Nuveen Credit Strategies Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

811-21333

Nuveen Credit Strategies Income Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Address of principal executive offices)  (Zip code)

Gifford R. Zimmerman

Nuveen Investments

333 West Wacker Drive, Chicago, IL 60606

 

(Name and address of agent for service)

Registrant’s telephone number, including area code:   (312) 917-7700                    

Date of fiscal year end:   July 31                       

Date of reporting period:   January 31, 2018                    

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policy making roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss.3507.


ITEM 1. REPORTS TO STOCKHOLDERS.


     LOGO
Closed-End Funds   

 

     Nuveen
     Closed-End Funds

 

 

 

 

       

 

 

Semi-Annual Report  January 31, 2018

 

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

 


 

 

     

 

           
 

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LOGO


Table

of Contents

 

Chairman’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Fund Leverage

     8  

Common Share Information

     10  

Risk Considerations

     12  

Performance Overview and Holding Summaries

     14  

Portfolios of Investments

     24  

Statement of Assets and Liabilities

     84  

Statement of Operations

     85  

Statement of Changes in Net Assets

     86  

Statement of Cash Flows

     89  

Financial Highlights

     90  

Notes to Financial Statements

     98  

Additional Fund Information

     116  

Glossary of Terms Used in this Report

     117  

Reinvest Automatically, Easily and Conveniently

     118  

 

NUVEEN     3  


Chairman’s Letter

to Shareholders

 

LOGO

Dear Shareholders,

Financial markets ended 2017 on a high note. Concurrent growth across the world’s major economies, strong corporate profits, low inflation and accommodative central banks provided an optimal environment for rising asset prices with remarkably low volatility. Political risks, which were expected to be a wildcard in 2017, did not materialize. The Trump administration achieved one of its major policy goals with the passage of the Tax Cuts and Jobs Act, the European Union (EU) member governments elected EU-friendly leadership, Brexit negotiations moved forward and China’s 19th Party Congress concluded with no major surprises in its economic policy objectives.

Conditions have turned more volatile in 2018, but the positive fundamentals underpinning the markets’ rise over the past year remain intact. In early February, fears of rising inflation, which could prompt more aggressive action by the Federal Reserve (Fed), triggered a widespread sell-off across U.S. and global equity markets. Yet, global economies are still expanding and corporate earnings look healthy, which helped markets stabilize and partially recover the losses.

We do believe volatility will continue to feature more prominently in 2018. Interest rates have been rising and inflation pressures are mounting. Jerome Powell’s first testimony as Fed Chairman increased the likelihood of four rate hikes in 2018, up from three projected at the end of 2017, while also emphasizing the gradual pace of rate hikes established by his predecessor will continue. Investors are uncertain about how markets will react amid tighter financial conditions. After the relative calm of the past few years, it’s anticipated that price fluctuations will begin trending toward a more historically normal range. But we also note that signs foreshadowing recession are lacking at this point.

Maintaining perspective can be difficult with daily headlines focused predominantly on short-term news. Nuveen believes this can be an opportune time to check in with your financial advisor. Strong market appreciation such as that in 2017 may create an imbalance in a diversified portfolio. Your advisor can help you reexamine your investment goals and risk tolerance, and realign your portfolio’s investment mix, if appropriate. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

William J. Schneider

Chairman of the Board

March 22, 2018

 

 

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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)

Nuveen Credit Strategies Income Fund (JQC)

The Funds’ investment portfolios are managed by Symphony Asset Management, LLC (Symphony), an affiliate of Nuveen, LLC. Gunther Stein, who serves as the firm’s Chief Investment Officer and Chief Executive Officer, and Scott Caraher manage NSL, JFR and JRO. JSD is managed by Gunther, Scott and Jenny Rhee, while JQC is managed by Gunther and Sutanto Widjaja.

Here the team discusses their management strategies and the performance of the Funds for the six-month reporting period ended January 31, 2018.

What strategies were used to manage the Funds during the six-month reporting period ended January 31, 2018?

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

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

JRO seeks to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily senior loans, though the loans may include unsecured senior loans and secured and unsecured

 

 

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

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

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

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

 

NUVEEN     5  


Portfolio Managers’ Comments (continued)

 

subordinated loans. At least 65% of the Fund’s managed assets must include adjustable rate senior loans that are secured by specific collateral. The Fund uses leverage.

JSD seeks to provide current income and the potential for capital appreciation. The Fund invests at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. Up to 30% of the Fund’s assets may include other types of debt instruments or short positions consisting primarily of high yield debt. The Fund maintains a portfolio with an average duration that does not exceed two years. The Fund uses leverage.

JQC’s primary investment objective is high current income and its secondary objective is total return. The Fund invests at least 70% of its managed assets in adjustable rate senior secured and second lien loans, and up to 30% opportunistically in other types of securities across a company’s capital structure, primarily income-oriented securities such as high yield debt, convertible securities and other forms of corporate debt. The Fund uses leverage.

How did the Funds perform during this six-month reporting period ended January 31, 2018?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the six-month, one-year, five-year, ten-year and/or since inception periods ended January 31, 2018. Each Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index. For the six-month reporting period ended January 31, 2018, NSL, JFR, JRO, JSD and JQC underperformed the Credit Suisse Leveraged Loan Index.

Across all five Funds, our top and bottom performing individual security positions and industry groups were relatively similar. As a result, for NSL, JFR, JRO, JSD and JQC, the majority of sectors contributed positively to absolute performance, with the exception of the telecommunication services sector. The information technology, consumer discretionary, industrials and energy sectors were the strongest contributors to absolute performance.

Specific holdings that contributed to performance included the loans of consumer discretionary holdings, Cumulus Media, Inc. During the reporting period, the loan traded higher as the company officially filed for bankruptcy with a plan to reduce debt and give the majority of the equity in the company to senior lenders. The loans of financial service company Walter Investment Management Corporation also contributed to performance. The company announced that the United States Bankruptcy Court for the Southern District of New York approved the Company’s prepackaged financial restructuring plan. The Company emerged from Chapter 11 on January 31, 2018, after the conditions to the plan were satisfied and the Company is on track to complete its financial restructuring in the first quarter of 2018. Lastly, loans of energy holdings Ocean Rig UDW Inc. and California Resources Corporation contributed to performance. The majority of energy companies posted strong earnings growth as the sector benefited from the sustained oil price recovery.

Offsetting positive returns was exposure to the loans of Fieldwood Energy LLC, an exploration & production (E&P) company focused on oil and gas assets within and around the Gulf of Mexico. The company’s loans traded lower during the reporting period on increased concerns the company would file for bankruptcy. Also detracting from performance were the loans of consumer discretionary holding media company, iHeartCommunications, Inc. Its loans fell on investor anxiety over the increased uncertainty of how the company would be able to deleverage its balance sheet and focus on improving earnings. Lastly, detracting from performance was the loan from consumer staples sector holding Revlon Consumer Products Corporation, a cosmetics and personal products company. During the reporting period, the company announced disappointing quarterly earnings as well as declines in revenue, and gross profit margins, all of which negatively impacted its credit profile. JQC held a greater allocation to the Revlon loans, which contributed to its underperformance versus the other Funds. On the positive side, the company did report higher demand in international markets.

The levered loan asset class is one of the few fixed income asset classes that has a LIBOR floor feature. In combination with a credit spread, this feature serves as the basis for establishing the loan’s floating rate coupon and is intended to lessen the potential negative impact from rising short term interest rates. Over the course of the last six months the

 

  6     NUVEEN


Federal Reserve has continued to increase short-term interest rates. And a result, LIBOR is now trading well above LIBOR loan floors. More recently, the majority of new issue bank loans have been issued without LIBOR floors, so this feature is likely to play a smaller, albeit not small, factor in portfolio performance.

JSD and JQC invested in credit default swaps, which were used to provide a benefit if particular bonds’ credit quality worsened. These contracts provided a modest contribution to performance during the reporting period.

 

NUVEEN     7  


Fund

Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds relative to their comparative benchmarks was the Funds’ use of leverage through the use of bank borrowings, Term Preferred Shares (Term Preferred) for NSL, JFR, JRO and JSD and reverse repurchase agreements for JQC. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, the 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. The Funds’ use of leverage had a positive impact on performance during this reporting period.

NSL, JFR, JRO and JSD used interest rate swap contracts to partially hedge the interest cost of leverage, which as mentioned previously, is through bank borrowings and preferred shares. Collectively, these interest rate swap contracts detracted from overall Fund performance during the period.

As of January 31, 2018, the Funds’ percentages of leverage are as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Effective Leverage*

    37.24        36.60        36.15        37.41        36.33

Regulatory Leverage*

    37.24        36.60        36.15        37.41        31.19
* 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. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS’ LEVERAGE

Bank Borrowings

As noted above, the Funds employ leverage through the use of bank borrowings. The Funds’ bank borrowing activities are as shown in the accompanying table.

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   August 1, 2017     Draws     Paydowns     January 31, 2018     Average Balance
Outstanding
           Draws     Paydowns     March 26, 2018  

NSL

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

JFR

  $ 254,300,000     $     $     $ 254,300,000     $ 254,300,000             $     $     $ 254,300,000  

JRO

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

JSD

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

JQC

  $ 561,000,000     $     $     $ 561,000,000     $ 561,000,000             $     $     $ 561,000,000  

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

 

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Reverse Repurchase Agreements

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

 

Current Reporting Period             Subsequent to the Close of
the Reporting Period
 
August 1, 2017      Purchases      Sales      January 31, 2018      Average Balance
Outstanding
             Purchases      Sales      March 26, 2018  
  $145,000,000        $    —        $    —        $145,000,000        $145,000,000                 $    —        $    —        $145,000,000  

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

Term Preferred Shares

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

 

    Current Reporting Period           Subsequent to the Close of
the Reporting Period
 
Fund   August 1, 2017     Issuance     Redemptions     January 31, 2018     Average Balance
Outstanding
           Issuance     Redemptions     March 26, 2018  

NSL

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

JFR

  $ 125,200,000     $     $     $ 125,200,000     $ 125,200,000             $     $     $ 125,200,000  

JRO

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

JSD

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

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

 

NUVEEN     9  


Common Share

Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of January 31, 2018. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investment value changes.

During the current reporting period, each Fund’s distributions to common shareholders were as shown in the accompanying table.

 

    Per Common Share Amounts  
Monthly Distributions (Ex-Dividend Date)   NSL        JFR        JRO        JSD        JQC  

August 2017

  $ 0.0395        $ 0.0675        $ 0.0705        $ 0.1060        $ 0.0525  

September

    0.0395          0.0675          0.0705          0.1060          0.0475  

October

    0.0395          0.0675          0.0705          0.1060          0.0475  

November

    0.0395          0.0675          0.0705          0.1060          0.0475  

December

    0.0395          0.0675          0.0705          0.1060          0.0475  

January 2018

    0.0395          0.0675          0.0705          0.1060          0.0475  

Total Monthly Per Share Distributions

    0.2370          0.4050          0.4230          0.6360          0.2900  

Ordinary Income Distribution*

                               0.0364           

Total Distributions from Net Investment Income

  $ 0.2370        $ 0.4050        $ 0.4230        $ 0.6724        $ 0.2900  
                                                     

Current Distribution Rate**

    7.37        7.30        7.66        7.64        7.04
* Distribution paid in December 2017.
** 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.

Each Fund in this report seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.

As of January 31, 2018, the Funds had positive UNII balances, based upon our best estimate, for tax purposes. NSL had a positive UNII balance while JFR, JRO, JSD and JQC had negative UNII balances for financial reporting purposes.

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

 

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COMMON SHARE EQUITY SHELF PROGRAMS

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

 

     NSL        JFR        JRO        JSD  

Additional authorized common shares

    8,800,000        12,900,000          8,500,000          1,000,000
* Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.

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

 

     JFR        JRO  

Common shares sold through shelf offering

    452,068          783,600  

Weighted average premium to NAV per common share sold

    1.38        1.71

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

COMMON SHARE REPURCHASES

During August 2017, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of January 31, 2018, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares cumulatively repurchased and retired

    5,000          147,593          19,400                   4,804,500  

Common shares authorized for repurchase

    3,860,000          5,645,000          3,975,000          1,010,000          13,575,000  

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

OTHER COMMON SHARE INFORMATION

As of January 31, 2018, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

 

     NSL        JFR        JRO        JSD        JQC  

Common share NAV

    $6.85          $11.55          $11.44          $17.73          $9.11  

Common share price

    $6.43          $11.09          $11.05          $16.64          $8.10  

Premium/(Discount) to NAV

    (6.13 )%         (3.98 )%         (3.41 )%         (6.15 )%         (11.09 )% 

6-month average premium/(discount) to NAV

    (4.00 )%         (1.25 )%         (0.63 )%         (3.69 )%         (9.05 )% 

 

NUVEEN     11  


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.

Nuveen Senior Income Fund (NSL)

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

Nuveen Floating Rate Income Fund (JFR)

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

Nuveen Floating Rate Income Opportunity Fund (JRO)

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

Nuveen Short Duration Credit Opportunities Fund (JSD)

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

 

  12     NUVEEN


 

Nuveen Credit Strategies Income Fund (JQC)

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

 

NUVEEN     13  


NSL

 

Nuveen Senior Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
NSL at Common Share NAV     1.72%          4.92%          4.98%          6.64%  
NSL at Common Share Price     (2.41)%          (0.48)%          2.92%          6.63%  
Credit Suisse Leveraged Loan Index     2.54%          4.81%          4.32%          5.01%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  14     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     131.2%  
Corporate Bonds     18.3%  
Common Stocks     2.6%  
Warrants     0.0%  
$25 Par (or similar) Retail Preferred     0.0%  
Investment Companies     7.0%  
Other Assets Less Liabilities     (0.0)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     159.1%  
Borrowings     (43.1)%  
Term Preferred Shares, net of deferred offering costs     (16.0)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term
investments)

 

Dell International LLC     3.2%  
Albertson's LLC     3.2%  
IntelSat Limited     3.1%  
Sprint Corporation     2.5%  
Western Digital Corporation     2.1%  

Portfolio Composition

(% of total investments)

 

Media     11.1%  
Software     10.0%  
Diversified Telecommunication Services     8.2%  
Hotels, Restaurants & Leisure     7.0%  
Technology Hardware, Storage & Peripherals     5.3%  
Health Care Providers & Services     4.1%  
Oil, Gas & Consumable Fuels     3.7%  
Wireless Telecommunication Services     3.7%  
Food & Staples Retailing     3.4%  
IT Services     2.7%  
Commercial Services & Supplies     2.7%  
Food Products     2.3%  
Aerospace & Defense     2.0%  
Diversified Consumer Services     1.8%  
Equity Real Estate Investment Trusts     1.8%  
Airlines     1.5%  
Transportation Infrastructure     1.4%  
Professional Services     1.4%  
Semiconductors & Semiconductor Equipment     1.3%  
Health Care Equipment & Supplies     1.2%  
Other     19.0%  
Investment Companies     4.4%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.1%  
BB or Lower     85.6%  
N/R (not rated)     1.3%  

Total

    100%  
 

 

 

NUVEEN     15  


JFR

 

Nuveen Floating Rate Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JFR at Common Share NAV     1.70%          4.97%          5.09%          6.58%  
JFR at Common Share Price     (2.86)%          (1.29)%          3.97%          7.30%  
Credit Suisse Leveraged Loan Index     2.54%          4.81%          4.32%          5.01%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  16     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     124.8%  
Corporate Bonds     18.9%  
Common Stocks     2.3%  
Asset-Backed Securities     2.0%  
Long-Term Investment Companies     1.7%  
Convertible Bonds     0.0%  
Warrants     0.0%  
$25 Par (or similar) Retail Preferred     0.0%  

Short-Term Investment Companies

    8.1%  
Other Assets Less Liabilities     (0.3)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     157.5%  
Borrowings     (38.7)%  
Term Preferred Shares, net of deferred offering costs     (18.8)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Albertson's LLC     3.1%  
Dell International LLC     2.9%  
IntelSat Limited     2.7%  
Sprint Corporation     2.4%  
iHeartCommunications, Inc.     2.1%  

Portfolio Composition

(% of total investments)

 

Media     11.1%  
Software     9.1%  
Hotels, Restaurants & Leisure     7.6%  
Diversified Telecommunication Services     7.5%  
Technology Hardware, Storage & Peripherals     4.7%  
Health Care Providers & Services     4.2%  
Wireless Telecommunication Services     4.2%  
Food & Staples Retailing     3.2%  
Oil, Gas & Consumable Fuels     3.1%  
IT Services     2.5%  
Commercial Services & Supplies     2.4%  
Food Products     2.4%  
Equity Real Estate Investment Trusts     1.9%  
Aerospace & Defense     1.5%  
Diversified Consumer Services     1.4%  
Insurance     1.2%  
Airlines     1.2%  
Transportation Infrastructure     1.2%  
Semiconductors & Semiconductor Equipment     1.2%  
Professional Services     1.2%  
Other     19.7%  
Asset-Backed Securities     1.3%  
Investment Companies     6.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.7%  
BB or Lower     83.8%  
N/R (not rated)     2.5%  

Total

    100%  
 

 

 

NUVEEN     17  


JRO

 

Nuveen Floating Rate Income Opportunity Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JRO at Common Share NAV     1.52%          4.87%          5.33%          7.18%  
JRO at Common Share Price     (3.36)%          (2.22)%          3.53%          7.76%  
Credit Suisse Leveraged Loan Index     2.54%          4.81%          4.32%          5.01%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  18     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     125.9%  
Corporate Bonds     18.9%  
Common Stocks     2.7%  
Asset-Backed Securities     1.5%  
Convertible Bonds     0.0%  
Warrants     0.0%  
$25 Par (or similar) Retail Preferred     0.0%  

Investment Companies

    7.6%  
Other Assets Less Liabilities     (0.3)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     156.3%  
Borrowings     (38.5)%  
Term Preferred Shares, net of deferred offering costs     (17.8)%  
Net Assets     100%  

Top Five Issuers

(% of total long-term investments)

 

IntelSat Limited     3.0%  
Dell International LLC     3.0%  
Albertson's LLC     2.6%  
iHeartCommunications, Inc.     2.5%  
Sprint Corporation     2.2%  

Portfolio Composition

(% of total investments)

 

Media     11.0%  
Software     10.2%  
Diversified Telecommunication Services     8.0%  
Hotels, Restaurants & Leisure     7.7%  
Technology Hardware, Storage & Peripherals     4.7%  
Health Care Providers & Services     4.1%  
Wireless Telecommunication Services     3.6%  
Oil, Gas & Consumable Fuels     3.3%  
IT Services     2.8%  
Food & Staples Retailing     2.8%  
Commercial Services & Supplies     2.7%  
Food Products     2.5%  
Equity Real Estate Investment Trusts     2.0%  
Aerospace & Defense     1.7%  
Diversified Consumer Services     1.4%  
Internet Software & Services     1.2%  
Airlines     1.2%  
Diversified Financial Services     1.2%  
Transportation Infrastructure     1.2%  
Professional Services     1.1%  
Other     19.8%  
Asset-Backed Securities     0.9%  
Investment Companies     4.9%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     13.9%  
BB or Lower     79.3%  
N/R (not rated)     6.8%  

Total

    100%  
 

 

 

NUVEEN     19  


JSD

 

Nuveen Short Duration Credit Opportunities Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        Since
Inception
 
JSD at Common Share NAV     1.89%          4.76%          5.05%          6.39%  
JSD at Common Share Price     (2.73)%          (1.45)%          3.49%          5.05%  
Credit Suisse Leveraged Loan Index     2.54%          4.81%          4.32%          4.57%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  20     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     131.8%  
Corporate Bonds     20.5%  
Common Stocks     2.7%  
Warrants     0.0%  
Investment Companies     5.3%  
Other Assets Less Liabilities     (0.8)%  
Net Assets Plus Borrowings and Term Preferred Shares, net of deferred offering costs     159.5%  
Borrowings     (40.2)%  
Term Preferred Shares, net of deferred offering costs     (19.3)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Albertson's LLC     3.5%  
IntelSat Limited     3.4%  
iHeartCommunications, Inc.     2.6%  
Western Digital Corporation     2.6%  
Sprint Corporation     2.5%  

Portfolio Composition

(% of total investments)

 

Software     10.0%  
Media     9.6%  
Diversified Telecommunication Services     8.1%  
Hotels, Restaurants & Leisure     5.4%  
Technology Hardware, Storage & Peripherals     4.8%  
Health Care Providers & Services     4.5%  
Oil, Gas & Consumable Fuels     4.5%  
Food & Staples Retailing     3.9%  
IT Services     3.7%  
Wireless Telecommunication Services     3.3%  
Commercial Services & Supplies     3.1%  
Aerospace & Defense     2.1%  
Electric Utilities     1.9%  
Equity Real Estate Investment Trusts     1.8%  
Health Care Equipment & Supplies     1.7%  
Professional Services     1.6%  
Internet Software & Services     1.6%  
Food Products     1.5%  
Airlines     1.4%  
Diversified Consumer Services     1.4%  
Pharmaceuticals     1.4%  
Other     19.4%  
Investment Companies     3.3%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

BBB     10.1%  
BB or Lower     89.0%  
N/R (not rated)     0.9%  

Total

    100%  
 

 

NUVEEN     21  


JQC

 

Nuveen Credit Strategies Income Fund

Performance Overview and Holding Summaries as of January 31, 2018

 

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

Average Annual Total Returns as of January 31, 2018

 

    Cumulative        Average Annual  
     6-Month        1-Year        5-Year        10-Year  
JQC at Common Share NAV     1.00%          3.66%          4.58%          4.38%  
JQC at Common Share Price     (3.49)%          (1.66)%          2.59%          5.25%  
Credit Suisse Leveraged Loan Index     2.54%          4.81%          4.32%          5.01%  

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

Common Share Price Performance — Weekly Closing Price

 

LOGO

 

  22     NUVEEN


 

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

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

 

Fund Allocation

(% of net assets)

 

Variable Rate Senior Loan Interests     116.8%  
Corporate Bonds     23.5%  
Exchange-Traded Funds     9.7%  
Common Stocks     1.7%  
Warrants     0.0%  
Investment Companies     6.6%  
Other Assets Less Liabilities     (1.3)%  
Net Assets Plus Borrowings and Reverse Repurchase Agreements     157.0%  
Borrowings     (45.3)%  
Reverse Repurchase Agreements     (11.7)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term
investments)

 

PowerShares Senior Loan Portfolio     4.6%  
Scientific Games Corporation     2.2%  
American Airlines, Inc.     2.1%  
Univar, Inc.     2.0%  
Dell International LLC     2.0%  

Portfolio Composition

(% of total investments)

 

Software     9.7%  
Media     9.2%  
Hotels, Restaurants & Leisure     9.2%  
Diversified Telecommunication Services     7.1%  
Health Care Providers & Services     5.4%  
Commercial Services & Supplies     3.2%  
IT Services     3.0%  
Chemicals     2.9%  
Airlines     2.9%  
Technology Hardware, Storage & Peripherals     2.8%  
Wireless Telecommunication Services     2.7%  
Food Products     2.4%  
Internet Software & Services     2.3%  
Equity Real Estate Investment Trusts     2.2%  
Household Products     2.2%  
Machinery     1.8%  
Pharmaceuticals     1.8%  
Other     18.9%  
Exchange-Traded Funds     6.1%  
Investment Companies     4.2%  

Total

    100%  

Portfolio Credit Quality

(% of total long-term fixed income investments)

 

A     0.6%  
BBB     10.8%  
BB or Lower     87.1%  
N/R (not rated)     1.5%  

Total

    100%  
 

 

NUVEEN     23  


NSL

 

Nuveen Senior Income Fund

  

Portfolio of Investments

   January 31, 2018 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 152.1% (95.6% of Total Investments)

 

        
 

VARIABLE RATE SENIOR LOAN INTERESTS – 131.2% (82.5% of Total Investments) (2)

 

     
      Aerospace & Defense – 3.2% (2.0% of Total Investments)                              
$ 1,432    

Sequa Corporation, Term Loan, Second Lien

    10.753%        3-Month LIBOR        9.000%        4/26/22        CCC      $ 1,463,817  
  4,139    

Sequa Corporation, Term Loan B

    6.549%        3-Month LIBOR        5.000%        11/28/21        B–        4,206,014  
  1,948    

Transdigm Inc., Term Loan E

    4.323%        1-Month LIBOR        2.750%        5/14/22        Ba2        1,967,329  
  493    

Transdigm, Inc., Term Loan F

    4.365%        1-Month LIBOR        2.750%        6/09/23        Ba2        497,635  
  322    

Transdigm, Inc., Term Loan G

    4.666%        1-Month LIBOR        3.000%        8/22/24        Ba2        324,842  
  8,334    

Total Aerospace & Defense

                                                 8,459,637  
      Air Freight & Logistics – 0.7% (0.5% of Total Investments)                              
  850    

PAE Holding Corporation, Term Loan B

    7.124%        2-Month LIBOR        5.500%        10/20/22        B+        856,576  
  1,083    

XPO Logistics, Inc., Refinanced Term Loan

    3.958%        3-Month LIBOR        2.250%        11/01/21        BB+        1,093,013  
  1,933    

Total Air Freight & Logistics

                                                 1,949,589  
      Airlines – 2.4% (1.5% of Total Investments)                              
  1,433    

American Airlines, Inc., Replacement Term Loan

    3.567%        1-Month LIBOR        2.000%        6/27/20        BB+        1,440,607  
  1,940    

American Airlines, Inc., Replacement Term Loan

    3.554%        1-Month LIBOR        2.000%        10/10/21        BB+        1,949,700  
  2,893    

American Airlines, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        12/14/23        BB+        2,906,501  
  6,266    

Total Airlines

                                                 6,296,808  
      Auto Components – 0.8% (0.5% of Total Investments)                              
  748    

DexKo Global, Inc., Term Loan B

    5.241%        3-Month LIBOR        3.500%        7/24/24        B        759,115  
  414    

Horizon Global Corporation, Term Loan B

    6.073%        1-Month LIBOR        4.500%        6/30/21        B+        415,685  
  995    

Superior Industries International, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        5/22/24        B1        1,014,753  
  2,157    

Total Auto Components

                                                 2,189,553  
      Automobiles – 0.6% (0.4% of Total Investments)                              
  1,430    

Chrysler Group LLC, Term Loan

    3.570%        1-Month LIBOR        2.000%        12/31/18        BBB–        1,435,712  
  103    

DexKo Global, Inc., Term Loan B, (16)

    4.155%        N/A        N/A        7/24/24        B1        103,641  
  1,533    

Total Automobiles

                                                 1,539,353  
      Biotechnology – 1.1% (0.7% of Total Investments)                              
  2,978    

Grifols, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        1/31/25        BB        2,999,370  
      Building Products – 1.0% (0.6% of Total Investments)                              
  2,648    

Quikrete Holdings, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        11/15/23        BB–        2,665,609  
      Capital Markets – 0.4% (0.2% of Total Investments)                              
  984    

RPI Finance Trust, Term Loan B6

    3.693%        3-Month LIBOR        2.000%        3/27/23        Baa2        992,062  
      Chemicals – 1.5% (0.9% of Total Investments)                              
  683    

Ineos US Finance LLC, Term Loan

    3.573%        1-Month LIBOR        2.000%        4/01/24        BB+        687,390  
  1,595    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        1,624,874  
  1,635    

Univar, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        7/01/24        BB        1,652,321  
  3,913    

Total Chemicals

                                                 3,964,585  
      Commercial Services & Supplies – 4.2% (2.7% of Total Investments)                       
  743    

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

    5.696%        2-Month LIBOR        4.000%        10/19/23        B2        745,518  
  2,238    

iQor US, Inc., Term Loan, First Lien

    6.695%        3-Month LIBOR        5.000%        4/01/21        B        2,243,118  

 

  24     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                              
$ 250    

iQor US, Inc., Term Loan, Second Lien

    10.445%        3-Month LIBOR        8.750%        4/01/22        CCC+      $ 242,500  
  772    

KAR Auction Services, Inc., Term Loan B5

    4.250%        3-Month LIBOR        2.500%        3/09/23        Ba2        780,720  
  833    

LSC Communications, Refinancing Term Loan

    7.067%        1-Month LIBOR        5.500%        9/30/22        Ba3        839,067  
  1,728    

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

    7.193%        3-Month LIBOR        5.500%        9/30/22        B2        1,734,173  
  1,311    

Protection One, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        5/02/22        BB–        1,324,937  
  1,535    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.323%        1-Month LIBOR        4.750%        4/28/21        B–        1,506,346  
  983    

Universal Services of America, Initial Term Loan, First Lien

    5.443%        3-Month LIBOR        3.750%        7/28/22        B+        974,517  
  757    

West Corporation, Term Loan B

    5.573%        1-Month LIBOR        4.000%        10/10/24        Ba3        766,159  
  11,150    

Total Commercial Services & Supplies

 

                                         11,157,055  
      Communications Equipment – 0.8% (0.5% of Total Investments)                       
  790    

Colorado Buyer, Inc., Term Loan, First Lien

    4.380%        3-Month LIBOR        3.000%        5/01/24        Ba3        796,733  
  365    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.630%        3-Month LIBOR        7.250%        5/01/25        B3        369,028  
  998    

Mitel US Holdings, Inc., Incremental Term Loan

    5.404%        2-Month LIBOR        3.750%        9/25/23        B+        1,010,901  
  2,153    

Total Communications Equipment

 

                                         2,176,662  
      Containers & Packaging – 0.6% (0.4% of Total Investments)                              
  744    

Berry Global, Inc., Term Loan M

    3.816%        1-Month LIBOR        2.250%        10/01/22        BBB–        750,564  
  744    

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

    4.323%        1-Month LIBOR        2.750%        2/05/23        B+        750,915  
  1,488    

Total Containers & Packaging

                                                 1,501,479  
      Construction & Engineering – 0.5% (0.3% of Total Investments)                       
  1,376    

Traverse Midstream Partners, Term Loan B

    5.850%        6-Month LIBOR        4.000%        9/21/24        B+        1,396,005  
      Distributors – 0.2% (0.1% of Total Investments)                              
  607    

American Seafoods Group LLC, Term Loan B

    4.700%        3-Month LIBOR        3.250%        8/21/23        BB–        610,187  
      Diversified Consumer Services – 2.7% (1.7% of Total Investments)                
  3,537    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.809%        1-Month LIBOR        4.250%        6/07/23        B+        3,445,063  
  110    

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

    0.000%        N/A        N/A        7/02/20        N/R        30,274  
  248    

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

    0.000%        N/A        N/A        7/02/20        N/R        3,874  
  2,048    

Houghton Mifflin, Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        5/28/21        B+        1,934,942  
  967    

Laureate Education, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        4/26/24        B+        976,356  
  752    

Vertiv Co., New Term Loan B

    5.568%        1-Month LIBOR        4.000%        11/30/23        Ba3        761,324  
  7,662    

Total Diversified Consumer Services

 

              7,151,833  
      Diversified Financial Services – 1.3% (0.8% of Total Investments)                
  580    

Freedom Mortgage Corporation, Initial Term Loan

    6.956%        3-Month LIBOR        5.500%        2/23/22        B+        587,582  
  731    

OM Group, Inc., Term Loan B

    5.943%        3-Month LIBOR        4.250%        2/21/24        B        735,522  
  2,059    

Veritas US, Inc., Term Loan B1

    6.193%        3-Month LIBOR        4.500%        1/27/23        B+        2,073,675  
  157    

Vizient, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        2/13/23        BB–        158,873  
  3,527    

Total Diversified Financial Services

 

              3,555,652  
      Diversified Telecommunication Services – 9.0% (5.6% of Total Investments)         
  1,100    

CenturyLink, Inc., Initial Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        1,096,013  
  4,855    

CenturyLink, Inc., Term Loan B

    4.317%        1-Month LIBOR        2.750%        1/31/25        BBB–        4,789,661  
  741    

DTI Holdings, Inc., Term Loan B, First Lien

    7.022%        2-Month LIBOR        5.250%        10/02/23        B        747,802  
  2,938    

Frontier Communications Corporation, Term Loan B

    5.330%        1-Month LIBOR        3.750%        1/14/20        BB–        2,886,450  

 

NUVEEN     25  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)                              
$ 2,475    

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

    5.443%        3-Month LIBOR        3.750%        12/01/23        B      $ 2,496,732  
  1,542    

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

    5.212%        3-Month LIBOR        3.750%        11/30/23        B1        1,532,964  
  236    

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

    6.195%        3-Month LIBOR        4.500%        1/02/24        B1        239,953  
  378    

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

    6.625%        N/A        N/A        1/02/24        B1        381,277  
  1,552    

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

    3.696%        3-Month LIBOR        2.250%        2/22/24        BBB–        1,560,954  
  2,388    

WideOpenWest Finance LLC, Term Loan B

    4.811%        1-Month LIBOR        3.250%        8/18/23        B        2,392,357  
  669    

Windstream Corporation, Term Loan B6

    5.560%        1-Month LIBOR        4.000%        3/29/21        BB–        635,634  
  5,000    

Ziggo B.V., Term Loan E

    4.059%        1-Month LIBOR        2.500%        4/15/25        BB–        5,003,125  
  23,874    

Total Diversified Telecommunication Services

 

              23,762,922  
      Electric Utilities – 1.7% (1.1% of Total Investments)                              
  445    

EFS Cogen Holdings LLC, Term Loan B

    4.950%        3-Month LIBOR        3.250%        6/28/23        BB        449,805  
  1,747    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.567%        1-Month LIBOR        3.000%        6/30/18        Ba3        1,754,968  
  462    

Helix Generation, Term Loan B

    5.443%        3-Month LIBOR        3.750%        6/03/24        BB        467,361  
  286    

Vistra Operations Co., Term Loan C

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        288,240  
  1,612    

Vistra Operations Co., Term Loan B

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        1,626,538  
  4,552    

Total Electric Utilities

                                                 4,586,912  
      Electrical Equipment – 0.6% (0.4% of Total Investments)                              
  721    

TTM Technologies, Term Loan B

    4.073%        1-Month LIBOR        2.500%        9/28/24        BBB–        725,209  
  766    

Zebra Technologies Corporation, Term Loan B

    3.753%        3-Month LIBOR        2.000%        10/24/21        BB        772,116  
  1,487    

Total Electrical Equipment

                                                 1,497,325  
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)                
  367    

Dynamic Energy Services International LLC, Term Loan, (cash 13.383%, PIK 1.500%)

    14.883%        3-Month LIBOR        13.500%        3/06/18        N/R        130,258  
  208    

Ocean Rig UDW Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        211,342  
  575    

Total Energy Equipment & Services

                                                 341,600  
      Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)                
  3,269    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.573%        1-Month LIBOR        3.000%        10/24/22        B+        3,156,794  
  996    

Realogy Group LLC, Term Loan B

    3.829%        1-Month LIBOR        2.250%        1/26/25        BB+        1,005,376  
  3,267    

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

    5.323%        1-Month LIBOR        3.750%        12/18/20        Caa2        3,257,662  
  7,532    

Total Equity Real Estate Investment Trusts

 

                                         7,419,832  
      Food & Staples Retailing – 5.4% (3.4% of Total Investments)                              
  951    

Albertson’s LLC, Term Loan B6

    4.462%        3-Month LIBOR        3.000%        6/22/23        BB        946,472  
  11,943    

Albertson’s LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/25/21        BB        11,893,324  
  797    

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

    4.953%        2-Month LIBOR        3.500%        2/03/24        B–        797,238  
  665    

Save-A-Lot, Term Loan B

    7.573%        1-Month LIBOR        6.000%        12/05/23        B2        576,570  
  14,356    

Total Food & Staples Retailing

                                                 14,213,604  
      Food Products – 3.6% (2.3% of Total Investments)                              
  965    

Hearthside Group Holdings LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        6/02/21        B1        972,541  
  2,291    

Jacobs Douwe Egberts, Term Loan B

    3.688%        3-Month LIBOR        2.250%        7/04/22        BB        2,312,717  
  566    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    3.000%        1-Week LIBOR        1.500%        3/03/21        BB+        565,492  
  495    

Pinnacle Foods Finance LLC, Term Loan B

    3.564%        1-Month LIBOR        2.000%        2/02/24        BB+        499,977  

 

  26     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Food Products (continued)                              
$ 5,043    

US Foods, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        6/27/23        BB      $ 5,101,023  
  9,360    

Total Food Products

                                                 9,451,750  
      Health Care Equipment & Supplies – 2.0% (1.2% of Total Investments)                
  950    

Acelity, Term Loan B

    4.943%        3-Month LIBOR        3.250%        2/02/24        B1        952,809  
  561    

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

    7.073%        1-Month LIBOR        5.500%        8/04/21        B1        562,237  
  434    

ConvaTec, Inc., Term Loan B

    3.943%        3-Month LIBOR        2.250%        10/25/23        BB        439,037  
  832    

Greatbatch, New Term Loan B

    4.810%        1-Month LIBOR        3.250%        10/27/22        B+        841,773  
  1,489    

Onex Carestream Finance LP, Term Loan, First Lien

    5.693%        3-Month LIBOR        4.000%        6/07/19        B1        1,496,045  
  929    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.193%        3-Month LIBOR        8.500%        12/07/19        B–        922,140  
  5,195    

Total Health Care Equipment & Supplies

 

              5,214,041  
      Health Care Providers & Services – 5.0% (3.2% of Total Investments)                
  1,750    

Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        1,773,406  
  1,492    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.675%        3-Month LIBOR        4.000%        4/28/22        B1        1,507,177  
  314    

Community Health Systems, Inc., Term Loan G

    4.229%        3-Month LIBOR        2.750%        12/31/19        Ba3        310,420  
  559    

Community Health Systems, Inc., Term Loan H

    4.479%        3-Month LIBOR        3.000%        1/27/21        Ba3        549,823  
  949    

Concentra, Inc., Term Loan B

    4.530%        3-Month LIBOR        3.000%        6/01/22        B+        960,098  
  1,120    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.580%        1-Month LIBOR        3.000%        12/01/23        BB–        1,126,225  
  760    

Healogics, Inc., Term Loan, First Lien

    5.750%        3-Month LIBOR        4.250%        7/01/21        B–        673,820  
  1,520    

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

    6.450%        3-Month LIBOR        4.750%        7/31/23        B2        1,547,217  
  500    

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

    10.070%        1-Month LIBOR        8.500%        7/31/24        CCC        507,190  
  1,916    

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

    8.073%        1-Month LIBOR        6.500%        12/21/20        CCC+        768,982  
  880    

MultiPlan, Inc., Term Loan B

    4.693%        3-Month LIBOR        3.000%        6/07/23        B+        887,491  
  750    

PharMerica, Term Loan, First Lien

    5.055%        1-Month LIBOR        3.500%        12/06/24        B        758,670  
  196    

Quorum Health Corp., Term Loan B

    8.323%        1-Month LIBOR        6.750%        4/29/22        B2        200,248  
  1,686    

Select Medical Corporation, Tranche B, Term Loan

    5.210%        2-Month LIBOR        3.500%        3/01/21        Ba2        1,705,239  
  14,392    

Total Health Care Providers & Services

 

                                13,276,006  
      Health Care Technology – 1.6% (1.0% of Total Investments)                              
  1,127    

Catalent Pharma Solutions, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        5/20/24        BB        1,136,025  
  2,977    

Emdeon, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        3/01/24        Ba3        2,999,831  
  4,104    

Total Health Care Technology

 

                                4,135,856  
      Hotels, Restaurants & Leisure – 9.8% (6.2% of Total Investments)                
  750    

Aramark Corporation, Term Loan B1

    3.573%        1-Month LIBOR        2.000%        3/11/25        BBB–        757,343  
  4,625    

Burger King Corporation, Term Loan B3

    3.870%        1-Month LIBOR        2.250%        2/16/24        Ba3        4,657,712  
  1,413    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        10/07/24        BB        1,423,493  
  2,000    

Caesars Resort Collection, Term Loan, First Lien

    4.323%        1-Month LIBOR        2.750%        12/23/24        BB        2,026,130  
  1,786    

CCM Merger, Inc., Term Loan B

    4.319%        1-Month LIBOR        2.750%        8/09/21        BB–        1,804,124  
  2,190    

CityCenter Holdings LLC, Term Loan B

    4.073%        1-Month LIBOR        2.500%        4/18/24        BB–        2,210,549  
  2,778    

Hilton Hotels Corporation, Term Loan B2

    3.561%        1-Month LIBOR        2.000%        10/25/23        BBB–        2,801,925  
  2,218    

Intrawest Resorts Holdings, Inc., Term Loan B1

    4.823%        1-Month LIBOR        3.250%        7/31/24        B        2,239,673  
  1,463    

Life Time Fitness, Inc., Term Loan B

    4.228%        3-Month LIBOR        2.750%        6/10/22        BB–        1,476,013  
  1,081    

MGM Growth Properties, Term Loan B

    3.823%        1-Month LIBOR        2.250%        4/25/23        BB+        1,090,012  

 

NUVEEN     27  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)                              
$ 2,877    

Scientific Games Corporation, Term Loan B4

    4.823%        1-Month LIBOR        3.250%        8/14/24        B+      $ 2,899,042  
  891    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    4.693%        3-Month LIBOR        3.000%        4/01/24        B        890,783  
  1,735    

Station Casino LLC, Term Loan B

    4.070%        1-Month LIBOR        2.500%        6/08/23        BB        1,747,012  
  25,807    

Total Hotels, Restaurants & Leisure

 

                                26,023,811  
      Household Products – 0.9% (0.6% of Total Investments)                              
  2,207    

Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1)

    5.073%        1-Month LIBOR        3.500%        11/16/20        B1        1,752,354  
  763    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.130%        3-Month LIBOR        3.500%        11/08/23        B        749,439  
  2,970    

Total Household Products

 

                                2,501,793  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)                
  539    

Dynegy, Inc., Tranche Term Loan C2

    4.311%        1-Month LIBOR        2.750%        2/07/24        BB        545,488  
      Industrial Conglomerates – 1.8% (1.1% of Total Investments)                              
  1,913    

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

    5.996%        2-Month LIBOR        4.250%        6/16/24        B        1,939,802  
  750    

Education Advisory Board, Term Loan, First Lien

    5.484%        3-Month LIBOR        3.750%        11/15/24        B        756,098  
  1,191    

Foresight Energy LLC, Term Loan, First Lien

    7.443%        3-Month LIBOR        5.750%        3/28/22        B        1,155,419  
  623    

Robertshaw US Holding Corp., Term Loan, First Lien

    6.125%        2-Month LIBOR        4.500%        8/02/24        B1        628,893  
  250    

Robertshaw US Holding Corp., Term Loan, Second Lien

    10.563%        1-Month LIBOR        9.000%        2/04/25        CCC+        253,750  
  4,727    

Total Industrial Conglomerates

                                                 4,733,962  
      Insurance – 1.8% (1.2% of Total Investments)                              
  496    

Acrisure LLC, Term Loan B

    5.991%        3-Month LIBOR        4.250%        11/22/23        B        505,561  
  2,281    

Alliant Holdings I LLC, Term Loan B

    4.817%        1-Month LIBOR        3.250%        8/14/22        B        2,301,119  
  2,064    

Hub International Holdings, Inc., Initial Term Loan

    4.413%        3-Month LIBOR        3.000%        10/02/20        B1        2,081,067  
  4,841    

Total Insurance

                                                 4,887,747  
      Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)                       
  1,360    

Travelport LLC, Term Loan B

    4.166%        3-Month LIBOR        2.750%        8/31/21        B+        1,367,288  
      Internet Software & Services – 1.7% (1.1% of Total Investments)                
  982    

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

    4.830%        1-Month LIBOR        3.250%        10/19/23        B        991,716  
  953    

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

    4.385%        3-Month LIBOR        3.000%        11/03/23        BB–        962,227  
  1,109    

Sabre, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        2/22/24        Ba2        1,117,686  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    9.823%        1-Month LIBOR        8.250%        4/28/22        CCC        1,004,015  
  440    

TierPoint LLC, Term Loan, First Lien

    5.323%        1-Month LIBOR        3.750%        5/05/24        B+        443,713  
  4,593    

Total Internet Software & Services

 

              4,519,357  
      IT Services – 4.3% (2.7% of Total Investments)                              
  621    

Computer Sciences Government Services, Term Loan B

    3.693%        3-Month LIBOR        2.000%        11/30/23        BB+        625,110  
  750    

DigiCert, Term Loan, First Lien

    6.522%        3-Month LIBOR        4.750%        10/31/24        B+        763,500  
  593    

Engility Corporation, Term Loan B2

    4.823%        1-Month LIBOR        3.250%        8/11/23        BB–        600,476  
  1,374    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        7/10/22        BB        1,385,268  
  3,712    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        4/26/24        BB        3,743,210  
  685    

Gartner, Inc., Term Loan A

    3.573%        1-Month LIBOR        2.000%        3/21/22        BB+        687,424  
  496    

Gartner, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        4/05/24        BB+        501,213  
  390    

PEAK 10, Inc., Term Loan B

    5.193%        3-Month LIBOR        3.500%        8/01/24        B        392,046  
  35    

PEAK 10, Inc., Term Loan, Second Lien

    8.627%        3-Month LIBOR        7.250%        8/01/25        CCC+        35,339  
  1,244    

Tempo Acquisition LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        5/01/24        B1        1,251,268  

 

  28     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      IT Services (continued)                              
$ 750    

Vantiv, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        8/07/24        BBB–      $ 755,989  
  739    

WEX, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/01/23        BB–        748,675  
  11,389    

Total IT Services

                                                 11,489,518  
      Leisure Products – 1.2% (0.7% of Total Investments)                              
  1,029    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.443%        3-Month LIBOR        3.750%        5/28/21        Ba3        1,038,934  
  598    

Academy, Ltd., Term Loan B

    5.546%        1-Month LIBOR        4.000%        7/01/22        B3        483,645  
  1,001    

Equinox Holdings, Inc., Term Loan B1

    4.573%        1-Month LIBOR        3.000%        3/08/24        B+        1,012,724  
  495    

Four Seasons Holdings, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        11/30/23        BB        500,158  
  3,123    

Total Leisure Products

                                                 3,035,461  
      Life Sciences Tools & Services – 0.1% (0.1% of Total Investments)                       
  378    

Inventiv Health, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        8/01/24        Ba2        379,917  
      Machinery – 1.2% (0.8% of Total Investments)                              
  1,347    

Gardner Denver, Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        7/30/24        B+        1,355,932  
  842    

Gates Global LLC, Term Loan B

    4.693%        3-Month LIBOR        2.750%        4/01/24        B+        849,743  
  750    

Navistar, Inc., Tranche B, Term Loan

    5.060%        1-Month LIBOR        3.500%        11/06/24        Ba3        757,815  
  208    

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

    3.810%        1-Month LIBOR        2.250%        8/21/24        BB+        209,943  
  3,147    

Total Machinery

                                                 3,173,433  
      Marine – 0.2% (0.1% of Total Investments)                              
  684    

American Commercial Lines LLC, Term Loan B, First Lien

    10.323%        1-Month LIBOR        8.750%        11/12/20        B–        412,658  
      Media – 13.5% (8.5% of Total Investments)                              
  1,258    

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

    5.017%        2-Month LIBOR        3.250%        7/23/21        B1        1,245,330  
  993    

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

    9.160%        3-Month LIBOR        7.750%        5/10/22        B2        1,029,098  
  1,996    

Catalina Marketing Corporation, Term Loan, First Lien

    5.073%        1-Month LIBOR        3.500%        4/09/21        B1        1,620,367  
  1,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.323%        1-Month LIBOR        6.750%        4/11/22        Caa1        418,250  
  3,439    

Cequel Communications LLC, Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/28/25        BB        3,450,443  
  2,955    

Charter Communications Operating Holdings LLC, Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/30/25        BBB–        2,976,010  
  2,500    

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

    8.443%        3-Month LIBOR        6.750%        1/30/19        Caa1        1,923,613  
  2,861    

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

    9.193%        3-Month LIBOR        7.500%        7/30/19        Caa1        2,194,116  
  1,000    

CSC Holdings LLC, Term Loan B

    4.139%        3-Month LIBOR        2.500%        1/12/26        BB–        1,008,755  
  5,305    

Cumulus Media, Inc., Term Loan B, (5)

    4.830%        1-Month LIBOR        3.250%        12/23/20        N/R        4,584,388  
  1,277    

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

    5.193%        3-Month LIBOR        3.500%        10/18/19        B3        1,214,536  
  443    

Gray Television, Inc., Term Loan B2

    3.814%        1-Month LIBOR        2.250%        2/07/24        BB        446,770  
  965    

IMG Worldwide, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        3.250%        5/06/21        B+        973,054  
  424    

Lions Gate Entertainment Corp., Term Loan B

    3.817%        1-Month LIBOR        2.250%        12/08/23        Ba2        428,993  
  1,976    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.573%        1-Month LIBOR        4.000%        5/02/22        B+        1,977,163  
  1,667    

Meredith, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        1,687,158  
  249    

Nexstar Broadcasting Group, Term Loan

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        250,599  
  1,975    

Nexstar Broadcasting Group, Term Loan B

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        1,989,706  
  499    

Red Ventures, Term Loan B

    5.573%        1-Month LIBOR        4.000%        11/08/24        B+        505,358  
  1,461    

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

    4.979%        3-Month LIBOR        3.500%        8/15/22        B        1,469,718  
  3,720    

Univision Communications, Inc., Term Loan C5

    4.323%        1-Month LIBOR        2.750%        3/15/24        BB–        3,727,907  
  148    

Yell Group PLC, Term Loan A2, First Lien

    8.413%        3-Month LIBOR        7.000%        9/07/21        N/R        150,737  

 

NUVEEN     29  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                              
$ 146    

Yell Group PLC, Term Loan B2, First Lien

    8.500%        N/A        N/A        9/07/65        N/R      $ 383,455  
  38,257    

Total Media

 

                                35,655,524  
      Metals & Mining – 0.8% (0.5% of Total Investments)                              
  871    

CanAm Construction, Inc., Term Loan B

    7.067%        1-Month LIBOR        5.500%        7/01/24        B        882,596  
  1,105    

Zekelman Industries, Term Loan B

    4.408%        3-Month LIBOR        2.750%        6/14/21        BB–        1,113,796  
  1,976    

Total Metals & Mining

 

                                1,996,392  
      Multiline Retail – 0.9% (0.5% of Total Investments)                              
  892    

Belk, Inc., Term Loan B, First Lien

    6.458%        3-Month LIBOR        4.750%        12/12/22        B2        771,473  
  830    

Dollar Tree, Inc., Term Loan B2

    4.250%        N/A        N/A        7/06/22        BBB–        838,819  
  691    

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

    4.718%        3-Month LIBOR        3.250%        9/30/22        BB        670,293  
  2,413    

Total Multiline Retail

 

                                2,280,585  
      Oil, Gas & Consumable Fuels – 3.4% (2.1% of Total Investments)                       
  1,091    

BCP Renaissance Parent, Term Loan B

    5.772%        3-Month LIBOR        4.000%        10/31/24        B+        1,106,138  
  750    

California Resources Corporation, Term Loan

    11.936%        1-Month LIBOR        10.375%        12/31/21        B        853,125  
  750    

California Resources Corporation, Term Loan B

    6.306%        1-Month LIBOR        4.750%        12/31/22        B        765,788  
  324    

Crestwood Holdings LLC, Term Loan B

    9.436%        3-Month LIBOR        8.000%        6/19/19        B–        326,191  
  120    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)

    5.000%        N/A        N/A        5/13/22        N/R        1,805  
  593    

Fieldwood Energy LLC, Term Loan, First Lien

    4.568%        3-Month LIBOR        2.875%        10/01/18        B3        582,027  
  953    

Fieldwood Energy LLC, Term Loan, First Lien

    8.693%        3-Month LIBOR        7.000%        8/31/20        B3        919,229  
  447    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Ca        73,803  
  818    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Caa3        536,513  
  1,731    

Harvey Gulf International Marine, Inc., Term Loan B, (5)

    0.000%        N/A        N/A        6/18/20        CCC–        806,902  
  831    

Peabody Energy Corporation, Term Loan B

    5.073%        1-Month LIBOR        3.500%        3/31/22        Ba3        843,204  
  2,489    

Seadrill Partners LLC, Initial Term Loan, (DD1)

    4.693%        3-Month LIBOR        3.000%        2/21/21        CCC+        2,198,804  
  27    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        26,474  
  10,924    

Total Oil, Gas & Consumable Fuels

 

                                9,040,003  
      Pharmaceuticals – 1.7% (1.1% of Total Investments)                              
  1,350    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.823%        1-Month LIBOR        4.250%        10/21/21        Caa2        1,168,575  
  3,222    

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

    4.387%        1-Month LIBOR        2.750%        8/18/22        Ba3        3,248,948  
  41    

Valeant Pharmaceuticals International, Inc., Term Loan B

    5.060%        1-Month LIBOR        3.500%        4/01/22        BB–        41,296  
  4,613    

Total Pharmaceuticals

 

                                4,458,819  
      Professional Services – 2.2% (1.4% of Total Investments)                              
  1,106    

Ceridian Corporation, Term Loan B2

    5.067%        1-Month LIBOR        3.500%        9/15/20        Ba3        1,114,447  
  1,269    

Nielsen Finance LLC, Term Loan B4

    3.553%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,278,452  
  3,318    

Formula One Group, Term Loan B

    4.074%        1-Month LIBOR        2.500%        2/01/24        B+        3,337,225  
  5,693    

Total Professional Services

 

                                5,730,124  
      Real Estate Management & Development – 0.7% (0.4% of Total Investments)                       
  1,832    

Capital Automotive LP, Term Loan, Second Lien

    7.573%        1-Month LIBOR        6.000%        3/24/25        B3        1,877,929  
      Road & Rail – 0.4% (0.2% of Total Investments)                              
  980    

Quality Distribution, Incremental Term Loan, First Lien

    7.193%        3-Month LIBOR        5.500%        8/18/22        B2        992,250  

 

  30     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Semiconductors & Semiconductor Equipment – 1.8% (1.1% of Total Investments)                
$ 710    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.750%        7/05/21        BB      $ 719,141  
  985    

Micron Technology, Inc., Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/26/22        Baa2        994,338  
  1,040    

Microsemi Corporation, Term Loan B

    3.561%        1-Month LIBOR        2.000%        1/15/23        BB        1,048,691  
  856    

Lumileds, Term Loan B

    5.074%        1-Month LIBOR        4.500%        6/30/24        Ba3        865,792  
  1,136    

On Semiconductor Corp., Term Loan B

    3.573%        1-Month LIBOR        2.000%        3/31/23        Ba1        1,145,978  
  4,727    

Total Semiconductors & Semiconductor Equipment

 

                                4,773,940  
      Software – 13.2% (8.3% of Total Investments)                              
  2,600    

Avaya Inc., Term Loan, First Lien

    6.309%        1-Month LIBOR        4.750%        12/15/24        B        2,616,783  
  528    

Blackboard, Inc., Term Loan B4

    6.734%        3-Month LIBOR        5.000%        6/30/21        B1        519,250  
  3,073    

BMC Software, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        9/10/22        B+        3,093,737  
  2,758    

Compuware Corporation, Term Loan B3

    5.550%        2-Month LIBOR        4.250%        12/15/21        B        2,758,249  
  138    

Compuware Corporation, Term Loan, Second Lien

    9.820%        1-Month LIBOR        8.250%        12/15/22        B–        138,515  
  1,596    

Ellucian, Term Loan B, First Lien

    4.943%        3-Month LIBOR        3.250%        9/30/22        B        1,607,277  
  4,792    

Infor (US), Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        2/01/22        B1        4,822,841  
  1,260    

Informatica, Term Loan B

    4.943%        3-Month LIBOR        3.250%        8/05/22        B        1,268,391  
  990    

Kronos Incorporated, Term Loan, First Lien

    4.903%        3-Month LIBOR        3.500%        11/01/23        B        1,001,043  
  2,035    

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

    6.067%        1-Month LIBOR        4.500%        9/30/24        B1        2,057,514  
  500    

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

    10.067%        1-Month LIBOR        8.500%        9/29/25        B–        504,583  
  645    

Micro Focus International PLC, New Term Loan

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        649,054  
  4,355    

Micro Focus International PLC, Term Loan B

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        4,383,221  
  1,892    

Micro Focus International PLC, Term Loan B2

    4.073%        1-Month LIBOR        2.500%        11/19/21        BB–        1,905,135  
  429    

Misys, New Term Loan, Second Lien

    8.729%        3-Month LIBOR        7.250%        6/13/25        CCC+        433,337  
  37    

Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (16)

    4.814%        3-Month LIBOR        3.250%        11/29/24        B1        37,551  
  463    

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

    4.943%        3-Month LIBOR        3.250%        11/29/24        B1        465,636  
  450    

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

    8.943%        3-Month LIBOR        7.250%        12/01/25        CCC        456,188  
  990    

RP Crown Parent, LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        10/15/23        B1        998,559  
  1,034    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        1,041,431  
  16    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        16,176  
  3,672    

Tibco Software, Inc., Term Loan, First Lien

    5.070%        1-Month LIBOR        3.500%        12/04/20        B1        3,699,269  
  370    

Vertafore, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        6/30/23        B        374,849  
  34,623    

Total Software

 

                                34,848,589  
      Specialty Retail – 1.2% (0.7% of Total Investments)                              
  341    

Neiman Marcus Group, Inc.,
Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Caa1        293,648  
  2,704    

Petco Animal Supplies, Inc., Term Loan B1

    4.772%        3-Month LIBOR        3.000%        1/26/23        B1        2,059,572  
  848    

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

    4.570%        1-Month LIBOR        3.000%        3/11/22        B1        690,436  
  3,893    

Total Specialty Retail

 

                                3,043,656  
      Technology Hardware, Storage & Peripherals – 7.7% (4.9% of Total Investments)                
  969    

Dell Software Group, Repriced Term Loan B

    7.272%        3-Month LIBOR        5.500%        10/31/22        B        992,213  
  1,348    

Dell International LLC, Replacement Term Loan A3

    3.080%        1-Month LIBOR        1.500%        12/31/18        BBB–        1,348,063  
  3,802    

Dell International LLC, Replacement Term Loan A2

    3.330%        1-Month LIBOR        1.750%        9/07/21        BBB–        3,810,182  
  6,675    

Dell International LLC, Refinancing Term Loan B

    3.580%        1-Month LIBOR        2.000%        9/07/23        BBB–        6,709,181  
  6,910    

Western Digital U.S., Term Loan B3

    3.561%        1-Month LIBOR        2.000%        4/29/23        Baa2        6,969,069  

 

NUVEEN     31  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Technology Hardware, Storage & Peripherals (continued)                       
$ 649    

Conduent, Inc., Term Loan B

    4.573%        1-Month LIBOR        3.000%        12/07/23        BB+      $ 656,547  
  20,353    

Total Technology Hardware, Storage & Peripherals

 

                                20,485,255  
      Transportation Infrastructure – 2.3% (1.4% of Total Investments)                       
  4,703    

Avolon, Repriced Term Loan B2

    3.811%        1-Month LIBOR        2.250%        3/21/22        BBB–        4,701,554  
  65    

Ceva Group PLC, Canadian Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        63,376  
  520    

Ceva Group PLC, US Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        507,004  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        N/A        N/A        3/19/21        B–        362,136  
  377    

Ceva Group PLC, Dutch B.V., Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        367,578  
  6,036    

Total Transportation Infrastructure

 

                                6,001,648  
      Wireless Telecommunication Services – 3.9% (2.5% of Total Investments)                       
  825    

Asurion LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/04/22        Ba3        832,759  
  756    

Asurion LLC, Term Loan B5

    4.573%        1-Month LIBOR        3.000%        11/03/23        Ba3        763,249  
  5,459    

Sprint Corporation, Term Loan, First Lien

    4.125%        1-Month LIBOR        2.500%        2/02/24        Ba2        5,479,793  
  1,558    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        1,555,086  
  811    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        809,809  
  920    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.059%        1-Month LIBOR        2.500%        1/15/26        BB        925,911  
  10,329    

Total Wireless Telecommunication Services

 

                                10,366,607  
$ 354,343    

Total Variable Rate Senior Loan Interests (cost $351,455,311)

 

                                347,127,041  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 18.3% (11.5% of Total Investments)

 

  
      Diversified Telecommunication Services – 4.1% (2.6% of Total Investments)         
$ 840    

Intelsat Connect Finance SA, 144A

          12.500%        4/01/22        CCC–      $ 646,800  
  3,655    

IntelSat Jackson Holdings

          5.500%        8/01/23        CCC+        2,869,175  
  4,050    

IntelSat Jackson Holdings

          9.750%        7/15/25        CCC+        3,724,785  
  215    

IntelSat Limited

          6.750%        6/01/18        CCC–        210,700  
  5,009    

IntelSat Limited

          7.750%        6/01/21        CCC–        2,265,070  
  3,000    

IntelSat Limited

                      8.125%        6/01/23        CCC–        1,275,000  
  16,769    

Total Diversified Telecommunication Services

 

                       10,991,530  
      Health Care Providers & Services – 1.4% (0.9% of Total Investments)                
  3,500    

HCA Inc.

                      6.500%        2/15/20        BBB–        3,731,875  
      Hotels, Restaurants & Leisure – 1.3% (0.8% of Total Investments)                
  500    

Scientific Games Corporation, 144A

          7.000%        1/01/22        Ba3        527,500  
  2,650    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,898,437  
  3,150    

Total Hotels, Restaurants & Leisure

 

                       3,425,937  
      Household Durables – 0.5% (0.3% of Total Investments)                       
  1,410    

Lennar Corporation

                      4.125%        12/01/18        BB+        1,424,100  
      Media – 3.8% (2.4% of Total Investments)                       
  100    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

          3.579%        7/23/20        BBB–        101,335  
  6,533    

Clear Channel Communications Inc., (5), (8)

          12.000%        8/01/21        N/R         
  1,417    

Dish DBS Corporation

          5.125%        5/01/20        Ba3        1,440,026  
  1,000    

Dish DBS Corporation

          5.875%        11/15/24        Ba3        948,125  
  1,000    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        1,043,790  
  1,524    

iHeartCommunications, Inc., 144A, (5)

          11.250%        3/01/21        Caa1        1,066,800  

 

  32     NUVEEN


Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Media (continued)                                         
$ 2,122    

iHeartCommunications, Inc., (5)

          9.000%        12/15/19        Caa1      $ 1,633,940  
  10,071    

iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)

          14.000%        2/01/21        Ca        604,270  
  3,050    

iHeartCommunications, Inc., (5)

          9.000%        3/01/21        Caa1        2,211,250  
  820    

Neptune Finco Corporation, 144A

                      10.125%        1/15/23        B2        925,063  
  27,637    

Total Media

                                                 9,974,599  
      Oil, Gas & Consumable Fuels – 2.6% (1.6% of Total Investments)                       
  3,765    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        3,150,834  
  400    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        338,000  
  1,404    

Denbury Resources Inc.

          9.250%        3/31/22        B        1,439,100  
  400    

EP Energy LLC and Everest Acquisition Finance, Inc.

          9.375%        5/01/24        Caa2        339,000  
  1,492    

FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)

                      8.820%        6/15/20        B+        1,514,380  
  7,461    

Total Oil, Gas & Consumable Fuels

                                                 6,781,314  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                       
  300    

Concordia Healthcare Corporation, 144A, (5)

                      7.000%        4/15/23        C        28,500  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)                       
  761    

Advanced Micro Devices, Inc.

                      7.500%        8/15/22        B–        844,710  
      Software – 1.8% (1.1% of Total Investments)                       
  115    

Avaya Inc., (8)

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

Avaya Inc., (8)

          10.500%        3/01/21        N/R         
  2,840    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        2,843,550  
  351    

Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)

          9.000%        10/15/19        CCC+        351,877  
  1,475    

Infor Us Inc., 144A

                      5.750%        8/15/20        BB        1,514,014  
  7,676    

Total Software

                                                 4,709,441  
      Technology Hardware, Storage & Peripherals – 0.6% (0.4% of Total Investments)                       
  1,475    

Western Digital Corporation, 144A

                      7.375%        4/01/23        Baa2        1,605,906  
      Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)                       
  1,000    

Sprint Capital Corporation

          6.900%        5/01/19        B+        1,042,500  
  850    

Sprint Communications Inc.

          7.000%        8/15/20        B+        897,109  
  500    

Sprint Corporation

          7.875%        9/15/23        B+        528,125  
  2,000    

Sprint Corporation

          7.125%        6/15/24        B+        2,027,500  
  400    

Syniverse Foreign Holdings Corporation, 144A

          9.125%        1/15/22        B        414,500  
  75    

T-Mobile USA Inc.

                      6.836%        4/28/23        BB+        78,278  
  4,825    

Total Wireless Telecommunication Services

 

                                4,988,012  
$ 74,964    

Total Corporate Bonds (cost $56,888,580)

 

                                48,505,924  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.6% (1.6% of Total Investments)

 

        
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)  
  53,514    

Cengage Learning Holdings II LP, (6)

                 $ 394,666  
  1,562,493    

Education Management Corporation, (6)

                                                 6,250  
 

Total Diversified Consumer Services

 

                                400,916  
      Energy Equipment & Services – 1.0% (0.6% of Total Investments)  
  39,988    

C&J Energy Services Inc., (6)

                   1,224,432  
  36,361    

Ocean Rig UDW Inc., (6)

                   978,838  

 

NUVEEN     33  


NSL    Nuveen Senior Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Shares     Description (1)                                           Value  
      Energy Equipment & Services (continued)  
  1,961    

Vantage Drill International, (6)

                                               $ 431,420  
 

Total Energy Equipment & Services

 

                                2,634,690  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  38,382    

Millenium Health LLC, (6)

                                                 4,184  
      Media – 0.3% (0.2% of Total Investments)  
  566,373    

Hibu PLC, (6), (7)

                   1  
  6,268    

Metro-Goldwyn-Mayer, (6)

                   718,733  
  14,825    

Tribune Media Company

                                                 741  
 

Total Media

 

                                719,475  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)  
  27    

Southcross Holdings Borrower LP, (6)

                                                 10,125  
      Software – 1.0% (0.6% of Total Investments)  
  132,029    

Avaya Holdings Corporation, (6)

                                                 2,756,765  
      Specialty Retail – 0.1% (0.1% of Total Investments)  
  5,454    

Gymboree Corporation, (6), (8)

                   77,413  
  14,849    

Gymboree Corporation, (6)

                                                 252,433  
 

Total Specialty Retail

 

                                329,846  
 

Total Common Stocks (cost $11,069,507)

 

                                6,856,001  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

        
  11,806    

Avaya Holdings Corporation, (8)

                                               $ 12,672  
 

Total Warrants (cost $1,103,821)

 

                                12,672  
Shares     Description (1)                   Coupon              Ratings (4)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

 

     
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)  
  1,738    

Education Management Corporation, (8)

                      7.500%                 N/R      $  
 

Total $25 Par (or similar) Retail Preferred (cost $4,219)

 

                                 
 

Total Long-Term Investments (cost $420,521,438)

 

                                402,501,638  
Shares     Description (1)                                           Value  
      SHORT-TERM INVESTMENTS – 7.0% (4.4% of Total Investments)                              
      INVESTMENT COMPANIES – 7.0% (4.4% of Total Investments)                              
  18,368,074    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

 

                                       $ 18,368,074  
 

Total Short-Term Investments (cost $18,368,074)

 

                                18,368,074  
 

Total Investments (cost $438,889,512) – 159.1%

 

                                420,869,712  
 

Borrowings – (43.1)% (10), (11)

 

                                (114,000,000
 

Term Preferred Shares, net of deferred offering costs – (16.0)% (12)

 

                                (42,310,698
 

Other Assets Less Liabilities – (0.0)% (13)

 

                                (294
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 264,558,720  

 

  34     NUVEEN


Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 43,000,000       Pay       1-Month LIBOR       2.00% (14)      Monthly       11/01/21 (15)    $ (1,070,548   $ (1,070,548

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 27.1%.

 

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

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 10.1%.

 

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

 

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

 

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

 

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

 

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

 

DD1 Portion of investment purchased on a delayed delivery basis.

 

LIBOR London Inter-Bank Offered Rate

 

N/A Not applicable

 

PIK Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     35  


JFR

 

Nuveen Floating Rate Income Fund

  

Portfolio of Investments

   January 31, 2018 (Unaudited)

 

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

LONG–TERM INVESTMENTS – 149.7% (94.9% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 124.8% (79.0% of Total Investments) (2)

 

        
      Aerospace & Defense – 2.4% (1.5% of Total Investments)                              
$ 7,669    

Sequa Corporation, Term Loan B

    6.549%        3-Month LIBOR        5.000%        11/28/21        B–      $ 7,793,432  
  2,654    

Sequa Corporation, Term Loan, Second Lien

    10.753%        3-Month LIBOR        9.000%        4/26/22        CCC        2,712,343  
  2,921    

Transdigm Inc., Term Loan E

    4.323%        1-Month LIBOR        2.750%        5/14/22        Ba2        2,950,994  
  985    

Transdigm, Inc., Term Loan F

    4.365%        1-Month LIBOR        2.750%        6/09/23        Ba2        995,271  
  1,316    

Transdigm, Inc., Term Loan G

    4.666%        1-Month LIBOR        3.000%        8/22/24        Ba2        1,329,325  
  15,545    

Total Aerospace & Defense

                                                 15,781,365  
      Air Freight & Logistics – 0.6% (0.4% of Total Investments)                              
  1,700    

PAE Holding Corporation, Term Loan B

    7.124%        2-Month LIBOR        5.500%        10/20/22        B+        1,713,152  
  2,166    

XPO Logistics, Inc., Refinanced Term Loan

    3.958%        3-Month LIBOR        2.250%        11/01/21        BB+        2,186,026  
  3,866    

Total Air Freight & Logistics

                                                 3,899,178  
      Airlines – 2.0% (1.2% of Total Investments)                              
  3,354    

American Airlines, Inc., Replacement Term Loan

    3.567%        1-Month LIBOR        2.000%        6/27/20        BB+        3,371,143  
  4,098    

American Airlines, Inc., Replacement Term Loan

    3.554%        1-Month LIBOR        2.000%        10/10/21        BB+        4,118,244  
  5,311    

American Airlines, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        12/14/23        BB+        5,335,676  
  12,763    

Total Airlines

                                                 12,825,063  
      Auto Components – 0.6% (0.4% of Total Investments)                              
  1,247    

DexKo Global, Inc., Term Loan B

    5.241%        3-Month LIBOR        3.500%        7/24/24        B        1,265,192  
  689    

Horizon Global Corporation, Term Loan B

    6.073%        1-Month LIBOR        4.500%        6/30/21        B+        692,808  
  1,990    

Superior Industries International, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        5/22/24        B1        2,029,506  
  3,926    

Total Auto Components

                                                 3,987,506  
      Automobiles – 0.7% (0.5% of Total Investments)                              
  4,588    

Chrysler Group LLC, Term Loan

    3.570%        1-Month LIBOR        2.000%        12/31/18        BBB–        4,604,837  
  172    

DexKo Global, Inc., Term Loan B, (20)

    4.155%        N/A        N/A        7/24/24        B1        172,734  
  4,760    

Total Automobiles

                                                 4,777,571  
      Biotechnology – 0.8% (0.5% of Total Investments)                              
  5,459    

Grifols, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        1/31/25        BB        5,498,845  
      Building Products – 1.1% (0.7% of Total Investments)                              
  7,296    

Quikrete Holdings, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        11/15/23        BB–        7,344,627  
      Capital Markets – 0.3% (0.2% of Total Investments)                              
  1,968    

RPI Finance Trust, Term Loan B6

    3.693%        3-Month LIBOR        2.000%        3/27/23        Baa2        1,984,122  
      Chemicals – 1.2% (0.8% of Total Investments)                              
  1,218    

Ineos US Finance LLC, Term Loan

    3.573%        1-Month LIBOR        2.000%        4/01/24        BB+        1,225,168  
  2,319    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        2,362,336  
  4,421    

Univar, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        7/01/24        BB        4,468,972  
  7,958    

Total Chemicals

                                                 8,056,476  
      Commercial Services & Supplies – 3.8% (2.4% of Total Investments)                
  733    

ADS Waste Holdings, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        11/10/23        BB+        739,164  
  1,485    

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

    5.696%        2-Month LIBOR        4.000%        10/19/23        B2        1,491,037  

 

  36     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                
$ 4,475    

iQor US, Inc., Term Loan, First Lien

    6.695%        3-Month LIBOR        5.000%        4/01/21        B      $ 4,486,236  
  500    

iQor US, Inc., Term Loan, Second Lien

    10.445%        3-Month LIBOR        8.750%        4/01/22        CCC+        485,000  
  1,157    

KAR Auction Services, Inc., Term Loan B5

    4.250%        3-Month LIBOR        2.500%        3/09/23        Ba2        1,171,081  
  1,458    

LSC Communications, Refinancing Term Loan

    7.067%        1-Month LIBOR        5.500%        9/30/22        Ba3        1,468,367  
  3,456    

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

    7.193%        3-Month LIBOR        5.500%        9/30/22        B2        3,468,347  
  3,314    

Protection One, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        5/02/22        BB–        3,348,942  
  3,268    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.323%        1-Month LIBOR        4.750%        4/28/21        B–        3,206,911  
  1,965    

Universal Services of America, Initial Term Loan, First Lien

    5.443%        3-Month LIBOR        3.750%        7/28/22        B+        1,949,034  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.272%        3-Month LIBOR        8.500%        7/28/23        B–        1,741,250  
  1,514    

West Corporation, Term Loan B

    5.573%        1-Month LIBOR        4.000%        10/10/24        Ba3        1,532,318  
  25,075    

Total Commercial Services & Supplies

                                                 25,087,687  
      Communications Equipment – 0.7% (0.4% of Total Investments)                              
  1,580    

Colorado Buyer, Inc., Term Loan, First Lien

    4.380%        3-Month LIBOR        3.000%        5/01/24        Ba3        1,593,466  
  1,094    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.630%        3-Month LIBOR        7.250%        5/01/25        B3        1,107,083  
  1,746    

Mitel US Holdings, Inc., Incremental Term Loan

    5.404%        2-Month LIBOR        3.750%        9/25/23        B+        1,769,077  
  4,420    

Total Communications Equipment

                                                 4,469,626  
      Construction & Engineering – 0.3% (0.2% of Total Investments)                              
  1,822    

Traverse Midstream Partners, Term Loan B

    5.850%        6-Month LIBOR        4.000%        9/21/24        B+        1,847,815  
      Containers & Packaging – 0.8% (0.5% of Total Investments)                              
  1,488    

Berry Global, Inc., Term Loan M

    3.816%        1-Month LIBOR        2.250%        10/01/22        BBB–        1,501,128  
  3,822    

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

    4.323%        1-Month LIBOR        2.750%        2/05/23        B+        3,855,899  
  5,310    

Total Containers & Packaging

                                                 5,357,027  
      Distributors – 0.2% (0.1% of Total Investments)                              
  1,335    

American Seafoods Group LLC, Term Loan B

    4.700%        3-Month LIBOR        3.250%        8/21/23        BB–        1,342,411  
      Diversified Consumer Services – 2.0% (1.3% of Total Investments)                              
  5,813    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.809%        1-Month LIBOR        4.250%        6/07/23        B+        5,662,255  
  696    

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

    0.000%        N/A        N/A        7/02/20        N/R        191,405  
  1,567    

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

    0.000%        N/A        N/A        7/02/20        N/R        24,494  
  4,095    

Houghton Mifflin, Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        5/28/21        B+        3,869,884  
  2,321    

Laureate Education, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        4/26/24        B+        2,343,255  
  1,316    

Vertiv Co., New Term Loan B

    5.568%        1-Month LIBOR        4.000%        11/30/23        Ba3        1,332,316  
  15,808    

Total Diversified Consumer Services

                                                 13,423,609  
      Diversified Financial Services – 1.7% (1.1% of Total Investments)                              
  2,744    

Citco III Limited, Term Loan

    4.573%        1-Month LIBOR        3.000%        3/31/22        N/R        2,771,078  
  1,739    

Freedom Mortgage Corporation, Initial Term Loan

    6.956%        3-Month LIBOR        5.500%        2/23/22        B+        1,762,747  
  1,950    

OM Group, Inc., Term Loan B

    5.943%        3-Month LIBOR        4.250%        2/21/24        B        1,961,392  
  4,117    

Veritas US, Inc., Term Loan B1

    6.193%        3-Month LIBOR        4.500%        1/27/23        B+        4,147,349  
  392    

Vizient, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        2/13/23        BB–        397,182  
  10,942    

Total Diversified Financial Services

                                                 11,039,748  

 

NUVEEN     37  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services – 8.4% (5.3% of Total Investments)                              
$ 2,250    

CenturyLink, Inc., Initial Term A Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–      $ 2,241,844  
  9,699    

CenturyLink, Inc., Term Loan B

    4.317%        1-Month LIBOR        2.750%        1/31/25        BBB–        9,568,801  
  1,481    

DTI Holdings, Inc., Term Loan B, First Lien

    7.022%        2-Month LIBOR        5.250%        10/02/23        B        1,495,603  
  5,840    

Frontier Communications Corporation, Term Loan B

    5.330%        1-Month LIBOR        3.750%        1/14/20        BB–        5,736,897  
  4,455    

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

    5.443%        3-Month LIBOR        3.750%        12/01/23        B        4,494,117  
  3,033    

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

    5.212%        3-Month LIBOR        3.750%        11/30/23        B1        3,014,984  
  465    

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

    6.195%        3-Month LIBOR        4.500%        1/02/24        B1        471,931  
  744    

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

    6.625%        N/A        N/A        1/02/24        B1        749,883  
  5,683    

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

    3.696%        3-Month LIBOR        2.250%        2/22/24        BBB–        5,714,193  
  591    

Presidio, Inc., Term Loan B

    4.443%        1-Month LIBOR        2.750%        2/02/24        B+        595,148  
  8,312    

WideOpenWest Finance LLC, Term Loan B

    4.811%        1-Month LIBOR        3.250%        8/18/23        B        8,327,585  
  1,114    

Windstream Corporation, Term Loan B6

    5.560%        1-Month LIBOR        4.000%        3/29/21        BB–        1,059,390  
  12,000    

Ziggo B.V., Term Loan E

    4.059%        1-Month LIBOR        2.500%        4/15/25        BB–        12,007,500  
  55,667    

Total Diversified Telecommunication Services

 

                                55,477,876  
      Electrical Equipment – 0.4% (0.3% of Total Investments)                              
  1,263    

TTM Technologies, Term Loan B

    4.073%        1-Month LIBOR        2.500%        9/28/24        BBB–        1,269,115  
  1,376    

Zebra Technologies Corporation, Term Loan B

    3.753%        3-Month LIBOR        2.000%        10/24/21        BB        1,387,207  
  2,639    

Total Electrical Equipment

                                                 2,656,322  
      Electric Utilities – 1.5% (0.9% of Total Investments)                              
  890    

EFS Cogen Holdings LLC, Term Loan B

    4.950%        3-Month LIBOR        3.250%        6/28/23        BB        899,611  
  3,784    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.567%        1-Month LIBOR        3.000%        6/30/18        Ba3        3,802,432  
  925    

Helix Generation, Term Loan B

    5.443%        3-Month LIBOR        3.750%        6/03/24        BB        934,722  
  3,225    

Vistra Operations Co., Term Loan B

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        3,253,077  
  571    

Vistra Operations Co., Term Loan C

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        576,480  
  9,395    

Total Electric Utilities

                                                 9,466,322  
      Energy Equipment & Services – 0.3% (0.2% of Total Investments)                              
  1,250    

Diversey, Inc., Term Loan B

    4.654%        2-Month LIBOR        3.000%        9/06/24        B1        1,247,919  
  693    

Dynamic Energy Services International LLC, Term Loan (cash 13.383%, PIK 1.500%)

    14.883%        3-Month LIBOR        13.500%        3/06/18        N/R        246,042  
  433    

Ocean Rig UDW Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        439,654  
  2,376    

Total Energy Equipment & Services

                                                 1,933,615  
      Equity Real Estate Investment Trusts – 2.4% (1.5% of Total Investments)                              
  6,693    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.573%        1-Month LIBOR        3.000%        10/24/22        B+        6,464,022  
  1,862    

Realogy Group LLC, Term Loan B

    3.829%        1-Month LIBOR        2.250%        1/26/25        BB+        1,879,550  
  7,330    

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

    5.323%        1-Month LIBOR        3.750%        12/18/20        Caa2        7,309,695  
  15,885    

Total Equity Real Estate Investment Trusts

                                                 15,653,267  
      Food & Staples Retailing – 5.0% (3.2% of Total Investments)                              
  25,352    

Albertson’s LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/25/21        BB        25,247,404  
  2,963    

Albertson’s LLC, Term Loan B5

    4.675%        3-Month LIBOR        3.000%        12/21/22        BB        2,950,877  
  1,902    

Albertson’s LLC, Term Loan B6

    4.462%        3-Month LIBOR        3.000%        6/22/23        BB        1,892,944  
  1,094    

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

    4.953%        2-Month LIBOR        3.500%        2/03/24        B–        1,094,750  

 

  38     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Food & Staples Retailing (continued)                              
$ 720    

Del Monte Foods Company, Term Loan, First Lien

    4.696%        3-Month LIBOR        3.250%        2/18/21        CCC+      $ 615,899  
  1,329    

Save-A-Lot, Term Loan B

    7.573%        1-Month LIBOR        6.000%        12/05/23        B2        1,153,140  
  33,360    

Total Food & Staples Retailing

                                                 32,955,014  
      Food Products – 3.8% (2.4% of Total Investments)                              
  1,930    

Hearthside Group Holdings LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        6/02/21        B1        1,945,083  
  4,010    

Jacobs Douwe Egberts, Term Loan B

    3.688%        3-Month LIBOR        2.250%        7/04/22        BB        4,047,254  
  1,131    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    3.000%        1-Week LIBOR        1.500%        3/03/21        BB+        1,130,984  
  5,046    

Pinnacle Foods Finance LLC, Term Loan B

    3.564%        1-Month LIBOR        2.000%        2/02/24        BB+        5,096,426  
  12,696    

US Foods, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        6/27/23        BB        12,841,692  
  24,813    

Total Food Products

                                                 25,061,439  
      Health Care Equipment & Supplies – 1.5% (1.0% of Total Investments)                              
  2,066    

Acelity, Term Loan B

    4.943%        3-Month LIBOR        3.250%        2/02/24        B1        2,072,058  
  561    

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

    7.073%        1-Month LIBOR        5.500%        8/04/21        B1        562,237  
  1,085    

ConvaTec, Inc., Term Loan B

    3.943%        3-Month LIBOR        2.250%        10/25/23        BB        1,097,594  
  1,665    

Greatbatch, New Term Loan B

    4.810%        1-Month LIBOR        3.250%        10/27/22        B+        1,683,546  
  2,234    

Onex Carestream Finance LP, Term Loan, First Lien

    5.693%        3-Month LIBOR        4.000%        6/07/19        B1        2,244,067  
  2,328    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.193%        3-Month LIBOR        8.500%        12/07/19        B–        2,311,681  
  9,939    

Total Health Care Equipment & Supplies

                                                 9,971,183  
      Health Care Providers & Services – 5.6% (3.5% of Total Investments)                              
  1,909    

Acadia Healthcare, Inc., Term Loan B1

    4.323%        1-Month LIBOR        2.750%        2/11/22        Ba2        1,927,299  
  3,500    

Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        3,546,812  
  3,184    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.675%        3-Month LIBOR        4.000%        4/28/22        B1        3,215,312  
  1,036    

Community Health Systems, Inc., Term Loan G

    4.229%        3-Month LIBOR        2.750%        12/31/19        Ba3        1,024,261  
  1,845    

Community Health Systems, Inc., Term Loan H

    4.479%        3-Month LIBOR        3.000%        1/27/21        Ba3        1,814,192  
  1,424    

Concentra, Inc., Term Loan B

    4.530%        1-Month LIBOR        3.000%        6/01/22        B+        1,440,147  
  679    

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

    4.323%        1-Month LIBOR        2.750%        6/24/21        BBB–        688,656  
  1,768    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.580%        1-Month LIBOR        3.000%        12/01/23        BB–        1,778,028  
  2,674    

HCA, Inc., Term Loan A5

    3.073%        1-Month LIBOR        1.500%        6/10/20        BBB–        2,681,405  
  3,964    

HCA, Inc., Term Loan B9

    3.573%        1-Month LIBOR        2.000%        3/18/23        BBB–        3,999,368  
  1,901    

Healogics, Inc., Term Loan, First Lien

    5.750%        1-Month LIBOR        4.250%        7/01/21        B–        1,684,550  
  3,241    

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

    6.450%        3-Month LIBOR        4.750%        7/31/23        B2        3,300,154  
  2,000    

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

    10.070%        1-Month LIBOR        8.500%        7/31/24        CCC        2,028,760  
  3,698    

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

    8.073%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,483,775  
  1,321    

MultiPlan, Inc., Term Loan B

    4.693%        3-Month LIBOR        3.000%        6/07/23        B+        1,331,236  
  1,500    

PharMerica, Term Loan, First Lien

    5.055%        1-Month LIBOR        3.500%        12/06/24        B        1,517,340  
  445    

Quorum Health Corp., Term Loan B

    8.323%        1-Month LIBOR        6.750%        4/29/22        B2        454,970  
  2,897    

Select Medical Corporation, Tranche B, Term Loan

    5.210%        2-Month LIBOR        3.500%        3/01/21        Ba2        2,929,150  
  38,986    

Total Health Care Providers & Services

                                                 36,845,415  
      Health Care Technology – 1.7% (1.1% of Total Investments)                              
  4,359    

Catalent Pharma Solutions, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        5/20/24        BB        4,394,037  

 

NUVEEN     39  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Technology (continued)                              
$ 6,947    

Emdeon, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        3/01/24        Ba3      $ 6,999,606  
  11,306    

Total Health Care Technology

                                                 11,393,643  
      Hotels, Restaurants & Leisure – 10.6% (6.7% of Total Investments)                              
  1,250    

Aramark Corporation, Term Loan B1

    3.573%        1-Month LIBOR        2.000%        3/11/25        BBB–        1,262,238  
  1,000    

Arby’s Restaurant Group, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        1,014,690  
  18,692    

Burger King Corporation, Term Loan B3

    3.870%        1-Month LIBOR        2.250%        2/16/24        Ba3        18,822,771  
  2,543    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        10/07/24        BB        2,562,287  
  5,000    

Caesars Resort Collection, Term Loan, First Lien

    4.323%        1-Month LIBOR        2.750%        12/23/24        BB        5,065,325  
  2,281    

CCM Merger, Inc., Term Loan B

    4.319%        1-Month LIBOR        2.750%        8/09/21        BB–        2,304,313  
  4,629    

CityCenter Holdings LLC, Term Loan B

    4.073%        1-Month LIBOR        2.500%        4/18/24        BB–        4,671,955  
  11,008    

Hilton Hotels Corporation, Term Loan B2

    3.561%        1-Month LIBOR        2.000%        10/25/23        BBB–        11,101,753  
  3,697    

Intrawest Resorts Holdings, Inc., Term Loan B1

    4.823%        1-Month LIBOR        3.250%        7/31/24        B        3,732,789  
  2,194    

Life Time Fitness, Inc., Term Loan B

    4.228%        3-Month LIBOR        2.750%        6/10/22        BB–        2,214,019  
  3,355    

MGM Growth Properties, Term Loan B

    3.823%        1-Month LIBOR        2.250%        4/25/23        BB+        3,384,180  
  6,488    

Scientific Games Corporation, Term Loan B4

    4.823%        1-Month LIBOR        3.250%        8/14/24        B+        6,538,154  
  3,206    

Seaworld Parks and Entertainment, Inc., Term Loan B5

    4.693%        3-Month LIBOR        3.000%        4/01/24        B        3,207,401  
  3,470    

Station Casino LLC, Term Loan B

    4.070%        1-Month LIBOR        2.500%        6/08/23        BB        3,494,023  
  68,813    

Total Hotels, Restaurants & Leisure

                                                 69,375,898  
      Household Products – 0.9% (0.6% of Total Investments)                              
  4,414    

Revlon Consumer Products Corporation, Term Loan B, First Lien, (DD1)

    5.073%        1-Month LIBOR        3.500%        11/16/20        B1        3,504,707  
  2,308    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.130%        3-Month LIBOR        3.500%        11/08/23        B        2,266,684  
  6,722    

Total Household Products

                                                 5,771,391  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)         
  1,146    

Dynegy, Inc., Tranche Term Loan C2

    4.311%        1-Month LIBOR        2.750%        2/07/24        BB        1,159,163  
      Industrial Conglomerates – 1.4% (0.9% of Total Investments)                              
  3,488    

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

    5.996%        2-Month LIBOR        4.250%        6/16/24        B        3,536,454  
  1,500    

Education Advisory Board, Term Loan, First Lien

    5.484%        3-Month LIBOR        3.750%        11/15/24        B        1,512,195  
  2,332    

Foresight Energy LLC, Term Loan, First Lien

    7.443%        3-Month LIBOR        5.750%        3/28/22        B        2,262,695  
  1,247    

Robertshaw US Holding Corp., Term Loan, First Lien

    6.125%        2-Month LIBOR        4.500%        8/02/24        B1        1,257,785  
  750    

Robertshaw US Holding Corp., Term Loan, Second Lien

    10.563%        1-Month LIBOR        9.000%        2/04/25        CCC+        761,250  
  9,317    

Total Industrial Conglomerates

                                                 9,330,379  
      Insurance – 2.0% (1.2% of Total Investments)                              
  993    

Acrisure LLC, Term Loan B

    5.991%        3-Month LIBOR        4.250%        11/22/23        B        1,011,122  
  5,206    

Alliant Holdings I LLC, Term Loan B

    4.817%        1-Month LIBOR        3.250%        8/14/22        B        5,251,781  
  6,681    

Hub International Holdings, Inc., Initial Term Loan

    4.413%        3-Month LIBOR        3.000%        10/02/20        B1        6,735,657  
  12,880    

Total Insurance

                                                 12,998,560  
      Internet and Direct Marketing Retail – 0.6% (0.4% of Total Investments)         
  3,855    

Travelport LLC, Term Loan B

    4.166%        3-Month LIBOR        2.750%        8/31/21        B+        3,875,124  

 

  40     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Internet Software & Services – 1.6% (1.0% of Total Investments)                              
$ 1,965    

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

    4.830%        1-Month LIBOR        3.250%        10/19/23        B      $ 1,983,432  
  1,524    

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

    4.385%        3-Month LIBOR        3.000%        11/03/23        BB–        1,539,564  
  3,660    

Sabre, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        2/22/24        Ba2        3,690,002  
  2,448    

SkillSoft Corporation, Term Loan, Second Lien

    9.823%        1-Month LIBOR        8.250%        4/28/22        CCC        2,216,422  
  1,028    

TierPoint LLC, Term Loan, First Lien

    5.323%        1-Month LIBOR        3.750%        5/05/24        B+        1,035,331  
  10,625    

Total Internet Software & Services

                                                 10,464,751  
      IT Services – 3.9% (2.5% of Total Investments)                              
  1,552    

Computer Sciences Government Services, Term Loan B

    3.693%        3-Month LIBOR        2.000%        11/30/23        BB+        1,562,776  
  1,500    

DigiCert, Term Loan, First Lien

    6.522%        3-Month LIBOR        4.750%        10/31/24        B+        1,527,000  
  1,187    

Engility Corporation, Term Loan B2

    4.823%        1-Month LIBOR        3.250%        8/11/23        BB–        1,200,952  
  2,290    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        7/10/22        BB        2,308,780  
  9,528    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        4/26/24        BB        9,607,566  
  1,758    

Gartner, Inc., Term Loan A

    3.573%        1-Month LIBOR        2.000%        3/21/22        BB+        1,765,008  
  992    

Gartner, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        4/05/24        BB+        1,002,425  
  1,169    

PEAK 10, Inc., Term Loan B

    5.193%        3-Month LIBOR        3.500%        8/01/24        B        1,176,137  
  106    

PEAK 10, Inc., Term Loan, Second Lien

    8.627%        3-Month LIBOR        7.250%        8/01/25        CCC+        107,280  
  2,487    

Tempo Acquisition LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        5/01/24        B1        2,502,537  
  1,500    

Vantiv, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        8/07/24        BBB–        1,511,978  
  1,477    

WEX, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/01/23        BB–        1,497,350  
  25,546    

Total IT Services

                                                 25,769,789  
      Leisure Products – 1.1% (0.7% of Total Investments)                              
  2,572    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.443%        3-Month LIBOR        3.750%        5/28/21        Ba3        2,597,336  
  1,052    

Academy, Ltd., Term Loan B

    5.546%        1-Month LIBOR        4.000%        7/01/22        B3        850,590  
  2,711    

Equinox Holdings, Inc., Term Loan B1

    4.573%        1-Month LIBOR        3.000%        3/08/24        B+        2,742,794  
  990    

Four Seasons Holdings, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        11/30/23        BB        1,000,316  
  7,325    

Total Leisure Products

                                                 7,191,036  
      Life Sciences Tools & Services – 0.4% (0.2% of Total Investments)                              
  755    

Inventiv Health, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        8/01/24        Ba2        759,835  
  1,496    

Parexel International Corp., Term Loan B

    4.323%        1-Month LIBOR        2.750%        9/27/24        B1        1,509,155  
  2,251    

Total Life Sciences Tools & Services

                                                 2,268,990  
      Machinery – 1.1% (0.7% of Total Investments)                              
  3,247    

Gardner Denver, Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        7/30/24        B+        3,267,702  
  1,474    

Gates Global LLC, Term Loan B

    4.693%        3-Month LIBOR        2.750%        4/01/24        B+        1,487,050  
  1,500    

Navistar, Inc., Tranche B, Term Loan

    5.060%        1-Month LIBOR        3.500%        11/06/24        Ba3        1,515,630  
  765    

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

    3.810%        1-Month LIBOR        2.250%        8/21/24        BB+        772,404  
  6,986    

Total Machinery

 

                                7,042,786  
      Marine – 0.1% (0.1% of Total Investments)                              
  1,369    

American Commercial Lines LLC, Term Loan B, First Lien

    10.323%        1-Month LIBOR        8.750%        11/12/20        B–        825,315  
      Media – 13.1% (8.3% of Total Investments)                              
  2,073    

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

    5.017%        2-Month LIBOR        3.250%        7/23/21        B1        2,052,345  
  1,985    

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

    9.160%        3-Month LIBOR        7.750%        5/10/22        B2        2,058,197  
  6,843    

Catalina Marketing Corporation, Term Loan, First Lien

    5.073%        1-Month LIBOR        3.500%        4/09/21        B1        5,553,929  
  2,000    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.323%        1-Month LIBOR        6.750%        4/11/22        Caa1        836,500  

 

NUVEEN     41  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                              
$ 7,368    

Cequel Communications LLC, Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/28/25        BB      $ 7,393,807  
  4,925    

Charter Communications Operating Holdings LLC, Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/30/25        BBB–        4,960,017  
  4,988    

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

    8.443%        3-Month LIBOR        6.750%        1/30/19        Caa1        3,837,644  
  4,768    

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

    9.193%        3-Month LIBOR        7.500%        7/30/19        Caa1        3,656,011  
  2,250    

CSC Holdings LLC, Term Loan B

    4.139%        3-Month LIBOR        2.500%        1/12/26        BB–        2,269,699  
  12,449    

Cumulus Media, Inc., Term Loan B, (5)

    4.830%        1-Month LIBOR        3.250%        12/23/20        N/R        10,758,248  
  2,394    

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

    5.193%        3-Month LIBOR        3.500%        10/18/19        B3        2,277,254  
  886    

Gray Television, Inc., Term Loan B2

    3.814%        1-Month LIBOR        2.250%        2/07/24        BB        893,540  
  2,896    

IMG Worldwide, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        3.250%        5/06/21        B+        2,919,163  
  848    

Lions Gate Entertainment Corp., Term Loan B

    3.817%        1-Month LIBOR        2.250%        12/08/23        Ba2        857,986  
  3,952    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.573%        1-Month LIBOR        4.000%        5/02/22        B+        3,954,326  
  4,000    

Meredith, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        4,049,180  
  618    

Nexstar Broadcasting Group, Term Loan

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        622,703  
  4,908    

Nexstar Broadcasting Group, Term Loan B

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        4,944,324  
  997    

Red Ventures, Term Loan B

    5.573%        1-Month LIBOR        4.000%        11/08/24        B+        1,010,717  
  2,922    

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

    4.979%        3-Month LIBOR        3.500%        8/15/22        B        2,939,436  
  17,112    

Univision Communications, Inc., Term Loan C5

    4.323%        1-Month LIBOR        2.750%        3/15/24        BB–        17,148,370  
  376    

Yell Group PLC, Term Loan A2, First Lien

    8.413%        3-Month LIBOR        7.000%        9/07/21        N/R        383,778  
  371    

Yell Group PLC, Term Loan B2, First Lien

    8.500%        N/A        N/A        9/07/65        N/R        976,279  
  91,929    

Total Media

 

                                86,353,453  
      Metals & Mining – 0.5% (0.3% of Total Investments)                              
  1,492    

CanAm Construction, Inc., Term Loan B

    7.067%        1-Month LIBOR        5.500%        7/01/24        B        1,513,022  
  1,658    

Zekelman Industries, Term Loan B

    4.408%        3-Month LIBOR        2.750%        6/14/21        BB–        1,670,695  
  3,150    

Total Metals & Mining

 

                                3,183,717  
      Multiline Retail – 1.7% (1.1% of Total Investments)                              
  1,785    

Belk, Inc., Term Loan B, First Lien

    6.458%        3-Month LIBOR        4.750%        12/12/22        B2        1,542,946  
  8,010    

Dollar Tree, Inc., Term Loan B2

    4.250%        N/A        N/A        7/06/22        BBB–        8,095,106  
  1,382    

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

    4.718%        3-Month LIBOR        3.250%        9/30/22        BB        1,340,585  
  11,177    

Total Multiline Retail

 

                                10,978,637  
      Oil, Gas & Consumable Fuels – 2.9% (1.9% of Total Investments)                              
  1,455    

BCP Renaissance Parent, Term Loan B

    5.772%        3-Month LIBOR        4.000%        10/31/24        B+        1,474,850  
  1,750    

California Resources Corporation, Term Loan

    11.936%        1-Month LIBOR        10.375%        12/31/21        B        1,990,625  
  2,350    

California Resources Corporation, Term Loan B

    6.306%        1-Month LIBOR        4.750%        12/31/22        B        2,399,468  
  648    

Crestwood Holdings LLC, Term Loan B

    9.436%        3-Month LIBOR        8.000%        6/19/19        B–        652,381  
  301    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)

    5.000%        N/A        N/A        5/13/22        N/R        4,512  
  1,515    

Fieldwood Energy LLC, Term Loan, First Lien

    4.568%        3-Month LIBOR        2.875%        10/01/18        B3        1,486,872  
  1,818    

Fieldwood Energy LLC, Term Loan, First Lien

    8.693%        3-Month LIBOR        7.000%        8/31/20        B3        1,753,141  
  828    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Ca        136,609  
  1,474    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Caa3        966,433  
  5,270    

Harvey Gulf International Marine, Inc., Term Loan B, (5)

    0.000%        N/A        N/A        6/18/20        CCC–        2,457,031  
  1,461    

Peabody Energy Corporation, Term Loan B

    5.073%        1-Month LIBOR        3.500%        3/31/22        Ba3        1,482,896  

 

  42     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)                              
$ 4,960    

Seadrill Partners LLC, Initial Term Loan, (DD1)

    4.693%        3-Month LIBOR        3.000%        2/21/21        CCC+      $ 4,381,391  
  62    

Southcross Holdings Borrower L.P., Term Loan B, First Lien (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        61,774  
  23,892    

Total Oil, Gas & Consumable Fuels

 

                                19,247,983  
      Pharmaceuticals – 1.7% (1.1% of Total Investments)                              
  3,937    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.823%        1-Month LIBOR        4.250%        10/21/21        Caa2        3,408,342  
  7,923    

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

    4.387%        1-Month LIBOR        2.750%        8/18/22        Ba3        7,988,613  
  81    

Valeant Pharmaceuticals International, Inc., Term Loan B

    5.060%        1-Month LIBOR        3.500%        4/01/22        BB–        82,640  
  11,941    

Total Pharmaceuticals

 

                                11,479,595  
      Professional Services – 1.9% (1.2% of Total Investments)                              
  1,536    

Ceridian Corporation, Term Loan B2

    5.067%        1-Month LIBOR        3.500%        9/15/20        Ba3        1,547,950  
  7,673    

Formula One Group, Term Loan B

    4.074%        1-Month LIBOR        2.500%        2/01/24        B+        7,717,445  
  2,977    

Nielsen Finance LLC, Term Loan B4

    3.553%        1-Month LIBOR        2.000%        10/04/23        BBB–        3,000,591  
  12,186    

Total Professional Services

                                                 12,265,986  
      Real Estate Management & Development – 1.3% (0.8% of Total Investments)                
  4,406    

Capital Automotive LP, Term Loan, First Lien

    4.073%        1-Month LIBOR        2.500%        3/25/24        B1        4,439,072  
  3,664    

Capital Automotive LP, Term Loan, Second Lien

    7.573%        1-Month LIBOR        6.000%        3/24/25        B3        3,755,858  
  8,070    

Total Real Estate Management & Development

 

                                8,194,930  
      Road & Rail – 0.3% (0.2% of Total Investments)                              
  1,960    

Quality Distribution, Incremental Term Loan, First Lien

    7.193%        3-Month LIBOR        5.500%        8/18/22        B2        1,984,500  
      Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)                
  1,419    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.750%        7/05/21        BB        1,438,282  
  2,140    

Lumileds, Term Loan B

    5.074%        1-Month LIBOR        4.500%        6/30/24        Ba3        2,164,481  
  1,724    

Micron Technology, Inc., Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/26/22        Baa2        1,740,091  
  2,080    

Microsemi Corporation, Term Loan B

    3.561%        1-Month LIBOR        2.000%        1/15/23        BB        2,097,383  
  2,146    

On Semiconductor Corp., Term Loan B

    3.573%        1-Month LIBOR        2.000%        3/31/23        Ba1        2,164,625  
  9,509    

Total Semiconductors & Semiconductor Equipment

 

              9,604,862  
      Software – 11.6% (7.3% of Total Investments)                              
  5,600    

Avaya Inc., Term Loan, First Lien

    6.309%        1-Month LIBOR        4.750%        12/15/24        B        5,636,148  
  2,452    

Blackboard, Inc., Term Loan B4

    6.734%        3-Month LIBOR        5.000%        6/30/21        B1        2,410,992  
  7,359    

BMC Software, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        9/10/22        B+        7,407,942  
  5,403    

Compuware Corporation, Term Loan B3

    5.550%        2-Month LIBOR        4.250%        12/15/21        N/R        5,402,716  
  295    

Compuware Corporation, Term Loan, Second Lien

    9.820%        1-Month LIBOR        8.250%        12/15/22        B–        295,498  
  3,651    

Ellucian, Term Loan B, First Lien

    4.943%        3-Month LIBOR        3.250%        9/30/22        B        3,676,572  
  11,101    

Infor (US), Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        2/01/22        B1        11,173,189  
  2,524    

Informatica, Term Loan B

    4.943%        3-Month LIBOR        3.250%        8/05/22        B        2,539,987  
  1,485    

Kronos Incorporated, Term Loan, First Lien

    4.903%        3-Month LIBOR        3.500%        11/01/23        B        1,501,564  
  4,360    

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

    6.067%        1-Month LIBOR        4.500%        9/30/24        B1        4,408,957  
  1,000    

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

    10.067%        1-Month LIBOR        8.500%        9/29/25        B–        1,009,165  
  1,161    

Micro Focus International PLC, New Term Loan

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        1,168,297  
  7,839    

Micro Focus International PLC, Term Loan B

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        7,889,798  

 

NUVEEN     43  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                              
$ 5,490    

Micro Focus International PLC, Term Loan B2

    4.073%        1-Month LIBOR        2.500%        11/19/21        BB–      $ 5,527,801  
  893    

Misys, New Term Loan, Second Lien

    8.729%        3-Month LIBOR        7.250%        6/13/25        CCC+        901,773  
  75    

Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (20)

    4.814%        3-Month LIBOR        3.250%        11/29/24        B1        75,103  
  925    

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

    4.943%        3-Month LIBOR        3.250%        11/29/24        B1        931,272  
  1,000    

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

    8.943%        3-Month LIBOR        7.250%        12/01/25        CCC        1,013,750  
  1,980    

RP Crown Parent, LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        10/15/23        B1        1,997,117  
  1,671    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        1,682,744  
  26    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        26,138  
  8,720    

Tibco Software, Inc., Term Loan, First Lien

    5.070%        1-Month LIBOR        3.500%        12/04/20        B1        8,785,765  
  741    

Vertafore, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        6/30/23        B        749,698  
  75,751    

Total Software

                                                 76,211,986  
      Specialty Retail – 1.6% (1.0% of Total Investments)                              
  3,434    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien

    8.029%        3-Month LIBOR        6.500%        1/13/22        CCC+        3,368,320  
  682    

Neiman Marcus Group, Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Caa1        587,297  
  6,448    

Petco Animal Supplies, Inc., Term Loan B1

    4.772%        3-Month LIBOR        3.000%        1/26/23        B1        4,912,042  
  1,735    

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

    4.570%        1-Month LIBOR        3.000%        3/11/22        B1        1,412,407  
  12,299    

Total Specialty Retail

                                                 10,280,066  
      Technology Hardware, Storage & Peripherals – 6.5% (4.1% of Total Investments)                
  1,297    

Conduent, Inc., Term Loan B

    4.573%        1-Month LIBOR        3.000%        12/07/23        BB+        1,313,094  
  16,090    

Dell International LLC, Refinancing Term Loan B

    3.580%        1-Month LIBOR        2.000%        9/07/23        BBB–        16,172,732  
  7,604    

Dell International LLC, Replacement Term Loan A2

    3.330%        1-Month LIBOR        1.750%        9/07/21        BBB–        7,620,364  
  3,032    

Dell International LLC, Replacement Term Loan A3

    3.080%        1-Month LIBOR        1.500%        12/31/18        BBB–        3,033,143  
  1,697    

Dell Software Group, Repriced Term Loan B

    7.272%        3-Month LIBOR        5.500%        10/31/22        B        1,736,373  
  12,831    

Western Digital U.S., Term Loan B3

    3.561%        1-Month LIBOR        2.000%        4/29/23        Baa2        12,939,703  
  42,551    

Total Technology Hardware, Storage & Peripherals

 

              42,815,409  
      Trading Companies & Distributors – 0.0% (0.0% of Total Investments)                
  286    

HD Supply Waterworks, Ltd., Term Loan B

    4.455%        6-Month LIBOR        3.000%        8/01/24        B+        288,184  
      Transportation Infrastructure – 1.9% (1.2% of Total Investments)                              
  9,475    

Avolon, Repriced Term Loan B2

    3.811%        1-Month LIBOR        2.250%        3/21/22        BBB–        9,471,737  
  148    

Ceva Group PLC, Canadian Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        144,436  
  859    

Ceva Group PLC, Dutch B.V., Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        837,727  
  846    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        N/A        N/A        3/19/21        B–        825,326  
  1,185    

Ceva Group PLC, US Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        1,155,486  
  12,513    

Total Transportation Infrastructure

                                                 12,434,712  
      Wireless Telecommunication Services – 4.6% (2.9% of Total Investments)                
  4,540    

Asurion LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/04/22        Ba3        4,580,176  
  4,160    

Asurion LLC, Term Loan B5

    4.573%        1-Month LIBOR        3.000%        11/03/23        Ba3        4,197,870  
  11,414    

Sprint Corporation, Term Loan, First Lien

    4.125%        1-Month LIBOR        2.500%        2/02/24        Ba2        11,457,750  
  4,224    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        4,216,376  
  2,315    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        2,310,179  

 

  44     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Wireless Telecommunication Services (continued)                              
$ 3,682    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.059%        1-Month LIBOR        2.500%        1/15/26        BB      $ 3,703,643  
  30,335    

Total Wireless Telecommunication Services

 

                                         30,465,994  
$ 837,003    

Total Variable Rate Senior Loan Interests (cost $827,156,745)

 

                       819,999,968  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CORPORATE BONDS – 18.9% (12.0% of Total Investments)                                     
      Diversified Telecommunication Services – 3.5% (2.2% of Total Investments)                              
$ 1,667    

Intelsat Connect Finance SA, 144A

          12.500%        4/01/22        CCC–      $ 1,283,590  
  8,035    

IntelSat Jackson Holdings

          5.500%        8/01/23        CCC+        6,307,475  
  7,080    

IntelSat Jackson Holdings

          9.750%        7/15/25        CCC+        6,511,476  
  1,080    

IntelSat Limited

          6.750%        6/01/18        CCC–        1,058,400  
  11,064    

IntelSat Limited

          7.750%        6/01/21        CCC–        5,003,141  
  5,260    

IntelSat Limited

          8.125%        6/01/23        CCC–        2,235,500  
  750    

Level 3 Financing Inc.

                      5.375%        8/15/22        BB        761,250  
  34,936    

Total Diversified Telecommunication Services

 

                       23,160,832  
      Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)                
  4,250    

Realogy Group LLC / Realogy Co-Issuer Corporation, 144A

 

              5.250%        12/01/21        B1        4,382,812  
      Health Care Providers & Services – 1.1% (0.7% of Total Investments)                              
  7,000    

HCA Inc.

                      6.500%        2/15/20        BBB–        7,463,750  
      Hotels, Restaurants & Leisure – 1.5% (0.9% of Total Investments)                              
  2,000    

MGM Resorts International Inc.

          5.250%        3/31/20        BB        2,070,000  
  1,667    

Scientific Games Corporation, 144A

          7.000%        1/01/22        Ba3        1,758,685  
  5,500    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        6,015,625  
  9,167    

Total Hotels, Restaurants & Leisure

 

                                         9,844,310  
      Household Durables – 1.0% (0.7% of Total Investments)                              
  6,780    

Lennar Corporation

                      4.125%        12/01/18        BB+        6,847,800  
      Media – 3.9% (2.5% of Total Investments)                              
  1,000    

CCO Holdings LLC Finance Corporation

          5.750%        9/01/23        BB+        1,025,000  
  200    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

 

        3.579%        7/23/20        BBB–        202,670  
  11,059    

Clear Channel Communications Inc., (5), (8)

 

        12.000%        8/01/21        N/R         
  2,600    

Dish DBS Corporation

          5.125%        5/01/20        Ba3        2,642,250  
  2,000    

Dish DBS Corporation

          5.875%        7/15/22        Ba3        1,990,000  
  2,500    

Dish DBS Corporation

          5.875%        11/15/24        Ba3        2,370,312  
  2,000    

Hughes Satellite Systems Corporation

          6.500%        6/15/19        BBB–        2,087,580  
  1,762    

iHeartCommunications, Inc., 144A, (5)

          11.250%        3/01/21        Caa1        1,233,400  
  4,812    

iHeartCommunications, Inc., (5)

          9.000%        12/15/19        Caa1        3,705,240  
  19,762    

iHeartCommunications, Inc. (cash 12.000%, PIK 2.000%), (5)

 

        14.000%        2/01/21        Ca        1,185,703  
  10,350    

iHeartCommunications, Inc., (5)

          9.000%        3/01/21        Caa1        7,503,750  
  1,730    

Neptune Finco Corporation, 144A

                      10.125%        1/15/23        B2        1,951,656  
  59,775    

Total Media

 

                                         25,897,561  
      Oil, Gas & Consumable Fuels – 1.9% (1.2% of Total Investments)                              
  6,905    

California Resources Corporation, 144A

          8.000%        12/15/22        CCC+        5,778,622  
  700    

Denbury Resources Inc.

          6.375%        8/15/21        CCC–        591,500  
  2,547    

Denbury Resources Inc.

          9.250%        3/31/22        B        2,610,675  
  750    

EP Energy LLC and Everest Acquisition Finance, Inc.

 

        9.375%        5/01/24        Caa2        635,625  
  2,487    

FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)

 

              8.820%        6/15/20        B+        2,524,305  
  13,389    

Total Oil, Gas & Consumable Fuels

 

                                         12,140,727  

 

NUVEEN     45  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                              
$ 850    

Concordia Healthcare Corporation, 144A, (5)

 

              7.000%        4/15/23        C      $ 80,750  
      Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)                
  1,564    

Advanced Micro Devices, Inc.

          7.500%        8/15/22        B–        1,736,040  
  930    

Advanced Micro Devices, Inc.

                      7.000%        7/01/24        B–        976,500  
  2,494    

Total Semiconductors & Semiconductor Equipment

 

                                2,712,540  
      Software – 1.9% (1.2% of Total Investments)                              
  210    

Avaya Inc., (8)

          7.000%        4/01/19        N/R         
  5,150    

Avaya Inc., (8)

          10.500%        3/01/21        N/R         
  2,000    

Balboa Merger Sub Inc., 144A

          11.375%        12/01/21        CCC+        2,177,600  
  5,480    

BMC Software Finance Inc., 144A

          8.125%        7/15/21        CCC+        5,486,850  
  753    

Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)

 

     9.000%        10/15/19        CCC+        754,883  
  3,650    

Infor Us Inc., 144A

                      5.750%        8/15/20        BB        3,746,542  
  17,243    

Total Software

 

                                12,165,875  
      Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)                
  5,400    

Western Digital Corporation, 144A

                      7.375%        4/01/23        Baa2        5,879,250  
      Wireless Telecommunication Services – 2.1% (1.3% of Total Investments)                              
  2,250    

Sprint Communications Inc.

          7.000%        8/15/20        B+        2,374,700  
  7,750    

Sprint Corporation

          7.875%        9/15/23        B+        8,185,938  
  1,750    

Sprint Corporation

          7.125%        6/15/24        B+        1,774,062  
  1,150    

Syniverse Foreign Holdings Corporation, 144A

 

              9.125%        1/15/22        B        1,191,688  
  12,900    

Total Wireless Telecommunication Services

 

              13,526,388  
$ 174,184    

Total Corporate Bonds (cost $139,926,680)

 

                                124,102,595  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 2.3% (1.5% of Total Investments)

 

           
      Diversified Consumer Services – 0.1% (0.1% of Total Investments)                              
  78,490    

Cengage Learning Holdings II LP, (6)

                 $ 578,864  
  9,876,769    

Education Management Corporation, (6)

                                                 39,507  
 

Total Diversified Consumer Services

 

                                618,371  
      Energy Equipment & Services – 0.8% (0.5% of Total Investments)                              
  80,413    

C&J Energy Services Inc., (6)

                   2,462,246  
  75,644    

Ocean Rig UDW Inc., (6)

                   2,036,337  
  2,712    

Vantage Drill International, (6)

                                                 596,640  
 

Total Energy Equipment & Services

 

                                5,095,223  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                              
  74,059    

Millenium Health LLC, (6)

                                                 8,072  
      Media – 0.4% (0.3% of Total Investments)                              
  1,441,988    

Hibu PLC, (6), (7)

                   1  
  26,045    

Metro-Goldwyn-Mayer, (6)

                   2,986,502  
  45,942    

Tribune Media Company

                                                 2,297  
 

Total Media

 

                                2,988,800  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                              
  64    

Southcross Holdings Borrower LP, (6)

                                                 24,000  
      Software – 0.9% (0.6% of Total Investments)                              
  282,937    

Avaya Holdings Corporation., (6)

                                                 5,907,725  

 

  46     NUVEEN


Shares     Description (1)                                           Value  
      Specialty Retail – 0.1% (0.0% of Total Investments)                              
  10,908    

Gymboree Corporation, (6), (8)

                 $ 154,826  
  29,698    

Gymboree Corporation, (6)

                                                 504,866  
 

Total Specialty Retail

                                                 659,692  
 

Total Common Stocks (cost $22,291,965)

 

                                15,301,883  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 2.0% (1.3% of Total Investments)                              
$ 1,200    

Bristol Park CLO Limited, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread)

 

        8.972%        4/15/29        Ba3      $ 1,257,079  
  500    

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

 

        6.984%        1/18/29        BB–        505,502  
  1,200    

Dryden Senior Loan Fund, Series 2017-50A, (3-Month LIBOR reference rate + 6.260% spread)

 

        7.980%        7/15/30        Ba3        1,223,441  
  1,250    

Gilbert Park CLO LTD, Series 2017-1A

          7.765%        10/15/30        Ba3        1,273,799  
  2,750    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, (3-Month LIBOR reference rate + 5.500% spread)

 

        7.245%        4/20/26        Ba3        2,755,885  
  1,500    

Madison Park Funding Limited, Series 2012-10A, (3-Month LIBOR reference rate + 7.620% spread)

 

        9.365%        1/20/29        BB        1,566,125  
  500    

North End CLO Limited, Loan Pool, 144A, (3-Month LIBOR reference rate + 4.600% spread)

 

        6.331%        7/17/25        BB        496,322  
  3,000    

Octagon Investment Partners, Series 2015-1A, (3-Month LIBOR reference rate + 5.850% spread)

 

        7.595%        10/20/26        N/R        3,010,320  
  1,250    

OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread)

 

              8.678%        10/30/27        BB        1,265,486  
  13,150    

Total Asset-Backed Securities (cost $12,727,060)

 

                                13,353,959  
Shares     Description (1), (9)                                           Value  
      INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)                              
  353,668    

Eaton Vance Floating-Rate Income Trust Fund

 

               $ 5,099,893  
  968,586    

Eaton Vance Senior Income Trust

                                                 6,295,809  
 

Total Investment Companies (cost $11,981,509)

 

                                11,395,702  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)                              
      Communications Equipment – 0.0% (0.0% of Total Investments)                              
$ 850    

Nortel Networks Limited, (5)

                      1.750%        4/15/12        N/R      $ 40,375  
$ 850    

Total Convertible Bonds (cost $33,724)

 

                                40,375  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)                              
  21,002    

Avaya Holdings Corp., (8)

                                               $ 22,541  
 

Total Warrants (cost $1,915,310)

 

                                22,541  
Shares     Description (1)                  

Coupon

             Ratings (4)      Value  
      $25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)                       
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                              
  10,989    

Education Management Corporation, (8)

                      7.500%                 N/R      $ 1  
 

Total $25 Par (or similar) Retail Preferred (cost $26,686)

 

                                1  
 

Total Long-Term Investments (cost $1,016,059,679)

 

                                984,217,024  

 

NUVEEN     47  


JFR    Nuveen Floating Rate Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Shares     Description (1)                                           Value  
      SHORT-TERM INVESTMENTS – 8.1% (5.1% of Total Investments)                              
      INVESTMENT COMPANIES – 8.1% (5.1% of Total Investments)                              
  53,431,081    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                                               $ 53,431,081  
 

Total Short-Term Investments (cost $53,431,081)

 

                                53,431,081  
 

Total Investments (cost $1,069,490,760) – 157.8%

 

                                1,037,648,105  
 

Borrowings – (38.7)% (10), (11)

 

                                (254,300,000
 

Term Preferred Shares, net of deferred offering costs – (18.8)% (12)

 

                                (123,910,823
 

Other Assets Less Liabilities – (0.3)% (13)

 

                                (2,026,798
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 657,410,484  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 10,200,000       Pay       1-Month LIBOR       1.750 %(14)      Monthly       12/01/19 (15)    $ (34,137   $ (34,137

Morgan Stanley Capital Services LLC

    25,000,000       Pay       1-Month LIBOR       2.700 (16)      Monthly       1/01/22 (17)      (272,445     (272,445

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month LIBOR       5.750       Monthly       6/01/24 (18)      3,187       3,187  

Morgan Stanley Capital Services LLC

    55,000,000       Pay       1-Month LIBOR       4.000       Monthly       1/01/27 (19)      (1,169,184     (1,169,184

Total

  $ 125,200,000                                             $ (1,472,579   $ (1,472,579

Total unrealized appreciation on interest rate swaps

 

                                  $ 3,187  

Total unrealized depreciation on interest rate swaps

 

                                  $ (1,475,766

 

  48     NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 24.5%.

 

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

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.9%.

 

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

 

(14) Effective June 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

(15) This interest rate swap has an optional early termination date beginning on December 1, 2017 and monthly thereafter through the termination date as specified in the swap contract.

 

(16) Effective April 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every three months on specific dates through the swap contract’s termination date.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18) This interest rate swap has an optional early termination date beginning on June 1, 2020 and monthly thereafter through the termination date as specified in the swap contract.

 

(19) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

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

 

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

 

DD1 Portion of investment purchased on a delayed delivery basis.

 

LIBOR London Inter-Bank Offered Rate

 

N/A Not applicable

 

PIK Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     49  


JRO

 

Nuveen Floating Rate Income Opportunity Fund

  

Portfolio of Investments

   January 31, 2018 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 149.0% (95.1% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 125.9% (80.4% of Total Investments) (2)

 

        
      Aerospace & Defense – 2.7% (1.7% of Total Investments)                              
$ 5,738    

Sequa Corporation, Term Loan B

    6.549%        3-Month LIBOR        5.000%        11/28/21        B      $ 5,830,865  
  1,985    

Sequa Corporation, Term Loan, Second Lien

    10.753%        3-Month LIBOR        9.000%        4/26/22        CCC        2,029,312  
  3,325    

Transdigm Inc., Term Loan E

    4.323%        1-Month LIBOR        2.750%        5/14/22        Ba2        3,358,634  
  739    

Transdigm, Inc., Term Loan F

    4.365%        1-Month LIBOR        2.750%        6/09/23        Ba2        746,453  
  401    

Transdigm, Inc., Term Loan G

    4.666%        1-Month LIBOR        3.000%        8/22/24        Ba2        404,775  
  12,188    

Total Aerospace & Defense

 

                                12,370,039  
      Air Freight & Logistics – 0.6% (0.4% of Total Investments)                              
  1,133    

PAE Holding Corporation, Term Loan B

    7.124%        2-Month LIBOR        5.500%        10/20/22        B+        1,142,101  
  1,444    

XPO Logistics, Inc., Refinanced Term Loan

    3.958%        3-Month LIBOR        2.250%        11/01/21        BB+        1,457,351  
  2,577    

Total Air Freight & Logistics

 

                                2,599,452  
      Airlines – 1.9% (1.2% of Total Investments)                              
  2,394    

American Airlines, Inc., Replacement Term Loan

    3.567%        1-Month LIBOR        2.000%        6/27/20        BB+        2,405,875  
  2,732    

American Airlines, Inc., Replacement Term Loan

    3.554%        1-Month LIBOR        2.000%        10/10/21        BB+        2,745,496  
  3,623    

American Airlines, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        12/14/23        BB+        3,639,995  
  8,749    

Total Airlines

 

                                8,791,366  
      Auto Components – 0.7% (0.4% of Total Investments)                              
  998    

DexKo Global, Inc., Term Loan B

    5.241%        3-Month LIBOR        3.500%        7/24/24        B        1,012,153  
  551    

Horizon Global Corporation, Term Loan B

    6.073%        1-Month LIBOR        4.500%        6/30/21        B1        554,246  
  1,492    

Superior Industries International, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        5/22/24        B1        1,522,130  
  3,041    

Total Auto Components

 

                                3,088,529  
      Automobiles – 1.0% (0.6% of Total Investments)                              
  4,588    

Chrysler Group LLC, Term Loan

    3.570%        1-Month LIBOR        2.000%        12/31/18        BBB–        4,604,837  
  138    

DexKo Global, Inc., Term Loan B, (21)

    4.155%        3-Month LIBOR        3.500%        7/24/24        B        138,188  
  4,726    

Total Automobiles

 

                                4,743,025  
      Biotechnology – 0.9% (0.6% of Total Investments)                              
  3,970    

Grifols, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        1/31/25        BB        3,999,160  
      Building Products – 1.5% (1.0% of Total Investments)                              
  7,030    

Quikrete Holdings, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        11/15/23        N/R        7,077,325  
      Capital Markets – 0.3% (0.2% of Total Investments)                              
  1,476    

RPI Finance Trust, Term Loan B6

    3.693%        3-Month LIBOR        2.000%        3/27/23        Baa2        1,488,093  
      Chemicals – 0.7% (0.4% of Total Investments)                              
  897    

Ineos US Finance LLC, Term Loan

    3.573%        1-Month LIBOR        2.000%        4/01/24        BBB–        902,501  
  1,521    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        1,549,899  
  744    

Univar, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        7/01/24        BB        752,440  
  3,162    

Total Chemicals

 

                                3,204,840  
      Commercial Services & Supplies – 4.3% (2.7% of Total Investments)                              
  735    

ADS Waste Holdings, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        11/10/23        BB+        741,025  
  990    

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

    5.696%        2-Month LIBOR        4.000%        10/19/23        B–        994,024  

 

  50     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                              
$ 1,000    

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

    10.197%        3-Month LIBOR        8.500%        10/07/24        CCC      $ 980,000  
  3,133    

iQor US, Inc., Term Loan, First Lien

    6.695%        3-Month LIBOR        5.000%        4/01/21        B        3,140,365  
  333    

iQor US, Inc., Term Loan, Second Lien

    10.445%        3-Month LIBOR        8.750%        4/01/22        CCC+        323,333  
  964    

KAR Auction Services, Inc., Term Loan B5

    4.250%        3-Month LIBOR        2.500%        3/09/23        Ba2        975,901  
  1,042    

LSC Communications, Refinancing Term Loan

    7.067%        1-Month LIBOR        5.500%        9/30/22        Ba3        1,048,833  
  2,962    

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

    7.193%        3-Month LIBOR        5.500%        9/30/22        B2        2,972,869  
  2,270    

Protection One, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        5/02/22        BB–        2,293,421  
  2,105    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.323%        1-Month LIBOR        4.750%        4/28/21        B–        2,065,796  
  1,474    

Universal Services of America, Initial Term Loan, First Lien

    5.443%        3-Month LIBOR        3.750%        7/28/22        B+        1,461,776  
  1,750    

Universal Services of America, Term Loan, Second Lien

    10.272%        3-Month LIBOR        8.500%        7/28/23        B–        1,741,250  
  1,135    

West Corporation, Term Loan B

    5.573%        1-Month LIBOR        4.000%        10/10/24        BB+        1,149,239  
  19,893    

Total Commercial Services & Supplies

 

                                19,887,832  
      Communications Equipment – 0.7% (0.5% of Total Investments)                              
  1,185    

Colorado Buyer, Inc., Term Loan, First Lien

    4.380%        3-Month LIBOR        3.000%        5/01/24        Ba3        1,195,099  
  583    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.630%        3-Month LIBOR        7.250%        5/01/25        B3        590,444  
  1,496    

Mitel US Holdings, Inc., Incremental Term Loan

    5.404%        2-Month LIBOR        3.750%        9/25/23        B+        1,516,352  
  3,264    

Total Communications Equipment

 

                                3,301,895  
      Construction & Engineering – 0.4% (0.3% of Total Investments)                              
  1,822    

Traverse Midstream Partners, Term Loan B

    5.850%        6-Month LIBOR        4.000%        9/21/24        B+        1,847,815  
      Containers & Packaging – 0.5% (0.3% of Total Investments)                              
  1,116    

Berry Global, Inc., Term Loan M

    3.816%        1-Month LIBOR        2.250%        10/01/22        Ba2        1,125,846  
  992    

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

    4.323%        1-Month LIBOR        2.750%        2/05/23        B+        1,001,220  
  2,108    

Total Containers & Packaging

 

                                2,127,066  
      Distributors – 0.2% (0.1% of Total Investments)                              
  971    

American Seafoods Group LLC, Term Loan B

    4.700%        3-Month LIBOR        3.250%        8/21/23        N/R        976,299  
      Diversified Consumer Services – 2.3% (1.4% of Total Investments)                              
  4,967    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.809%        1-Month LIBOR        4.250%        6/07/23        B        4,838,082  
  220    

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

    0.000%        N/A        N/A        7/02/20        N/R        60,549  
  496    

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

    0.000%        N/A        N/A        7/02/20        N/R        7,748  
  3,413    

Houghton Mifflin, Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        5/28/21        B+        3,224,904  
  1,354    

Laureate Education, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        4/26/24        B+        1,366,899  
  940    

Vertiv Co., New Term Loan B

    5.568%        1-Month LIBOR        4.000%        11/30/23        Ba3        951,654  
  11,390    

Total Diversified Consumer Services

 

                                10,449,836  
      Diversified Financial Services – 1.9% (1.2% of Total Investments)                              
  2,744    

Citco III Limited, Term Loan

    4.573%        1-Month LIBOR        3.000%        3/31/22        N/R        2,771,078  
  1,160    

Freedom Mortgage Corporation, Initial Term Loan

    6.956%        3-Month LIBOR        5.500%        2/23/22        B+        1,175,165  
  1,463    

OM Group, Inc., Term Loan B

    5.943%        3-Month LIBOR        4.250%        2/21/24        B2        1,471,044  
  3,088    

Veritas US, Inc., Term Loan B1

    6.193%        3-Month LIBOR        4.500%        1/27/23        B+        3,110,512  
  235    

Vizient, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        2/13/23        BB–        238,309  
  8,690    

Total Diversified Financial Services

 

                                8,766,108  

 

NUVEEN     51  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services – 8.6% (5.5% of Total Investments)                              
$ 1,500    

CenturyLink, Inc., Initial Term Loan A, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–      $ 1,494,562  
  7,304    

CenturyLink, Inc., Term Loan B

    4.317%        1-Month LIBOR        2.750%        1/31/25        BBB–        7,205,569  
  987    

DTI Holdings, Inc., Term Loan B, First Lien

    7.022%        2-Month LIBOR        5.250%        10/02/23        B        997,069  
  4,481    

Frontier Communications Corporation, Term Loan B

    5.330%        1-Month LIBOR        3.750%        1/14/20        BB+        4,401,814  
  2,970    

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

    5.443%        3-Month LIBOR        3.750%        12/01/23        B        2,996,078  
  2,502    

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

    5.212%        3-Month LIBOR        3.750%        11/30/23        B1        2,486,947  
  383    

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

    6.195%        3-Month LIBOR        4.500%        1/02/24        B1        389,278  
  614    

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

    6.625%        N/A        N/A        1/02/24        B1        618,550  
  3,193    

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

    3.696%        3-Month LIBOR        2.250%        2/22/24        BBB–        3,210,466  
  567    

Presidio, Inc., Term Loan B

    4.443%        1-Month LIBOR        2.750%        2/02/24        B+        571,342  
  5,786    

WideOpenWest Finance LLC, Term Loan B

    4.811%        1-Month LIBOR        3.250%        8/18/23        B        5,797,045  
  891    

Windstream Corporation, Term Loan B6

    5.560%        1-Month LIBOR        4.000%        3/29/21        BB        847,512  
  9,000    

Ziggo B.V., Term Loan E

    4.059%        1-Month LIBOR        2.500%        4/15/25        BB+        9,005,625  
  40,178    

Total Diversified Telecommunication Services

 

                                40,021,857  
      Electrical Equipment – 0.6% (0.4% of Total Investments)                              
  902    

TTM Technologies, Term Loan B

    4.073%        1-Month LIBOR        2.500%        9/28/24        BB+        906,511  
  1,840    

Zebra Technologies Corporation, Term Loan B

    3.753%        3-Month LIBOR        2.000%        10/24/21        BB        1,854,564  
  2,742    

Total Electrical Equipment

 

                                2,761,075  
      Electric Utilities – 1.5% (0.9% of Total Investments)                              
  667    

EFS Cogen Holdings LLC, Term Loan B

    4.950%        3-Month LIBOR        3.250%        6/28/23        BB        674,708  
  2,620    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.567%        1-Month LIBOR        3.000%        6/30/18        N/R        2,632,453  
  694    

Helix Generation, Term Loan B

    5.443%        3-Month LIBOR        3.750%        6/03/24        BB        701,042  
  2,418    

Vistra Operations Co., Term Loan B

    4.064%        1-Month LIBOR        2.500%        8/04/23        N/R        2,439,807  
  429    

Vistra Operations Co., Term Loan C

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        432,360  
  6,828    

Total Electric Utilities

 

                                6,880,370  
      Energy Equipment & Services – 0.6% (0.4% of Total Investments)                              
  2,110    

Diversey, Inc., Term Loan B

    4.654%        2-Month LIBOR        3.000%        9/06/24        B1        2,106,487  
  693    

Dynamic Energy Services International LLC, Term Loan, (cash 13.383%, PIK 1.500%)

    14.883%        3-Month LIBOR        13.500%        3/06/18        N/R        246,042  
  332    

Ocean Rig UDW Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        B        337,344  
  3,135    

Total Energy Equipment & Services

 

                                2,689,873  
      Equity Real Estate Investment Trusts – 2.3% (1.5% of Total Investments)                              
  4,640    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.573%        1-Month LIBOR        3.000%        10/24/22        BB+        4,481,052  
  1,267    

Realogy Group LLC, Term Loan B

    3.829%        1-Month LIBOR        2.250%        1/26/25        BB+        1,278,560  
  5,115    

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

    5.323%        1-Month LIBOR        3.750%        12/18/20        B–        5,101,222  
  11,022    

Total Equity Real Estate Investment Trusts

 

                                10,860,834  
      Food & Staples Retailing – 4.3% (2.8% of Total Investments)                              
  16,881    

Albertson’s LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/25/21        Ba2        16,810,923  
  1,331    

Albertson’s LLC, Term Loan B6

    4.462%        3-Month LIBOR        3.000%        6/22/23        Ba2        1,325,251  
  1,111    

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

    4.953%        2-Month LIBOR        3.500%        2/03/24        B–        1,112,500  
  886    

Save-A-Lot, Term Loan B

    7.573%        1-Month LIBOR        6.000%        12/05/23        B2        768,760  
  20,209    

Total Food & Staples Retailing

 

                                20,017,434  

 

  52     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Food Products – 3.9% (2.5% of Total Investments)                              
$ 1,447    

Hearthside Group Holdings LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        6/02/21        B1      $ 1,458,812  
  3,437    

Jacobs Douwe Egberts, Term Loan B

    3.688%        3-Month LIBOR        2.250%        7/04/22        BB        3,469,075  
  2,343    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    3.000%        1-Week LIBOR        1.500%        3/03/21        BBB–        2,343,010  
  1,923    

Pinnacle Foods Finance LLC, Term Loan B

    3.564%        1-Month LIBOR        2.000%        2/02/24        BB+        1,942,016  
  8,896    

US Foods, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        6/27/23        BBB–        8,997,808  
  18,046    

Total Food Products

 

                                18,210,721  
      Health Care Equipment & Supplies – 1.5% (1.0% of Total Investments)                              
  832    

Acelity, Term Loan B

    4.943%        3-Month LIBOR        3.250%        2/02/24        B1        834,677  
  868    

ConvaTec, Inc., Term Loan B

    3.943%        3-Month LIBOR        2.250%        10/25/23        BB        878,075  
  1,249    

Greatbatch, New Term Loan B

    4.810%        1-Month LIBOR        3.250%        10/27/22        B+        1,262,659  
  1,861    

Onex Carestream Finance LP, Term Loan, First Lien

    5.693%        3-Month LIBOR        4.000%        6/07/19        B1        1,870,056  
  2,240    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.193%        3-Month LIBOR        8.500%        12/07/19        B–        2,224,533  
  7,050    

Total Health Care Equipment & Supplies

 

                                7,070,000  
      Health Care Providers & Services – 5.3% (3.4% of Total Investments)                              
  2,500    

Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        2,533,438  
  2,288    

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.675%        3-Month LIBOR        4.000%        4/28/22        B1        2,311,005  
  828    

Community Health Systems, Inc., Term Loan G

    4.229%        3-Month LIBOR        2.750%        12/31/19        Ba3        819,409  
  1,476    

Community Health Systems, Inc., Term Loan H

    4.479%        3-Month LIBOR        3.000%        1/27/21        Ba3        1,451,354  
  1,424    

Concentra, Inc., Term Loan B

    4.530%        3-Month LIBOR        3.000%        6/01/22        B1        1,440,147  
  1,680    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.580%        1-Month LIBOR        3.000%        12/01/23        BB–        1,689,338  
  1,585    

HCA, Inc., Term Loan A5

    3.073%        1-Month LIBOR        1.500%        6/10/20        BBB–        1,589,342  
  1,990    

HCA, Inc., Term Loan B9

    3.573%        1-Month LIBOR        2.000%        3/18/23        BBB–        2,007,805  
  1,140    

Healogics, Inc., Term Loan, First Lien

    5.750%        3-Month LIBOR        4.250%        7/01/21        B–        1,010,730  
  1,950    

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

    6.450%        3-Month LIBOR        4.750%        7/31/23        B2        1,985,451  
  1,500    

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

    10.070%        1-Month LIBOR        8.500%        7/31/24        CCC        1,521,570  
  2,710    

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

    8.073%        1-Month LIBOR        6.500%        12/21/20        CCC+        1,087,413  
  1,321    

MultiPlan, Inc., Term Loan B

    4.693%        3-Month LIBOR        3.000%        6/07/23        B+        1,331,236  
  1,250    

PharMerica, Term Loan, First Lien

    5.055%        1-Month LIBOR        3.500%        12/06/24        B        1,264,450  
  338    

Quorum Health Corp., Term Loan B

    8.323%        1-Month LIBOR        6.750%        4/29/22        B2        346,013  
  2,414    

Select Medical Corporation, Tranche B, Term Loan

    5.210%        2-Month LIBOR        3.500%        3/01/21        Ba2        2,440,958  
  26,394    

Total Health Care Providers & Services

 

                                24,829,659  
      Health Care Technology – 1.6% (1.0% of Total Investments)                              
  1,799    

Catalent Pharma Solutions, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        5/20/24        N/R        1,813,015  
  4,962    

Emdeon, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        3/01/24        Ba3        4,999,719  
  673    

Press Ganey Holdings, Inc., Term Loan, Second Lien

    8.073%        1-Month LIBOR        6.500%        10/21/24        CCC+        685,946  
  7,434    

Total Health Care Technology

 

                                7,498,680  
      Hotels, Restaurants & Leisure – 10.7% (6.8% of Total Investments)                              
  1,000    

Aramark Corporation, Term Loan B1

    3.573%        1-Month LIBOR        2.000%        3/11/25        BBB–        1,009,790  
  750    

Arby’s Restaurant Group, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        761,018  
  14,867    

Burger King Corporation, Term Loan B3

    3.870%        1-Month LIBOR        2.250%        2/16/24        Ba3        14,970,877  
  3,955    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        10/07/24        BB        3,985,780  

 

NUVEEN     53  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Hotels, Restaurants & Leisure (continued)                              
$ 3,000    

Caesars Resort Collection, Term Loan, First Lien

    4.323%        1-Month LIBOR        2.750%        12/23/24        BB      $ 3,039,195  
  1,710    

CCM Merger, Inc., Term Loan B

    4.319%        1-Month LIBOR        2.750%        8/09/21        BB        1,727,094  
  3,290    

CityCenter Holdings LLC, Term Loan B

    4.073%        1-Month LIBOR        2.500%        4/18/24        BB–        3,320,637  
  5,878    

Hilton Hotels Corporation, Term Loan B2

    3.561%        1-Month LIBOR        2.000%        10/25/23        BBB–        5,927,703  
  2,958    

Intrawest Resorts Holdings, Inc., Term Loan B1

    4.823%        1-Month LIBOR        3.250%        7/31/24        B        2,986,231  
  1,707    

Life Time Fitness, Inc., Term Loan B

    4.228%        3-Month LIBOR        2.750%        6/10/22        BB–        1,722,015  
  2,270    

MGM Growth Properties, Term Loan B

    3.823%        1-Month LIBOR        2.250%        4/25/23        N/R        2,289,151  
  5,050    

Scientific Games Corporation, Term Loan B4

    4.823%        1-Month LIBOR        3.250%        8/14/24        B+        5,089,545  
  2,603    

Station Casino LLC, Term Loan B

    4.070%        1-Month LIBOR        2.500%        6/08/23        BB–        2,620,518  
  49,038    

Total Hotels, Restaurants & Leisure

 

                                49,449,554  
      Household Products – 0.8% (0.5% of Total Investments)                              
  3,180    

Revlon Consumer Products Corporation,
Term Loan B, First Lien, (DD1)

    5.073%        1-Month LIBOR        3.500%        11/16/20        B3        2,524,670  
  1,193    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.130%        3-Month LIBOR        3.500%        11/08/23        B        1,171,568  
  4,373    

Total Household Products

 

                                3,696,238  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)                
  944    

Dynegy, Inc., Tranche Term Loan C2

    4.311%        1-Month LIBOR        2.750%        2/07/24        Ba3        954,604  
      Industrial Conglomerates – 1.3% (0.9% of Total Investments)                              
  2,007    

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

    5.996%        2-Month LIBOR        4.250%        6/16/24        B        2,034,582  
  1,000    

Education Advisory Board, Term Loan, First Lien

    5.484%        3-Month LIBOR        3.750%        11/15/24        B2        1,008,130  
  1,737    

Foresight Energy LLC, Term Loan, First Lien

    7.443%        3-Month LIBOR        5.750%        3/28/22        B+        1,684,986  
  935    

Robertshaw US Holding Corp., Term Loan, First Lien

    6.125%        2-Month LIBOR        4.500%        8/02/24        B1        943,339  
  500    

Robertshaw US Holding Corp., Term Loan, Second Lien

    10.563%        1-Month LIBOR        9.000%        2/04/25        CCC+        507,500  
  6,179    

Total Industrial Conglomerates

 

                                6,178,537  
      Insurance – 1.7% (1.1% of Total Investments)                              
  744    

Acrisure LLC, Term Loan B

    5.991%        3-Month LIBOR        4.250%        11/22/23        B        758,342  
  3,247    

Alliant Holdings I LLC, Term Loan B

    4.817%        1-Month LIBOR        3.250%        8/14/22        B        3,275,432  
  4,013    

Hub International Holdings, Inc., Initial Term Loan

    4.413%        3-Month LIBOR        3.000%        10/02/20        B1        4,046,103  
  8,004    

Total Insurance

 

                                8,079,877  
      Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)                              
  2,267    

Travelport LLC, Term Loan B

    4.166%        3-Month LIBOR        2.750%        8/31/21        B2        2,278,813  
      Internet Software & Services – 1.9% (1.2% of Total Investments)                              
  1,474    

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

    4.830%        1-Month LIBOR        3.250%        10/19/23        B        1,487,574  
  1,143    

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

    4.385%        3-Month LIBOR        3.000%        11/03/23        BB+        1,154,673  
  3,660    

Sabre, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        2/22/24        Ba2        3,690,002  
  1,913    

SkillSoft Corporation, Term Loan, Second Lien

    9.823%        1-Month LIBOR        8.250%        4/28/22        CCC        1,731,926  
  881    

TierPoint LLC, Term Loan, First Lien

    5.323%        1-Month LIBOR        3.750%        5/05/24        BB        887,426  
  9,071    

Total Internet Software & Services

 

                                8,951,601  
      IT Services – 4.5% (2.8% of Total Investments)                              
  931    

Computer Sciences Government Services, Term Loan B

    3.693%        3-Month LIBOR        2.000%        11/30/23        BBB        937,666  
  1,000    

DigiCert, Term Loan, First Lien

    6.522%        3-Month LIBOR        4.750%        10/31/24        BB+        1,018,000  

 

  54     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      IT Services (continued)                              
$ 989    

Engility Corporation, Term Loan B2

    4.823%        1-Month LIBOR        3.250%        8/11/23        BB–      $ 1,000,794  
  1,832    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        7/10/22        BB+        1,847,024  
  7,170    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        4/26/24        BB+        7,229,658  
  1,222    

Gartner, Inc., Term Loan A

    3.573%        1-Month LIBOR        2.000%        3/21/22        N/R        1,226,216  
  744    

Gartner, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        4/05/24        BB+        751,819  
  2,500    

Optiv Security, Inc., Term Loan, Second Lien

    8.625%        3-Month LIBOR        7.250%        1/31/25        Caa1        2,297,925  
  584    

PEAK 10, Inc., Term Loan B

    5.193%        3-Month LIBOR        3.500%        8/01/24        B        588,069  
  52    

PEAK 10, Inc., Term Loan, Second Lien

    8.627%        3-Month LIBOR        7.250%        8/01/25        CCC+        53,009  
  1,741    

Tempo Acquisition LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        5/01/24        B1        1,751,776  
  1,000    

Vantiv, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        8/07/24        BBB–        1,007,985  
  985    

WEX, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/01/23        BB–        998,233  
  20,750    

Total IT Services

 

                                20,708,174  
      Leisure Products – 1.3% (0.9% of Total Investments)                              
  1,543    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.443%        3-Month LIBOR        3.750%        5/28/21        Ba3        1,558,401  
  961    

Academy, Ltd., Term Loan B

    5.546%        1-Month LIBOR        4.000%        7/01/22        B3        776,684  
  1,835    

Equinox Holdings, Inc., Term Loan B1

    4.573%        1-Month LIBOR        3.000%        3/08/24        B+        1,856,660  
  990    

Four Seasons Holdings, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        11/30/23        N/R        1,000,316  
  1,000    

Zodiac Pool Solutions LLC, Term Loan, Second Lien

    10.693%        3-Month LIBOR        9.000%        12/20/24        CCC+        1,016,250  
  6,329    

Total Leisure Products

 

                                6,208,311  
      Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)                              
  566    

Inventiv Health, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        8/01/24        Ba2        569,876  
  998    

Parexel International Corp., Term Loan B

    4.323%        1-Month LIBOR        2.750%        9/27/24        B1        1,006,103  
  1,564    

Total Life Sciences Tools & Services

 

                                1,575,979  
      Machinery – 1.1% (0.7% of Total Investments)                       
  2,402    

Gardner Denver, Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        7/30/24        B+        2,417,281  
  1,053    

Gates Global LLC, Term Loan B

    4.693%        3-Month LIBOR        2.750%        4/01/24        B+        1,062,179  
  1,000    

Navistar, Inc., Tranche B, Term Loan

    5.060%        1-Month LIBOR        3.500%        11/06/24        Ba3        1,010,420  
  415    

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

    3.810%        1-Month LIBOR        2.250%        8/21/24        BB+        418,453  
  4,870    

Total Machinery

 

                                4,908,333  
      Marine – 0.1% (0.1% of Total Investments)                       
  912    

American Commercial Lines LLC, Term Loan B, First Lien

    10.323%        1-Month LIBOR        8.750%        11/12/20        CCC+        550,210  
      Media – 12.8% (8.2% of Total Investments)                       
  1,154    

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

    5.017%        2-Month LIBOR        3.250%        7/23/21        B1        1,142,296  
  1,489    

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

    9.160%        3-Month LIBOR        7.750%        5/10/22        B2        1,543,648  
  4,658    

Catalina Marketing Corporation, Term Loan, First Lien

    5.073%        1-Month LIBOR        3.500%        4/09/21        B1        3,780,857  
  1,500    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.323%        1-Month LIBOR        6.750%        4/11/22        Caa1        627,375  
  5,404    

Cequel Communications LLC, Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/28/25        BB        5,422,125  
  3,940    

Charter Communications Operating Holdings LLC, Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/30/25        BBB–        3,968,013  
  3,560    

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

    8.443%        3-Month LIBOR        6.750%        1/30/19        Caa1        2,738,948  
  3,696    

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

    9.193%        3-Month LIBOR        7.500%        7/30/19        Caa1        2,834,086  
  1,500    

CSC Holdings LLC, Term Loan B

    4.139%        3-Month LIBOR        2.500%        1/12/26        BB–        1,513,133  
  8,848    

Cumulus Media, Inc., Term Loan B, (5)

    4.830%        1-Month LIBOR        3.250%        12/23/20        N/R        7,646,638  
  1,596    

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

    5.193%        3-Month LIBOR        3.500%        10/18/19        B3        1,518,170  

 

NUVEEN     55  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                       
$ 591    

Gray Television, Inc., Term Loan B2

    3.814%        1-Month LIBOR        2.250%        2/07/24        BB      $ 595,693  
  1,930    

IMG Worldwide, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        3.250%        5/06/21        B+        1,946,109  
  636    

Lions Gate Entertainment Corp., Term Loan B

    3.817%        1-Month LIBOR        2.250%        12/08/23        Ba2        643,489  
  5,181    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.573%        1-Month LIBOR        4.000%        5/02/22        BB+        5,183,036  
  2,333    

Meredith, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        2,362,022  
  458    

Nexstar Broadcasting Group, Term Loan

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        461,451  
  3,637    

Nexstar Broadcasting Group, Term Loan B

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        3,663,958  
  748    

Red Ventures, Term Loan B

    5.573%        1-Month LIBOR        4.000%        11/08/24        B+        758,038  
  1,948    

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

    4.979%        3-Month LIBOR        3.500%        8/15/22        B        1,959,624  
  8,184    

Univision Communications, Inc., Term Loan C5

    4.323%        1-Month LIBOR        2.750%        3/15/24        BB–        8,201,394  
  251    

Yell Group PLC, Term Loan A2, First Lien

    8.413%        3-Month LIBOR        7.000%        9/07/21        N/R        256,383  
  248    

Yell Group PLC, Term Loan B2, First Lien

    8.500%        N/A        N/A        9/07/65        N/R        652,203  
  63,490    

Total Media

 

                                59,418,689  
      Metals & Mining – 0.6% (0.4% of Total Investments)                       
  1,244    

CanAm Construction, Inc., Term Loan B

    7.067%        1-Month LIBOR        5.500%        7/01/24        B        1,260,852  
  1,381    

Zekelman Industries, Term Loan B

    4.408%        3-Month LIBOR        2.750%        6/14/21        BB–        1,392,246  
  2,625    

Total Metals & Mining

 

                                2,653,098  
      Multiline Retail – 1.6% (1.1% of Total Investments)                       
  1,190    

Belk, Inc., Term Loan B, First Lien

    6.458%        3-Month LIBOR        4.750%        12/12/22        B2        1,028,631  
  5,650    

Dollar Tree, Inc., Term Loan B2

    4.250%        N/A        N/A        7/06/22        BBB–        5,710,031  
  922    

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

    4.718%        3-Month LIBOR        3.250%        9/30/22        N/R        893,724  
  7,762    

Total Multiline Retail

 

                                7,632,386  
      Oil, Gas & Consumable Fuels – 3.3% (2.1% of Total Investments)                       
  1,455    

BCP Renaissance Parent, Term Loan B

    5.772%        3-Month LIBOR        4.000%        10/31/24        BB–        1,474,850  
  1,250    

California Resources Corporation, Term Loan

    11.936%        1-Month LIBOR        10.375%        12/31/21        B        1,421,875  
  1,400    

California Resources Corporation, Term Loan B

    6.306%        1-Month LIBOR        4.750%        12/31/22        B        1,429,470  
  657    

Crestwood Holdings LLC, Term Loan B

    9.436%        3-Month LIBOR        8.000%        6/19/19        B–        661,033  
  241    

Energy and Exploration Partners, Term Loan, Second Lien, (cash 5.000%, PIK 5.000%), (5)

    5.000%        N/A        N/A        5/13/22        N/R        3,609  
  903    

Fieldwood Energy LLC, Term Loan, First Lien

    4.568%        3-Month LIBOR        2.875%        10/01/18        D        886,492  
  1,648    

Fieldwood Energy LLC, Term Loan, First Lien

    8.693%        3-Month LIBOR        7.000%        8/31/20        D        1,588,548  
  854    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        D        140,951  
  2,109    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        D        1,383,290  
  3,391    

Harvey Gulf International Marine, Inc., Term Loan B, (5)

    0.000%        N/A        N/A        6/18/20        CCC–        1,580,999  
  1,215    

Peabody Energy Corporation, Term Loan B

    5.073%        1-Month LIBOR        3.500%        3/31/22        N/R        1,233,318  
  3,953    

Seadrill Partners LLC, Initial Term Loan, (DD1)

    4.693%        3-Month LIBOR        3.000%        2/21/21        CCC+        3,491,539  
  45    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.000%)

    3.500%        N/A        N/A        4/13/23        CCC+        44,124  
  19,121    

Total Oil, Gas & Consumable Fuels

 

                                15,340,098  
      Pharmaceuticals – 1.4% (0.9% of Total Investments)                       
  2,362    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.823%        1-Month LIBOR        4.250%        10/21/21        Caa2        2,045,006  
  4,397    

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

    4.387%        1-Month LIBOR        2.750%        8/18/22        Ba3        4,433,023  

 

  56     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Pharmaceuticals (continued)                       
$ 44    

Valeant Pharmaceuticals International, Inc., Term Loan B

    5.060%        1-Month LIBOR        3.500%        4/01/22        N/R      $ 44,424  
  6,803    

Total Pharmaceuticals

 

                                6,522,453  
      Professional Services – 1.8% (1.1% of Total Investments)                       
  618    

Ceridian Corporation, Term Loan B2

    5.067%        1-Month LIBOR        3.500%        9/15/20        Ba3        622,840  
  5,496    

Formula One Group, Term Loan B

    4.074%        1-Month LIBOR        2.500%        2/01/24        B+        5,527,335  
  1,985    

Nielsen Finance LLC, Term Loan B4

    3.553%        1-Month LIBOR        2.000%        10/04/23        BBB–        2,000,394  
  8,099    

Total Professional Services

 

                                8,150,569  
      Real Estate Management & Development – 1.0% (0.6% of Total Investments)                       
  2,028    

Capital Automotive LP, Term Loan, First Lien

    4.073%        1-Month LIBOR        2.500%        3/25/24        B1        2,043,680  
  2,443    

Capital Automotive LP, Term Loan, Second Lien

    7.573%        1-Month LIBOR        6.000%        3/24/25        CCC+        2,503,906  
  4,471    

Total Real Estate Management & Development

 

                                4,547,586  
      Road & Rail – 0.3% (0.2% of Total Investments)                       
  1,470    

Quality Distribution, Incremental Term Loan, First Lien

    7.193%        3-Month LIBOR        5.500%        8/18/22        N/R        1,488,375  
      Semiconductors & Semiconductor Equipment – 1.4% (0.9% of Total Investments)                       
  1,064    

Cypress Semiconductor Corp, Term Loan B

    4.320%        1-Month LIBOR        2.750%        7/05/21        BB        1,078,711  
  1,284    

Lumileds, Term Loan B

    5.074%        1-Month LIBOR        4.500%        6/30/24        Ba3        1,298,689  
  1,231    

Micron Technology, Inc., Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/26/22        Baa2        1,242,922  
  1,387    

Microsemi Corporation, Term Loan B

    3.561%        1-Month LIBOR        2.000%        1/15/23        BB        1,398,255  
  1,515    

On Semiconductor Corp., Term Loan B

    3.573%        1-Month LIBOR        2.000%        3/31/23        Ba1        1,527,971  
  6,481    

Total Semiconductors & Semiconductor Equipment

 

                                6,546,548  
      Software – 13.1% (8.4% of Total Investments)                       
  4,600    

Avaya Inc., Term Loan, First Lien

    6.309%        1-Month LIBOR        4.750%        12/15/24        B+        4,629,693  
  1,911    

Blackboard, Inc., Term Loan B4

    6.734%        3-Month LIBOR        5.000%        6/30/21        B1        1,879,090  
  5,695    

BMC Software, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        9/10/22        B+        5,732,468  
  4,616    

Compuware Corporation, Term Loan B3

    5.550%        2-Month LIBOR        4.250%        12/15/21        B        4,616,045  
  212    

Compuware Corporation, Term Loan, Second Lien

    9.820%        1-Month LIBOR        8.250%        12/15/22        B–        212,389  
  2,162    

Ellucian, Term Loan B, First Lien

    4.943%        3-Month LIBOR        3.250%        9/30/22        B        2,177,211  
  10,046    

Infor (US), Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        2/01/22        BB        10,111,900  
  1,681    

Informatica, Term Loan B

    4.943%        3-Month LIBOR        3.250%        8/05/22        B        1,692,256  
  1,238    

Kronos Incorporated, Term Loan, First Lien

    4.903%        3-Month LIBOR        3.500%        11/01/23        B        1,251,303  
  3,197    

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

    6.067%        1-Month LIBOR        4.500%        9/30/24        B1        3,233,235  
  750    

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

    10.067%        1-Month LIBOR        8.500%        9/29/25        B–        756,874  
  903    

Micro Focus International PLC, New Term Loan

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        908,675  
  6,097    

Micro Focus International PLC, Term Loan B

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        6,136,510  
  2,943    

Micro Focus International PLC, Term Loan B2

    4.073%        1-Month LIBOR        2.500%        11/19/21        BB–        2,963,544  
  636    

Misys, New Term Loan, Second Lien

    8.729%        3-Month LIBOR        7.250%        6/13/25        BB–        641,893  
  56    

Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (21)

    4.814%        3-Month LIBOR        3.250%        11/29/24        B1        56,327  
  694    

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

    4.943%        3-Month LIBOR        3.250%        11/29/24        B1        698,454  
  1,000    

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

    8.943%        3-Month LIBOR        7.250%        12/01/25        Caa2        1,013,750  
  1,485    

RP Crown Parent, LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        10/15/23        N/R        1,497,838  
  1,431    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB        1,441,548  

 

NUVEEN     57  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                       
$ 22    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB      $ 22,391  
  7,867    

Tibco Software, Inc., Term Loan, First Lien

    5.070%        1-Month LIBOR        3.500%        12/04/20        B1        7,925,593  
  1,111    

Vertafore, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        6/30/23        B        1,124,546  
  60,353    

Total Software

 

                                60,723,533  
      Specialty Retail – 1.5% (0.9% of Total Investments)                       
  2,273    

99 Cents Only Stores, Tranche B2, Term Loan, Second Lien

    8.029%        3-Month LIBOR        6.500%        1/13/22        CCC+        2,229,463  
  546    

Neiman Marcus Group, Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Caa1        469,838  
  3,889    

Petco Animal Supplies, Inc., Term Loan B1

    4.772%        3-Month LIBOR        3.000%        1/26/23        B1        2,962,642  
  1,333    

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

    4.570%        1-Month LIBOR        3.000%        3/11/22        B1        1,084,710  
  8,041    

Total Specialty Retail

 

                                6,746,653  
      Technology Hardware, Storage & Peripherals – 6.5% (4.1% of Total Investments)                       
  973    

Conduent, Inc., Term Loan B

    4.573%        1-Month LIBOR        3.000%        12/07/23        N/R        984,820  
  11,469    

Dell International LLC, Refinancing Term Loan B

    3.580%        1-Month LIBOR        2.000%        9/07/23        BBB–        11,527,286  
  5,465    

Dell International LLC, Replacement Term Loan A2

    3.330%        1-Month LIBOR        1.750%        9/07/21        BBB–        5,477,137  
  2,358    

Dell International LLC, Replacement Term Loan A3

    3.080%        1-Month LIBOR        1.500%        12/31/18        BBB–        2,359,111  
  1,212    

Dell Software Group, Repriced Term Loan B

    7.272%        3-Month LIBOR        5.500%        10/31/22        B        1,240,267  
  8,486    

Western Digital U.S., Term Loan B3

    3.561%        1-Month LIBOR        2.000%        4/29/23        Baa2        8,558,575  
  29,963    

Total Technology Hardware, Storage & Peripherals

 

                                30,147,196  
      Transportation Infrastructure – 1.8% (1.2% of Total Investments)                              
  6,874    

Avolon, Repriced Term Loan B2

    3.811%        1-Month LIBOR        2.250%        3/21/22        N/R        6,871,808  
  83    

Ceva Group PLC, Canadian Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        81,060  
  482    

Ceva Group PLC, Dutch B.V., Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        470,149  
  475    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        N/A        N/A        3/19/21        B–        463,190  
  665    

Ceva Group PLC, US Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        648,482  
  8,579    

Total Transportation Infrastructure

 

                                8,534,689  
      Wireless Telecommunication Services – 3.6% (2.3% of Total Investments)                              
  2,064    

Asurion LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/04/22        Ba3        2,081,898  
  1,891    

Asurion LLC, Term Loan B5

    4.573%        1-Month LIBOR        3.000%        11/03/23        Ba3        1,908,123  
  6,947    

Sprint Corporation, Term Loan, First Lien

    4.125%        1-Month LIBOR        2.500%        2/02/24        Ba2        6,974,283  
  2,557    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        2,552,494  
  1,395    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        1,392,783  
  1,841    

UPC Financing Partnership, Term Loan AR1, First Lien

    4.059%        1-Month LIBOR        2.500%        1/15/26        BB        1,851,821  
  16,695    

Total Wireless Telecommunication Services

 

                                16,761,402  
$ 596,349    

Total Variable Rate Senior Loan Interests (cost $588,584,456)

 

                                584,312,689  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CORPORATE BONDS – 18.9% (12.1% of Total Investments)                       
      Diversified Telecommunication Services – 3.9% (2.5% of Total Investments)                       
$ 1,232    

Intelsat Connect Finance SA, 144A

          12.500%        4/01/22        CCC–      $ 948,640  
  5,990    

IntelSat Jackson Holdings

          5.500%        8/01/23        CCC+        4,702,150  
  5,580    

IntelSat Jackson Holdings

          9.750%        7/15/25        CCC+        5,131,926  
  1,005    

IntelSat Limited

          6.750%        6/01/18        CCC–        984,900  
  8,012    

IntelSat Limited

          7.750%        6/01/21        CCC–        3,623,026  

 

  58     NUVEEN


Principal
Amount (000)
    Description (1)                  Coupon      Maturity      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)                             
$ 4,630    

IntelSat Limited

         8.125%        6/01/23        CCC–      $ 1,967,750  
  750    

Level 3 Financing Inc.

                     5.375%        8/15/22        BB        761,250  
  27,199    

Total Diversified Telecommunication Services

 

                               18,119,642  
      Equity Real Estate Investment Trusts – 0.7% (0.5% of Total Investments)                             
  3,250    

Realogy Group LLC / Realogy Co-Issuer Corporation, 144A

                     5.250%        12/01/21        B1        3,351,563  
      Health Care Providers & Services – 1.0% (0.7% of Total Investments)                             
  4,500    

HCA Inc.

                     6.500%        2/15/20        BBB–        4,798,125  
      Hotels, Restaurants & Leisure – 1.4% (0.9% of Total Investments)                             
  1,000    

MGM Resorts International Inc.

         5.250%        3/31/20        BB        1,035,000  
  917    

Scientific Games Corporation, 144A

         7.000%        1/01/22        Ba3        967,435  
  4,200    

Scientific Games International Inc.

                     10.000%        12/01/22        B–        4,593,750  
  6,117    

Total Hotels, Restaurants & Leisure

 

                               6,596,185  
      Household Durables – 1.1% (0.7% of Total Investments)                             
  4,900    

Lennar Corporation

                     4.125%        12/01/18        BB+        4,949,000  
      Media – 3.8% (2.4% of Total Investments)                             
  150    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

         3.579%        7/23/20        BBB–        152,002  
  11,043    

Clear Channel Communications Inc., (5), (8)

         12.000%        8/01/21        N/R         
  2,000    

Dish DBS Corporation

         5.125%        5/01/20        Ba3        2,032,500  
  1,000    

Dish DBS Corporation

         5.875%        11/15/24        Ba3        948,125  
  1,325    

Hughes Satellite Systems Corporation

         6.500%        6/15/19        BBB–        1,383,022  
  1,714    

iHeartCommunications, Inc., 144A, (5)

         11.250%        3/01/21        Caa1        1,199,800  
  4,662    

iHeartCommunications, Inc., (5)

         9.000%        12/15/19        Caa1        3,589,740  
  17,287    

iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)

         14.000%        2/01/21        Ca        1,037,240  
  7,850    

iHeartCommunications, Inc., (5)

         9.000%        3/01/21        Caa1        5,691,250  
  1,365    

Neptune Finco Corporation, 144A

                     10.125%        1/15/23        B2        1,539,891  
  48,396    

Total Media

 

                               17,573,570  
      Oil, Gas & Consumable Fuels – 2.0% (1.2% of Total Investments)                             
  5,170    

California Resources Corporation, 144A

         8.000%        12/15/22        CCC+        4,326,644  
  500    

Denbury Resources Inc.

         6.375%        8/15/21        CCC–        422,500  
  1,814    

Denbury Resources Inc.

         9.250%        3/31/22        B        1,859,350  
  600    

EP Energy LLC and Everest Acquisition Finance, Inc.

         9.375%        5/01/24        Caa2        508,500  
  1,989    

FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)

                     8.820%        6/15/20        B+        2,018,835  
  10,073    

Total Oil, Gas & Consumable Fuels

 

                               9,135,829  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                       
  600    

Concordia Healthcare Corporation, 144A, (5)

                     7.000%        4/15/23        C        57,000  
      Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)                       
  1,394    

Advanced Micro Devices, Inc.

                     7.500%        8/15/22        B–        1,547,340  
      Software – 1.8% (1.1% of Total Investments)                       
  155    

Avaya Inc., (8)

         7.000%        4/01/19        NA         
  3,830    

Avaya Inc., (8)

         10.500%        3/01/21        NA         
  3,925    

BMC Software Finance Inc., 144A

         8.125%        7/15/21        CCC+        3,929,906  
  552    

Boxer Parent Company Inc./BMC Software, 144A, (cash 9.000%, PIK 9.750%)

         9.000%        10/15/19        CCC+        553,380  
  3,500    

Infor Us Inc., 144A

                     5.750%        8/15/20        BB        3,592,575  
  11,962    

Total Software

 

                               8,075,861  

 

NUVEEN     59  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)                  Coupon      Maturity      Ratings (4)      Value  
      Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)                       
$ 4,000    

Western Digital Corporation, 144A

                     7.375%        4/01/23        Baa2      $ 4,355,000  
      Wireless Telecommunication Services – 2.0% (1.3% of Total Investments)                       
  1,450    

Sprint Communications Inc.

         7.000%        8/15/20        B+        1,530,362  
  6,000    

Sprint Corporation

         7.875%        9/15/23        B+        6,337,500  
  500    

Sprint Corporation

         7.125%        6/15/24        B+        506,875  
  800    

Syniverse Foreign Holdings Corporation, 144A

         9.125%        1/15/22        B        829,000  
  175    

T-Mobile USA Inc.

                     6.836%        4/28/23        BB+        182,648  
  8,925    

Total Wireless Telecommunication Services

 

                               9,386,385  
$ 131,316    

Total Corporate Bonds (cost $102,869,304)

 

                               87,945,500  
Shares     Description (1)                                          Value  
      COMMON STOCKS – 2.7% (1.7% of Total Investments)                
      Diversified Consumer Services – 0.1% (0.0% of Total Investments)                       
  71,949    

Cengage Learning Holdings II LP, (6)

                $ 530,624  
  3,124,035    

Education Management Corporation, (6)

                                                12,496  
 

Total Diversified Consumer Services

 

                               543,120  
      Energy Equipment & Services – 0.9% (0.5% of Total Investments)                       
  60,418    

C&J Energy Services Inc., (6)

                  1,849,999  
  58,041    

Ocean Rig UDW Inc., (6)

                  1,562,464  
  2,534    

Vantage Drill International, (6)

                                                557,480  
 

Total Energy Equipment & Services

 

                               3,969,943  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                       
  54,276    

Millenium Health LLC, (6)

                                                5,916  
      Media – 0.6% (0.4% of Total Investments)                       
  963,320    

Hibu PLC, (6), (7)

                  1  
  23,363    

Metro-Goldwyn-Mayer, (6)

                  2,678,965  
  36,087    

Tribune Media Company

                                                1,804  
 

Total Media

 

                               2,680,770  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                       
  46    

Southcross Holdings Borrower LP, (6)

                                                17,250  
      Software – 1.0% (0.7% of Total Investments)                       
  229,425    

Avaya Holdings Corporation., (6)

                                                4,790,394  
      Specialty Retail – 0.1% (0.1% of Total Investments)                       
  8,181    

Gymboree Corporation, (6), (8)

                  116,120  
  22,273    

Gymboree Corporation, (6)

                                                378,641  
 

Total Specialty Retail

 

                               494,761  
 

Total Common Stocks (cost $17,819,129)

 

                               12,502,154  
Principal
Amount (000)
    Description (1)                  Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES – 1.5% (0.9% of Total Investments)                
$ 675    

Bristol Park CLO Limited, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread)

         8.972%        4/15/29        Ba3      $ 707,107  
  800    

Dryden Senior Loan Fund, Series 2017-50A, (3-Month LIBOR reference rate + 6.260% spread)

         7.980%        7/15/30        Ba3        815,627  
  750    

Gilbert Park CLO LTD, Series 2017-1A

         7.765%        10/15/30        Ba3        764,279  

 

  60     NUVEEN


Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      ASSET-BACKED SECURITIES (continued)                
$ 1,250    

Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, (3-Month LIBOR reference rate + 5.500% spread)

          7.245%        4/20/26        Ba3      $ 1,252,675  
  500    

North End CLO Limited, Loan Pool, 144A, (3-Month LIBOR reference rate + 4.600% spread)

          6.331%        7/17/25        BB        496,322  
  2,000    

Octagon Investment Partners, Series 2015-1A, (3-Month LIBOR reference rate + 5.850% spread)

          7.595%        10/20/26        N/R        2,006,880  
  750    

OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread)

                      9.067%        10/30/27        BB        759,292  
$ 6,725    

Total Asset-Backed Securities (cost $6,483,715)

 

                                         6,802,182  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CONVERTIBLE BONDS – 0.0% (0.0% of Total Investments)                              
      Communications Equipment – 0.0% (0.0% of Total Investments)                              
$ 550    

Nortel Networks Limited, (5)

                      1.750%        4/15/12        N/R      $ 26,125  
$ 550    

Total Convertible Bonds (cost $21,821)

                                                 26,125  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)                              
  15,619    

Avaya Holdings Corp., (8)

                                               $ 16,764  
       

Total Warrants (cost $1,460,830)

 

                                         16,764  
Shares     Description (1)                   Coupon              Ratings (4)      Value  
      $25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)                       
      Diversified Consumer Services – 0.0% (0.0% of Total Investments)                       
  3,476    

Education Management Corporation, (8)

                      7.500%                 N/R      $  
 

Total $25 Par (or similar) Retail Preferred (cost $8,437)

 

                                 
 

Total Long-Term Investments (cost $717,247,692)

 

                                691,605,414  
Shares     Description (1)                                           Value  
      SHORT-TERM INVESTMENTS – 7.6% (4.9% of Total Investments)                       
      INVESTMENT COMPANIES – 7.6% (4.9% of Total Investments)                       
  35,466,645    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

 

                                       $ 35,466,645  
 

Total Short-Term Investments (cost $35,466,645)

 

                                35,466,645  
 

Total Investments (cost $752,714,337) – 156.6%

 

                                727,072,059  
 

Borrowings – (38.5)% (10), (11)

 

                                (178,800,000
 

Term Preferred Shares, net of deferred offering costs – (17.8)% (12)

 

                                (82,788,055
 

Other Assets Less Liabilities – (0.3)% (13)

 

                                (1,265,644
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 464,218,360  

 

NUVEEN     61  


JRO    Nuveen Floating Rate Income Opportunity Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 8,000,000       Pay       1-Month LIBOR       2.250 %(14)      Monthly       12/01/23 (15)    $ (116,208   $ (116,208

Morgan Stanley Capital Services LLC

    10,000,000       Pay       1-Month LIBOR       2.500 (16)      Monthly       1/01/22 (17)      (105,091     (105,091

Morgan Stanley Capital Services LLC

    21,000,000       Pay       1-Month LIBOR       2.500 (18)      Monthly       4/01/22 (19)      (239,977     (239,977

Morgan Stanley Capital Services LLC

    45,000,000       Pay       1-Month LIBOR       4.000       Monthly       1/01/27 (20)      (956,605     (956,605

Total

  $ 84,000,000                                             $ (1,417,881   $ (1,417,881

Total unrealized appreciation on interest rate swaps

 

                                  $  

Total unrealized depreciation on interest rate swaps

 

                                  $ (1,417,881

 

  62     NUVEEN


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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 24.6%.

 

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

 

(12) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.4%.

 

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

 

(14) Effective December 1, 2018, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every two years on specific dates through the swap contract’s termination date.

 

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

 

(16) Effective January 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(17) This interest rate swap has an optional early termination date beginning on January 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(18) Effective April 1, 2020, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every twelve months on specific dates through the swap contract’s termination date.

 

(19) This interest rate swap has an optional early termination date beginning on July 1, 2019 and monthly thereafter through the termination date as specified in the swap contract.

 

(20) This interest rate swap has an optional early termination date beginning on January 1, 2021 and monthly thereafter through the termination date as specified in the swap contract.

 

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

 

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

 

DD1 Portion of investment purchased on a delayed delivery basis.

 

LIBOR London Inter-Bank Offered Rate

 

N/A Not applicable

 

PIK Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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

 

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

 

NUVEEN     63  


JSD

 

Nuveen Short Duration Credit Opportunities Fund

  

Portfolio of Investments

   January 31, 2018 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 155.0% (96.7% of Total Investments)

 

           
 

VARIABLE RATE SENIOR LOAN INTERESTS – 131.8% (82.2% of Total Investments) (2)

 

        
      Aerospace & Defense – 3.3% (2.1% of Total Investments)                              
$ 3,069    

Sequa Corporation, Term Loan B

    6.549%        3-Month LIBOR        5.000%        11/28/21        B–      $ 3,118,470  
  1,062    

Sequa Corporation, Term Loan, Second Lien

    10.753%        3-Month LIBOR        9.000%        4/26/22        CCC        1,085,319  
  1,667    

Transdigm, Inc., Term Loan F

    4.365%        1-Month LIBOR        2.750%        6/09/23        Ba2        1,684,364  
  5,798    

Total Aerospace & Defense

                                                 5,888,153  
      Air Freight & Logistics – 0.9% (0.6% of Total Investments)                              
  850    

PAE Holding Corporation, Term Loan B

    7.124%        2-Month LIBOR        5.500%        10/20/22        B+        856,576  
  722    

XPO Logistics, Inc., Refinanced Term Loan

    3.958%        3-Month LIBOR        2.250%        11/01/21        BB+        728,675  
  1,572    

Total Air Freight & Logistics

                                                 1,585,251  
      Airlines – 2.3% (1.4% of Total Investments)                              
  960    

American Airlines, Inc., Replacement Term Loan

    3.567%        1-Month LIBOR        2.000%        6/27/20        BB+        965,268  
  1,697    

American Airlines, Inc., Replacement Term Loan

    3.554%        1-Month LIBOR        2.000%        10/10/21        BB+        1,705,988  
  1,453    

American Airlines, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        12/14/23        BB+        1,459,454  
  4,110    

Total Airlines

                                                 4,130,710  
      Auto Components – 0.7% (0.4% of Total Investments)                              
  748    

DexKo Global, Inc., Term Loan B

    5.241%        3-Month LIBOR        3.500%        7/24/24        B        759,115  
  497    

Superior Industries International, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        5/22/24        B1        507,377  
  1,245    

Total Auto Components

                                                 1,266,492  
      Automobiles – 0.1% (0.0% of Total Investments)                              
  103    

DexKo Global, Inc., Term Loan B, (16)

    4.155%        3-Month LIBOR        3.500%        7/24/24        B1        103,641  
      Biotechnology – 1.1% (0.7% of Total Investments)                              
  1,985    

Grifols, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        1/31/25        BB        1,999,580  
      Building Products – 0.8% (0.5% of Total Investments)                              
  1,445    

Quikrete Holdings, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        11/15/23        BB–        1,454,410  
      Capital Markets – 0.4% (0.3% of Total Investments)                              
  738    

RPI Finance Trust, Term Loan B6

    3.693%        3-Month LIBOR        2.000%        3/27/23        Baa2        744,046  
      Chemicals – 1.0% (0.6% of Total Investments)                              
  428    

Ineos US Finance LLC, Term Loan

    3.573%        1-Month LIBOR        2.000%        4/01/24        BB+        430,222  
  399    

Mineral Technologies, Inc., Term Loan B2

    4.750%        N/A        N/A        5/07/21        BB+        406,218  
  978    

Univar, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        7/01/24        BB        988,236  
  1,805    

Total Chemicals

                                                 1,824,676  
      Commercial Services & Supplies – 5.0% (3.1% of Total Investments)                              
  495    

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

    5.696%        2-Month LIBOR        4.000%        10/19/23        B2        497,012  
  1,790    

iQor US, Inc., Term Loan, First Lien

    6.695%        3-Month LIBOR        5.000%        4/01/21        B        1,794,495  
  167    

iQor US, Inc., Term Loan, Second Lien

    10.445%        3-Month LIBOR        8.750%        4/01/22        CCC+        161,667  
  772    

KAR Auction Services, Inc., Term Loan B5

    4.250%        3-Month LIBOR        2.500%        3/09/23        Ba2        780,720  
  833    

LSC Communications, Refinancing Term Loan

    7.067%        1-Month LIBOR        5.500%        9/30/22        Ba3        839,067  
  1,481    

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

    7.193%        3-Month LIBOR        5.500%        9/30/22        B2        1,486,434  

 

  64     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Commercial Services & Supplies (continued)                              
$ 584    

Protection One, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        5/02/22        BB–      $ 590,501  
  1,041    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.323%        1-Month LIBOR        4.750%        4/28/21        B–        1,021,045  
  983    

Universal Services of America, Initial Term Loan, First Lien

    5.443%        3-Month LIBOR        3.750%        7/28/22        B+        974,517  
  757    

West Corporation, Term Loan B

    5.573%        1-Month LIBOR        4.000%        10/10/24        Ba3        766,159  
  8,903    

Total Commercial Services & Supplies

                                                 8,911,617  
      Communications Equipment – 1.6% (1.0% of Total Investments)                              
  790    

Colorado Buyer, Inc., Term Loan, First Lien

    4.380%        3-Month LIBOR        3.000%        5/01/24        Ba3        796,733  
  365    

Colorado Buyer, Inc., Term Loan, Second Lien

    8.630%        3-Month LIBOR        7.250%        5/01/25        B3        369,028  
  768    

CommScope, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        12/29/22        Baa3        775,165  
  998    

Mitel US Holdings, Inc., Incremental Term Loan

    5.404%        2-Month LIBOR        3.750%        9/25/23        B+        1,010,901  
  2,921    

Total Communications Equipment

                                                 2,951,827  
      Construction & Engineering – 0.8% (0.5% of Total Investments)                              
  1,376    

Traverse Midstream Partners, Term Loan B

    5.850%        6-Month LIBOR        4.000%        9/21/24        B+        1,396,005  
      Containers & Packaging – 1.3% (0.8% of Total Investments)                              
  744    

Berry Global, Inc., Term Loan M

    3.816%        1-Month LIBOR        2.250%        10/01/22        BBB–        750,564  
  1,648    

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

    4.323%        1-Month LIBOR        2.750%        2/05/23        B+        1,662,740  
  2,392    

Total Containers & Packaging

                                                 2,413,304  
      Distributors – 0.3% (0.2% of Total Investments)                              
  607    

American Seafoods Group LLC, Term Loan B

    4.700%        3-Month LIBOR        3.250%        8/21/23        BB–        610,187  
      Diversified Consumer Services – 2.1% (1.3% of Total Investments)                              
  1,826    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.809%        1-Month LIBOR        4.250%        6/07/23        B+        1,779,206  
  594    

Houghton Mifflin, Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        5/28/21        B+        561,244  
  580    

Laureate Education, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        4/26/24        B+        585,814  
  752    

Vertiv Co., New Term Loan B

    5.568%        1-Month LIBOR        4.000%        11/30/23        Ba3        761,324  
  3,752    

Total Diversified Consumer Services

                                                 3,687,588  
      Diversified Financial Services – 2.0% (1.2% of Total Investments)                              
  580    

Freedom Mortgage Corporation, Initial Term Loan

    6.956%        3-Month LIBOR        5.500%        2/23/22        B+        587,582  
  731    

OM Group, Inc., Term Loan B

    5.943%        3-Month LIBOR        4.250%        2/21/24        B        735,522  
  2,059    

Veritas US, Inc., Term Loan B1

    6.193%        3-Month LIBOR        4.500%        1/27/23        B+        2,073,675  
  157    

Vizient, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        2/13/23        BB–        158,873  
  3,527    

Total Diversified Financial Services

                                                 3,555,652  
      Diversified Telecommunication Services – 8.9% (5.5% of Total Investments)                              
  750    

CenturyLink, Inc., Initial Term A Loan, (WI/DD)

    TBD        TBD        TBD        TBD        BBB–        747,281  
  3,743    

CenturyLink, Inc., Term Loan B

    4.317%        1-Month LIBOR        2.750%        1/31/25        BBB–        3,692,359  
  494    

DTI Holdings, Inc., Term Loan B, First Lien

    7.022%        2-Month LIBOR        5.250%        10/02/23        B        498,534  
  2,553    

Frontier Communications Corporation, Term Loan B

    5.330%        1-Month LIBOR        3.750%        1/14/20        BB–        2,507,465  
  1,980    

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

    5.443%        3-Month LIBOR        3.750%        12/01/23        B        1,997,385  
  1,272    

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

    5.212%        3-Month LIBOR        3.750%        11/30/23        B1        1,264,337  
  195    

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

    6.195%        3-Month LIBOR        4.500%        1/02/24        B1        197,905  
  312    

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

    6.625%        N/A        N/A        1/02/24        B1        314,464  
  2,247    

WideOpenWest Finance LLC, Term Loan B

    4.811%        1-Month LIBOR        3.250%        8/18/23        B        2,251,240  
  446    

Windstream Corporation, Term Loan B6

    5.560%        1-Month LIBOR        4.000%        3/29/21        BB–        423,756  

 

NUVEEN     65  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

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

Ziggo B.V., Term Loan E

    4.059%        1-Month LIBOR        2.500%        4/15/25        BB–      $ 2,001,250  
  15,992    

Total Diversified Telecommunication Services

 

                                15,895,976  
      Electrical Equipment – 0.3% (0.2% of Total Investments)                              
  541    

TTM Technologies, Term Loan B

    4.073%        1-Month LIBOR        2.500%        9/28/24        BBB–        543,906  
      Electric Utilities – 3.1% (1.9% of Total Investments)                              
  445    

EFS Cogen Holdings LLC, Term Loan B

    4.950%        3-Month LIBOR        3.250%        6/28/23        BB        449,805  
  2,620    

Energy Future Intermediate Holding Company, DIP Term Loan

    4.567%        1-Month LIBOR        3.000%        6/30/18        Ba3        2,632,453  
  462    

Helix Generation, Term Loan B

    5.443%        3-Month LIBOR        3.750%        6/03/24        BB        467,361  
  1,612    

Vistra Operations Co., Term Loan B

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        1,626,538  
  286    

Vistra Operations Co., Term Loan C

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        288,240  
  5,425    

Total Electric Utilities

                                                 5,464,397  
      Energy Equipment & Services – 0.1% (0.1% of Total Investments)                              
  150    

Ocean Rig UDW Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        151,766  
      Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)                              
  2,495    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.573%        1-Month LIBOR        3.000%        10/24/22        B+        2,409,588  
  2,647    

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

    5.323%        1-Month LIBOR        3.750%        12/18/20        Caa2        2,639,658  
  5,142    

Total Equity Real Estate Investment Trusts

                                                 5,049,246  
      Food & Staples Retailing – 6.2% (3.9% of Total Investments)                              
  8,691    

Albertson’s LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/25/21        BB        8,654,726  
  951    

Albertson’s LLC, Term Loan B6

    4.462%        3-Month LIBOR        3.000%        6/22/23        BB        946,472  
  167    

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

    4.953%        2-Month LIBOR        3.500%        2/03/24        B–        166,715  
  960    

Del Monte Foods Company, Term Loan, First Lien

    4.696%        3-Month LIBOR        3.250%        2/18/21        CCC+        821,198  
  665    

Save-A-Lot, Term Loan B

    7.573%        1-Month LIBOR        6.000%        12/05/23        B2        576,570  
  11,434    

Total Food & Staples Retailing

                                                 11,165,681  
      Food Products – 2.4% (1.5% of Total Investments)                              
  1,718    

Jacobs Douwe Egberts, Term Loan B

    3.688%        3-Month LIBOR        2.250%        7/04/22        BB        1,734,537  
  377    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    3.000%        1-Week LIBOR        1.500%        3/03/21        BB+        376,995  
  2,244    

US Foods, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        6/27/23        BB        2,270,014  
  4,339    

Total Food Products

                                                 4,381,546  
      Health Care Equipment & Supplies – 2.7% (1.7% of Total Investments)                              
  704    

Acelity, Term Loan B

    4.943%        3-Month LIBOR        3.250%        2/02/24        B1        706,062  
  380    

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

    7.073%        1-Month LIBOR        5.500%        8/04/21        B1        380,533  
  777    

ConvaTec, Inc., Term Loan B

    3.943%        3-Month LIBOR        2.250%        10/25/23        BB        785,960  
  832    

Greatbatch, New Term Loan B

    4.810%        1-Month LIBOR        3.250%        10/27/22        B+        841,773  
  1,303    

Onex Carestream Finance LP, Term Loan, First Lien

    5.693%        3-Month LIBOR        4.000%        6/07/19        B1        1,309,039  
  841    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.193%        3-Month LIBOR        8.500%        12/07/19        B–        834,991  
  4,837    

Total Health Care Equipment & Supplies

                                                 4,858,358  
      Health Care Providers & Services – 6.0% (3.8% of Total Investments)                              
  1,500    

Air Medical Group Holdings, Inc., Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        B1        1,520,063  

 

  66     NUVEEN


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

Air Medical Group Holdings, Inc., Term Loan, First Lien

    5.675%        3-Month LIBOR        4.000%        4/28/22        B1      $ 1,004,785  
  338    

Community Health Systems, Inc., Term Loan G

    4.229%        3-Month LIBOR        2.750%        12/31/19        Ba3        334,757  
  603    

Community Health Systems, Inc., Term Loan H

    4.479%        3-Month LIBOR        3.000%        1/27/21        Ba3        592,928  
  1,680    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.580%        1-Month LIBOR        3.000%        12/01/23        BB–        1,689,338  
  1,520    

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

    6.450%        3-Month LIBOR        4.750%        7/31/23        B2        1,547,217  
  500    

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

    10.070%        1-Month LIBOR        8.500%        7/31/24        CCC        507,190  
  659    

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

    8.073%        1-Month LIBOR        6.500%        12/21/20        CCC+        264,242  
  660    

MultiPlan, Inc., Term Loan B

    4.693%        3-Month LIBOR        3.000%        6/07/23        B+        665,618  
  750    

PharMerica, Term Loan, First Lien

    5.055%        1-Month LIBOR        3.500%        12/06/24        B        758,670  
  196    

Quorum Health Corp., Term Loan B

    8.323%        1-Month LIBOR        6.750%        4/29/22        B2        200,247  
  1,686    

Select Medical Corporation, Tranche B, Term Loan

    5.210%        2-Month LIBOR        3.500%        3/01/21        Ba2        1,705,239  
  11,087    

Total Health Care Providers & Services

                                                 10,790,294  
      Health Care Technology – 1.2% (0.8% of Total Investments)                              
  672    

Catalent Pharma Solutions, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        5/20/24        BB        676,989  
  1,489    

Emdeon, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        3/01/24        Ba3        1,499,916  
  2,161    

Total Health Care Technology

                                                 2,176,905  
      Hotels, Restaurants & Leisure – 7.1% (4.4% of Total Investments)                              
  1,963    

Burger King Corporation, Term Loan B3

    3.870%        1-Month LIBOR        2.250%        2/16/24        Ba3        1,976,634  
  565    

Caesars Entertainment Operating Company, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        10/07/24        BB        569,397  
  2,000    

Caesars Resort Collection, Term Loan, First Lien

    4.323%        1-Month LIBOR        2.750%        12/23/24        BB        2,026,130  
  1,525    

CCM Merger, Inc., Term Loan B

    4.319%        1-Month LIBOR        2.750%        8/09/21        BB–        1,540,746  
  1,645    

CityCenter Holdings LLC, Term Loan B

    4.073%        1-Month LIBOR        2.500%        4/18/24        BB–        1,660,415  
  975    

Life Time Fitness, Inc., Term Loan B

    4.228%        3-Month LIBOR        2.750%        6/10/22        BB–        984,008  
  2,178    

Scientific Games Corporation, Term Loan B4

    4.823%        1-Month LIBOR        3.250%        8/14/24        B+        2,195,143  
  1,735    

Station Casino LLC, Term Loan B

    4.070%        1-Month LIBOR        2.500%        6/08/23        BB        1,747,012  
  12,586    

Total Hotels, Restaurants & Leisure

                                                 12,699,485  
      Household Products – 1.1% (0.7% of Total Investments)                              
  1,945    

Revlon Consumer Products Corporation, Term Loan B, First Lien, (DDI)

    5.073%        1-Month LIBOR        3.500%        11/16/20        B1        1,544,633  
  448    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.130%        3-Month LIBOR        3.500%        11/08/23        B        439,670  
  2,393    

Total Household Products

                                                 1,984,303  
      Independent Power & Renewable Electricity Producers – 0.2% (0.1% of Total Investments)                       
  405    

Dynegy, Inc., Tranche Term Loan C2

    4.311%        1-Month LIBOR        2.750%        2/07/24        BB        409,116  
      Industrial Conglomerates – 2.1% (1.3% of Total Investments)                              
  1,350    

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

    5.996%        2-Month LIBOR        4.250%        6/16/24        B        1,369,064  
  750    

Education Advisory Board, Term Loan, First Lien

    5.484%        3-Month LIBOR        3.750%        11/15/24        B        756,098  
  1,191    

Foresight Energy LLC, Term Loan, First Lien

    7.443%        3-Month LIBOR        5.750%        3/28/22        B        1,155,419  
  312    

Robertshaw US Holding Corp., Term Loan, First Lien

    6.125%        2-Month LIBOR        4.500%        8/02/24        B1        314,446  

 

NUVEEN     67  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Industrial Conglomerates (continued)                              
$ 150    

Robertshaw US Holding Corp., Term Loan, Second Lien

    10.563%        1-Month LIBOR        9.000%        2/04/25        CCC+      $ 152,250  
  3,753    

Total Industrial Conglomerates

                                                 3,747,277  
      Insurance – 1.0% (0.6% of Total Investments)                              
  496    

Acrisure LLC, Term Loan B

    5.991%        3-Month LIBOR        4.250%        11/22/23        B        505,561  
  1,262    

Hub International Holdings, Inc., Initial Term Loan

    4.413%        3-Month LIBOR        3.000%        10/02/20        B1        1,272,184  
  1,758    

Total Insurance

                                                 1,777,745  
      Internet Software & Services – 2.5% (1.6% of Total Investments)                              
  982    

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

    4.830%        1-Month LIBOR        3.250%        10/19/23        B        991,716  
  762    

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

    4.385%        3-Month LIBOR        3.000%        11/03/23        BB–        769,782  
  1,279    

Sabre, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        2/22/24        Ba2        1,289,623  
  1,109    

SkillSoft Corporation, Term Loan, Second Lien

    9.823%        1-Month LIBOR        8.250%        4/28/22        CCC        1,004,015  
  440    

TierPoint LLC, Term Loan, First Lien

    5.323%        1-Month LIBOR        3.750%        5/05/24        B+        443,713  
  4,572    

Total Internet Software & Services

                                                 4,498,849  
      IT Services – 5.9% (3.7% of Total Investments)                              
  621    

Computer Sciences Government Services, Term Loan B

    3.693%        3-Month LIBOR        2.000%        11/30/23        BB+        625,110  
  750    

DigiCert, Term Loan, First Lien

    6.522%        3-Month LIBOR        4.750%        10/31/24        B+        763,500  
  4,950    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        4/26/24        BB        4,990,946  
  685    

Gartner, Inc., Term Loan A

    3.573%        1-Month LIBOR        2.000%        3/21/22        BB+        687,424  
  496    

Gartner, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        4/05/24        BB+        501,213  
  390    

PEAK 10, Inc., Term Loan B

    5.193%        3-Month LIBOR        3.500%        8/01/24        B        392,046  
  35    

PEAK 10, Inc., Term Loan, Second Lien

    8.627%        3-Month LIBOR        7.250%        8/01/25        CCC+        35,339  
  995    

Tempo Acquisition LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        5/01/24        B1        1,001,015  
  750    

Vantiv, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        8/07/24        BBB–        755,989  
  739    

WEX, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        7/01/23        BB–        748,675  
  10,411    

Total IT Services

                                                 10,501,257  
      Leisure Products – 1.5% (0.9% of Total Investments)                              
  1,029    

24 Hour Fitness Worldwide, Inc., Term Loan B

    5.443%        3-Month LIBOR        3.750%        5/28/21        Ba3        1,038,934  
  507    

Academy, Ltd., Term Loan B

    5.546%        1-Month LIBOR        4.000%        7/01/22        B3        409,739  
  1,251    

Equinox Holdings, Inc., Term Loan B1

    4.573%        1-Month LIBOR        3.000%        3/08/24        B+        1,265,905  
  2,787    

Total Leisure Products

                                                 2,714,578  
      Machinery – 1.2% (0.8% of Total Investments)                              
  958    

Gardner Denver, Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        7/30/24        B+        964,528  
  632    

Gates Global LLC, Term Loan B

    4.693%        3-Month LIBOR        2.750%        4/01/24        B+        637,307  
  582    

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

    6.193%        3-Month LIBOR        4.500%        11/27/20        B3        551,420  
  2,172    

Total Machinery

                                                 2,153,255  
      Marine – 0.2% (0.1% of Total Investments)                              
  684    

American Commercial Lines LLC, Term Loan B, First Lien

    10.323%        1-Month LIBOR        8.750%        11/12/20        B–        412,658  
      Media – 10.6% (6.6% of Total Investments)                              
  837    

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

    5.017%        2-Month LIBOR        3.250%        7/23/21        B1        828,623  
  993    

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

    9.160%        3-Month LIBOR        7.750%        5/10/22        B2        1,029,098  
  665    

Catalina Marketing Corporation, Term Loan, First Lien

    5.073%        1-Month LIBOR        3.500%        4/09/21        B1        540,122  

 

  68     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Media (continued)                              
$ 500    

Catalina Marketing Corporation, Term Loan, Second Lien

    8.323%        1-Month LIBOR        6.750%        4/11/22        Caa1      $ 209,125  
  2,812    

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

    8.443%        3-Month LIBOR        6.750%        1/30/19        Caa1        2,163,716  
  2,383    

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

    9.193%        3-Month LIBOR        7.500%        7/30/19        Caa1        1,826,942  
  500    

CSC Holdings LLC, Term Loan B

    4.139%        3-Month LIBOR        2.500%        1/12/26        BB–        504,378  
  2,693    

Cumulus Media, Inc., Term Loan B, (5)

    4.830%        1-Month LIBOR        3.250%        12/23/20        N/R        2,327,634  
  958    

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

    5.193%        3-Month LIBOR        3.500%        10/18/19        B3        910,902  
  443    

Gray Television, Inc., Term Loan B2

    3.814%        1-Month LIBOR        2.250%        2/07/24        BB        446,770  
  724    

IMG Worldwide, Inc., Term Loan, First Lien

    4.830%        1-Month LIBOR        3.250%        5/06/21        B+        729,791  
  424    

Lions Gate Entertainment Corp., Term Loan B

    3.817%        1-Month LIBOR        2.250%        12/08/23        Ba2        428,993  
  2,469    

McGraw-Hill Education Holdings LLC, Term Loan B

    5.573%        1-Month LIBOR        4.000%        5/02/22        B+        2,469,894  
  1,000    

Meredith, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        1,012,295  
  249    

Nexstar Broadcasting Group, Term Loan

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        250,599  
  1,975    

Nexstar Broadcasting Group, Term Loan B

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        1,989,706  
  249    

Red Ventures, Term Loan B

    5.573%        1-Month LIBOR        4.000%        11/08/24        B+        252,679  
  974    

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

    4.979%        3-Month LIBOR        3.500%        8/15/22        B        979,812  
  20,848    

Total Media

                                                 18,901,079  
      Metals & Mining – 1.0% (0.6% of Total Investments)                              
  871    

CanAm Construction, Inc., Term Loan B

    7.067%        1-Month LIBOR        5.500%        7/01/24        B        882,596  
  829    

Zekelman Industries, Term Loan B

    4.408%        3-Month LIBOR        2.750%        6/14/21        BB–        835,347  
  1,700    

Total Metals & Mining

                                                 1,717,943  
      Multiline Retail – 0.7% (0.4% of Total Investments)                              
  892    

Belk, Inc., Term Loan B, First Lien

    6.458%        3-Month LIBOR        4.750%        12/12/22        B2        771,473  
  461    

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

    4.718%        3-Month LIBOR        3.250%        9/30/22        BB        446,862  
  1,353    

Total Multiline Retail

                                                 1,218,335  
      Oil, Gas & Consumable Fuels – 4.3% (2.7% of Total Investments)                              
  1,091    

BCP Renaissance Parent, Term Loan B

    5.772%        3-Month LIBOR        4.000%        10/31/24        B+        1,106,138  
  750    

California Resources Corporation, Term Loan

    11.936%        1-Month LIBOR        10.375%        12/31/21        B        853,125  
  750    

California Resources Corporation, Term Loan B

    6.306%        1-Month LIBOR        4.750%        12/31/22        B        765,788  
  387    

Crestwood Holdings LLC, Term Loan B

    9.436%        3-Month LIBOR        8.000%        6/19/19        B–        389,740  
  90    

Energy and Exploration Partners, Term Loan, Second Lien (cash 5.000%, PIK 5.000%), (5)

    5.000%        N/A        N/A        5/13/22        N/R        1,353  
  137    

Fieldwood Energy LLC, Term Loan, First Lien

    4.568%        3-Month LIBOR        2.875%        10/01/18        B3        134,508  
  786    

Fieldwood Energy LLC, Term Loan, First Lien

    8.693%        3-Month LIBOR        7.000%        8/31/20        B3        758,261  
  461    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Ca        76,071  
  1,463    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Caa3        959,300  
  1,637    

Harvey Gulf International Marine, Inc., Term Loan B, (5)

    0.000%        N/A        N/A        6/18/20        CCC–        763,225  
  526    

Peabody Energy Corporation, Term Loan B

    5.073%        1-Month LIBOR        3.500%        3/31/22        Ba3        533,958  
  1,483    

Seadrill Partners LLC, Initial Term Loan, (DDI)

    4.693%        3-Month LIBOR        3.000%        2/21/21        CCC+        1,310,284  
  18    

Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)

    3.500%        N/A        N/A        4/13/23        CCC+        17,650  
  9,579    

Total Oil, Gas & Consumable Fuels

                                                 7,669,401  
      Pharmaceuticals – 2.2% (1.4% of Total Investments)                              
  1,350    

Concordia Healthcare Corporation, Term Loan B, First Lien

    5.823%        1-Month LIBOR        4.250%        10/21/21        Caa2        1,168,575  
  2,724    

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

    4.387%        1-Month LIBOR        2.750%        8/18/22        Ba3        2,746,352  

 

NUVEEN     69  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Pharmaceuticals (continued)                              
$ 50    

Valeant Pharmaceuticals International, Inc., Term Loan B

    5.060%        1-Month LIBOR        3.500%        4/01/22        BB–      $ 51,071  
  4,124    

Total Pharmaceuticals

                                                 3,965,998  
      Professional Services – 2.6% (1.6% of Total Investments)                              
  919    

Ceridian Corporation, Term Loan B2

    5.067%        1-Month LIBOR        3.500%        9/15/20        Ba3        925,561  
  2,748    

Formula One Group, Term Loan B

    4.074%        1-Month LIBOR        2.500%        2/01/24        B+        2,763,668  
  992    

Nielsen Finance LLC, Term Loan B4

    3.553%        1-Month LIBOR        2.000%        10/04/23        BBB–        1,000,197  
  4,659    

Total Professional Services

                                                 4,689,426  
      Real Estate Management & Development – 1.7% (1.0% of Total Investments)                              
  1,093    

Capital Automotive LP, Term Loan, First Lien

    4.073%        1-Month LIBOR        2.500%        3/25/24        B1        1,100,952  
  1,832    

Capital Automotive LP, Term Loan, Second Lien

    7.573%        1-Month LIBOR        6.000%        3/24/25        B3        1,877,929  
  2,925    

Total Real Estate Management & Development

 

                                         2,978,881  
      Road & Rail – 0.6% (0.3% of Total Investments)                              
  980    

Quality Distribution, Incremental Term Loan, First Lien

    7.193%        3-Month LIBOR        5.500%        8/18/22        B2        992,250  
      Semiconductors & Semiconductor Equipment – 1.9% (1.2% of Total Investments)                       
  856    

Lumileds, Term Loan B

    5.074%        1-Month LIBOR        4.500%        6/30/24        Ba3        865,792  
  985    

Micron Technology, Inc., Term Loan B

    3.580%        1-Month LIBOR        2.000%        4/26/22        Baa2        994,338  
  693    

Microsemi Corporation, Term Loan B

    3.561%        1-Month LIBOR        2.000%        1/15/23        BB        699,128  
  757    

On Semiconductor Corp., Term Loan B

    3.573%        1-Month LIBOR        2.000%        3/31/23        Ba1        763,985  
  3,291    

Total Semiconductors & Semiconductor Equipment

 

                                         3,323,243  
      Software – 13.4% (8.3% of Total Investments)                              
  1,800    

Avaya Inc., Term Loan, First Lien

    6.309%        1-Month LIBOR        4.750%        12/15/24        B        1,811,619  
  749    

Blackboard, Inc., Term Loan B4

    6.734%        3-Month LIBOR        5.000%        6/30/21        B1        736,448  
  2,687    

BMC Software, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        9/10/22        B+        2,704,685  
  1,744    

Compuware Corporation, Term Loan B3

    5.550%        2-Month LIBOR        4.250%        12/15/21        B        1,744,015  
  92    

Compuware Corporation, Term Loan, Second Lien

    9.820%        1-Month LIBOR        8.250%        12/15/22        B–        92,343  
  683    

Ellucian, Term Loan B, First Lien

    4.943%        3-Month LIBOR        3.250%        9/30/22        B        688,145  
  2,041    

Infor (US), Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        2/01/22        B1        2,054,307  
  1,260    

Informatica, Term Loan B

    4.943%        3-Month LIBOR        3.250%        8/05/22        B        1,268,391  
  990    

Kronos Incorporated, Term Loan, First Lien

    4.903%        3-Month LIBOR        3.500%        11/01/23        B        1,001,043  
  1,453    

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

    6.067%        1-Month LIBOR        4.500%        9/30/24        B1        1,469,653  
  500    

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

    10.067%        1-Month LIBOR        8.500%        9/29/25        B–        504,583  
  322    

Micro Focus International PLC, New Term Loan

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        324,527  
  2,178    

Micro Focus International PLC, Term Loan B

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        2,191,611  
  1,261    

Micro Focus International PLC, Term Loan B2

    4.073%        1-Month LIBOR        2.500%        11/19/21        BB–        1,270,090  
  371    

Misys, New Term Loan, Second Lien

    8.729%        3-Month LIBOR        7.250%        6/13/25        CCC+        374,871  
  19    

Mitchell International, Inc., Delayed Draw Term Loan, First Lien, (16)

    4.814%        3-Month LIBOR        3.250%        11/29/24        B1        18,776  
  231    

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

    4.943%        3-Month LIBOR        3.250%        11/29/24        B1        232,818  
  200    

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

    8.943%        3-Month LIBOR        7.250%        12/01/25        CCC        202,750  
  742    

RP Crown Parent, LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        10/15/23        B1        748,919  
  479    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        482,393  
  7    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        7,493  
  3,213    

Tibco Software, Inc., Term Loan, First Lien

    5.070%        1-Month LIBOR        3.500%        12/04/20        B1        3,236,861  

 

  70     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Software (continued)                              
$ 741    

Vertafore, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        6/30/23        B      $ 749,698  
  23,763    

Total Software

                                                 23,916,039  
      Specialty Retail – 1.2% (0.8% of Total Investments)                              
  273    

Neiman Marcus Group, Inc., Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        Caa1        234,919  
  1,987    

Petco Animal Supplies, Inc., Term Loan B1

    4.772%        3-Month LIBOR        3.000%        1/26/23        B1        1,513,613  
  501    

Petsmart Inc., Term Loan B, First Lien, (DDI)

    4.570%        1-Month LIBOR        3.000%        3/11/22        B1        408,129  
  2,761    

Total Specialty Retail

                                                 2,156,661  
      Technology Hardware, Storage & Peripherals – 6.7% (4.2% of Total Investments)                       
  649    

Conduent, Inc., Term Loan B

    4.573%        1-Month LIBOR        3.000%        12/07/23        BB+        656,547  
  2,711    

Dell International LLC, Refinancing Term Loan B

    3.580%        1-Month LIBOR        2.000%        9/07/23        BBB–        2,724,721  
  1,901    

Dell International LLC, Replacement Term Loan A2

    3.330%        1-Month LIBOR        1.750%        9/07/21        BBB–        1,905,091  
  337    

Dell International LLC, Replacement Term Loan A3

    3.080%        1-Month LIBOR        1.500%        12/31/18        BBB–        337,016  
  969    

Dell Software Group, Repriced Term Loan B

    7.272%        3-Month LIBOR        5.500%        10/31/22        B        992,213  
  5,425    

Western Digital U.S., Term Loan B3

    3.561%        1-Month LIBOR        2.000%        4/29/23        Baa2        5,471,418  
  11,992    

Total Technology Hardware, Storage & Peripherals

 

                                12,087,006  
      Transportation Infrastructure – 2.0% (1.3% of Total Investments)                              
  2,352    

Avolon, Repriced Term Loan B2

    3.811%        1-Month LIBOR        2.250%        3/21/22        BBB–        2,351,274  
  65    

Ceva Group PLC, Canadian Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        63,375  
  377    

Ceva Group PLC, Dutch B.V., Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        367,578  
  371    

Ceva Group PLC, Synthetic Letter of Credit Term Loan

    6.500%        N/A        N/A        3/19/21        B–        362,136  
  520    

Ceva Group PLC, US Term Loan

    7.272%        3-Month LIBOR        5.500%        3/19/21        B–        507,004  
  3,685    

Total Transportation Infrastructure

                                                 3,651,367  
      Wireless Telecommunication Services – 2.7% (1.7% of Total Investments)                              
  2,977    

Sprint Corporation, Term Loan, First Lien

    4.125%        1-Month LIBOR        2.500%        2/02/24        Ba2        2,988,978  
  1,167    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        1,164,817  
  594    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        593,004  
  4,738    

Total Wireless Telecommunication Services

                                                 4,746,799  
$ 241,306    

Total Variable Rate Senior Loan Interests (cost $236,789,443)

 

                                235,914,165  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      CORPORATE BONDS – 20.5% (12.8% of Total Investments)                              
      Diversified Telecommunication Services – 4.2% (2.6% of Total Investments)                              
$ 549    

Intelsat Connect Finance SA, 144A

          12.500%        4/01/22        CCC–      $ 422,730  
  3,360    

IntelSat Jackson Holdings

          5.500%        8/01/23        CCC+        2,637,600  
  1,790    

IntelSat Jackson Holdings

          9.750%        7/15/25        CCC+        1,646,263  
  215    

IntelSat Limited

          6.750%        6/01/18        CCC–        210,700  
  3,840    

IntelSat Limited

          7.750%        6/01/21        CCC–        1,736,448  
  2,100    

IntelSat Limited

                      8.125%        6/01/23        CCC–        892,500  
  11,854    

Total Diversified Telecommunication Services

 

                                7,546,241  
      Health Care Providers & Services – 1.2% (0.7% of Total Investments)                              
  2,000    

HCA Inc.

                      6.500%        2/15/20        BBB–        2,132,500  
      Hotels, Restaurants & Leisure – 1.6% (1.0% of Total Investments)                              
  417    

Scientific Games Corporation, 144A

          7.000%        1/01/22        Ba3        439,935  
  2,150    

Scientific Games International Inc.

                      10.000%        12/01/22        B–        2,351,562  
  2,567    

Total Hotels, Restaurants & Leisure

 

                                2,791,497  

 

NUVEEN     71  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)                  Coupon      Maturity      Ratings (4)      Value  
      Household Durables – 0.8% (0.5% of Total Investments)                             
$ 1,410    

Lennar Corporation

                     4.125%        12/01/18        BB+      $ 1,424,100  
      Media – 4.8% (3.0% of Total Investments)                             
  100    

Charter Communications Operating LLC/ Charter Communications Operating Capital Corporation

         3.579%        7/23/20        BBB–        101,335  
  3,214    

Clear Channel Communications Inc., (5), (7)

         12.000%        8/01/21        N/R         
  1,400    

Dish DBS Corporation

         5.125%        5/01/20        Ba3        1,422,750  
  1,000    

Dish DBS Corporation

         5.875%        11/15/24        Ba3        948,125  
  1,000    

Hughes Satellite Systems Corporation

         6.500%        6/15/19        BBB–        1,043,790  
  2,835    

iHeartCommunications, Inc., (5)

         9.000%        12/15/19        Caa1        2,182,950  
  5,987    

iHeartCommunications, Inc. (cash 12.000%, PIK 2.000%), (5)

         14.000%        2/01/21        Ca        359,194  
  1,000    

iHeartCommunications, Inc., (5)

         9.000%        3/01/21        Caa1        725,000  
  1,635    

Neptune Finco Corporation, 144A

                     10.125%        1/15/23        B2        1,844,484  
  18,171    

Total Media

 

                               8,627,628  
      Oil, Gas & Consumable Fuels – 2.8% (1.8% of Total Investments)                             
  2,425    

California Resources Corporation, 144A

         8.000%        12/15/22        CCC+        2,029,422  
  400    

Denbury Resources Inc.

         6.375%        8/15/21        CCC–        338,000  
  1,340    

Denbury Resources Inc.

         9.250%        3/31/22        B        1,373,500  
  400    

EP Energy LLC and Everest Acquisition Finance, Inc.

         9.375%        5/01/24        Caa2        339,000  
  995    

FTS International Inc., 144A, (3-Month LIBOR reference rate + 7.500% spread)

                     8.820%        6/15/20        B+        1,009,925  
  5,560    

Total Oil, Gas & Consumable Fuels

 

                               5,089,847  
      Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)                       
  106    

Advanced Micro Devices, Inc.

                     7.500%        8/15/22        B–        117,660  
      Software – 1.6% (1.0% of Total Investments)                             
  85    

Avaya Inc., (7)

         7.000%        4/01/19        NA         
  2,085    

Avaya Inc., (7)

         10.500%        3/01/21        NA         
  1,910    

BMC Software Finance Inc., 144A

         8.125%        7/15/21        CCC+        1,912,388  
  226    

Boxer Parent Company Inc./BMC Software, 144A (cash 9.000%, PIK 9.750%)

         9.000%        10/15/19        CCC+        226,565  
  725    

Infor Us Inc., 144A

                     5.750%        8/15/20        BB        744,176  
  5,031    

Total Software

 

                               2,883,129  
      Technology Hardware, Storage & Peripherals – 0.9% (0.6% of Total Investments)                       
  1,475    

Western Digital Corporation, 144A

                     7.375%        4/01/23        Baa2        1,605,906  
      Wireless Telecommunication Services –
2.5% (1.6% of Total Investments)
                                       
  850    

Sprint Communications Inc.

         7.000%        8/15/20        B+        897,109  
  2,750    

Sprint Corporation

         7.875%        9/15/23        B+        2,904,687  
  250    

Sprint Corporation

         7.125%        6/15/24        B+        253,438  
  400    

Syniverse Foreign Holdings Corporation, 144A

         9.125%        1/15/22        B        414,500  
  75    

T-Mobile USA Inc.

                     6.836%        4/28/23        BB+        78,278  
  4,325    

Total Wireless Telecommunication Services

                                                4,548,012  
$ 52,499    

Total Corporate Bonds (cost $40,754,256)

 

                               36,766,520  
Shares     Description (1)                                          Value  
 

COMMON STOCKS – 2.7% (1.7% of Total Investments)

 

          
      Diversified Consumer Services – 0.2% (0.1% of Total Investments)                             
  39,749    

Cengage Learning Holdings II LP, (6)

                                              $ 293,149  
      Energy Equipment & Services – 1.2% (0.8% of Total Investments)                             
  39,988    

C&J Energy Services Inc., (6)

                  1,224,433  
  26,111    

Ocean Rig UDW Inc., (6)

                  702,908  

 

  72     NUVEEN


Shares     Description (1)                                           Value  
      Energy Equipment & Services (continued)                              
  1,318    

Vantage Drill International, (6)

                                               $ 289,960  
 

Total Energy Equipment & Services

 

                                2,217,301  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)                              
  13,189    

Millenium Health LLC, (6)

                                                 1,438  
      Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)                              
  18    

Southcross Holdings Borrower LP, (6)

                                                 6,750  
      Software – 1.1% (0.7% of Total Investments)                              
  95,741    

Avaya Holdings Corporation., (6)

                                                 1,999,072  
      Specialty Retail – 0.2% (0.1% of Total Investments)                              
  5,454    

Gymboree Corporation, (6), (7)

                   77,413  
  14,849    

Gymboree Corporation, (6)

                                                 252,433  
 

Total Specialty Retail

                                                 329,846  
 

Total Common Stocks (cost $7,086,437)

                                                 4,847,556  
Shares     Description (1)                                           Value  
      WARRANTS – 0.0% (0.0% of Total Investments)                              
  8,503    

Avaya Holdings Corp., (7)

                                               $ 9,126  
 

Total Warrants (cost $565,168)

                                                 9,126  
 

Total Long-Term Investments (cost $285,195,304)

 

                                277,537,367  
Shares     Description (1)                                           Value  
      SHORT-TERM INVESTMENTS – 5.3% (3.3% of Total Investments)                              
      INVESTMENT COMPANIES – 5.3% (3.3% of Total Investments)                              
  9,429,840    

BlackRock Liquidity Funds T-Fund Portfolio, (8)

                                               $ 9,429,840  
 

Total Short-Term Investments (cost $9,429,840)

 

                                9,429,840  
 

Total Investments (cost $294,625,144) – 160.3%

 

                                286,967,207  
 

Borrowings – (40.2)% (9), (10)

 

                                (72,000,000
 

Term Preferred Shares, net of deferred offering costs – (19.3)% (11)

 

                                (34,468,757
 

Other Assets Less Liabilities – (0.8)% (12)

 

                                (1,494,656
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 179,003,794  

Investments in Derivatives

Credit Default Swaps – OTC Cleared

 

Referenced
Entity
   Buy/Sell
Protection (13)
     Notional
Amount
    

Fixed Rate

(Annualized)

    

Fixed Rate
Payment

Frequency

     Maturity
Date
     Value      Premiums
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
     Variation
Margin
Receivable/
(Payable)
 

Kroger Co.

     Buy      $ 2,000,000        1.000      Quarterly        12/20/22      $ (32,111    $ 17,055      $ (49,166    $ (258

Dell Inc.

     Buy        3,000,000        1.000        Quarterly        12/20/22        109,390        208,327        (98,937      (137

Total

            $ 5,000,000                                 $ 77,279      $ 225,382      $ (148,103    $ (396

Total credit default swap premiums paid

 

                              $ 225,382                    

Total credit default swap premiums received

 

                              $                    

Total receivable for variation margin on swap contracts

 

                                                $  

Total payable for variation margin on swap contracts

 

                                                $ (396

 

NUVEEN     73  


JSD    Nuveen Short Duration Credit Opportunities Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Interest Rate Swaps – OTC Uncleared

 

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

Morgan Stanley Capital Services LLC

  $ 17,500,000       Receive       1-Month LIBOR       1.659     Monthly       9/15/18     $ 23,836     $ 23,836  

Morgan Stanley Capital Services LLC

    35,000,000       Pay       1-Month LIBOR       1.500  (14)      Monthly       11/01/20  (15)      (200,128     (200,128

Total

  $ 52,500,000                                             $ (176,292   $ (176,292

Total unrealized appreciation on interest rate swaps

 

                                          $ 23,836  

Total unrealized depreciation on interest rate swaps

 

                                          $ (200,128

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

(9) Borrowings as a percentage of Total Investments is 25.1%.

 

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

 

(11) Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 12.0%.

 

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

 

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

 

(14) Effective November 1, 2017, the fixed rate paid by the Fund will increase according to a predetermined schedule as specified in the swap contract. Additionally, this fixed rate increase will continue to occur every six months on specific dates through the swap contract’s termination date.

 

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

 

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

 

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

 

DD1 Portion of investment purchased on a delayed delivery basis.

 

LIBOR London Inter-Bank Offered Rate

 

N/A Not applicable

 

PIK Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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

 

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

 

See accompanying notes to financial statements.

 

  74     NUVEEN


JQC

 

Nuveen Credit Strategies Income Fund

  

Portfolio of Investments

   January 31, 2018 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 151.7% (95.8% of Total Investments)

 

        
 

VARIABLE RATE SENIOR LOAN INTERESTS – 116.8% (73.8% of Total Investments) (2)

 

     
      Airlines – 4.6% (2.9% of Total Investments)                              
$ 19,122    

American Airlines, Inc., Replacement Term Loan

    3.567%        1-Month LIBOR        2.000%        6/27/20        BB+      $ 19,218,984  
  2,969    

American Airlines, Inc., Replacement Term Loan

    3.554%        1-Month LIBOR        2.000%        10/10/21        BB+        2,984,235  
  8,473    

American Airlines, Inc., Term Loan B

    3.559%        1-Month LIBOR        2.000%        12/14/23        BB+        8,512,187  
  7,920    

American Airlines, Inc., Term Loan B

    3.567%        1-Month LIBOR        2.000%        4/28/23        BB+        7,956,630  
  17,865    

United Air Lines, Inc., Term Loan B

    3.772%        3-Month LIBOR        2.000%        4/01/24        BB+        17,979,425  
  56,349    

Total Airlines

                                                 56,651,461  
      Automobiles – 1.0% (0.6% of Total Investments)                              
  12,356    

Chrysler Group LLC, Term Loan

    3.570%        1-Month LIBOR        2.000%        12/31/18        BBB–        12,402,423  
      Building Products – 0.2% (0.1% of Total Investments)                              
  2,644    

Quikrete Holdings, Inc., Term Loan B

    4.323%        1-Month LIBOR        2.750%        11/15/23        BB–        2,661,960  
      Capital Markets – 1.3% (0.8% of Total Investments)                              
  16,359    

RPI Finance Trust, Term Loan B6

    3.693%        3-Month LIBOR        2.000%        3/27/23        Baa2        16,493,633  
      Chemicals – 4.6% (2.9% of Total Investments)                              
  10,839    

Axalta Coating Systems, Term Loan, First Lien

    3.693%        3-Month LIBOR        2.000%        6/01/24        BBB–        10,931,935  
  9,205    

Ineos US Finance LLC, Term Loan

    3.573%        1-Month LIBOR        2.000%        4/01/24        BB+        9,262,307  
  36,614    

Univar, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        7/01/24        BB        37,010,896  
  56,658    

Total Chemicals

                                                 57,205,138  
      Commercial Services & Supplies – 4.2% (2.7% of Total Investments)                       
  19,128    

ADS Waste Holdings, Inc., Term Loan B

    3.715%        1-Week LIBOR        2.250%        11/10/23        BB+        19,280,731  
  10,159    

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

    7.193%        3-Month LIBOR        5.500%        9/30/22        B2        10,194,933  
  13,000    

Skillsoft Corporation, Initial Term Loan, First Lien

    6.323%        1-Month LIBOR        4.750%        4/28/21        B–        12,756,250  
  9,514    

West Corporation, Term Loan B

    5.573%        1-Month LIBOR        4.000%        10/10/24        Ba3        9,630,358  
  51,801    

Total Commercial Services & Supplies

 

                                         51,862,272  
      Communications Equipment – 0.1% (0.1% of Total Investments)                              
  1,344    

CommScope, Inc., Term Loan B

    3.573%        1-Month LIBOR        2.000%        12/29/22        Baa3        1,356,539  
      Containers & Packaging – 2.3% (1.4% of Total Investments)                              
  1,488    

Berry Global, Inc., Term Loan M

    3.816%        1-Month LIBOR        2.250%        10/01/22        BBB–        1,501,128  
  26,462    

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

    4.323%        1-Month LIBOR        2.750%        2/05/23        B+        26,694,714  
  27,950
   

Total Containers & Packaging

                                                 28,195,842  
      Diversified Consumer Services – 2.1% (1.4% of Total Investments)                       
  7,487    

Cengage Learning Acquisitions, Inc., Term Loan B

    5.809%        1-Month LIBOR        4.250%        6/07/23        B+        7,293,719  
  19,069    

Laureate Education, Inc., Term Loan B

    6.067%        1-Month LIBOR        4.500%        4/26/24        B+        19,249,879  
  26,556    

Total Diversified Consumer Services

                                                 26,543,598  
      Diversified Telecommunication Services – 8.3% (5.3% of Total Investments)                       
  22,000    

CenturyLink, Inc., Term Loan B

    4.317%        1-Month LIBOR        2.750%        1/31/25        BBB–        21,704,430  

 

NUVEEN     75  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Diversified Telecommunication Services (continued)                              
$ 10,425    

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

    5.443%        3-Month LIBOR        3.750%        12/01/23        B      $ 10,516,409  
  5,000    

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

    5.212%        3-Month LIBOR        3.750%        11/30/23        B1        4,970,100  
  766    

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

    6.195%        3-Month LIBOR        4.500%        1/02/24        B1        777,962  
  1,226    

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

    6.625%        N/A        N/A        1/02/24        B1        1,236,156  
  11,144    

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

    3.696%        3-Month LIBOR        2.250%        2/22/24        BBB–        11,205,405  
  20,533    

WideOpenWest Finance LLC, Term Loan B

    4.811%        1-Month LIBOR        3.250%        8/18/23        B        20,571,596  
  32,000    

Ziggo B.V., Term Loan E

    4.059%        1-Month LIBOR        2.500%        4/15/25        BB–        32,020,000  
  103,094    

Total Diversified Telecommunication Services

 

                                103,002,058  
      Electric Utilities – 0.2% (0.2% of Total Investments)                       
  2,418    

Vistra Operations Co., Term Loan B

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        2,439,807  
  429    

Vistra Operations Co., Term Loan C

    4.064%        1-Month LIBOR        2.500%        8/04/23        BB+        432,360  
  2,847    

Total Electric Utilities

                                                 2,872,167  
      Energy Equipment & Services – 0.1% (0.0% of Total Investments)                       
  767    

Ocean Rig UDW Inc., Term Loan

    8.000%        N/A        N/A        9/20/24        Caa1        778,446  
      Equity Real Estate Investment Trusts – 3.6% (2.2% of Total Investments)                       
  17,707    

Communications Sales & Leasing, Inc., Shortfall Term Loan

    4.573%        1-Month LIBOR        3.000%        10/24/22        B+        17,101,606  
  10,439    

Realogy Group LLC, Term Loan B

    3.829%        1-Month LIBOR        2.250%        1/26/25        BB+        10,535,486  
  16,408    

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

    5.323%        1-Month LIBOR        3.750%        12/18/20        Caa2        16,362,112  
  44,554    

Total Equity Real Estate Investment Trusts

                                                 43,999,204  
      Food & Staples Retailing – 2.8% (1.8% of Total Investments)                              
  25,340    

Albertson’s LLC, Term Loan B4

    4.323%        1-Month LIBOR        2.750%        8/25/21        BB        25,235,010  
  5,124    

Albertson’s LLC, Term Loan B6

    4.462%        3-Month LIBOR        3.000%        6/22/23        BB        5,100,681  
  4,331    

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

    4.953%        2-Month LIBOR        3.500%        2/03/24        B–        4,334,599  
  34,795    

Total Food & Staples Retailing

                                                 34,670,290  
      Food Products – 3.9% (2.4% of Total Investments)                              
  6,874    

Jacobs Douwe Egberts, Term Loan B

    3.688%        3-Month LIBOR        2.250%        7/04/22        BB        6,938,150  
  11,649    

Keurig Green Mountain, Inc., Term Loan A, First Lien

    3.000%        1-Week LIBOR        1.500%        3/03/21        BB+        11,647,778  
  28,954    

US Foods, Inc., Term Loan B

    4.073%        1-Month LIBOR        2.500%        6/27/23        BB        29,285,263  
  47,477    

Total Food Products

                                                 47,871,191  
      Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)                       
  4,757    

Acelity, Term Loan B

    4.943%        3-Month LIBOR        3.250%        2/02/24        B1        4,770,563  
  4,460    

ConvaTec, Inc., Term Loan B

    3.943%        3-Month LIBOR        2.250%        10/25/23        BB        4,512,923  
  12,180    

Onex Carestream Finance LP, Term Loan, First Lien

    5.693%        3-Month LIBOR        4.000%        6/07/19        B1        12,236,707  
  7,875    

Onex Carestream Finance LP, Term Loan, Second Lien

    10.193%        3-Month LIBOR        8.500%        12/07/19        B–        7,820,803  
  29,272    

Total Health Care Equipment & Supplies

                                                 29,340,996  
      Health Care Providers & Services – 4.2% (2.6% of Total Investments)                       
  4,519    

Community Health Systems, Inc., Term Loan G

    4.229%        3-Month LIBOR        2.750%        12/31/19        Ba3        4,469,003  
  7,252    

Community Health Systems, Inc., Term Loan H

    4.479%        3-Month LIBOR        3.000%        1/27/21        Ba3        7,129,320  

 

  76     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Health Care Providers & Services (continued)                              
$ 5,939    

DJO Finance LLC, Term Loan B, First Lien

    4.885%        1-Month LIBOR        3.250%        6/08/20        B+      $ 5,880,616  
  1,768    

Envision Healthcare Corporation, Term Loan B, First Lien

    4.580%        1-Month LIBOR        3.000%        12/01/23        BB–        1,778,028  
  11,356    

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

    8.073%        1-Month LIBOR        6.500%        12/21/20        CCC+        4,556,672  
  16,287    

MultiPlan, Inc., Term Loan B

    4.693%        3-Month LIBOR        3.000%        6/07/23        B+        16,418,578  
  8,000    

PharMerica, Term Loan, First Lien

    5.055%        1-Month LIBOR        3.500%        12/06/24        B        8,092,480  
  266    

Quorum Health Corp., Term Loan B

    8.323%        1-Month LIBOR        6.750%        4/29/22        B2        272,396  
  3,000    

Select Medical Corporation, Tranche B, Term Loan

    5.210%        2-Month LIBOR        3.500%        3/01/21        Ba2        3,033,750  
  58,387    

Total Health Care Providers & Services

                                                 51,630,843  
      Health Care Technology – 1.9% (1.2% of Total Investments)                              
  22,828    

Emdeon, Inc., Term Loan

    4.323%        1-Month LIBOR        2.750%        3/01/24        Ba3        22,998,706  
      Hotels, Restaurants & Leisure – 12.2% (7.7% of Total Investments)                       
  34,738    

Burger King Corporation, Term Loan B3

    3.870%        1-Month LIBOR        2.250%        2/16/24        Ba3        34,981,283  
  10,000    

Caesars Resort Collection, Term Loan, First Lien

    4.323%        1-Month LIBOR        2.750%        12/23/24        BB        10,130,650  
  1,262    

CCM Merger, Inc., Term Loan B

    4.319%        1-Month LIBOR        2.750%        8/09/21        BB–        1,274,425  
  29,985    

Hilton Hotels Corporation, Term Loan B2

    3.561%        1-Month LIBOR        2.000%        10/25/23        BBB–        30,240,627  
  23,296    

Life Time Fitness, Inc., Term Loan B

    4.228%        3-Month LIBOR        2.750%        6/10/22        BB–        23,507,245  
  4,716    

MGM Growth Properties, Term Loan B

    3.823%        1-Month LIBOR        2.250%        4/25/23        BB+        4,756,416  
  11,853    

Scientific Games Corporation, Term Loan B4

    4.823%        1-Month LIBOR        3.250%        8/14/24        B+        11,945,451  
  15,616    

Station Casino LLC, Term Loan B

    4.070%        1-Month LIBOR        2.500%        6/08/23        BB        15,723,105  
  17,885    

YUM Brands, New Term Loan B

    3.556%        1-Month LIBOR        2.000%        6/16/23        BBB–        18,052,697  
  149,351    

Total Hotels, Restaurants & Leisure

                                                 150,611,899  
      Household Products – 3.5% (2.2% of Total Investments)                              
  26,523    

Revlon Consumer Products Corporation, Term Loan B, First Lien

    5.073%        1-Month LIBOR        3.500%        11/16/20        B1        21,059,254  
  23,081    

Serta Simmons Holdings LLC, Term Loan, First Lien

    5.130%        3-Month LIBOR        3.500%        11/08/23        B        22,665,206  
  49,604    

Total Household Products

                                                 43,724,460  
      Independent Power & Renewable Electricity Producers – 0.1% (0.1% of Total Investments)                
  1,785    

Dynegy, Inc., Tranche Term Loan C2

    4.311%        1-Month LIBOR        2.750%        2/07/24        BB        1,804,668  
      Insurance – 1.0% (0.6% of Total Investments)                              
  12,238    

Hub International Holdings, Inc., Initial Term Loan

    4.413%        3-Month LIBOR        3.000%        10/02/20        B1        12,338,397  
      Internet and Direct Marketing Retail – 0.8% (0.5% of Total Investments)                
  10,033    

Travelport LLC, Term Loan B

    4.166%        3-Month LIBOR        2.750%        8/31/21        B+        10,085,113  
      Internet Software & Services – 3.6% (2.3% of Total Investments)                
  18,206    

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

    4.830%        1-Month LIBOR        3.250%        10/19/23        B        18,376,795  
  1,524    

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

    4.385%        3-Month LIBOR        3.000%        11/03/23        BB–        1,539,564  
  24,858    

Sabre, Inc., Term Loan B

    3.823%        1-Month LIBOR        2.250%        2/22/24        Ba2        25,062,198  
  44,588    

Total Internet Software & Services

 

                                44,978,557  
      IT Services – 4.7% (3.0% of Total Investments)                
  17,644    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        7/10/22        BB        17,785,151  
  17,324    

First Data Corporation, Term Loan, First Lien

    3.810%        1-Month LIBOR        2.250%        4/26/24        BB        17,468,312  
  1,596    

Neustar, Inc., Term Loan 2

    5.147%        3-Month LIBOR        3.750%        8/08/24        BB        1,616,197  
  1,499    

Neustar, Inc., Term Loan B1, (WI/DD)

    TBD        TBD        TBD        TBD        BB        1,516,875  

 

NUVEEN     77  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      IT Services (continued)                
$ 6,232    

PEAK 10, Inc., Term Loan B

    5.193%        3-Month LIBOR        3.500%        8/01/24        B      $ 6,272,731  
  71    

PEAK 10, Inc., Term Loan, Second Lien

    8.627%        3-Month LIBOR        7.250%        8/01/25        CCC+        71,940  
  12,940    

Tempo Acquisition LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        5/01/24        B1        13,018,210  
  57,306    

Total IT Services

                                                 57,749,416  
      Leisure Products – 0.1% (0.0% of Total Investments)                
  823    

Academy, Ltd., Term Loan B

    5.546%        1-Month LIBOR        4.000%        7/01/22        B3        665,147  
      Life Sciences Tools & Services – 0.7% (0.5% of Total Investments)                
  8,978    

Parexel International Corp., Term Loan B

    4.323%        1-Month LIBOR        2.750%        9/27/24        B1        9,054,931  
      Machinery – 2.8% (1.8% of Total Investments)                
  17,332    

Gardner Denver, Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        7/30/24        B+        17,442,574  
  15,000    

Navistar, Inc., Tranche B, Term Loan, (DD1)

    5.060%        1-Month LIBOR        3.500%        11/06/24        Ba3        15,156,300  
  2,462    

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

    3.810%        1-Month LIBOR        2.250%        8/21/24        BB+        2,484,935  
  34,794    

Total Machinery

                                                 35,083,809  
      Media – 9.7% (6.2% of Total Investments)                
  7,102    

Acquisitions Cogeco Cable II L.P., Term Loan, First Lien

    3.948%        1-Month LIBOR        2.375%        1/03/25        BB–        7,125,699  
  3,531    

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

    5.017%        2-Month LIBOR        3.250%        7/23/21        B1        3,496,503  
  2,000    

Catalina Marketing Corporation, Term Loan, First Lien

    5.073%        1-Month LIBOR        3.500%        4/09/21        B1        1,623,340  
  1,235    

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

    8.443%        3-Month LIBOR        6.750%        1/30/19        Caa1        950,558  
  1,358    

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

    9.193%        3-Month LIBOR        7.500%        7/30/19        Caa1        1,041,158  
  4,250    

CSC Holdings LLC, Term Loan B

    4.139%        3-Month LIBOR        2.500%        1/12/26        BB–        4,287,209  
  30,172    

Cumulus Media, Inc., Term Loan B, (5)

    4.830%        1-Month LIBOR        3.250%        12/23/20        N/R        26,074,814  
  26,443    

EMI Music Publishing, Term Loan

    3.984%        3-Month LIBOR        2.250%        8/20/23        BB–        26,646,729  
  4,377    

Getty Images, Inc., Term Loan B,
First Lien, (DD1)

    5.193%        3-Month LIBOR        3.500%        10/18/19        B3        4,163,364  
  1,272    

Lions Gate Entertainment Corp., Term Loan B

    3.817%        1-Month LIBOR        2.250%        12/08/23        Ba2        1,286,979  
  4,667    

Meredith, Term Loan B, (WI/DD)

    TBD        TBD        TBD        TBD        BB        4,724,043  
  419    

Nexstar Broadcasting Group, Term Loan

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        421,800  
  3,324    

Nexstar Broadcasting Group, Term Loan B

    4.068%        1-Month LIBOR        2.500%        1/17/24        BB+        3,348,715  
  5,845    

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

    4.979%        3-Month LIBOR        3.500%        8/15/22        B        5,878,872  
  25,238    

Tribune Media Company, Term Loan C

    4.573%        1-Month LIBOR        3.000%        1/27/24        BB+        25,324,858  
  4,166    

Univision Communications, Inc., Term Loan C5

    4.323%        1-Month LIBOR        2.750%        3/15/24        BB–        4,175,255  
  125,399    

Total Media

                                                 120,569,896  
      Multiline Retail – 0.5% (0.3% of Total Investments)                
  4,165    

Belk, Inc., Term Loan B, First Lien

    6.458%        3-Month LIBOR        4.750%        12/12/22        B2        3,600,208  
  2,840    

Dollar Tree, Inc., Term Loan B2

    4.250%        N/A        N/A        7/06/22        BBB–        2,870,175  
  7,005    

Total Multiline Retail

                                                 6,470,383  
      Oil, Gas & Consumable Fuels – 1.5% (0.9% of Total Investments)                
  4,000    

California Resources Corporation, Term Loan B

    6.306%        1-Month LIBOR        4.750%        12/31/22        B        4,084,200  
  4,969    

Fieldwood Energy LLC, Term Loan, First Lien

    8.693%        3-Month LIBOR        7.000%        8/31/20        B3        4,790,993  
  2,913    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Ca        480,645  
  9,242    

Fieldwood Energy LLC, Term Loan, Second Lien, (5)

    0.000%        N/A        N/A        9/30/20        Caa3        6,061,240  
  4,509    

Harvey Gulf International Marine, Inc., Term Loan B, (5)

    0.000%        N/A        N/A        6/18/20        CCC–        2,102,167  

 

  78     NUVEEN


Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Oil, Gas & Consumable Fuels (continued)                
$ 943    

Seadrill Partners LLC, Initial Term Loan, (WI/DD)

    TBD        TBD        TBD        TBD        CCC+      $ 832,680  
  26,576    

Total Oil, Gas & Consumable Fuels

                                                 18,351,925  
      Pharmaceuticals – 2.8% (1.8% of Total Investments)                
  10,992    

Alphabet Holding Company, Inc., Initial Term Loan, First Lien, (DD1)

    5.073%        1-Month LIBOR        3.500%        9/26/24        B1        10,888,071  
  22,483    

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

    4.387%        1-Month LIBOR        2.750%        8/18/22        Ba3        22,668,138  
  1,030    

Valeant Pharmaceuticals International, Inc., Term Loan B

    5.060%        1-Month LIBOR        3.500%        4/01/22        BB–        1,047,540  
  34,505    

Total Pharmaceuticals

 

                                34,603,749  
      Professional Services – 1.3% (0.8% of Total Investments)                
  875    

Ceridian Corporation, Term Loan B2

    5.067%        1-Month LIBOR        3.500%        9/15/20        Ba3        881,630  
  15,123    

Formula One Group, Term Loan B

    4.074%        1-Month LIBOR        2.500%        2/01/24        B+        15,209,978  
  15,998    

Total Professional Services

 

                                16,091,608  
      Real Estate Management & Development – 1.2% (0.8% of Total Investments)                
  14,962    

Capital Automotive LP, Term Loan, First Lien

    4.073%        1-Month LIBOR        2.500%        3/25/24        B1        15,073,916  
      Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)                
  7,756    

Lumileds, Term Loan B

    5.074%        1-Month LIBOR        4.500%        6/30/24        Ba3        7,843,061  
  3,467    

Microsemi Corporation, Term Loan B

    3.561%        1-Month LIBOR        2.000%        1/15/23        BB        3,495,638  
  6,690    

On Semiconductor Corp., Term Loan B

    3.573%        1-Month LIBOR        2.000%        3/31/23        Ba1        6,748,538  
  17,913    

Total Semiconductors & Semiconductor Equipment

 

                                18,087,237  
      Software – 14.5% (9.1% of Total Investments)                
  7,000    

Avaya Inc., Term Loan, First Lien, (DD1)

    6.309%        1-Month LIBOR        4.750%        12/15/24        B        7,045,185  
  3,281    

Blackboard, Inc., Term Loan B4

    6.734%        3-Month LIBOR        5.000%        6/30/21        B1        3,225,995  
  26,694    

BMC Software, Inc., Term Loan, First Lien

    4.823%        1-Month LIBOR        3.250%        9/10/22        B+        26,872,250  
  12,171    

Compuware Corporation, Term Loan B3

    5.550%        2-Month LIBOR        4.250%        12/15/21        B        12,170,809  
  25,853    

Ellucian, Term Loan B, First Lien

    4.943%        3-Month LIBOR        3.250%        9/30/22        B        26,034,942  
  19,757    

Infor (US), Inc., Term Loan B

    4.443%        3-Month LIBOR        2.750%        2/01/22        B1        19,886,125  
  5,433    

Informatica, Term Loan B

    4.943%        3-Month LIBOR        3.250%        8/05/22        B        5,468,579  
  15,169    

Kronos Incorporated, Term Loan B, Second Lien

    9.627%        3-Month LIBOR        8.250%        11/01/24        CCC        15,827,941  
  2,970    

Kronos Incorporated, Term Loan, First Lien

    4.903%        3-Month LIBOR        3.500%        11/01/23        B        3,003,128  
  1,935    

Micro Focus International PLC, New Term Loan

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        1,947,162  
  13,065    

Micro Focus International PLC, Term Loan B

    4.323%        1-Month LIBOR        2.750%        6/21/24        BB–        13,149,663  
  10,312    

Micro Focus International PLC, Term Loan B2

    4.073%        1-Month LIBOR        2.500%        11/19/21        BB–        10,383,428  
  1,213    

Misys, New Term Loan, Second Lien

    8.729%        3-Month LIBOR        7.250%        6/13/25        CCC+        1,224,353  
  3,980    

RP Crown Parent, LLC, Term Loan B

    4.573%        1-Month LIBOR        3.000%        10/15/23        B1        4,014,306  
  9,435    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B1

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        9,503,646  
  147    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing New Term Loan B2

    3.823%        1-Month LIBOR        2.250%        7/08/22        BB+        147,619  
  18,843    

Tibco Software, Inc., Term Loan, First Lien

    5.070%        1-Month LIBOR        3.500%        12/04/20        B1        18,984,577  
  177,258    

Total Software

 

                                178,889,708  
      Specialty Retail – 0.8% (0.5% of Total Investments)                
  3,699    

Petco Animal Supplies, Inc., Term Loan B1

    4.772%        3-Month LIBOR        3.000%        1/26/23        B1        2,817,655  
  8,757    

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

    4.570%        1-Month LIBOR        3.000%        3/11/22        B1        7,127,588  
  12,456    

Total Specialty Retail

 

                                9,945,243  

 

NUVEEN     79  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon (2)      Reference
Rate (2)
     Spread (2)      Maturity (3)      Ratings (4)      Value  
      Technology Hardware, Storage & Peripherals – 3.1% (1.9% of Total Investments)                
$ 29,054    

Dell International LLC, Refinancing Term Loan B

    3.580%        1-Month LIBOR        2.000%        9/07/23        BBB–      $ 29,202,781  
  8,669    

Western Digital U.S., Term Loan B3

    3.561%        1-Month LIBOR        2.000%        4/29/23        Baa2        8,742,287  
  37,723    

Total Technology Hardware, Storage & Peripherals

 

                                37,945,068  
      Trading Companies & Distributors – 0.9% (0.6% of Total Investments)                
  10,972    

HD Supply Waterworks, Ltd., Term Loan B

    4.455%        6-Month LIBOR        3.000%        8/01/24        B+        11,058,250  
      Transportation Infrastructure – 0.7% (0.5% of Total Investments)                
  9,046    

Avolon, Repriced Term Loan B2

    3.811%        1-Month LIBOR        2.250%        3/21/22        BBB–        9,042,062  
      Wireless Telecommunication Services – 1.0% (0.7% of Total Investments)                
  4,962    

Sprint Corporation, Term Loan, First Lien

    4.125%        1-Month LIBOR        2.500%        2/02/24        Ba2        4,981,630  
  6,493    

Syniverse Holdings, Inc., Initial Term Loan B, First Lien

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        6,480,407  
  1,498    

Syniverse Technologies, Inc., Tranche B, Term Loan

    4.573%        1-Month LIBOR        3.000%        4/23/19        B        1,495,379  
  12,953    

Total Wireless Telecommunication Services

 

                                12,957,416  
$ 1,468,304    

Total Variable Rate Senior Loan Interests (cost $1,462,183,979)

 

                                1,445,719,625  
Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
 

CORPORATE BONDS – 23.5% (14.8% of Total Investments)

 

        
      Banks – 0.8% (0.5% of Total Investments)                              
$ 5,000    

JP Morgan Chase & Company

          2.161%        6/01/21        A+      $ 5,038,166  
  5,000    

Wells Fargo & Company, (6)

                      2.827%        3/04/21        A+        5,154,950  
  10,000    

Total Banks

 

                                10,193,116  
      Commercial Services & Supplies – 0.8% (0.5% of Total Investments)                       
  9,864    

Olympus Merger Sub, Inc., 144A, (6)

                      8.500%        10/15/25        B3        9,716,040  
      Communications Equipment – 0.7% (0.5% of Total Investments)                       
  8,510    

CommScope Technologies Finance LLC, 144A, (6)

                      6.000%        6/15/25        BB–        8,954,137  
      Diversified Financial Services – 0.2% (0.2% of Total Investments)                       
  3,000    

Park Aerospace Holdings Limited, 144A, (6)

                      5.500%        2/15/24        BB        2,968,125  
      Diversified Telecommunication Services – 2.9% (1.8% of Total Investments)                       
  7,000    

CenturyLink Inc., (6)

          5.625%        4/01/20        BB        7,096,250  
  8,000    

CenturyLink Inc.

          6.450%        6/15/21        BB        8,129,520  
  2,312    

Inelsat Connect Finance SA, 144A

          12.500%        4/01/22        CCC–        1,780,240  
  2,300    

IntelSat Jackson Holdings

          5.500%        8/01/23        CCC+        1,805,500  
  6,000    

IntelSat Jackson Holdings

          9.750%        7/15/25        CCC+        5,518,200  
  5,413    

IntelSat Limited

          7.750%        6/01/21        CCC–        2,447,759  
  21,355    

IntelSat Limited

                      8.125%        6/01/23        CCC–        9,075,875  
  52,380    

Total Diversified Telecommunication Services

 

                                35,853,344  
      Health Care Providers & Services – 4.4% (2.8% of Total Investments)                       
  9,500    

DJO Finco Inc. / DJO Finance LLC / DJO Finance Corporation, 144A

          8.125%        6/15/21        CCC        9,167,500  
  7,500    

Envision Healthcare Corporation, 144A

          5.125%        7/01/22        B        7,443,750  
  6,000    

IMS Health Incorporated, 144A, (6)

          5.000%        10/15/26        BB+        6,112,500  
  12,650    

Polaris Intermediate Corp., 144A

          8.500%        12/01/22        B–        13,171,812  
  15,500    

Tenet Healthcare Corporation, (6)

          6.000%        10/01/20        BB–        16,246,015  
  2,000    

Wellcare Health Plans Inc.

                      5.250%        4/01/25        BB        2,088,400  
  53,150    

Total Health Care Providers & Services

 

                                54,229,977  

 

  80     NUVEEN


Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (4)      Value  
      Hotels, Restaurants & Leisure – 2.4% (1.5% of Total Investments)                              
$ 8,500    

Scientific Games Corporation, 144A, (6)

          7.000%        1/01/22        Ba3      $ 8,967,500  
  18,750    

Scientific Games International Inc., (6)

                      10.000%        12/01/22        B–        20,507,813  
  27,250    

Total Hotels, Restaurants & Leisure

 

                                29,475,313  
      Media – 4.8% (3.0% of Total Investments)                              
  2,860    

Altice US Finance I Corporation, 144A

          5.375%        7/15/23        BB        2,927,925  
  4,000    

CCO Holdings LLC Finance
Corporation, 144A, (6)

          5.125%        5/01/23        BB+        4,077,500  
  41,015    

Clear Channel Communications Inc., (5), (8)

          12.000%        8/01/21        N/R         
  7,000    

CSC Holdings Inc., 144A, (6)

          5.500%        4/15/27        Ba2        7,087,500  
  19,000    

Dish DBS Corporation, (6)

          5.125%        5/01/20        Ba3        19,308,750  
  3,000    

Dish DBS Corporation, (6)

          6.750%        6/01/21        Ba3        3,142,500  
  6,000    

Dish DBS Corporation, (6)

          7.750%        7/01/26        Ba3        6,165,000  
  6,000    

Hughes Satellite Systems Corporation

          5.250%        8/01/26        BBB–        6,060,000  
  10,609    

iHeartCommunications, Inc., (5)

          9.000%        12/15/19        Caa1        8,168,930  
  41,840    

iHeartCommunications, Inc., (cash 12.000%, PIK 2.000%), (5)

          14.000%        2/01/21        Ca        2,510,386  
  300    

iHeartCommunications, Inc., (5)

                      9.000%        3/01/21        Caa1        217,500  
  141,624    

Total Media

 

                                59,665,991  
      Oil, Gas & Consumable Fuels – 1.1% (0.7% of Total Investments)                              
  16,000    

California Resources Corporation, 144A

                      8.000%        12/15/22        CCC+        13,390,000  
      Pharmaceuticals – 0.0% (0.0% of Total Investments)                              
  4,850    

Concordia Healthcare
Corporation, 144A, (5)

                      9.500%        10/21/22        C        460,750  
      Semiconductors & Semiconductor Equipment – 0.5% (0.3% of Total Investments)                
  3,167    

Advanced Micro Devices, Inc.

          7.500%        8/15/22        B–        3,515,370  
  1,719    

Advanced Micro Devices, Inc.

                      7.000%        7/01/24        B–        1,804,950  
  4,886    

Total Semiconductors & Semiconductor Equipment

 

                                5,320,320  
      Software – 0.0% (0.0% of Total Investments)  
  19,375    

Avaya Inc., (8)

          7.000%        4/01/19        NA         
  9,250    

Avaya Inc., (8)

                      10.500%        3/01/21        NA         
  28,625    

Total Software

 

                                 
      Specialty Retail – 0.2% (0.1% of Total Investments)  
  3,165    

Claires Stores, Inc., 144A

                      9.000%        3/15/19        Caa3        2,239,238  
      Technology Hardware, Storage & Peripherals – 1.5% (0.9% of Total Investments)  
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)

          5.875%        6/15/21        BB+        5,178,150  
  5,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)

          7.125%        6/15/24        BB+        5,462,500  
  7,000    

Diamond 1 Finance Corporation / Diamond 2 Finance Corporation, 144A, (6)

                      6.020%        6/15/26        BBB–        7,662,922  
  17,000    

Total Technology Hardware, Storage & Peripherals

 

                                18,303,572  
      Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)  
  1,000    

Hughes Satellite Systems Corporation

          6.625%        8/01/26        BB–        1,057,500  
  2,500    

Sprint Corporation

          7.250%        9/15/21        B+        2,656,775  
  22,000    

Sprint Corporation, (6)

          7.875%        9/15/23        B+        23,237,500  
  12,000    

T-Mobile USA Inc., (6)

                      6.375%        3/01/25        BB+        12,765,000  
  37,500    

Total Wireless Telecommunication Services

 

                                39,716,775  
$ 417,804    

Total Corporate Bonds (cost $340,557,316)

 

                                290,486,698  

 

NUVEEN     81  


JQC    Nuveen Credit Strategies Income Fund   
   Portfolio of Investments (continued)    January 31, 2018 (Unaudited)

 

Shares     Description (1), (9)                                           Value  
 

EXCHANGE-TRADED FUNDS – 9.7% (6.1% of Total Investments)

 

        
  159,300    

I-Shares Russell 1000 Value Index Fund

                 $ 20,556,072  
  3,693,683    

PowerShares Senior Loan Portfolio

                   85,804,256  
  127,700    

SPDR Oil and Gas Equipment and Services Exchange Traded Fund

                   2,237,304  
  417,900    

VanEck Vectors Oil Service ETF

                                                 11,475,534  
 

Total Exchange-Traded Funds (cost $122,203,951)

 

                                120,073,166  
Shares     Description (1)                                           Value  
 

COMMON STOCKS – 1.7% (1.1% of Total Investments)

 

        
      Diversified Consumer Services – 0.2% (0.2% of Total Investments)  
  403,318    

Cengage Learning Holdings II LP, (7)

                                               $ 2,974,470  
      Energy Equipment & Services – 0.5% (0.3% of Total Investments)  
  133,936    

Ocean Rig UDW Inc., (7)

                   3,605,557  
  10,935    

Vantage Drill International, (7)

                                                 2,405,700  
 

Total Energy Equipment & Services

 

                                6,011,257  
      Health Care Providers & Services – 0.0% (0.0% of Total Investments)  
  227,437    

Millenium Health LLC, (7)

                                                 24,791  
      Media – 0.1% (0.0% of Total Investments)  
  51,719    

Affinion Group Holdings, Inc., (7)

                   698,207  
  17,987    

Tribune Media Company

                                                 899  
 

Total Media

 

                                699,106  
      Software – 0.9% (0.6% of Total Investments)  
  545,726    

Avaya Holdings Corporation, (7)

                                                 11,394,759  
 

Total Common Stocks (cost $45,002,758)

 

                                21,104,383  
Shares     Description (1)                                           Value  
 

WARRANTS – 0.0% (0.0% of Total Investments)

 

        
  37,723    

Avaya Holdings Corporation, (8)

                                               $ 40,488  
 

Total Warrants (cost $4,921,202)

 

                                40,488  
 

Total Long-Term Investments (cost $1,974,869,206)

 

                                1,877,424,360  
Shares     Description (1)                                           Value  
      SHORT-TERM INVESTMENTS – 6.6% (4.2% of Total Investments)                              
      INVESTMENT COMPANIES – 6.6% (4.2% of Total Investments)                              
  81,692,852    

BlackRock Liquidity Funds T-Fund Portfolio, (9)

                                               $ 81,692,852  
 

Total Short-Term Investments (cost $81,692,852)

 

                                81,692,852  
 

Total Investments (cost $2,056,562,058) – 158.3%

 

                                1,959,117,212  
 

Borrowings – (45.3)% (10), (11)

 

                                (561,000,000
 

Reverse Repurchase Agreements – (11.7)% (12)

 

                                (145,000,000
 

Other Assets Less Liabilities – (1.3)% (13)

 

                                (15,725,429
 

Net Assets Applicable to Common Shares – 100%

 

                              $ 1,237,391,783  

 

  82     NUVEEN


 

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

 

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

 

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

 

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

 

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

 

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

 

(6) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $179,810,652 have been pledged as collateral for reverse repurchase agreements.

 

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

 

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

 

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

 

(10) Borrowings as a percentage of Total Investments is 28.6%.

 

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

 

(12) Reverse Repurchase Agreements as a percentage of Total Investments is 7.4%.

 

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

 

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

 

DD1 Portion of investment purchased on a delayed delivery basis.

 

ETF Exchange-Traded Fund

 

LIBOR London Inter-Bank Offered Rate

 

N/A Not applicable

 

PIK Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

 

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

 

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

 

See accompanying notes to financial statements.

 

NUVEEN     83  


Statement of

Assets and Liabilities

   January 31, 2018 (Unaudited)

 

     NSL     JFR     JRO     JSD     JQC  

Assets

         

Long-term investments, at value (cost $420,521,438, $1,016,059,679, $717,247,692, $285,195,304 and $1,974,869,206, respectively)

  $ 402,501,638     $ 984,217,024     $ 691,605,414     $ 277,537,367     $ 1,877,424,360  

Short-term investments, at value (cost approximates value)

    18,368,074       53,431,081       35,466,645       9,429,840       81,692,852  

Cash

    216,506       1,238,537       362,613       126,531       4,012,000  

Cash collateral at brokers for investments in swaps(1)

    898,000       1,186,000       1,216,000       160,341       1,516  

Credit default swaps premiums paid

                      225,382        

Unrealized appreciation on interest rate swaps

          3,187             23,836        

Receivable for:

         

Interest

    2,456,772       5,875,267       4,426,404       1,754,176       9,389,096  

Investments sold

    5,495,188       9,988,830       7,819,904       2,807,586       12,040,795  

Reclaims

                            17,480  

Shares sold

          31,001                    

Other assets

    150,991       139,265       137,160       44,739       366,711  

Total assets

    430,087,169       1,056,110,192       741,034,140       292,109,798       1,984,944,810  

Liabilities

         

Borrowings

    114,000,000       254,300,000       178,800,000       72,000,000       561,000,000  

Reverse repurchase agreements

                            145,000,000  

Cash overdraft denominated in foreign currencies (cost $968, $2,463, $1,646, $18 and $18, respectively)

    1,102       2,805       1,874       19       19  

Unrealized depreciation on interest rate swaps

    1,070,548       1,475,766       1,417,881       200,128        

Payable for:

         

Dividends

    1,496,439       3,805,977       2,840,981       1,003,080       6,388,620  

Investments purchased

    5,910,234       13,802,154       9,562,883       4,997,852       30,963,758  

Unfunded senior loans

    101,580       181,676       141,628       83,017        

Variation margin on swap contracts

                      396        

Term Preferred Shares (“Term Preferred”), net of deferred offering costs (liquidation preference $43,000,000, $125,200,000, $84,000,000, $35,000,000 and $—, respectively)

    42,310,698       123,910,823       82,788,055       34,468,757        

Accrued expenses:

         

Interest

    16,019             352,795       11,214       1,921,893  

Management fees

    289,312       699,725       494,388       196,223       1,322,771  

Trustees fees

    77,023       143,213       90,964       17,114       375,364  

Other

    255,494       377,569       324,331       128,204       580,602  

Total liabilities

    165,528,449       398,699,708       276,815,780       113,106,004       747,553,027  

Net assets applicable to common shares

  $ 264,558,720     $ 657,410,484     $ 464,218,360     $ 179,003,794     $ 1,237,391,783  

Common shares outstanding

    38,621,872       56,918,468       40,561,218       10,095,648       135,766,990  

Net asset value (“NAV”) per common share outstanding

  $ 6.85     $ 11.55     $ 11.44     $ 17.73     $ 9.11  

Net assets applicable to common shares consist of:

                                       

Common shares, $0.01 par value per share

  $ 386,219     $ 569,185     $ 405,612     $ 100,956     $ 1,357,670  

Paid-in surplus

    317,264,037       776,154,672       550,121,211       192,058,055       1,396,532,977  

Undistributed (Over-distribution of) net investment income

    684,836       (6,258,412     (4,326,195     (716,165     (21,687,309

Accumulated net realized gain (loss)

    (34,685,890     (79,739,385     (54,921,881     (4,456,719     (41,368,269

Net unrealized appreciation (depreciation)

    (19,090,482     (33,315,576     (27,060,387     (7,982,333     (97,443,286

Net assets applicable to common shares

  $ 264,558,720     $ 657,410,484     $ 464,218,360     $ 179,003,794     $ 1,237,391,783  

Authorized shares:

         

Common

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  

Preferred

    Unlimited       Unlimited       Unlimited       Unlimited       Unlimited  
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.

 

See accompanying notes to financial statements.

 

  84     NUVEEN


Statement of

Operations

   Six Months Ended January 31, 2018 (Unaudited)

 

      NSL        JFR        JRO        JSD        JQC  

Investment Income

                      

Interest and dividends

   $ 11,963,145        $ 27,871,036        $ 20,028,580        $ 8,515,533        $ 46,896,806  

Fees

     249,485          598,147          473,795          185,967          1,179,466  

Total investment income

     12,212,630          28,469,183          20,502,375          8,701,500          48,076,272  

Expenses

                      

Management fees

     1,722,883          4,164,150          2,938,490          1,169,275          7,885,786  

Interest expense and amortization of offering costs

     1,783,517          4,859,936          3,450,967          1,183,210          9,051,399  

Custodian fees

     74,947          150,066          105,780          59,156          210,895  

Trustees fees

     6,983          17,163          12,011          4,734          32,193  

Professional fees

     88,021          109,213          114,266          92,354          57,349  

Shareholder reporting expenses

     47,203          83,303          72,372          41,489          106,880  

Shareholder servicing agent fees

     6,900          22,656          14,536          6,355          1,289  

Stock exchange listing fees

     5,553          7,934          5,533          3,507          19,524  

Investor relations expenses

     16,572          37,993          27,214          13,173          69,460  

Other

     36,268          49,307          45,529          44,682          16,839  

Total expenses

     3,788,847          9,501,721          6,786,698          2,617,935          17,451,614  

Net investment income (loss)

     8,423,783          18,967,462          13,715,677          6,083,565          30,624,658  

Realized and Unrealized Gain (Loss)

                      

Net realized gain (loss) from:

                      

Investments and foreign currency

     1,428,067          (1,175,072        (766,142        (1,389,370        1,916,677  

Swaps

     (33,885        446,566          408,524          (41,733        1,412,885  

Change in net unrealized appreciation (depreciation) of:

                      

Investments and foreign currency

     (4,666,894        (5,032,788        (4,480,590        (1,114,475        (21,261,279

Swaps

     (522,213        (2,066,732        (1,938,051        (213,495        (1,375,436

Net realized and unrealized gain (loss)

     (3,794,925        (7,828,026        (6,776,259        (2,759,073        (19,307,153

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

   $ 4,628,858        $ 11,139,436        $ 6,939,418        $ 3,324,492        $ 11,317,505  

 

See accompanying notes to financial statements.

 

NUVEEN     85  


Statement of

Changes in Net Assets

  

(Unaudited)

 

     NSL        JFR  
     

Six Months

Ended

1/31/18

      

Year
Ended

7/31/17

      

Six Months

Ended

1/31/18

      

Year
Ended

7/31/17

 

Operations

                 

Net investment income (loss)

   $ 8,423,783        $ 17,911,275        $ 18,967,462        $ 40,564,055  

Net realized gain (loss) from:

                 

Investments and foreign currency

     1,428,067          (4,031,259        (1,175,072        (8,532,524

Swaps

     (33,885        91,003          446,566          613,807  

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (4,666,894        12,529,108          (5,032,788        32,737,753  

Swaps

     (522,213        (548,335        (2,066,732        594,153  

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

     4,628,858          25,951,792          11,139,436          65,977,244  

Distributions to Common Shareholders

                 

From net investment income

     (9,153,384        (17,939,860        (23,029,134        (43,953,958

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

     (9,153,384        (17,939,860        (23,029,134        (43,953,958

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

                       5,297,434          15,091,303  

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

                       139,663          121,767  

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

                       5,437,097          15,213,070  

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

     (4,524,526        8,011,932          (6,452,601        37,236,356  

Net assets applicable to common shares at the beginning of period

     269,083,246          261,071,314          663,863,085          626,626,729  

Net assets applicable to common shares at the end of period

   $ 264,558,720        $ 269,083,246        $ 657,410,484        $ 663,863,085  

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

   $ 684,836        $ 1,414,437        $ (6,258,412      $ (2,196,740

 

See accompanying notes to financial statements.

 

  86     NUVEEN


     JRO        JSD  
     

Six Months

Ended

1/31/18

      

Year
Ended

7/31/17

      

Six Months

Ended

1/31/18

      

Year
Ended

7/31/17

 

Operations

                 

Net investment income (loss)

   $ 13,715,677        $ 29,600,300        $ 6,083,565        $ 13,027,167  

Net realized gain (loss) from:

                 

Investments and foreign currency

     (766,142        (5,253,292        (1,389,370        (394,906

Swaps

     408,524          551,837          (41,733        (219,417

Change in net unrealized appreciation (depreciation) of:

                 

Investments and foreign currency

     (4,480,590        21,359,115          (1,114,475        6,049,708  

Swaps

     (1,938,051        520,170          (213,495        36,637  

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

     6,939,418          46,778,130          3,324,492          18,499,189  

Distributions to Common Shareholders

                 

From net investment income

     (17,076,196        (32,191,923        (6,788,314        (12,568,708

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

     (17,076,196        (32,191,923        (6,788,314        (12,568,708

Capital Share Transactions

                 

Common shares:

                 

Proceeds from shelf offering, net of offering costs

     9,134,335          15,230,348                   6,592  

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

     59,873          155,546                    

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

     9,194,208          15,385,894                   6,592  

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

     (942,570        29,972,101          (3,463,822        5,937,073  

Net assets applicable to common shares at the beginning of period

     465,160,930          435,188,829          182,467,616          176,530,543  

Net assets applicable to common shares at the end of period

   $ 464,218,360        $ 465,160,930        $ 179,003,794        $ 182,467,616  

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

   $ (4,326,195      $ (965,676      $ (716,165      $ (11,416

 

See accompanying notes to financial statements.

 

NUVEEN     87  


Statement of Changes in Net Assets (Unaudited) (continued)

 

 

     JQC  
     

Six Months

Ended

1/31/18

      

Year
Ended

7/31/17

 

Operations

       

Net investment income (loss)

   $ 30,624,658        $ 70,740,263  

Net realized gain (loss) from:

       

Investments and foreign currency

     1,916,677          (10,861,280

Swaps

     1,412,885          773,240  

Change in net unrealized appreciation (depreciation) of:

       

Investments and foreign currency

     (21,261,279        33,609,756  

Swaps

     (1,375,436        921,111  

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

     11,317,505          95,183,090  

Distributions to Common Shareholders

       

From net investment income

     (39,372,428        (84,990,137

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

     (39,372,428        (84,990,137

Capital Share Transactions

       

Common shares:

       

Proceeds from shelf offering, net of offering costs

               

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

               

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

               

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

     (28,054,923        10,192,953  

Net assets applicable to common shares at the beginning of period

     1,265,446,706          1,255,253,753  

Net assets applicable to common shares at the end of period

   $ 1,237,391,783        $ 1,265,446,706  

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

   $ (21,687,309      $ (12,939,539

 

See accompanying notes to financial statements.

 

  88     NUVEEN


Statement of

Cash Flows

   Six Months Ended January 31, 2018 (Unaudited)

 

     NSL     JFR     JRO     JSD     JQC  

Cash Flows from Operating Activities:

         

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

  $ 4,628,858     $ 11,139,436     $ 6,939,418     $ 3,324,492     $ 11,317,505  

Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:

         

Purchases of investments

    (53,666,010     (142,983,153     (107,630,614     (35,655,649     (328,953,213

Proceeds from sales and maturities of investments

    65,798,522       152,281,531       105,350,371       39,943,603       341,710,645  

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

    (5,786,754     (753,339     2,882,058       (3,171,059     (1,938,433

Proceeds from (Payments for) cash denominated in foreign currencies, net

                      18       18  

Premiums received (paid) for credit default swaps

                      (225,382     395,974  

Payment-in-kind distributions

    (42,683     (87,272     (83,004     (10,285     (101,492

Taxes paid

    17       39       28              

Proceeds from litigation settlement

                      1,231       58,737  

Amortization (Accretion) of premiums and discounts, net

    (1,250,510     (1,985,419     (1,662,659     (977,969     (530,471

Amortization of deferred offering costs

    86,507       102,298       118,252       97,262        

(Increase) Decrease in:

         

Cash collateral at brokers for investments in swaps

    (267,000     (1,186,000     (1,216,000     109,659       796,114  

Receivable for dividends

                            72  

Receivable for interest

    74,765       (51,303     25,327       (1,358     2,403,812  

Receivable for investments sold

    4,321,840       14,348,112       10,667,799       5,795,689       25,571,980  

Receivable for reclaims

                            15,176  

Receivable for shares sold

          29,353       637,360              

Receivable for variation margin on swap contracts

                            5,302  

Other assets

    (38,576     113,363       (39,269     69,160       (27,394

Increase (Decrease) in:

         

Payable for investments purchased

    (8,425,104     (20,497,997     (15,274,811     (5,062,835     (26,633,973

Payable for offering costs

          (74,579                  

Payable for unfunded senior loans

    78,736       135,989       107,362       60,173        

Payable for variation margin on swap contracts

                      396        

Accrued interest

    15,876       (24     50,905       9,512       166,464  

Accrued management fees

    (2,550     (2,666     1,508       (2,154     (18,474

Accrued Trustees fees

    8,625       15,234       9,622       1,491       39,490  

Accrued other expenses

    72,122       247,071       164,527       34,926       210,669  

Net realized (gain) loss from:

         

Investments and foreign currency

    (1,428,067     1,175,072       766,142       1,389,370       (1,916,677

Paydowns

          (113,446     (75,644            

Change in net unrealized (appreciation) depreciation of:

         

Investments and foreign currency

    4,666,894       5,032,788       4,480,590       1,114,475       21,261,279  

Swaps(1)

    522,213       2,066,732       1,938,051       65,392        

Net cash provided by (used in) operating activities

    9,367,721       18,951,820       8,157,319       6,910,158       43,833,110  

Cash Flows from Financing Activities:

         

(Payments for) deferred offering costs

          (186,204                  

Proceeds from shelf offering, net of offering costs

          5,297,434       9,134,335              

Cash distributions paid to common shareholders

    (9,152,508     (22,853,636     (16,946,841     (6,784,583     (40,039,006

Net cash provided by (used in) financing activities

    (9,152,508     (17,742,406     (7,812,506     (6,784,583     (40,039,006

Net Increase (Decrease) in Cash

    215,213       1,209,414       344,813       125,575       3,794,104  

Cash at the beginning of period

    1,293       29,123       17,800       956       217,896  

Cash at the end of period

  $ 216,506     $ 1,238,537     $ 362,613     $ 126,531     $ 4,012,000  
Supplemental Disclosure of Cash Flow Information   NSL     JFR     JRO     JSD     JQC  

Cash paid for interest (excluding borrowing and amortization of offering costs)

  $ 1,651,532     $ 4,801,771     $ 3,246,860     $ 1,066,984     $ 8,884,935  

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

          139,663       59,873              
(1) Excluding over-the-counter cleared swaps.

 

See accompanying notes to financial statements.

 

NUVEEN     89  


Financial

Highlights (Unaudited)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Invest
ment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
    Total     Offering
Costs
    Discount
from
Shares
Repurchased
and Retired
    Premium
from
Shares
Sold
through
Shelf
Offering
    Ending
NAV
    Ending
Share
Price
 

NSL

 

Year Ended 7/31:

 

2018(e)

  $ 6.97     $ 0.22      $ (0.10    $ 0.12     $ (0.24   $   —     $ (0.24   $     $   —     $     $ 6.85     $ 6.43  

2017

    6.76       0.46        0.21        0.67       (0.46           (0.46                       6.97       6.83  

2016

    7.16       0.45        (0.43      0.02       (0.42           (0.42                     6.76       6.25  

2015

    7.51       0.45        (0.38      0.07       (0.42           (0.42                       7.16       6.34  

2014

    7.46       0.44        0.05        0.49       (0.44           (0.44                       7.51       6.98  

2013

    7.07       0.54        0.35        0.89       (0.56           (0.56     (0.01           0.07       7.46       7.45  

JFR

 

Year Ended 7/31:

 

2018(e)

    11.76       0.33        (0.13      0.20       (0.41           (0.41                     11.55       11.09  

2017

    11.36       0.73        0.46        1.19       (0.79           (0.79                     11.76       11.83  

2016

    12.01       0.73        (0.66      0.07       (0.72           (0.72                       11.36       10.68  

2015

    12.59       0.75        (0.61      0.14       (0.72           (0.72                       12.01       10.67  

2014

    12.54       0.75        0.06        0.81       (0.76           (0.76                   12.59       11.72  

2013

    11.87       0.90        0.68        1.58       (0.97           (0.97               0.06       12.54       12.72  

 

  90     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  1.72     (2.41 )%    $ 264,559       2.84 %**      6.30 %**      14
  10.22       17.00       269,083       2.64       6.70       55  
  0.61       5.89       261,071       2.53       6.84       29  
  0.96       (3.25     276,530       2.37       6.08       34  
  6.78       (0.29     290,088       2.15       5.89       58  
  13.89       10.23       288,025       1.74       7.32       76  
                                             
         
  1.70       (2.86     657,410       2.86 **      5.71 **      16  
  10.76       18.63       663,863       2.63       6.28       59  
  0.93       7.50       626,627       2.46       6.52       26  
  1.15       (2.88     662,801       2.29       6.08       33  
  6.62       (1.84     694,584       2.05       5.94       52  
  14.26       16.76       691,312       1.71       7.34       69  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

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

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

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

NSL

 

Year Ended 7/31:

 

2018(e)

    1.33 %** 

2017

    1.19  

2016

    1.08  

2015

    0.89  

2014

    0.72  

2013

    0.47  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JFR

 

Year Ended 7/31:

 

2018(e)

    1.46 %** 

2017

    1.24  

2016

    1.08  

2015

    0.88  

2014

    0.71  

2013

    0.48  
 

 

(d) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(e) For the six months ended January 31, 2018.
* Rounds to less than $0.01 per share.
** Annualized.

 

See accompanying notes to financial statements.

 

NUVEEN     91  


Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

           Investment Operations     Less Distributions to
Common Shareholders
     Common Share  
     Beginning
Common
Share
NAV
     Net
Investment
Income
(Loss)(a)
     Net
Realized/
Unrealized
Gain (Loss)
     Total     From
Net
Investment
Income
    From
Accumu
lated
Net
Realized
Gains
     Total      Offering
Costs
     Premium
from
Shares
Sold
through
Shelf
Offering
     Ending
NAV
     Ending
Share
Price
 

JRO

 

Year Ended 7/31:

                             

2018(e)

  $ 11.70      $ 0.34      $ (0.18    $ 0.16     $ (0.42   $      $ (0.42    $      $    $ 11.44      $ 11.05  

2017

    11.31        0.76        0.45        1.21       (0.83            (0.83             0.01        11.70        11.87  

2016

    12.05        0.77        (0.75      0.02       (0.76            (0.76                    11.31        10.72  

2015

    12.68        0.79        (0.66      0.13       (0.76            (0.76                    12.05        10.82  

2014

    12.55        0.78        0.14        0.92       (0.79            (0.79                12.68        12.40  

2013

    11.84        0.95        0.68        1.63       (1.04            (1.04      (0.01      0.13        12.55        12.73  

JSD

 

Year Ended 7/31:

                             

2018(e)

    18.07        0.60        (0.27      0.33       (0.67            (0.67                    17.73        16.64  

2017

    17.49        1.29        0.54        1.83       (1.25            (1.25                  18.07        17.75  

2016

    18.63        1.21        (1.16      0.05       (1.16     (0.03      (1.19                    17.49        16.16  

2015

    19.48        1.22        (0.87      0.35       (1.16     (0.04      (1.20                    18.63        16.41  

2014

    19.91        1.29        (0.02      1.27       (1.37     (0.33      (1.70                  19.48        18.20  

2013

    19.49        1.61        0.49        2.10       (1.61     (0.07      (1.68                  19.91        19.89  

 

  92     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets(c)        
Based
on
NAV(b)
   

Based
on
Share
Price(b)

    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income (Loss)
    Portfolio
Turnover
Rate(d)
 
                                             
         
  1.52     (3.36 )%    $ 464,218       2.90 %**      5.86 %**      17
  11.06       18.92       465,161       2.68       6.57       57  
  0.53       6.91       435,189       2.49       6.91       27  
  1.03       (6.74     463,729       2.31       6.41       34  
  7.54       3.91       487,784       2.07       6.16       55  
  15.27       14.42       482,204       1.71       7.73       72  
                                             
         
  1.89       (2.73     179,004       2.89 **      6.72 **      13  
  10.68       17.91       182,468       2.52       7.18       58  
  0.62       6.52       176,531       2.27       7.05       34  
  1.87       (3.27     188,031       1.78       6.43       31  
  6.59       0.16       196,613       1.88       6.52       45  
  11.17       10.77       201,031       1.80       8.12       82  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
  Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or borrowings (as described in Note 9 – Fund Leverage), where applicable.
    Each ratio includes the effect of all interest expense paid and other costs related to preferred shares and/or borrowings, where applicable, as follows:

 

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

JRO

 

Year Ended 7/31:

 

2018(e)

    1.47 %** 

2017

    1.27  

2016

    1.08  

2015

    0.89  

2014

    0.71  

2013

    0.46  
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
 

JSD

 

Year Ended 7/31:

 

2018(e)

    1.31 %** 

2017

    1.07  

2016

    0.82  

2015

    0.45  

2014

    0.50  

2013

    0.50  
 

 

(d) Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(e) For the six months ended January 31, 2018.
* Rounds to less than $0.01 per share.
** Annualized.

 

See accompanying notes to financial statements.

 

NUVEEN     93  


Financial Highlights (Unaudited) (continued)

 

Selected data for a common share outstanding throughout each period:

 

 

          Investment Operations     Less Distributions to
Common Shareholders
    Common Share  
     Beginning
Common
Share
NAV
    Net
Investment
Income
(Loss)(a)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
    From
Accumulated
Net Realized
Gains
    Total     Discount
from
Shares
Repurchased
and Retired
    Ending
NAV
    Ending
Share
Price
 

JQC

 

Year Ended 7/31:

 

2018(j)

  $ 9.32     $ 0.23     $ (0.15   $ 0.08     $ (0.29   $   —     $ (0.29   $   —     $ 9.11     $ 8.10  

2017

    9.25       0.52       0.18       0.70       (0.63           (0.63           9.32       8.69  

2016

    9.88       0.58       (0.60     (0.02     (0.61           (0.61         9.25       8.43  

2015

    10.25       0.62       (0.43     0.19       (0.56           (0.56         9.88       8.59  

2014

    10.13       0.60       0.16       0.76       (0.64           (0.64         10.25       9.05  

2013(i)

    9.88       0.42       0.29       0.71       (0.46           (0.46           10.13       10.03  

Year Ended 12/31:

 

           

2012

    9.18       0.78       0.72       1.50       (0.80           (0.80           9.88       9.65  

 

(a) Per share Net Investment Income (Loss) is calculated using the average daily shares method.
(b) Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.

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

(c)     Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and borrowings, where applicable (as described in Note 9 – Fund Leverage).
    Each ratio includes the effect of dividends expense on securities sold short and all interest expense and other costs related to reverse repurchase agreements and borrowings, where applicable, as follows:

 

JQC   Ratios of Dividends Expense
on Securities Sold Short
to Average Net Assets Applicable
to Common Shares(h)
    Ratios of Interest Expense
to Average Net Assets Applicable
to Common Shares
 

Year Ended 7/31:

 

2018(j)

        1.45 %*** 

2017

          1.23  

2016

          1.01  

2015

          0.66  

2014

          0.52  

2013(i)

          0.55 *** 

Year Ended 12/31:

 

2012

    **      0.58  

 

  94     NUVEEN


            Common Share Supplemental Data/
Ratios Applicable to Common Shares
 
Common Share
Total Returns
          Ratios to Average Net Assets
Before Reimbursement(c)
    Ratios to Average Net Assets
After Reimbursement(c)
       
Based
on
NAV(b)
        
Based
on
Share
Price(b)
    Ending
Net
Assets
(000)
    Expenses     Net
Investment
Income Loss(e)
    Expenses     Net
Investment
Income Loss(e)
    Portfolio
Turnover
Rate(g)
 
                                                             
             
  1.00     (3.49 )%    $ 1,237,392       2.79 %***      4.89 %***      N/A       N/A       35
  7.70       10.75       1,265,447       2.57       5.59       N/A       N/A       46  
  0.11       5.98       1,255,254       2.41       6.32       N/A       N/A       46  
  1.82       1.02       1,344,763       1.95       6.16       N/A       N/A       61  
  7.74       (3.44     1,396,303       1.77       5.84       1.76 %(d)      5.85 %(d)      65  
  7.32       8.80       1,380,261       1.77 ***      7.22 ***      N/A       N/A       44  
             
  16.80       30.55       1,345,657       1.86       8.07       N/A       N/A       127  

 

(d) During the fiscal year ended July 31, 2014, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with a common shares equity shelf program. As a result the Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares reflect the voluntary expense reimbursement from Adviser.
(e) 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. 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(f)
 

Year Ended 7/31:

 

2018(j)

   

2017

     

2016

     

2015

     

2014

     

2013(i)

     

Year Ended 12/31:

 

2012

    ** 
 

 

(f) The Fund had no matured senior loans subsequent to the fiscal year ended December 31, 2012.
(g) 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.
(h) Effective for periods beginning after December 31, 2012, the Fund no longer makes short sales of securities.
(i) For the seven months ended July 31, 2013.
(j) For the six months ended January 31, 2018.
* Rounds to less than $0.01 per share.
** Rounds to less than 0.01%.
*** Annualized.
N/A Fund no longer has a contractual reimbursement agreement with the Adviser.

 

See accompanying notes to financial statements.

 

NUVEEN     95  


Financial Highlights (Unaudited) (continued)

 

 

    Borrowings
at the End of Period
       VRTP Shares
at the End of Period
       Term Preferred
at the End of Period
       Borrowings,
VRTP Shares and/or
Term Preferred
at the End of Period
 
     Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share(c)
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $100,000
Share
       Aggregate
Amount
Outstanding
(000)
       Asset
Coverage
Per $1,000
Share
       Asset
Coverage
Per $1
Liquidation
Preference
 

NSL

 

                                                      

Year Ended 7/31:

 

                        

2018(a)

  $ 114,000        $ 3,698        $        $        $ 43,000        $ 2,685        $ 2.69  

2017

    114,000          3,738                            43,000          2,714          2.71  

2016

    101,000          4,030          45,000          278,816                            2.79  

2015

    112,500          3,974          58,000          262,188                            2.62  

2014

    112,000          4,108          58,000          270,640                            2.71  

2013

    123,000          3,342                                               

JFR

 

                                                      

Year Ended 7/31:

 

                        

2018(a)

    254,300          4,078                            125,200          2,732          2.73  

2017

    254,300          4,103                            125,200          2,749          2.75  

2016

    240,800          4,051          108,000          279,652                            2.80  

2015

    270,300          3,966          139,000          261,935                            2.62  

2014

    269,000          4,099          139,000          270,241                            2.70  

2013

    295,200          3,342                                               

JRO

 

                                                      

Year Ended 7/31:

 

                        

2018(a)

    178,000          4,066                            84,000          2,766          2.77  

2017

    178,800          4,071                            84,000          2,770          2.77  

2016

    166,800          4,059          75,000          279,979                            2.80  

2015

    188,800          3,975          98,000          261,691                            2.62  

2014

    188,000          4,116          98,000          270,554                            2.71  

2013

    201,900          3,388                                               

JSD

 

                                                      

Year Ended 7/31:

 

                        

2018(a)

    72,000          3,972                            35,000          2,673          2.67  

2017

    72,000          4,020                            35,000          2,705          2.71  

2016

    64,000          4,305                            35,000          2,783          2.78  

2015

    85,200          3,207                                               

2014

    85,000          3,313                                               

2013

    85,000          3,365                                               

JQC

 

                                                      

Year Ended 7/31:

 

                        

2018(a)

    561,000          3,206                                               

2017

    561,000          3,256                                               

2016

    561,000          3,238                                               

2015

    640,000          3,101                                               

2014

    606,000          3,304                                               

2013(b)

    561,000          3,460                                               

Year Ended 12/31:

 

                        

2012

    561,000          3,399                                               

 

  96     NUVEEN


(a) For the six months ended January 31, 2018.
(b) For the seven months ended July 31, 2013.
(c) Beginning with the fiscal year ended July 31, 2017, the Funds are calculating Asset Coverage Per $1,000 of Borrowings as defined under the 1940 Act and not as defined for financial reporting purposes. For purposes of calculating Asset Coverage as defined under the 1940 Act, the outstanding preferred shares are excluded because they are treated as equity for regulatory purposes. The Asset Coverage amounts presented in the table above are calculated in accordance with the 1940 Act, and therefore the Asset Coverage per $1,000 of Borrowings reflects the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of borrowings alone.

For financial reporting purposes, preferred shares are considered to be debt. For the fiscal years ended July 31, 2014 through July 31, 2016, the Asset Coverage amounts per $1,000 of Borrowings reflected the amount of Fund total assets (less all liabilities not represented by borrowings and preferred shares) per $1,000 of the combined amount of borrowings and outstanding preferred shares and the Asset Coverage amounts per financial reporting purposes as follows:

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

NSL

                  

Year Ended 7/31:

 

    

2016

  $ 101,000        $ 2,788  

2015

    112,500          2,622  

2014

    112,000          2,706  
    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JFR

               

Year Ended 7/31:

 

 

2016

  $ 240,800     $ 2,797  

2015

    270,300       2,619  

2014

    269,000       2,702  
 

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

      

Asset

Coverage

Per $1,000

Share

 

JRO

                  

Year Ended 7/31:

 

    

2016

  $ 166,800        $ 2,800  

2015

    188,800          2,617  

2014

    188,000          2,706  

 

    Borrowings at the End of Period  
    

Aggregate

Amount

Outstanding

(000)

   

Asset

Coverage

Per $1,000

Share

 

JSD

               

Year Ended 7/31:

 

 

2016

  $ 64,000     $ 2,783  

 

 

See accompanying notes to financial statements.

 

NUVEEN     97  


Notes to

Financial Statements (Unaudited)

 

1. General Information and Significant Accounting Policies

General Information

Fund Information

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

 

    Nuveen Senior Income Fund (NSL)

 

    Nuveen Floating Rate Income Fund (JFR)

 

    Nuveen Floating Rate Income Opportunity Fund (JRO)

 

    Nuveen Short Duration Credit Opportunities Fund (JSD)

 

    Nuveen Credit Strategies Income Fund (JQC)

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NSL, JFR, JRO, JSD and JQC were organized as Massachusetts business trusts on August 13, 1999, January 15, 2004, April 27, 2004, January 3, 2011 and May 17, 2003, respectively.

The end of the reporting period for the Funds is January 31, 2018, and the period covered by these Notes to Financial Statements is the six months ended January 31, 2018 (the “current fiscal period”).

Investment Adviser

The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Symphony Asset Management, LLC (“Symphony”), an affiliate of Nuveen, under which Symphony manages the investment portfolios of the Funds. The Adviser is responsible for overseeing the Funds’ investments in interest rate and credit default swap contracts.

Investment Objectives and Principal Investment Strategies

NSL’s investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests at least 80% of its managed assets (as defined in Note 7 – Management Fees) in adjustable rate senior loans. Senior loans that satisfy the 80% requirement may be secured or unsecured so long as any unsecured senior loans are investment grade quality. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

JFR’s investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by Symphony.

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

JSD’s investment objective is to provide current income and the potential for capital appreciation. Under normal market circumstances the Fund will invest at least 70% of its managed assets in adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments. The Fund may make limited tactical investments in high yield debt and other debt instruments of up to 30% of its managed assets. No more than 30% of the Fund’s managed assets may be invested in debt instruments that are, at the time of investment, rated CCC+ or Caa or below by any Nationally Recognized Statistical Rating Organization or that are unrated but judged by Symphony, to be of comparable quality.

 

  98     NUVEEN


 

The Fund may enter into tactical short positions consisting primarily of high yield debt, either directly or through the use of derivatives, including credit default swaps, creating investment exposure or hedging existing long (positive) investment exposure in a notional amount up to 20% of its managed assets. The Fund may invest up to 20% of its managed assets in debt instruments of non-U.S. issuers that are U.S. dollar or non-U.S. dollar denominated. The Fund’s investments in debt instruments of non-U.S. issuers may include debt instruments of issuers located, or conducting their business, in emerging markets countries.

JQC’s investment objectives are high current income and total return. The Fund meets its investment objectives by investing approximately 70% of its managed assets in senior secured and second lien loans, and up to 30% of its managed assets across the capital structure of companies (including equity securities) with a primary emphasis on high yield bonds, convertible securities and other forms of income-producing securities.

The Funds can invest up to 5% in iBOXX Loan Total Return Swaps.

Significant Accounting Policies

Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).

Investment Transactions

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

As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:

 

    

NSL

     JFR      JRO      JSD     

JQC

 

Outstanding when-issued/delayed delivery purchase commitments

  $ 5,779,318      $ 13,132,820      $ 9,063,115      $ 4,195,081      $ 25,065,589  

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (“PIK”) interest and fee income, if any. PIK interest represents income received in the form of securities in lien of cash. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as “Fees” on the Statement of Operations.

Professional Fees

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

Dividends and Distributions to Common Shareholders

Dividends from net investment income to common shareholders, if any, 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 income tax regulations, which may differ from U.S. GAAP.

Compensation

The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

 

NUVEEN     99  


Notes to Financial Statements (Unaudited) (continued)

 

Indemnifications

Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Netting Agreements

In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.

The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.

Use of Estimates

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

2. Investment Valuation and Fair Value Measurements

The fair valuation input levels as described below are for fair value measurement purposes.

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

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, 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).

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

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

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

Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.

Exchange-traded funds are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1.

 

  100     NUVEEN


 

Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

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

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds’ shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

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

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

 

NSL    Level 1      Level 2     Level 3     Total  

Long-Term Investments*:

         

Variable Rate Senior Loan Interests

   $      $ 347,127,041     $     $ 347,127,041  

Corporate Bonds**

            48,505,924       ***      48,505,924  

Common Stocks**

     6,778,587        1       77,413       6,856,001  

Warrants**

                  12,672       12,672  

$25 Par (or similar) Retail Preferred**

                  ***       

Short-Term Investments:

         

Investment Companies

     18,368,074                    18,368,074  

Investments in Derivatives:

         

Interest Rate Swaps****

            (1,070,548           (1,070,548

Total

   $ 25,146,661      $ 394,562,418     $ 90,085     $ 419,799,164  
JFR    Level 1      Level 2     Level 3     Total  

Long-Term Investments*:

         

Variable Rate Senior Loan Interests

   $      $ 819,999,968     $     $ 819,999,968  

Corporate Bonds**

            124,102,595       ***      124,102,595  

Common Stocks**

     15,147,056        1       154,826       15,301,883  

Asset-Backed Securities

            13,353,959             13,353,959  

Investment Companies

     11,395,702                    11,395,702  

Convertible Bonds

            40,375             40,375  

Warrants**

                  22,541       22,541  

$25 Par (or similar) Retail Preferred**

                  1       1  

Short-Term Investments:

         

Investment Companies

     53,431,081                    53,431,081  

Investments in Derivatives:

         

Interest Rate Swaps****

            (1,472,579           (1,472,579

Total

   $ 79,973,839      $ 956,024,319     $ 177,368     $ 1,036,175,526  

 

NUVEEN     101  


Notes to Financial Statements (Unaudited) (continued)

 

JRO    Level 1      Level 2     Level 3     Total  

Long-Term Investments*:

         

Variable Rate Senior Loan Interests

   $      $ 584,312,689     $     $ 584,312,689  

Corporate Bonds**

            87,945,500       ***      87,945,500  

Common Stocks**

     12,386,033        1       116,120       12,502,154  

Asset-Backed Securities

            6,802,182             6,802,182  

Convertible Bonds

            26,125             26,125  

Warrants**

                  16,764       16,764  

$25 Par (or similar) Retail Preferred**

                  ***       

Short-Term Investments:

         

Investment Companies

     35,466,645                    35,466,645  

Investments in Derivatives:

         

Interest Rate Swaps****

            (1,417,881           (1,417,881

Total

   $ 47,852,678      $ 677,668,616     $ 132,884     $ 725,654,178  
JSD    Level 1      Level 2     Level 3     Total  

Long-Term Investments*:

         

Variable Rate Senior Loan Interests

   $      $ 235,914,165     $     $ 235,914,165  

Corporate Bonds**

            36,766,520       ***      36,766,520  

Common Stocks**

     4,770,143              77,413       4,847,556  

Warrants**

                  9,126       9,126  

Short-Term Investments:

         

Investment Companies

     9,429,840                    9,429,840  

Investments in Derivatives:

         

Credit Default Swaps****

            (148,103           (148,103

Interest Rate Swaps****

            (176,292           (176,292

Total

   $ 14,199,983      $ 272,356,290     $ 86,539     $ 286,642,812  
JQC    Level 1      Level 2     Level 3     Total  

Long-Term Investments*:

         

Variable Rate Senior Loan Interests

   $      $ 1,445,719,625     $     $ 1,445,719,625  

Corporate Bonds**

            290,486,698       ***      290,486,698  

Exchange-Traded Funds

     120,073,166                    120,073,166  

Common Stocks

     21,104,383                    21,104,383  

Warrants**

                  40,488       40,488  

Short-Term Investments:

         

Investment Companies

     81,692,852                    81,692,852  

Total

   $ 222,870,401      $ 1,736,206,323     $ 40,488     $ 1,959,117,212  
* Refer to the Fund’s Portfolio of Investments for industry classifications, where applicable.
** Refer to the Fund’s Portfolio of Investments for securities classified as Level 2 and/or Level 3.
*** Value equals zero as of the end of the reporting period.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The Board is responsible for the valuation process and has appointed 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, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. 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

 

  102     NUVEEN


 

  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, 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.

3. Portfolio Securities and Investments in Derivatives

Portfolio Securities

Foreign Currency Transactions

To the extent that the Funds may invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern Time. Investment transactions, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) foreign currency, (ii) investments, (iii) investments in derivatives and (iv) other assets and liabilities are recognized as a component of “Net realized gain (loss) from investments and foreign currency” on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii) other assets and liabilities are recognized as a component of “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable. The unrealized gains and losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivative’s related “Change in net unrealized appreciation (depreciation)” on the Statement of Operations, when applicable.

Zero Coupon Securities

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

Investments in Derivatives

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

Interest Rate Swap Contracts

Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).

 

NUVEEN     103  


Notes to Financial Statements (Unaudited) (continued)

 

The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.

Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps.”

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers for investment in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps” as described in the preceding paragraph.

The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums received and/or paid” on the Statement of Assets and Liabilities.

During the current fiscal period, NSL, JFR, JRO and JSD used interest rate swaps in which each Fund received payments based upon floating (one- or three-month) LIBOR rates, and paid a fixed rate of interest. The purpose of the interest rate swaps is to convert some portion of a Fund’s floating rate leverage (bank borrowings) to fixed rate through the maturity date of the swap. The Funds also entered into a cancellable interest rate swap in which the Funds received payments based upon pre-determined fixed rates and paid one-month LIBOR plus a fixed spread. After a non-callable period, the swap counterparty owns the right on future monthly dates to terminate the swap at par. The purpose of the cancellable interest rate swap is to convert a fixed rate Term Preferred Share issuance to floating rate, and the cancellation dates of the swap correspond to dates on which the Funds can call the Term Preferred Share issue.

The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:

 

     NSL     JFR     JRO     JSD  

Average notional amount of interest rate swap contracts outstanding*

  $ 43,000,000     $ 125,200,000     $ 84,000,000     $ 52,500,000  
* The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period.

Credit Default Swap Contracts

A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. When a Fund has bought (sold) protection in a credit default swap upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) deliver (receive) that security, or an equivalent amount of cash, from the counterparty in exchange for receipt (payment) of the notional amount to the counterparty, or (ii) receive (pay) a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security

 

  104     NUVEEN


 

received (delivered) and the notional amount delivered (received) is recorded as a realized gain or loss. Payments paid (received) at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.

Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.

For OTC swaps not cleared through a clearing house (“OTC Uncleared”), the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps” on the Statement of Assets and Liabilities.

Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers for investments in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation. Conversely, if a Fund has unrealized depreciation the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on credit default swaps” as described in the preceding paragraph. The maximum potential amount of future payments the Fund could incur as a buyer or seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.

During the current fiscal period, JSD and JQC invested in credit default swap contracts to provide a benefit if particular bonds’ credit quality worsened.

The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:

 

    

JSD

   

JQC

 

Average notional amount of credit default swap contracts outstanding*

  $ 2,333,333     $ 13,133,333  
* The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period.

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

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative
Instrument
 

Asset Derivatives

         

(Liability) Derivatives

 
     Location    Value            Location    Value  
NSL               
Interest rate        Swaps (OTC Uncleared)      $             Unrealized depreciation on interest rate swaps    $ (1,070,548
JFR               
Interest rate    Swaps (OTC Uncleared)  

Unrealized appreciation on interest rate swaps

   $ 3,187            

Unrealized depreciation on interest rate swaps

   $ (1,475,766
JRO               
Interest rate    Swaps (OTC Uncleared)  

   $            

Unrealized depreciation on interest rate swaps

   $ (1,417,881

 

NUVEEN     105  


Notes to Financial Statements (Unaudited) (continued)

 

        

Location on the Statement of Assets and Liabilities

 
Underlying
Risk Exposure
   Derivative
Instrument
 

Asset Derivatives

         

(Liability) Derivatives

 
     Location    Value            Location    Value  
JSD               
Credit    Swaps (OTC Cleared)      $             Payable for variation margin on swap contracts**^    $ (148,103
Interest Rate    Swaps (OTC Uncleared)   Unrealized appreciation on interest rate swaps    $ 23,836             Unrealized depreciation on interest rate swaps    $ (200,128
Total             $ 23,836                  $ 348,231  
** Value represents the unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability amount as described above.
^ Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.

The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of end of the reporting period.

 

Fund    Counterparty   Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
    Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
    Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
    Collateral
Pledged
to (from)
Counterparty
    Net
Exposure
 
NSL   

Morgan Stanley Capital Services LLC

  $     $ (1,070,548   $ (1,070,548   $ 898,000     $ 172,548  
JFR   

Morgan Stanley Capital Services LLC

    3,187       (1,475,766     (1,472,579     1,186,000       286,579  
JRO   

Morgan Stanley Capital Services LLC

          (1,417,881     (1,417,881     1,216,000       201,881  
JSD   

Morgan Stanley Capital Services LLC

    23,836       (200,128     (176,292     176,292        
*** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.

 

Fund      Underlying
Risk Exposure
     Derivative
Instrument
     Net Realized
Gain (Loss) from
Swaps
       Change in Net
Unrealized
Appreciation
(Depreciation) of
Swaps
 
NSL      Interest rate      Swaps      $ (33,885      $ (522,213
JFR      Interest rate      Swaps      $ 446,566        $ (2,066,732
JRO      Interest rate      Swaps      $ 408,524        $ (1,938,051
JSD                    
     Credit      Swaps      $ 21,791        $ (148,103
       Interest rate      Swaps        (63,524        (65,392
Total                    $ (41,733      $ (213,495
JQC      Credit      Swaps      $ 1,412,885        $ (1,375,436

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

 

  106     NUVEEN


 

pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

4. Fund Shares

Common Shares

Common Shares Equity Shelf Programs and Offering Costs

The following Funds have each filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing each Fund to issue additional common shares through one or more equity shelf program (“Shelf Offering”), which became effective with the SEC during the prior fiscal period.

Under these Shelf Offerings, the Funds, subject to market conditions, may raise additional equity capital by issuing additional common shares from time to time in varying amounts and by different offering methods at a net price at or above each Fund’s NAV per common share. In the event a Fund’s Shelf Offering registration statement is no longer current, the Fund may not issue additional common shares until a post-effective amendment to the registration statement has been filed with the SEC.

Additional authorized common shares, common shares sold and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the Fund’s current and prior fiscal period were as follows:

 

    NSL        JFR  
     Six Months
Ended
1/31/18*
       Year Ended
7/31/17**
       Six Months
Ended
1/31/18
       Year Ended
7/31/17***
 

Additional authorized common shares

    8,800,000          8,800,000          12,900,000          12,900,000  

Common shares sold

                      452,068          1,274,890  

Offering proceeds, net of offering costs

  $        $        $ 5,297,434        $ 15,091,303  
    JRO        JSD  
     Six Months
Ended
1/31/18
       Year Ended
7/31/17***
       Six Months
Ended
1/31/18*
       Year Ended
7/31/17**
 

Additional authorized common shares

    8,500,000          8,500,000          1,000,000          1,000,000  

Common shares sold

    783,600          1,280,410                   362  

Offering proceeds, net of offering costs

  $ 9,134,335        $ 15,230,348        $        $ 6,592  
* Represents additional authorized common shares for the period August 1, 2017 through December 8, 2017.
** Represents additional authorized common shares for the period March 8, 2017 through July 31, 2017.
*** Represents additional authorized common shares for the period February 22, 2017 through July 31, 2017.

Costs incurred by the Funds in connection with their Shelf Offerings were recorded as a deferred charge and recognized as a component of “Deferred offering costs” on the Statement of Assets and Liabilities. The deferred assets are reduced during the one-year period that additional shares are sold by reducing the proceeds from such sales and recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any remaining deferred charges at the end of the one-year life of the Shelf Offering period will be expensed accordingly, as well as any additional Shelf Offering costs the Funds may incur. As Shelf Offering costs are expensed they are recognized as a component of “Other expenses” on the Statement of Operations.

Common Share Transactions

Transactions in common shares for the Funds during the Funds’ current and prior fiscal period, where applicable, were as follows:

 

     JFR      JRO  
      Six Months
Ended
1/31/18
     Year Ended
7/31/17
     Six Months
Ended
1/31/18
     Year Ended
7/31/17
 

Common shares:

           

Sold through shelf offering

     452,068        1,274,890        783,600        1,280,410  

Issued to shareholders due to reinvestment of distributions

     11,975        10,319        5,155        13,271  

Weighted average common share:

           

Premium to NAV per shelf offering share sold

     1.38      1.62      1.71      2.17

 

NUVEEN     107  


Notes to Financial Statements (Unaudited) (continued)

 

                   JSD  
                     

Six Months
Ended
1/31/18

    

Year
Ended
7/31/17

 

Common shares:

           

Sold through shelf offering

                  362  

Issued to shareholders due to reinvestment of distributions

                               

Weighted average common share:

           

Premium to NAV per shelf offering share sold

                              1.34

Preferred Shares

Term Preferred Shares

The following Funds have issued and have outstanding Term Preferred Shares (“Term Preferred”), with a $1,000 liquidation preference per share.

As of the end of the reporting period, the outstanding Term Preferred, at liquidation preference, for each Fund were as follows:

 

Fund   Series        Shares
Outstanding
       Liquidation
Preference
 

NSL

    2021          43,000        $ 43,000,000  

JFR

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
    2024          35,000          35,000,000  
      2027          55,000          55,000,000  

JRO

    2022          10,000        $ 10,000,000  
    2022-1          21,000          21,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

JSD

    2020          35,000        $ 35,000,000  

Each Fund is obligated to redeem its Term Preferred by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed or repurchased by the Fund. The Term Preferred are subject to redemption at the option of each Fund, subject to payment of a premium for approximately one year following the date of issuance (“Optional Redemption Premium Expiration Date”), and at liquidation preference per share plus accumulated but unpaid dividends. Term Preferred are subject to mandatory redemption in certain circumstances. Each Fund may be obligated to redeem a certain amount of the Term Preferred if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share (plus any premium) plus any accumulated but unpaid dividends. The Term Redemption Date and Optional Redemption Premium Expiration Date for each Fund’s series of Term Preferred are as follows:

 

Fund   Series        Term
Redemption Date
       Optional
Redemption Premium
Expiration Date
 

NSL

    2021          November 1, 2021          October 31, 2017  

JFR

    2019          December 1, 2019          November 30, 2017  
    2022          January 1, 2022          December 31, 2017  
    2024          June 1, 2024          N/A  
      2027          January 1, 2027          December 31, 2017  

JRO

    2022          January 1, 2022          December 31, 2017  
    2022-1          April 1, 2022          March 31, 2018  
    2023          December 1, 2023          November 30, 2017  
      2027          January 1, 2027          December 31, 2017  

JSD

    2020          November 1, 2020          October 31, 2016  
N/A – Not applicable

 

  108     NUVEEN


 

The average liquidation preference of Term Preferred outstanding and the annualized dividend rate for each Fund during the current fiscal period were as follows:

 

     NSL        JFR        JRO        JSD  

Average liquidation preference of Term Preferred outstanding

  $ 43,000,000        $ 125,200,000        $ 84,000,000        $ 35,000,000  

Annualized dividend rate

    1.98        3.25        3.25        1.61

Term Preferred generally do not trade, and market quotations are generally not available. Term Preferred are short-term instruments that pay a dividend rate, subject to adjustment as set forth in accordance with the offering documents. The fair value of Term Preferred is expected to be approximately its liquidation preference so long as the fixed “spread” on the Term Preferred remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Fund’s Adviser has determined that the fair value of Term Preferred is approximately its liquidation preference, but its fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of Term Preferred is a liability and is recognized as “Term Preferred Shares (“Term Preferred”), net of deferred offering costs” on the Statement of Assets and Liabilities.

Dividends on Term Preferred (which are treated as interest payments for financial reporting purposes) are at the rates set forth in its offering document. The initial dividend rate will expire approximately two years after the first issuance of shares and will be adjusted upwards semi-annually thereafter. Unpaid dividends on Term Preferred are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on Term Preferred are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

Costs incurred in connection with each Fund’s offering of Term Preferred were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Term Preferred Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.

Preferred Share Transactions

Transactions in preferred shares for the Funds during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.

Transactions in Term Preferred for the Funds, where applicable, were as follows:

 

    Year Ended
July 31, 2017
 
NSL   Series        Shares        Amount  

Term Preferred issued

    2021          43,000        $ 43,000,000  
    Year Ended
July 31, 2017
 
JFR   Series        Shares        Amount  

Term Preferred issued

    2019          10,200        $ 10,200,000  
    2022          25,000          25,000,000  
    2024          35,000          35,000,000  
      2027          55,000          55,000,000  

Total

               125,200        $ 125,200,000  
    Year Ended
July 31, 2017
 
JRO   Series        Shares        Amount  

Term Preferred issued

    2022          10,000        $ 10,000,000  
    2022-1          21,000          21,000,000  
    2023          8,000          8,000,000  
      2027          45,000          45,000,000  

Total

               84,000        $ 84,000,000  

Transactions in Variable Rate Term Preferred (“VRTP”) Shares for the Funds, where applicable, were as follows:

 

    Year Ended
July 31, 2017
 
NSL   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (450      $ (45,000,000

 

NUVEEN     109  


Notes to Financial Statements (Unaudited) (continued)

 

    Year Ended
July 31, 2017
 
JFR   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (1,080      $ (108,000,000
    Year Ended
July 31, 2017
 
JRO   Series        Shares        Amount  

VRTP Shares redeemed

    C-4          (750      $ (75,000,000

5. Investment Transactions

Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:

 

    

NSL

      

JFR

      

JRO

      

JSD

      

JQC

 

Purchases

  $ 53,666,010        $ 142,983,153        $ 107,630,614        $ 35,655,649        $ 328,953,213  

Sales and maturities

  $ 65,798,522        $ 152,281,531        $ 105,350,371        $ 39,943,603        $ 341,710,645  

6. Income Tax Information

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

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

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

The tables below present the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of January 31, 2018.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.

 

        NSL      JFR      JRO      JSD      JQC  

Tax cost of investments

     $ 441,266,288      $ 1,079,560,195      $ 759,475,824      $ 296,796,865      $ 2,069,834,485  

Gross unrealized:

                

Appreciation

       7,558,324        18,296,947        13,634,212        5,705,530        24,512,968  

Depreciation

       (27,954,900      (60,209,037      (46,037,977      (15,535,188      (135,230,241

Net unrealized appreciation (depreciation) of investments

       (20,396,576      (41,912,090      (32,403,765      (9,829,658      (110,717,273
               

NSL

    

JFR

    

JRO

    

JSD

 

Tax cost of swaps

        $      $      $      $ 77,279  

Net unrealized appreciation (depreciation) of swaps

                (1,070,548      (1,472,579      (1,417,881      (176,292

 

  110     NUVEEN


 

Permanent differences, primarily due to expiration of capital loss carryforwards, bond premium amortization adjustments, treatment of notional principal contracts, nondeductible offering costs, foreign currency transactions, investments in partnerships and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2017, the Funds’ last tax year end, as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Paid-in-surplus

     $ (7,199,110    $ (10,215,386    $ (814,834    $ (192,952    $ (289,143,715

Undistributed (Over-distribution of) net investment income

       307,609        1,468,632        1,219,849        57,833        2,040,108  

Accumulated net realized gain (loss)

       6,891,501        8,746,754        (405,015      135,119        287,103,607  

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2017, the Funds’ last tax year end, were as follows:

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Undistributed net ordinary income1

     $ 3,293,810      $ 6,885,628      $ 5,076,968      $ 1,797,316      $ 6,125,241  

Undistributed net long-term capital gains

                                    

1  Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 3, 2017, paid on August 1, 2017. Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.

   

The tax character of distributions paid during the Funds’ last tax year ended July 31, 2017, was designated for purposes of the dividends paid deduction as follows:

 

        NSL      JFR      JRO      JSD      JQC  

Distributions from net ordinary income2

     $ 18,847,638      $ 46,717,216      $ 34,204,030      $ 13,046,562      $ 84,784,370  

Distributions from net long-term capital gains

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

As of July 31, 2017, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

 

       

NSL

    

JFR

    

JRO

    

JSD

    

JQC

 

Expiration:

                

July 31, 2018

     $ 29,264,459      $ 67,020,214      $ 46,332,843      $      $ 8,513,146  

Not subject to expiration

       4,797,932        7,999,822        5,175,330        1,782,858        35,107,702  

Total

     $ 34,062,391      $ 75,020,036      $ 51,508,173      $ 1,782,858      $ 43,620,848  

As of July 31, 2017, the Funds’ last tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

 

      NSL      JFR      JRO      JQC  

Expired capital loss carryforwards

   $ 6,925,213      $ 9,819,992      $ 503,687      $ 289,143,715  

During the Funds’ last tax year ended, July 31, 2017, JSD utilized $578,749 of its capital loss carryforward.

7. Management Fees

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

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

 

NUVEEN     111  


Notes to Financial Statements (Unaudited) (continued)

 

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

 

Average Daily Managed Assets*  

NSL

JFR

JRO

JSD
Fund-Level Fee Rate

   

JQC
Fund-Level Fee Rate

 

For the first $500 million

    0.6500     0.6800

For the next $500 million

    0.6250       0.6550  

For the next $500 million

    0.6000       0.6300  

For the next $500 million

    0.5750       0.6050  

For managed assets over $2 billion

    0.5500       0.5800  

The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds’ daily managed assets:

 

Complex-Level Eligible Asset Breakpoint Level*      Effective Complex-Level Fee Rate at Breakpoint Level  

$55 billion

       0.2000

$56 billion

       0.1996  

$57 billion

       0.1989  

$60 billion

       0.1961  

$63 billion

       0.1931  

$66 billion

       0.1900  

$71 billion

       0.1851  

$76 billion

       0.1806  

$80 billion

       0.1773  

$91 billion

       0.1691  

$125 billion

       0.1599  

$200 billion

       0.1505  

$250 billion

       0.1469  

$300 billion

       0.1445  
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute ‘’eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of January 31, 2018, the complex-level fee for each Fund was 0.1591%.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, the following Funds’ outstanding unfunded senior loan commitments were as follows:

 

     NSL        JFR       

JRO

       JSD  

Outstanding unfunded senior loan commitments

  $ 101,580        $ 181,676        $ 141,628        $ 83,017  

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 the end of the reporting period, the Funds had no such outstanding participation commitments.

9. Fund Leverage

Borrowings

Each Fund has entered into a borrowing arrangement (“Borrowings”) as a means of leverage.

 

  112     NUVEEN


 

Borrowings Information for NSL, JFR and JRO

The following Funds have entered into a revolving credit and security agreement with certain banks and their affiliates. As of the end of the reporting period, each Fund’s maximum commitment amount under its Borrowings is as follows:

 

     NSL        JFR       

JRO

 

Maximum commitment amount

  $ 115,000,000        $ 290,000,000        $ 195,000,000  

As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows:

 

     NSL        JFR       

JRO

 

Outstanding balance on Borrowings

  $ 114,000,000        $ 254,300,000        $ 178,800,000  

For NSL, JFR and JRO, interest is charged at a rate equal to 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.80%. NSL accrues 0.15% per annum on the undrawn balance if it is less than 50% of the maximum commitment amount; however, if the undrawn portion of the Borrowings is greater than 50% of the maximum commitment amount the Fund will accrue 0.25% per annum on the undrawn portion. JFR accrues 0.25% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. JRO accrues 0.30% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. NSL and JRO also accrued an upfront fee of 0.05% and 0.025% per annum on the maximum commitment amount, respectively.

On December 22, 2017, JFR and JRO renewed their Borrowings through December 21, 2018. On January 29, 2018, NSL renewed its Borrowings through January 28, 2019. All other items of the Borrowings remain unchanged.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:

 

     NSL        JFR       

JRO

 

Average daily balance outstanding

  $ 114,000,000        $ 254,300,000        $ 178,800,000  

Average annual interest rate

    2.11        2.11        2.11

Borrowings Information for JSD

The Fund has outstanding a 364-day revolving line of credit. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JSD

 

Maximum commitment amount

  $ 75,000,000  

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JSD

 

Outstanding balance on Borrowings

  $ 72,000,000  

For the period August 1, 2017 to October 31, 2017, the interest was charged on these Borrowings at a rate per annum equal to the greater of 1-Month LIBOR or the Federal Funds Rate, plus 0.85%. The Fund also accrued 0.15% per annum on the undrawn portion if it was less than 50% of the maximum commitment; however, if the undrawn portion of the Borrowings was greater than 50% of the maximum commitment amount the Fund accrued a 0.25% per annum on the undrawn portion of the Borrowings.

On November 1, 2017, JSD renewed its Borrowings through October 31, 2018. The interest charged on these Borrowings is at a rate per annum equal to 1-Month LIBOR or the Federal Funds Rate, plus 0.80%. The Fund also accrued an upfront fee of 0.05% per annum on the maximum commitment amount. All other items of the Borrowings remain unchanged.

During the current fiscal period, the combined average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JSD

 

Average daily balance outstanding

  $ 72,000,000  

Average annual interest rate

    2.14

Borrowings Information for JQC

The Fund has entered into a borrowing agreement with a bank and its affiliate. As of the end of the reporting period, the Fund’s maximum commitment amount under its Borrowings is as follows:

 

    

JQC

 

Maximum commitment amount

  $ 640,000,000  

 

NUVEEN     113  


Notes to Financial Statements (Unaudited) (continued)

 

As of the end of the reporting period, the Fund’s outstanding balance on its Borrowings was as follows:

 

    

JQC

 

Outstanding balance on Borrowings

  $ 561,000,000  

Interest is charged on the Borrowings at a rate per annum equal to the 3-Month LIBOR plus 1.15%. The Fund also accrues 1.15% per annum on any positive difference between 90% of the maximum commitment amount and the daily drawn amount.

During the current fiscal period, the average daily balance outstanding and average annual interest rate on the Fund’s Borrowings were as follows:

 

    

JQC

 

Average daily balance outstanding

  $ 561,000,000  

Average annual interest rate

    2.53

Reverse Repurchase Agreements

During the current fiscal period, JQC used reverse repurchase agreements as a means of leverage.

In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will pledge assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded as a liability and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.

Payments made on reverse repurchase agreements are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. In periods of increased demand for the security, the Fund receives a fee for use of the security by the counterparty. This results in interest income to the Fund, which is recognized as a component of the “Interest and dividend income” on the Statement of Operations.

As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:

 

Counterparty      Rate       

Principal
Amount

       Maturity*        Value        Value and
Accrued Interest
 

Societe Generale

       3-Month LIBOR plus 1.15      $ (145,000,000        4/15/20        $ (145,000,000      $ (145,401,275
* The Fund may repurchase the reverse repurchase agreement prior to the maturity date.

During the current fiscal period, the average daily balance outstanding and average interest rate on the Fund’s reverse repurchase agreements were as follows:

 

      

JQC

 

Average daily balance outstanding

       $145,000,000  

Average interest rate

       2.53

The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.

 

Counterparty    Reverse Repurchase
Agreements*
       Collateral Pledged
to Counterparty**
       Net
Exposure
 

Societe Generale

   $ (145,401,275      $ 145,401,275        $  
* Represents gross value and accrued interest for the counterparty as reported in the preceding table.
** As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements.

Other Borrowings Information for the Funds

In order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Fund’s Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.

Each Funds’ Borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed amount, undrawn balance and initial fees are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.

10. Inter-Fund Lending

The SEC has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when

 

  114     NUVEEN


 

a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.

The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.

During the current reporting period, the Funds did not enter into any inter-fund loan activity.

11. New Accounting Pronouncements

FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities

The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.

FASB ASU 2016-18: Statement of Cash Flows – Restricted Cash (“ASU 2016-18”)

The FASB has issued ASU 2016-18, which will require entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is currently evaluating the implications of ASU 2016-18, if any.

 

NUVEEN     115  


Additional

Fund Information

 

Board of Trustees          
Margo Cook*  

Jack B. Evans

 

William C. Hunter

 

Albin F. Moschner

 

John K. Nelson

 

William J. Schneider

Judith M. Stockdale

 

Carole E. Stone

 

Terence J. Toth

 

Margaret L Wolff

 

Robert L. Young

 

 

* Interested Board Member.

 

         

Fund Manager

Nuveen Fund Advisors, LLC

333 West Wacker Drive

Chicago, IL 60606

 

Custodian

State Street Bank
& Trust Company

One Lincoln Street

Boston, MA 02111

 

Legal Counsel

Chapman and Cutler LLP

Chicago, IL 60603

 

Independent Registered
Public Accounting Firm

KPMG LLP

200 East Randolph Street

Chicago, IL 60601

 

Transfer Agent and
Shareholder Services

Computershare Trust Company, N.A.

250 Royall Street

Canton, MA 02021

(800) 257-8787

 

 

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 toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.

 

 

CEO Certification Disclosure

Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

 

 

Common Share Repurchases

Each Fund intends to repurchase, through its open market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 

     NSL        JFR        JRO        JSD        JQC  

Common shares repurchased

                                         

FINRA BrokerCheck

The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

 

 

 

  116     NUVEEN


Glossary of Terms

Used in this Report

 

  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

 

  Collateralized Loan Obligation (CLO): A security backed by a pool of debt, often low rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

 

  Convexity: A tool used in risk management to measure the sensitivity of bond duration to interest rate changes. Higher convexity generally means higher sensitivity to interest rate changes.

 

  Credit Suisse Leveraged Loan Index: A representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees.

 

  Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see below) and the leverage effects of certain derivative investments in the fund’s portfolio.

 

  Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.

 

  Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding.

 

  Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

NUVEEN     117  


Reinvest Automatically,

Easily and Conveniently

 

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

 

 

Your Nuveen Closed-End Funds Automatic Reinvestment Plan

Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

 

 

  118     NUVEEN


Notes

 

 

NUVEEN     119  


LOGO

 

          

 

           
  Nuveen:   
     Serving Investors for Generations      
    

 

     Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.   
       

 

       

Focused on meeting investor needs.

 

Nuveen is the investment manager of TIAA. We have grown into one of the world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.

  
    

 

        
       

Find out how we can help you.

 

To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

 

Learn more about Nuveen Funds at: www.nuveen.com/cef

  

 

                 
  Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com   

 

ESA-A-0118D        445040-INV-B-03/19


Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Schedule of Investments.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

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 to this filing.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: See EX-99.CERT attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2 (b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registration specifically incorporates it by reference: See EX-99.906 CERT attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Credit Strategies Income Fund

 

By (Signature and Title)   

/s/ Gifford R. Zimmerman

  
   Gifford R. Zimmerman   
   Vice President and Secretary   

Date: April 5, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)   

/s/ Cedric H. Antosiewicz

  
   Cedric H. Antosiewicz   
   Chief Administrative Officer   
   (principal executive officer)   

Date: April 5, 2018

 

By (Signature and Title)   

/s/ Stephen D. Foy

  
   Stephen D. Foy   
   Vice President and Controller   
   (principal financial officer)   

Date: April 5, 2018