-

   

2,880,000

   
  6,412    

Clear Channel Communications, Inc.

   

9.000

%

 

12/15/19

 

CCC+

   

6,395,970

   
  5,500    

Clear Channel Communications, Inc.

   

9.000

%

 

3/01/21

 

CCC+

   

5,417,500

   
  1,200    

Expo Event Transco Inc., 144A

   

9.000

%

 

6/15/21

 

Caa2

   

1,195,500

   
  1,000    

McGraw-Hill Global Education Holdings, 144A

   

9.750

%

 

4/01/21

 

BB

   

1,050,000

   
  400    

WMG Acquisition Group

   

11.500

%

 

10/01/18

 

B

   

463,000

   
  21,603    

Total Media

                           

20,657,036

   
   

Pharmaceuticals – 1.1% (0.8% of Total Investments)

 
  2,000    

Valeant Pharmaceuticals International, 144A

   

7.000

%

 

10/01/20

 

B1

   

2,120,000

   
  1,000    

Valeant Pharmaceuticals International, 144A

   

7.250

%

 

7/15/22

 

B1

   

1,062,500

   
  2,000    

VPII Escrow Corporation, 144A

   

7.500

%

 

7/15/21

 

B1

   

2,145,000

   
  5,000    

Total Pharmaceuticals

                           

5,327,500

   
   

Road & Rail – 0.3% (0.2% of Total Investments)

 
  1,200    

Avis Budget Car Rental

   

2.775

%

 

5/15/14

 

B+

   

1,200,012

   
   

Semiconductors & Equipment – 0.9% (0.6% of Total Investments)

 
  2,050    

Advanced Micro Devices, Inc.

   

7.750

%

 

8/01/20

 

B

   

2,024,375

   
  2,500    

Advanced Micro Devices, Inc.

   

7.500

%

 

8/15/22

 

B

   

2,425,000

   
  4,550    

Total Semiconductors & Equipment

                           

4,449,375

   
   

Software – 0.6% (0.4% of Total Investments)

 
  850    

Infor Us Inc.

   

11.500

%

 

7/15/18

 

B-

   

979,625

   
  1,875    

Infor Us Inc.

   

9.375

%

 

4/01/19

 

B-

   

2,095,311

   
  2,725    

Total Software

                           

3,074,936

   
   

Specialty Retail – 0.1% (0.1% of Total Investments)

 
  500      

99

Cents Only Stores

   

11.000

%

 

12/15/19

 

CCC+

   

565,000

   
   

Wireless Telecommunication Services – 0.7% (0.5% of Total Investments)

 
  750    

FairPoint Communications Inc., 144A

   

8.750

%

 

8/15/19

 

B

   

757,500

   
  2,750    

MetroPCS Wireless Inc., 144A

   

6.250

%

 

4/01/21

 

BB

   

2,805,000

   
  3,500    

Total Wireless Telecommunication Services

                           

3,562,500

   

$

77,025

   

Total Corporate Bonds (cost $75,429,312)

                           

78,708,651

   

Nuveen Investments
49



JRO

Nuveen Floating Rate Income Opportunity Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Asset-Backed Securities – 5.0% (3.5% of Total Investments)

 

$

800

   

BlueMountain Collateralized Loan Obligation, Series 2012 2A E14

   

5.374

%

 

11/20/24

 

BB

 

$

742,803

   
 

2,500

   

BlueMountain Collateralized Loan Obligations Limited 2012-1A, 144A

   

5.766

%

 

7/20/23

 

BB

   

2,402,100

   
 

1,250

    Carlyle Global Market Strategies, Collateralized Loan Obligations,
Series 2013-3A, 144A
   

4.870

%

 

7/15/25

 

BB

   

1,131,618

   
 

500

   

Dryden Senior Loan 2013-26A E, 144A

   

4.768

%

 

7/15/25

 

BB

   

442,467

   
 

1,500

   

Flatiron Collateralized Loan Obligation Limited, Series 2011-1A

   

4.668

%

 

1/15/23

 

BB

   

1,346,506

   
 

1,500

   

Fraser Sullivan Collateralized Loan Obligations Limited, Series 2011-6A, 144A

   

5.773

%

 

11/22/22

 

BB

   

1,430,095

   
 

250

   

ING Investment Management, Collateralized Loan Obligation, 2013-1A D, 144A

   

5.310

%

 

4/15/24

 

BB

   

226,028

   
 

2,000

   

LCM Limited Partnership, Collateralized Loan Obligations, 144A

   

6.018

%

 

4/15/22

 

BB

   

1,953,504

   
 

1,500

   

LCM Limited Partnership, Collateralized Loan Obligations

   

5.416

%

 

4/19/22

 

BB

   

1,396,782

   
 

1,800

   

LCM Limited Partnership Series 2012A, 144A

   

6.016

%

 

10/19/22

 

BB

   

1,739,162

   
 

1,500

    Madison Park Funding Limited, Collateralized Loan Obligations,
Series 2012-8A, 144A
   

5.616

%

 

4/22/22

 

BB

   

1,427,438

   
 

1,000

    Madison Park Funding Limited, Collateralized Loan Obligations,
Series 2012-8A, 144A
   

4.616

%

 

4/22/22

 

BBB

   

992,486

   
 

500

   

North End CLO Limited, Loan Pool, 144A, WI/DD (8)

   

1.000

%

 

7/17/25

 

N/R

   

442,600

   
 

2,000

    Oak Hill Credit Partners IV Limited, Collateralized Loan Obligation
Series 2012-6A
   

5.775

%

 

5/15/23

 

BB

   

1,911,588

   
 

2,240

   

Oak Hill Credit Partners, Series 2012-7A

   

5.274

%

 

11/20/23

 

BB

   

2,065,484

   
 

1,000

   

Race Point Collateralized Loan Obligations, Series 2011-5A, 144A

   

6.773

%

 

12/15/22

 

BB

   

999,853

   
 

2,000

   

Race Point Collateralized Loan Obligations, Series 2012-6A, 144A

   

5.774

%

 

5/24/23

 

BB

   

1,926,172

   
 

2,000

   

Race Point Collateralized Loan Obligations, Series 2012-7A, 144A

   

5.275

%

 

11/08/24

 

BB-

   

1,841,456

   

$

25,840

   

Total Asset-Backed Securities (cost $22,546,536)

                           

24,418,142

   
 

   

Total Long-Term Investments (cost $657,257,960)

                           

666,183,652

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

     

Value

 
   

Short-Term Investments – 7.2% (4.9% of Total Investments)

 

$

34,586

  Repurchase Agreement with Fixed Income Clearing Corporation, dated
7/31/13, repurchase price $34,585,593, collateralized by $29,400,000
U.S. Treasury Bonds, 7.250%, due 5/15/16, value $35,280,000
  0.010
 
 

%

  8/01/13
 
 
         

$

34,585,583

 
       

Total Short-Term Investments (cost $34,585,583)

                           

34,585,583

   
       

Total Investments (cost $691,843,543) – 145.3%

                           

700,769,235

   
       

Borrowings – (41.9)% (9), (10)

                           

(201,900,000

)

 
       

Other Assets Less Liabilities – (3.4)% (11)

                           

(16,664,971

)

 
       

Net Assets Applicable to Common Shares – 100%

                         

$

482,204,264

   

Investments in Derivatives as of July 31, 2013

Interest Rate Swaps outstanding:

Counterparty

  Notional
Amount
  Fund
Pay/Receive
Floating Rate
 

Floating Rate Index

  Fixed Rate
(Annualized)
  Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation) (11)
 

Goldman Sachs

 

$

29,317,500

   

Receive

  1-Month USD-LIBOR    

1.300

%

 

Monthly

 

4/20/14

 

$

(236,519

)

 

Morgan Stanley

   

29,317,500

   

Receive

  1-Month USD-LIBOR    

2.201

   

Monthly

 

4/20/16

   

(1,307,616

)

 
   

$

58,635,000

                       

$

(1,544,135

)

 

Nuveen Investments
50



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

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

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

  (3)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (4)  Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States banks.

    Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

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

  (7)  For fair value measurement disclosure purposes, Common Stock classified as Level 2. See Notes to Financial Statements, Note 2— Investment Valuation and Fair Value Measurments for more information.

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

  (9)  Borrowings as a percentage of Total Investments is 28.8%.

  (10)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (11)  Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

  DD1  Portion of investment purchased on a delayed delivery basis.

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

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

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

  USD-LIBOR  United States Dollar—London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
51




JSD

Nuveen Short Duration Credit Opportunities Fund

Portfolio of Investments

  July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Variable Rate Senior Loan Interests – 119.8% (85.2% of Total Investments) (4)

 
   

Aerospace & Defense – 1.0% (0.7% of Total Investments)

 

$

810

   

Beechcraft Holdings LLC, Exit Term Loan B

   

5.750

%

 

2/15/20

 

BB-

 

$

816,101

   
  1,244    

Sequa Corporation, Term Loan B

   

5.250

%

 

6/19/17

 

B1

   

1,260,852

   
  2,054    

Total Aerospace & Defense

                           

2,076,953

   
   

Airlines – 4.1% (2.9% of Total Investments)

 
  1,000    

American Airlines, Inc., Exit Term Loan, WI/DD

 

TBD

 

TBD

 

Baa2

   

995,000

   
  3,184    

Delta Air Lines, Inc., Term Loan B1

   

4.000

%

 

10/18/18

 

Ba1

   

3,201,340

   
  995    

Delta Air Lines, Inc., Term Loan B2

   

3.250

%

 

4/18/16

 

Ba1

   

1,001,716

   
  1,960    

Delta Air Lines, Inc., Term Loan B

   

4.250

%

 

4/20/17

 

Ba1

   

1,979,110

   
  1,000    

US Airways, Inc., Term Loan B1

   

4.250

%

 

5/23/19

 

B+

   

1,001,625

   
  8,139    

Total Airlines

                           

8,178,791

   
   

Auto Components – 0.6% (0.4% of Total Investments)

 
  985    

Allison Transmission, Inc., Term Loan B3

   

4.250

%

 

8/23/19

 

BB-

   

995,142

   
  170    

Schaeffler AG, Term Loan C

   

4.250

%

 

1/27/17

 

B+

   

171,221

   
  1,155    

Total Auto Components

                           

1,166,363

   
   

Capital Markets – 2.4% (1.7% of Total Investments)

 
  850    

American Capital, LTD., Senior Secured Term Loan

   

5.500

%

 

8/15/16

 

B+

   

855,568

   
  3,917    

Walter Investment Management Corporation, Tranche B, Term Loan, DD1

   

5.750

%

 

11/28/17

 

B+

   

3,959,980

   
  4,767    

Total Capital Markets

                           

4,815,548

   
   

Chemicals – 1.0% (0.7% of Total Investments)

 
  1,187    

Ineos US Finance LLC, Term Loan, First Lien

   

4.000

%

 

5/04/18

 

BB-

   

1,186,317

   
  750    

MacDermid, Inc., Tranche B, Term Loan, Second Lien

   

7.750

%

 

12/07/20

 

B-

   

761,250

   
  1,937    

Total Chemicals

                           

1,947,567

   
   

Commercial Services & Supplies – 5.0% (3.6% of Total Investments)

 
  2,500    

Aramark Corporation, Term Loan, Tranche D

   

4.000

%

 

9/09/19

 

BB-

   

2,528,515

   
  192    

Brand Energy & Infrastructure Services, Inc., Canadian Tranche 1, Term Loan

   

6.250

%

 

10/23/18

 

B

   

195,779

   
  500    

Brand Energy & Infrastructure Services, Inc., Term Loan, Second Lien

   

11.000

%

 

10/23/19

 

CCC+

   

514,375

   
  800    

Brand Energy & Infrastructure Services, Inc., Term Loan

   

6.250

%

 

10/23/18

 

B

   

815,745

   
  840    

Brickman Group Holdings, Inc., Tranche B2, Term Loan

   

3.273

%

 

10/14/16

 

B+

   

846,901

   
  1,059    

Brickman Group Holdings, Inc., Tranche B3, Term Loan

   

4.000

%

 

9/28/18

 

B+

   

1,065,066

   
  998    

Ceridian Corporation, Extended Term Loan

   

5.942

%

 

5/09/17

 

B1

   

1,006,749

   
  2,654    

Harland Clarke Holdings Corporation, Term Loan B3

   

7.000

%

 

5/22/18

 

B+

   

2,631,661

   
  494    

Houghton Mifflin, Term Loan

   

5.250

%

 

5/22/18

 

B2

   

497,762

   
  10,037    

Total Commercial Services & Supplies

                           

10,102,553

   
   

Communications Equipment – 1.3% (0.9% of Total Investments)

 
  1,493    

Alcatel-Lucent, Term Loan C

   

7.250

%

 

1/29/19

 

B+

   

1,527,481

   
  1,163    

Telesat Canada Inc., Term Loan B

   

3.500

%

 

3/28/19

 

Ba2

   

1,171,339

   
  2,656    

Total Communications Equipment

                           

2,698,820

   
   

Computers & Peripherals – 0.4% (0.3% of Total Investments)

 
  796    

SunGard Data Systems, Inc., Term Loan D

   

4.500

%

 

1/31/20

 

BB

   

807,277

   

Nuveen Investments
52



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Consumer Finance – 1.3% (0.9% of Total Investments)

 

$

727

   

Jackson Hewitt Tax Service, Inc., Term Loan

   

10.000

%

 

10/16/17

 

N/R

 

$

710,215

   
  964    

Royalty Pharma Finance Trust, Incremental Term Loan

   

4.000

%

 

11/09/18

 

Baa2

   

968,310

   
  960    

Springleaf Financial Funding Company, Term Loan

   

5.500

%

 

5/10/17

 

B

   

962,760

   
  2,651    

Total Consumer Finance

                           

2,641,285

   
   

Containers & Packaging – 0.6% (0.4% of Total Investments)

 
  1,137    

Reynolds Group Holdings, Inc., Term Loan

   

4.750

%

 

9/28/18

 

B+

   

1,152,480

   
   

Distributors – 1.5% (1.1% of Total Investments)

 
  2,970    

HD Supply, Inc., Term Loan B

   

4.500

%

 

10/12/17

 

B+

   

3,003,104

   
   

Diversified Consumer Services – 1.8% (1.3% of Total Investments)

 
  2,060    

Cengage Learning Acquisitions, Inc., Term Loan, (5)

   

0.000

%

 

7/03/14

 

D

   

1,522,007

   
  2,192    

Laureate Education, Inc., Extended Term Loan

   

5.250

%

 

6/15/18

 

B1

   

2,196,837

   
  4,252    

Total Diversified Consumer Services

                           

3,718,844

   
   

Diversified Financial Services – 2.6% (1.9% of Total Investments)

 
  1,496    

Ocwen Financial Corporation, Term Loan B

   

5.000

%

 

2/05/18

 

B1

   

1,518,694

   
  3,732    

WideOpenWest Finance LLC, Term Loan B

   

4.750

%

 

4/01/19

 

B1

   

3,779,663

   
  5,228    

Total Diversified Financial Services

                           

5,298,357

   
   

Electric Utilities – 0.2% (0.2% of Total Investments)

 
  500    

Equipower Resources Holdings LLC, Term Loan C, WI/DD

 

TBD

 

TBD

 

BB

   

503,750

   
   

Electrical Equipment – 0.5% (0.3% of Total Investments)

 
  1,000    

Sensus Metering Systems, Inc., Term Loan, Second Lien

   

8.500

%

 

5/09/18

 

CCC

   

977,500

   
   

Electronic Equipment & Instruments – 0.7% (0.5% of Total Investments)

 
  1,451    

SMART Modular Technologies, Inc., Term Loan B

   

8.250

%

 

8/26/17

 

B

   

1,324,266

   
   

Food & Staples Retailing – 2.5% (1.8% of Total Investments)

 
  905    

Albertson's LLC, Term Loan B1

   

4.250

%

 

3/21/16

 

BB-

   

914,810

   
  591    

Albertson's LLC, Term Loan B2

   

4.750

%

 

3/21/19

 

BB-

   

595,208

   
  1,000    

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

   

4.875

%

 

6/21/21

 

B-

   

1,008,750

   
  997    

Supervalu, Inc., New Term Loan B

   

5.000

%

 

3/21/19

 

B+

   

1,007,674

   
  1,444    

Wilton Products, Inc., Tranche B, Term Loan

   

7.500

%

 

8/30/18

 

B1

   

1,450,066

   
  4,937    

Total Food & Staples Retailing

                           

4,976,508

   
   

Food Products – 4.3% (3.1% of Total Investments)

 
  1,493    

AdvancePierre Foods, Inc., Term Loan, First Lien

   

5.750

%

 

7/10/17

 

B1

   

1,511,779

   
  427    

Ferrara Candy Company, Term Loan B

   

7.504

%

 

6/18/18

 

B

   

426,599

   
  2,300    

H.J Heinz Company, Term Loan B2

   

3.500

%

 

6/05/20

 

BB

   

2,324,757

   
  998    

Pinnacle Foods Finance LLC, Term Loan G

   

3.250

%

 

4/29/20

 

BB-

   

999,370

   
  3,440    

US Foods, Inc., Incremental Term Loan

   

4.500

%

 

3/31/19

 

B2

   

3,451,180

   
  8,658    

Total Food Products

                           

8,713,685

   
   

Health Care Equipment & Supplies – 4.7% (3.3% of Total Investments)

 
  1,299    

Hologic, Inc., Term Loan B

   

4.500

%

 

8/01/19

 

BBB-

   

1,307,289

   
  3,546    

Kinetic Concepts, Inc., Term Loan D1

   

4.500

%

 

5/04/18

 

Ba2

   

3,591,617

   
  3,500    

Onex Carestream Finance LP, Term Loan, First Lien

   

5.000

%

 

6/07/19

 

B+

   

3,526,978

   
  1,000    

Onex Carestream Finance LP, Term Loan, Second Lien

   

9.500

%

 

12/07/19

 

B-

   

991,667

   
  9,345    

Total Health Care Equipment & Supplies

                           

9,417,551

   
   

Health Care Providers & Services – 13.1% (9.3% of Total Investments)

 
  2,993    

Apria Healthcare Group, Inc., Term Loan, First Lien

   

6.750

%

 

4/06/20

 

BB-

   

3,020,555

   
  952    

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

   

6.750

%

 

7/02/18

 

B+

   

957,198

   
  938    

BioScrip, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

948,047

   
  184    

Community Health Systems, Inc., Extended Term Loan

   

3.773

%

 

1/25/17

 

BB

   

185,963

   

Nuveen Investments
53



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    Health Care Providers & Services (continued)  

$

971

   

CRC Health Corporation, Term Loan B3

   

8.500

%

 

11/16/15

 

B+

 

$

990,699

   
  2,985    

DaVita, Inc., New Term Loan B2

   

4.000

%

 

11/01/19

 

Ba2

   

3,005,788

   
  861    

Genesis Healthcare LLC, Term Loan

   

10.002

%

 

12/04/17

 

B+

   

880,039

   
  1,360    

Gentiva Health Services, Inc., Term Loan B

   

6.500

%

 

8/17/16

 

B+

   

1,364,922

   
  3,138    

Golden Living, Term Loan

   

5.000

%

 

5/04/18

 

B1

   

3,049,688

   
  1,164    

Health Management Associates, Inc., Replacement Term Loan B

   

3.500

%

 

11/16/18

 

BB-

   

1,169,015

   
  995    

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

   

6.250

%

 

12/21/18

 

Ba3

   

1,004,535

   
  500    

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

   

9.750

%

 

6/20/19

 

CCC+

   

511,875

   
  1,225    

IASIS Healthcare LLC, Term Loan B2, First Lien

   

4.500

%

 

5/03/18

 

Ba3

   

1,236,379

   
  358    

Kindred Healthcare, Inc., Term Loan B1

   

4.250

%

 

6/01/18

 

Ba3

   

357,890

   
  924    

LHP Operations Co. LLC, Term Loan B

   

9.000

%

 

7/03/18

 

B

   

937,860

   
  992    

National Mentor Holdings, Inc., Term Loan B

   

6.500

%

 

2/09/17

 

B+

   

999,213

   
  1,155    

Select Medical Corporation, Term Loan B

   

4.002

%

 

6/01/18

 

Ba2

   

1,160,986

   
  2,475    

Sheridan Holdings, Inc., Term Loan, First Lien

   

4.500

%

 

6/29/18

 

B+

   

2,494,244

   
  1,000    

Sheridan Holdings, Inc., Term Loan, Second Lien

   

9.000

%

 

7/01/19

 

B-

   

1,008,750

   
  969    

Skilled Healthcare Group, Inc., Term Loan

   

6.788

%

 

4/09/16

 

B1

   

976,016

   
  26,139    

Total Health Care Providers & Services

                           

26,259,662

   
   

Hotels, Restaurants & Leisure – 5.6% (4.0% of Total Investments)

 
  2,343    

24 Hour Fitness Worldwide, Inc., Term Loan B

   

5.250

%

 

4/22/16

 

Ba3

   

2,371,921

   
  1,426    

BLB Management Services, Inc., Term Loan

   

5.250

%

 

11/10/18

 

BB-

   

1,444,641

   
  2,393    

CCM Merger, Inc., Term Loan

   

5.000

%

 

3/01/17

 

B+

   

2,419,998

   
  1,968    

Landry's Restaraunts, Inc., Term Loan B

   

4.750

%

 

4/24/18

 

BB-

   

1,994,553

   
  995    

MGM Resorts International, Term Loan B

   

3.500

%

 

12/20/19

 

BB

   

998,105

   
  1,995    

Station Casino LLC, Term Loan B

   

5.000

%

 

3/02/20

 

B1

   

2,016,554

   
  11,120    

Total Hotels, Restaurants & Leisure

                           

11,245,772

   
   

Household Durables – 1.4% (1.0% of Total Investments)

 
  768    

Spectrum Brands, Inc., Term Loan

   

4.510

%

 

12/17/19

 

Ba3

   

774,960

   
  1,995    

Sun Products Corporation, Term Loan

   

5.500

%

 

3/23/20

 

B1

   

1,997,494

   
  2,763    

Total Household Durables

                           

2,772,454

   
   

Industrial Conglomerates – 1.0% (0.7% of Total Investments)

 
  1,995    

DuPont Performance Coatings, Dollar Term Loan B

   

4.750

%

 

2/03/20

 

B+

   

2,017,133

   
   

Insurance – 2.6% (1.9% of Total Investments)

 
  995    

Alliant Holdings I LLC, Initial Term Loan B, First Lien

   

5.000

%

 

12/20/19

 

B1

   

1,003,551

   
  1,294    

Cunningham Lindsey Group, Ltd., Term Loan, First Lien

   

5.000

%

 

12/10/19

 

Ba3

   

1,302,337

   
  1,990    

USI Holdings Corporation, Term Loan B

   

5.250

%

 

12/27/19

 

B1

   

2,009,651

   
  963    

Vantage Drilling Company, Term Loan B

   

6.250

%

 

10/25/17

 

B-

   

970,521

   
  5,242    

Total Insurance

                           

5,286,060

   
   

Internet & Catalog Retail – 1.4% (1.0% of Total Investments)

 
  2,736    

EIG Investors Corp., Term Loan, First Lien

   

6.250

%

 

11/09/19

 

B1

   

2,760,192

   
   

Internet Software & Services – 5.1% (3.6% of Total Investments)

 
  729    

Ancestry.com, Inc., Term Loan B1

   

5.250

%

 

12/28/18

 

B+

   

737,043

   
  1,000    

ION Trading Technologies S.A.R.L., Term Loan, Second Lien

   

8.250

%

 

5/22/21

 

CCC+

   

1,004,063

   
  925    

Sabre Inc., Term Loan C

   

4.000

%

 

2/19/18

 

B1

   

932,169

   
  2,488    

Sabre, Inc., Term Loan B

   

5.250

%

 

2/19/19

 

B1

   

2,523,646

   
  2,000    

San Juan Cable LLC, Term Loan, Second Lien

   

10.000

%

 

6/09/18

 

CCC+

   

2,015,000

   
  2,960    

SSI Investments II, Ltd., New Term Loan

   

5.000

%

 

5/26/17

 

Ba3

   

2,986,260

   
  10,102    

Total Internet Software & Services

                           

10,198,181

   
   

IT Services – 5.0% (3.5% of Total Investments)

 
  663    

CompuCom Systems, Inc., Term Loan B

   

4.250

%

 

5/09/20

 

B1

   

669,054

   
  1,500    

EIG Investors Corp., Term Loan, Second Lien

   

10.250

%

 

5/09/20

 

CCC+

   

1,509,375

   
  933    

SRA International, Term Loan

   

6.500

%

 

7/20/18

 

B1

   

937,809

   
  998    

SunGard Data Systems, Inc., Term Loan E

   

4.000

%

 

3/08/20

 

BB

   

1,006,683

   

Nuveen Investments
54



Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
    IT Services (continued)  

$

2,325

   

VFH Parent LLC, Term Loan B

   

5.775

%

 

7/08/16

 

N/R

 

$

2,348,279

   
  3,463    

Zayo Group LLC, Term Loan B

   

4.500

%

 

7/02/19

 

B1

   

3,499,109

   
  9,882    

Total IT Services

                           

9,970,309

   
   

Leisure Equipment & Products – 1.9% (1.3% of Total Investments)

 
  2,263    

Bombardier Recreational Products, Inc., Term Loan

   

4.000

%

 

1/30/19

 

B+

   

2,271,343

   
  1,496    

Equinox Holdings, Inc., New Initial Term Loan B

   

4.501

%

 

1/31/20

 

B1

   

1,507,472

   
  3,759    

Total Leisure Equipment & Products

                           

3,778,815

   
   

Machinery – 0.5% (0.3% of Total Investments)

 
  1,000    

Gardner Denver, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B1

   

1,005,000

   
   

Media – 5.7% (4.0% of Total Investments)

 
  579    

Cengage Learning Acquisitions, Inc., Tranche B, Extended Term Loan, (5)

   

0.000

%

 

7/04/17

 

D

   

430,402

   
  840    

Charter Communications Operating Holdings LLC, Term Loan F

   

3.000

%

 

12/31/20

 

Baa3

   

837,674

   
  968    

Cumulus Media, Inc., Term Loan, Second Lien

   

7.500

%

 

9/16/19

 

B3

   

994,598

   
  1,000    

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

   

5.500

%

 

6/17/20

 

BB-

   

1,010,000

   
  998    

Internet Brands, Inc., Term Loan B

   

6.250

%

 

3/18/19

 

B+

   

1,001,864

   
  1,496    

McGraw-Hill Education Holdings LLC, Term Loan

   

9.000

%

 

3/22/19

 

B2

   

1,506,537

   
  1,000    

Media General, Inc., Delayed Draw, Term Loan, WI/DD

 

TBD

 

TBD

 

BB-

   

1,000,938

   
  980    

Radio One, Inc., Term Loan B, First Lien

   

7.500

%

 

2/14/17

 

B+

   

1,006,675

   
  1,000    

Springer Science & Business Media, Inc., Term Loan, WI/DD

 

TBD

 

TBD

 

B

   

989,375

   
  2,571    

UPC Broadband Holding BV, Term Loan AF

   

4.000

%

 

1/31/21

 

BB-

   

2,591,520

   
  11,432    

Total Media

                           

11,369,583

   
   

Multiline Retail – 0.3% (0.2% of Total Investments)

 
  556    

99 Cents Only Stores, Term Loan B1

   

5.253

%

 

1/11/19

 

B+

   

561,802

   
   

Oil, Gas & Consumable Fuels – 6.1% (4.4% of Total Investments)

 
  1,228    

Buffalo Gulf Coast Terminals, Term Loan B

   

5.250

%

 

10/31/17

 

BB+

   

1,243,571

   
  1,645    

Crestwood Holdings LLC, Term Loan B

   

7.000

%

 

6/19/19

 

B

   

1,678,120

   
  1,000    

EP Energy LLC, Term Loan B3, Second Lien

   

3.500

%

 

5/24/18

 

Ba3

   

1,001,979

   
  728    

Frac Tech International LLC, Term Loan

   

8.500

%

 

5/06/16

 

B+

   

727,442

   
  1,800    

Harvey Gulf International Marine, Inc., Term Loan B

   

5.500

%

 

6/18/20

 

B1

   

1,829,250

   
  3,000    

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

   

6.000

%

 

3/31/21

 

B+

   

3,041,250

   
  998    

Rice Drilling LLC., Term Loan, Second Lien

   

8.500

%

 

10/25/18

 

N/R

   

987,525

   
  833    

Samson Investment Company, Initial Term Loan, Second Lien

   

6.000

%

 

9/25/18

 

B1

   

844,271

   
  998    

Saxon Energy Services, Inc., Term Loan

   

5.500

%

 

2/13/19

 

Ba3

   

1,003,111

   
  12,230    

Total Oil, Gas & Consumable Fuels

                           

12,356,519

   
   

Pharmaceuticals – 10.4% (7.4% of Total Investments)

 
  1,975    

Auxilium Pharmaceuticals, Inc., Term Loan

   

6.250

%

 

4/26/17

 

Ba2

   

1,988,578

   
  563    

BioScrip, Inc., Term Loan B, WI/DD

 

TBD

 

TBD

 

B

   

568,828

   
  1,881    

ConvaTec Healthcare, Incremental Term Loan B

   

5.000

%

 

12/22/16

 

Ba3

   

1,892,044

   
  863    

Generic Drug Holdings, Inc., Term Loan B

   

5.000

%

 

10/29/19

 

B+

   

868,078

   
  2,953    

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

   

4.250

%

 

12/01/18

 

Ba3

   

2,980,295

   
  1,939    

Quintiles Transnational Corp., Term Loan B2

   

4.500

%

 

6/08/18

 

BB-

   

1,960,735

   
  995    

Therakos, Inc., Term Loan, First Lien

   

7.500

%

 

12/27/17

 

B

   

998,731

   
  2,233    

Valeant Pharmaceuticals International, Inc., Series D, Term Loan

   

3.500

%

 

2/19/19

 

BBB-

   

2,258,544

   
  5,000    

Valeant Pharmaceuticals International, Inc., Term Loan E, WI/DD

 

TBD

 

TBD

 

Ba1

   

5,073,124

   
  267    

Warner Chilcott Company LLC, Additional Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

267,707

   
  613    

Warner Chilcott Corporation, Term Loan B1

   

4.250

%

 

3/15/18

 

BBB-

   

614,961

   
  38    

Warner Chilcott Corporation, Term Loan B2

   

4.250

%

 

3/15/18

 

BBB-

   

37,632

   
  483    

Warner Chilcott Corporation, Term Loan B3

   

4.250

%

 

3/15/18

 

BBB-

   

484,600

   
  771    

Warner Chilcott Corporation, Term Loan B4

   

3.186

%

 

8/15/17

 

BBB-

   

772,038

   
  154    

Warner Chilcott Corporation, Term Loan B5

   

3.186

%

 

8/20/17

 

BBB-

   

154,408

   
  20,728    

Total Pharmaceuticals

                           

20,920,303

   

Nuveen Investments
55



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity (2)

 

Ratings (3)

 

Value

 
   

Real Estate Investment Trust – 1.7% (1.2% of Total Investments)

 

$

1,500

   

Capital Automotive LP, Term Loan, Second Lien

   

6.000

%

 

4/30/20

 

B1

 

$

1,548,750

   
  1    

iStar Financial, Inc., Term Loan, Tranche A1

   

5.250

%

 

3/19/16

 

BB-

   

1,265

   
  1,741    

iStar Financial, Inc., Term Loan

   

4.500

%

 

10/15/17

 

BB-

   

1,750,635

   
  119    

Realogy Corporation, Synthetic Letter of Credit

   

4.463

%

 

10/10/16

 

BB-

   

119,041

   
  3,361    

Total Real Estate Investment Trust

                           

3,419,691

   
   

Real Estate Management & Development – 1.8% (1.3% of Total Investments)

 
  1,669    

Capital Automotive LP, Term Loan, Tranche B1

   

4.000

%

 

4/10/19

 

Ba2

   

1,684,798

   
  1,995    

Realogy Corporation, Term Loan B

   

4.500

%

 

3/05/20

 

BB-

   

2,018,691

   
  3,664    

Total Real Estate Management & Development

                           

3,703,489

   
   

Road & Rail – 0.5% (0.4% of Total Investments)

 
  1,038    

Swift Transportation Company, Inc., Term Loan B2

   

4.000

%

 

12/21/17

 

BB

   

1,049,416

   
   

Semiconductors & Equipment – 1.9% (1.4% of Total Investments)

 
  1,995    

Freescale Semiconductor, Inc., Term Loan, Tranche B4

   

5.000

%

 

2/28/20

 

B1

   

2,018,276

   
  832    

Microsemi Corporation, Term Loan, First Lien

   

3.750

%

 

2/19/20

 

BB

   

841,500

   
  995    

NXP Semiconductor LLC, Incremental Term Loan C

   

4.750

%

 

1/10/20

 

B+

   

1,016,559

   
  3,822    

Total Semiconductors & Equipment

                           

3,876,335

   
   

Software – 10.0% (7.1% of Total Investments)

 
  1,767    

Attachmate Corporation, Term Loan, First Lien

   

7.250

%

 

11/22/17

 

BB-

   

1,787,985

   
  903    

Blackboard, Inc., Term Loan B2

   

6.250

%

 

10/04/18

 

B+

   

915,169

   
  870    

Datatel Parent Corp, Term Loan B

   

4.500

%

 

7/19/18

 

B+

   

879,739

   
  986    

Emdeon Business Services LLC, Term Loan B2

   

3.750

%

 

11/02/18

 

BB-

   

992,926

   
  980    

Epicor Software Corporation,Term Loan, B1

   

4.500

%

 

5/16/18

 

Ba3

   

987,671

   
  993    

Explorer Holdings, Inc., Term Loan

   

6.000

%

 

5/02/18

 

B+

   

998,095

   
  876    

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

   

4.000

%

 

2/08/20

 

B+

   

878,353

   
  3,153    

Infor Enterprise Applications, Term Loan B

   

5.250

%

 

4/05/18

 

Ba3

   

3,187,549

   
  908    

IPC Systems, Inc., Extended Term Loan, Tranche B1, First Lien

   

7.750

%

 

7/31/17

 

B1

   

903,255

   
  3,800    

IPC Systems, Inc., Term Loan, Second Lien

   

5.436

%

 

6/01/15

 

CCC

   

3,192,000

   
  2,728    

Misys PLC, Term Loan, First Lien

   

7.250

%

 

12/12/18

 

Ba3

   

2,761,445

   
  796    

RedPrairie Corporation, Term Loan, First Lien

   

6.750

%

 

12/21/18

 

B+

   

804,315

   
  730    

Vertafore, Inc., Term Loan, First Lien

   

4.250

%

 

10/03/19

 

B+

   

734,718

   
  1,000    

Vertafore, Inc., Term Loan, Second Lien

   

9.750

%

 

10/29/17

 

CCC+

   

1,020,500

   
  20,490    

Total Software

                           

20,043,720

   
   

Specialty Retail – 2.4% (1.7% of Total Investments)

 
  1,000    

Charlotte Russe, Inc., Initial Term Loan

   

6.750

%

 

5/22/19

 

B2

   

981,875

   
  1,819    

Collective Brands, Inc., Term Loan B

   

7.250

%

 

10/09/19

 

B

   

1,847,811

   
  1,000    

J.C. Penney Corporation, Inc., Term Loan, First Lien

   

6.000

%

 

5/22/18

 

B2

   

1,009,375

   
  1,052    

Jo-Ann Stores, Inc., Term Loan, First Lien

   

4.000

%

 

3/16/18

 

B+

   

1,056,473

   
  4,871    

Total Specialty Retail

                           

4,895,534

   
   

Textiles, Apparel & Luxury Goods – 0.3% (0.2% of Total Investments)

 
  584    

Wolverine World Wide, Inc., Tranche B, Term Loan

   

4.000

%

 

10/09/19

 

BB

   

589,210

   
   

Trading Companies & Distributors – 0.4% (0.3% of Total Investments)

 
  842    

Wesco Distribution, Inc., Term Loan B

   

4.500

%

 

12/04/19

 

Ba3

   

849,441

   
   

Wireless Telecommunication Services – 4.2% (3.0% of Total Investments)

 
  2,295    

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

   

3.836

%

 

1/29/16

 

CCC+

   

2,156,273

   
  2,000    

Cricket Communications, Inc., Term Loan C

   

4.750

%

 

3/08/20

 

Ba3

   

2,016,876

   
  2,493    

Fairpoint Communications, Inc., Term Loan B

   

7.500

%

 

2/11/19

 

B

   

2,484,009

   
  1,738    

Presidio, Inc., New Term Loan

   

5.750

%

 

3/31/17

 

Ba3

   

1,743,080

   
  8,526    

Total Wireless Telecommunication Services

                           

8,400,238

   

$

240,552

   

Total Variable Rate Senior Loan Interests (cost $237,027,662)

                           

240,850,061

   

Nuveen Investments
56



Shares  

Description (1)

             

Value

 
   

Common Stocks – 0.3% (0.2% of Total Investments)

 
   

Health Care Providers & Services – 0.3% (0.2% of Total Investments)

 
  4,514    

LifeCare Holdings Private Stock, (6), (7)

                         

$

586,860

   
   

Total Common Stocks (cost $564,306)

                           

586,860

   
Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Corporate Bonds – 20.6% (14.6% of Total Investments)

 
   

Commercial Services & Supplies – 0.7% (0.5% of Total Investments)

 

$

500

   

Ceridian Corporation

   

11.250

%

 

11/15/15

 

CCC

 

$

508,750

   
  816    

Harland Clarke Holdings

   

9.500

%

 

5/15/15

 

B-

   

819,060

   
  1,316    

Total Commercial Services & Supplies

                           

1,327,810

   
   

Distributors – 0.6% (0.4% of Total Investments)

 
  1,000    

HD Supply Inc.

   

11.500

%

 

7/15/20

 

CCC+

   

1,186,250

   
   

Diversified Consumer Services – 0.8% (0.6% of Total Investments)

 
  1,650    

NES Rental Holdings Inc., 144A

   

7.875

%

 

5/01/18

 

CCC+

   

1,691,250

   
   

Diversified Telecommunication Services – 0.8% (0.6% of Total Investments)

 
  750    

IntelSat Limited, 144A

   

7.750

%

 

6/01/21

 

CCC+

   

789,375

   
  300    

IntelSat Limited

   

8.125

%

 

6/01/23

 

CCC+

   

322,500

   
  500    

Level 3 Communications Inc.

   

11.875

%

 

2/01/19

 

B-

   

576,250

   
  1,550    

Total Diversified Telecommunication Services

                           

1,688,125

   
   

Health Care Equipment & Supplies – 1.8% (1.3% of Total Investments)

 
  2,700    

Kinetic Concepts

   

10.500

%

 

11/01/18

 

B

   

2,970,000

   
  625    

Rotech Healthcare Inc.

   

10.750

%

 

10/15/15

 

D

   

631,250

   
  3,325    

Total Health Care Equipment & Supplies

                           

3,601,250

   
   

Health Care Providers & Services – 2.9% (2.0% of Total Investments)

 
  2,000    

HCA Inc.

   

8.500

%

 

4/15/19

 

BB+

   

2,165,000

   
  1,350    

Iasis Healthcare Capital Corporation

   

8.375

%

 

5/15/19

 

CCC+

   

1,417,500

   
  1,000    

Truven Health Analtyics Inc.

   

10.625

%

 

6/01/20

 

CCC+

   

1,095,000

   
  1,000    

Vanguard Health Holding LLC/Inc.

   

8.000

%

 

2/01/18

 

B-

   

1,061,250

   
  5,350    

Total Health Care Providers & Services

                           

5,738,750

   
   

Hotels, Restaurants & Leisure – 0.5% (0.4% of Total Investments)

 
  1,000    

Harrah's Operating Company, Inc.

   

11.250

%

 

6/01/17

 

B-

   

1,039,375

   
   

Household Products – 1.7% (1.2% of Total Investments)

 
  700    

Reynolds Group

   

9.875

%

 

8/15/19

 

CCC+

   

756,000

   
  2,500    

Sprectum Brands Inc.

   

9.500

%

 

6/15/18

 

Ba3

   

2,756,250

   
  3,200    

Total Household Products

                           

3,512,250

   
   

Media – 4.0% (2.8% of Total Investments)

 
  500    

AMC Networks Inc.

   

7.750

%

 

7/15/21

 

BB-

   

560,000

   
  1,862    

Clear Channel Communications, Inc.

   

11.000

%

 

8/01/16

 

CCC-

   

1,736,035

   
  3,585    

Clear Channel Communications, Inc.

   

9.000

%

 

12/15/19

 

CCC+

   

3,576,038

   
  1,000    

Clear Channel Communications, Inc.

   

9.000

%

 

3/01/21

 

CCC+

   

985,000

   
  600    

Expo Event Transco Inc., 144A

   

9.000

%

 

6/15/21

 

Caa2

   

597,750

   
  500    

McGraw-Hill Global Education Holdings, 144A

   

9.750

%

 

4/01/21

 

BB

   

525,000

   
  8,047    

Total Media

                           

7,979,823

   
   

Oil, Gas & Consumable Fuels – 1.1% (0.8% of Total Investments)

 
  2,000    

Chaparral Energy Inc.

   

9.875

%

 

10/01/20

 

B-

   

2,230,000

   

Nuveen Investments
57



JSD

Nuveen Short Duration Credit Opportunities Fund (continued)

Portfolio of Investments July 31, 2013

Principal
Amount (000)
 

Description (1)

 

Coupon

 

Maturity

 

Ratings (3)

 

Value

 
   

Pharmaceuticals – 2.4% (1.7% of Total Investments)

 

$

1,000

   

Jaguar Holding Company I, 144A

   

9.375

%

 

10/15/17

 

CCC+

 

$

1,072,500

   
  2,000    

Valeant Pharmaceuticals International, 144A

   

7.000

%

 

10/01/20

 

B1

   

2,120,000

   
  500    

Valeant Pharmaceuticals International, 144A

   

7.250

%

 

7/15/22

 

B1

   

531,250

   
  1,000    

VPII Escrow Corporation, 144A

   

7.500

%

 

7/15/21

 

B1

   

1,072,500

   
  4,500    

Total Pharmaceuticals

                           

4,796,250

   
   

Semiconductors & Equipment – 0.2% (0.2% of Total Investments)

 
  250    

Advanced Micro Devices, Inc.

   

7.750

%

 

8/01/20

 

B

   

246,875

   
  166    

Advanced Micro Devices, Inc.

   

7.500

%

 

8/15/22

 

B

   

161,020

   
  416    

Total Semiconductors & Equipment

                           

407,895

   
   

Software – 1.9% (1.3% of Total Investments)

 
  2,550    

Infor Us Inc.

   

11.500

%

 

7/15/18

 

B-

   

2,938,875

   
  750    

Infor Us Inc.

   

9.375

%

 

4/01/19

 

B-

   

838,125

   
  3,300    

Total Software

                           

3,777,000

   
   

Specialty Retail – 0.3% (0.2% of Total Investments)

 
  500      

99

Cents Only Stores

   

11.000

%

 

12/15/19

 

CCC+

   

565,000

   
   

Wireless Telecommunication Services – 0.9% (0.6% of Total Investments)

 
  500    

FairPoint Communications Inc., 144A

   

8.750

%

 

8/15/19

 

B

   

505,000

   
  1,250    

MetroPCS Wireless Inc., 144A

   

6.250

%

 

4/01/21

 

BB

   

1,275,000

   
  1,750    

Total Wireless Telecommunication Services

                           

1,780,000

   

$

38,904

   

Total Corporate Bonds (cost $38,640,352)

                           

41,321,028

   
   

Total Investments (cost $276,232,320) – 140.7%

                           

282,757,949

   
   

Borrowings – (42.3)% (8), (9)

                           

(85,000,000

)

 
   

Other Assets Less Liabilities – 1.6% (10)

                           

3,273,431

   
   

Net Assets Applicable to Common Shares – 100%

                         

$

201,031,380

   

Investments in Derivatives as of July 31, 2013

Interest Rate Swaps outstanding:

Counterparty

  Notional
Amount
  Fund
Pay/Receive
Floating Rate
 

Floating Rate Index

  Fixed Rate
(Annualized)
  Fixed Rate
Payment
Frequency
  Termination
Date
  Unrealized
Appreciation
(Depreciation) (10)
 

Barclays PLC

 

$

17,500,000

   

Receive

  1-Month USD-LIBOR    

1.143

%

 

Monthly

 

9/15/16

 

$

(239,036

)

 

Morgan Stanley

   

17,500,000

   

Receive

  1-Month USD-LIBOR    

0.588

   

Monthly

 

9/15/14

   

(67,997

)

 

Morgan Stanley

   

17,500,000

   

Receive

  1-Month USD-LIBOR    

1.659

   

Monthly

 

9/15/18

   

(137,873

)

 
   

$

52,500,000

                       

$

(444,906

)

 

Credit Default Swaps outstanding:

Counterparty

 

Referenced Entity

  Buy/Sell
Protection (11)
  Current
Credit Spread (12)
  Notional
Amount
  Fixed Rate
(Annualized)
  Termination
Date
 

Value

  Unrealized
Appreciation
(Depreciation) (10)
 

Deutsche Bank

 

The Kroger Co.

 

Buy

   

0.72

%

 

$

2,000,000

     

1.000

%

 

9/20/18

 

$

(29,614

)

 

$

(24,643

)

 

Morgan Stanley

 

Kohl's Corporation

 

Buy

   

1.35

%

   

3,000,000

     

1.000

   

9/20/18

   

46,766

     

(47,142

)

 
               

$

5,000,000

               

$

(71,785

)

 

Nuveen Investments
58



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

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

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

  (3)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (4)  Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States banks.

    Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

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

  (7)  For fair value measurement disclosure purposes, Common Stock classified as Level 2. See Notes to Financial Statements, Note 2—Investment Valuation and Fair Value Measurments for more information.

  (8)  Borrowings as a percentage of Total Investments is 30.1%.

  (9)  The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.

  (10)  Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

  (11)  The Fund entered into the credit default swap to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning that referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

  (12)  The credit spread generally serves as an indication of the current status of the payment/performance risk and therefore the likelihood of default of the credit derivative. The credit spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of performance by the seller of protection.

  DD1  Portion of investment purchased on a delayed delivery basis.

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

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

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

  USD-LIBOR  United States Dollar—London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
59




Statement of

ASSETS & LIABILITIES

July 31, 2013

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short Duration
Credit
Opportunities
(JSD)
 

Assets

 
Investments, at value (cost $415,388,200, $989,045,955, $691,843,543
and $276,232,320, respectively)
 

$

419,722,058

   

$

999,906,490

   

$

700,769,235

   

$

282,757,949

   

Restricted cash(1)

   

1,224,351

     

2,556,916

     

1,805,000

     

504,000

   

Credit default swaps premiums paid

   

     

     

     

88,937

   

Receivable for:

 

Interest

   

2,398,932

     

5,583,687

     

4,240,537

     

2,000,608

   

Investments sold

   

17,708,799

     

39,593,998

     

24,008,578

     

16,471,494

   

Shares sold through shelf offering

   

     

310,306

     

494,295

     

   

Other assets

   

332,912

     

632,417

     

396,931

     

169,271

   

Total assets

   

441,387,052

     

1,048,583,814

     

731,714,576

     

301,992,259

   

Liabilities

 

Cash overdraft

   

     

     

     

439,218

   

Borrowings

   

123,000,000

     

295,200,000

     

201,900,000

     

85,000,000

   

Unrealized depreciation on:

 

Credit default swaps

   

     

     

     

71,785

   

Interest rate swaps

   

973,725

     

2,603,712

     

1,544,135

     

444,906

   

Payable for:

 

Investments purchased

   

27,116,809

     

54,349,304

     

42,322,033

     

13,238,542

   

Common share dividends

   

1,550,052

     

3,799,102

     

2,749,230

     

1,216,328

   

Accrued expenses:

 

Interest on borrowings

   

23,634

     

56,752

     

38,794

     

49,212

   

Management fees

   

284,167

     

671,467

     

467,041

     

197,834

   

Trustees fees

   

55,207

     

87,790

     

53,938

     

5,077

   

Shelf offering costs

   

170,821

     

149,948

     

169,213

     

160,000

   

Other

   

187,269

     

353,696

     

265,928

     

137,977

   

Total liabilities

   

153,361,684

     

357,271,771

     

249,510,312

     

100,960,879

   

Net assets applicable to common shares

 

$

288,025,368

   

$

691,312,043

   

$

482,204,264

   

$

201,031,380

   

Common shares outstanding

   

38,623,451

     

55,142,407

     

38,430,441

     

10,095,286

   
Net asset value (NAV) per common share outstanding (net assets applicable to
common shares, divided by common shares outstanding)
 

$

7.46

   

$

12.54

   

$

12.55

   

$

19.91

   

Net assets applicable to common shares consist of:

 

Common shares, $.01 par value per share

 

$

386,235

   

$

551,424

   

$

384,304

   

$

100,953

   

Paid-in surplus

   

325,080,096

     

766,676,675

     

526,713,005

     

192,378,463

   

Undistributed (Over-distribution of) net investment income

   

(954,461

)

   

(1,507,280

)

   

(1,047,840

)

   

(187,026

)

 

Accumulated net realized gain (loss)

   

(39,846,635

)

   

(82,665,599

)

   

(51,226,762

)

   

2,730,052

   

Net unrealized appreciation (depreciation)

   

3,360,133

     

8,256,823

     

7,381,557

     

6,008,938

   

Net assets applicable to common shares

 

$

288,025,368

   

$

691,312,043

   

$

482,204,264

   

$

201,031,380

   

Authorized shares:

 

Common

   

Unlimited

     

Unlimited

     

Unlimited

     

Unlimited

   

Preferred

   

Unlimited

     

Unlimited

     

Unlimited

     

Unlimited

   

(1)  Restricted cash collateral for swaps.

See accompanying notes to financial statements.

Nuveen Investments
60



Statement of

OPERATIONS

Year Ended July 31, 2013

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short Duration
Credit
Opportunities
(JSD)
 

Investment Income

 

Interest and dividends

 

$

21,824,969

   

$

53,968,230

   

$

37,164,894

   

$

18,187,981

   

Fees

   

1,741,545

     

3,571,526

     

2,651,783

     

1,548,029

   

Total investment income

   

23,566,514

     

57,539,756

     

39,816,677

     

19,736,010

   

Expenses

 

Management fees

   

2,963,914

     

7,180,810

     

4,772,959

     

2,322,889

   

Shareholder servicing agent fees and expenses

   

2,747

     

938

     

435

     

166

   

Interest expense on borrowings

   

1,222,196

     

3,040,022

     

1,955,474

     

997,886

   

Custodian fees and expenses

   

156,953

     

304,854

     

213,695

     

138,277

   

Trustees fees and expenses

   

11,025

     

26,834

     

17,723

     

8,586

   

Professional fees

   

67,898

     

84,792

     

75,211

     

39,366

   

Shareholder reporting expenses

   

53,857

     

118,715

     

92,808

     

32,619

   

Stock exchange listing fees

   

17,221

     

21,645

     

10,248

     

8,576

   

Investor relations expenses

   

22,344

     

46,452

     

31,518

     

11,520

   

Other expenses

   

16,119

     

34,786

     

26,630

     

20,654

   

Total expenses

   

4,534,274

     

10,859,848

     

7,196,701

     

3,580,539

   

Net investment income (loss)

   

19,032,240

     

46,679,908

     

32,619,976

     

16,155,471

   

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) from:

 

Investments

   

(1,360,386

)

   

9,001,577

     

6,496,242

     

4,230,472

   

Swaps

   

(571,402

)

   

(1,527,913

)

   

(906,131

)

   

(1,181,152

)

 

Change in net unrealized appreciation (depreciation) of:

 

Investments

   

13,813,567

     

25,426,205

     

16,500,807

     

1,752,372

   

Swaps

   

559,590

     

1,496,326

     

887,399

     

160,619

   

Net realized and unrealized gain (loss)

   

12,441,369

     

34,396,195

     

22,978,317

     

4,962,311

   

Net increase (decrease) in net assets applicable to common shares from operations

 

$

31,473,609

   

$

81,076,103

   

$

55,598,293

   

$

21,117,782

   

See accompanying notes to financial statements.

Nuveen Investments
61



Statement of

CHANGES in NET ASSETS

   

Senior Income (NSL)

 

Floating Rate Income (JFR)

 
    Year
Ended
7/31/13
  Year
Ended
7/31/12
  Year
Ended
7/31/13
  Year
Ended
7/31/12
 

Operations

 

Net investment income (loss)

 

$

19,032,240

   

$

18,487,319

   

$

46,679,908

   

$

48,964,335

   

Net realized gain (loss) from:

 

Investments

   

(1,360,386

)

   

304,709

     

9,001,577

     

(1,234,209

)

 

Swaps

   

(571,402

)

   

(569,750

)

   

(1,527,913

)

   

(1,523,493

)

 

Change in net unrealized appreciation (depreciation) of:

 

Investments

   

13,813,567

     

(1,863,555

)

   

25,426,205

     

(7,489,327

)

 

Swaps

   

559,590

     

(584,340

)

   

1,496,326

     

(1,567,786

)

 
Net increase (decrease) in net assets applicable to common shares
from operations
   

31,473,609

     

15,774,383

     

81,076,103

     

37,149,520

   

Distributions to Common Shareholders

 

From net investment income

   

(19,858,581

)

   

(17,332,787

)

   

(49,952,877

)

   

(46,152,786

)

 

From accumulated net realized gains

   

     

     

     

   
Decrease in net assets applicable to common shares from distributions
to common shareholders
   

(19,858,581

)

   

(17,332,787

)

   

(49,952,877

)

   

(46,152,786

)

 

Capital Share Transactions

 

Common shares:

 

Proceeds from shelf offering, net of offering costs

   

44,273,857

     

5,291,150

     

87,398,181

     

648,718

   
Net proceeds from shares issued to shareholders due to
reinvestment of distributions
   

270,527

     

147,415

     

672,744

     

53,039

   
Net increase (decrease) in net assets applicable to common shares from
capital share transactions
   

44,544,384

     

5,438,565

     

88,070,925

     

701,757

   

Net increase (decrease) in net assets applicable to common shares

   

56,159,412

     

3,880,161

     

119,194,151

     

(8,301,509

)

 

Net assets applicable to common shares at the beginning of period

   

231,865,956

     

227,985,795

     

572,117,892

     

580,419,401

   

Net assets applicable to common shares at the end of period

 

$

288,025,368

   

$

231,865,956

   

$

691,312,043

   

$

572,117,892

   
Undistributed (Over-distribution of) net investment income at
the end of period
 

$

(954,461

)

 

$

448,863

   

$

(1,507,280

)

 

$

3,281,455

   

See accompanying notes to financial statements.

Nuveen Investments
62



Statement of

CHANGES in NET ASSETS (continued)

    Floating Rate
Income Opportunity (JRO)
  Short Duration
Credit Opportunities (JSD)
 
    Year
Ended
7/31/13
  Year
Ended
7/31/12
  Year
Ended
7/31/13
  Year
Ended
7/31/12
 

Operations

 

Net investment income (loss)

 

$

32,619,976

   

$

34,745,909

   

$

16,155,471

   

$

15,645,842

   

Net realized gain (loss) from:

 

Investments

   

6,496,242

     

(2,142,143

)

   

4,230,472

     

(450,347

)

 

Swaps

   

(906,131

)

   

(903,510

)

   

(1,181,152

)

   

(312,485

)

 

Change in net unrealized appreciation (depreciation) of:

 

Investments

   

16,500,807

     

(3,638,774

)

   

1,752,372

     

3,994,309

   

Swaps

   

887,399

     

(926,647

)

   

160,619

     

(677,310

)

 
Net increase (decrease) in net assets applicable to common shares
from operations
   

55,598,293

     

27,134,835

     

21,117,782

     

18,200,009

   

Distributions to Common Shareholders

 

From net investment income

   

(35,370,449

)

   

(30,865,165

)

   

(16,162,038

)

   

(14,029,738

)

 

From accumulated net realized gains

   

     

     

(749,442

)

   

   
Decrease in net assets applicable to common shares from distributions
to common shareholders
   

(35,370,449

)

   

(30,865,165

)

   

(16,911,480

)

   

(14,029,738

)

 

Capital Share Transactions

 

Common shares:

 

Proceeds from shelf offering, net of offering costs

   

91,655,153

     

8,615,279

     

731,375

     

   
Net proceeds from shares issued to shareholders due to
reinvestment of distributions
   

382,664

     

171,001

     

928,903

     

126,221

   
Net increase (decrease) in net assets applicable to common shares from
capital share transactions
   

92,037,817

     

8,786,280

     

1,660,278

     

126,221

   

Net increase (decrease) in net assets applicable to common shares

   

112,265,661

     

5,055,950

     

5,866,580

     

4,296,492

   

Net assets applicable to common shares at the beginning of period

   

369,938,603

     

364,882,653

     

195,164,800

     

190,868,308

   

Net assets applicable to common shares at the end of period

 

$

482,204,264

   

$

369,938,603

   

$

201,031,380

   

$

195,164,800

   
Undistributed (Over-distribution of) net investment income at
the end of period
 

$

(1,047,840

)

 

$

2,596,681

   

$

(187,026

)

 

$

376,038

   

See accompanying notes to financial statements.

Nuveen Investments
63



Statement of

CASH FLOWS

Year Ended July 31, 2013

    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short
Duration Credit
Opportunities
(JSD)
 

Cash Flows from Operating Activities:

 
Net Increase (Decrease) in Net Assets Applicable to
Common Shares from Operations
 

$

31,473,609

   

$

81,076,103

   

$

55,598,293

   

$

21,117,782

   
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

   

(303,919,626

)

   

(667,251,624

)

   

(490,360,400

)

   

(221,292,778

)

 

Proceeds from sales and maturities of investments

   

247,213,588

     

552,619,848

     

380,295,514

     

216,542,407

   

Payment-in-kind distributions

   

(98,263

)

   

(197,548

)

   

(87,828

)

   

(32,838

)

 

Proceeds from (Purchases of) short-term investments, net

   

(10,339,188

)

   

(16,748,403

)

   

(25,359,345

)

   

10,604,701

   

Proceeds from (Payments for) swap contracts, net

   

(571,402

)

   

(1,527,913

)

   

(906,131

)

   

(1,181,152

)

 

Amortization (Accretion) of premiums and discounts, net

   

(3,042,973

)

   

(8,767,469

)

   

(6,280,224

)

   

(1,236,911

)

 

(Increase) Decrease in:

 

Restrictive cash

   

(1,224,351

)

   

(2,556,916

)

   

(1,805,000

)

   

(504,000

)

 

Credit default swaps premiums paid

   

     

     

     

1,216,560

   

Receivable for interest

   

(542,725

)

   

(1,301,139

)

   

(1,003,566

)

   

(452,599

)

 

Receivable for investments sold

   

(14,565,249

)

   

(33,402,885

)

   

(18,696,196

)

   

(10,866,244

)

 

Receivable for matured senior loans

   

503,970

     

1,475,072

     

983,381

     

   

Other assets

   

(188,010

)

   

(379,425

)

   

(238,372

)

   

(158,054

)

 

Increase (Decrease) in:

 

Payable for investments purchased

   

20,664,621

     

47,395,628

     

32,246,439

     

4,282,372

   

Payable for unfunded senior loans

   

(2,075,000

)

   

(3,400,000

)

   

(1,825,000

)

   

   

Accrued interest on borrowings

   

(16,343

)

   

(30,704

)

   

(25,129

)

   

31,094

   

Accrued management fees

   

53,919

     

108,733

     

132,241

     

3,174

   

Accrued trustees fees

   

(5,164

)

   

5,713

     

4,150

     

2,672

   

Accrued other expenses

   

(42,347

)

   

(41,358

)

   

(21,865

)

   

(29,693

)

 

Net realized (gain) loss from:

 

Investments

   

1,360,386

     

(9,001,577

)

   

(6,496,242

)

   

(4,230,472

)

 

Swaps

   

571,402

     

1,527,913

     

906,131

     

1,181,152

   

Change in net unrealized (appreciation) depreciation of:

 

Investments

   

(13,813,567

)

   

(25,426,205

)

   

(16,500,807

)

   

(1,752,372

)

 

Swaps

   

(559,590

)

   

(1,496,326

)

   

(887,399

)

   

(160,619

)

 

Taxes paid on undistributed capital gains

   

     

(5,818

)

   

(4,577

)

   

(7,358

)

 

Proceeds from litigation settlement

   

10,785

     

20,019

     

2,593

     

   

Net cash provided by (used in) operating activities

   

(49,151,518

)

   

(87,306,281

)

   

(100,329,339

)

   

13,076,824

   

Cash Flows from Financing Activities:

 

Increase in borrowings

   

23,000,000

     

46,000,000

     

42,000,000

     

   

Increase (Decrease) in:

 

Cash overdraft

   

     

     

     

439,218

   

Accrued shelf offering costs

   

158,821

     

131,657

     

154,138

     

160,000

   

Cash distributions paid to common shareholders

   

(19,502,511

)

   

(48,968,656

)

   

(34,626,691

)

   

(15,921,823

)

 

Proceeds from shelf offering, net of offering costs

   

44,273,857

     

87,296,365

     

91,351,392

     

731,375

   

Net cash provided by (used in) financing activities

   

47,930,167

     

84,459,366

     

98,879,339

     

(14,591,230

)

 

Net Increase (Decrease) in Cash

   

(1,221,351

)

   

(2,846,915

)

   

(1,450,000

)

   

(1,514,406

)

 

Cash at the beginning of period

   

1,221,351

     

2,846,915

     

1,450,000

     

1,514,406

   

Cash at the End of Period

 

$

   

$

   

$

   

$

   

See accompanying notes to financial statements.

Nuveen Investments
64



Statement of

CASH FLOWS (continued)

Supplemental Disclosures of Cash Flow Information

 
    Senior
Income
(NSL)
  Floating Rate
Income
(JFR)
  Floating Rate
Income
Opportunity
(JRO)
  Short
Duration Credit
Opportunities
(JSD)
 

Cash paid for interest on borrowings (excluding borrowing costs)

 

$

1,054,859

   

$

2,618,099

   

$

1,688,889

   

$

881,953

   
Non-cash financing activities not included herein consists of
reinvestments of common share distributions
   

270,527

     

672,744

     

382,664

     

928,903

   

See accompanying notes to financial statements.

Nuveen Investments
65




Financial

HIGHLIGHTS

Selected data for a common share outstanding throughout each period:

       
       

Investment Operations

 

Less Distributions

     
    Beginning
Common
Share
Net Asset
Value
  Net
Investment
Income
(Loss)(a)
  Net
Realized/
Unrealized
Gain (Loss)
  Distributions
from Net
Investment
Income to
Preferred
Share-
holders(b)
  Distributions
from
Accumulated
Net
Realized
Gains to
Preferred
Share-
holders(b)
 

Total

  From
Net
Investment
Income to
Common
Share-
holders
  From
Accumulated
Net
Realized
Gains to
Common
Share-
holders
 

Total

  Offering
Costs
  Discount
from
Common
Shares
Repurchased
and Retired
  Premium
from
Common
Shares Sold
through
Shelf
Offering
  Ending
Common
Share
Net Asset
Value
  Ending
Market
Value
 

Senior Income (NSL)

     

Year Ended 7/31:

 
 

2013

   

$

7.07

   

$

.54

   

$

.35

   

$

   

$

   

$

0.89

   

$

(.56

)

 

$

   

$

(.56

)

 

$

(0.01

)

 

$

   

$

.07

   

$

7.46

   

$

7.45

   
 

2012

     

7.12

     

.57

     

(.10

)

   

     

     

0.47

     

(.54

)

   

     

(.54

)

   

     

     

.02

     

7.07

     

7.29

   
 

2011

     

6.81

     

.64

     

.09

     

     

     

0.73

     

(.49

)

   

     

(.49

)

   

     

     

.07

     

7.12

     

6.99

   
 

2010

     

5.70

     

.37

     

1.20

     

*

   

     

1.57

     

(.46

)

   

     

(.46

)

   

     

     

     

6.81

     

6.95

   
 

2009

     

7.18

     

.45

     

(1.46

)

   

(.02

)

   

     

(1.03

)

   

(.45

)

   

     

(.45

)

   

     

     

     

5.70

     

5.15

   

Floating Rate Income (JFR)

     

Year Ended 7/31:

 
 

2013

     

11.87

     

.90

     

.68

     

     

     

1.58

     

(.97

)

   

     

(.97

)

   

*

   

     

.06

     

12.54

     

12.72

   
 

2012

     

12.06

     

1.02

     

(.25

)

   

     

     

.77

     

(.96

)

   

     

(.96

)

   

     

     

*

   

11.87

     

11.78

   
 

2011

     

11.47

     

1.07

     

.19

     

     

     

1.26

     

(.69

)

   

     

(.69

)

   

     

     

.02

     

12.06

     

11.41

   
 

2010

     

9.76

     

.82

     

1.47

     

*

   

     

2.29

     

(.58

)

   

     

(.58

)

   

     

*

   

     

11.47

     

11.20

   
 

2009

     

11.83

     

.71

     

(2.07

)

   

(.07

)

   

     

(1.43

)

   

(.64

)

   

     

(.64

)

   

     

*

   

     

9.76

     

8.37

   

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  The amounts shown are based on common share equivalents.

(c)  Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

  Total Return Based on Common Share Net Asset Value is the combination of changes in common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

(d)  • Ratios do not reflect the effect of dividend payments to Preferred shareholders, where applicable.

  • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.

  • Each ratio includes the effect of all interest expense paid and other costs related to borrowings, where applicable, as follows:

Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
  Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
 

Senior Income (NSL)

     

Floating Rate Income (JFR)

         

Year Ended 7/31:

     

Year Ended 7/31:

         

2013

   

.47

%

 

2013

   

.48

%

 

2012

   

.47

   

2012

   

.51

   

2011

   

.49

   

2011

   

.52

   

2010

   

.86

   

2010

   

.78

   

2009

   

1.83

   

2009

   

1.64

   

Nuveen Investments
66



       

Ratios/Supplemental Data

         
   

Total Returns

      Ratios to Average
Net Assets Applicable to
Common Shares Before
Reimbursement(d)
  Ratios to Average
Net Assets Applicable to
Common Shares After
Reimbursement(d)(e)
     

Preferred Shares at the End of Period

  Borrowings
at the End of Period
 
    Based
on
Common
Share
Net
Asset
Value(c)
  Based
on
Market
Value(c)
  Ending Net
Assets
Applicable to
Common
Shares (000)
 

Expenses

  Net
Investment
Income
(Loss)(f)
 

Expenses

  Net
Investment
Income
(Loss)(f)
  Portfolio
Turnover
Rate(h)
  Aggregate
Amount
Outstanding
(000)
  Liquidation
and Market
Value Per
Share
  Asset
Coverage
Per Share
  Aggregate
Amount
Outstanding
(000)
  Asset
Coverage
Per $1,000
 

Senior Income (NSL)

 

Year Ended 7/31:

 
 

2013

     

13.89

%

   

10.23

%

 

$

288,025

     

1.74

%

   

7.32

%

   

N/A

     

N/A

     

76

%

 

$

   

$

   

$

   

$

123,000

   

$

3,342

   
 

2012

     

7.34

     

12.78

     

231,866

     

1.82

     

8.34

     

N/A

     

N/A

     

64

     

     

     

     

100,000

     

3,319

   
 

2011

     

12.01

     

7.72

     

227,986

     

1.78

     

8.99

     

N/A

     

N/A

     

100

     

     

     

     

73,950

     

4,083

   
 

2010

     

28.15

     

44.83

     

203,261

     

2.18

     

5.61

     

2.17

%

   

5.62

%

   

68

     

     

     

     

73,950

     

3,749

   
 

2009

     

(12.25

)

   

(6.83

)

   

169,917

     

3.50

     

9.39

     

3.39

     

9.50

     

48

     

26,000

     

25,000

     

188,381

     

32,900

     

6,955

   

Floating Rate Income (JFR)

 

Year Ended 7/31:

 
 

2013

     

14.26

     

16.76

     

691,312

     

1.71

     

7.34

     

N/A

     

N/A

     

69

     

     

     

     

295,200

     

3,342

   
 

2012

     

6.91

     

12.43

     

572,118

     

1.79

     

8.72

     

1.72

     

8.80

     

57

     

     

     

     

249,200

     

3,296

   
 

2011

     

11.31

     

7.96

     

580,419

     

1.72

     

8.74

     

1.54

     

8.92

     

99

     

     

     

     

197,740

     

3,935

   
 

2010

     

23.85

     

41.48

     

542,456

     

2.03

     

7.14

     

1.74

     

7.42

     

51

     

     

     

     

197,740

     

3,743

   
 

2009

     

(10.37

)

   

(9.82

)

   

463,026

     

3.25

     

8.27

     

2.79

     

8.74

     

38

     

105,000

     

25,000

     

135,244

     

38,500

     

15,754

   

(e)  After expense reimbursement from the Adviser, where applicable. As of October 31, 2009, the Adviser is no longer reimbursing Senior Income (NSL) for any fees or expenses. As of March 31, 2012, the Adviser is no longer reimbursing Floating Rate Income (JFR) for any fees or expenses.

(f)  Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans as described in Note 3—Portfolio Securities and Investments in Derivatives, Matured Senior Loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(g)
  Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(g)
 

Senior Income (NSL)

         

Floating Rate Income (JFR)

         

Year Ended 7/31:

         

Year Ended 7/31:

         

2013

   

%

 

2013

   

%

 

2012

   

(.01

)

 

2012

   

.01

   

2011

   

.02

   

2011

   

.02

   

2010

   

.09

   

2010

   

.08

   

2009

   

   

2009

   

   

(g)  The Fund had no matured senior loans for the fiscal year ended July 31, 2013 and prior to the fiscal year ended July 31, 2010.

(h)  Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5—Investment Transactions) divided by the average long-term market value during the period.

*  Rounds to less than $.01 per share.

N/A  The Fund no longer has a contractual reimbursement agreement with the Adviser.

See accompanying notes to financial statements.

Nuveen Investments
67



Financial

HIGHLIGHTS (continued)

Selected data for a common share outstanding throughout each period:

       
       

Investment Operations

 

Less Distributions

     
    Beginning
Common
Share
Net Asset
Value
  Net
Investment
Income
(Loss)(a)
  Net
Realized/
Unrealized
Gain (Loss)
  Distributions
from Net
Investment
Income to
Preferred
Share-
holders(b)
  Distributions
from
Accumulated
Net
Realized
Gains to
Preferred
Share-
holders(b)
 

Total

  From
Net
Investment
Income to
Common
Share-
holders
  From
Accumulated
Net
Realized
Gains to
Common
Share-
holders
 

Total

  Offering
Costs
  Discount
from
Common
Shares
Repurchased
and Retired
  Premium
from
Common
Shares Sold
through
Shelf
Offering
  Ending
Common
Share
Net Asset
Value
  Ending
Market
Value
 

Floating Rate Income Opportunity (JRO)

     

Year Ended 7/31:

 
 

2013

   

$

11.84

   

$

.95

   

$

.68

   

$

   

$

   

$

1.63

   

$

(1.04

)

 

$

   

$

(1.04

)

 

$

(0.01

)

 

$

   

$

.13

   

$

12.55

   

$

12.73

   
 

2012

     

11.96

     

1.13

     

(.26

)

   

     

     

.87

     

(1.01

)

   

     

(1.01

)

   

     

     

.02

     

11.84

     

12.09

   
 

2011

     

11.34

     

1.12

     

.22

     

     

     

1.34

     

(.79

)

   

     

(.79

)

   

     

     

.07

     

11.96

     

11.46

   
 

2010

     

9.54

     

1.01

     

1.50

     

*

   

     

2.51

     

(.71

)

   

     

(.71

)

   

     

*

   

     

11.34

     

11.64

   
 

2009

     

11.75

     

.73

     

(2.15

)

   

(.07

)

   

     

(1.49

)

   

(.72

)

   

     

(.72

)

   

     

*

   

     

9.54

     

8.35

   

Short Duration Credit Opportunities (JSD)

     

Year Ended 7/31:

 
 

2013

     

19.49

     

1.61

     

.49

     

     

     

2.10

     

(1.61

)

   

(.07

)

   

(1.68

)

   

     

     

*

   

19.91

     

19.89

   
 

2012

     

19.08

     

1.56

     

.25

     

     

     

1.81

     

(1.40

)

   

     

(1.40

)

   

     

     

     

19.49

     

19.54

   
 

2011

(g)

   

19.10

     

.05

     

.08

     

     

     

.13

     

(.11

)

   

     

(.11

)

   

(.04

)

   

     

     

19.08

     

18.37

   

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  The amounts shown are based on common share equivalents.

(c)  Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

  Total Return Based on Common Share Net Asset Value is the combination of changes in common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

(d)  • Ratios do not reflect the effect of dividend payments to Preferred shareholders, where applicable.

  • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and/or borrowings, where applicable.

  • Each ratio includes the effect of all interest expense and other costs related to borrowings, where applicable, as follows:

Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
  Ratios of Borrowings Interest Expense to
Average Net Assets Applicable to Common Shares
 

Floating Rate Income Opportunity (JRO)

         

Short Duration Credit Opportunities (JSD)

         

Year Ended 7/31:

         

Year Ended 7/31:

         

2013

   

.46

%

 

2013

   

.50

%

 

2012

   

.47

   

2012

   

.47

   

2011

   

.49

    2011(g)    

   

2010

   

.86

               

2009

   

1.65

               

Nuveen Investments
68



       

Ratios/Supplemental Data

         
   

Total Returns

      Ratios to Average
Net Assets Applicable to
Common Shares Before
Reimbursement(d)
  Ratios to Average
Net Assets Applicable to
Common Shares After
Reimbursement(d)(e)
     

Preferred Shares at the End of Period

  Borrowings
at the End of Period
 
    Based
on
Common
Share
Net
Asset
Value(c)
  Based
on
Market
Value(c)
  Ending Net
Assets
Applicable to
Common
Shares (000)
 

Expenses

  Net
Investment
Income
(Loss)(f)
 

Expenses

  Net
Investment
Income
(Loss)(f)
  Portfolio
Turnover
Rate(i)
  Aggregate
Amount
Outstanding
(000)
  Liquidation
and Market
Value Per
Share
  Asset
Coverage
Per Share
  Aggregate
Amount
Outstanding
(000)
  Asset
Coverage
Per $1,000
 

Floating Rate Income Opportunity (JRO)

 

Year Ended 7/31:

 
 

2013

     

15.27

%

   

14.42

%

 

$

482,204

     

1.71

%

   

7.73

%

   

N/A

     

N/A

     

72

%

 

$

   

$

   

$

   

$

201,900

   

$

3,388

   
 

2012

     

8.03

     

15.20

     

369,939

     

1.74

     

9.75

     

1.65

%

   

9.85

%

   

85

     

     

     

     

159,900

     

3,314

   
 

2011

     

12.77

     

5.20

     

364,883

     

1.75

     

9.19

     

1.56

     

9.38

     

101

     

     

     

     

117,270

     

4,111

   
 

2010

     

26.66

     

49.00

     

322,136

     

2.14

     

8.95

     

1.84

     

9.25

     

58

     

     

     

     

117,270

     

3,747

   
 

2009

     

(10.57

)

   

(7.35

)

   

271,125

     

3.35

     

8.74

     

2.86

     

9.23

     

41

     

60,000

     

25,000

     

137,969

     

37,350

     

9,865

   

Short Duration Credit Opportunities (JSD)

 

Year Ended 7/31:

 
 

2013

     

11.17

     

10.77

     

201,031

     

1.80

     

8.12

     

N/A

     

N/A

     

82

     

     

     

     

85,000

     

3,365

   
 

2012

     

9.96

     

14.77

     

195,165

     

1.75

     

8.25

     

N/A

     

N/A

     

62

     

     

     

     

85,000

     

3,296

   
 

2011

(g)

   

.49

     

(7.58

)

   

190,868

     

1.16

**

   

1.52

**

   

N/A

     

N/A

     

5

     

     

     

     

     

   

(e)  After expense reimbursement from the Adviser, where applicable. As of July 31, 2012, the Adviser is no longer reimbursing Floating Rate Income Opportunity (JRO) for any fees or expenses.

(f)  Each Ratio of Net Investment Income (Loss) includes the effect of the increase (decrease) of the net realizable value of the receivable for matured senior loans as described in Note 3—Portfolio Securities and Investments in Derivatives, Matured Senior Loans. The increase (decrease) to the Ratios of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares were as follows:

Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(h)
  Increase (Decrease) to
Ratios of Net Investment Income (Loss) to
Average Net Assets Applicable to Common Shares(h)
 

Floating Rate Income Opportunity (JRO)

         

Short Duration Credit Opportunities (JSD)

         

Year Ended 7/31:

         

Year Ended 7/31:

         

2013

   

%

 

2013

   

%

 

2012

   

.01

   

2012

   

   

2011

   

.02

    2011(g)    

   

2010

   

.09

               

2009

   

               

(g)  For the period May 25, 2011 (commencement of operations) through July 31, 2011.

(h)  The Funds had no matured senior loans for the fiscal year ended July 31, 2013. Floating Rate Income Opportunity (JRO) had no matured senior loans prior to the fiscal year ended July 31, 2010. Short Duration Credit Opportunities (JSD) has not had any matured senior loans since its commencement of operations on May 25, 2011.

(i)  Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5—Investment Transactions) divided by the average long-term market value during the period.

N/A  The Fund never had, or no longer has, a contractual reimbursement agreement with the Adviser.

*  Rounds to less than $.01 per share.

**  Annualized.

See accompanying notes to financial statements.

Nuveen Investments
69




Notes to

FINANCIAL STATEMENTS

1. General Information and Significant Accounting Policies

General Information

The funds covered in this report and their corresponding New York Stock Exchange ("NYSE") symbols are as follows (each a "Fund" and collectively, the "Funds"):

• Nuveen Senior Income Fund (NSL) ("Senior Income (NSL)")

• Nuveen Floating Rate Income Fund (JFR) ("Floating Rate Income (JFR)")

• Nuveen Floating Rate Income Opportunity Fund (JRO) ("Floating Rate Income Opportunity (JRO)")

• Nuveen Short Duration Credit Opportunities Fund (JSD) ("Short Duration Credit Opportunities (JSD)")

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end registered investment companies. Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD) were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004 and January 3, 2011, respectively.

On December 31, 2012, the Funds' investment adviser converted from a Delaware corporation to a Delaware limited liability company. As a result, Nuveen Fund Advisors, Inc., a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), changed its name to Nuveen Fund Advisors, LLC (the "Adviser"). There were no changes to the identities or roles of any personnel as a result of the change.

The Adviser is responsible for each Fund's overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC ("Symphony"), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds' investments in interest rate and credit default swap contracts.

Senior Income's (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests 80% of its managed assets in adjustable rate senior secured loans. The Fund may invest up to 20% of its managed assets in U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities and equity securities and warrants acquired in connection with the Fund's investment in senior loans.

Floating Rate Income's (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 65% of its managed assets (as defined in Note 7—Management Fees and Other Transactions with Affiliates) in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

Floating Rate Income Opportunity's (JRO) investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.

Short Duration Credit Opportunities' (JSD) investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate senior loans and second lien loans. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 20% (30% effective July 9, 2013) of the Fund's managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization ("NRSRO") or that are unrated but judged by Symphony, to be of comparable quality. The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund's investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

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70



Investment Policy Changes

On July 9, 2013, the maximum CCC+ and lower rated policy for each Fund was changed. No more than 30% of each Fund's managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any NRSRO or that are unrated but judged by Symphony, to be of comparable quality.

Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP").

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the "primary market" is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the "secondary market" is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to earmark securities in the Funds' portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. As of July 31, 2013, the Funds' outstanding when-issued/delayed delivery purchase commitments were as follows:

  Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 

Outstanding when-issued/delayed delivery purchase commitments

 

$

25,020,575

   

$

49,634,861

   

$

39,192,816

   

$

11,340,097

   

Investment Income

Dividend income is recorded on the ex-dividend date. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are required as "Fees income" on the Statement of Operations.

Professional Fees

Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. Should a Fund receive a refund of workout expenditures paid in a prior reporting period, such amounts will be recognized as "Legal fee refund" on the Statement of Operations.

Dividends and Distributions to Common Shareholders

Dividends to common shareholders are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal corporate income tax regulations, which may differ from U.S. GAAP.

Preferred Shares

The Funds are authorized to issue Preferred shares. During prior fiscal periods, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) redeemed all of their outstanding Preferred shares, at liquidation value. Short Duration Credit Opportunities (JSD) has not issued Preferred shares since its commencement of operations on May 25, 2011.

Common Shares Equity Shelf Programs and Offering Costs

Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) have each filed registration statements with the Securities and Exchange Commission ("SEC") authorizing the Funds to issue additional common shares through their ongoing equity shelf programs ("shelf offering"), which became effective with the SEC during prior fiscal periods. Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) each filed registration statements with the SEC allowing each Fund to issue additional common shares during the fiscal year ended July 31, 2013. Short Duration Credit Opportunities (JSD) filed a registration statement with the SEC authorizing the Fund to issue additional common shares through an initial shelf offering, which became effective with the SEC during the current fiscal period.

Nuveen Investments
71



Notes to

FINANCIAL STATEMENTS (continued)

Under the shelf offering, each Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above the Fund's NAV per common share.

Authorized common shares, common shares issued and offering proceeds, net of offering costs under each Fund's shelf offering during the fiscal years ended July 31, 2013 and July 31, 2012, were as follows:

   

Senior Income (NSL)

  Floating Rate
Income (JFR)
  Floating Rate Income
Opportunity (JRO)
  Short Duration
Credit Opportunities (JSD)
 

  Year Ended
7/31/13
  Year Ended
7/31/12
  Year Ended
7/31/13
  Year Ended
7/31/12
  Year Ended
7/31/13
  Year Ended
7/31/12
  Year Ended
7/31/13
  Year Ended
7/31/12
 

Authorized common shares

   

12,000,000

     

2,900,000

     

17,600,000

     

4,700,000

     

11,600,000

     

2,800,000

     

1,000,000

     

N/A

   

Common shares issued

   

5,798,036

     

759,751

     

6,888,559

     

54,809

     

7,155,904

     

731,647

     

36,711

     

N/A

   

Offering proceeds, net of offering costs

 

$

44,273,857

   

$

5,291,150

   

$

87,398,181

   

$

648,718

   

$

91,655,153

   

$

8,615,279

   

$

731,375

     

N/A

   

N/A—Fund did not have an effective shelf offering.

Costs incurred by the Funds in connection with their initial shelf offerings are recorded as a deferred charges, which are amortized over the period such additional common shares are sold not to exceed the one-year life of the shelf offering period. Ongoing shelf offering costs, and any additional costs the Funds may incur in connection with these shelf offerings, are expensed as incurred and recorded as a reduction of proceeds from the shelf offering.

During the fiscal year ended July 31, 2013, Nuveen Securities, LLC, the Funds' distributor and a wholly-owned subsidiary of Nuveen, received commissions of $89,805, $176,587, $185,583 and $1,478, related to the sale of common shares from the shelf offerings of Senior Income (NSL), Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD), respectively.

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.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the reporting period. Actual results may differ from those estimates.

2. Investment Valuation and Fair Value Measurements

Investment Valuation

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1 for fair value measurement purposes. Securities primarily traded on the NASDAQ National Market ("NASDAQ") are valued, except as indicated below, at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2.

Investments in investment companies are valued at their respective NAVs on the valuation date. These investment vehicles are generally classified as Level 1.

Prices of fixed-income securities, senior loans and swap contracts are provided by a pricing service approved by the Funds' Board of Trustees. These securities are generally classified as Level 2. The pricing service establishes a security's fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Like most fixed-income securities, the senior and subordinated loans in which the Funds invest are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.

Nuveen Investments
72



Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Funds' Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security's fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Funds' Board of Trustees or its designee.

Fair Value Measurements

Fair value is defined as the price that the Funds would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

Level 1 —  Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.

Level 2 —  Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 —  Prices are determined using significant unobservable inputs (including management's assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund's fair value measurements as of the end of the reporting period:

Senior Income (NSL)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Long-Term Investments*:

 

Variable Rate Senior Loan Interests

 

$

   

$

345,294,296

   

$

   

$

345,294,296

   

Common Stocks

   

5,589,320

     

4,571,461

     

***

   

10,160,781

   

Convertible Bonds

   

     

833,000

     

     

833,000

   

Corporate Bonds

   

     

45,611,362

     

5

     

45,611,367

   

Short-Term Investments:

 

Repurchase Agreements

   

     

17,822,614

     

     

17,822,614

   

Derivatives:

 

Interest Rate Swaps**

   

     

(973,725

)

   

     

(973,725

)

 

Total

 

$

5,589,320

   

$

413,159,008

   

$

5

   

$

418,748,333

   

*  Refer to the Fund's Portfolio of Investments for industry classifications and breakdown of Common Stocks classified as Level 2 and Level 3.

**  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

***  Value equals zero as of the end of the reporting period.

Nuveen Investments
73



Notes to

FINANCIAL STATEMENTS (continued)

Floating Rate Income (JFR)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Long-Term Investments*:

 

Variable Rate Senior Loan Interests

 

$

   

$

786,135,086

   

$

   

$

786,135,086

   

Common Stocks

   

18,703,212

     

13,505,830

     

***

   

32,209,042

   

Convertible Bonds

   

     

1,815,500

     

     

1,815,500

   

Corporate Bonds

   

     

99,019,615

     

     

99,019,615

   

Asset-Backed Securities

   

     

36,310,988

     

442,600

     

36,753,588

   

Investment Companies

   

13,055,235

     

     

     

13,055,235

   

Short-Term Investments:

 

Repurchase Agreements

   

     

30,918,424

     

     

30,918,424

   

Derivatives:

 

Interest Rate Swaps**

   

     

(2,603,712

)

   

     

(2,603,712

)

 

Total

 

$

31,758,447

   

$

965,101,731

   

$

442,600

   

$

997,302,778

   

Floating Rate Income Opportunity (JRO)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Long-Term Investments*:

 

Variable Rate Senior Loan Interests

 

$

   

$

541,426,802

   

$

   

$

541,426,802

   

Common Stocks

   

9,054,178

     

11,054,379

     

***

   

20,108,557

   

Convertible Bonds

   

     

1,521,500

     

     

1,521,500

   

Corporate Bonds

   

     

78,708,651

     

     

78,708,651

   

Asset-Backed Securities

   

     

23,975,542

     

442,600

     

24,418,142

   

Short-Term Investments:

 

Repurchase Agreements

   

     

34,585,583

     

     

34,585,583

   

Derivatives:

 

Interest Rate Swaps**

   

     

(1,544,135

)

   

     

(1,544,135

)

 

Total

 

$

9,054,178

   

$

689,728,322

   

$

442,600

   

$

699,225,100

   

Short Duration Credit Opportunities (JSD)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Long-Term Investments*:

 

Variable Rate Senior Loan Interests

 

$

   

$

240,850,061

   

$

   

$

240,850,061

   

Common Stocks

   

     

586,860

     

     

586,860

   

Corporate Bonds

   

     

41,321,028

     

     

41,321,028

   

Derivatives:

 

Interest Rate Swaps**

   

     

(444,906

)

   

     

(444,906

)

 

Credit Default Swaps**

   

     

(71,785

)

   

     

(71,785

)

 

Total

 

$

   

$

282,241,258

   

$

   

$

282,241,258

   

*  Refer to the Fund's Portfolio of Investments for industry classifications and breakdown of Common Stocks classified as Level 2 and Level 3.

**  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

***  Value equals zero as of the end of the reporting period.

The table below presents transfers in and out of the three valuation levels for the following Funds as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent a manager determines that the valuation inputs or methodologies may impact the valuation of those securities.

 

Level 1

 

Level 2

 

Level 3

 

 

Transfers In

 

(Transfers Out)

 

Transfers In

 

(Transfers Out)

 

Transfers In

 

(Transfers Out)

 

Senior Income (NSL)

 

Common Stocks

 

$

4,425,050

   

$

   

$

   

$

(4,425,050

)

 

$

   

$

   

Corporate Bonds

   

     

     

     

(5

)

   

5

     

   

Floating Rate Income (JFR)

 

Common Stocks

   

15,095,250

     

     

     

(15,095,250

)

   

     

   

Floating Rate Income Opportunity (JRO)

 

Common Stocks

   

6,220,100

     

     

     

(6,220,100

)

   

     

   

Nuveen Investments
74



The Nuveen funds' Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser's Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds' pricing policies and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser's dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:

(i)  If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.

(ii)  If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.

The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument's current value.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Matured Senior Loans

Each Fund may hold senior loans which have matured prior to the end of the current fiscal period. The net realizable value for matured senior loans is recognized on the Statement of Assets and Liabilities as "Receivable for matured senior loans." The net increase or decrease in the net realizable value of the receivable for matured senior loans during the current fiscal period is recognized on the Statement of Operations as a component of "Other income" or "Other expenses," respectively, when applicable.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is each Fund's policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

Zero Coupon Securities

Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Investments in Derivatives

Each Fund is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to each Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds' investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund's agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment that is intended to approximate the Fund's variable rate payment obligation on any variable rate

Nuveen Investments
75



Notes to

FINANCIAL STATEMENTS (continued)

borrowing. The payment obligation is based on the notional amount of the interest rate swap contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that a Fund is to receive. Interest rate swap contracts are valued daily. Upon entering into an interest rate swap a Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund's contractual rights and obligations under the contracts. The net amount recorded on these transactions for each counterparty is recognized on the Statement of Assets and Liabilities as a component of "Unrealized appreciation or depreciation on interest rate swaps (, net)" with the change during the fiscal period recognized on the Statement of Operations as a component of "Change in net unrealized appreciation (depreciation) of swaps". Income received or paid by the Funds is recognized as a component of "Net realized gain (loss) from swaps" on the Statement of Operations, in addition to the net realized gains or losses recognized upon the termination of an interest rate swap contract and are equal to the difference between the Funds' basis in the interest rate swap and the proceeds from (or cost of) the closing transaction. Payments received or made at the beginning of the measurement period are recognized as a component of "Interest rate swap premiums paid and/or received" on the Statement of Assets and Liabilities, when applicable. For tax purposes, periodic payments are treated as ordinary income or expense.

During the fiscal year ended July 31, 2013, the Funds continued to invest in interest rate swap contracts to partially fix the interest cost of leverage, which each Fund uses through the use of bank borrowings.

The average notional amount of interest rate swap contracts outstanding during the fiscal year ended July 31, 2013, was as follows:

  Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 

Average notional amount of interest rate swap contracts outstanding*

 

$

36,975,000

   

$

98,870,000

   

$

58,635,000

   

$

52,500,000

   

*  The average notional amount is calculated based on the outstanding notional amount at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

Credit Default Swaps

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer's default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. As a purchaser of a credit default swap contract, the Fund pays to the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily and recognized with the daily change in the market value of the contract as a component of "Unrealized appreciation or depreciation on credit default swaps (, net)" on the Statement of Assets and Liabilities and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain or loss. Payments received or made at the beginning of the measurement period are recognized as a component of "Credit default swap premiums paid and/or received" on the Statement of Assets and Liabilities, when applicable. As a seller of a credit default swap contract, the Fund generally receives from the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain or loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or pay a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received and the notional amount paid is recorded as a realized loss. Changes in the value of a credit default swap during the fiscal period are recognized as a component of "Change in net unrealized appreciation (depreciation) of swaps," and realized gains and losses are recognized as a component of "Net realized gain (loss) from swaps" on the Statement of Operations. The maximum potential amount of future payments the Fund could incur as a seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the fiscal year ended July 31, 2013, Short Duration Credit Opportunities (JSD) continued to invest in credit default swap contracts to provide a benefit if particular bonds' credit quality worsened. The Fund does not hold other securities issued by the issuers referenced under these credit default swap contracts.

Nuveen Investments
76



The average notional amount of credit default swap contracts outstanding during the fiscal year ended July 31, 2013, was as follows:

  Short
Duration
Credit
Opportunities
(JSD)
 

Average notional amount of credit default swap contracts outstanding*

 

$

10,750,000

   

*  The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

The following table presents the fair value of all swap contracts held by the Funds as of July 31, 2013, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.

     

Location on the Statement of Assets and Liabilities

 

Underlying

 

Derivative

 

Asset Derivatives

 

(Liability) Derivatives

 

Risk Exposure

 

Instrument

 

Location

 

Value

 

Location

 

Value

 

Senior Income (NSL)

 

Interest rate

 

Swaps

   

   

$

   

Unrealized depreciation on interest rate swaps

 

$

(973,725

)

 

Floating Rate Income (JFR)

 

Interest rate

 

Swaps

   

   

$

   

Unrealized depreciation on interest rate swaps

 

$

(2,603,712

)

 

Floating Rate Income Opportunity (JRO)

 

Interest rate

 

Swaps

   

   

$

   

Unrealized depreciation on interest rate swaps

 

$

(1,544,135

)

 

Short Duration Credit Opportunities (JSD)

 

Interest rate

 

Swaps

   

   

$

   

Unrealized depreciation on interest rate swaps

 

$

(444,906

)

 

Credit

 

Swaps

   

   

$

   

Unrealized depreciation on credit default swaps*

 

$

(71,785

)

 

*  Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities and is not reflected in the cumulative appreciation (depreciation) presented above.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts during the fiscal year ended July 31, 2013, and the primary underlying risk exposure.

Fund   Underlying
Risk Exposure
  Derivative
Instrument
  Net Realized
Gain (Loss)
  Change in Net
Unrealized
Appreciation
(Depreciation)
 

Senior Income (NSL)

 

Interest rate

 

Swaps

 

$

(571,402

)

 

$

559,590

   

Floating Rate Income (JFR)

 

Interest rate

 

Swaps

   

(1,527,913

)

   

1,496,326

   

Floating Rate Income Opportunity (JRO)

 

Interest rate

 

Swaps

   

(906,131

)

   

887,399

   

Short Duration Credit Opportunities (JSD)

 

Interest rate

 

Swaps

   

(478,900

)

   

879,327

   

Short Duration Credit Opportunities (JSD)

 

Credit

 

Swaps

   

(702,252

)

   

(718,708

)

 

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

Nuveen Investments
77



Notes to

FINANCIAL STATEMENTS (continued)

4. Fund Shares

Common Shares

Transactions in common shares were as follows:

   

Senior Income (NSL)

  Floating Rate
Income (JFR)
  Floating Rate
Income Opportunity (JRO)
  Short Duration Credit
Opportunities (JSD)
 
    Year
Ended
7/31/13
  Year
Ended
7/31/12
  Year
Ended
7/31/13
  Year
Ended
7/31/12
  Year
Ended
7/31/13
  Year
Ended
7/31/12
  Year
Ended
7/31/13
  Year
Ended
7/31/12
 

Common shares:

 

Sold through shelf offering

   

5,798,036

     

759,751

     

6,888,559

     

54,809

     

7,155,904

     

731,647

     

36,711

     

   
Issued to shareholders due
to reinvestment of distributions
   

36,601

     

21,335

     

54,601

     

4,423

     

30,879

     

14,800

     

46,873

     

6,452

   

Repurchased and retired

   

     

     

     

     

     

     

     

   

Total

   

5,834,637

     

781,086

     

6,943,160

     

59,232

     

7,186,783

     

746,447

     

83,584

     

6,452

   

Weighted average:

 
Premium to NAV per shelf
offering share sold
   

5.32

%

   

1.69

%

   

3.70

%

   

1.14

%

   

4.92

%

   

1.53

%

   

1.68

%

   

   
Price per common share
repurchased and retired
 

$

   

$

   

$

   

$

   

$

   

$

   

$

   

$

   
Discount per common
share repurchased and retired
   

     

     

     

     

     

     

     

   

5. Investment Transactions

Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the fiscal year ended July 31, 2013, were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 

Purchases

 

$

303,919,626

   

$

667,251,624

   

$

490,360,400

   

$

221,292,778

   

Sales and maturities

   

247,213,588

     

552,619,848

     

380,295,514

     

216,542,407

   

6. Income Tax Information

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment company taxable income to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and, for Floating Rate Income (JFR), Floating Rate Income Opportunity (JRO) and Short Duration Credit Opportunities (JSD), recognition of premium amortization. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.

Nuveen Investments
78



As of July 31, 2013, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 

Cost of investments

 

$

415,430,324

   

$

989,373,330

   

$

692,081,102

   

$

276,451,198

   

Gross unrealized:

 

Appreciation

 

$

10,041,970

   

$

25,501,333

   

$

18,160,203

   

$

7,436,201

   

Depreciation

   

(5,750,236

)

   

(14,968,173

)

   

(9,472,070

)

   

(1,129,450

)

 

Net unrealized appreciation (depreciation) of investments

 

$

4,291,734

   

$

10,533,160

   

$

8,688,133

   

$

6,306,751

   

Permanent differences, primarily due to federal taxes paid, bond premium amortization adjustments and treatment of notional principal contracts, resulted in reclassifications among the Funds' components of common share net assets as of July 31, 2013, the Funds' tax year end, as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 

Paid-in-surplus

 

$

   

$

(5,818

)

 

$

(4,577

)

 

$

(7,358

)

 

Undistributed (Over-distribution of) net investment income

   

(576,983

)

   

(1,515,766

)

   

(894,048

)

   

(556,497

)

 

Accumulated net realized gain (loss)

   

576,983

     

1,521,584

     

898,625

     

563,855

   

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2013, the Funds' tax year end, were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Undistributed net ordinary income 1   

$

626,830

   

$

2,524,809

   

$

1,867,335

   

$

1,760,361

   

Undistributed net long-term capital gains

   

     

     

     

2,174,311

   

1  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2013, paid on August 1, 2013.

The tax character of distributions paid during the Funds' tax years ended July 31, 2013 and July 31, 2012, was designated for purposes of the dividends paid deduction as follows:

2013   Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Distributions from net ordinary income 2   

$

19,766,814

   

$

49,637,370

   

$

34,999,480

   

$

16,661,199

   

Distributions from net long-term capital gains 3

   

     

     

     

224,732

   

2012

  Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
  Short
Duration
Credit
Opportunities
(JSD)
 
Distributions from net ordinary income 2   

$

17,152,683

   

$

45,574,781

   

$

30,481,222

   

$

13,918,877

   

Distributions from net long-term capital gains

   

     

     

     

   

2  Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

3  The Funds designate as long-term capital gain dividend, pursuant to the Internal Revenue Code Section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended July 31, 2013.

Nuveen Investments
79



Notes to

FINANCIAL STATEMENTS (continued)

As of July 31, 2013, the Funds' tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration retain the character reflected and will be utilized first by the Fund, while the losses subject to expiration are considered short-term.

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Expiration:

 

July 31, 2017

 

$

6,925,213

   

$

15,533,989

   

$

4,813,324

   

July 31, 2018

   

29,264,459

     

67,020,214

     

46,332,843

   

Not subject to expiration:

 

Short-term losses

   

     

     

   

Long-term losses

   

     

     

   

Total

 

$

36,189,672

   

$

82,554,203

   

$

51,146,167

   

During the Funds' tax year ended July 31, 2013, the following Funds utilized capital loss carryforwards as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Utilized capital loss carryforwards

 

$

2,185,348

   

$

8,740,800

   

$

6,391,280

   

The Funds have elected to defer late-year losses in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The following Fund has elected to defer losses as follows:

  Senior
Income
(NSL)
 

Post-October capital losses 4

 

$

3,629,377

   

Late-year ordinary losses 5

   

   

4  Capital losses incurred from November 1, 2012 through July 31, 2013, the Funds' tax year end.

5  Ordinary losses incurred from January 1, 2013 through July 31, 2013, and specified losses incurred from November 1, 2012 through July 31, 2013.

7. Management Fees and Other Transactions with Affiliates

Each Fund's management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.

Each Fund's management fee consists of two components – a fund–level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:

Average Daily Managed Assets*

  Senior Income (NSL)
Fund-Level Fee Rate
 

For the first $1 billion

   

.6500

%

 

For the next $1 billion

   

.6375

   

For the next $3 billion

   

.6250

   

For the next $5 billion

   

.6000

   

For managed assets over $10 billion

   

.5750

   

Nuveen Investments
80



Average Daily Managed Assets*

  Floating Rate Income (JFR)
Floating Rate Income Opportunity (JRO)
Fund-Level Fee Rate
  Short Duration Credit Opportunities (JSD)
Fund-Level Fee Rate
 

For the first $500 million

   

.6500

%

   

.6500

%

 

For the next $500 million

   

.6250

     

.6375

   

For the next $500 million

   

.6000

     

.6250

   

For the next $500 million

   

.5750

     

.6125

   

For managed assets over $2 billion

   

.5500

     

.6000

   

The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level*

 

Effective Rate at Breakpoint Level

 
$55 billion    

.2000

%

 
$56 billion    

.1996

   
$57 billion    

.1989

   
$60 billion    

.1961

   
$63 billion    

.1931

   
$66 billion    

.1900

   
$71 billion    

.1851

   
$76 billion    

.1806

   
$80 billion    

.1773

   
$91 billion    

.1691

   
$125 billion    

.1599

   
$200 billion    

.1505

   
$250 billion    

.1469

   
$300 billion    

.1445

   

*  For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds' use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute ''eligible assets." Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser's assumption of the management of the former First American Funds effective January 1, 2011. As of July 31, 2013, the complex-level fee rate for these Funds was .1683%.

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.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of July 31, 2013, the Funds had no unfunded senior loan commitments.

Participation Commitments

With respect to the senior loans held in each Fund's portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of July 31, 2013, there were no such outstanding participation commitments in any of the Funds.

Nuveen Investments
81



Notes to

FINANCIAL STATEMENTS (continued)

9. Borrowing Arrangements

The Funds have entered into borrowing arrangements ("Borrowings") as a means of leverage.

The following Funds have entered into a credit agreement with an affiliate of Citibank N.A. Each Fund's maximum commitment amount under its Borrowings is as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Maximum commitment amount

 

$

135,000,000

   

$

325,000,000

   

$

215,000,000

   

As of July 31, 2013, each Fund's outstanding balance on its Borrowings was as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Outstanding balance on Borrowings

 

$

123,000,000

   

$

295,200,000

   

$

201,900,000

   

On May 20, 2013, each Fund amended its Borrowings with Citibank N.A. For the period August 1, 2012 through May 19, 2013, each Fund's maximum commitment amount was as follows:

  Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Maximum commitment amount

 

$

109,000,000

   

$

270,000,000

   

$

173,000,000

   

During the fiscal year ended July 31, 2013, the average daily balance outstanding and average annual interest rate on each Fund's Borrowings were as follows:

    Senior
Income
(NSL)
  Floating
Rate
Income
(JFR)
  Floating
Rate
Income
Opportunity
(JRO)
 

Average daily balance outstanding

 

$

102,646,575

   

$

254,493,151

   

$

164,732,877

   

Average annual interest rate

   

1.01

%

   

1.01

%

   

1.01

%

 

Interest charged on these Borrowings is based on a .75% per annum drawn fee on the amount borrowed and .15% per annum on the undrawn balance of the maximum commitment amount.

On May 20, 2013, each Fund incurred a one-time .15% amendment fee on the increase to its maximum commitment amount, which will be fully expensed during the fiscal year ended July 31, 2014.

Short Duration Credit Opportunities (JSD) has entered into a 364-day line of credit with Bank of America, N.A. ("Bank of America"). On August 8, 2012, the Fund renewed is Borrowings with Bank of America for an additional 364 days. The Fund also accrues a one-time .10% upfront fee based on the maximum commitment amount of the Borrowings through the maturity date.

The Fund's maximum commitment amount under its Borrowings is as follows:

    Short
Duration
Credit
Opportunities
(JSD)
 

Maximum commitment amount

 

$

85,000,000

   

Nuveen Investments
82



As of July 31, 2013, the Fund's outstanding balance on its Borrowings was as follows:

    Short
Duration
Credit
Opportunities
(JSD)
 

Outstanding balance on Borrowings

 

$

85,000,000

   

During the fiscal year ended July 31, 2013, the average daily balance outstanding and average annual interest rate on the Fund's Borrowings were as follows:

    Short
Duration
Credit
Opportunities
(JSD)
 

Average daily balance outstanding

 

$

85,000,000

   

Average annual interest rate

   

1.06

%

 

Interest is charged on these Borrowings at the British Bankers Association LIBOR Rate ("BBA LIBOR") plus .85% per annum or at a rate per annum equal to the greater of (a) the Federal Funds Rate plus 1.00%, (b) the rate of interest in effect for such day as publicly announced from time to time by Bank of America as its "prime rate" or (c) the BBA LIBOR plus 1.00%. The Fund also accrues a .25% per annum on the undrawn balance of the maximum amount and a commitment fee of .10% per annum on the maximum commitment amount.

On August 9, 2013, subsequent to the reporting period, the Fund renewed its Borrowings with Bank of America for an additional 364 days. The Fund also accrues a one-time .10% upfront fee based on the maximum commitment amount of the Borrowings through the maturity date.

In order to maintain these Borrowings with Citibank N.A. and Bank of America, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by eligible securities held in each Fund's portfolio of investments.

The Funds' Borrowings outstanding are recognized as "Borrowings" on the Statement of Assets and Liabilities. Interest charged on the amount borrowed and other fees incurred on the Borrowings are recognized as a component of "Interest expense on borrowings" on the Statement of Operations.

10. New Accounting Pronouncements

Financial Accounting Standards Board ("FASB") Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities

In January 2013, Accounting Standards Update (ASU) 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, replaced ASU 2011-11, Disclosures about Offsetting Assets and Liabilities. ASU 2013-01 is effective for fiscal years beginning on or after January 1, 2013. ASU 2011-11 was intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending transactions to the extent that they are (1) offset in the financial statements or (2) subject to an enforceable master netting arrangement or similar agreement. Management is currently evaluating the application of ASU 2013-01 and its impact to the financial statements and footnote disclosures, if any.

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Annual Investment Management
Agreement Approval Process
(Unaudited)

The Board of Trustees (each, a "Board" and each Trustee, a "Board Member") of the Funds, including the Board Members who are not parties to the Funds' advisory or sub-advisory agreements or "interested persons" of any such parties (the "Independent Board Members"), is responsible for approving the advisory agreements (each, an "Investment Management Agreement") between each Fund and Nuveen Fund Advisors, LLC (the "Adviser") and the sub-advisory agreements (each, a "Sub-Advisory Agreement") between the Adviser and Symphony Asset Management LLC (the "Sub-Adviser") (the Investment Management Agreements and the Sub-Advisory Agreements are referred to collectively as the "Advisory Agreements") and their periodic continuation. Pursuant to the Investment Company Act of 1940, as amended (the "1940 Act"), the Board is required to consider the continuation of the Advisory Agreements on an annual basis. Accordingly, at an in-person meeting held on May 20-22, 2013 (the "May Meeting"), the Board, including a majority of the Independent Board Members, considered and approved the continuation of the Advisory Agreements for the Funds for an additional one-year period.

In preparation for its considerations at the May Meeting, the Board requested and received extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, the Adviser and the Sub-Adviser (the Adviser and the Sub-Adviser are collectively, the "Fund Advisers" and each, a "Fund Adviser"). As described in more detail below, the information provided included, among other things, a review of Fund performance, including Fund investment performance assessments against peer groups and appropriate benchmarks; a comparison of Fund fees and expenses relative to peers; a description and assessment of shareholder service levels for the Funds; a summary of the performance of certain service providers; a review of product initiatives and shareholder communications; and an analysis of the Adviser's profitability with comparisons to comparable peers in the managed fund business. As part of its annual review, the Board also held a separate meeting on April 17-18, 2013, to review the Funds' investment performance and consider an analysis provided by the Adviser of the Sub-Adviser which generally evaluated the Sub-Adviser's investment team, investment mandate, organizational structure and history, investment philosophy and process, performance of the applicable Fund, and significant changes to the foregoing. As a result of its review of the materials and discussions, the Board presented the Adviser with questions and the Adviser responded.

The materials and information prepared in connection with the annual review of the Advisory Agreements supplement the information and analysis provided to the Board during the year. In this regard, throughout the year, the Board, acting directly or through its committees, regularly reviews the performance and various services provided by the Adviser and the Sub-Adviser. The Board meets at least quarterly as well as at other times as the need arises. At its quarterly meetings, the Board reviews reports by the Adviser regarding, among other things, fund performance, fund expenses, premium and discount levels of closed-end funds, the performance of the investment teams, and compliance, regulatory and risk management matters. In addition to regular reports, the Adviser provides special reports to the Board or a committee thereof from time to time to enhance the Board's understanding of various topics that impact some or all the Nuveen funds (such as accounting and financial statement presentations of the various forms of leverage that may be used by a closed-end fund or an update on the valuation policies and procedures), to update the Board on regulatory developments impacting the investment company industry or to update the Board on the business plans or other matters impacting the Adviser. The Board also meets with key investment personnel managing the fund portfolios during the year. In October 2011, the Board also created two standing committees (the Open-End Fund Committee and the Closed-End Fund Committee) to assist the full Board in monitoring and gaining a deeper insight into the distinctive business practices of open-end and closed-end funds. These Committees meet prior to each quarterly Board meeting, and the Adviser provides presentations to these Committees permitting them to delve further into specific matters or initiatives impacting the respective product line.

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In addition, the Board continues its program of seeking to have the Board Members or a subset thereof visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Independent Board Members made a site visit to the Sub-Adviser in October 2012. In addition, the ad hoc Securities Lending Committee of the Board met with certain service providers and the Audit Committee of the Board made a site visit to three pricing service providers.

The Board considers the information provided and knowledge gained at these meetings and visits during the year when performing its annual review of the Advisory Agreements. The Independent Board Members also are assisted throughout the process by independent legal counsel. Counsel provided materials describing applicable law and the duties of directors or trustees in reviewing advisory contracts. During the course of the year and during their deliberations regarding the review of advisory contracts, the Independent Board Members met with independent legal counsel in executive sessions without management present. In addition, it is important to recognize that the management arrangements for the Nuveen funds are the result of many years of review and discussion between the Independent Board Members and fund management and that the Board Members' conclusions may be based, in part, on their consideration of fee arrangements and other factors developed in previous years.

The Board considered all factors it believed relevant with respect to each Fund, including among other factors: (a) the nature, extent and quality of the services provided by the Fund Advisers, (b) the investment performance of the Fund and Fund Advisers, (c) the advisory fees and costs of the services to be provided to the Fund and the profitability of the Fund Advisers, (d) the extent of any economies of scale, (e) any benefits derived by the Fund Advisers from the relationship with the Fund and (f) other factors. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund's Advisory Agreements. The Independent Board Members did not identify any single factor as all important or controlling. The Independent Board Members' considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.

A. Nature, Extent and Quality of Services

In considering renewal of the Advisory Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser's services, including advisory services and the resulting Fund performance and administrative services. The Independent Board Members further considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the capability and integrity of the Adviser and its staff and the Adviser's responsiveness to questions and concerns raised by them. The Independent Board Members reviewed materials outlining, among other things, the Fund Adviser's organization and business; the types of services that the Fund Adviser or its affiliates provide to the Funds; the performance record of the applicable Fund (as described in further detail below); and any applicable initiatives Nuveen had taken for the closed-end fund product line.

In considering advisory services, the Board recognized that the Adviser provides various oversight, administrative, compliance and other services for the Funds and the Sub-Adviser generally provides the portfolio investment management services to the Funds. In reviewing the portfolio management services provided to each Fund, the Board reviewed the materials provided by the Nuveen Investment Services Oversight Team analyzing, among other things, the Sub-Adviser's investment team and changes thereto, organization and history, assets under management, the investment team's philosophy and strategies in managing the Fund, developments affecting the Sub-Adviser or Fund and Fund performance. The Independent Board Members also reviewed portfolio manager compensation arrangements to evaluate each Fund Adviser's ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an inappropriate incentive to take undue risks. In addition, the Board considered the Adviser's execution of its oversight responsibilities over the Sub-Adviser. Given the importance of compliance, the Independent Board Members

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

also considered Nuveen's compliance program, including the report of the chief compliance officer regarding the Funds' compliance policies and procedures; the resources dedicated to compliance; and the record of compliance with the policies and procedures. Given the Adviser's emphasis on business risk, the Board also appointed an Independent Board Member as a point person to review and keep the Board apprised of developments in this area during the year.

In addition to advisory services, the Board considered the quality and extent of administrative and other non-investment advisory services the Adviser and its affiliates provide to the Funds, including product management, investment services (such as oversight of investment policies and procedures, risk management, and pricing), fund administration, oversight of service providers, shareholder services and communications, administration of Board relations, regulatory and portfolio compliance, legal support, managing leverage and promoting an orderly secondary market for common shares. The Board further recognized Nuveen's additional investments in personnel, including in compliance and risk management.

In reviewing the services provided, the Board considered the new services and service enhancements that the Adviser has implemented since the various advisory agreements were last reviewed. In reviewing the activities of 2012, the Board recognized the Adviser's focus on product rationalization for both closed-end and open-end funds during the year, consolidating certain Nuveen funds through mergers that were designed to improve efficiencies and economies of scale for shareholders, repositioning various Nuveen funds through updates in their investment policies and guidelines with the expectation of bringing greater value to shareholders, and liquidating certain Nuveen funds. The Board recognized the Adviser's significant investment in technology initiatives to, among other things, create a central repository for fund and other Nuveen product data, develop a group within the Adviser designed to handle and analyze fund performance data, and implement a data system to support the risk oversight group. The Board also recognized the enhancements in the valuation group within the Adviser, including upgrading the team and process and automating certain basic systems, and in the compliance group with the addition of personnel, particularly within the testing group. With the advent of the Open-End Fund Committee and Closed-End Fund Committee, the Board also noted the enhanced support and comprehensive in-depth presentations provided by the Adviser to these committees.

In addition to the foregoing actions, the Board also considered other initiatives related to the Nuveen closed-end funds, including the significant level of oversight and administration necessary to manage leverage that has become increasingly varied and complex and the ongoing redesign of technology systems to manage and track the various forms of leverage; continued capital management services, including developing shelf offering programs for various funds; the implementation of projects designed to enhance data integrity for information published on the web and to increase the use of data received from third parties to gain market intelligence; and the continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted Nuveen's continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program and campaigns designed to raise investor and analyst awareness and understanding of closed-end funds. Nuveen's support services included, among other things: developing materials covering the Nuveen closed-end fund product line and educational materials regarding closed-end funds; designing and executing various marketing campaigns; supporting and promoting the alternative minimum tax (AMT)-free funds; sponsoring and participating in conferences; communicating with closed-end fund analysts and financial advisers throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing a closed-end fund website.

Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement were satisfactory.

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B. The Investment Performance of the Funds and Fund Advisers

The Board, including the Independent Board Members, considered the performance history of each Fund over various time periods. The Board reviewed reports, including an analysis of the Funds' performance and the applicable investment team. In general, in considering a fund's performance, the Board recognized that a fund's performance can be reviewed through various measures including the fund's absolute return, the fund's return compared to the performance of other peer funds, and the fund's performance compared to its respective benchmark. Accordingly, the Board reviewed, among other things, each Fund's historic investment performance as well as information comparing the Fund's performance information with that of other funds (the "Performance Peer Group") and with recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2012 as well as performance information reflecting the first quarter of 2013 (or for such shorter periods available for the Nuveen Short Duration Credit Opportunities Fund (the "Credit Opportunities Fund"), which did not exist for part of the foregoing time frame). In addition, with respect to closed-end funds (such as the Funds), the Independent Board Members also reviewed historic premium and discount levels, including a summary of actions taken to address or discuss other developments affecting the secondary market discounts of various funds. This information supplemented the fund performance information provided to the Board at each of its quarterly meetings.

In evaluating performance, the Board recognized several factors that may impact the performance data as well as the consideration given to particular performance data. The Board recognized that the performance data reflects a snapshot of time, in this case as of the end of the most recent calendar year or quarter. The Board noted that selecting a different performance period could derive significantly different results. Further, the Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to disproportionately affect long-term performance. The Independent Board Members also noted that the investment experience of a particular shareholder in the Nuveen funds will vary depending on when such shareholder invests in the applicable fund, the class held (if multiple classes are offered in a fund) and the performance of the fund (or respective class) during that shareholder's investment period.

With respect to the comparative performance information, the Board recognized that the usefulness of comparative performance data as a frame of reference to measure a fund's performance may be limited because the Performance Peer Group, among other things, does not adequately reflect the objectives and strategies of the fund, has a different investable universe, or the composition of the peer set may be limited in size or number as well as other factors. In this regard, the Board noted that the Adviser classified, in relevant part, the Performance Peer Groups of certain funds as having significant differences from the funds but to still be somewhat relevant while the Performance Peer Groups of other funds (including the Credit Opportunities Fund) were classified as having such significant differences as to be irrelevant. Accordingly, while the Board is cognizant of the relative performance of a fund's peer set and/or benchmark(s), the Board evaluated fund performance in light of the respective fund's investment objectives, investment parameters and guidelines and considered that the variations between the objectives and investment parameters or guidelines of the funds with their peers and/or benchmarks result in differences in performance results. In addition, with respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.

In considering the performance data for the Funds, the Independent Board Members noted that the Nuveen Senior Income Fund, the Nuveen Floating Rate Income Fund and the Nuveen Floating Rate Income Opportunity Fund had demonstrated generally favorable performance in comparison to peers, performing in the first or second quartile over various periods. With respect to the Credit Opportunities Fund, the Independent Board Members noted that such Fund was relatively new with a shorter performance history available, thereby limiting the ability to make a meaningful

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

assessment of performance. In addition, as indicated above, such Fund had significant differences with its Performance Peer Group, thereby limiting the usefulness of the comparative data; however, such Fund outperformed its benchmark for the one-year period.

Based on their review, the Independent Board Members determined that each Fund's investment performance had been satisfactory.

C. Fees, Expenses and Profitability

1. Fees and Expenses

The Board evaluated the management fees and expenses of each Fund reviewing, among other things, the Fund's gross management fee, net management fee and net expense ratio in absolute terms as well as compared to the fees and expenses of a comparable universe of funds provided by an independent fund data provider (the "Peer Universe") and any expense limitations.

The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the limited size and particular composition of the Peer Universe (including the inclusion of other Nuveen funds in the peer set); expense anomalies; changes in the funds comprising the Peer Universe from year to year; levels of reimbursement or fee waivers; the timing of information used; and the differences in the type and use of leverage may impact the comparative data, thereby limiting somewhat the ability to make a meaningful comparison with peers.

In reviewing the fee schedule for a Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen. In reviewing fees and expenses (excluding leverage costs and leveraged assets, as applicable), the Board considered the expenses and fees to be higher if they were over 10 basis points higher, slightly higher if they were approximately 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. In reviewing the reports, the Board noted that the majority of the Nuveen funds were at, close to or below their peer set average based on the net total expense ratio.

The Independent Board Members noted that the Funds had net management fees and net expense ratios (including fee waivers and expense reimbursements) that were below their peer averages.

Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund's management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.

2. Comparisons with the Fees of Other Clients

The Board recognized that all Nuveen funds have a sub-adviser (which, in the case of the Funds, is an affiliated sub-adviser), and therefore, the overall fund management fee can be divided into two components, the fee retained by the Adviser and the fee paid to the sub-adviser. In general terms, the fee to the Adviser reflects the administrative services it provides to support the funds, and while some administrative services may occur at the sub-adviser level, the fee generally reflects the portfolio management services provided by the sub-adviser. The Independent Board Members reviewed information regarding the nature of services provided by the Adviser including through the Sub-Adviser, and the range of fees and average fee the Sub-Adviser assessed for such services to other clients. Such other clients include separately managed accounts (both retail and institutional accounts), hedge funds, foreign investment funds offered by Nuveen and funds that are not offered by Nuveen but are sub-advised by one of

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Nuveen's investment management teams. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Many of the additional administrative services provided by the Adviser are not required for institutional clients. The Independent Board Members further noted that the management fee rates of the foreign funds advised by the Adviser may vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. The Independent Board Members also reviewed the fees the Sub-Adviser assesses for equity and taxable fixed income hedge funds it manages, which include a performance fee. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.

3. Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen's advisory activities for the last two calendar years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2012. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members noted that they have an Independent Board Member serve as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen's revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with comparable assets under management (based on asset size and asset composition).

In reviewing profitability, the Independent Board Members recognized the Adviser's continued investment in its business to enhance its services, including capital improvements to investment technology, updated compliance systems, and additional personnel. In addition, in evaluating profitability, the Independent Board Members also recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses and that various allocation methodologies may each be reasonable but yield different results. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser's particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen's methodology and assumptions for allocating expenses across product lines to determine profitability. Based on their review, the Independent Board Members concluded that the Adviser's level of profitability for its advisory activities was reasonable in light of the services provided.

The Independent Board Members also reviewed the Sub-Adviser's revenues, expenses and profitability margins (pre- and post-tax) for its advisory activities and the methodology used for allocating expenses among the internal

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

sub-advisers. Based on their review, the Independent Board Members were satisfied that the Sub-Adviser's level of profitability was reasonable in light of the services provided.

In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds. See Section E below for additional information on indirect benefits a Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.

D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale

With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase. Further, the Independent Board Members noted that although closed-end funds may from time-to-time make additional share offerings, the growth of their assets will occur primarily through the appreciation of such funds' investment portfolio.

In addition to fund-level advisory fee breakpoints, the Board also considered the Funds' complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen's costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base. In addition, with the acquisition of the funds previously advised by FAF Advisors, Inc. at the end of 2010, the Board noted that a portion of such funds' assets at the time of acquisition were deemed eligible to be included in the complex-wide fee calculation in order to deliver fee savings to shareholders in the combined complex and such funds were subject to differing complex-level fee rates.

Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.

E. Indirect Benefits

In evaluating fees, the Independent Board Members received and considered information regarding potential "fall out" or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered any revenues received by affiliates of the Adviser for serving as co-manager in initial public offerings of new closed-end funds as well as revenues received in connection with secondary offerings.

In addition to the above, the Independent Board Members considered whether the Fund Advisers received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. The Funds' portfolio transactions are determined by the Sub-Adviser. Accordingly, the Independent Board Members

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considered that the Sub-Adviser may benefit from its soft dollar arrangements pursuant to which it receives research from brokers that execute the Funds' portfolio transactions. With respect to fixed income securities, however, the Board recognized that such securities generally trade on a principal basis that does not generate soft dollar credits. Nevertheless, the Sub-Adviser may also engage in soft dollar arrangements on behalf of other clients, and the Funds as well as the Sub-Adviser may benefit from the research or other services received. Similarly, the Board recognized that the research received pursuant to soft dollar arrangements by the Sub-Adviser may also benefit a Fund and shareholders to the extent the research enhances the ability of the Sub-Adviser to manage the Fund. The Independent Board Members noted that the Sub-Adviser's profitability may be somewhat lower if it did not receive the research services pursuant to the soft dollar arrangements and had to acquire such services directly.

Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.

F. Other Considerations

The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of each Advisory Agreement are fair and reasonable, that the respective Fund Adviser's fees are reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.

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Board Members & Officers* (Unaudited)

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is currently set at twelve. None of the trustees who are not "interested" persons of the Funds (referred to herein as "independent trustees") has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

Name,
Year of Birth
& Address
  Position(s) Held with
the Funds

  Year First
Elected or
Appointed
and Term(1)
  Principal Occupation(s)
including other Directorships
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Board Member
 

Independent Board Members:

         
nWILLIAM J. SCHNEIDER      
1944
333 W. Wacker Drive
Chicago, IL 60606
 

Chairman of the Board and Board Member

  1996
Class III
 

Chairman of Miller-Valentine Partners Ltd., a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired 2004) of Miller-Valentine Group; an owner in several other Miller Valentine entities; member, Mid-America Health System; Board Member of Tech Town, Inc., a not-for-profit community development company; Board Member of WDPR Public Radio station; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council.

 

211

 
nROBERT P. BREMNER      
1940
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  1996
Class III
 

Private Investor and Management Consultant; Treasurer and Director, Humanities Council of Washington, D.C.; Board Member, Independent Directors Council affiliated with the Investment Company Institute.

 

211

 
nJACK B. EVANS      
1948
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  1999
Class III
 

President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Chairman, United Fire Group, a publicly held company; formerly, member and President Pro Tem of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.

 

211

 

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Name,
Year of Birth
& Address
  Position(s) Held with
the Funds

  Year First
Elected or
Appointed
and Term(1)
  Principal Occupation(s)
including other Directorships
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Board Member
 

Independent Board Members (continued):

         
nWILLIAM C. HUNTER      
1948
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2004
Class I
 

Dean Emeritus (since June 30, 2012), formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and President (since July 2012) Beta Gamma Sigma, Inc., The International Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.

 

211

 
nDAVID J. KUNDERT      
1942
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2005
Class II
 

Formerly, Director, Northwestern Mutual Wealth Management Company; (2006-2013) retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible.

 

211

 
nJOHN K. NELSON      
1962
333 West Wacker Drive
Chicago, IL 60606
 

Board Member

  2013
Class II
 

Senior external advisor to the financial services practice of Deloitte Consulting LLP (since 2012); Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Chairman of the Board of Trustees of Marian University (since 2010 as trustee, 2011 as Chairman); Director of The Curran Center for Catholic American Studies (since 2009) and The President's Council, Fordham University (since 2010); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets—the Americas (2006-2007), CEO of Wholesale Banking—North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading—North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.

 

211

 

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Board Members & Officers* (Unaudited) (continued)

Name,
Year of Birth
& Address
  Position(s) Held with
the Funds

  Year First
Elected or
Appointed
and Term(1)
  Principal Occupation(s)
including other Directorships
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Board Member
 

Independent Board Members (continued):

         
nJUDITH M. STOCKDALE      
1947
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  1997
Class I
 

Formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).

 

211

 
nCAROLE E. STONE      
1947
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2007
Class I
 

Director, Chicago Board Options Exchange (since 2006), C2 Options Exchange, Incorporated (since 2009) and CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010); formerly, Chair, New York Racing Association Oversight Board (2005-2007).

 

211

 
nVIRGINIA L. STRINGER      
1944
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2011
Class I
 

Board Member, Mutual Fund Directors Forum; former governance consultant and non-profit board member; former Owner and President, Strategic Management Resources, Inc. a management consulting firm; former Member, Governing Board, Investment Company Institute's Independent Directors Council; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).

 

211

 
nTERENCE J. TOTH      
1959
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2008
Class II
 

Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010), Quality Control Corporation (since 2012) and LogicMark LLC (since 2012); formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Chairman, and Mather Foundation Board (since 2012), and a member of its investment committee; formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).

 

211

 

Nuveen Investments
94



Name,
Year of Birth
& Address
  Position(s) Held with
the Funds

  Year First
Elected or
Appointed
and Term(1)
  Principal Occupation(s)
including other Directorships
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Board Member
 

Interested Board Members:

         
nWILLIAM ADAMS IV(2)      
1955
333 W. Wacker Drive
Chicago, IL 60606
 

Board Member

  2013
Class II
 

Senior Executive Vice President, Global Structured Products (since 2010); Co-President of Nuveen Fund Advisors, LLC (since 2011); President (since 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC; Board Member of the Chicago Symphony Orchestra and of Gilda's Club Chicago; formerly, Executive Vice President, U.S. Structured Products, of Nuveen Investments, Inc. (1999-2010).

 

135

 
nTHOMAS S. SCHREIER, JR.(2)      
1962
333 West Wacker Drive
Chicago, IL 60606
 

Board Member

  2013
Class III
 

Vice Chairman, Wealth Management of Nuveen Investments, Inc. (since 2011); Co-President of Nuveen Fund Advisors, LLC; Chairman of Nuveen Asset Management, LLC (since 2011); Co-Chief Executive Officer of Nuveen Securities, LLC (since 2011); Member of Board of Governors and Chairman's Council of the Investment Company Institute; formerly, Chief Executive Officer (2000-2010) and Chief Investment Officer (2007-2010) of FAF Advisors, Inc.; formerly, President of First American Funds (2001-2010).

 

135

 
Name,
Year of Birth
and Address
  Position(s) Held with
the Funds
  Year First
Elected or
Appointed(3)
  Principal Occupation(s)
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Officer
 
Officers of the Funds:          
nGIFFORD R. ZIMMERMAN      
1956
333 W. Wacker Drive
Chicago, IL 60606
  Chief
Administrative
Officer
 

1988

 

Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director, Associate General Counsel and Assistant Secretary, of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Vice President and Assistant Secretary (since 2013), formerly, Chief Administrative Officer and Chief Compliance Officer (2006-2013) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.

 

211

 

Nuveen Investments
95



Board Members & Officers* (Unaudited) (continued)

Name,
Year of Birth
and Address
  Position(s) Held with
the Funds
  Year First
Elected or
Appointed(3)
  Principal Occupation(s)
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Officer
 
Officers of the Funds (continued):          
nCEDRIC H. ANTOSIEWICZ      
1962
333 W. Wacker Drive
Chicago, IL 60606
 

Vice President

 

2007

 

Managing Director of Nuveen Securities, LLC.

 

103

 
nMARGO L. COOK      
1964
333 W. Wacker Drive
Chicago, IL 60606
 

Vice President

 

2009

 

Executive Vice President (since 2008) of Nuveen Investments, Inc. and of Nuveen Fund Advisors, LLC (since 2011); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since August 2011), previously, Head of Institutional Asset Management (2007-2008) of Bear Stearns Asset Management; Head of Institutional Asset Management (1986-2007) of Bank of NY Mellon; Chartered Financial Analyst.

 

211

 
nLORNA C. FERGUSON      
1945
333 W. Wacker Drive
Chicago, IL 60606
 

Vice President

 

1998

 

Managing Director (since 2005) of Nuveen Fund Advisors, LLC and Nuveen Securities, LLC (since 2004).

 

211

 
nSTEPHEN D. FOY      
1954
333 W. Wacker Drive
Chicago, IL 60606
  Vice President
and Controller
 

1998

 

Senior Vice President (2010-2011), formerly, Vice President (2005-2010) and Funds Controller of Nuveen Securities, LLC; Senior Vice President (since 2013), formerly, Vice President of Nuveen Fund Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset Management, LLC (since 2010); Certified Public Accountant.

 

211

 
nSCOTT S. GRACE      
1970
333 W. Wacker Drive
Chicago, IL 60606
  Vice President
and Treasurer
 

2009

 

Managing Director, Corporate Finance & Development, Treasurer (since 2009) of Nuveen Securities, LLC; Managing Director and Treasurer (since 2009) of Nuveen Fund Advisors, LLC, Nuveen Investments Advisers, Inc., Nuveen Investments Holdings Inc. and (since 2011) Nuveen Asset Management, LLC; Vice President and Treasurer of NWQ Investment Management Company, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, LLC.; Vice President of Santa Barbara Asset Management, LLC; formerly, Treasurer (2006-2009), Senior Vice President (2008-2009), previously, Vice President (2006-2008) of Janus Capital Group, Inc.; formerly, Senior Associate in Morgan Stanley's Global Financial Services Group (2000-2003); Chartered Accountant Designation.

 

211

 
nWALTER M. KELLY      
1970
333 W. Wacker Drive
Chicago, IL 60606
  Chief Compliance
Officer and
Vice President
 

2003

 

Senior Vice President (since 2008) and Assistant Secretary (since 2003) of Nuveen Fund Advisors, LLC; Senior Vice President (since 2008) of Nuveen Investment Holdings, Inc.; formerly, Senior Vice President (2008-2011) of Nuveen Securities, LLC.

 

211

 

Nuveen Investments
96



Name,
Year of Birth
and Address
  Position(s) Held with
the Funds
  Year First
Elected or
Appointed(3)
  Principal Occupation(s)
During Past 5 Years
  Number of Portfolios
in Fund Complex
Overseen by
Officer
 
Officers of the Funds (continued):          
nTINA M. LAZAR      
1961
333 W. Wacker Drive
Chicago, IL 60606
 

Vice President

 

2002

 

Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Fund Advisors, LLC.

 

211

 
nKEVIN J. MCCARTHY      
1966
333 W. Wacker Drive
Chicago, IL 60606
  Vice President
and Secretary
 

2007

 

Managing Director and Assistant Secretary (since 2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary (since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director (since 2008), and Assistant Secretary, Nuveen Investment Holdings, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, and of Winslow Capital Management, LLC, (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC.

 

211

 
nKATHLEEN L. PRUDHOMME      
1953
901 Marquette Avenue
Minneapolis, MN 55402
  Vice President and
Assistant Secretary
 

2011

 

Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).

 

211

 
nJOEL T. SLAGER      
1978
333 West Wacker Drive
Chicago, IL 60606
  Vice President and
Assistant Secretary
 

2013

 

Fund Tax Director for Nuveen Funds (since May, 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013); Tax Director at PricewaterhouseCoopers LLP (from 2008 to 2010).

 

211

 

(1)  Board Members serve three year terms, except for two board members who are elected by the holders of Preferred Shares. The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.

(2)  "Interested person" as defined in the 1940 Act, by reason of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.

(3)  Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

*  Represents the Fund's Board of Trustees as of September 1, 2013.

Nuveen Investments
97



Reinvest Automatically,
Easily and Conveniently

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

Nuveen Closed-End Funds Automatic Reinvestment Plan

Your Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you'll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

Nuveen Investments
98




Glossary of Terms
Used in this Report

•  Average Annual Total Return: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

•  Barclays U.S. Aggregate Bond Index: An unmanaged index that includes all investment-grade, publicly issued, fixed-rate, dollar denominated, nonconvertible debt issues and commercial mortgage backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

•  Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

•  CSFB Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

•  Effective Leverage: Effective leverage is a fund's effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund's portfolio that increase the funds' investment exposure.

•  Equity Shelf Program: A type of public offering used in accordance with U.S. Securities and Exchange Commission (SEC) registration requirements. This program allows corporations to offer and sell securities for several years without a separate prospectus for each offering.

•  Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.

•  Leverage: Using borrowed money to invest in securities or other assets, seeking to increase the return of an investment or portfolio.

•  Net Asset Value (NAV): The net market value of all securities held in a portfolio.

•  Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a fund, the NAV is calculated daily by taking the fund's total assets (securities, cash, and accrued earnings), subtracting the fund's liabilities, and dividing by the number of shares outstanding.

•  Regulatory Leverage: Regulatory leverage consists of preferred shares or debt issued by a fund. Both of these are part of a fund's capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

Nuveen Investments
99




Notes

Nuveen Investments
100



Notes

Nuveen Investments
101



Notes

Nuveen Investments
102




Additional Fund Information

Board of Trustees*

William Adams IV**
William J. Schneider
  Robert P. Bremner
Thomas S. Schreier, Jr.**
  Jack B. Evans
Judith M. Stockdale
  William C. Hunter
Carole E. Stone
  David J. Kundert
Virginia L. Stringer
  John K. Nelson
Terence J. Toth
 

*   Represents the Fund's Board of Trustees as of September 1, 2013.

** Interested Board Member.

Fund Manager
Nuveen Fund Advisors, LLC
333 West Wacker Drive
Chicago, IL 60606
  Custodian
State Street Bank
& Trust Company
Boston, MA 02111
  Legal Counsel
Chapman and Cutler LLP
Chicago, IL 60603
  Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL 60606
  Transfer Agent and
Shareholder Services
State Street Bank
& Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
 

Quarterly Form N-Q Portfolio of Investments Information

Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.

Nuveen Funds' Proxy Voting Information

You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

CEO Certification Disclosure

Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. The Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

Common Share Information

Each Fund intends to repurchase shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

NSL

 

JFR

 

JRO

 

JSD

 

Common shares repurchased

   

     

     

     

   

Nuveen Investments
103



Nuveen Investments:
Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates—Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed approximately $216 billion as of June 30, 2013.

Find out how we can help you.

To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

Learn more about Nuveen Funds at: www.nuveen.com/cef

Distributed by
Nuveen Securities, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com/cef

EAN-B-0713D




 

ITEM 2. CODE OF ETHICS.

 

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial expert is Carole E. Stone, who is “independent” for purposes of Item 3 of Form N-CSR.

 

Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

 

NUVEEN SENIOR INCOME FUND

 

The following tables show the amount of fees that Ernst & Young LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with Ernst & Young LLP the Audit Committee approved in advance all audit services and non-audit services that Ernst & Young LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

 

The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).

 

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

 

 

Audit Fees Billed

 

Audit-Related Fees

 

Tax Fees

 

All Other Fees

 

Fiscal Year Ended

 

to Fund (1)

 

Billed to Fund (2)

 

Billed to Fund (3)

 

Billed to Fund (4)

 

July 31, 2013

 

$

28,250

 

$

16,000

 

$

0

 

$

0

 

 

 

 

 

 

 

 

 

 

 

Percentage approved pursuant to pre-approval exception

 

0

%

0

%

0

%

0

%

 

 

 

 

 

 

 

 

 

 

July 31, 2012

 

$

27,000

 

$

18,000

 

$

0

 

$

8,000

 

 

 

 

 

 

 

 

 

 

 

Percentage approved pursuant to pre-approval exception

 

0

%

0

%

0

%

0

%

 


(1) “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.

 

(2) “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.

 

(3) “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.

 

(4) “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage.

 



 

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

 

The following tables show the amount of fees billed by Ernst & Young LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser” or “NFA”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.

 

The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.

 

 

 

Audit-Related Fees

 

Tax Fees Billed to

 

All Other Fees

 

 

 

Billed to Adviser and

 

Adviser and

 

Billed to Adviser

 

 

 

Affiliated Fund

 

Affiliated Fund

 

and Affiliated Fund

 

Fiscal Year Ended

 

Service Providers

 

Service Providers

 

Service Providers

 

July 31, 2013

 

$

0

 

$

0

 

$

0

 

 

 

 

 

 

 

 

 

Percentage approved pursuant to pre-approval exception

 

0

%

0

%

0

%

July 31, 2012

 

$

0

 

$

0

 

$

0

 

 

 

 

 

 

 

 

 

Percentage approved pursuant to pre-approval exception

 

0

%

0

%

0

%

 

NON-AUDIT SERVICES

 

The following table shows the amount of fees that Ernst & Young LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that Ernst & Young LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from Ernst & Young LLP about any non-audit services that Ernst & Young LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating Ernst & Young LLP’s independence.

 

 

 

 

 

Total Non-Audit Fees

 

 

 

 

 

 

 

 

 

billed to Adviser and

 

 

 

 

 

 

 

 

 

Affiliated Fund Service

 

Total Non-Audit Fees

 

 

 

 

 

 

 

Providers (engagements

 

billed to Adviser and

 

 

 

 

 

 

 

related directly to the

 

Affiliated Fund Service

 

 

 

 

 

Total Non-Audit Fees

 

operations and financial

 

Providers (all other

 

 

 

Fiscal Year Ended

 

Billed to Fund

 

reporting of the Fund)

 

engagements)

 

Total

 

July 31, 2013

 

$

0

 

$

0

 

$

0

 

$

0

 

July 31, 2012

 

$

8,000

 

$

0

 

$

0

 

$

8,000

 

 

“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective

amounts from the previous table.

 

Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

 

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

 



 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Robert P. Bremner, Terence J. Toth, William J. Schneider, Carole E. Stone and David J. Kundert.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

 

a) See Portfolio of Investments in Item 1.

 

b) Not applicable.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

Nuveen Fund Advisors, LLC, formerly known as Nuveen Fund Advisors, Inc., is the registrant’s investment adviser (also referred to as the “Adviser”).  The Adviser is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services.  The Adviser has engaged Symphony Asset Management, LLC (“Symphony” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services.  As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser’s policies and procedures.  The Adviser periodically monitors the Sub-Adviser’s voting to ensure that it is carrying out its duties.  The Sub-Adviser’s proxy voting policies and procedures are summarized as follows:

 

SYMPHONY

 

Symphony has adopted and implemented proxy voting guidelines to ensure that proxies are voted in the best interest of its Clients.  These are merely guidelines and specific situations may call for a vote which does not follow the guidelines.  In determining how to vote proxies, Symphony will follow the Proxy Voting Guidelines of the independent third party which Symphony has retained to provide proxy voting services (“Symphony’s Proxy Guidelines”).

 

Symphony has created a Proxy Voting Committee to periodically review Symphony’s Proxy Guidelines, address conflicts of interest, specific situations and any portfolio manager’s decision to deviate from Symphony’s Proxy Guideline, (including the third party’s guidelines).  Under certain circumstances, Symphony may vote one way for some Clients and another way for other Clients.  For example, votes for a Client who provides specific voting instructions may differ from votes for Clients who do not provide proxy voting instructions.  However, when Symphony has discretion, proxies will generally be voted the same way for all Clients.  In addition, conflicts of interest in voting proxies may arise between Clients, between Symphony and its employees, or a lending or other material relationship.  As a general rule, conflicts will be resolved by Symphony voting in accordance with Symphony’s Proxy Guidelines when:

 

·      Symphony manages the account of a corporation or a pension fund sponsored by a corporation in which Clients of Symphony also own stock.  Symphony will vote the proxy for its other Clients in accordance with Symphony’s Proxy Guidelines and will follow any directions from the corporation or the pension plan, if different than Symphony’s Proxy Guidelines;

 

·      An employee or a member of his/her immediate family is on the Board of Directors or a member of senior management of the company that is the issuer of securities held in Client’s account;

 

·      Symphony has a borrowing or other material relationship with a corporation whose securities are the subject of the proxy.

 

Proxies will always be voted in the best interest of Symphony’s Clients.  Those situations that do not fit within the general rules for the resolution of conflicts of interest will be reviewed by the Proxy Voting Committee.  The Proxy Voting Committee, after consulting with senior management, if appropriate, will determine how the proxy should be voted.  For example, when a portfolio manager decides not to follow Symphony’s Proxy Guidelines, the Proxy Voting Committee will review a portfolio manager’s recommendation and determine how to vote the proxy.  Decisions by the Proxy Voting Committee will be documented and kept with records related to the voting of proxies.  A summary of specific votes will be retained in accordance with Symphony’s Books and Records Requirements which are set forth Symphony’s Compliance Manual and Code of Ethics.

 



 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

Nuveen Fund Advisors, LLC, formerly known as Nuveen Fund Advisors, Inc., is the registrant’s investment adviser (also referred to as the “Adviser”).  The Adviser is responsible for the selection and on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services.  The Adviser has engaged Symphony Asset Management LLC (“Symphony”, also referred to as “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services.  The following section provides information on the portfolio managers of the Sub-Adviser.

 

SYMPHONY ASSET MANAGEMENT LLC

 

A. PORTFOLIO MANAGER BIOGRAPHIES

 

The following individuals have primary responsibility for the day-to-day implementation of the registrant’s investment strategies:

 

·      Gunther Stein, Chief Investment Officer and Chief Executive Officer, Portfolio Manager

·      Scott Caraher, Portfolio Manager

 

Gunther Stein is Chief Investment Officer and Chief Executive Office at Symphony.  Mr. Stein is responsible for leading Symphony’s fixed-income and equity investments strategies and research and overseeing firm trading.  Prior to joining Symphony in 1999, Mr. Stein was a high yield portfolio manager at Wells Fargo Bank, where he managed a high yield portfolio, was responsible for investing in public high yield bonds and bank loans and managed a team of credit analysts.

 

Scott Caraher is a member of Symphony’s fixed-income team and his responsibilities include portfolio management and trading for Symphony’s bank loan strategies and credit and equity research for its fixed-income strategies.  Prior to joining Symphony in 2002, Mr. Caraher was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.

 

B. OTHER ACCOUNTS

 

OTHER ACCOUNTS MANAGED BY Gunther Stein as of 7/31/13

 

(a) Registered Investment Companies

 

 

 

Number of accounts

 

15

 

Assets

 

$

2,605,000,000

 

 

 

 

 

(b) Other pooled accounts

 

 

 

Non-performance fee accounts

 

 

 

Number of accounts

 

8

 

Assets

 

$

248,000,000

 

Performance fee accounts

 

 

 

Number of accounts

 

16

 

Assets

 

$

1,940,000,000

 

 

 

 

 

(c) Other

 

 

 

Non-performance fee accounts

 

 

 

Number of accounts

 

9

 

Assets

 

$

74,000,000

 

Performance fee accounts

 

 

 

Number of accounts

 

4

 

Assets

 

$

288,000,000

 

 



 

OTHER ACCOUNTS MANAGED BY Scott Caraher as of 7/31/13

 

(a) Registered Investment Companies

 

 

 

Number of accounts

 

7

 

Assets

 

$

1,220,000,000

 

 

 

 

 

(b) Other pooled accounts

 

 

 

Non-performance fee accounts

 

 

 

Number of accounts

 

2

 

Assets

 

$

194,000,000

 

Performance fee accounts

 

 

 

Number of accounts

 

12

 

Assets

 

$

1,752,000,000

 

 

 

 

 

(c) Other

 

 

 

Non-performance fee accounts

 

 

 

Number of accounts

 

3

 

Assets

 

$

66,000,000

 

Performance fee accounts

 

 

 

Number of accounts

 

0

 

Assets

 

$

0

 

 

C. POTENTIAL MATERIAL CONFLICTS OF INTEREST

 

As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts.  Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts.  These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund.  A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund.  However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors.  In addition, the Sub-adviser has adopted trade allocation procedures that require equitable allocation of trade orders for a particular security among participating accounts.

 

D. FUND MANAGER COMPENSATION

 

Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

 

The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.

 

The portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses.  The level of this bonus to each individual portfolio manager is determined by senior management’s assessment of the team’s performance, and the individual’s contribution to and performance on that team.  Factors considered in that assessment include the total return and risk-adjusted total return performance of the accounts for which the individual serves as portfolio manager relative

 



 

to any benchmarks established for those accounts; the individual’s effectiveness in communicating investment performance to investors and/or their advisors; and the individual’s contribution to the firm’s overall investment process and to the execution of investment strategies.  The portfolio manager also receives long-term incentives tied to the performance and growth of Symphony.

 

E. OWNERSHIP OF NSL SECURITIES AS OF JULY 31, 2013

 

Name of Portfolio Manager

 

Dollar range of equity securities beneficially owned in Fund

 

Gunther Stein

 

$10,001-$50,000

 

Scott Caraher

 

$50,001-$100,000

 

 



 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

Not applicable.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

(a)

 

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)(17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

 

 

(b)

 

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 12. EXHIBITS.

 

File the exhibits listed below as part of this Form.

 

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.).

 

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT attached hereto.

 

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.

 

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Nuveen Senior Income Fund

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

Vice President and Secretary

 

 

Date: October 4, 2013

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By (Signature and Title)

/s/ Gifford R. Zimmerman

 

 

Gifford R. Zimmerman

 

Chief Administrative Officer

 

(principal executive officer)

 

 

Date: October 4, 2013

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

Vice President and Controller

 

(principal financial officer)

 

 

Date: October 4, 2013