UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number		811-21579

Nuveen Floating Rate Income Opportunity Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

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:    July 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 policymaking roles.

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

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ITEM 1. REPORTS TO STOCKHOLDERS.

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Closed-End Funds

 

31 July 2018

 

Nuveen

Closed-End Funds

 

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

 

Annual Report

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Table of Contents

 

Chairman’s Letter to Shareholders			4
Portfolio Managers’ Comments			5
Fund Leverage			9
Common Share Information			11
Risk Considerations			13
Performance Overview and Holding Summaries			16
Shareholder Meeting Report			26
Report of Independent Registered Public Accounting Firm			27
Portfolios of Investments			28
Statement of Assets and Liabilities			83
Statement of Operations			84
Statement of Changes in Net Assets			85
Statement of Cash Flows			88
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
Annual Investment Management Agreement Approval Process			119
Board Members & Officers			127

 

3

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Chairman’s Letter to Shareholders

 

 

4

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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. During the reporting period, Gunther Stein and Scott Caraher managed NSL, JFR and JRO, Gunther, Scott and Jenny Rhee managed JSD, and Gunther and Sutanto Widjaja managed JQC. On October 1, 2018, Gunther Stein ceased serving as a portfolio manager for each of the Funds.

Effective April 12, 2018, the Board of Trustees for both JQC and JSD has approved an additional investment policy for each Fund. Under normal circumstances, the Fund will invest at least 80% of “Assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities. This new policy is separate from and in addition to the Fund’s existing policy that it will invest at least 70% of Managed Assets in adjustable rate senior loans and second lien loans for JQC and adjustable rate corporate debt instruments, including senior secured loans, second lien loans and other adjustable rate corporate debt instruments for JSD.

Here the team discusses U.S. economic and market conditions, their management strategies and the performance of the Funds for the twelve-month reporting period ended July 31, 2018.

What factors affected the U.S. economic and financial markets during the twelve-month reporting period ended July 31, 2018?

After maintaining a moderate pace of growth for most of the twelve-month reporting period, the U.S. economy accelerated in the second quarter of 2018. In the April to June period, economic stimulus from tax cuts and deregulation helped lift the economy to its fastest pace since 2014. The “second” estimate by the Bureau of Economic Analysis reported U.S. gross domestic product (GDP) grew at an annualized rate of 4.2% in the second quarter, up from 2.2% in the first quarter, 2.3% in the fourth quarter of 2017 and 2.8% in the third quarter of 2017. GDP is the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. The boost in economic activity during the second quarter of 2018 was attributed to robust spending by

 

 

 

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.

 

5

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Portfolio Managers’ Comments (continued)

 

consumers, businesses and the government, as well as a temporary increase in exports, as farmers rushed soybean shipments ahead of China’s retaliatory tariffs.

Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and, in the second quarter, tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.9% in July 2018 from 4.3% in July 2017 and job gains averaged around 200,000 per month for the past twelve months. The Consumer Price Index (CPI) increased 2.9% over the twelve-month reporting period ended July 31, 2018 on a seasonally adjusted basis, as reported by the Bureau of Labor Statistics.

Low mortgage rates and low inventory continued to drive home prices higher. Although mortgage rates have started to nudge higher, they remained relatively low by historical standards. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, rose 6.2% in June 2018 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over- year increases of 6.0% and 6.3%, respectively.

With the U.S. economy delivering a sustainable growth rate and employment strengthening, the Fed’s policy making committee continued to incrementally raise its main benchmark interest rate. The most recent increase, in June 2018, was the seventh rate hike since December 2015. Fed Chair Janet Yellen’s term expired in February 2018, and incoming Chairman Jerome Powell indicated he would likely maintain the Fed’s gradual pace of interest rate hikes. At the June meeting, the Fed increased its projection to four interest rate increases in 2018, from three increases projected at the March meeting, indicating its confidence in the economy’s health. In line with expectations, the Fed left rates unchanged at its July meeting and continued to signal another increase in September. Additionally, the Fed continued reducing its balance sheet by allowing a small amount of maturing Treasury and mortgage securities to roll off without reinvestment. The market expects the pace to remain moderate and predictable, with minimal market disruption.

Geopolitical news remained a prominent market driver. Protectionist rhetoric had been garnering attention across Europe, as anti-European Union (EU) sentiment featured prominently (although did not win a majority) in the Dutch, French and German elections in 2017. Italy’s 2018 elections resulted in a hung parliament, and several months of negotiations resulted in a populist, euro-skeptic coalition government. The U.S. moved forward with tariffs on imported goods from China, as well as on steel and aluminum from Canada, Mexico and Europe. These countries announced retaliatory measures in kind, intensifying concerns about a trade war, although the U.S. and the EU announced in July they would refrain from further tariffs while they negotiate trade terms. Meanwhile, in March the U.K. and EU agreed in principle to the Brexit transition terms, but political instability in the U.K. in July has clouded the outlook. The U.S. Treasury issued additional sanctions on Russia in April, and re-imposed sanctions on Iran after President Trump withdrew from the 2015 nuclear agreement. The threat of a nuclear North Korea eased somewhat as the leaders of South Korea and North Korea met during April and jointly announced a commitment toward peace, while the U.S.-North Korea summit yielded an agreement with few additional details.

The loan market exhibited positive performance throughout the reporting period based on a number of factors. Fundamentally, earnings have been strong and issuers have benefited from a move to lower their cost of financing via the repricing of existing debt, which lowers the effective coupon. Further, companies have taken advantage of strong conditions to extend debt repayment periods, which at this point has made the maturity schedule quite manageable. Credit metrics also continue to be generally strong. All of this has led to a low level of defaults. From a positioning perspective, the loan market has little retail exposure (an area of concern for investors), and issuers generally have little exposure to ongoing trade negotiations which have caused volatility in other markets. In particular, loans in the portfolio are USD-denominated and have less risk to a rising U.S. dollar. From a technical perspective, loans have seen consistent demand coming from the institutional market, in particular collateralized loan obligations (or CLOs). CLOs are the primary buyer in the loan asset class. Adding to that demand has been fairly consistent demand coming from retail mutual

 

6

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funds and exchange-traded funds. On the supply side, while the new issue markets have been active, incremental supply has been more than met by incremental demand over the reporting period.

What strategies were used to manage the Funds during the twelve-month reporting period ended July 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 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, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities and 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, at least 80% of “assets,” at time of purchase, in loans or securities in the issuing company’s capital structure that are senior to its common equity, including but not limited to debt securities, preferred securities 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 twelve-month reporting period ended July 31, 2018?

The tables in the Performance Overview and Holding Summaries section of this report provide total return performance for each Fund for the one-year, five-year, ten-year and/or since inception periods ended July 31, 2018. Each Fund’s total returns at net asset value (NAV) are compared with the performance of a corresponding market index. For the twelve-month reporting period ended July 31, 2018, NSL, JFR, JRO and JSD outperformed the Credit Suisse Leveraged Loan Index, while 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 consumer staples sector in JQC. The telecommunication services, information technology, consumer discretionary and energy sectors were the strongest contributors to absolute performance.

 

7

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Portfolio Managers’ Comments (continued)

 

Specific holdings that contributed positively to performance were the bonds of Intelsat Jackson Holdings, S.A. Intelsat operates the world’s largest satellite services operation. A number of positive catalysts drove Intelsat’s bonds higher, including a strong earnings announcement and a capital expenditure reduction earlier in 2018 as well as a successful contract win to expand 4G LTE services within the United States. Most recently, the company has garnered positive support from the Federal Communications Commission (FCC) regarding their plan to support the deployment of 5G wireless connectivity by monetizing some of their spectrum rights. The market has attributed meaningful value to Intelsat’s spectrum rights, allowing the company to raise equity recently to refinance some of its capital structure. Also contributing to performance were the bonds of California Resources Corporation (CRC). CRC has successfully improved its liquidity profile via a number of financing transactions, and has also benefitted from a backdrop of higher energy prices. Lastly, contributing to performance were the loans of Cumulus Media. Cumulus is the third largest radio operator in the U.S. and filed for bankruptcy in 2017. Following its emergence from bankruptcy, the company now has an improved capital structure that should assist the issuer going forward.

Detracting from performance were the bonds of Dish DBS Corp. Dish has been suffering from revenue pressure amid lower subscribership trends. Lastly, exposure to Petco Animal Supplies, Inc. term loans hurt performance as the retailer has seen downgrades amid declining sales numbers.

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

 

8

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Fund Leverage

 

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through 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, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments in recent years have been much lower than the interest the Fund has been earning on its portfolio securities that it has bought with the proceeds of that leverage.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage decline in value, which will make the shares’ net asset value more volatile, and total return performance more variable, over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. Over the last few quarters, short-term interest rates have indeed increased from their extended lows after the 2007-09 financial crisis. This increase has reduced common share net income, and also reduced potential for long-term total returns. Nevertheless, the ability to effectively borrow at current short-term rates is still resulting in enhanced common share income, and management believes that the advantages of continuation of leverage outweigh the associated increase in risk and volatility described above.

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 had a negligible impact to overall Fund performance during the period.

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

 

		NSL				JFR				JRO				JSD				JQC
Effective Leverage*			37.05	%			36.61	%			36.09	%			37.17	%			36.33	%
Regulatory Leverage*			37.05	%			36.61	%			36.09	%			37.17	%			31.20	%

*

Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of reverse repurchase agreements, certain derivatives 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.

 

9

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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				July 31, 2018				Average Balance Outstanding								Draws				Paydowns				September 27, 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							$	—			$	(55,000,000	)		$	506,000,000

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

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				July 31, 2018				Average Balance Outstanding								Purchases				Sales				September 27, 2018
	$145,000,000				$    —				$    —				$145,000,000				$145,000,000								$55,000,000				$    —				$200,000,000

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				July 31, 2018				Average Balance Outstanding								Issuance				Redemptions				September 27, 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.

 

10

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Common Share Information

 

COMMON SHARE DISTRIBUTION INFORMATION

The following information regarding the Funds’ distributions is current as of July 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 Distribution (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			0.0395				0.0675				0.0705				0.1060				0.0475
February			0.0395				0.0675				0.0705				0.1060				0.0475
March			0.0370				0.0620				0.0620				0.1060				0.0410
April			0.0370				0.0620				0.0620				0.1060				0.0410
May			0.0370				0.0620				0.0620				0.1060				0.0410
June			0.0335				0.0575				0.0580				0.1005				0.0370
July 2018			0.0335				0.0575				0.0580				0.1005				0.0370
Total Monthly Per Share Distributions			0.4545				0.7735				0.7955				1.2610				0.5345
Ordinary Income Distribution*			—				—				—				0.0364				—
Total Distributions from Net Investment Income		$	0.4545			$	0.7735			$	0.7955			$	1.2974			$	0.5345
Current Distribution Rate**			6.56	%			6.70	%			6.80	%			7.23	%			5.63	%

*	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 July 31, 2018, the Funds had positive UNII balances 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 Information (continued)

 

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 2018 (subsequent to the close of the reporting period), 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 July 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				—				5,315,700
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 July 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			$6.91				$11.55				$11.47				$17.92				$9.11
Common share price			$6.13				$10.30				$10.23				$16.67				$7.89
Premium/(Discount) to NAV			(11.29	)%			(10.82	)%			(10.81	)%			(6.98	)%			(13.39	)%
12-month average premium/(discount) to NAV			(5.11	)%			(3.83	)%			(3.26	)%			(4.13	)%			(10.31	)%

 

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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.

 

13

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Risk Considerations (continued)

 

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.

 

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NSL		Nuveen Senior Income Fund Performance Overview and Holding Summaries as of July 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 July 31, 2018

 

		Average Annual
		1-Year				5-Year				10-Year
NSL at Common Share NAV			5.91%				4.83%				6.90%
NSL at Common Share Price			(3.78)%				2.84%				7.59%
Credit Suisse Leveraged Loan Index			4.72%				4.19%				5.19%

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

 

 

16

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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.

 

 

17

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JFR		Nuveen Floating Rate Income Fund Performance Overview and Holding Summaries as of July 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 July 31, 2018

 

		Average Annual
		1-Year				5-Year				10-Year
JFR at Common Share NAV			5.01%				4.83%				6.69%
JFR at Common Share Price			(6.64)%				2.56%				7.45%
Credit Suisse Leveraged Loan Index			4.72%				4.19%				5.19%

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

 

 

18

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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.

 

 

19

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JRO		Nuveen Floating Rate Income Opportunity Fund Performance Overview and Holding Summaries as of July 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 July 31, 2018

 

		Average Annual
		1-Year				5-Year				10-Year
JRO at Common Share NAV			5.06%				4.97%				7.32%
JRO at Common Share Price			(7.38)%				2.68%				8.13%
Credit Suisse Leveraged Loan Index			4.72%				4.19%				5.19%

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

 

 

20

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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.

 

 

 

21

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JSD		Nuveen Short Duration Credit Opportunities Fund Performance Overview and Holding Summaries as of July 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 July 31, 2018

 

		Average Annual
		1-Year				5-Year				Since Inception
JSD at Common Share NAV			6.66%				5.22%				6.62%
JSD at Common Share Price			1.33%				4.28%				5.29%
Credit Suisse Leveraged Loan Index			4.72%				4.19%				4.55%

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

 

 

22

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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.

 

 

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JQC		Nuveen Credit Strategies Income Fund Performance Overview and Holding Summaries as of July 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 July 31, 2018

 

		Average Annual
		1-Year				5-Year				10-Year
JQC at Common Share NAV			3.64%				4.16%				5.77%
JQC at Common Share Price			(3.09)%				2.10%				6.99%
Credit Suisse Leveraged Loan Index			4.72%				4.19%				5.19%

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

 

 

24

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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.

 

 

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Shareholder Meeting Report

 

The annual meeting of shareholders was held in the offices of Nuveen on April 11, 2018 for NSL, JFR, JRO, JSD and JQC; at this meeting the shareholders were asked to elect Board Members.

 

		NSL								JFR								JRO								JSD								JQC
		Common and Preferred shares voting together as a class				Preferred Shares				Common and Preferred shares voting together as a class				Preferred Shares				Common and Preferred shares voting together as a class				Preferred Shares				Common and Preferred shares voting together as a class				Preferred Shares				Common Shares
Approval of the Board Members was reached as follows:
Margo L. Cook
For			32,433,917				—				49,049,987				—				35,393,057				—				8,773,654				—				114,811,090
Withhold			925,218				—				945,078				—				1,224,719				—				357,048				—				3,319,902
Total			33,359,135				—				49,995,065				—				36,617,776				—				9,130,702				—				118,130,992
Jack B. Evans
For			32,067,944				—				48,655,758				—				35,336,182				—				8,744,619				—				114,339,128
Withhold			1,291,191				—				1,339,307				—				1,281,594				—				386,083				—				3,791,864
Total			33,359,135				—				49,995,065				—				36,617,776				—				9,130,702				—				118,130,992
Albin F. Moschner
For			32,424,917				—				49,053,568				—				35,363,701				—				8,773,943				—				114,471,840
Withhold			934,218				—				941,497				—				1,254,075				—				356,759				—				3,659,152
Total			33,359,135				—				49,995,065				—				36,617,776				—				9,130,702				—				118,130,992
William C. Hunter
For			—				23,419				—				62,194				—				69,597				—				1,178				—
Withhold			—				290				—				1,419				—				1,016				—				23,454				—
Total			—				23,709				—				63,613				—				70,613				—				24,632				—
William J. Schneider
For			—				23,419				—				62,194				—				69,597				—				1,178				114,316,682
Withhold			—				290				—				1,419				—				1,016				—				23,454				3,814,310
Total			—				23,709				—				63,613				—				70,613				—				24,632				118,130,992

 

26

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Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees of

Nuveen Senior Income Fund

Nuveen Floating Rate Income Fund

Nuveen Floating Rate Income Opportunity Fund

Nuveen Short Duration Credit Opportunities Fund

Nuveen Credit Strategies Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Senior Income Fund, Nuveen Floating Rate Income Fund, Nuveen Floating Rate Income Opportunity Fund, Nuveen Short Duration Credit Opportunities Fund and Nuveen Credit Strategies Income Fund (the “Funds”) as of July 31, 2018, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the four-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of July 31, 2018, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the year ended July 31, 2014 were audited by other independent registered public accountants whose report, dated September 25, 2014, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2018, by correspondence with the custodian and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more Nuveen investment companies since 2014.

Chicago, Illinois

September 27, 2018

 

27

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NSL		Nuveen Senior Income Fund   Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 157.7% (97.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 135.5% (84.0% of Total Investments) (2)
				Aerospace & Defense – 3.1% (1.9% of Total Investments)
$	4,118			Sequa Corporation, Term Loan B			7.067%				1-Month LIBOR				5.000%				11/28/21				B–			$	4,125,682
	1,432			Sequa Corporation, Term Loan, Second Lien			11.072%				1-Month LIBOR				9.000%				4/28/22				CCC				1,437,557
	1,938			Transdigm, Inc., Term Loan E			4.577%				1-Month LIBOR				2.500%				5/30/25				Ba2				1,939,461
	490			Transdigm, Inc., Term Loan F			4.577%				1-Month LIBOR				2.500%				6/09/23				Ba2				490,901
	320			Transdigm, Inc., Term Loan G, First Lien			4.577%				1-Month LIBOR				2.500%				8/22/24				Ba2				320,610
	8,298			Total Aerospace & Defense																							8,314,211
				Air Freight & Logistics – 1.1% (0.7% of Total Investments)
	1,000			Ceva Group PLC, Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				BB–				1,001,250
	837			PAE Holding Corporation, Term Loan B			7.577%				1-Month LIBOR				5.500%				10/20/22				B+				841,557
	1,083			XPO Logistics, Inc., Term Loan B			4.064%				1-Month LIBOR				2.000%				2/24/25				BB+				1,086,503
	2,920			Total Air Freight & Logistics																							2,929,310
				Airlines – 2.3% (1.4% of Total Investments)
	1,940			American Airlines, Inc., Replacement Term Loan			4.086%				1-Month LIBOR				2.000%				10/10/21				BB+				1,941,562
	1,433			American Airlines, Inc., Term Loan 2025			3.827%				1-Month LIBOR				1.750%				6/27/25				BB+				1,411,532
	2,893			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				12/14/23				BB+				2,882,039
	6,266			Total Airlines																							6,235,133
				Auto Components – 0.6% (0.4% of Total Investments)
	703			Horizon Global Corporation, Term Loan B, (DD1)			6.572%				1-Month LIBOR				4.500%				6/30/21				B2				681,787
	990			Superior Industries International, Inc., Term Loan B			6.077%				1-Month LIBOR				4.000%				5/22/24				B				994,660
	1,693			Total Auto Components																							1,676,447
				Automobiles – 0.9% (0.5% of Total Investments)
	1,430			Chrysler Group LLC, Term Loan			4.070%				1-Month LIBOR				2.000%				12/31/18				BBB–				1,434,510
	103			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				103,383
	746			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				750,221
	2,279			Total Automobiles																							2,288,114
				Biotechnology – 1.1% (0.7% of Total Investments)
	2,963			Grifols, Inc., Term Loan B			4.200%				1-Week LIBOR				2.250%				1/31/25				BB				2,974,617
				Building Products – 1.7% (1.1% of Total Investments)
	1,750			Fairmount, Initial Term Loan			6.050%				3-Month LIBOR				3.750%				6/01/25				BB				1,753,465
	489			Ply Gem Industries, Inc., Term Loan B			6.087%				3-Month LIBOR				3.750%				4/12/25				B				490,740
	2,381			Quikrete Holdings, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				11/15/23				BB–				2,382,290
	4,620			Total Building Products																							4,626,495
				Capital Markets – 0.4% (0.2% of Total Investments)
	968			RPI Finance Trust, Term Loan B6			4.334%				3-Month LIBOR				2.000%				3/27/23				BBB–				971,208
				Chemicals – 1.3% (0.8% of Total Investments)
	680			Ineos US Finance LLC, Term Loan			4.169%				2-Month LIBOR				2.000%				4/01/24				BB+				679,545
	1,595			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				1,592,975
	1,254			Univar, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				7/01/24				BB				1,259,064
	3,529			Total Chemicals																							3,531,584
				Commercial Services & Supplies – 4.4% (2.7% of Total Investments)
	739			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			6.342%				2-Month LIBOR				4.000%				10/19/23				B–				732,286
	2,226			iQor US, Inc., Term Loan, First Lien			7.337%				3-Month LIBOR				5.000%				4/01/21				B				2,214,831
	250			iQor US, Inc., Term Loan, Second Lien			11.087%				3-Month LIBOR				8.750%				4/01/22				CCC+				239,500
	769			KAR Auction Services, Inc., Term Loan B5			4.625%				1-Month LIBOR				2.500%				3/09/23				BB–				771,536
	767			LSC Communications, Refinancing Term Loan			7.577%				1-Month LIBOR				5.500%				9/30/22				B				768,587

 

28

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	1,719			Monitronics International, Inc., Term Loan B2, First Lien			7.834%				3-Month LIBOR				5.500%				9/30/22				B–			$	1,614,063
	1,305			Protection One, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				5/02/22				BB–				1,308,390
	2,229			Skillsoft Corporation, Initial Term Loan, First Lien, (DD1)			6.827%				1-Month LIBOR				4.750%				4/28/21				B–				2,168,061
	978			Universal Services of America, Initial Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				7/28/22				B–				965,281
	171			West Corporation, Incremental Term Loan B1			5.577%				1-Month LIBOR				3.500%				10/10/24				Ba3				170,511
	753			West Corporation, Term Loan B			6.077%				1-Month LIBOR				4.000%				10/10/24				Ba3				754,040
	11,906			Total Commercial Services & Supplies																							11,707,086
				Communications Equipment – 0.8% (0.5% of Total Investments)
	935			Mitel US Holdings, Inc., Incremental Term Loan			5.827%				1-Month LIBOR				3.750%				9/25/23				B+				937,665
	1,130			Plantronics, Term Loan B			4.577%				1-Month LIBOR				2.500%				7/02/25				BB				1,130,904
	2,065			Total Communications Equipment																							2,068,569
				Construction & Engineering – 0.8% (0.5% of Total Investments)
	1,000			KBR, Inc., Term Loan B			5.814%				1-Month LIBOR				3.750%				4/25/25				B+				1,008,130
	1,204			Traverse Midstream Partners, Term Loan B			6.340%				3-Month LIBOR				4.000%				9/27/24				B+				1,210,587
	2,204			Total Construction & Engineering																							2,218,717
				Containers & Packaging – 0.5% (0.3% of Total Investments)
	699			Berry Global, Inc., Term Loan Q			4.080%				1-Month LIBOR				2.000%				10/01/22				BBB–				700,990
	741			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				2/05/23				B+				743,879
	1,440			Total Containers & Packaging																							1,444,869
				Distributors – 0.6% (0.4% of Total Investments)
	607			American Seafoods Group LLC, Term Loan B			4.830%				1-Month LIBOR				2.750%				8/21/23				BB–				606,204
	1,000			SRS Distribution, Inc., Term Loan B			5.580%				3-Month LIBOR				3.250%				5/23/25				B				984,750
	1,607			Total Distributors																							1,590,954
				Diversified Consumer Services – 2.6% (1.6% of Total Investments)
	3,537			Cengage Learning Acquisitions, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				6/07/23				B				3,355,322
	110			Education Management LLC, Tranche A, Term Loan, (5)			10.000%				N/A				N/A				7/02/20				N/R				18,715
	248			Education Management LLC, Tranche B, Term Loan, (5)			13.250%				N/A				N/A				7/02/20				N/R				7,849
	2,037			Houghton Mifflin, Term Loan B, First Lien			5.077%				1-Month LIBOR				3.000%				5/28/21				B				1,909,741
	967			Laureate Education, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				4/26/24				B+				970,679
	663			Vertiv Co., Term Loan B			6.100%				1-Month LIBOR				4.000%				11/30/23				B+				660,311
	7,562			Total Diversified Consumer Services																							6,922,617
				Diversified Financial Services – 1.2% (0.7% of Total Investments)
	572			Freedom Mortgage Corporation, Term Loan B			6.817%				1-Month LIBOR				4.750%				2/23/22				B+				576,820
	767			Travelport LLC, Term Loan B			4.830%				3-Month LIBOR				2.500%				3/17/25				B+				766,635
	2,048			Veritas US, Inc., Term Loan B1			6.641%				1-Month LIBOR				4.500%				1/27/23				B				1,907,896
	3,387			Total Diversified Financial Services																							3,251,351
				Diversified Telecommunication Services – 7.6% (4.7% of Total Investments)
	1,073			CenturyLink, Inc., Initial Term A Loan			4.827%				1-Month LIBOR				2.750%				11/01/22				BBB–				1,072,366
	4,831			CenturyLink, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				1/31/25				BBB–				4,762,379
	2,924			Frontier Communications Corporation, Term Loan B			5.830%				1-Month LIBOR				3.750%				1/14/22				B+				2,887,675
	1,542			Intelsat Jackson Holdings, S.A., Term Loan B			5.827%				1-Month LIBOR				3.750%				11/30/23				B				1,548,694
	236			Intelsat Jackson Holdings, S.A., Term Loan B4			6.577%				1-Month LIBOR				4.500%				1/02/24				B1				248,493
	378			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				396,758
	1,552			Level 3 Financing, Inc., Tranche B, Term Loan			4.331%				1-Month LIBOR				2.250%				2/22/24				BBB–				1,556,693
	2,376			WideOpenWest Finance LLC, Term Loan B			5.329%				1-Month LIBOR				3.250%				8/18/23				B				2,283,844
	435			Windstream Corporation, Term Loan B6			6.080%				1-Month LIBOR				4.000%				3/29/21				B+				411,054
	5,000			Ziggo B.V., Term Loan E			4.572%				1-Month LIBOR				2.500%				4/15/25				BB–				4,975,325
	20,347			Total Diversified Telecommunication Services																							20,143,281

 

29

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Electric Utilities – 1.1% (0.7% of Total Investments)
$	436			EFS Cogen Holdings LLC, Term Loan B			5.590%				3-Month LIBOR				3.250%				6/28/23				BB			$	437,336
	1,604			Vistra Operations Co., Term Loan B1			4.077%				1-Month LIBOR				2.000%				8/01/23				BBB–				1,603,365
	825			Vistra Operations Co., Term Loan B3			4.074%				1-Month LIBOR				2.000%				12/31/25				BBB–				824,235
	2,865			Total Electric Utilities																							2,864,936
				Electrical Equipment – 0.6% (0.4% of Total Investments)
	1,041			TTM Technologies, Inc., Term Loan B			4.592%				1-Month LIBOR				2.500%				9/28/24				BB+				1,044,427
	546			Zebra Technologies Corporation, Term Loan B			4.057%				3-Month LIBOR				1.750%				10/27/21				BB+				548,497
	1,587			Total Electrical Equipment																							1,592,924
				Energy Equipment & Services – 0.1% (0.1% of Total Investments)
	392			Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)			15.870%				3-Month LIBOR				13.500%				5/06/19				N/R				103,984
	162			Ocean Rig UDW, Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				170,634
	554			Total Energy Equipment & Services																							274,618
				Equity Real Estate Investment Trusts – 2.9% (1.8% of Total Investments)
	3,252			Communications Sales & Leasing, Inc., Shortfall Term Loan			5.077%				1-Month LIBOR				3.000%				10/24/22				B				3,119,322
	745			Realogy Group LLC, Term Loan A			4.317%				1-Month LIBOR				2.250%				2/08/23				N/R				746,479
	991			Realogy Group LLC, Term Loan B			4.317%				1-Month LIBOR				2.250%				2/08/25				BB+				994,090
	2,983			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			8.077%				1-Month LIBOR				6.000%				6/30/22				CCC+				2,847,324
	7,971			Total Equity Real Estate Investment Trusts																							7,707,215
				Food & Staples Retailing – 5.5% (3.4% of Total Investments)
	714			Albertson’s LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB–				713,839
	11,883			Albertson’s LLC, Term Loan B4			4.827%				1-Month LIBOR				2.750%				8/25/21				BB–				11,852,868
	946			Albertson’s LLC, Term Loan B6			5.319%				3-Month LIBOR				3.000%				6/22/23				BB–				941,565
	786			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			5.597%				1-Month LIBOR				3.500%				2/03/24				B				788,285
	442			Save-A-Lot, Term Loan B			8.077%				1-Month LIBOR				6.000%				12/05/23				B–				343,354
	14,771			Total Food & Staples Retailing																							14,639,911
				Food Products – 2.9% (1.8% of Total Investments)
	836			Hearthside Group Holdings LLC, Term Loan B			5.064%				1-Month LIBOR				3.000%				5/23/25				B				830,589
	1,919			Jacobs Douwe Egberts, Term Loan B			4.625%				3-Month LIBOR				2.250%				7/04/22				BB				1,929,515
	328			Pinnacle Foods Finance LLC, Term Loan B			3.840%				1-Month LIBOR				1.750%				2/02/24				BB+				328,755
	4,518			US Foods, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				6/27/23				BBB–				4,521,109
	7,601			Total Food Products																							7,609,968
				Health Care Equipment & Supplies – 2.0% (1.3% of Total Investments)
	945			Acelity, Term Loan B			5.584%				3-Month LIBOR				3.250%				2/02/24				B				949,459
	432			ConvaTec, Inc., Term Loan B			4.584%				3-Month LIBOR				2.250%				10/25/23				BB				432,974
	676			Greatbatch, New Term Loan B			5.330%				1-Month LIBOR				3.250%				10/27/22				B+				680,665
	500			LifeScan, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				487,500
	1,489			Onex Carestream Finance LP, Term Loan, First Lien			6.077%				1-Month LIBOR				4.000%				6/07/19				B				1,490,446
	929			Onex Carestream Finance LP, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				12/07/19				B–				929,247
	500			Vyaire Medical, Inc., Term Loan B			7.232%				6-Month LIBOR				4.750%				4/16/25				B–				491,250
	5,471			Total Health Care Equipment & Supplies																							5,461,541
				Health Care Providers & Services – 5.9% (3.6% of Total Investments)
	1,091			Air Medical Group Holdings, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				4/28/22				B				1,061,025
	1,035			Air Medical Group Holdings, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				3/14/25				B				1,022,288
	500			Ardent Health, Term Loan, First Lien			6.572%				1-Month LIBOR				4.500%				6/30/25				B				504,375
	546			Community Health Systems, Inc., Term Loan H			5.557%				3-Month LIBOR				3.250%				1/27/21				B–				537,294
	949			Concentra, Inc., Term Loan B			4.850%				1-Month LIBOR				2.750%				6/01/22				B+				951,981
	639			Envision Healthcare Corporation, Term Loan B, First Lien			5.080%				1-Month LIBOR				3.000%				12/01/23				BB–				639,497
	756			Healogics, Inc., Term Loan, First Lien			6.570%				3-Month LIBOR				4.250%				7/01/21				B–				716,197
	62			Heartland Dental Care, Inc., Delay Draw Facility, (6)			1.875%				N/A				N/A				4/30/25				B–				61,457
	412			Heartland Dental Care, Inc., Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				4/30/25				B–				409,715

 

30

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Providers & Services (continued)
$	1,710			Kindred at Home Hospice, Term Loan B, (DD1)			6.125%				3-Month LIBOR				3.750%				6/21/25				B			$	1,726,442
	500			Kindred at Home Hospice, Term Loan, Second Lien			9.375%				3-Month LIBOR				7.000%				6/21/26				CCC+				510,625
	1,900			Millennium Laboratories, Inc., Term Loan B, First Lien			8.577%				1-Month LIBOR				6.500%				12/21/20				CCC+				1,051,362
	341			MultiPlan, Inc., Term Loan B			5.084%				3-Month LIBOR				2.750%				6/07/23				B+				341,905
	2,707			Pharmaceutical Product Development, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				8/18/22				Ba3				2,711,699
	748			PharMerica, Term Loan, First Lien			5.578%				1-Month LIBOR				3.500%				12/06/24				B				752,217
	748			Prospect Medical Holdings, Term Loan B1			7.625%				1-Month LIBOR				5.500%				2/22/24				B				752,337
	119			Quorum Health Corp., Term Loan B			8.827%				1-Month LIBOR				6.750%				4/29/22				B1				120,809
	1,678			Select Medical Corporation, Term Loan B			4.831%				1-Month LIBOR				2.750%				3/01/21				BB–				1,686,170
	148			Vizient, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/13/23				BB–				148,963
	16,589			Total Health Care Providers & Services																							15,706,358
				Health Care Technology – 1.4% (0.8% of Total Investments)
	714			Catalent Pharma Solutions, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				5/20/24				BB				715,422
	2,963			Emdeon, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				3/01/24				B+				2,961,478
	3,677			Total Health Care Technology																							3,676,900
				Hotels, Restaurants & Leisure – 10.8% (6.7% of Total Investments)
	748			Aramark Corporation, Term Loan			4.084%				3-Month LIBOR				1.750%				3/11/25				BBB–				750,149
	4,602			Burger King Corporation, Term Loan B3			4.327%				1-Month LIBOR				2.250%				2/16/24				B+				4,604,860
	1,406			Caesars Entertainment Operating Company, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				10/06/24				BB				1,405,539
	1,990			Caesars Resort Collection, Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				12/23/24				BB				2,000,418
	1,626			CCM Merger, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				8/09/21				BB–				1,633,265
	2,179			CityCenter Holdings LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				4/18/24				BB–				2,184,872
	2,418			Hilton Hotels, Term Loan B			3.814%				1-Month LIBOR				1.750%				10/25/23				BBB–				2,428,656
	2,207			Intrawest Resorts Holdings, Inc., Term Loan B			5.077%				1-Month LIBOR				3.000%				7/31/24				B				2,207,993
	1,676			Life Time Fitness, Inc., Term Loan B			5.057%				3-Month LIBOR				2.750%				6/10/22				BB–				1,680,701
	1,075			MGM Growth Properties, Term Loan B			4.077%				1-Month LIBOR				2.000%				4/25/25				BB+				1,077,605
	4,316			Scientific Games Corp., Initial Term Loan B5			4.903%				2-Month LIBOR				2.750%				8/14/24				B+				4,323,937
	886			Seaworld Parks and Entertainment, Inc., Term Loan B5			5.077%				1-Month LIBOR				3.000%				4/01/24				B				884,993
	750			Stars Group Holdings, Term Loan B			5.831%				3-Month LIBOR				3.500%				7/10/25				B+				757,774
	1,731			Station Casino LLC, Term Loan B			4.580%				1-Month LIBOR				2.500%				6/08/23				BB				1,737,439
	1,000			Wyndham International, Inc., Term Loan B			3.827%				1-Month LIBOR				1.750%				5/30/25				BBB–				1,003,595
	28,610			Total Hotels, Restaurants & Leisure																							28,681,796
				Household Products – 0.9% (0.5% of Total Investments)
	2,196			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.577%				1-Month LIBOR				3.500%				11/16/20				CCC+				1,624,413
	759			Serta Simmons Holdings LLC, Term Loan, First Lien			5.591%				1-Month LIBOR				3.500%				11/08/23				B–				638,914
	2,955			Total Household Products																							2,263,327
				Industrial Conglomerates – 1.0% (0.6% of Total Investments)
	1,903			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			6.596%				3-Month LIBOR				4.250%				6/16/24				B				1,914,846
	748			Education Advisory Board, Term Loan, First Lien			6.252%				3-Month LIBOR				3.750%				11/15/24				B				744,384
	2,651			Total Industrial Conglomerates																							2,659,230
				Insurance – 1.8% (1.1% of Total Investments)
	494			Acrisure LLC, Term Loan B			6.592%				3-Month LIBOR				4.250%				11/22/23				B				495,620
	2,694			Alliant Holdings I LLC, Term Loan B			5.078%				1-Month LIBOR				3.000%				5/09/25				B				2,697,577
	1,659			Hub International Holdings, Inc., Term Loan B			5.335%				3-Month LIBOR				3.000%				4/25/25				B				1,659,633
	4,847			Total Insurance																							4,852,830
				Internet and Direct Marketing Retail – 0.4% (0.2% of Total Investments)
	1,000			Uber Technologies, Inc., Term Loan			6.100%				1-Month LIBOR				4.000%				4/04/25				N/R				1,007,030
				Internet Software & Services – 1.8% (1.1% of Total Investments)
	978			Ancestry.com, Inc., Term Loan, First Lien			5.330%				1-Month LIBOR				3.250%				10/19/23				B				980,706
	750			GTT Communications, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				2.750%				6/02/25				B				743,438

 

31

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Internet Software & Services (continued)
$	948			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			5.363%				3-Month LIBOR				3.000%				11/03/23				BB–			$	944,488
	1,103			Sabre, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				2/22/24				BB				1,105,298
	1,109			SkillSoft Corporation, Term Loan, Second Lien			10.327%				1-Month LIBOR				8.250%				4/28/22				CCC				997,312
	4,888			Total Internet Software & Services																							4,771,242
				IT Services – 3.5% (2.2% of Total Investments)
	275			DigiCert, Term Loan, First Lien			7.327%				1-Month LIBOR				5.250%				10/31/24				B				276,104
	553			Engility Corporation, Term Loan B2			4.827%				1-Month LIBOR				2.750%				8/11/23				BB–				555,456
	1,279			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				7/10/22				BB				1,280,729
	3,712			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				4/26/24				BB				3,715,479
	667			Gartner, Inc., Term Loan A			4.077%				1-Month LIBOR				2.000%				3/21/22				BB+				668,735
	209			PEAK 10, Inc., Term Loan B			5.834%				3-Month LIBOR				3.500%				8/01/24				B				208,572
	1,238			Tempo Acquisition LLC, Term Loan B			5.077%				1-Month LIBOR				3.000%				5/01/24				B				1,240,154
	748			Vantiv LLC, Repriced Term Loan B4			3.824%				1-Month LIBOR				1.750%				8/09/24				BBB–				748,421
	735			WEX, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				7/01/23				BB–				736,551
	9,416			Total IT Services																							9,430,201
				Leisure Products – 1.2% (0.8% of Total Investments)
	1,026			24 Hour Fitness Worldwide, Inc., Term Loan B			5.572%				1-Month LIBOR				3.500%				5/30/25				B+				1,030,687
	875			Academy, Ltd., Term Loan B, (DD1)			6.092%				1-Month LIBOR				4.000%				7/01/22				CCC+				725,655
	996			Equinox Holdings, Inc., Term Loan B1			5.077%				1-Month LIBOR				3.000%				3/08/24				B+				1,001,521
	493			Four Seasons Holdings, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				11/30/23				BB				493,160
	3,390			Total Leisure Products																							3,251,023
				Life Sciences Tools & Services – 0.1% (0.1% of Total Investments)
	357			Inventiv Health, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				8/01/24				BB–				357,131
				Machinery – 1.7% (1.0% of Total Investments)
	1,236			Gardner Denver, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				7/30/24				BB				1,239,884
	838			Gates Global LLC, Term Loan B			5.084%				3-Month LIBOR				2.750%				4/01/24				B+				841,009
	746			Navistar, Inc., Tranche B, Term Loan			5.600%				1-Month LIBOR				3.500%				11/06/24				B+				748,116
	500			NN, Inc., Term Loan, Second Lien			10.097%				1-Month LIBOR				8.000%				4/19/23				CCC+				495,000
	208			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			4.314%				1-Month LIBOR				2.250%				8/21/24				BB+				208,628
	499			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			6.834%				3-Month LIBOR				4.500%				11/27/20				CCC+				479,852
	500			TNT Crane and Rigging, Inc., Term Loan, Second Lien			11.334%				3-Month LIBOR				9.000%				11/26/21				CCC-				422,500
	4,527			Total Machinery																							4,434,989
				Marine – 0.6% (0.4% of Total Investments)
	666			American Commercial Lines LLC, Term Loan B, First Lien			10.827%				1-Month LIBOR				8.750%				11/12/20				CCC+				545,979
	1,024			Harvey Gulf International Marine, Inc., Exit Term Loan			10.000%				N/A				N/A				6/06/23				B3				1,032,552
	1,690			Total Marine																							1,578,531
				Media – 15.9% (9.8% of Total Investments)
	1,251			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				7/23/21				B				1,186,348
	988			Affinion Group Holdings, Inc., Term Loan, First Lien			9.822%				1-Month LIBOR				7.750%				5/10/22				B2				1,028,234
	2,418			Catalina Marketing Corporation, Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				4/09/21				B2				1,542,018
	1,000			Catalina Marketing Corporation, Term Loan, Second Lien			8.827%				1-Month LIBOR				6.750%				4/11/22				Caa2				270,500
	3,421			Cequel Communications LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				7/28/25				BB				3,411,721
	2,940			Charter Communications Operating Holdings LLC, Term Loan B			4.080%				1-Month LIBOR				2.000%				4/30/25				BBB–				2,945,238
	1,495			Cineworld Group PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/28/25				BB–				1,492,115
	3,064			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.827%				N/A				N/A				1/30/19				N/R				2,390,923
	4,961			Clear Channel Communications, Inc., Term Loan E, (5)			9.580%				N/A				N/A				7/30/19				N/R				3,858,833

 

32

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Media (continued)
$	998			CSC Holdings LLC, Term Loan B			4.572%				1-Month LIBOR				2.500%				1/25/26				BB–			$	998,123
	3,989			Cumulus Media, Inc., Exit Term Loan			6.580%				1-Month LIBOR				4.500%				5/15/22				B				3,945,469
	1,270			Getty Images, Inc., Term Loan B, First Lien			5.572%				1-Month LIBOR				3.500%				10/18/19				B3				1,247,426
	415			Gray Television, Inc., Term Loan B2			4.340%				2-Month LIBOR				2.250%				2/07/24				BB				415,328
	963			IMG Worldwide, Inc., Term Loan B			4.930%				2-Month LIBOR				2.750%				5/18/25				B				960,570
	423			Lions Gate Entertainment Corp., Term Loan B			4.314%				1-Month LIBOR				2.250%				3/24/25				BB–				424,749
	1,966			McGraw-Hill Education Holdings LLC, Term Loan B			6.077%				1-Month LIBOR				4.000%				5/02/22				B+				1,937,958
	1,663			Meredith, Term Loan B			5.077%				1-Month LIBOR				3.000%				1/31/25				BB				1,669,890
	1,000			Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				7/03/25				BB				1,002,190
	750			Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien			6.580%				1-Month LIBOR				4.500%				7/03/26				B–				750,000
	247			Nexstar Broadcasting Group, Term Loan			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				248,024
	1,856			Nexstar Broadcasting Group, Term Loan B			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				1,860,148
	3,500			Numericable Group S.A, Term Loan B13, (WI/DD)			TBD				TBD				TBD				TBD				B				3,429,720
	499			Sinclair Television Group, Term Loan B2			4.330%				1-Month LIBOR				2.250%				1/31/24				BB+				499,203
	1,442			Springer Science & Business Media, Inc., Term Loan B13, First Lien			5.577%				1-Month LIBOR				3.500%				8/15/22				B				1,442,307
	3,480			Univision Communications, Inc., Term Loan C5			4.827%				1-Month LIBOR				2.750%				3/15/24				BB–				3,383,386
	45,999			Total Media																							42,340,421
				Metals & Mining – 0.3% (0.2% of Total Investments)
	866			CanAm Construction, Inc., Term Loan B			7.577%				1-Month LIBOR				5.500%				7/01/24				B				877,078
				Multiline Retail – 0.8% (0.5% of Total Investments)
	887			Belk, Inc., Term Loan B, First Lien			6.836%				1-Month LIBOR				4.750%				12/12/22				B–				702,882
	873			EG America LLC, Term Loan, First Lien			6.334%				3-Month LIBOR				4.000%				2/07/25				B				870,722
	691			Hudson’s Bay Company, Term Loan B, First Lien			5.419%				2-Month LIBOR				3.250%				9/30/22				BB				655,531
	2,451			Total Multiline Retail																							2,229,135
				Oil, Gas & Consumable Fuels – 3.9% (2.4% of Total Investments)
	1,091			BCP Renaissance Parent, Term Loan B			5.842%				3-Month LIBOR				3.500%				10/31/24				B+				1,096,669
	750			California Resources Corporation, Term Loan			12.439%				1-Month LIBOR				10.375%				12/31/21				B				829,219
	750			California Resources Corporation, Term Loan B			6.831%				1-Month LIBOR				4.750%				12/31/22				B				764,374
	126			Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)			0.000%				N/A				N/A				5/13/22				N/R				1,895
	1,546			Fieldwood Energy LLC, Exit Term Loan			7.327%				1-Month LIBOR				5.250%				4/11/22				B+				1,551,413
	643			Fieldwood Energy LLC, Exit Term Loan, second Lien			9.327%				1-Month LIBOR				7.250%				4/11/23				B+				625,778
	2,494			McDermott International, Term Loan			7.077%				1-Month LIBOR				5.000%				5/12/25				BB–				2,512,927
	828			Peabody Energy Corporation, Term Loan B			4.827%				1-Month LIBOR				2.750%				3/31/25				BB				830,309
	2,374			Seadrill Partners LLC, Initial Term Loan			8.334%				3-Month LIBOR				6.000%				2/21/21				CCC+				2,225,791
	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+				23,733
	10,629			Total Oil, Gas & Consumable Fuels																							10,462,108
				Personal Products – 0.7% (0.5% of Total Investments)
	1,000			Coty, Inc., Term Loan A			3.847%				1-Month LIBOR				1.750%				4/05/23				BB+				991,250
	1,000			Coty, Inc., Term Loan B			4.347%				1-Month LIBOR				2.250%				4/07/25				BB+				977,815
	2,000			Total Personal Products																							1,969,065
				Pharmaceuticals – 1.3% (0.8% of Total Investments)
	589			Alphabet Holding Company, Inc., Initial Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				9/26/24				B–				553,574
	2,574			Concordia Healthcare Corporation, Term Loan B, First Lien, (5)			6.327%				1-Month LIBOR				4.250%				10/21/21				Caa2				2,327,518
	541			Valeant Pharmaceuticals International, Inc., Term Loan, First Lien			5.092%				1-Month LIBOR				3.000%				6/02/25				BB–				541,950
	3,704			Total Pharmaceuticals																							3,423,042
				Professional Services – 2.4% (1.5% of Total Investments)
	1,193			Ceridian HCM Holding, Inc., Term Loan B			5.327%				1-Month LIBOR				3.250%				4/30/25				B–				1,195,523
	3,318			Formula One Group, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/01/24				B+				3,303,629
	1,262			Nielsen Finance LLC, Term Loan B4			4.097%				1-Month LIBOR				2.000%				10/04/23				BBB–				1,258,164

 

33

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Professional Services (continued)
$	718			On Assignment, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				4/02/25				BB			$	719,233
	6,491			Total Professional Services																							6,476,549
				Real Estate Management & Development – 1.8% (1.1% of Total Investments)
	500			Altisource Solutions S.A R.L., Term Loan B			6.334%				3-Month LIBOR				4.000%				3/29/24				B+				497,309
	1,741			Capital Automotive LP, Term Loan, Second Lien			8.080%				1-Month LIBOR				6.000%				3/24/25				CCC+				1,771,293
	1,500			GGP, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				1,489,845
	994			Trico Group LLC, Term Loan, First Lien			8.807%				3-Month LIBOR				6.500%				2/02/24				B				996,234
	4,735			Total Real Estate Management & Development																							4,754,681
				Road & Rail – 0.7% (0.5% of Total Investments)
	975			Quality Distribution, Incremental Term Loan, First Lien			7.834%				3-Month LIBOR				5.500%				8/18/22				B–				982,717
	1,000			Savage Enterprises LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				1,004,380
	1,975			Total Road & Rail																							1,987,097
				Semiconductors & Semiconductor Equipment – 1.7% (1.1% of Total Investments)
	706			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.250%				7/05/21				BB				710,405
	602			Lumileds, Term Loan B			5.751%				1-Month LIBOR				3.500%				6/30/24				B+				598,635
	1,250			Microchip Technology., Inc., Term Loan B			4.080%				1-Month LIBOR				2.000%				5/29/25				BB+				1,254,688
	980			Micron Technology, Inc., Term Loan B			3.830%				1-Month LIBOR				1.750%				4/10/22				BBB–				984,288
	1,089			ON Semiconductor Corporation, Term Loan B3			3.827%				1-Month LIBOR				1.750%				3/31/23				Baa3				1,091,386
	4,627			Total Semiconductors & Semiconductor Equipment																							4,639,402
				Software – 15.3% (9.5% of Total Investments)
	2,587			Avaya, Inc., Tranche B Term Loan			6.322%				1-Month LIBOR				4.250%				12/15/24				B				2,602,095
	1,000			Blackboard, Inc., Term Loan B4, (DD1)			7.333%				3-Month LIBOR				5.000%				6/30/21				B–				950,007
	3,066			BMC Software, Inc., Term Loan B			4.250%				1-Month LIBOR				3.250%				6/28/25				B				3,068,556
	2,151			Compuware Corporation, Term Loan B3			5.580%				1-Month LIBOR				3.500%				12/15/21				B				2,159,070
	737			DTI Holdings, Inc., Replacement Term Loan B1			6.827%				1-Month LIBOR				4.750%				9/29/23				B				735,054
	1,588			Ellucian, Term Loan B, First Lien			5.584%				3-Month LIBOR				3.250%				9/30/22				B				1,592,382
	2,463			Greeneden U.S. Holdings II LLC, Term Loan B			5.577%				1-Month LIBOR				3.500%				12/01/23				B				2,478,510
	4,767			Infor (US), Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/01/22				B				4,779,809
	1,254			Informatica, Term Loan B			5.327%				1-Month LIBOR				3.250%				8/05/22				B				1,261,254
	988			Kronos Incorporated, Term Loan B			5.358%				3-Month LIBOR				3.000%				11/20/23				B				991,696
	500			McAfee Holdings International, Inc., Term Loan, Second Lien			10.572%				1-Month LIBOR				8.500%				9/29/25				B–				513,125
	2,024			McAfee LLC, Term Loan			6.572%				1-Month LIBOR				4.500%				9/30/24				B				2,040,509
	642			Micro Focus International PLC, New Term Loan			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				640,162
	4,333			Micro Focus International PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				4,323,172
	1,883			Micro Focus International PLC, Term Loan B2			4.327%				1-Month LIBOR				2.500%				11/19/21				BB–				1,878,186
	429			Misys, New Term Loan, Second Lien			9.557%				3-Month LIBOR				7.250%				6/13/25				CCC+				415,205
	499			Mitchell International, Inc., Initial Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				11/29/24				B1				498,393
	450			Mitchell International, Inc., Initial Term Loan, Second Lien			9.327%				1-Month LIBOR				7.250%				12/01/25				CCC				452,297
	985			RP Crown Parent LLC, Term Loan B			4.827%				1-Month LIBOR				2.750%				10/15/23				B				988,388
	3,391			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				3,404,405
	1,301			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				1,305,860
	3,653			Tibco Software, Inc., Term Loan, First Lien			5.580%				1-Month LIBOR				3.500%				12/04/20				B				3,668,585
	40,691			Total Software																							40,746,720
				Specialty Retail – 1.6% (1.0% of Total Investments)
	884			Neiman Marcus Group, Inc., Term Loan			5.336%				1-Month LIBOR				3.250%				10/25/20				CCC				782,950
	2,690			Petco Animal Supplies, Inc., Term Loan B1			5.590%				3-Month LIBOR				3.250%				1/26/23				B2				1,941,803
	1,789			Petsmart Inc., Term Loan B, First Lien			5.100%				1-Month LIBOR				3.000%				3/11/22				B3				1,491,171
	5,363			Total Specialty Retail																							4,215,924
				Technology Hardware, Storage & Peripherals – 5.8% (3.6% of Total Investments)
	2,225			Dell International LLC, Replacement Term Loan A2			3.830%				1-Month LIBOR				1.750%				9/07/21				BBB–				2,225,557
	6,642			Dell International LLC, Refinancing Term Loan B			4.080%				1-Month LIBOR				2.000%				9/07/23				BBB–				6,650,578

 

34

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Technology Hardware, Storage & Peripherals (continued)
$	900			Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				B			$	905,769
	5,727			Western Digital, Term Loan B			3.827%				1-Month LIBOR				1.750%				4/29/23				BBB–				5,735,732
	15,494			Total Technology Hardware, Storage & Peripherals																							15,517,636
				Transportation Infrastructure – 1.8% (1.1% of Total Investments)
	4,692			Avolon LLC, Term Loan B			4.086%				1-Month LIBOR				2.000%				1/15/25				BBB–				4,664,594
				Wireless Telecommunication Services – 4.3% (2.7% of Total Investments)
	731			Asurion LLC, Term Loan B6			5.077%				1-Month LIBOR				3.000%				11/03/23				B+				730,549
	797			Asurion LLC, Term Loan B4			5.077%				1-Month LIBOR				3.000%				8/04/22				B+				798,035
	5,431			Sprint Corporation, Term Loan, First Lien			4.625%				1-Month LIBOR				2.500%				2/02/24				BB–				5,439,396
	1,696			Syniverse Holdings, Inc., Tranche Term Loan C			7.078%				1-Month LIBOR				5.000%				3/09/23				B				1,700,337
	2,000			Syniverse Holdings, Inc., Initial Term Loan, Second Lien			11.078%				1-Month LIBOR				9.000%				3/11/24				CCC+				1,989,000
	920			UPC Financing Partnership, Term Loan AR1, First Lien			4.572%				1-Month LIBOR				2.500%				1/15/26				BB				917,512
	11,575			Total Wireless Telecommunication Services																							11,574,829
$	370,763			Total Variable Rate Senior Loan Interests (cost $368,258,118)																							361,594,545
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 18.9% (11.7% of Total Investments)
				Containers & Packaging – 0.8% (0.5% of Total Investments)
$	2,277			Reynolds Group Issuer Inc.											5.750%				10/15/20				B+			$	2,281,502
				Diversified Telecommunication Services – 5.7% (3.5% of Total Investments)
	3,995			Intelsat Jackson Holdings SA											5.500%				8/01/23				CCC+				3,680,394
	4,050			Intelsat Jackson Holdings SA, 144A											9.750%				7/15/25				CCC+				4,328,438
	5,009			Intelsat Luxembourg SA											7.750%				6/01/21				Ca				4,758,550
	2,830			Intelsat Luxembourg SA											8.125%				6/01/23				CCC–				2,426,725
	15,884			Total Diversified Telecommunication Services																							15,194,107
				Health Care Providers & Services – 1.4% (0.9% of Total Investments)
	3,500			HCA Inc.											6.500%				2/15/20				BBB–				3,642,800
				Hotels, Restaurants & Leisure – 1.1% (0.7% of Total Investments)
	2,650			Scientific Games International Inc.											10.000%				12/01/22				B–				2,828,875
				Household Durables – 0.8% (0.5% of Total Investments)
	1,410			Lennar Corporation											4.125%				12/01/18				BB+				1,412,129
	850			Lennar Corporation											4.500%				11/15/19				BB+				859,562
	2,260			Total Household Durables																							2,271,691
				Media – 3.4% (2.1% of Total Investments)
	100			Charter Communications Operating LLC											3.579%				7/23/20				BBB–				100,147
	820			CSC Holdings LLC, 144A											10.125%				1/15/23				B2				902,000
	347			DISH DBS Corporation											5.125%				5/01/20				BB				344,397
	1,000			DISH DBS Corporation											5.875%				11/15/24				BB				833,750
	1,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,020,000
	2,122			iHeartCommunications Inc., (5)											9.000%				12/15/19				CC				1,655,160
	9,172			iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				C				1,215,273
	1,524			iHeartCommunications Inc., 144A, (5)											11.250%				3/01/21				C				1,104,900
	2,430			iHeartCommunications Inc., (5)											9.000%				3/01/21				CC				1,858,950
	18,515			Total Media																							9,034,577
				Oil, Gas & Consumable Fuels – 2.0% (1.2% of Total Investments)
	3,765			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				3,369,675
	400			Denbury Resources Inc.											6.375%				8/15/21				CCC–				376,000

 

35

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

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Oil, Gas & Consumable Fuels (continued)
$	1,404			Denbury Resources Inc., 144A											9.250%				3/31/22				B			$	1,488,240
	115			EP Energy LLC, 144A											9.375%				5/01/24				Caa2				94,588
	5,684			Total Oil, Gas & Consumable Fuels																							5,328,503
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
	300			Concordia International Corporation, 144A, (5)											7.000%				4/15/23				C				18,000
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	761			Advanced Micro Devices Inc.											7.500%				8/15/22				B				846,613
				Software – 1.7% (1.0% of Total Investments)
	115			Avaya Holdings Corporation, 144A, (5), (9)											7.000%				4/01/19				N/R				—
	2,895			Avaya Holdings Corporation, 144A, (5), (9)											10.500%				3/01/21				N/R				—
	2,840			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				2,907,450
	1,475			Infor Us Inc., 144A											5.750%				8/15/20				BB				1,495,281
	7,325			Total Software																							4,402,731
				Wireless Telecommunication Services – 1.7% (1.1% of Total Investments)
	1,000			Sprint Capital Corporation											6.900%				5/01/19				B+				1,021,250
	500			Sprint Capital Corporation											7.875%				9/15/23				B+				533,125
	2,000			Sprint Capital Corporation											7.125%				6/15/24				B+				2,055,000
	850			Sprint Communications Inc.											7.000%				8/15/20				B+				888,250
	4,350			Total Wireless Telecommunication Services																							4,497,625
$	63,506			Total Corporate Bonds (cost $53,579,776)																							50,347,024
Shares				Description (1)																						Value
				COMMON STOCKS – 3.1% (1.9% of Total Investments)
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	53,514			Cengage Learning Holdings II Inc., (7), (8)																						$	516,999
				Energy Equipment & Services – 0.9% (0.6% of Total Investments)
	37,968			C&J Energy Services Inc., (7)																							883,136
	36,361			Ocean Rig UDW Inc., (7)																							1,019,562
	1,961			Vantage Drilling International, (7), (8)																							578,495
				Total Energy Equipment & Services																							2,481,193
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	38,382			Millennium Health LLC, (7), (8)																							1,650
	35,750			Millennium Health LLC, (7), (9)																							—
	33,563			Millennium Health LLC, (7), (9)																							—
				Total Health Care Providers & Services																							1,650
				Marine – 0.3% (0.1% of Total Investments)
	10,768			HGIM Corporation, (8)																							500,712
	2,409			HGIM Corporation, (7), (8)																							112,018
				Total Marine																							612,730
				Media – 0.6% (0.4% of Total Investments)
	51,248			Cumulus Media Inc., (7), (8)																							828,526
	775,233			Hibu PLC, (7), (8)																							244,198
	6,268			Metro-Goldwyn-Mayer Inc., (7), (8)																							581,752
	14,825			Tribune Media Company, (8)																							5,189
				Total Media																							1,659,665
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	27			Southcross Holdings Borrower LP, (7), (8)																							5,738
				Software – 1.0% (0.6% of Total Investments)
	132,029			Avaya Holdings Corporation, (7)																							2,717,157

 

36

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Shares				Description (1)																						Value
				Specialty Retail – 0.1% (0.1% of Total Investments)
	5,454			Gymboree Holding Corporation, (7), (9)																						$	61,451
	14,849			Gymboree Holding Corporation, (7), (8)																							174,476
				Total Specialty Retail																							235,927
				Total Common Stocks (cost $12,285,900)																							8,231,059
Shares				Description (1)																						Value
				COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)
				Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)
	1,655			Fieldwood Energy LLC, (7), (8)																						$	87,164
	7,562			Fieldwood Energy LLC, (7), (9)																							328,980
				Total Common Stock Right (cost $221,258)																							416,144
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	11,806			Avaya Holdings Corporation																						$	45,453
				Total Warrants (cost $1,103,821)																							45,453
				Total Long-Term Investments (cost $435,448,873)																							420,634,225
Shares				Description (1)										Coupon												Value
				SHORT-TERM INVESTMENTS – 3.8% (2.3% of Total Investments)
				INVESTMENT COMPANIES – 3.8% (2.3% of Total Investments)
	10,121,429			BlackRock Liquidity Funds T-Fund Portfolio, (10)											1.809% (11)											$	10,121,429
				Total Short-Term Investments (cost $10,121,429)																							10,121,429
				Total Investments (cost $445,570,302) – 161.5%																							430,755,654
				Borrowings – (42.7)% (12), (13)																							(114,000,000	)
				Term Preferred Shares, net of deferred offering costs – (15.9)% (14)																							(42,401,767	)
				Other Assets Less Liabilities – (2.9)% (15)																							(7,601,469	)
				Net Assets Applicable to Common Shares – 100%																						$	266,752,418

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				2.000	%(16)			Monthly				11/01/21	(17)		$	(1,198,980	)		$	(1,198,980	)

 

37

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

 

 

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. Ratings are not covered by the report of independent registered public accounting firm.

 

(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, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

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

 

(8)	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.

 

(9)

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.

 

(10)	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.

 

(11)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)	Borrowings as a percentage of Total Investments is 26.5%.

 

(13)	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.

 

(14)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 9.8%.

 

(15)

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.

 

(16)	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.

 

(17)	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.

 

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.

 

38

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JFR		Nuveen Floating Rate Income Fund   Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 156.5% (97.8% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 130.6% (81.6% of Total Investments) (2)
				Aerospace & Defense – 2.4% (1.5% of Total Investments)
$	7,630			Sequa Corporation, Term Loan B			7.067%				1-Month LIBOR				5.000%				11/28/21				B–			$	7,644,584
	2,654			Sequa Corporation, Term Loan, Second Lien			11.072%				1-Month LIBOR				9.000%				4/28/22				CCC				2,663,687
	2,907			Transdigm, Inc., Term Loan E			4.577%				1-Month LIBOR				2.500%				5/30/25				Ba2				2,909,192
	980			Transdigm, Inc., Term Loan F			4.577%				1-Month LIBOR				2.500%				6/09/23				Ba2				981,802
	1,310			Transdigm, Inc., Term Loan G, First Lien			4.577%				1-Month LIBOR				2.500%				8/22/24				Ba2				1,312,010
	15,481			Total Aerospace & Defense																							15,511,275
				Air Freight & Logistics – 0.9% (0.6% of Total Investments)
	2,000			Ceva Group PLC, Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				BB–				2,002,500
	1,674			PAE Holding Corporation, Term Loan B			7.577%				1-Month LIBOR				5.500%				10/20/22				B+				1,683,114
	2,166			XPO Logistics, Inc., Term Loan B			4.064%				1-Month LIBOR				2.000%				2/24/25				BB+				2,173,007
	5,840			Total Air Freight & Logistics																							5,858,621
				Airlines – 1.9% (1.2% of Total Investments)
	4,098			American Airlines, Inc., Replacement Term Loan			4.086%				1-Month LIBOR				2.000%				10/10/21				BB+				4,101,054
	3,354			American Airlines, Inc., Term Loan 2025			3.827%				1-Month LIBOR				1.750%				6/27/25				BB+				3,303,105
	5,311			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				12/14/23				BB+				5,290,769
	12,763			Total Airlines																							12,694,928
				Auto Components – 0.5% (0.3% of Total Investments)
	1,271			Horizon Global Corporation, Term Loan B, (DD1)			6.572%				1-Month LIBOR				4.500%				6/30/21				B2				1,233,312
	1,979			Superior Industries International, Inc., Term Loan B			6.077%				1-Month LIBOR				4.000%				5/22/24				B				1,989,321
	3,250			Total Auto Components																							3,222,633
				Automobiles – 0.9% (0.6% of Total Investments)
	4,588			Chrysler Group LLC, Term Loan			4.070%				1-Month LIBOR				2.000%				12/31/18				BBB–				4,600,983
	172			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				172,305
	1,244			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				1,250,368
	6,004			Total Automobiles																							6,023,656
				Biotechnology – 0.8% (0.5% of Total Investments)
	5,431			Grifols, Inc., Term Loan B			4.200%				1-Week LIBOR				2.250%				1/31/25				BB				5,453,464
				Building Products – 1.5% (0.9% of Total Investments)
	2,500			Fairmount, Initial Term Loan			6.050%				3-Month LIBOR				3.750%				6/01/25				BB				2,504,950
	652			Ply Gem Industries, Inc., Term Loan B			6.087%				3-Month LIBOR				3.750%				4/12/25				B				654,320
	6,561			Quikrete Holdings, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				11/15/23				BB–				6,563,992
	9,713			Total Building Products																							9,723,262
				Capital Markets – 0.8% (0.5% of Total Investments)
	4,911			RPI Finance Trust, Term Loan B6			4.334%				3-Month LIBOR				2.000%				3/27/23				BBB–				4,927,966
				Chemicals – 1.1% (0.7% of Total Investments)
	1,212			Ineos US Finance LLC, Term Loan			4.169%				2-Month LIBOR				2.000%				4/01/24				BB+				1,211,186
	2,319			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				2,315,959
	3,392			Univar, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				7/01/24				BB				3,405,344
	6,923			Total Chemicals																							6,932,489
				Commercial Services & Supplies – 4.0% (2.5% of Total Investments)
	718			ADS Waste Holdings, Inc., Term Loan B			4.193%				1-Week LIBOR				2.250%				11/10/23				BB+				719,752
	1,478			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			6.342%				2-Month LIBOR				4.000%				10/19/23				B–				1,464,572

 

39

---

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	4,452			iQor US, Inc., Term Loan, First Lien			7.337%				3-Month LIBOR				5.000%				4/01/21				B			$	4,429,662
	500			iQor US, Inc., Term Loan, Second Lien			11.087%				3-Month LIBOR				8.750%				4/01/22				CCC+				479,000
	1,154			KAR Auction Services, Inc., Term Loan B5			4.625%				1-Month LIBOR				2.500%				3/09/23				BB–				1,157,305
	1,342			LSC Communications, Refinancing Term Loan			7.577%				1-Month LIBOR				5.500%				9/30/22				B				1,345,028
	3,439			Monitronics International, Inc., Term Loan B2, First Lien			7.834%				3-Month LIBOR				5.500%				9/30/22				B–				3,228,127
	3,298			Protection One, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				5/02/22				BB–				3,307,116
	4,756			Skillsoft Corporation, Initial Term Loan, First Lien, (DDI)			6.827%				1-Month LIBOR				4.750%				4/28/21				B–				4,625,112
	1,955			Universal Services of America, Initial Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				7/28/22				B–				1,930,563
	1,750			Universal Services of America, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				7/28/23				CCC				1,739,798
	342			West Corporation, Incremental Term Loan B1			5.577%				1-Month LIBOR				3.500%				10/10/24				Ba3				341,022
	1,506			West Corporation, Term Loan B			6.077%				1-Month LIBOR				4.000%				10/10/24				Ba3				1,508,081
	26,690			Total Commercial Services & Supplies																							26,275,138
				Communications Equipment – 0.6% (0.4% of Total Investments)
	1,637			Mitel US Holdings, Inc., Incremental Term Loan			5.827%				1-Month LIBOR				3.750%				9/25/23				B+				1,640,914
	2,261			Plantronics, Term Loan B			4.577%				1-Month LIBOR				2.500%				7/02/25				BB				2,261,808
	3,898			Total Communications Equipment																							3,902,722
				Construction & Engineering – 0.6% (0.3% of Total Investments)
	2,000			KBR, Inc., Term Loan B			5.814%				1-Month LIBOR				3.750%				4/25/25				B+				2,016,260
	1,594			Traverse Midstream Partners, Term Loan B			6.340%				3-Month LIBOR				4.000%				9/27/24				B+				1,602,388
	3,594			Total Construction & Engineering																							3,618,648
				Containers & Packaging – 0.8% (0.5% of Total Investments)
	1,397			Berry Global, Inc., Term Loan Q			4.080%				1-Month LIBOR				2.000%				10/01/22				BBB–				1,401,979
	3,803			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				2/05/23				B+				3,819,768
	5,200			Total Containers & Packaging																							5,221,747
				Distributors – 0.5% (0.3% of Total Investments)
	1,335			American Seafoods Group LLC, Term Loan B			4.830%				1-Month LIBOR				2.750%				8/21/23				BB–				1,333,648
	2,000			SRS Distribution, Inc., Term Loan B			5.580%				3-Month LIBOR				3.250%				5/23/25				B				1,969,500
	3,335			Total Distributors																							3,303,148
				Diversified Consumer Services – 2.0% (1.2% of Total Investments)
	5,813			Cengage Learning Acquisitions, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				6/07/23				B				5,514,759
	696			Education Management LLC, Tranche A, Term Loan, (6)			10.000%				N/A				N/A				7/02/20				N/R				118,323
	1,567			Education Management LLC, Tranche B, Term Loan, (6)			13.250%				N/A				N/A				7/02/20				N/R				49,622
	4,074			Houghton Mifflin, Term Loan B, First Lien			5.077%				1-Month LIBOR				3.000%				5/28/21				B				3,819,483
	2,321			Laureate Education, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				4/26/24				B+				2,329,630
	1,161			Vertiv Co.,Term Loan B			6.100%				1-Month LIBOR				4.000%				11/30/23				B+				1,155,543
	15,632			Total Diversified Consumer Services																							12,987,360
				Diversified Financial Services – 1.6% (1.0% of Total Investments)
	2,730			Citco III Limited, Term Loan			5.077%				1-Month LIBOR				3.000%				3/31/22				N/R				2,741,776
	1,717			Freedom Mortgage Corporation, Term Loan B			6.817%				1-Month LIBOR				4.750%				2/23/22				B+				1,730,460
	2,043			Travelport LLC, Term Loan B			4.830%				3-Month LIBOR				2.500%				3/17/25				B+				2,042,949
	4,097			Veritas US, Inc., Term Loan B1			6.641%				1-Month LIBOR				4.500%				1/27/23				B				3,815,792
	10,587			Total Diversified Financial Services																							10,330,977
				Diversified Telecommunication Services – 7.4% (4.6% of Total Investments)
	2,194			CenturyLink, Inc., Initial Term A Loan			4.827%				1-Month LIBOR				2.750%				11/01/22				BBB–				2,193,476
	9,651			CenturyLink, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				1/31/25				BBB–				9,514,298
	5,811			Frontier Communications Corporation, Term Loan B			5.830%				1-Month LIBOR				3.750%				1/14/22				B+				5,739,331

 

40

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	3,033			Intelsat Jackson Holdings, S.A., Term Loan B			5.827%				1-Month LIBOR				3.750%				11/30/23				B			$	3,045,922
	465			Intelsat Jackson Holdings, S.A., Term Loan B4			6.577%				1-Month LIBOR				4.500%				1/02/24				B1				488,728
	744			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				780,332
	5,683			Level 3 Financing, Inc., Tranche B, Term Loan			4.331%				1-Month LIBOR				2.250%				2/22/24				BBB–				5,698,594
	566			Presidio, Inc., Term Loan B			5.082%				1-Month LIBOR				2.750%				2/02/24				B+				567,817
	8,270			WideOpenWest Finance LLC, Term Loan B			5.329%				1-Month LIBOR				3.250%				8/18/23				B				7,949,860
	725			Windstream Corporation, Term Loan B6			6.080%				1-Month LIBOR				4.000%				3/29/21				B+				685,089
	12,000			Ziggo B.V., Term Loan E			4.572%				1-Month LIBOR				2.500%				4/15/25				BB–				11,940,780
	49,142			Total Diversified Telecommunication Services																							48,604,227
				Electric Utilities – 0.9% (0.6% of Total Investments)
	872			EFS Cogen Holdings LLC, Term Loan B			5.590%				3-Month LIBOR				3.250%				6/28/23				BB				874,673
	3,208			Vistra Operations Co., Term Loan B1			4.077%				1-Month LIBOR				2.000%				8/01/23				BBB–				3,206,730
	1,718			Vistra Operations Co., Term Loan B3			4.074%				1-Month LIBOR				2.000%				12/31/25				BBB–				1,715,826
	5,798			Total Electric Utilities																							5,797,229
				Electrical Equipment – 0.4% (0.3% of Total Investments)
	1,823			TTM Technologies, Inc., Term Loan B			4.592%				1-Month LIBOR				2.500%				9/28/24				BB+				1,827,747
	982			Zebra Technologies Corporation, Term Loan B			4.057%				3-Month LIBOR				1.750%				10/27/21				BB+				985,447
	2,805			Total Electrical Equipment																							2,813,194
				Energy Equipment & Services – 0.3% (0.2% of Total Investments)
	1,244			Diversey, Inc., Term Loan B			5.077%				1-Month LIBOR				3.000%				9/06/24				B				1,221,984
	741			Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)			15.870%				3-Month LIBOR				13.500%				5/06/19				N/R				196,414
	337			Ocean Rig UDW, Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				354,969
	2,322			Total Energy Equipment & Services																							1,773,367
				Equity Real Estate Investment Trusts – 2.5% (1.5% of Total Investments)
	6,659			Communications Sales & Leasing, Inc., Shortfall Term Loan			5.077%				1-Month LIBOR				3.000%				10/24/22				B				6,387,292
	1,491			Realogy Group LLC, Term Loan A			4.317%				1-Month LIBOR				2.250%				2/08/23				N/R				1,492,958
	1,853			Realogy Group LLC, Term Loan B			4.317%				1-Month LIBOR				2.250%				2/08/25				BB+				1,858,450
	6,694			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (6)			8.077%				1-Month LIBOR				6.000%				6/30/22				CCC+				6,388,959
	16,697			Total Equity Real Estate Investment Trusts																							16,127,659
				Food & Staples Retailing – 5.1% (3.2% of Total Investments)
	1,429			Albertson’s LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB–				1,427,679
	25,225			Albertson’s LLC, Term Loan B4			4.827%				1-Month LIBOR				2.750%				8/25/21				BB–				25,161,523
	2,948			Albertson’s LLC, Term Loan B5			5.337%				3-Month LIBOR				3.000%				12/21/22				BB–				2,939,954
	1,892			Albertson’s LLC, Term Loan B6			5.319%				3-Month LIBOR				3.000%				6/22/23				BB–				1,883,129
	1,079			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			5.597%				1-Month LIBOR				3.500%				2/03/24				B				1,082,455
	718			Del Monte Foods Company, Term Loan, First Lien			5.584%				3-Month LIBOR				3.250%				2/18/21				CCC+				628,509
	883			Save-A-Lot, Term Loan B			8.077%				1-Month LIBOR				6.000%				12/05/23				B–				686,708
	34,174			Total Food & Staples Retailing																							33,809,957
				Food Products – 3.1% (1.9% of Total Investments)
	1,671			Hearthside Group Holdings LLC, Term Loan B			5.064%				1-Month LIBOR				3.000%				5/23/25				B				1,661,178
	3,358			Jacobs Douwe Egberts, Term Loan B			4.625%				3-Month LIBOR				2.250%				7/04/22				BB				3,376,651
	2,359			Pinnacle Foods Finance LLC, Term Loan B			3.840%				1-Month LIBOR				1.750%				2/02/24				BB+				2,363,414
	12,632			US Foods, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				6/27/23				BBB–				12,641,472
	20,020			Total Food Products																							20,042,715
				Health Care Equipment & Supplies – 1.7% (1.1% of Total Investments)
	2,056			Acelity, Term Loan B			5.584%				3-Month LIBOR				3.250%				2/02/24				B				2,064,771
	1,079			ConvaTec, Inc., Term Loan B			4.584%				3-Month LIBOR				2.250%				10/25/23				BB				1,082,434
	1,353			Greatbatch, New Term Loan B			5.330%				1-Month LIBOR				3.250%				10/27/22				B+				1,361,329
	1,000			LifeScan, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				975,000

 

41

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Equipment & Supplies (continued)
$	2,234			Onex Carestream Finance LP, Term Loan, First Lien			6.077%				1-Month LIBOR				4.000%				6/07/19				B			$	2,235,669
	2,328			Onex Carestream Finance LP, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				12/07/19				B–				2,329,500
	1,000			Vyaire Medical, Inc., Term Loan B			7.232%				6-Month LIBOR				4.750%				4/16/25				B–				982,500
	11,050			Total Health Care Equipment & Supplies																							11,031,203
				Health Care Providers & Services – 6.3% (4.0% of Total Investments)
	1,884			Acadia Healthcare, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				2/11/22				BB–				1,894,860
	2,069			Air Medical Group Holdings, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				3/14/25				B				2,044,576
	2,328			Air Medical Group Holdings, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				4/28/22				B				2,263,519
	1,000			Ardent Health, Term Loan, First Lien			6.572%				1-Month LIBOR				4.500%				6/30/25				B				1,008,750
	1,801			Community Health Systems, Inc., Term Loan H			5.557%				3-Month LIBOR				3.250%				1/27/21				B–				1,772,852
	1,424			Concentra, Inc., Term Loan B			4.850%				1-Month LIBOR				2.750%				6/01/22				B+				1,427,972
	675			DaVita HealthCare Partners, Inc., Tranche B, Term Loan			4.827%				1-Month LIBOR				2.750%				6/24/21				BBB–				680,201
	1,008			Envision Healthcare Corporation, Term Loan B, First Lien			5.080%				1-Month LIBOR				3.000%				12/01/23				BB–				1,009,606
	2,597			HCA, Inc., Term Loan A5			3.577%				1-Month LIBOR				1.500%				6/10/20				BBB–				2,605,339
	3,301			HCA, Inc., Term Loan B11			3.827%				1-Month LIBOR				1.750%				3/17/23				BBB–				3,319,225
	1,891			Healogics, Inc., Term Loan, First Lien			6.570%				3-Month LIBOR				4.250%				7/01/21				B–				1,790,492
	132			Heartland Dental Care, Inc., Delay Draw Facility, (5)			1.875%				N/A				N/A				4/30/25				B–				131,086
	879			Heartland Dental Care, Inc., Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				4/30/25				B–				873,905
	3,421			Kindred at Home Hospice, Term Loan B, (DD1)			6.125%				3-Month LIBOR				3.750%				6/21/25				B				3,452,885
	1,000			Kindred at Home Hospice, Term Loan, Second Lien			9.375%				3-Month LIBOR				7.000%				6/21/26				CCC+				1,021,250
	3,666			Millennium Laboratories, Inc., Term Loan B, First Lien			8.577%				1-Month LIBOR				6.500%				12/21/20				CCC+				2,028,635
	762			MultiPlan, Inc., Term Loan B			5.084%				3-Month LIBOR				2.750%				6/07/23				B+				763,155
	6,885			Pharmaceutical Product Development, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				8/18/22				Ba3				6,896,820
	1,496			PharMerica, Term Loan, First Lien			5.578%				1-Month LIBOR				3.500%				12/06/24				B				1,504,434
	1,496			Prospect Medical Holdings, Term Loan B1			7.625%				1-Month LIBOR				5.500%				2/22/24				B				1,504,674
	270			Quorum Health Corp., Term Loan B			8.827%				1-Month LIBOR				6.750%				4/29/22				B1				274,482
	2,882			Select Medical Corporation, Term Loan B			4.831%				1-Month LIBOR				2.750%				3/01/21				BB–				2,896,395
	371			Vizient, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/13/23				BB–				372,408
	43,238			Total Health Care Providers & Services																							41,537,521
				Health Care Technology – 1.5% (0.9% of Total Investments)
	2,761			Catalent Pharma Solutions, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				5/20/24				BB				2,767,182
	6,913			Emdeon, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				3/01/24				B+				6,910,115
	9,674			Total Health Care Technology																							9,677,297
				Hotels, Restaurants & Leisure – 11.5% (7.2% of Total Investments)
	1,247			Aramark Corporation, Term Loan			4.084%				3-Month LIBOR				1.750%				3/11/25				BBB–				1,250,248
	998			Arby’s Restaurant Group, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				2/05/25				B				1,004,981
	18,598			Burger King Corporation, Term Loan B3			4.327%				1-Month LIBOR				2.250%				2/16/24				B+				18,609,188
	2,530			Caesars Entertainment Operating Company, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				10/06/24				BB				2,529,970
	4,975			Caesars Resort Collection, Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				12/23/24				BB				5,001,044
	2,077			CCM Merger, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				8/09/21				BB–				2,086,084
	4,606			CityCenter Holdings LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				4/18/24				BB–				4,617,688
	9,579			Hilton Hotels, Term Loan B			3.814%				1-Month LIBOR				1.750%				10/25/23				BBB–				9,622,790
	3,678			Intrawest Resorts Holdings, Inc., Term Loan B			5.077%				1-Month LIBOR				3.000%				7/31/24				B				3,679,989
	2,514			Life Time Fitness, Inc., Term Loan B			5.057%				3-Month LIBOR				2.750%				6/10/22				BB–				2,521,052
	3,338			MGM Growth Properties, Term Loan B			4.077%				1-Month LIBOR				2.000%				4/25/25				BB+				3,345,659
	11,299			Scientific Games Corp., Initial Term Loan B5			4.903%				2-Month LIBOR				2.750%				8/14/24				B+				11,320,547
	3,190			Seaworld Parks and Entertainment, Inc., Term Loan B5			5.077%				1-Month LIBOR				3.000%				4/01/24				B				3,186,553
	1,500			Stars Group Holdings, Term Loan B			5.831%				3-Month LIBOR				3.500%				7/10/25				B+				1,515,548
	3,461			Station Casino LLC, Term Loan B			4.580%				1-Month LIBOR				2.500%				6/08/23				BB				3,474,879
	2,000			Wyndham International, Inc., Term Loan B			3.827%				1-Month LIBOR				1.750%				5/30/25				BBB–				2,007,190
	75,590			Total Hotels, Restaurants & Leisure																							75,773,410

 

42

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Household Products – 0.9% (0.6% of Total Investments)
$	1,000			Energizer Holdings, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+			$	1,004,065
	4,392			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.577%				1-Month LIBOR				3.500%				11/16/20				CCC+				3,248,825
	2,297			Serta Simmons Holdings LLC, Term Loan, First Lien			5.591%				1-Month LIBOR				3.500%				11/08/23				B–				1,932,400
	7,689			Total Household Products																							6,185,290
				Independent Power & Renewable Electricity Producers – 1.0% (0.6% of Total Investments)
	6,483			NRG Energy, Inc., Term Loan B			4.084%				3-Month LIBOR				1.750%				6/30/23				BB+				6,477,685
				Industrial Conglomerates – 0.8% (0.5% of Total Investments)
	3,470			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			6.596%				3-Month LIBOR				4.250%				6/16/24				B				3,490,956
	1,496			Education Advisory Board, Term Loan, First Lien			6.252%				3-Month LIBOR				3.750%				11/15/24				B				1,488,769
	4,966			Total Industrial Conglomerates																							4,979,725
				Insurance – 1.6% (1.0% of Total Investments)
	988			Acrisure LLC, Term Loan B			6.592%				3-Month LIBOR				4.250%				11/22/23				B				991,241
	6,149			Alliant Holdings I LLC, Term Loan B			5.078%				1-Month LIBOR				3.000%				5/09/25				B				6,156,606
	3,369			Hub International Holdings, Inc., Term Loan B			5.335%				3-Month LIBOR				3.000%				4/25/25				B				3,370,476
	10,506			Total Insurance																							10,518,323
				Internet and Direct Marketing Retail – 0.4% (0.3% of Total Investments)
	748			Uber Technologies, Inc., Term Loan			5.574%				1-Month LIBOR				3.500%				7/13/23				N/R				751,762
	2,000			Uber Technologies, Inc., Term Loan			6.100%				1-Month LIBOR				4.000%				4/04/25				N/R				2,014,060
	2,748			Total Internet and Direct Marketing Retail																							2,765,822
				Internet Software & Services – 1.9% (1.2% of Total Investments)
	1,955			Ancestry.com, Inc., Term Loan, First Lien			5.330%				1-Month LIBOR				3.250%				10/19/23				B				1,961,412
	3,000			GTT Communications, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				2.750%				6/02/25				B				2,973,750
	1,516			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			5.363%				3-Month LIBOR				3.000%				11/03/23				BB–				1,511,181
	3,642			Sabre, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				2/22/24				BB				3,649,101
	2,448			SkillSoft Corporation, Term Loan, Second Lien			10.327%				1-Month LIBOR				8.250%				4/28/22				CCC				2,201,624
	12,561			Total Internet Software & Services																							12,297,068
				IT Services – 3.4% (2.1% of Total Investments)
	550			DigiCert, Term Loan, First Lien			7.327%				1-Month LIBOR				5.250%				10/31/24				B				552,209
	1,107			Engility Corporation, Term Loan B2			4.827%				1-Month LIBOR				2.750%				8/11/23				BB–				1,110,911
	987			First Data Corporation, Term Loan A			3.819%				1-Month LIBOR				1.750%				6/02/20				BB				987,777
	2,132			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				7/10/22				BB				2,134,548
	9,528			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				4/26/24				BB				9,536,391
	1,713			Gartner, Inc., Term Loan A			4.077%				1-Month LIBOR				2.000%				3/21/22				BB+				1,717,022
	626			PEAK 10, Inc., Term Loan B			5.834%				3-Month LIBOR				3.500%				8/01/24				B				625,715
	2,475			Tempo Acquisition LLC, Term Loan B			5.077%				1-Month LIBOR				3.000%				5/01/24				B				2,480,309
	1,496			Vantiv LLC, Repriced Term Loan B4			3.824%				1-Month LIBOR				1.750%				8/09/24				BBB–				1,496,841
	1,470			WEX, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				7/01/23				BB–				1,473,102
	22,084			Total IT Services																							22,114,825
				Leisure Products – 1.2% (0.7% of Total Investments)
	2,565			24 Hour Fitness Worldwide, Inc., Term Loan B			5.572%				1-Month LIBOR				3.500%				5/30/25				B+				2,576,718
	1,796			Academy, Ltd., Term Loan B, (DD1)			6.092%				1-Month LIBOR				4.000%				7/01/22				CCC+				1,489,831
	2,698			Equinox Holdings, Inc., Term Loan B1			5.077%				1-Month LIBOR				3.000%				3/08/24				B+				2,712,454
	985			Four Seasons Holdings, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				11/30/23				BB				986,320
	8,044			Total Leisure Products																							7,765,323
				Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)
	714			Inventiv Health, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				8/01/24				BB–				714,262
	1,489			Parexel International Corp., Term Loan B			4.827%				1-Month LIBOR				2.750%				9/27/24				B				1,485,959
	2,203			Total Life Sciences Tools & Services																							2,200,221

 

43

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Machinery – 1.4% (0.9% of Total Investments)
$	2,978			Gardner Denver, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				7/30/24				BB			$	2,988,033
	1,466			Gates Global LLC, Term Loan B			5.084%				3-Month LIBOR				2.750%				4/01/24				B+				1,471,767
	1,493			Navistar, Inc., Tranche B, Term Loan			5.600%				1-Month LIBOR				3.500%				11/06/24				B+				1,496,231
	1,000			NN, Inc., Term Loan, Second Lien			10.097%				1-Month LIBOR				8.000%				4/19/23				CCC+				990,000
	765			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			4.314%				1-Month LIBOR				2.250%				8/21/24				BB+				767,565
	898			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			6.834%				3-Month LIBOR				4.500%				11/27/20				CCC+				863,731
	850			TNT Crane and Rigging, Inc., Term Loan, Second Lien			11.334%				3-Month LIBOR				9.000%				11/26/21				CCC–				718,250
	9,450			Total Machinery																							9,295,577
				Marine – 0.6% (0.4% of Total Investments)
	1,331			American Commercial Lines LLC, Term Loan B, First Lien			10.827%				1-Month LIBOR				8.750%				11/12/20				CCC+				1,091,958
	3,119			Harvey Gulf International Marine, Inc., Exit Term Loan			10.000%				N/A				N/A				6/06/23				B3				3,144,139
	4,450			Total Marine																							4,236,097
				Media – 15.4% (9.6% of Total Investments)
	2,062			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				7/23/21				B				1,955,140
	1,975			Affinion Group Holdings, Inc., Term Loan, First Lien			9.822%				1-Month LIBOR				7.750%				5/10/22				B2				2,056,469
	8,286			Catalina Marketing Corporation, Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				4/09/21				B2				5,285,382
	2,000			Catalina Marketing Corporation, Term Loan, Second Lien			8.827%				1-Month LIBOR				6.750%				4/11/22				Caa2				541,000
	7,331			Cequel Communications LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				7/28/25				BB				7,310,830
	4,900			Charter Communications Operating Holdings LLC, Term Loan B			4.080%				1-Month LIBOR				2.000%				4/30/25				BBB–				4,908,730
	2,990			Cineworld Group PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/28/25				BB–				2,984,229
	6,897			Clear Channel Communications, Inc., Tranche D, Term Loan, (6)			8.827%				N/A				N/A				1/30/19				N/R				5,382,275
	9,868			Clear Channel Communications, Inc., Term Loan E, (6)			9.580%				N/A				N/A				7/30/19				N/R				7,674,967
	2,244			CSC Holdings LLC, Term Loan B			4.572%				1-Month LIBOR				2.500%				1/25/26				BB–				2,245,778
	9,362			Cumulus Media, Inc., Exit Term Loan			6.580%				1-Month LIBOR				4.500%				5/15/22				B				9,258,888
	2,381			Getty Images, Inc., Term Loan B, First Lien			5.572%				1-Month LIBOR				3.500%				10/18/19				B3				2,338,924
	830			Gray Television, Inc., Term Loan B2			4.340%				2-Month LIBOR				2.250%				2/07/24				BB				830,655
	2,888			IMG Worldwide, Inc., Term Loan B			4.930%				2-Month LIBOR				2.750%				5/18/25				B				2,881,710
	846			Lions Gate Entertainment Corp., Term Loan B			4.314%				1-Month LIBOR				2.250%				3/24/25				BB–				849,497
	3,932			McGraw-Hill Education Holdings LLC, Term Loan B			6.077%				1-Month LIBOR				4.000%				5/02/22				B+				3,875,916
	3,990			Meredith, Term Loan B			5.077%				1-Month LIBOR				3.000%				1/31/25				BB				4,007,736
	2,000			Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				7/03/25				BB				2,004,380
	1,250			Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien			6.580%				1-Month LIBOR				4.500%				7/03/26				B–				1,250,000
	615			Nexstar Broadcasting Group, Term Loan			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				616,306
	4,612			Nexstar Broadcasting Group, Term Loan B			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				4,622,379
	7,000			Numericable Group S.A, Term Loan B13, (WI/DD)			TBD				TBD				TBD				TBD				B				6,859,440
	533			Red Ventures, Term Loan B			6.077%				1-Month LIBOR				4.000%				11/08/24				B+				538,799
	2,743			Sinclair Television Group, Term Loan B2			4.330%				1-Month LIBOR				2.250%				1/31/24				BB+				2,745,616
	2,884			Springer Science & Business Media, Inc., Term Loan B13, First Lien			5.577%				1-Month LIBOR				3.500%				8/15/22				B				2,884,615
	16,008			Univision Communications, Inc., Term Loan C5			4.827%				1-Month LIBOR				2.750%				3/15/24				BB–				15,563,575
	110,427			Total Media																							101,473,236
				Metals & Mining – 0.2% (0.1% of Total Investments)
	1,485			CanAm Construction, Inc., Term Loan B			7.577%				1-Month LIBOR				5.500%				7/01/24				B				1,503,563

 

44

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Multiline Retail – 0.7% (0.4% of Total Investments)
$	1,775			Belk, Inc., Term Loan B, First Lien			6.836%				1-Month LIBOR				4.750%				12/12/22				B–			$	1,405,764
	1,995			EG America LLC, Term Loan, First Lien			6.334%				3-Month LIBOR				4.000%				2/07/25				B				1,990,222
	1,382			Hudson’s Bay Company, Term Loan B, First Lien			5.419%				2-Month LIBOR				3.250%				9/30/22				BB				1,311,062
	5,152			Total Multiline Retail																							4,707,048
				Oil, Gas & Consumable Fuels – 3.2% (2.0% of Total Investments)
	1,455			BCP Renaissance Parent, Term Loan B			5.842%				3-Month LIBOR				3.500%				10/31/24				B+				1,462,225
	1,750			California Resources Corporation, Term Loan			12.439%				1-Month LIBOR				10.375%				12/31/21				B				1,934,844
	2,350			California Resources Corporation, Term Loan B			6.831%				1-Month LIBOR				4.750%				12/31/22				B				2,395,038
	316			Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (6)			0.000%				N/A				N/A				5/13/22				N/R				4,737
	3,333			Fieldwood Energy LLC, Exit Term Loan			7.327%				1-Month LIBOR				5.250%				4/11/22				B+				3,344,022
	1,158			Fieldwood Energy LLC, Exit Term Loan, second Lien			9.327%				1-Month LIBOR				7.250%				4/11/23				B+				1,127,229
	4,988			McDermott International, Term Loan			7.077%				1-Month LIBOR				5.000%				5/12/25				BB–				5,025,854
	1,457			Peabody Energy Corporation, Term Loan B			4.827%				1-Month LIBOR				2.750%				3/31/25				BB				1,460,218
	4,731			Seadrill Partners LLC, Initial Term Loan			8.334%				3-Month LIBOR				6.000%				2/21/21				CCC+				4,435,166
	64			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+				55,377
	21,602			Total Oil, Gas & Consumable Fuels																							21,244,710
				Personal Products – 1.2% (0.8% of Total Investments)
	6,250			Coty, Inc., Term Loan A			3.847%				1-Month LIBOR				1.750%				4/05/23				BB+				6,195,313
	2,000			Coty, Inc., Term Loan B			4.347%				1-Month LIBOR				2.250%				4/07/25				BB+				1,955,630
	8,250			Total Personal Products																							8,150,943
				Pharmaceuticals – 1.3% (0.8% of Total Investments)
	1,317			Alphabet Holding Company, Inc., Initial Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				9/26/24				B–				1,238,505
	6,866			Concordia Healthcare Corporation, Term Loan B, First Lien, (6)			6.327%				1-Month LIBOR				4.250%				10/21/21				Caa2				6,208,457
	1,081			Valeant Pharmaceuticals International, Inc., Term Loan, First Lien			5.092%				1-Month LIBOR				3.000%				6/02/25				BB–				1,083,946
	9,264			Total Pharmaceuticals																							8,530,908
				Professional Services – 2.1% (1.3% of Total Investments)
	2,256			Ceridian HCM Holding, Inc., Term Loan B			5.327%				1-Month LIBOR				3.250%				4/30/25				B–				2,262,064
	7,673			Formula One Group, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/01/24				B+				7,639,753
	2,963			Nielsen Finance LLC, Term Loan B4			4.097%				1-Month LIBOR				2.000%				10/04/23				BBB–				2,952,976
	1,197			On Assignment, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				4/02/25				BB				1,198,721
	14,089			Total Professional Services																							14,053,514
				Real Estate Management & Development – 2.4% (1.5% of Total Investments)
	999			Altisource Solutions S.A R.L., Term Loan B			6.334%				3-Month LIBOR				4.000%				3/29/24				B+				994,619
	4,384			Capital Automotive LP, Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				3/25/24				B				4,391,184
	3,482			Capital Automotive LP, Term Loan, Second Lien			8.080%				1-Month LIBOR				6.000%				3/24/25				CCC+				3,542,586
	5,000			GGP, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				4,966,150
	1,988			Trico Group LLC, Term Loan, First Lien			8.807%				3-Month LIBOR				6.500%				2/02/24				B				1,992,469
	15,853			Total Real Estate Management & Development																							15,887,008
				Road & Rail – 0.6% (0.4% of Total Investments)
	1,950			Quality Distribution, Incremental Term Loan, First Lien			7.834%				3-Month LIBOR				5.500%				8/18/22				B–				1,965,434
	2,000			Savage Enterprises LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				2,008,760
	3,950			Total Road & Rail																							3,974,194
				Semiconductors & Semiconductor Equipment – 1.5% (0.9% of Total Investments)
	1,412			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.250%				7/05/21				BB				1,420,810
	1,630			Lumileds, Term Loan B			5.751%				1-Month LIBOR				3.500%				6/30/24				B+				1,620,915

 

45

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

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Semiconductors & Semiconductor Equipment (continued)
$	3,000			Microchip Technology., Inc., Term Loan B			4.080%				1-Month LIBOR				2.000%				5/29/25				BB+			$	3,011,250
	1,715			Micron Technology, Inc., Term Loan B			3.830%				1-Month LIBOR				1.750%				4/10/22				BBB–				1,722,503
	2,057			ON Semiconductor Corporation, Term Loan B3			3.827%				1-Month LIBOR				1.750%				3/31/23				Baa3				2,061,506
	9,814			Total Semiconductors & Semiconductor Equipment																							9,836,984
				Software – 13.2% (8.2% of Total Investments)
	5,572			Avaya, Inc., Tranche B Term Loan			6.322%				1-Month LIBOR				4.250%				12/15/24				B				5,604,513
	3,323			Blackboard, Inc., Term Loan B4, (DD1)			7.333%				3-Month LIBOR				5.000%				6/30/21				B–				3,155,837
	7,340			BMC Software, Inc., Term Loan B			4.250%				1-Month LIBOR				3.250%				6/28/25				B				7,347,645
	4,192			Compuware Corporation, Term Loan B3			5.580%				1-Month LIBOR				3.500%				12/15/21				B				4,208,370
	1,474			DTI Holdings, Inc., Replacement Term Loan B1			6.827%				1-Month LIBOR				4.750%				9/29/23				B				1,470,108
	3,632			Ellucian, Term Loan B, First Lien			5.584%				3-Month LIBOR				3.250%				9/30/22				B				3,642,500
	4,433			Greeneden U.S. Holdings II LLC, Term Loan B			5.577%				1-Month LIBOR				3.500%				12/01/23				B				4,461,318
	11,045			Infor (US), Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/01/22				B				11,073,495
	2,511			Informatica, Term Loan B			5.327%				1-Month LIBOR				3.250%				8/05/22				B				2,525,695
	1,481			Kronos Incorporated, Term Loan B			5.358%				3-Month LIBOR				3.000%				11/20/23				B				1,487,545
	1,000			McAfee Holdings International, Inc., Term Loan, Second Lien			10.572%				1-Month LIBOR				8.500%				9/29/25				B–				1,026,250
	4,338			McAfee LLC, Term Loan			6.572%				1-Month LIBOR				4.500%				9/30/24				B				4,372,520
	1,155			Micro Focus International PLC, New Term Loan			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				1,152,292
	7,800			Micro Focus International PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				7,781,709
	5,463			Micro Focus International PLC, Term Loan B2			4.327%				1-Month LIBOR				2.500%				11/19/21				BB–				5,449,606
	893			Misys, New Term Loan, Second Lien			9.557%				3-Month LIBOR				7.250%				6/13/25				CCC+				864,041
	998			Mitchell International, Inc., Initial Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				11/29/24				B1				996,786
	1,000			Mitchell International, Inc., Initial Term Loan, Second Lien			9.327%				1-Month LIBOR				7.250%				12/01/25				CCC				1,005,105
	1,970			RP Crown Parent LLC, Term Loan B			4.827%				1-Month LIBOR				2.750%				10/15/23				B				1,976,776
	5,839			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				5,863,314
	2,240			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				2,249,047
	8,676			Tibco Software, Inc., Term Loan, First Lien			5.580%				1-Month LIBOR				3.500%				12/04/20				B				8,712,889
	86,375			Total Software																							86,427,361
				Specialty Retail – 1.9% (1.2% of Total Investments)
	3,093			99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 7.991%, PIK 1.500%)			7.991%				1-Week LIBOR				5.000%				1/13/22				CCC+				2,930,414
	1,867			Neiman Marcus Group, Inc., Term Loan			5.336%				1-Month LIBOR				3.250%				10/25/20				CCC				1,654,251
	6,415			Petco Animal Supplies, Inc., Term Loan B1			5.590%				3-Month LIBOR				3.250%				1/26/23				B2				4,631,163
	3,865			Petsmart Inc., Term Loan B, First Lien			5.100%				1-Month LIBOR				3.000%				3/11/22				B3				3,221,778
	15,240			Total Specialty Retail																							12,437,606
				Technology Hardware, Storage & Peripherals – 5.6% (3.5% of Total Investments)
	5,783			Dell International LLC, Replacement Term Loan A2			3.830%				1-Month LIBOR				1.750%				9/07/21				BBB–				5,785,238
	3,032			Dell International LLC, Replacement Term Loan A3			3.580%				1-Month LIBOR				1.500%				12/31/18				BBB–				3,034,082
	16,010			Dell International LLC, Refinancing Term Loan B			4.080%				1-Month LIBOR				2.000%				9/07/23				BBB–				16,031,468
	1,600			Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				B				1,610,256
	10,633			Western Digital, Term Loan B			3.827%				1-Month LIBOR				1.750%				4/29/23				BBB–				10,649,726
	37,058			Total Technology Hardware, Storage & Peripherals																							37,110,770
				Trading Companies & Distributors – 0.0% (0.0% of Total Investments)
	285			HD Supply Waterworks, Ltd., Term Loan B			5.253%				6-Month LIBOR				3.000%				8/01/24				B+				286,116
				Transportation Infrastructure – 1.4% (0.9% of Total Investments)
	9,452			Avolon LLC, Term Loan B			4.086%				1-Month LIBOR				2.000%				1/15/25				BBB–				9,397,278
				Wireless Telecommunication Services – 4.8% (3.0% of Total Investments)
	4,385			Asurion LLC, Term Loan B4			5.077%				1-Month LIBOR				3.000%				8/04/22				B+				4,389,196
	4,018			Asurion LLC, Term Loan B6			5.077%				1-Month LIBOR				3.000%				11/03/23				B+				4,018,024

 

46

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Wireless Telecommunication Services (continued)
$	11,356			Sprint Corporation, Term Loan, First Lien			4.625%				1-Month LIBOR				2.500%				2/02/24				BB–			$	11,373,284
	3,500			Syniverse Holdings, Inc., Initial Term Loan, Second Lien			11.078%				1-Month LIBOR				9.000%				3/11/24				CCC+				3,480,750
	4,688			Syniverse Holdings, Inc., Tranche Term Loan C			7.078%				1-Month LIBOR				5.000%				3/09/23				B				4,700,931
	3,682			UPC Financing Partnership, Term Loan AR1, First Lien			4.572%				1-Month LIBOR				2.500%				1/15/26				BB				3,670,048
	31,629			Total Wireless Telecommunication Services																							31,632,233
$	880,871			Total Variable Rate Senior Loan Interests (cost $870,907,218)																							858,465,241
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 19.6% (12.2% of Total Investments)
				Containers & Packaging – 0.9% (0.5% of Total Investments)
$	5,718			Reynolds Group Issuer Inc.											5.750%				10/15/20				B+			$	5,728,027
				Diversified Telecommunication Services – 4.7% (2.9% of Total Investments)
	8,702			Intelsat Jackson Holdings SA											5.500%				8/01/23				CCC+				8,016,717
	7,080			Intelsat Jackson Holdings SA, 144A											9.750%				7/15/25				CCC+				7,566,750
	11,064			Intelsat Luxembourg SA											7.750%				6/01/21				Ca				10,510,800
	4,960			Intelsat Luxembourg SA											8.125%				6/01/23				CCC–				4,253,200
	750			Level 3 Financing Inc.											5.375%				8/15/22				BB				751,875
	32,556			Total Diversified Telecommunication Services																							31,099,342
				Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)
	4,250			Realogy Group LLC, 144A											5.250%				12/01/21				B1				4,260,625
				Health Care Providers & Services – 1.1% (0.7% of Total Investments)
	7,000			HCA Inc.											6.500%				2/15/20				BBB–				7,285,600
				Hotels, Restaurants & Leisure – 1.2% (0.8% of Total Investments)
	2,000			MGM Resorts International											5.250%				3/31/20				BB				2,045,000
	5,500			Scientific Games International Inc.											10.000%				12/01/22				B–				5,871,250
	7,500			Total Hotels, Restaurants & Leisure																							7,916,250
				Household Durables – 1.4% (0.8% of Total Investments)
	6,780			Lennar Corporation											4.125%				12/01/18				BB+				6,790,238
	2,100			Lennar Corporation											4.500%				11/15/19				BB+				2,123,625
	8,880			Total Household Durables																							8,913,863
				Media – 4.1% (2.6% of Total Investments)
	1,000			CCO Holdings LLC											5.750%				9/01/23				BB+				1,012,500
	200			Charter Communications Operating LLC											3.579%				7/23/20				BBB–				200,293
	1,730			CSC Holdings LLC, 144A											10.125%				1/15/23				B2				1,903,000
	3,350			CSC Holdings LLC, 144A											10.875%				10/15/25				B2				3,886,000
	645			DISH DBS Corporation											5.125%				5/01/20				BB				640,163
	2,000			DISH DBS Corporation											5.875%				7/15/22				BB				1,870,000
	2,500			DISH DBS Corporation											5.875%				11/15/24				BB				2,084,375
	2,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				2,040,000
	4,812			iHeartCommunications Inc., (6)											9.000%				12/15/19				CC				3,753,360
	16,459			iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (6)											14.000%				2/01/21				C				2,180,862
	1,762			iHeartCommunications Inc., 144A, (6)											11.250%				3/01/21				C				1,277,450
	8,250			iHeartCommunications Inc., (6)											9.000%				3/01/21				CC				6,311,250
	44,708			Total Media																							27,159,253
				Oil, Gas & Consumable Fuels – 1.5% (0.9% of Total Investments)
	6,905			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				6,179,975
	700			Denbury Resources Inc.											6.375%				8/15/21				CCC–				658,000
	2,547			Denbury Resources Inc., 144A											9.250%				3/31/22				B				2,699,820
	225			EP Energy LLC, 144A											9.375%				5/01/24				Caa2				185,063
	10,377			Total Oil, Gas & Consumable Fuels																							9,722,858

 

47

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

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
$	850			Concordia International Corporation, 144A, (6)											7.000%				4/15/23				C			$	51,000
				Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)
	1,564			Advanced Micro Devices Inc.											7.500%				8/15/22				B				1,739,950
	930			Advanced Micro Devices Inc.											7.000%				7/01/24				B				983,475
	2,494			Total Semiconductors & Semiconductor Equipment																							2,723,425
				Software – 1.7% (1.1% of Total Investments)
	210			Avaya Holdings Corporation, 144A, (6), (9)											7.000%				4/01/19				N/R				—
	5,150			Avaya Holdings Corporation, 144A, (6), (9)											10.500%				3/01/21				N/R				—
	5,480			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				5,610,150
	3,650			Infor Us Inc., 144A											5.750%				8/15/20				BB				3,700,188
	2,000			TIBCO Software Inc., 144A											11.375%				12/01/21				CCC+				2,160,000
	16,490			Total Software																							11,470,338
				Wireless Telecommunication Services – 1.9% (1.2% of Total Investments)
	2,250			Sprint Communications Inc.											7.000%				8/15/20				B+				2,351,250
	7,750			Sprint Corporation											7.875%				9/15/23				B+				8,263,437
	1,750			Sprint Corporation											7.125%				6/15/24				B+				1,798,125
	11,750			Total Wireless Telecommunication Services																							12,412,812
$	152,573			Total Corporate Bonds (cost $133,678,429)																							128,743,393
Shares				Description (1)																						Value
				COMMON STOCKS – 2.9% (1.8% of Total Investments)
				Diversified Consumer Services – 0.1% (0.1% of Total Investments)
	78,490			Cengage Learning Holdings II Inc., (7), (8)																						$	758,292
				Energy Equipment & Services – 0.7% (0.4% of Total Investments)
	76,353			C&J Energy Services Inc., (7)																							1,775,971
	75,644			Ocean Rig UDW Inc., (7)																							2,121,058
	2,712			Vantage Drilling International, (7), (8)																							800,040
				Total Energy Equipment & Services																							4,697,069
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	74,059			Millennium Health LLC, (7), (8)																							3,184
	68,990			Millennium Health LLC, (7), (9)																							—
	64,762			Millennium Health LLC, (7), (9)																							—
				Total Health Care Providers & Services																							3,184
				Marine – 0.3% (0.2% of Total Investments)
	32,786			HGIM Corporation, (8)																							1,524,549
	7,338			HGIM Corporation, (7), (8)																							341,217
				Total Marine																							1,865,766
				Media – 0.8% (0.5% of Total Investments)
	120,264			Cumulus Media Inc., (7), (8)																							1,944,308
	1,973,746			Hibu PLC, (7), (8)																							621,730
	26,045			Metro-Goldwyn-Mayer Inc., (7), (8)																							2,417,315
	45,941			Tribune Media Company, (8)																							16,080
				Total Media																							4,999,433
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	64			Southcross Holdings Borrower LP, (7), (8)																							13,600
				Software – 0.9% (0.6% of Total Investments)
	282,937			Avaya Holdings Corporation, (7)																							5,822,843

 

48

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Shares				Description (1)																						Value
				Specialty Retail – 0.1% (0.0% of Total Investments)
	10,908			Gymboree Holding Corporation, (7), (9)																						$	122,902
	29,698			Gymboree Holding Corporation, (7), (8)																							348,951
				Total Specialty Retail																							471,853
				Total Common Stocks (cost $25,481,246)																							18,632,040
Shares				Description (1), (10)																						Value
				INVESTMENT COMPANIES – 1.7% (1.1% of Total Investments)
	353,668			Eaton Vance Floating-Rate Income Trust Fund																						$	5,145,869
	968,586			Eaton Vance Senior Income Trust																							6,198,950
				Total Investment Companies (cost $11,981,509)																							11,344,819
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				ASSET-BACKED SECURITIES – 1.6% (1.0% of Total Investments)
$	1,200			Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (11)											9.589%				4/15/29				Ba3			$	1,230,600
	500			Carlyle Global Market Strategies Collateralized Loan Obligations, Series 2013-2A, 144A											1.000%				1/18/29				BB–				498,523
	1,200			Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (11)											8.599%				7/15/30				Ba3				1,211,705
	1,250			Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (11)											8.739%				10/15/30				Ba3				1,265,835
	1,500			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A, (3-Month LIBOR reference rate + 7.620% spread), (11)											9.968%				1/20/29				BB				1,522,116
	2,750			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2012-10A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (11)											7.848%				4/20/26				Ba3				2,751,444
	600			Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (11)											7.655%				4/20/30				BB–				583,828
	1,250			OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread), (11)											9.639%				10/30/27				BB				1,260,256
$	10,250			Total Asset-Backed Securities (cost $10,014,934)																							10,324,307
Shares				Description (1)																						Value
				COMMON STOCK RIGHTS – 0.1% (0.1% of Total Investments)
				Oil, Gas & Consumable Fuels – 0.1% (0.1% of Total Investments)
	3,063			Fieldwood Energy LLC, (7), (8)																						$	161,319
	13,997			Fieldwood Energy LLC, (7), (9)																							608,931
				Total Common Stock Right (cost $409,515)																							770,250
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	21,002			Avaya Holdings Corporation																						$	80,858
				Total Warrants (cost $1,915,310)																							80,858

 

49

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

 

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, (6)											1.750%				4/15/12				N/R			$	26,775
	850			Total Convertible Bonds (cost $13,960)																							26,775
				Total Long-Term Investments (cost $1,054,402,121)																							1,028,387,683
Shares				Description (1)										Coupon												Value
				SHORT-TERM INVESTMENTS – 3.6% (2.2% of Total Investments)
				INVESTMENT COMPANIES – 3.6% (2.2% of Total Investments)
	23,541,090			BlackRock Liquidity Funds T-Fund Portfolio, (10)											1.809%	(12)										$	23,541,090
				Total Short-Term Investments (cost $23,541,090)																							23,541,090
				Total Investments (cost $1,077,943,211) – 160.1%																							1,051,928,773
				Borrowings – (38.7)% (13), (14)																							(254,300,000	)
				Term Preferred Shares, net of deferred offering costs – (18.9)% (15)																							(124,022,961	)
				Other Assets Less Liabilities – (2.5)% (16)																							(16,448,966	)
				Net Assets Applicable to Common Shares – 100%																						$	657,156,846

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		$	25,000,000				Pay				1-Month LIBOR				3.250	%(17)			Monthly				1/01/22	(18)		$	(433,230	)		$	(433,230	)
Morgan Stanley Capital Services LLC			35,000,000				Pay				1-Month LIBOR				5.750				Monthly				6/01/24	(19)			2,861				2,861
Morgan Stanley Capital Services LLC			55,000,000				Pay				1-Month LIBOR				4.000				Monthly				1/01/27	(20)			(2,000,216	)			(2,000,216	)
Total		$	115,000,000																							$	(2,430,585	)		$	(2,430,585	)
Total unrealized appreciation on interest rate swaps																														$	2,861
Total unrealized depreciation on interest rate swaps																														$	(2,433,446	)

 

50

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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. Ratings are not covered by the report of independent registered public accounting firm.

 

(5)	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.

 

(6)

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.

 

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

 

(8)	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.

 

(9)

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.

 

(10)	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.

 

(11)	Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(12)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(13)	Borrowings as a percentage of Total Investments is 24.2%.

 

(14)	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.

 

(15)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(16)

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.

 

(17)	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.

 

(18)	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.

 

(19)	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.

 

(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.

 

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.

 

51

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JRO		Nuveen Floating Rate Income Opportunity Fund   Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 154.9% (97.7% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 130.6% (82.4% of Total Investments) (2)
				Aerospace & Defense – 2.6% (1.6% of Total Investments)
$	5,709			Sequa Corporation, Term Loan B			7.067%				1-Month LIBOR				5.000%				11/28/21				B–			$	5,719,500
	1,985			Sequa Corporation, Term Loan, Second Lien			11.072%				1-Month LIBOR				9.000%				4/28/22				CCC				1,992,908
	3,308			Transdigm, Inc., Term Loan E			4.577%				1-Month LIBOR				2.500%				5/30/25				Ba2				3,311,058
	735			Transdigm, Inc., Term Loan F			4.577%				1-Month LIBOR				2.500%				6/09/23				Ba2				736,351
	399			Transdigm, Inc., Term Loan G, First Lien			4.577%				1-Month LIBOR				2.500%				8/22/24				Ba2				399,503
	12,136			Total Aerospace & Defense																							12,159,320
				Air Freight & Logistics – 0.8% (0.5% of Total Investments)
	1,250			Ceva Group PLC, Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				BB–				1,251,563
	1,116			PAE Holding Corporation, Term Loan B			7.577%				1-Month LIBOR				5.500%				10/20/22				B+				1,122,076
	1,444			XPO Logistics, Inc., Term Loan B			4.064%				1-Month LIBOR				2.000%				2/24/25				BB+				1,448,671
	3,810			Total Air Freight & Logistics																							3,822,310
				Airlines – 1.9% (1.2% of Total Investments)
	2,732			American Airlines, Inc., Replacement Term Loan			4.086%				1-Month LIBOR				2.000%				10/10/21				BB+				2,734,036
	2,394			American Airlines, Inc., Term Loan 2025			3.827%				1-Month LIBOR				1.750%				6/27/25				BB+				2,357,318
	3,623			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				12/14/23				BB+				3,609,359
	8,749			Total Airlines																							8,700,713
				Auto Components – 0.5% (0.3% of Total Investments)
	937			Horizon Global Corporation, Term Loan B, (DD1)			6.572%				1-Month LIBOR				4.500%				6/30/21				B2				909,049
	1,485			Superior Industries International, Inc., Term Loan B			6.077%				1-Month LIBOR				4.000%				5/22/24				B				1,491,991
	2,422			Total Auto Components																							2,401,040
				Automobiles – 1.2% (0.8% of Total Investments)
	4,588			Chrysler Group LLC, Term Loan			4.070%				1-Month LIBOR				2.000%				12/31/18				BBB–				4,600,983
	137			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				137,844
	995			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				1,000,295
	5,720			Total Automobiles																							5,739,122
				Biotechnology – 0.9% (0.5% of Total Investments)
	3,950			Grifols, Inc., Term Loan B			4.200%				1-Week LIBOR				2.250%				1/31/25				BB				3,966,156
				Building Products – 2.0% (1.3% of Total Investments)
	2,500			Fairmount, Initial Term Loan			6.050%				3-Month LIBOR				3.750%				6/01/25				BB				2,504,950
	652			Ply Gem Industries, Inc., Term Loan B			6.087%				3-Month LIBOR				3.750%				4/12/25				B				654,320
	6,322			Quikrete Holdings, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				11/15/23				BB–				6,325,100
	9,474			Total Building Products																							9,484,370
				Capital Markets – 0.7% (0.5% of Total Investments)
	3,435			RPI Finance Trust, Term Loan B6			4.334%				3-Month LIBOR				2.000%				3/27/23				BBB–				3,447,178
				Chemicals – 0.6% (0.4% of Total Investments)
	892			Ineos US Finance LLC, Term Loan			4.169%				2-Month LIBOR				2.000%				4/01/24				BB+				892,201
	1,521			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				1,519,472
	571			Univar, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				7/01/24				BB				573,357
	2,984			Total Chemicals																							2,985,030
				Commercial Services & Supplies – 4.4% (2.8% of Total Investments)
	720			ADS Waste Holdings, Inc., Term Loan B			4.193%				1-Week LIBOR				2.250%				11/10/23				BB+				721,565
	985			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			6.342%				2-Month LIBOR				4.000%				10/19/23				B–				976,381

 

52

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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			10.843%				3-Month LIBOR				8.500%				10/07/24				CCC			$	940,000
	3,116			iQor US, Inc., Term Loan, First Lien			7.337%				3-Month LIBOR				5.000%				4/01/21				B				3,100,763
	333			iQor US, Inc., Term Loan, Second Lien			11.087%				3-Month LIBOR				8.750%				4/01/22				CCC+				319,333
	961			KAR Auction Services, Inc., Term Loan B5			4.625%				1-Month LIBOR				2.500%				3/09/23				BB–				964,421
	958			LSC Communications, Refinancing Term Loan			7.577%				1-Month LIBOR				5.500%				9/30/22				B				960,734
	2,948			Monitronics International, Inc., Term Loan B2, First Lien			7.834%				3-Month LIBOR				5.500%				9/30/22				B–				2,766,966
	2,258			Protection One, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				5/02/22				BB–				2,264,778
	3,157			Skillsoft Corporation, Initial Term Loan, First Lien, (DD1)			6.827%				1-Month LIBOR				4.750%				4/28/21				B–				3,070,291
	1,466			Universal Services of America, Initial Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				7/28/22				B–				1,447,922
	1,750			Universal Services of America, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				7/28/23				CCC				1,739,798
	257			West Corporation, Incremental Term Loan B1			5.577%				1-Month LIBOR				3.500%				10/10/24				Ba3				255,767
	1,130			West Corporation, Term Loan B			6.077%				1-Month LIBOR				4.000%				10/10/24				Ba3				1,131,061
	21,039			Total Commercial Services & Supplies																							20,659,780
				Communications Equipment – 0.7% (0.4% of Total Investments)
	1,403			Mitel US Holdings, Inc., Incremental Term Loan			5.827%				1-Month LIBOR				3.750%				9/25/23				B+				1,406,498
	1,696			Plantronics, Term Loan B			4.577%				1-Month LIBOR				2.500%				7/02/25				BB				1,696,356
	3,099			Total Communications Equipment																							3,102,854
				Construction & Engineering – 0.7% (0.4% of Total Investments)
	1,500			KBR, Inc., Term Loan B			5.814%				1-Month LIBOR				3.750%				4/25/25				B+				1,512,195
	1,594			Traverse Midstream Partners, Term Loan B			6.340%				3-Month LIBOR				4.000%				9/27/24				B+				1,602,388
	3,094			Total Construction & Engineering																							3,114,583
				Containers & Packaging – 0.4% (0.3% of Total Investments)
	1,048			Berry Global, Inc., Term Loan Q			4.080%				1-Month LIBOR				2.000%				10/01/22				BBB–				1,051,484
	987			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				2/05/23				B+				991,838
	2,035			Total Containers & Packaging																							2,043,322
				Distributors – 0.5% (0.3% of Total Investments)
	971			American Seafoods Group LLC, Term Loan B			4.830%				1-Month LIBOR				2.750%				8/21/23				BB–				969,926
	1,250			SRS Distribution, Inc., Term Loan B			5.580%				3-Month LIBOR				3.250%				5/23/25				B				1,230,938
	2,221			Total Distributors																							2,200,864
				Diversified Consumer Services – 2.2% (1.4% of Total Investments)
	4,967			Cengage Learning Acquisitions, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				6/07/23				B				4,712,055
	220			Education Management LLC, Tranche A, Term Loan, (5)			10.000%				N/A				N/A				7/02/20				N/R				37,430
	496			Education Management LLC, Tranche B, Term Loan, (5)			13.250%				N/A				N/A				7/02/20				N/R				15,697
	3,395			Houghton Mifflin, Term Loan B, First Lien			5.077%				1-Month LIBOR				3.000%				5/28/21				B				3,182,902
	1,354			Laureate Education, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				4/26/24				B+				1,358,951
	829			Vertiv Co., Term Loan B			6.100%				1-Month LIBOR				4.000%				11/30/23				B+				825,388
	11,261			Total Diversified Consumer Services																							10,132,423
				Diversified Financial Services – 1.7% (1.1% of Total Investments)
	2,730			Citco III Limited, Term Loan			5.077%				1-Month LIBOR				3.000%				3/31/22				N/R				2,741,776
	1,145			Freedom Mortgage Corporation, Term Loan B			6.817%				1-Month LIBOR				4.750%				2/23/22				B+				1,153,640
	1,194			Travelport LLC, Term Loan B			4.830%				3-Month LIBOR				2.500%				3/17/25				B+				1,194,392
	3,072			Veritas US, Inc., Term Loan B1			6.641%				1-Month LIBOR				4.500%				1/27/23				B				2,861,844
	8,141			Total Diversified Financial Services																							7,951,652
				Diversified Telecommunication Services – 7.6% (4.8% of Total Investments)
	1,463			CenturyLink, Inc., Initial Term A Loan			4.827%				1-Month LIBOR				2.750%				11/01/22				BBB–				1,462,317
	7,267			CenturyLink, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				1/31/25				BBB–				7,164,527
	4,459			Frontier Communications Corporation, Term Loan B			5.830%				1-Month LIBOR				3.750%				1/14/22				B+				4,403,682

 

53

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JRO		Nuveen Floating Rate Income Opportunity Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Telecommunication Services (continued)
$	2,502			Intelsat Jackson Holdings, S.A., Term Loan B			5.827%				1-Month LIBOR				3.750%				11/30/23				B			$	2,512,466
	383			Intelsat Jackson Holdings, S.A., Term Loan B4			6.577%				1-Month LIBOR				4.500%				1/02/24				B1				403,133
	614			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				643,666
	3,193			Level 3 Financing, Inc., Tranche B, Term Loan			4.331%				1-Month LIBOR				2.250%				2/22/24				BBB–				3,201,701
	543			Presidio, Inc., Term Loan B			5.082%				1-Month LIBOR				2.750%				2/02/24				B+				545,104
	5,757			WideOpenWest Finance LLC, Term Loan B			5.329%				1-Month LIBOR				3.250%				8/18/23				B				5,534,101
	580			Windstream Corporation, Term Loan B6			6.080%				1-Month LIBOR				4.000%				3/29/21				B+				548,071
	9,000			Ziggo B.V., Term Loan E			4.572%				1-Month LIBOR				2.500%				4/15/25				BB–				8,955,585
	35,761			Total Diversified Telecommunication Services																							35,374,353
				Electric Utilities – 1.0% (0.6% of Total Investments)
	654			EFS Cogen Holdings LLC, Term Loan B			5.590%				3-Month LIBOR				3.250%				6/28/23				BB				656,005
	2,406			Vistra Operations Co., Term Loan B1			4.077%				1-Month LIBOR				2.000%				8/01/23				BBB–				2,405,047
	1,373			Vistra Operations Co., Term Loan B3			4.074%				1-Month LIBOR				2.000%				12/31/25				BBB–				1,371,063
	4,433			Total Electric Utilities																							4,432,115
				Electrical Equipment – 0.6% (0.3% of Total Investments)
	1,302			TTM Technologies, Inc., Term Loan B			4.592%				1-Month LIBOR				2.500%				9/28/24				BB+				1,305,534
	1,312			Zebra Technologies Corporation, Term Loan B			4.057%				3-Month LIBOR				1.750%				10/27/21				BB+				1,317,449
	2,614			Total Electrical Equipment																							2,622,983
				Energy Equipment & Services – 0.4% (0.3% of Total Investments)
	1,599			Diversey, Inc., Term Loan B			5.077%				1-Month LIBOR				3.000%				9/06/24				B				1,571,460
	741			Dynamic Energy Services International LLC, Term Loan, (cash 15.870%, PIK 13.500%)			15.870%				3-Month LIBOR				13.500%				5/06/19				N/R				196,414
	258			Ocean Rig UDW, Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				272,365
	2,598			Total Energy Equipment & Services																							2,040,239
				Equity Real Estate Investment Trusts – 2.4% (1.5% of Total Investments)
	4,616			Communications Sales & Leasing, Inc., Shortfall Term Loan			5.077%				1-Month LIBOR				3.000%				10/24/22				B				4,427,860
	994			Realogy Group LLC, Term Loan A			4.317%				1-Month LIBOR				2.250%				2/08/23				N/R				995,305
	1,260			Realogy Group LLC, Term Loan B			4.317%				1-Month LIBOR				2.250%				2/08/25				BB+				1,264,207
	4,672			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			8.077%				1-Month LIBOR				6.000%				6/30/22				CCC+				4,458,667
	11,542			Total Equity Real Estate Investment Trusts																							11,146,039
				Food & Staples Retailing – 4.4% (2.8% of Total Investments)
	952			Albertson’s LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB–				951,786
	16,796			Albertson’s LLC, Term Loan B4			4.827%				1-Month LIBOR				2.750%				8/25/21				BB–				16,753,739
	1,325			Albertson’s LLC, Term Loan B6			5.319%				3-Month LIBOR				3.000%				6/22/23				BB–				1,318,380
	1,097			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			5.597%				1-Month LIBOR				3.500%				2/03/24				B				1,100,006
	589			Save-A-Lot, Term Loan B			8.077%				1-Month LIBOR				6.000%				12/05/23				B–				457,805
	20,759			Total Food & Staples Retailing																							20,581,716
				Food Products – 2.9% (1.8% of Total Investments)
	1,253			Hearthside Group Holdings LLC, Term Loan B			5.064%				1-Month LIBOR				3.000%				5/23/25				B				1,245,883
	2,878			Jacobs Douwe Egberts, Term Loan B			4.625%				3-Month LIBOR				2.250%				7/04/22				BB				2,894,272
	289			Pinnacle Foods Finance LLC, Term Loan B			3.840%				1-Month LIBOR				1.750%				2/02/24				BB+				289,260
	8,851			US Foods, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				6/27/23				BBB–				8,857,519
	13,271			Total Food Products																							13,286,934
				Health Care Equipment & Supplies – 1.8% (1.1% of Total Investments)
	828			Acelity, Term Loan B			5.584%				3-Month LIBOR				3.250%				2/02/24				B				831,741
	863			ConvaTec, Inc., Term Loan B			4.584%				3-Month LIBOR				2.250%				10/25/23				BB				865,947
	1,015			Greatbatch, New Term Loan B			5.330%				1-Month LIBOR				3.250%				10/27/22				B+				1,020,997
	750			LifeScan, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				731,250
	1,861			Onex Carestream Finance LP, Term Loan, First Lien			6.077%				1-Month LIBOR				4.000%				6/07/19				B				1,863,057
	2,240			Onex Carestream Finance LP, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				12/07/19				B–				2,241,680
	750			Vyaire Medical, Inc., Term Loan B			7.232%				6-Month LIBOR				4.750%				4/16/25				B–				736,875
	8,307			Total Health Care Equipment & Supplies																							8,291,547

 

54

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Providers & Services – 5.6% (3.6% of Total Investments)
$	1,673			Air Medical Group Holdings, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				4/28/22				B			$	1,626,904
	1,478			Air Medical Group Holdings, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				3/14/25				B				1,460,411
	750			Ardent Health, Term Loan, First Lien			6.572%				1-Month LIBOR				4.500%				6/30/25				B				756,563
	1,441			Community Health Systems, Inc., Term Loan H			5.557%				3-Month LIBOR				3.250%				1/27/21				B–				1,418,282
	1,424			Concentra, Inc., Term Loan B			4.850%				1-Month LIBOR				2.750%				6/01/22				B+				1,427,972
	958			Envision Healthcare Corporation, Term Loan B, First Lien			5.080%				1-Month LIBOR				3.000%				12/01/23				BB–				959,246
	1,539			HCA, Inc., Term Loan A5			3.577%				1-Month LIBOR				1.500%				6/10/20				BBB–				1,544,255
	1,657			HCA, Inc., Term Loan B11			3.827%				1-Month LIBOR				1.750%				3/17/23				BBB–				1,666,353
	1,135			Healogics, Inc., Term Loan, First Lien			6.570%				3-Month LIBOR				4.250%				7/01/21				B–				1,074,295
	79			Heartland Dental Care, Inc., Delay Draw Facility, (6)			1.875%				N/A				N/A				4/30/25				B–				78,864
	529			Heartland Dental Care, Inc., Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				4/30/25				B–				525,762
	2,443			Kindred at Home Hospice, Term Loan B, (DD1)			6.125%				3-Month LIBOR				3.750%				6/21/25				B				2,466,346
	750			Kindred at Home Hospice, Term Loan, Second Lien			9.375%				3-Month LIBOR				7.000%				6/21/26				CCC+				765,938
	2,686			Millennium Laboratories, Inc., Term Loan B, First Lien			8.577%				1-Month LIBOR				6.500%				12/21/20				CCC+				1,486,724
	262			MultiPlan, Inc., Term Loan B			5.084%				3-Month LIBOR				2.750%				6/07/23				B+				262,560
	3,626			Pharmaceutical Product Development, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				8/18/22				Ba3				3,632,259
	1,247			PharMerica, Term Loan, First Lien			5.578%				1-Month LIBOR				3.500%				12/06/24				B				1,253,695
	998			Prospect Medical Holdings, Term Loan B1			7.625%				1-Month LIBOR				5.500%				2/22/24				B				1,003,116
	205			Quorum Health Corp., Term Loan B			8.827%				1-Month LIBOR				6.750%				4/29/22				B1				208,748
	2,402			Select Medical Corporation, Term Loan B			4.831%				1-Month LIBOR				2.750%				3/01/21				BB–				2,413,663
	223			Vizient, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/13/23				BB–				223,445
	27,505			Total Health Care Providers & Services																							26,255,401
				Health Care Technology – 1.4% (0.9% of Total Investments)
	1,139			Catalent Pharma Solutions, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				5/20/24				BB				1,141,761
	4,938			Emdeon, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				3/01/24				B+				4,935,797
	449			Press Ganey Holdings, Inc., Term Loan, Second Lien			8.577%				1-Month LIBOR				6.500%				10/21/24				CCC+				455,620
	6,526			Total Health Care Technology																							6,533,178
				Hotels, Restaurants & Leisure – 11.8% (7.4% of Total Investments)
	998			Aramark Corporation, Term Loan			4.084%				3-Month LIBOR				1.750%				3/11/25				BBB–				1,000,198
	748			Arby’s Restaurant Group, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				2/05/25				B				753,736
	14,792			Burger King Corporation, Term Loan B3			4.327%				1-Month LIBOR				2.250%				2/16/24				B+				14,801,001
	3,936			Caesars Entertainment Operating Company, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				10/06/24				BB				3,935,508
	2,985			Caesars Resort Collection, Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				12/23/24				BB				3,000,626
	1,557			CCM Merger, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				8/09/21				BB–				1,563,529
	3,274			CityCenter Holdings LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				4/18/24				BB–				3,282,066
	5,115			Hilton Hotels, Term Loan B			3.814%				1-Month LIBOR				1.750%				10/25/23				BBB–				5,138,021
	2,943			Intrawest Resorts Holdings, Inc., Term Loan B			5.077%				1-Month LIBOR				3.000%				7/31/24				B				2,943,991
	1,955			Life Time Fitness, Inc., Term Loan B			5.057%				3-Month LIBOR				2.750%				6/10/22				BB–				1,960,818
	2,258			MGM Growth Properties, Term Loan B			4.077%				1-Month LIBOR				2.000%				4/25/25				BB+				2,263,094
	7,691			Scientific Games Corp., Initial Term Loan B5			4.903%				2-Month LIBOR				2.750%				8/14/24				B+				7,705,399
	2,250			Stars Group Holdings, Term Loan B, (DD1)			5.831%				3-Month LIBOR				3.500%				7/10/25				B+				2,273,321
	2,596			Station Casino LLC, Term Loan B			4.580%				1-Month LIBOR				2.500%				6/08/23				BB				2,606,159
	1,500			Wyndham International, Inc., Term Loan B			3.827%				1-Month LIBOR				1.750%				5/30/25				BBB–				1,505,393
	54,598			Total Hotels, Restaurants & Leisure																							54,732,860
				Household Products – 0.7% (0.5% of Total Investments)
	3,164			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.577%				1-Month LIBOR				3.500%				11/16/20				CCC+				2,340,342
	1,187			Serta Simmons Holdings LLC, Term Loan, First Lien			5.591%				1-Month LIBOR				3.500%				11/08/23				B–				998,788
	4,351			Total Household Products																							3,339,130
				Independent Power & Renewable Electricity Producers – 1.1% (0.7% of Total Investments)
	5,239			NRG Energy, Inc., Term Loan B, (DD1)			4.084%				3-Month LIBOR				1.750%				6/30/23				BB+				5,234,518
				Industrial Conglomerates – 0.6% (0.4% of Total Investments)
	1,996			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			6.596%				3-Month LIBOR				4.250%				6/16/24				B				2,008,407

 

55

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JRO		Nuveen Floating Rate Income Opportunity Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Industrial Conglomerates (continued)
$	998			Education Advisory Board, Term Loan, First Lien			6.252%				3-Month LIBOR				3.750%				11/15/24				B			$	992,513
	2,994			Total Industrial Conglomerates																							3,000,920
				Insurance – 1.5% (0.9% of Total Investments)
	741			Acrisure LLC, Term Loan B			6.592%				3-Month LIBOR				4.250%				11/22/23				B				743,431
	3,835			Alliant Holdings I LLC, Term Loan B			5.078%				1-Month LIBOR				3.000%				5/09/25				B				3,839,754
	2,225			Hub International Holdings, Inc., Term Loan B			5.335%				3-Month LIBOR				3.000%				4/25/25				B				2,226,156
	6,801			Total Insurance																							6,809,341
				Internet and Direct Marketing Retail – 0.5% (0.3% of Total Investments)
	748			Uber Technologies, Inc., Term Loan			5.574%				1-Month LIBOR				3.500%				7/13/23				N/R				751,762
	1,500			Uber Technologies, Inc., Term Loan			6.100%				1-Month LIBOR				4.000%				4/04/25				N/R				1,510,545
	2,248			Total Internet and Direct Marketing Retail																							2,262,307
				Internet Software & Services – 2.1% (1.3% of Total Investments)
	1,466			Ancestry.com, Inc., Term Loan, First Lien			5.330%				1-Month LIBOR				3.250%				10/19/23				B				1,471,059
	2,000			GTT Communications, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				2.750%				6/02/25				B				1,982,500
	1,137			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			5.363%				3-Month LIBOR				3.000%				11/03/23				BB–				1,133,386
	3,642			Sabre, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				2/22/24				BB				3,649,101
	1,913			SkillSoft Corporation, Term Loan, Second Lien			10.327%				1-Month LIBOR				8.250%				4/28/22				CCC				1,720,363
	10,158			Total Internet Software & Services																							9,956,409
				IT Services – 4.0% (2.5% of Total Investments)
	367			DigiCert, Term Loan, First Lien			7.327%				1-Month LIBOR				5.250%				10/31/24				B				368,139
	922			Engility Corporation, Term Loan B2			4.827%				1-Month LIBOR				2.750%				8/11/23				BB–				925,759
	987			First Data Corporation, Term Loan A			3.819%				1-Month LIBOR				1.750%				6/02/20				BB				987,777
	1,706			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				7/10/22				BB				1,707,638
	7,170			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				4/26/24				BB				7,176,099
	1,190			Gartner, Inc., Term Loan A			4.077%				1-Month LIBOR				2.000%				3/21/22				BB+				1,192,879
	2,500			Optiv Security, Inc., Term Loan, Second Lien			9.313%				1-Month LIBOR				7.250%				1/31/25				CCC				2,425,000
	313			PEAK 10, Inc., Term Loan B			5.834%				3-Month LIBOR				3.500%				8/01/24				B				312,858
	1,733			Tempo Acquisition LLC, Term Loan B			5.077%				1-Month LIBOR				3.000%				5/01/24				B				1,736,216
	998			Vantiv LLC, Repriced Term Loan B4			3.824%				1-Month LIBOR				1.750%				8/09/24				BBB–				997,894
	980			WEX, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				7/01/23				BB–				982,068
	18,866			Total IT Services																							18,812,327
				Leisure Products – 1.2% (0.8% of Total Investments)
	1,539			24 Hour Fitness Worldwide, Inc., Term Loan B			5.572%				1-Month LIBOR				3.500%				5/30/25				B+				1,546,031
	1,455			Academy, Ltd., Term Loan B, (DD1)			6.092%				1-Month LIBOR				4.000%				7/01/22				CCC+				1,207,087
	1,826			Equinox Holdings, Inc., Term Loan B1			5.077%				1-Month LIBOR				3.000%				3/08/24				B+				1,836,122
	985			Four Seasons Holdings, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				11/30/23				BB				986,320
	5,805			Total Leisure Products																							5,575,560
				Life Sciences Tools & Services – 0.3% (0.2% of Total Investments)
	993			Parexel International Corp., Term Loan B			4.827%				1-Month LIBOR				2.750%				9/27/24				B				990,639
	535			Inventiv Health, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				8/01/24				BB–				535,696
	1,528			Total Life Sciences Tools & Services																							1,526,335
				Machinery – 1.4% (0.9% of Total Investments)
	2,203			Gardner Denver, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				7/30/24				BB				2,210,396
	1,047			Gates Global LLC, Term Loan B			5.084%				3-Month LIBOR				2.750%				4/01/24				B+				1,051,262
	995			Navistar, Inc., Tranche B, Term Loan			5.600%				1-Month LIBOR				3.500%				11/06/24				B+				997,488
	600			NN, Inc., Term Loan, Second Lien			10.097%				1-Month LIBOR				8.000%				4/19/23				CCC+				594,000
	415			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			4.314%				1-Month LIBOR				2.250%				8/21/24				BB+				415,832
	698			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			6.834%				3-Month LIBOR				4.500%				11/27/20				CCC+				671,790
	650			TNT Crane and Rigging, Inc., Term Loan, Second Lien			11.334%				3-Month LIBOR				9.000%				11/26/21				CCC–				549,250
	6,608			Total Machinery																							6,490,018

 

56

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Marine – 0.6% (0.4% of Total Investments)
$	888			American Commercial Lines LLC, Term Loan B, First Lien			10.827%				1-Month LIBOR				8.750%				11/12/20				CCC+			$	727,972
	2,007			Harvey Gulf International Marine, Inc., Exit Term Loan			10.000%				N/A				N/A				6/06/23				B3				2,023,126
	2,895			Total Marine																							2,751,098
				Media – 15.0% (9.5% of Total Investments)
	1,148			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				7/23/21				B				1,088,194
	1,481			Affinion Group Holdings, Inc., Term Loan, First Lien			9.822%				1-Month LIBOR				7.750%				5/10/22				B2				1,542,352
	5,641			Catalina Marketing Corporation, Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				4/09/21				B2				3,598,043
	1,500			Catalina Marketing Corporation, Term Loan, Second Lien			8.827%				1-Month LIBOR				6.750%				4/11/22				Caa2				405,750
	5,376			Cequel Communications LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				7/28/25				BB				5,361,276
	3,920			Charter Communications Operating Holdings LLC, Term Loan B			4.080%				1-Month LIBOR				2.000%				4/30/25				BBB–				3,926,984
	1,993			Cineworld Group PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/28/25				BB–				1,988,654
	5,014			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.827%				N/A				N/A				1/30/19				N/R				3,913,172
	7,296			Clear Channel Communications, Inc., Term Loan E, (5)			9.580%				N/A				N/A				7/30/19				N/R				5,674,621
	1,496			CSC Holdings LLC, Term Loan B			4.572%				1-Month LIBOR				2.500%				1/25/26				BB–				1,497,185
	6,654			Cumulus Media, Inc., Exit Term Loan			6.580%				1-Month LIBOR				4.500%				5/15/22				B				6,580,938
	1,588			Getty Images, Inc., Term Loan B, First Lien			5.572%				1-Month LIBOR				3.500%				10/18/19				B3				1,559,283
	553			Gray Television, Inc., Term Loan B2			4.340%				2-Month LIBOR				2.250%				2/07/24				BB				553,770
	1,926			IMG Worldwide, Inc., Term Loan B			4.930%				2-Month LIBOR				2.750%				5/18/25				B				1,921,140
	634			Lions Gate Entertainment Corp., Term Loan B			4.314%				1-Month LIBOR				2.250%				3/24/25				BB–				637,123
	5,154			McGraw-Hill Education Holdings LLC, Term Loan B			6.077%				1-Month LIBOR				4.000%				5/02/22				B+				5,080,262
	2,328			Meredith, Term Loan B			5.077%				1-Month LIBOR				3.000%				1/31/25				BB				2,337,846
	1,500			Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				7/03/25				BB				1,503,285
	1,000			Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien			6.580%				1-Month LIBOR				4.500%				7/03/26				B–				1,000,000
	456			Nexstar Broadcasting Group, Term Loan			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				456,710
	3,418			Nexstar Broadcasting Group, Term Loan B			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				3,425,382
	4,500			Numericable Group S.A, Term Loan B13, (WI/DD)			TBD				TBD				TBD				TBD				B				4,409,640
	400			Red Ventures, Term Loan B			6.077%				1-Month LIBOR				4.000%				11/08/24				B+				404,099
	1,746			Sinclair Television Group, Term Loan B2			4.330%				1-Month LIBOR				2.250%				1/31/24				BB+				1,747,210
	1,923			Springer Science & Business Media, Inc., Term Loan B13, First Lien			5.577%				1-Month LIBOR				3.500%				8/15/22				B				1,923,077
	7,656			Univision Communications, Inc., Term Loan C5			4.827%				1-Month LIBOR				2.750%				3/15/24				BB–				7,443,449
	76,301			Total Media																							69,979,445
				Metals & Mining – 0.3% (0.2% of Total Investments)
	1,238			CanAm Construction, Inc., Term Loan B			7.577%				1-Month LIBOR				5.500%				7/01/24				B				1,252,969
				Multiline Retail – 0.7% (0.4% of Total Investments)
	1,183			Belk, Inc., Term Loan B, First Lien			6.836%				1-Month LIBOR				4.750%				12/12/22				B–				937,176
	1,496			EG America LLC, Term Loan, First Lien			6.334%				3-Month LIBOR				4.000%				2/07/25				B				1,492,666
	922			Hudson’s Bay Company, Term Loan B, First Lien			5.419%				2-Month LIBOR				3.250%				9/30/22				BB				874,041
	3,601			Total Multiline Retail																							3,303,883
				Oil, Gas & Consumable Fuels – 3.5% (2.2% of Total Investments)
	1,455			BCP Renaissance Parent, Term Loan B			5.842%				3-Month LIBOR				3.500%				10/31/24				B+				1,462,225
	1,250			California Resources Corporation, Term Loan			12.439%				1-Month LIBOR				10.375%				12/31/21				B				1,382,031
	1,400			California Resources Corporation, Term Loan B			6.831%				1-Month LIBOR				4.750%				12/31/22				B				1,426,831
	253			Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)			0.000%				N/A				N/A				5/13/22				N/R				3,789
	2,551			Fieldwood Energy LLC, Exit Term Loan			7.327%				1-Month LIBOR				5.250%				4/11/22				B+				2,559,072
	1,657			Fieldwood Energy LLC, Exit Term Loan, second Lien			9.327%				1-Month LIBOR				7.250%				4/11/23				B+				1,613,443
	2,993			McDermott International, Term Loan			7.077%				1-Month LIBOR				5.000%				5/12/25				BB–				3,015,512
	1,212			Peabody Energy Corporation, Term Loan B			4.827%				1-Month LIBOR				2.750%				3/31/25				BB				1,214,457
	3,770			Seadrill Partners LLC, Initial Term Loan			8.334%				3-Month LIBOR				6.000%				2/21/21				CCC+				3,534,393

 

57

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JRO		Nuveen Floating Rate Income Opportunity Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Oil, Gas & Consumable Fuels (continued)
$	46			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+			$	39,555
	16,587			Total Oil, Gas & Consumable Fuels																							16,251,308
				Personal Products – 0.7% (0.4% of Total Investments)
	1,750			Coty, Inc., Term Loan A			3.847%				1-Month LIBOR				1.750%				4/05/23				BB+				1,734,688
	1,500			Coty, Inc., Term Loan B			4.347%				1-Month LIBOR				2.250%				4/07/25				BB+				1,466,723
	3,250			Total Personal Products																							3,201,411
				Pharmaceuticals – 1.2% (0.8% of Total Investments)
	968			Alphabet Holding Company, Inc., Initial Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				9/26/24				B–				910,114
	4,319			Concordia Healthcare Corporation, Term Loan B, First Lien, (5)			6.327%				1-Month LIBOR				4.250%				10/21/21				Caa2				3,904,732
	794			Valeant Pharmaceuticals International, Inc., Term Loan, First Lien			5.092%				1-Month LIBOR				3.000%				6/02/25				BB–				795,677
	6,081			Total Pharmaceuticals																							5,610,523
				Professional Services – 2.0% (1.3% of Total Investments)
	1,066			Ceridian HCM Holding, Inc., Term Loan B			5.327%				1-Month LIBOR				3.250%				4/30/25				B–				1,069,151
	5,496			Formula One Group, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/01/24				B+				5,471,691
	1,975			Nielsen Finance LLC, Term Loan B4			4.097%				1-Month LIBOR				2.000%				10/04/23				BBB–				1,968,650
	957			On Assignment, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				4/02/25				BB				958,977
	9,494			Total Professional Services																							9,468,469
				Real Estate Management & Development – 2.1% (1.3% of Total Investments)
	750			Altisource Solutions S.A R.L., Term Loan B			6.334%				3-Month LIBOR				4.000%				3/29/24				B+				745,964
	2,018			Capital Automotive LP, Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				3/25/24				B				2,021,633
	2,321			Capital Automotive LP, Term Loan, Second Lien			8.080%				1-Month LIBOR				6.000%				3/24/25				CCC+				2,361,724
	3,000			GGP, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				2,979,690
	1,491			Trico Group LLC, Term Loan, First Lien			8.807%				3-Month LIBOR				6.500%				2/02/24				B				1,494,352
	9,580			Total Real Estate Management & Development																							9,603,363
				Road & Rail – 0.6% (0.4% of Total Investments)
	1,463			Quality Distribution, Incremental Term Loan, First Lien			7.834%				3-Month LIBOR				5.500%				8/18/22				B–				1,474,076
	1,250			Savage Enterprises LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				1,255,475
	2,713			Total Road & Rail																							2,729,551
				Semiconductors & Semiconductor Equipment – 1.3% (0.8% of Total Investments)
	1,059			Cypress Semiconductor Corp, Term Loan B			4.320%				1-Month LIBOR				2.250%				7/05/21				BB				1,065,607
	278			Lumileds, Term Loan B			5.751%				1-Month LIBOR				3.500%				6/30/24				B+				276,312
	2,000			Microchip Technology., Inc., Term Loan B			4.080%				1-Month LIBOR				2.000%				5/29/25				BB+				2,007,500
	1,225			Micron Technology, Inc., Term Loan B			3.830%				1-Month LIBOR				1.750%				4/10/22				BBB–				1,230,359
	1,452			ON Semiconductor Corporation, Term Loan B3			3.827%				1-Month LIBOR				1.750%				3/31/23				Baa3				1,455,181
	6,014			Total Semiconductors & Semiconductor Equipment																							6,034,959
				Software – 14.4% (9.1% of Total Investments)
	4,577			Avaya, Inc., Tranche B Term Loan			6.322%				1-Month LIBOR				4.250%				12/15/24				B				4,603,707
	2,560			Blackboard, Inc., Term Loan B4, (DD1)			7.333%				3-Month LIBOR				5.000%				6/30/21				B–				2,431,702
	5,680			BMC Software, Inc., Term Loan B			4.250%				1-Month LIBOR				3.250%				6/28/25				B				5,685,808
	3,686			Compuware Corporation, Term Loan B3			5.580%				1-Month LIBOR				3.500%				12/15/21				B				3,700,401
	983			DTI Holdings, Inc., Replacement Term Loan B1			6.827%				1-Month LIBOR				4.750%				9/29/23				B				980,072
	2,151			Ellucian, Term Loan B, First Lien			5.584%				3-Month LIBOR				3.250%				9/30/22				B				2,157,034
	2,955			Greeneden U.S. Holdings II LLC, Term Loan B			5.577%				1-Month LIBOR				3.500%				12/01/23				B				2,974,212
	9,996			Infor (US), Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/01/22				B				10,021,675
	1,673			Informatica, Term Loan B			5.327%				1-Month LIBOR				3.250%				8/05/22				B				1,682,734
	1,234			Kronos Incorporated, Term Loan B			5.358%				3-Month LIBOR				3.000%				11/20/23				B				1,239,620
	750			McAfee Holdings International, Inc., Term Loan, Second Lien			10.572%				1-Month LIBOR				8.500%				9/29/25				B–				769,688
	3,181			McAfee LLC, Term Loan			6.572%				1-Month LIBOR				4.500%				9/30/24				B				3,206,515
	898			Micro Focus International PLC, New Term Loan			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				896,227

 

58

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Software (continued)
$	6,067			Micro Focus International PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–			$	6,052,440
	2,929			Micro Focus International PLC, Term Loan B2			4.327%				1-Month LIBOR				2.500%				11/19/21				BB–				2,921,622
	636			Misys, New Term Loan, Second Lien			9.557%				3-Month LIBOR				7.250%				6/13/25				CCC+				615,035
	748			Mitchell International, Inc., Initial Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				11/29/24				B1				747,590
	1,000			Mitchell International, Inc., Initial Term Loan, Second Lien			9.327%				1-Month LIBOR				7.250%				12/01/25				CCC				1,005,105
	1,478			RP Crown Parent LLC, Term Loan B			4.827%				1-Month LIBOR				2.750%				10/15/23				B				1,482,583
	4,332			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				4,349,900
	1,662			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				1,668,532
	7,827			Tibco Software, Inc., Term Loan, First Lien			5.580%				1-Month LIBOR				3.500%				12/04/20				B				7,859,852
	67,003			Total Software																							67,052,054
				Specialty Retail – 1.8% (1.1% of Total Investments)
	2,049			99 Cents Only Stores, Tranche B2, Term Loan, Second Lien, (cash 7.991%, PIK 1.500%)			7.991%				1-Week LIBOR				5.000%				1/13/22				CCC+				1,941,191
	1,414			Neiman Marcus Group, Inc., Term Loan			5.336%				1-Month LIBOR				3.250%				10/25/20				CCC				1,252,720
	3,869			Petco Animal Supplies, Inc., Term Loan B1			5.590%				3-Month LIBOR				3.250%				1/26/23				B2				2,793,234
	2,719			Petsmart Inc., Term Loan B, First Lien			5.100%				1-Month LIBOR				3.000%				3/11/22				B3				2,266,001
	10,051			Total Specialty Retail																							8,253,146
				Technology Hardware, Storage & Peripherals – 5.7% (3.6% of Total Investments)
	4,340			Dell International LLC, Replacement Term Loan A2			3.830%				1-Month LIBOR				1.750%				9/07/21				BBB–				4,341,023
	2,358			Dell International LLC, Replacement Term Loan A3			3.580%				1-Month LIBOR				1.500%				12/31/18				BBB–				2,359,842
	11,411			Dell International LLC, Refinancing Term Loan B			4.080%				1-Month LIBOR				2.000%				9/07/23				BBB–				11,426,599
	1,400			Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				B				1,408,974
	7,033			Western Digital, Term Loan B			3.827%				1-Month LIBOR				1.750%				4/29/23				BBB–				7,043,940
	26,542			Total Technology Hardware, Storage & Peripherals																							26,580,378
				Transportation Infrastructure – 1.5% (0.9% of Total Investments)
	6,857			Avolon LLC, Term Loan B			4.086%				1-Month LIBOR				2.000%				1/15/25				BBB–				6,817,788
				Wireless Telecommunication Services – 4.1% (2.6% of Total Investments)
	1,993			Asurion LLC, Term Loan B4			5.077%				1-Month LIBOR				3.000%				8/04/22				B+				1,995,089
	1,826			Asurion LLC, Term Loan B6			5.077%				1-Month LIBOR				3.000%				11/03/23				B+				1,826,375
	6,913			Sprint Corporation, Term Loan, First Lien			4.625%				1-Month LIBOR				2.500%				2/02/24				BB–				6,922,868
	3,500			Syniverse Holdings, Inc., Initial Term Loan, Second Lien			11.078%				1-Month LIBOR				9.000%				3/11/24				CCC+				3,480,750
	2,793			Syniverse Holdings, Inc., Tranche Term Loan C			7.078%				1-Month LIBOR				5.000%				3/09/23				B				2,800,555
	1,841			UPC Financing Partnership, Term Loan AR1, First Lien			4.572%				1-Month LIBOR				2.500%				1/15/26				BB				1,835,024
	18,866			Total Wireless Telecommunication Services																							18,860,661
$	623,155			Total Variable Rate Senior Loan Interests (cost $615,929,961)																							607,965,953
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 19.9% (12.6% of Total Investments)
				Containers & Packaging – 0.9% (0.6% of Total Investments)
$	4,070			Reynolds Group Issuer Inc.											5.750%				10/15/20				B+			$	4,077,579
				Diversified Telecommunication Services – 5.2% (3.3% of Total Investments)
	6,472			Intelsat Jackson Holdings SA											5.500%				8/01/23				CCC+				5,962,330
	5,580			Intelsat Jackson Holdings SA, 144A											9.750%				7/15/25				CCC+				5,963,625
	8,012			Intelsat Luxembourg SA											7.750%				6/01/21				Ca				7,611,400
	4,370			Intelsat Luxembourg SA											8.125%				6/01/23				CCC–				3,747,275
	750			Level 3 Financing Inc.											5.375%				8/15/22				BB				751,875
	25,184			Total Diversified Telecommunication Services																							24,036,505

 

59

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JRO		Nuveen Floating Rate Income Opportunity Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Equity Real Estate Investment Trusts – 0.7% (0.4% of Total Investments)
$	3,250			Realogy Group LLC, 144A											5.250%				12/01/21				B1			$	3,258,125
				Health Care Providers & Services – 1.5% (0.9% of Total Investments)
	4,500			HCA Inc.											6.500%				2/15/20				BBB–				4,683,600
	2,000			HCA Inc.											5.875%				3/15/22				BBB–				2,102,500
	6,500			Total Health Care Providers & Services																							6,786,100
				Hotels, Restaurants & Leisure – 1.2% (0.7% of Total Investments)
	1,000			MGM Resorts International											5.250%				3/31/20				BB				1,022,500
	4,200			Scientific Games International Inc.											10.000%				12/01/22				B–				4,483,500
	5,200			Total Hotels, Restaurants & Leisure																							5,506,000
				Household Durables – 1.4% (0.9% of Total Investments)
	4,900			Lennar Corporation											4.125%				12/01/18				BB+				4,907,399
	1,500			Lennar Corporation											4.500%				11/15/19				BB+				1,516,875
	6,400			Total Household Durables																							6,424,274
				Media – 3.8% (2.4% of Total Investments)
	150			Charter Communications Operating LLC											3.579%				7/23/20				BBB–				150,220
	1,365			CSC Holdings LLC, 144A											10.125%				1/15/23				B2				1,501,500
	1,650			CSC Holdings LLC, 144A											10.875%				10/15/25				B2				1,914,000
	495			DISH DBS Corporation											5.125%				5/01/20				BB				491,287
	1,000			DISH DBS Corporation											5.875%				11/15/24				BB				833,750
	1,325			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,351,500
	4,662			iHeartCommunications Inc., (5)											9.000%				12/15/19				CC				3,636,360
	14,960			iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				C				1,982,228
	1,714			iHeartCommunications Inc., 144A, (5)											11.250%				3/01/21				C				1,242,650
	6,250			iHeartCommunications Inc., (5)											9.000%				3/01/21				CC				4,781,250
	33,571			Total Media																							17,884,745
				Oil, Gas & Consumable Fuels – 1.5% (1.0% of Total Investments)
	5,170			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				4,627,150
	500			Denbury Resources Inc.											6.375%				8/15/21				CCC–				470,000
	1,814			Denbury Resources Inc., 144A											9.250%				3/31/22				B				1,922,840
	180			EP Energy LLC, 144A											9.375%				5/01/24				Caa2				148,050
	7,664			Total Oil, Gas & Consumable Fuels																							7,168,040
				Pharmaceuticals – 0.0% (0.0% of Total Investments)
	600			Concordia International Corporation, 144A, (5)											7.000%				4/15/23				C				36,000
				Semiconductors & Semiconductor Equipment – 0.3% (0.2% of Total Investments)
	1,394			Advanced Micro Devices Inc.											7.500%				8/15/22				B				1,550,825
				Software – 1.6% (1.0% of Total Investments)
	155			Avaya Holdings Corporation, 144A, (5), (9)											7.000%				4/01/19				N/R				—
	3,830			Avaya Holdings Corporation, 144A, (5), (9)											10.500%				3/01/21				N/R				—
	3,925			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				4,018,219
	3,500			Infor Us Inc., 144A											5.750%				8/15/20				BB				3,548,125
	11,410			Total Software																							7,566,344
				Wireless Telecommunication Services – 1.8% (1.2% of Total Investments)
	1,450			Sprint Communications Inc.											7.000%				8/15/20				B+				1,515,250
	6,000			Sprint Corporation											7.875%				9/15/23				B+				6,397,500
	500			Sprint Corporation											7.125%				6/15/24				B+				513,750
	7,950			Total Wireless Telecommunication Services																							8,426,500
$	113,193			Total Corporate Bonds (cost $98,878,277)																							92,721,037

 

60

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Shares				Description (1)																						Value
				COMMON STOCKS – 3.2% (2.0% of Total Investments)
				Diversified Consumer Services – 0.1% (0.1% of Total Investments)
	71,949			Cengage Learning Holdings II Inc., (7), (8)																						$	695,099
				Energy Equipment & Services – 0.8% (0.5% of Total Investments)
	57,368			C&J Energy Services Inc., (7)																							1,334,380
	58,041			Ocean Rig UDW Inc., (7)																							1,627,470
	2,534			Vantage Drilling International, (7), (8)																							747,530
				Total Energy Equipment & Services																							3,709,380
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	54,276			Millennium Health LLC, (7), (8)																							2,334
	50,560			Millennium Health LLC, (7), (9)																							—
	47,462			Millennium Health LLC, (7), (9)																							—
				Total Health Care Providers & Services																							2,334
				Marine – 0.3% (0.2% of Total Investments)
	21,097			HGIM Corporation, (8)																							981,010
	4,721			HGIM Corporation, (7), (8)																							219,526
				Total Marine																							1,200,536
				Media – 0.9% (0.5% of Total Investments)
	85,480			Cumulus Media Inc., (7), (8)																							1,381,955
	1,318,561			Hibu PLC, (7), (8)																							415,347
	23,363			Metro-Goldwyn-Mayer Inc., (7), (8)																							2,168,390
	36,087			Tribune Media Company, (8)																							12,631
				Total Media																							3,978,323
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	46			Southcross Holdings Borrower LP, (7), (8)																							9,775
				Software – 1.0% (0.6% of Total Investments)
	229,425			Avaya Holdings Corporation, (7)																							4,721,567
				Specialty Retail – 0.1% (0.1% of Total Investments)
	8,181			Gymboree Holding Corporation, (7), (9)																							92,176
	22,273			Gymboree Holding Corporation, (7), (8)																							261,708
				Total Specialty Retail																							353,884
				Total Common Stocks (cost $20,000,429)																							14,670,898
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				ASSET-BACKED SECURITIES – 1.0% (0.6% of Total Investments)
$	675			Bristol Park CLO LTD, Series 2016-1A, 144A, (3-Month LIBOR reference rate + 7.250% spread), (10)											9.589%				4/15/29				Ba3			$	692,213
	800			Dryden 50 Senior Loan Fund, Series 2017-50A, 144A, (3-Month LIBOR reference rate + 6.260% spread), (10)											8.599%				7/15/30				Ba3				807,803
	750			Gilbert Park CLO LTD, Series 2017-1A, 144A, (3-Month LIBOR reference rate + 6.400% spread), (10)											8.739%				10/15/30				Ba3				759,501
	1,250			Madison Park Funding Limited, Collateralized Loan Obligations, Series 2015-16A, 144A, (3-Month LIBOR reference rate + 5.500% spread), (10)											7.848%				4/20/26				Ba3				1,250,656
	400			Neuberger Berman Loan Advisers CLO 28 Limited, Series 2018-28A, 144A, (3-Month LIBOR reference rate + 5.600% spread), (10)											7.655%				4/20/30				BB–				389,219
	750			OZLM Funding Limited, Series 2012-2A, 144A, (3-Month LIBOR reference rate + 7.300% spread), (10)											9.639%				10/30/27				BB				756,154
$	4,625			Total Asset-Backed Securities (cost $4,518,115)																							4,655,546

 

61

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JRO		Nuveen Floating Rate Income Opportunity Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Shares				Description (1)																						Value
				COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)
				Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)
	3,160			Fieldwood Energy LLC, (7), (8)																						$	166,428
	14,441			Fieldwood Energy LLC, (7), (9)																							628,247
				Total Common Stock Right (cost $422,499)																							794,675
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	15,619			Avaya Holdings Corporation																						$	60,133
				Total Warrants (cost $1,460,830)																							60,133
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			$	17,325
	550			Total Convertible Bonds (cost $9,033)																							17,325
				Total Long-Term Investments (cost $741,219,144)																							720,885,567
Shares				Description (1)										Coupon												Value
				SHORT-TERM INVESTMENTS – 3.7% (2.3% of Total Investments)
				INVESTMENT COMPANIES – 3.7% (2.3% of Total Investments)
	17,156,361			BlackRock Liquidity Funds T-Fund Portfolio, (11)											1.809%	(12)										$	17,156,361
				Total Short-Term Investments (cost $17,156,361)																							17,156,361
				Total Investments (cost $758,375,505) – 158.6%																							738,041,928
				Borrowings – (38.4)% (13), (14)																							(178,800,000	)
				Term Preferred Shares, net of deferred offering costs – (17.8)% (15)																							(82,913,025	)
				Other Assets Less Liabilities – (2.4)% (16)																							(10,950,479	)
				Net Assets Applicable to Common Shares – 100%																						$	465,378,424

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	%(17)			Monthly				12/01/23	(18)		$	(147,373)			$	(147,373)
Morgan Stanley Capital Services LLC			10,000,000			Pay		1-Month LIBOR			2.500	(19)			Monthly				1/01/22	(20)			(156,637)				(156,637)
Morgan Stanley Capital Services LLC			21,000,000			Pay		1-Month LIBOR			2.500	(21)			Monthly				4/01/22	(22)			(390,537)				(390,537)
Morgan Stanley Capital Services LLC			45,000,000			Pay		1-Month LIBOR			4.000				Monthly				1/01/27	(23)			(1,636,540)				(1,636,540)
Total		$	84,000,000																			$	(2,331,087)			$	(2,331,087)
Total unrealized appreciation on interest rate swaps																										$	—
Total unrealized depreciation on interest rate swaps																										$	(2,331,087)

 

62

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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. Ratings are not covered by the report of independent registered public accounting firm.

 

(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, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

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

 

(8)	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.

 

(9)

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.

 

(10)	Variable rate security. The rate shown is the coupon as of the end of the period.

 

(11)	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.

 

(12)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(13)	Borrowings as a percentage of Total Investments is 24.2%.

 

(14)	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.

 

(15)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.2%.

 

(16)

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.

 

(17)	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.

 

(18)	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.

 

(19)	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.

 

(20)	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.

 

(21)	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.

 

(22)	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.

 

(23)	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.

 

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.

 

63

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JSD		Nuveen Short Duration Credit Opportunities Fund   Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 157.1% (97.2% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 133.5% (82.6% of Total Investments) (2)
				Aerospace & Defense – 3.2% (2.0% of Total Investments)
$	3,053			Sequa Corporation, Term Loan B			7.067%				1-Month LIBOR				5.000%				11/28/21				B–			$	3,058,910
	1,062			Sequa Corporation, Term Loan, Second Lien			11.072%				1-Month LIBOR				9.000%				4/28/22				CCC				1,065,849
	1,659			Transdigm, Inc., Term Loan F			4.577%				1-Month LIBOR				2.500%				6/09/23				Ba2				1,661,570
	5,774			Total Aerospace & Defense																							5,786,329
				Air Freight & Logistics – 1.4% (0.9% of Total Investments)
	1,000			Ceva Group PLC, Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				BB–				1,001,250
	837			PAE Holding Corporation, Term Loan B			7.577%				1-Month LIBOR				5.500%				10/20/22				B+				841,557
	722			XPO Logistics, Inc., Term Loan B			4.064%				1-Month LIBOR				2.000%				2/24/25				BB+				724,336
	2,559			Total Air Freight & Logistics																							2,567,143
				Airlines – 2.1% (1.3% of Total Investments)
	1,698			American Airlines, Inc., Replacement Term Loan			4.086%				1-Month LIBOR				2.000%				10/10/21				BB+				1,698,866
	960			American Airlines, Inc., Term Loan 2025			3.827%				1-Month LIBOR				1.750%				6/27/25				BB+				945,786
	618			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				12/14/23				BB+				615,651
	500			American Airlines, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				498,438
	3,776			Total Airlines																							3,758,741
				Auto Components – 0.3% (0.2% of Total Investments)
	495			Superior Industries International, Inc., Term Loan B			6.077%				1-Month LIBOR				4.000%				5/22/24				B				497,330
				Automobiles – 0.5% (0.3% of Total Investments)
	103			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				103,383
	746			DexKo Global, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				7/24/24				B				750,221
	849			Total Automobiles																							853,604
				Biotechnology – 1.1% (0.7% of Total Investments)
	1,975			Grifols, Inc., Term Loan B			4.200%				1-Week LIBOR				2.250%				1/31/25				BB				1,983,078
				Building Products – 1.4% (0.9% of Total Investments)
	1,000			Fairmount, Initial Term Loan			6.050%				3-Month LIBOR				3.750%				6/01/25				BB				1,001,980
	326			Ply Gem Industries, Inc., Term Loan B			6.087%				3-Month LIBOR				3.750%				4/12/25				B				327,160
	1,299			Quikrete Holdings, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				11/15/23				BB–				1,299,826
	2,625			Total Building Products																							2,628,966
				Capital Markets – 0.4% (0.2% of Total Investments)
	726			RPI Finance Trust, Term Loan B6			4.334%				3-Month LIBOR				2.000%				3/27/23				BBB–				728,406
				Chemicals – 0.9% (0.5% of Total Investments)
	425			Ineos US Finance LLC, Term Loan			4.169%				2-Month LIBOR				2.000%				4/01/24				BB+				425,312
	399			Mineral Technologies, Inc., Term Loan B2			4.750%				N/A				N/A				5/07/21				BB+				398,244
	750			Univar, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				7/01/24				BB				753,033
	1,574			Total Chemicals																							1,576,589
				Commercial Services & Supplies – 5.1% (3.1% of Total Investments)
	493			Fort Dearborn Holding Company, Inc., Term Loan, First Lien			6.342%				2-Month LIBOR				4.000%				10/19/23				B–				488,191
	1,781			iQor US, Inc., Term Loan, First Lien			7.337%				3-Month LIBOR				5.000%				4/01/21				B				1,771,865
	167			iQor US, Inc., Term Loan, Second Lien			11.087%				3-Month LIBOR				8.750%				4/01/22				CCC+				159,667
	769			KAR Auction Services, Inc., Term Loan B5			4.625%				1-Month LIBOR				2.500%				3/09/23				BB–				771,536
	767			LSC Communications, Refinancing Term Loan			7.577%				1-Month LIBOR				5.500%				9/30/22				B				768,587
	1,474			Monitronics International, Inc., Term Loan B2, First Lien			7.834%				3-Month LIBOR				5.500%				9/30/22				B–				1,383,483

 

64

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Commercial Services & Supplies (continued)
$	581			Protection One, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				5/02/22				BB–			$	583,126
	1,387			Skillsoft Corporation, Initial Term Loan, First Lien			6.827%				1-Month LIBOR				4.750%				4/28/21				B–				1,348,829
	978			Universal Services of America, Initial Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				7/28/22				B–				965,281
	171			West Corporation, Incremental Term Loan B1			5.577%				1-Month LIBOR				3.500%				10/10/24				Ba3				170,511
	753			West Corporation, Term Loan B			6.077%				1-Month LIBOR				4.000%				10/10/24				Ba3				754,040
	9,321			Total Commercial Services & Supplies																							9,165,116
				Communications Equipment – 1.1% (0.7% of Total Investments)
	421			CommScope, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				12/29/22				BB+				423,256
	935			Mitel US Holdings, Inc., Incremental Term Loan			5.827%				1-Month LIBOR				3.750%				9/25/23				B+				937,665
	565			Plantronics, Term Loan B			4.577%				1-Month LIBOR				2.500%				7/02/25				BB				565,452
	1,921			Total Communications Equipment																							1,926,373
				Construction & Engineering – 1.1% (0.7% of Total Investments)
	750			KBR, Inc., Term Loan B			5.814%				1-Month LIBOR				3.750%				4/25/25				B+				756,098
	1,204			Traverse Midstream Partners, Term Loan B			6.340%				3-Month LIBOR				4.000%				9/27/24				B+				1,210,587
	1,954			Total Construction & Engineering																							1,966,685
				Containers & Packaging – 1.3% (0.8% of Total Investments)
	699			Berry Global, Inc., Term Loan Q			4.080%				1-Month LIBOR				2.000%				10/01/22				BBB–				700,990
	1,640			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				2/05/23				B+				1,647,160
	2,339			Total Containers & Packaging																							2,348,150
				Distributors – 0.7% (0.5% of Total Investments)
	607			American Seafoods Group LLC, Term Loan B			4.830%				1-Month LIBOR				2.750%				8/21/23				BB–				606,204
	750			SRS Distribution, Inc., Term Loan B			5.580%				3-Month LIBOR				3.250%				5/23/25				B				738,563
	1,357			Total Distributors																							1,344,767
				Diversified Consumer Services – 1.9% (1.2% of Total Investments)
	1,826			Cengage Learning Acquisitions, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				6/07/23				B				1,732,860
	591			Houghton Mifflin, Term Loan B, First Lien			5.077%				1-Month LIBOR				3.000%				5/28/21				B				553,934
	580			Laureate Education, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				4/26/24				B+				582,407
	663			Vertiv Co.,Term Loan B			6.100%				1-Month LIBOR				4.000%				11/30/23				B+				660,311
	3,660			Total Diversified Consumer Services																							3,529,512
				Diversified Financial Services – 1.4% (0.8% of Total Investments)
	572			Freedom Mortgage Corporation, Term Loan B			6.817%				1-Month LIBOR				4.750%				2/23/22				B+				576,820
	2,048			Veritas US, Inc., Term Loan B1			6.641%				1-Month LIBOR				4.500%				1/27/23				B				1,907,896
	2,620			Total Diversified Financial Services																							2,484,716
				Diversified Telecommunication Services – 7.3% (4.5% of Total Investments)
	731			CenturyLink, Inc., Initial Term A Loan			4.827%				1-Month LIBOR				2.750%				11/01/22				BBB–				731,159
	3,724			CenturyLink, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				1/31/25				BBB–				3,671,327
	2,540			Frontier Communications Corporation, Term Loan B			5.830%				1-Month LIBOR				3.750%				1/14/22				B+				2,508,529
	1,272			Intelsat Jackson Holdings, S.A., Term Loan B			5.827%				1-Month LIBOR				3.750%				11/30/23				B				1,277,311
	195			Intelsat Jackson Holdings, S.A., Term Loan B4			6.577%				1-Month LIBOR				4.500%				1/02/24				B1				204,949
	312			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				327,233
	2,236			WideOpenWest Finance LLC, Term Loan B			5.329%				1-Month LIBOR				3.250%				8/18/23				B				2,149,127
	290			Windstream Corporation, Term Loan B6			6.080%				1-Month LIBOR				4.000%				3/29/21				B+				274,036
	2,000			Ziggo B.V., Term Loan E			4.572%				1-Month LIBOR				2.500%				4/15/25				BB–				1,990,130
	13,300			Total Diversified Telecommunication Services																							13,133,801
				Electric Utilities – 1.5% (0.9% of Total Investments)
	436			EFS Cogen Holdings LLC, Term Loan B			5.590%				3-Month LIBOR				3.250%				6/28/23				BB				437,336
	1,604			Vistra Operations Co., Term Loan B1			4.077%				1-Month LIBOR				2.000%				8/01/23				BBB–				1,603,365
	690			Vistra Operations Co., Term Loan B3			4.074%				1-Month LIBOR				2.000%				12/31/25				BBB–				689,525
	2,730			Total Electric Utilities																							2,730,226

 

65

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JSD		Nuveen Short Duration Credit Opportunities Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Electrical Equipment – 0.4% (0.3% of Total Investments)
$	781			TTM Technologies, Inc., Term Loan B			4.592%				1-Month LIBOR				2.500%				9/28/24				BB+			$	783,320
				Energy Equipment & Services – 0.1% (0.0% of Total Investments)
	116			Ocean Rig UDW, Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				122,534
				Equity Real Estate Investment Trusts – 2.9% (1.8% of Total Investments)
	2,482			Communications Sales & Leasing, Inc., Shortfall Term Loan			5.077%				1-Month LIBOR				3.000%				10/24/22				B				2,380,985
	497			Realogy Group LLC, Term Loan A			4.317%				1-Month LIBOR				2.250%				2/08/23				N/R				497,653
	2,417			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (5)			8.077%				1-Month LIBOR				6.000%				6/30/22				CCC+				2,307,164
	5,396			Total Equity Real Estate Investment Trusts																							5,185,802
				Food & Staples Retailing – 6.2% (3.8% of Total Investments)
	298			Albertson’s LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB–				297,433
	8,647			Albertson’s LLC, Term Loan B4			4.827%				1-Month LIBOR				2.750%				8/25/21				BB–				8,625,286
	946			Albertson’s LLC, Term Loan B6			5.319%				3-Month LIBOR				3.000%				6/22/23				BB–				941,565
	164			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			5.597%				1-Month LIBOR				3.500%				2/03/24				B				164,843
	958			Del Monte Foods Company, Term Loan, First Lien			5.584%				3-Month LIBOR				3.250%				2/18/21				CCC+				840,206
	442			Save-A-Lot, Term Loan B			8.077%				1-Month LIBOR				6.000%				12/05/23				B–				343,354
	11,455			Total Food & Staples Retailing																							11,212,687
				Food Products – 2.0% (1.3% of Total Investments)
	1,439			Jacobs Douwe Egberts, Term Loan B			4.625%				3-Month LIBOR				2.250%				7/04/22				BB				1,447,136
	2,233			U.S. Foods, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				6/27/23				BBB–				2,234,621
	3,672			Total Food Products																							3,681,757
				Health Care Equipment & Supplies – 2.9% (1.8% of Total Investments)
	701			Acelity, Term Loan B			5.584%				3-Month LIBOR				3.250%				2/02/24				B				703,579
	773			ConvaTec, Inc., Term Loan B			4.584%				3-Month LIBOR				2.250%				10/25/23				BB				775,105
	676			Greatbatch, New Term Loan B			5.330%				1-Month LIBOR				3.250%				10/27/22				B+				680,665
	500			LifeScan, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				487,500
	1,303			Onex Carestream Finance LP, Term Loan, First Lien			6.077%				1-Month LIBOR				4.000%				6/07/19				B				1,304,140
	841			Onex Carestream Finance LP, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				12/07/19				B–				841,428
	500			Vyaire Medical, Inc., Term Loan B			7.232%				6-Month LIBOR				4.750%				4/16/25				B–				491,250
	5,294			Total Health Care Equipment & Supplies																							5,283,667
				Health Care Providers & Services – 6.8% (4.2% of Total Investments)
	727			Air Medical Group Holdings, Inc., Term Loan B			5.347%				1-Month LIBOR				3.250%				4/28/22				B				707,350
	887			Air Medical Group Holdings, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				3/14/25				B				876,247
	500			Ardent Health, Term Loan, First Lien			6.572%				1-Month LIBOR				4.500%				6/30/25				B				504,375
	589			Community Health Systems, Inc., Term Loan H			5.557%				3-Month LIBOR				3.250%				1/27/21				B–				579,417
	958			Envision Healthcare Corporation, Term Loan B, First Lien			5.080%				1-Month LIBOR				3.000%				12/01/23				BB–				959,246
	62			Heartland Dental Care, Inc., Delay Draw Facility, (6)			1.875%				N/A				N/A				4/30/25				B–				61,457
	412			Heartland Dental Care, Inc., Term Loan, First Lien			5.827%				1-Month LIBOR				3.750%				4/30/25				B–				409,715
	1,466			Kindred at Home Hospice, Term Loan B, (DD1)			6.125%				3-Month LIBOR				3.750%				6/21/25				B				1,479,808
	400			Kindred at Home Hospice, Term Loan, Second Lien			9.375%				3-Month LIBOR				7.000%				6/21/26				CCC+				408,500
	653			Millennium Laboratories, Inc., Term Loan B, First Lien			8.577%				1-Month LIBOR				6.500%				12/21/20				CCC+				361,274
	2,461			Pharmaceutical Product Development, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				8/18/22				Ba3				2,464,713
	748			PharMerica, Term Loan, First Lien			5.578%				1-Month LIBOR				3.500%				12/06/24				B				752,217
	748			Prospect Medical Holdings, Term Loan B1			7.625%				1-Month LIBOR				5.500%				2/22/24				B				752,337
	119			Quorum Health Corp., Term Loan B			8.827%				1-Month LIBOR				6.750%				4/29/22				B1				120,808
	1,678			Select Medical Corporation, Term Loan B			4.831%				1-Month LIBOR				2.750%				3/01/21				BB–				1,686,170
	148			Vizient, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/13/23				BB–				148,963
	12,556			Total Health Care Providers & Services																							12,272,597
				Health Care Technology – 1.1% (0.6% of Total Investments)
	425			Catalent Pharma Solutions, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				5/20/24				BB				426,340

 

66

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Technology (continued)
$	1,481			Emdeon, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				3/01/24				B+			$	1,480,739
	1,906			Total Health Care Technology																							1,907,079
				Hotels, Restaurants & Leisure – 8.0% (5.0% of Total Investments)
	1,953			Burger King Corporation, Term Loan B3			4.327%				1-Month LIBOR				2.250%				2/16/24				B+				1,954,205
	562			Caesars Entertainment Operating Company, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				10/06/24				BB				562,215
	1,990			Caesars Resort Collection, Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				12/23/24				BB				2,000,418
	1,389			CCM Merger, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				8/09/21				BB–				1,394,830
	1,637			CityCenter Holdings LLC, Term Loan B			4.327%				1-Month LIBOR				2.250%				4/18/24				BB–				1,641,128
	1,117			Life Time Fitness, Inc., Term Loan B			5.057%				3-Month LIBOR				2.750%				6/10/22				BB–				1,120,468
	3,380			Scientific Games Corporation, Initial Term Loan B5			4.903%				2-Month LIBOR				2.750%				8/14/24				B+				3,386,063
	750			Stars Group Holdings, Term Loan B			5.831%				3-Month LIBOR				3.500%				7/10/25				B+				757,774
	1,731			Station Casino LLC, Term Loan B			4.580%				1-Month LIBOR				2.500%				6/08/23				BB				1,737,439
	14,509			Total Hotels, Restaurants & Leisure																							14,554,540
				Household Products – 1.0% (0.6% of Total Investments)
	1,936			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.577%				1-Month LIBOR				3.500%				11/16/20				CCC+				1,431,858
	445			Serta Simmons Holdings LLC, Term Loan, First Lien			5.591%				1-Month LIBOR				3.500%				11/08/23				B–				374,829
	2,381			Total Household Products																							1,806,687
				Industrial Conglomerates – 1.2% (0.7% of Total Investments)
	1,343			Brand Energy & Infrastructure Services, Inc., Term Loan B, First Lien			6.596%				3-Month LIBOR				4.250%				6/16/24				B				1,351,450
	748			Education Advisory Board, Term Loan, First Lien			6.252%				3-Month LIBOR				3.750%				11/15/24				B				744,384
	2,091			Total Industrial Conglomerates																							2,095,834
				Insurance – 0.8% (0.5% of Total Investments)
	494			Acrisure LLC, Term Loan B			6.592%				3-Month LIBOR				4.250%				11/22/23				B				495,620
	1,014			Hub International Holdings, Inc., Term Loan B			5.335%				3-Month LIBOR				3.000%				4/25/25				B				1,014,555
	1,508			Total Insurance																							1,510,175
				Internet and Direct Marketing Retail – 0.4% (0.3% of Total Investments)
	750			Uber Technologies, Inc., Term Loan			6.100%				1-Month LIBOR				4.000%				4/04/25				N/R				755,273
				Internet Software & Services – 2.5% (1.5% of Total Investments)
	978			Ancestry.com, Inc., Term Loan, First Lien			5.330%				1-Month LIBOR				3.250%				10/19/23				B				980,706
	500			GTT Communications, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				2.750%				6/02/25				B				495,625
	758			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			5.363%				3-Month LIBOR				3.000%				11/03/23				BB–				755,591
	1,273			Sabre, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				2/22/24				BB				1,275,329
	1,109			SkillSoft Corporation, Term Loan, Second Lien			10.327%				1-Month LIBOR				8.250%				4/28/22				CCC				997,312
	4,618			Total Internet Software & Services																							4,504,563
				IT Services – 4.7% (2.9% of Total Investments)
	275			DigiCert, Term Loan, First Lien			7.327%				1-Month LIBOR				5.250%				10/31/24				B				276,104
	4,950			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				4/26/24				BB				4,953,972
	667			Gartner, Inc., Term Loan A			4.077%				1-Month LIBOR				2.000%				3/21/22				BB+				668,735
	209			PEAK 10, Inc., Term Loan B			5.834%				3-Month LIBOR				3.500%				8/01/24				B				208,572
	990			Tempo Acquisition LLC, Term Loan B			5.077%				1-Month LIBOR				3.000%				5/01/24				B				992,124
	748			Vantiv LLC, Repriced Term Loan B4			3.824%				1-Month LIBOR				1.750%				8/09/24				BBB–				748,421
	735			WEX, Inc., Term Loan B			4.327%				1-Month LIBOR				2.250%				7/01/23				BB–				736,551
	8,574			Total IT Services																							8,584,479
				Leisure Products – 1.6% (1.0% of Total Investments)
	1,026			24 Hour Fitness Worldwide, Inc., Term Loan B			5.572%				1-Month LIBOR				3.500%				5/30/25				B+				1,030,687
	724			Academy, Ltd., Term Loan B, (DD1)			6.092%				1-Month LIBOR				4.000%				7/01/22				CCC+				600,492
	1,245			Equinox Holdings, Inc., Term Loan B1			5.077%				1-Month LIBOR				3.000%				3/08/24				B+				1,251,902
	2,995			Total Leisure Products																							2,883,081

 

67

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JSD		Nuveen Short Duration Credit Opportunities Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Machinery – 1.6% (1.0% of Total Investments)
$	879			Gardner Denver, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				7/30/24				BB			$	881,978
	628			Gates Global LLC, Term Loan B			5.084%				3-Month LIBOR				2.750%				4/01/24				B+				630,757
	250			NN, Inc., Term Loan, Second Lien			10.097%				1-Month LIBOR				8.000%				4/19/23				CCC+				247,500
	828			TNT Crane and Rigging Inc., Initial Term Loan, First Lien			6.834%				3-Month LIBOR				4.500%				11/27/20				CCC+				796,829
	400			TNT Crane and Rigging, Inc., Term Loan, Second Lien			11.334%				3-Month LIBOR				9.000%				11/26/21				CCC–				338,000
	2,985			Total Machinery																							2,895,064
				Marine – 0.8% (0.5% of Total Investments)
	666			American Commercial Lines LLC, Term Loan B, First Lien			10.827%				1-Month LIBOR				8.750%				11/12/20				CCC+				545,979
	969			Harvey Gulf International Marine, Inc., Exit Term Loan			10.000%				N/A				N/A				6/06/23				B3				976,661
	1,635			Total Marine																							1,522,640
				Media – 12.7% (7.9% of Total Investments)
	833			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				7/23/21				B				789,377
	988			Affinion Group Holdings, Inc., Term Loan, First Lien			9.822%				1-Month LIBOR				7.750%				5/10/22				B2				1,028,234
	806			Catalina Marketing Corporation, Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				4/09/21				B2				514,006
	500			Catalina Marketing Corporation, Term Loan, Second Lien			8.827%				1-Month LIBOR				6.750%				4/11/22				Caa2				135,250
	499			Cineworld Group PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/28/25				BB–				497,787
	2,998			Clear Channel Communications, Inc., Tranche D, Term Loan, (5)			8.827%				N/A				N/A				1/30/19				N/R				2,340,020
	3,945			Clear Channel Communications, Inc., Term Loan E, (5)			9.580%				N/A				N/A				7/30/19				N/R				3,068,678
	499			CSC Holdings LLC, Term Loan B			4.572%				1-Month LIBOR				2.500%				1/25/26				BB–				499,062
	2,026			Cumulus Media, Inc., Exit Term Loan			6.580%				1-Month LIBOR				4.500%				5/15/22				B				2,003,235
	953			Getty Images, Inc., Term Loan B, First Lien			5.572%				1-Month LIBOR				3.500%				10/18/19				B3				935,570
	415			Gray Television, Inc., Term Loan B2			4.340%				2-Month LIBOR				2.250%				2/07/24				BB				415,328
	722			IMG Worldwide, Inc., Term Loan B			4.930%				2-Month LIBOR				2.750%				5/18/25				B				720,427
	423			Lions Gate Entertainment Corp., Term Loan B			4.314%				1-Month LIBOR				2.250%				3/24/25				BB–				424,749
	2,456			McGraw-Hill Education Holdings LLC, Term Loan B			6.077%				1-Month LIBOR				4.000%				5/02/22				B+				2,420,919
	998			Meredith, Term Loan B			5.077%				1-Month LIBOR				3.000%				1/31/25				BB				1,001,934
	750			Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				7/03/25				BB				751,642
	400			Metro-Goldwyn-Mayer, Inc., Term Loan, Second Lien			6.580%				1-Month LIBOR				4.500%				7/03/26				B–				400,000
	247			Nexstar Broadcasting Group, Term Loan			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				248,024
	1,856			Nexstar Broadcasting Group, Term Loan B			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				1,822,265
	2,000			Numericable Group S.A, Term Loan B13, (WI/DD)			TBD				TBD				TBD				TBD				B				1,959,840
	133			Red Ventures, Term Loan B			6.077%				1-Month LIBOR				4.000%				11/08/24				B+				134,700
	961			Springer Science & Business Media, Inc., Term Loan B13, First Lien			5.577%				1-Month LIBOR				3.500%				8/15/22				B				961,538
	25,408			Total Media																							23,072,585
				Metals & Mining – 0.5% (0.3% of Total Investments)
	866			CanAm Construction, Inc., Term Loan B			7.577%				1-Month LIBOR				5.500%				7/01/24				B				877,078
				Multiline Retail – 1.0% (0.6% of Total Investments)
	887			Belk, Inc., Term Loan B, First Lien			6.836%				1-Month LIBOR				4.750%				12/12/22				B–				702,882
	623			EG America LLC, Term Loan, First Lien			6.334%				3-Month LIBOR				4.000%				2/07/25				B				621,944
	461			Hudson’s Bay Company, Term Loan B, First Lien			5.419%				2-Month LIBOR				3.250%				9/30/22				BB				437,021
	1,971			Total Multiline Retail																							1,761,847
				Oil, Gas & Consumable Fuels – 4.8% (2.9% of Total Investments)
	1,091			BCP Renaissance Parent, Term Loan B			5.842%				3-Month LIBOR				3.500%				10/31/24				B+				1,096,669
	750			California Resources Corporation, Term Loan			12.439%				1-Month LIBOR				10.375%				12/31/21				B				829,219
	750			California Resources Corporation, Term Loan B			6.831%				1-Month LIBOR				4.750%				12/31/22				B				764,374
	95			Energy and Exploration Partners, Term Loan, Second Lien, (cash 0.000%, PIK 5.000%), (5)			0.000%				N/A				N/A				5/13/22				N/R				1,421
	923			Fieldwood Energy LLC, Exit Term Loan			7.327%				1-Month LIBOR				5.250%				4/11/22				B+				926,483
	1,149			Fieldwood Energy LLC, Exit Term Loan, second Lien			9.327%				1-Month LIBOR				7.250%				4/11/23				B+				1,118,910

 

68

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Oil, Gas & Consumable Fuels (continued)
$	1,995			McDermott International, Term Loan			7.077%				1-Month LIBOR				5.000%				5/12/25				BB–			$	2,010,342
	525			Peabody Energy Corporation, Term Loan B			4.827%				1-Month LIBOR				2.750%				3/31/25				BB				525,792
	1,415			Seadrill Partners LLC, Initial Term Loan			8.334%				3-Month LIBOR				6.000%				2/21/21				CCC+				1,326,366
	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+				15,822
	8,711			Total Oil, Gas & Consumable Fuels																							8,615,398
				Personal Products – 0.5% (0.3% of Total Investments)
	1,000			Coty, Inc., Term Loan B			4.347%				1-Month LIBOR				2.250%				4/07/25				BB+				977,815
				Pharmaceuticals – 1.2% (0.8% of Total Investments)
	1,829			Concordia Healthcare Corporation, Term Loan B, First Lien, (5)			6.327%				1-Month LIBOR				4.250%				10/21/21				Caa2				1,653,811
	550			Valeant Pharmaceuticals International, Inc., Term Loan, First Lien			5.092%				1-Month LIBOR				3.000%				6/02/25				BB–				551,573
	2,379			Total Pharmaceuticals																							2,205,384
				Professional Services – 2.6% (1.6% of Total Investments)
	990			Ceridian HCM Holding, Inc., Term Loan B			5.327%				1-Month LIBOR				3.250%				4/30/25				B–				992,895
	2,748			Formula One Group, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/01/24				B+				2,735,845
	988			Nielsen Finance LLC, Term Loan B4			4.097%				1-Month LIBOR				2.000%				10/04/23				BBB–				984,325
	4,726			Total Professional Services																							4,713,065
				Real Estate Management & Development – 2.7% (1.7% of Total Investments)
	500			Altisource Solutions S.A R.L., Term Loan B			6.334%				3-Month LIBOR				4.000%				3/29/24				B+				497,309
	1,087			Capital Automotive LP, Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				3/25/24				B				1,089,075
	1,741			Capital Automotive LP, Term Loan, Second Lien			8.080%				1-Month LIBOR				6.000%				3/24/25				CCC+				1,771,293
	1,500			GGP, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				1,489,845
	4,828			Total Real Estate Management & Development																							4,847,522
				Road & Rail – 1.0% (0.6% of Total Investments)
	975			Quality Distribution, Incremental Term Loan, First Lien			7.834%				3-Month LIBOR				5.500%				8/18/22				B–				982,717
	750			Savage Enterprises LLC, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B+				753,285
	1,725			Total Road & Rail																							1,736,002
				Semiconductors & Semiconductor Equipment – 1.6% (1.0% of Total Investments)
	602			Lumileds, Term Loan B			5.751%				1-Month LIBOR				3.500%				6/30/24				B+				598,635
	500			Microchip Technology., Inc., Term Loan B			4.080%				1-Month LIBOR				2.000%				5/29/25				BB+				501,875
	980			Micron Technology, Inc., Term Loan B			3.830%				1-Month LIBOR				1.750%				4/10/22				BBB–				984,288
	726			ON Semiconductor Corporation, Term Loan B3			3.827%				1-Month LIBOR				1.750%				3/31/23				Baa3				727,590
	2,808			Total Semiconductors & Semiconductor Equipment																							2,812,388
				Software – 15.5% (9.6% of Total Investments)
	1,791			Avaya, Inc., Tranche B Term Loan			6.322%				1-Month LIBOR				4.250%				12/15/24				B				1,801,450
	1,059			Blackboard, Inc., Term Loan B4, (DD1)			7.333%				3-Month LIBOR				5.000%				6/30/21				B–				1,006,274
	2,680			BMC Software, Inc., Term Loan B			4.250%				1-Month LIBOR				3.250%				6/28/25				B				2,682,670
	1,426			Compuware Corporation, Term Loan B3			5.580%				1-Month LIBOR				3.500%				12/15/21				B				1,431,561
	491			DTI Holdings, Inc., Replacement Term Loan B1			6.827%				1-Month LIBOR				4.750%				9/29/23				B				490,036
	680			Ellucian, Term Loan B, First Lien			5.584%				3-Month LIBOR				3.250%				9/30/22				B				681,768
	1,970			Greeneden U.S. Holdings II LLC, Term Loan B			5.577%				1-Month LIBOR				3.500%				12/01/23				B				1,982,808
	2,031			Infor (US), Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				2/01/22				B				2,035,977
	1,254			Informatica, Term Loan B			5.327%				1-Month LIBOR				3.250%				8/05/22				B				1,261,254
	988			Kronos Incorporated, Term Loan B			5.358%				3-Month LIBOR				3.000%				11/20/23				B				991,696
	500			McAfee Holdings International, Inc., Term Loan, Second Lien			10.572%				1-Month LIBOR				8.500%				9/29/25				B–				513,125
	1,446			McAfee LLC, Term Loan			6.572%				1-Month LIBOR				4.500%				9/30/24				B				1,457,507
	321			Micro Focus International PLC, New Term Loan			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				320,081
	2,167			Micro Focus International PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				2,161,586
	1,255			Micro Focus International PLC, Term Loan B2			4.327%				1-Month LIBOR				2.500%				11/19/21				BB–				1,252,124
	371			Misys, New Term Loan, Second Lien			9.557%				3-Month LIBOR				7.250%				6/13/25				CCC+				359,186
	249			Mitchell International, Inc., Initial Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				11/29/24				B1				249,197

 

69

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JSD		Nuveen Short Duration Credit Opportunities Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Software (continued)
$	200			Mitchell International, Inc., Initial Term Loan, Second Lien			9.327%				1-Month LIBOR				7.250%				12/01/25				CCC			$	201,021
	739			RP Crown Parent LLC, Term Loan B			4.827%				1-Month LIBOR				2.750%				10/15/23				B				741,291
	2,342			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				2,351,575
	898			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				902,016
	3,197			Tibco Software, Inc., Term Loan, First Lien			5.580%				1-Month LIBOR				3.500%				12/04/20				B				3,210,012
	28,055			Total Software																							28,084,215
				Specialty Retail – 1.7% (1.1% of Total Investments)
	757			Neiman Marcus Group, Inc., Term Loan			5.336%				1-Month LIBOR				3.250%				10/25/20				CCC				670,536
	1,977			Petco Animal Supplies, Inc., Term Loan B1			5.590%				3-Month LIBOR				3.250%				1/26/23				B2				1,427,062
	1,245			Petsmart Inc., Term Loan B, First Lien			5.100%				1-Month LIBOR				3.000%				3/11/22				B3				1,037,719
	3,979			Total Specialty Retail																							3,135,317
				Technology Hardware, Storage & Peripherals – 5.5% (3.4% of Total Investments)
	1,853			Dell International LLC, Replacement Term Loan A2			3.830%				1-Month LIBOR				1.750%				9/07/21				BBB–				1,853,396
	2,697			Dell International LLC, Refinancing Term Loan B			4.080%				1-Month LIBOR				2.000%				9/07/23				BBB–				2,700,921
	900			Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				B				905,769
	4,496			Western Digital, Term Loan B			3.827%				1-Month LIBOR				1.750%				4/29/23				BBB–				4,503,125
	9,946			Total Technology Hardware, Storage & Peripherals																							9,963,211
				Transportation Infrastructure – 1.3% (0.8% of Total Investments)
	2,346			Avolon LLC, Term Loan B			4.086%				1-Month LIBOR				2.000%				1/15/25				BBB–				2,332,791
				Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)
	2,963			Sprint Corporation, Term Loan, First Lien			4.625%				1-Month LIBOR				2.500%				2/02/24				BB–				2,966,944
	1,500			Syniverse Holdings, Inc., Initial Term Loan, Second Lien			11.078%				1-Month LIBOR				9.000%				3/11/24				CCC+				1,491,750
	1,297			Syniverse Holdings, Inc., Tranche Term Loan C			7.078%				1-Month LIBOR				5.000%				3/09/23				B				1,300,258
	5,760			Total Wireless Telecommunication Services																							5,758,952
$	247,285			Total Variable Rate Senior Loan Interests (cost $243,490,974)																							241,464,881
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 20.5% (12.7% of Total Investments)
				Containers & Packaging – 0.8% (0.5% of Total Investments)
$	1,502			Reynolds Group Issuer Inc.											5.750%				10/15/20				B+			$	1,504,821
				Diversified Telecommunication Services – 5.8% (3.6% of Total Investments)
	3,509			Intelsat Jackson Holdings SA											5.500%				8/01/23				CCC+				3,232,666
	1,790			Intelsat Jackson Holdings SA, 144A											9.750%				7/15/25				CCC+				1,913,062
	3,840			Intelsat Luxembourg SA											7.750%				6/01/21				Ca				3,648,000
	1,985			Intelsat Luxembourg SA											8.125%				6/01/23				CCC–				1,702,137
	11,124			Total Diversified Telecommunication Services																							10,495,865
				Health Care Providers & Services – 1.1% (0.7% of Total Investments)
	2,000			HCA Inc.											6.500%				2/15/20				BBB–				2,081,600
				Hotels, Restaurants & Leisure – 1.3% (0.8% of Total Investments)
	2,150			Scientific Games International Inc.											10.000%				12/01/22				B–				2,295,125
				Household Durables – 1.1% (0.7% of Total Investments)
	1,410			Lennar Corporation											4.125%				12/01/18				BB+				1,412,129
	550			Lennar Corporation											4.500%				11/15/19				BB+				556,187
	1,960			Total Household Durables																							1,968,316

 

70

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Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Media – 4.3% (2.7% of Total Investments)
$	100			Charter Communications Operating LLC											3.579%				7/23/20				BBB–			$	100,147
	1,635			CSC Holdings LLC, 144A											10.125%				1/15/23				B2				1,798,500
	345			DISH DBS Corporation											5.125%				5/01/20				BB				342,412
	1,000			DISH DBS Corporation											5.875%				11/15/24				BB				833,750
	1,000			Hughes Satellite Systems Corporation											6.500%				6/15/19				BBB–				1,020,000
	2,835			iHeartCommunications Inc., (5)											9.000%				12/15/19				CC				2,211,300
	6,046			iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (5)											14.000%				2/01/21				C				801,152
	795			iHeartCommunications Inc., (5)											9.000%				3/01/21				CC				608,175
	13,756			Total Media																							7,715,436
				Oil, Gas & Consumable Fuels – 2.2% (1.4% of Total Investments)
	2,425			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				2,170,375
	400			Denbury Resources Inc.											6.375%				8/15/21				CCC–				376,000
	1,340			Denbury Resources Inc., 144A											9.250%				3/31/22				B				1,420,400
	115			EP Energy LLC, 144A											9.375%				5/01/24				Caa2				94,588
	4,280			Total Oil, Gas & Consumable Fuels																							4,061,363
				Semiconductors & Semiconductor Equipment – 0.1% (0.0% of Total Investments)
	106			Advanced Micro Devices Inc.											7.500%				8/15/22				B				117,925
				Software – 1.5% (0.9% of Total Investments)
	85			Avaya Holdings Corporation, 144A, (5), (9)											7.000%				4/01/19				N/R				—
	2,085			Avaya Holdings Corporation, 144A, (5), (9)											10.500%				3/01/21				N/R				—
	1,910			BMC Software Finance Inc., 144A											8.125%				7/15/21				CCC+				1,955,363
	725			Infor Us Inc., 144A											5.750%				8/15/20				BB				734,969
	4,805			Total Software																							2,690,332
				Wireless Telecommunication Services – 2.3% (1.4% of Total Investments)
	850			Sprint Communications Inc.											7.000%				8/15/20				B+				888,250
	2,750			Sprint Corporation											7.875%				9/15/23				B+				2,932,188
	250			Sprint Corporation											7.125%				6/15/24				B+				256,875
	3,850			Total Wireless Telecommunication Services																							4,077,313
$	45,533			Total Corporate Bonds (cost $37,375,011)																							37,008,096
Shares				Description (1)																						Value
				COMMON STOCKS – 2.9% (1.8% of Total Investments)
				Diversified Consumer Services – 0.2% (0.1% of Total Investments)
	39,749			Cengage Learning Holdings II Inc., (7), (8)																						$	384,015
				Energy Equipment & Services – 1.0% (0.6% of Total Investments)
	24,673			C&J Energy Services Inc., (7)																							573,894
	26,111			Ocean Rig UDW Inc., (7)																							732,152
	1,318			Vantage Drilling International, (7), (8)																							388,810
				Total Energy Equipment & Services																							1,694,856
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	13,189			Millennium Health LLC, (7), (8)																							567
	12,290			Millennium Health LLC, (7), (9)																							—
	11,533			Millennium Health LLC, (7), (9)																							—
				Total Health Care Providers & Services																							567
				Marine – 0.3% (0.2% of Total Investments)
	10,185			HGIM Corporation, (8)																							473,603
	2,279			HGIM Corporation, (7), (8)																							105,974
				Total Marine																							579,577
				Media – 0.2% (0.1% of Total Investments)
	26,020			Cumulus Media Inc., (7), (8)																							420,665

 

71

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JSD		Nuveen Short Duration Credit Opportunities Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Shares				Description (1)																						Value
				Oil, Gas & Consumable Fuels – 0.0% (0.0% of Total Investments)
	18			Southcross Holdings Borrower LP, (7), (8)																						$	3,825
				Software – 1.1% (0.7% of Total Investments)
	93,741			Avaya Holdings Corporation, (7)																							1,929,190
				Specialty Retail – 0.1% (0.1% of Total Investments)
	5,454			Gymboree Holding Corporation, (7), (9)																							61,451
	14,849			Gymboree Holding Corporation, (7), (8)																							174,476
				Total Specialty Retail																							235,927
				Total Common Stocks (cost $7,476,823)																							5,248,622
Shares				Description (1)																						Value
				COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)
				Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)
	1,705			Fieldwood Energy LLC, (7), (8)																						$	89,797
	7,794			Fieldwood Energy LLC, (7), (9)																							339,073
				Total Common Stock Right (cost $228,024)																							428,870
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	8,503			Avaya Holdings Corporation																						$	32,737
				Total Warrants (cost $565,168)																							32,737
				Total Long-Term Investments (cost $289,136,000)																							284,183,206
Shares				Description (1)										Coupon												Value
				SHORT-TERM INVESTMENTS – 4.5% (2.8% of Total Investments)
				INVESTMENT COMPANIES – 4.5% (2.8% of Total Investments)
	8,118,505			BlackRock Liquidity Funds T-Fund Portfolio, (10)											1.809% (11)											$	8,118,505
				Total Short-Term Investments (cost $8,118,505)																							8,118,505
				Total Investments (cost $297,254,505) – 161.6%																							292,301,711
				Borrowings – (39.8)% (12), (13)																							(72,000,000	)
				Term Preferred Shares, net of deferred offering costs – (19.1)% (14)																							(34,564,434	)
				Other Assets Less Liabilities – (2.7)% (15)																							(4,853,251	)
				Net Assets Applicable to Common Shares – 100%																						$	180,884,026

Investments in Derivatives

Credit Default Swaps – OTC Cleared

 

Referenced Entity		Buy/Sell Protection (16)				Notional Amount				Fixed Rate (Annualized)				Fixed Rate Payment Frequency				Maturity Date				Premiums Paid (Received)				Value				Unrealized Appreciation (Depreciation)				Variation Margin Receivable/ (Payable)
Kroger Co.			Buy			$	2,000,000				1.00	%			Quarterly				12/20/22			$	10,980			$	(31,007	)		$	(41,987	)		$	(529	)

 

72

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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		$	17,500,000				Receive				1-Month LIBOR				1.659	%			Monthly				9/15/18			$	16,275			$	16,275
Morgan Stanley Capital Services LLC			35,000,000				Pay				1-Month LIBOR				2.000	(17)			Monthly				11/01/20	(18)			(189,879	)			(189,879	)
Total		$	52,500,000																							$	(173,604	)		$	(173,604	)
Total unrealized appreciation on interest rate swaps																														$	16,275
Total unrealized depreciation on interest rate swaps																														$	(189,879	)

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. Ratings are not covered by the report of independent registered public accounting firm.

 

(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, represents an outstanding unfunded senior loan commitment. See Notes to Financial Statements, Note 8 – Senior Loan Commitments for more information.

 

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

 

(8)	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.

 

(9)

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.

 

(10)	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.

 

(11)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)	Borrowings as a percentage of Total Investments is 24.6%.

 

(13)	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.

 

(14)	Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 11.8%.

 

(15)

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.

 

(16)	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.

 

(17)	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.

 

(18)	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.

 

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.

 

73

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JQC		Nuveen Credit Strategies Income Fund   Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				LONG-TERM INVESTMENTS – 155.1% (96.6% of Total Investments)
				VARIABLE RATE SENIOR LOAN INTERESTS – 125.9% (78.4% of Total Investments) (2)
				Aerospace & Defense – 1.0% (0.6% of Total Investments)
$	11,970			Transdigm, Inc., Term Loan E			4.577%				1-Month LIBOR				2.500%				5/30/25				Ba2			$	11,980,354
				Airlines – 3.5% (2.2% of Total Investments)
	2,969			American Airlines, Inc., Replacement Term Loan			4.086%				1-Month LIBOR				2.000%				10/10/21				BB+				2,971,778
	14,122			American Airlines, Inc., Term Loan 2025			3.827%				1-Month LIBOR				1.750%				6/27/25				BB+				13,907,146
	3,473			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				12/14/23				BB+				3,459,920
	7,840			American Airlines, Inc., Term Loan B			4.072%				1-Month LIBOR				2.000%				4/28/23				BB+				7,815,500
	14,783			United Air Lines, Inc., Term Loan B			3.827%				1-Month LIBOR				1.750%				4/01/24				BBB–				14,754,858
	43,187			Total Airlines																							42,909,202
				Automobiles – 1.0% (0.6% of Total Investments)
	12,356			Chrysler Group LLC, Term Loan			4.070%				1-Month LIBOR				2.000%				12/31/18				BBB–				12,392,045
				Biotechnology – 0.2% (0.2% of Total Investments)
	2,992			Grifols, Inc., Term Loan B			4.200%				1-Week LIBOR				2.250%				1/31/25				BB				3,004,663
				Building Products – 0.2% (0.1% of Total Investments)
	2,378			Quikrete Holdings, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				11/15/23				BB–				2,379,030
				Capital Markets – 1.3% (0.8% of Total Investments)
	16,092			RPI Finance Trust, Term Loan B6, (5)			4.334%				3-Month LIBOR				2.000%				3/27/23				BBB–				16,146,928
				Chemicals – 3.5% (2.2% of Total Investments)
	10,785			Axalta Coating Systems, Term Loan, First Lien			4.084%				3-Month LIBOR				1.750%				6/01/24				BBB–				10,796,874
	9,159			Ineos US Finance LLC, Term Loan			4.169%				2-Month LIBOR				2.000%				4/01/24				BB+				9,156,596
	23,676			Univar, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				7/01/24				BB				23,766,755
	43,620			Total Chemicals																							43,720,225
				Commercial Services & Supplies – 4.3% (2.7% of Total Investments)
	18,734			ADS Waste Holdings, Inc., Term Loan B			4.193%				1-Week LIBOR				2.250%				11/10/23				BB+				18,774,393
	10,108			Monitronics International, Inc., Term Loan B2, First Lien			7.834%				3-Month LIBOR				5.500%				9/30/22				B–				9,488,824
	8,977			Skillsoft Corporation, Initial Term Loan, First Lien			6.827%				1-Month LIBOR				4.750%				4/28/21				B–				8,729,940
	4,489			Trans Union LLC, Term Loan B3			4.077%				1-Month LIBOR				2.000%				4/10/23				BB+				4,504,583
	2,150			West Corporation, Incremental Term Loan B1			5.577%				1-Month LIBOR				3.500%				10/10/24				Ba3				2,143,268
	9,466			West Corporation, Term Loan B			6.077%				1-Month LIBOR				4.000%				10/10/24				Ba3				9,478,031
	53,924			Total Commercial Services & Supplies																							53,119,039
				Communications Equipment – 1.2% (0.7% of Total Investments)
	737			CommScope, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				12/29/22				BB+				740,698
	13,976			Plantronics, Term Loan B, (DD1)			4.577%				1-Month LIBOR				2.500%				7/02/25				BB				13,981,887
	14,713			Total Communications Equipment																							14,722,585
				Containers & Packaging – 2.1% (1.3% of Total Investments)
	1,397			Berry Global, Inc., Term Loan Q			4.080%				1-Month LIBOR				2.000%				10/01/22				BBB–				1,401,979
	5,500			Crown Americas, Inc., Term Loan B, (DD1)			4.077%				1-Month LIBOR				2.000%				4/03/25				Baa2				5,522,688
	19,363			Reynolds Group Holdings, Inc., Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				2/05/23				B+				19,449,110
	26,260			Total Containers & Packaging																							26,373,777
				Diversified Consumer Services – 2.1% (1.3% of Total Investments)
	7,487			Cengage Learning Acquisitions, Inc., Term Loan B			6.329%				1-Month LIBOR				4.250%				6/07/23				B				7,103,724
	19,069			Laureate Education, Inc., Term Loan B			5.577%				1-Month LIBOR				3.500%				4/26/24				B+				19,137,943
	26,556			Total Diversified Consumer Services																							26,241,667

 

74

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Diversified Financial Services – 0.6% (0.4% of Total Investments)
$	7,499			Travelport LLC, Term Loan B			4.830%				3-Month LIBOR				2.500%				3/17/25				B+			$	7,498,700
				Diversified Telecommunication Services – 5.4% (3.4% of Total Investments)
	11,848			CenturyLink, Inc., Initial Term A Loan			4.827%				1-Month LIBOR				2.750%				11/01/22				BBB–				11,846,620
	1,960			CenturyLink, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				1/31/25				BBB–				1,932,389
	5,000			Intelsat Jackson Holdings, S.A., Term Loan B			5.827%				1-Month LIBOR				3.750%				11/30/23				B				5,021,100
	766			Intelsat Jackson Holdings, S.A., Term Loan B4			6.577%				1-Month LIBOR				4.500%				1/02/24				B1				805,651
	1,226			Intelsat Jackson Holdings, S.A., Term Loan B5			6.625%				N/A				N/A				1/02/24				B1				1,286,350
	11,144			Level 3 Financing, Inc., Tranche B, Term Loan, (5)			4.331%				1-Month LIBOR				2.250%				2/22/24				BBB–				11,174,815
	12,251			WideOpenWest Finance LLC, Term Loan B			5.329%				1-Month LIBOR				3.250%				8/18/23				B				11,776,059
	23,000			Ziggo B.V., Term Loan E			4.572%				1-Month LIBOR				2.500%				4/15/25				BB–				22,886,495
	67,195			Total Diversified Telecommunication Services																							66,729,479
				Electric Utilities – 1.4% (0.8% of Total Investments)
	12,381			Vistra Operations Co., Term Loan B1			4.077%				1-Month LIBOR				2.000%				8/01/23				BBB–				12,374,893
	4,512			Vistra Operations Co., Term Loan B3, (DD1)			4.074%				1-Month LIBOR				2.000%				12/31/25				BBB–				4,506,755
	16,893			Total Electric Utilities																							16,881,648
				Energy Equipment & Services – 0.0% (0.0% of Total Investments)
	597			Ocean Rig UDW, Inc., Term Loan			8.000%				N/A				N/A				9/20/24				Caa1				628,504
				Equity Real Estate Investment Trusts – 2.8% (1.8% of Total Investments)
	10,636			Communications Sales & Leasing, Inc., Shortfall Term Loan			5.077%				1-Month LIBOR				3.000%				10/24/22				B				10,201,446
	10,386			Realogy Group LLC, Term Loan B			4.317%				1-Month LIBOR				2.250%				2/08/25				BB+				10,417,219
	14,985			Walter Investment Management Corporation, Tranche B, Term Loan, First Lien, (6)			8.077%				1-Month LIBOR				6.000%				6/30/22				CCC+				14,301,123
	36,007			Total Equity Real Estate Investment Trusts																							34,919,788
				Food & Staples Retailing – 2.8% (1.7% of Total Investments)
	25,212			Albertson’s LLC, Term Loan B4			4.827%				1-Month LIBOR				2.750%				8/25/21				BB–				25,149,171
	5,098			Albertson’s LLC, Term Loan B6			5.319%				3-Month LIBOR				3.000%				6/22/23				BB–				5,074,234
	4,273			BJ’s Wholesale Club, Inc., Term Loan B, First Lien			5.597%				1-Month LIBOR				3.500%				2/03/24				B				4,285,919
	34,583			Total Food & Staples Retailing																							34,509,324
				Food Products – 2.2% (1.3% of Total Investments)
	5,756			Jacobs Douwe Egberts, Term Loan B			4.625%				3-Month LIBOR				2.250%				7/04/22				BB				5,788,545
	3,000			Pinnacle Foods Finance LLC, Term Loan B			3.840%				1-Month LIBOR				1.750%				2/02/24				BB+				3,005,625
	17,954			U.S. Foods, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				6/27/23				BBB–				17,967,933
	26,710			Total Food Products																							26,762,103
				Health Care Equipment & Supplies – 2.4% (1.5% of Total Investments)
	4,734			Acelity, Term Loan B			5.584%				3-Month LIBOR				3.250%				2/02/24				B				4,753,785
	4,437			ConvaTec, Inc., Term Loan B			4.584%				3-Month LIBOR				2.250%				10/25/23				BB				4,450,593
	12,180			Onex Carestream Finance LP, Term Loan, First Lien			6.077%				1-Month LIBOR				4.000%				6/07/19				B				12,190,910
	7,875			Onex Carestream Finance LP, Term Loan, Second Lien			10.577%				1-Month LIBOR				8.500%				12/07/19				B–				7,881,086
	29,226			Total Health Care Equipment & Supplies																							29,276,374
				Health Care Providers & Services – 7.2% (4.5% of Total Investments)
	3,000			Ardent Health, Term Loan, First Lien, (DD1)			6.572%				1-Month LIBOR				4.500%				6/30/25				B				3,026,250
	7,079			Community Health Systems, Inc., Term Loan H			5.557%				3-Month LIBOR				3.250%				1/27/21				B–				6,966,865
	5,909			DJO Finance LLC, Term Loan B, First Lien			5.458%				3-Month LIBOR				3.250%				6/08/20				B+				5,908,629
	1,008			Envision Healthcare Corporation, Term Loan B, First Lien			5.080%				1-Month LIBOR				3.000%				12/01/23				BB–				1,009,606
	11,970			HCA, Inc., Term Loan B11			3.827%				1-Month LIBOR				1.750%				3/17/23				BBB–				12,037,391
	12,706			Kindred at Home Hospice, Term Loan B, (DD1)			6.125%				3-Month LIBOR				3.750%				6/21/25				B				12,825,000
	11,257			Millennium Laboratories, Inc., Term Loan B, First Lien			8.577%				1-Month LIBOR				6.500%				12/21/20				CCC+				6,229,936
	15,568			MultiPlan, Inc., Term Loan B			5.084%				3-Month LIBOR				2.750%				6/07/23				B+				15,586,249

 

75

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JQC		Nuveen Credit Strategies Income Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Health Care Providers & Services (continued)
$	14,388			Pharmaceutical Product Development, Inc., Term Loan B			4.577%				1-Month LIBOR				2.500%				8/18/22				Ba3			$	14,412,241
	7,980			PharMerica, Term Loan, First Lien			5.578%				1-Month LIBOR				3.500%				12/06/24				B				8,023,651
	162			Quorum Health Corp., Term Loan B			8.827%				1-Month LIBOR				6.750%				4/29/22				B1				164,336
	2,985			Select Medical Corporation, Term Loan B			4.831%				1-Month LIBOR				2.750%				3/01/21				BB–				2,999,826
	94,012			Total Health Care Providers & Services																							89,189,980
				Health Care Technology – 1.8% (1.1% of Total Investments)
	22,713			Emdeon, Inc., Term Loan			4.827%				1-Month LIBOR				2.750%				3/01/24				B+				22,704,664
				Hotels, Restaurants & Leisure – 14.3% (8.9% of Total Investments)
	3,000			Aramark Corporation, Term Loan			4.084%				3-Month LIBOR				1.750%				3/11/25				BBB–				3,008,115
	34,563			Burger King Corporation, Term Loan B3			4.327%				1-Month LIBOR				2.250%				2/16/24				B+				34,584,347
	12,686			Caesars Entertainment Operating Company, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				10/06/24				BB				12,686,250
	18,408			Caesars Resort Collection, Term Loan, First Lien			4.827%				1-Month LIBOR				2.750%				12/23/24				BB				18,503,863
	1,149			CCM Merger, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				8/09/21				BB–				1,153,731
	16,093			Hilton Hotels, Term Loan B			3.814%				1-Month LIBOR				1.750%				10/25/23				BBB–				16,166,554
	5,486			Las Vegas Sands Corporation, Term Loan B			3.827%				1-Month LIBOR				1.750%				3/27/25				BBB–				5,481,971
	22,107			Life Time Fitness, Inc., Term Loan B			5.057%				3-Month LIBOR				2.750%				6/10/22				BB–				22,171,160
	4,692			MGM Growth Properties, Term Loan B			4.077%				1-Month LIBOR				2.000%				4/25/25				BB+				4,702,275
	20,028			Scientific Games Corporation, Initial Term Loan B5			4.903%				2-Month LIBOR				2.750%				8/14/24				B+				20,065,590
	5,000			Stars Group Holdings, Term Loan B, (DD1)			5.831%				3-Month LIBOR				3.500%				7/10/25				B+				5,051,825
	15,576			Station Casino LLC, Term Loan B			4.580%				1-Month LIBOR				2.500%				6/08/23				BB				15,636,954
	2,500			Wyndham International, Inc., Term Loan B			3.827%				1-Month LIBOR				1.750%				5/30/25				BBB–				2,508,988
	14,803			YUM Brands, Term Loan B			3.829%				1-Month LIBOR				1.750%				4/03/25				BBB–				14,810,275
	176,091			Total Hotels, Restaurants & Leisure																							176,531,898
				Household Products – 4.1% (2.5% of Total Investments)
	11,750			Energizer Holdings, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				11,797,764
	26,389			Revlon Consumer Products Corporation, Term Loan B, First Lien			5.577%				1-Month LIBOR				3.500%				11/16/20				CCC+				19,521,698
	22,965			Serta Simmons Holdings LLC, Term Loan, First Lien			5.591%				1-Month LIBOR				3.500%				11/08/23				B–				19,322,607
	61,104			Total Household Products																							50,642,069
				Independent Power & Renewable Electricity Producers – 1.0% (0.6% of Total Investments)
	11,969			NRG Energy, Inc., Term Loan B			4.084%				3-Month LIBOR				1.750%				6/30/23				BB+				11,958,808
				Insurance – 0.8% (0.5% of Total Investments)
	9,834			Hub International Holdings, Inc., Term Loan B			5.335%				3-Month LIBOR				3.000%				4/25/25				B				9,839,761
				Internet Software & Services – 4.3% (2.7% of Total Investments)
	18,113			Ancestry.com, Inc., Term Loan, First Lien			5.330%				1-Month LIBOR				3.250%				10/19/23				B				18,172,783
	11,750			GTT Communications, Inc., Term Loan, First Lien			4.830%				1-Month LIBOR				2.750%				6/02/25				B				11,647,188
	1,516			Rackspace Hosting, Inc., Refinancing Term B Loan, First Lien			5.363%				3-Month LIBOR				3.000%				11/03/23				BB–				1,511,181
	18,764			Sabre, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				2/22/24				BB				18,802,282
	4,000			SkillSoft Corporation, Term Loan, Second Lien, (WI/DD)			TBD				TBD				TBD				TBD				CCC				3,597,500
	54,143			Total Internet Software & Services																							53,730,934
				IT Services – 4.0% (2.5% of Total Investments)
	11,071			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				7/10/22				BB				11,084,442
	17,324			First Data Corporation, Term Loan, First Lien			4.069%				1-Month LIBOR				2.000%				4/26/24				BB				17,338,901
	3,933			Neustar, Inc., Term Loan B3			4.572%				1-Month LIBOR				2.500%				1/08/20				BB–				3,945,417
	1,588			Neustar, Inc., Term Loan B4, First Lien			5.572%				1-Month LIBOR				3.500%				8/08/24				BB–				1,597,187
	2,330			PEAK 10, Inc., Term Loan B			5.834%				3-Month LIBOR				3.500%				8/01/24				B				2,327,129
	12,875			Tempo Acquisition LLC, Term Loan B, (5)			5.077%				1-Month LIBOR				3.000%				5/01/24				B				12,902,579
	49,121			Total IT Services																							49,195,655

 

76

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Leisure Products – 0.1% (0.0% of Total Investments)
$	818			Academy, Ltd., Term Loan B			6.092%				1-Month LIBOR				4.000%				7/01/22				CCC+			$	678,604
				Life Sciences Tools & Services – 1.0% (0.7% of Total Investments)
	5,000			Quintiles Transnational, Dollar Term Loan B3			4.084%				3-Month LIBOR				1.750%				6/11/25				BBB–				4,975,000
	7,925			Parexel International Corp., Term Loan B			4.827%				1-Month LIBOR				2.750%				9/27/24				B				7,910,141
	12,925			Total Life Sciences Tools & Services																							12,885,141
				Machinery – 2.7% (1.7% of Total Investments)
	15,894			Gardner Denver, Inc., Term Loan B			4.827%				1-Month LIBOR				2.750%				7/30/24				BB				15,949,736
	14,925			Navistar, Inc., Tranche B, Term Loan			5.600%				1-Month LIBOR				3.500%				11/06/24				B+				14,962,313
	2,462			Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien			4.314%				1-Month LIBOR				2.250%				8/21/24				BB+				2,469,366
	33,281			Total Machinery																							33,381,415
				Marine – 0.2% (0.1% of Total Investments)
	2,669			Harvey Gulf International Marine, Inc., Exit Term Loan			10.000%				N/A				N/A				6/06/23				B3				2,690,038
				Media – 13.9% (8.6% of Total Investments)
	7,102			Acquisitions Cogeco Cable II L.P., Term Loan, First Lien			4.452%				1-Month LIBOR				2.375%				1/03/25				BB–				7,109,541
	3,513			Advantage Sales & Marketing, Inc., Term Loan, First Lien			5.327%				1-Month LIBOR				3.250%				7/23/21				B				3,330,899
	5,000			Catalina Marketing Corporation, Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				4/09/21				B2				3,189,275
	7,980			Charter Communications Operating Holdings LLC, Term Loan B			4.080%				1-Month LIBOR				2.000%				4/30/25				BBB–				7,993,556
	14,963			Cineworld Group PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/28/25				BB–				14,933,622
	1,290			Clear Channel Communications, Inc., Tranche D, Term Loan, (6)			8.827%				N/A				N/A				1/30/19				N/R				1,006,684
	1,358			Clear Channel Communications, Inc., Term Loan E, (6)			9.580%				N/A				N/A				7/30/19				N/R				1,056,053
	4,239			CSC Holdings LLC, Term Loan B			4.572%				1-Month LIBOR				2.500%				1/25/26				BB–				4,242,025
	20,434			Cumulus Media, Inc., Exit Term Loan, (DD1)			6.580%				1-Month LIBOR				4.500%				5/15/22				B				20,209,483
	25,177			EMI Music Publishing, Term Loan			4.329%				1-Month LIBOR				2.250%				8/20/23				BB–				25,226,857
	4,354			Getty Images, Inc., Term Loan B, First Lien			5.572%				1-Month LIBOR				3.500%				10/18/19				B3				4,276,111
	1,269			Lions Gate Entertainment Corp., Term Loan B			4.314%				1-Month LIBOR				2.250%				3/24/25				BB–				1,274,246
	13,633			Meredith, Term Loan B			5.077%				1-Month LIBOR				3.000%				1/31/25				BB				13,693,096
	417			Nexstar Broadcasting Group, Term Loan			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				417,466
	3,124			Nexstar Broadcasting Group, Term Loan B			4.592%				1-Month LIBOR				2.500%				1/17/24				BB+				3,130,664
	9,000			Numericable Group S.A, Term Loan B13, (WI/DD)			TBD				TBD				TBD				TBD				B				8,819,280
	4,987			Sinclair Television Group, Term Loan B2			4.330%				1-Month LIBOR				2.250%				1/31/24				BB+				4,992,030
	5,769			Springer Science & Business Media, Inc., Term Loan B13, First Lien			5.577%				1-Month LIBOR				3.500%				8/15/22				B				5,769,230
	25,238			Tribune Media Company, Term Loan C			5.077%				1-Month LIBOR				3.000%				1/27/24				BB+				25,259,113
	3,898			Univision Communications, Inc., Term Loan C5			4.827%				1-Month LIBOR				2.750%				3/15/24				BB–				3,789,392
	12,000			Virgin Media Investment Holdings Limited, Term Loan K			4.572%				1-Month LIBOR				2.500%				1/30/26				Ba3				11,999,700
	174,745			Total Media																							171,718,323
				Multiline Retail – 1.1% (0.7% of Total Investments)
	4,141			Belk, Inc., Term Loan B, First Lien			6.836%				1-Month LIBOR				4.750%				12/12/22				B–				3,280,115
	9,975			EG America LLC, Term Loan, First Lien			6.334%				3-Month LIBOR				4.000%				2/07/25				B				9,951,110
	14,116			Total Multiline Retail																							13,231,225
				Oil, Gas & Consumable Fuels – 2.1% (1.3% of Total Investments)
	4,000			California Resources Corporation, Term Loan B			6.831%				1-Month LIBOR				4.750%				12/31/22				B				4,076,660
	4,969			Fieldwood Energy LLC, Exit Term Loan			7.327%				1-Month LIBOR				5.250%				4/11/22				B+				4,985,183
	7,260			Fieldwood Energy LLC, Exit Term Loan, second Lien			9.327%				1-Month LIBOR				7.250%				4/11/23				B+				7,069,715
	8,978			McDermott International, Term Loan			7.077%				1-Month LIBOR				5.000%				5/12/25				BB–				9,046,537
	899			Seadrill Partners LLC, Initial Term Loan			8.334%				3-Month LIBOR				6.000%				2/21/21				CCC+				842,900
	26,106			Total Oil, Gas & Consumable Fuels																							26,020,995

 

77

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JQC		Nuveen Credit Strategies Income Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Personal Products – 0.9% (0.5% of Total Investments)
$	6,000			Coty, Inc., Term Loan A			3.847%				1-Month LIBOR				1.750%				4/05/23				BB+			$	5,947,500
	5,000			Coty, Inc., Term Loan B			4.347%				1-Month LIBOR				2.250%				4/07/25				BB+				4,889,075
	11,000			Total Personal Products																							10,836,575
				Pharmaceuticals – 1.5% (1.0% of Total Investments)
	12,927			Alphabet Holding Company, Inc., Initial Term Loan, First Lien			5.577%				1-Month LIBOR				3.500%				9/26/24				B–				12,159,812
	6,770			Valeant Pharmaceuticals International, Inc., Term Loan, First Lien			5.092%				1-Month LIBOR				3.000%				6/02/25				BB–				6,787,742
	19,697			Total Pharmaceuticals																							18,947,554
				Professional Services – 2.8% (1.8% of Total Investments)
	943			Ceridian HCM Holding, Inc., Term Loan B			5.327%				1-Month LIBOR				3.250%				4/30/25				B–				945,769
	15,123			Formula One Group, Term Loan B			4.577%				1-Month LIBOR				2.500%				2/01/24				B+				15,056,858
	19,148			On Assignment, Inc., Term Loan B			4.077%				1-Month LIBOR				2.000%				4/02/25				BB				19,179,535
	35,214			Total Professional Services																							35,182,162
				Real Estate Management & Development – 2.4% (1.5% of Total Investments)
	15,000			GGP, Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				BB+				14,898,450
	14,886			Capital Automotive LP, Term Loan, First Lien			4.580%				1-Month LIBOR				2.500%				3/25/24				B				14,911,300
	29,886			Total Real Estate Management & Development																							29,809,750
				Semiconductors & Semiconductor Equipment – 2.4% (1.5% of Total Investments)
	7,717			Lumileds, Term Loan B			5.751%				1-Month LIBOR				3.500%				6/30/24				B+				7,675,463
	15,500			Microchip Technology., Inc., Term Loan B			4.080%				1-Month LIBOR				2.000%				5/29/25				BB+				15,558,125
	6,413			ON Semiconductor Corporation, Term Loan B3			3.827%				1-Month LIBOR				1.750%				3/31/23				Baa3				6,427,048
	29,630			Total Semiconductors & Semiconductor Equipment																							29,660,636
				Software – 13.4% (8.4% of Total Investments)
	6,965			Avaya, Inc., Tranche B Term Loan			6.322%				1-Month LIBOR				4.250%				12/15/24				B				7,005,641
	3,108			Blackboard, Inc., Term Loan B4			7.333%				3-Month LIBOR				5.000%				6/30/21				B–				2,951,772
	5,000			BMC Software, Inc., Term Loan B, (WI/DD)			TBD				TBD				TBD				TBD				B				5,004,900
	11,697			Compuware Corporation, Term Loan B3			5.580%				1-Month LIBOR				3.500%				12/15/21				B				11,741,709
	18,756			Ellucian, Term Loan B, First Lien			5.584%				3-Month LIBOR				3.250%				9/30/22				B				18,809,612
	10,373			Greeneden U.S. Holdings II LLC, Term Loan B			5.577%				1-Month LIBOR				3.500%				12/01/23				B				10,439,658
	16,658			Infor (US), Inc., Term Loan B, (5)			4.827%				1-Month LIBOR				2.750%				2/01/22				B				16,700,918
	5,406			Informatica, Term Loan B			5.327%				1-Month LIBOR				3.250%				8/05/22				B				5,437,809
	2,963			Kronos Incorporated, Term Loan B			5.358%				3-Month LIBOR				3.000%				11/20/23				B				2,975,089
	15,169			Kronos Incorporated, Term Loan B, Second Lien			10.608%				3-Month LIBOR				8.250%				11/01/24				CCC				15,695,213
	1,925			Micro Focus International PLC, New Term Loan			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				1,920,486
	13,000			Micro Focus International PLC, Term Loan B			4.577%				1-Month LIBOR				2.500%				6/21/24				BB–				12,969,515
	10,261			Micro Focus International PLC, Term Loan B2			4.327%				1-Month LIBOR				2.500%				11/19/21				BB–				10,236,546
	1,213			Misys, New Term Loan, Second Lien			9.557%				3-Month LIBOR				7.250%				6/13/25				CCC+				1,173,123
	3,960			RP Crown Parent LLC, Term Loan B			4.827%				1-Month LIBOR				2.750%				10/15/23				B				3,973,421
	14,463			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				14,522,069
	5,548			SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4			4.577%				1-Month LIBOR				2.500%				4/16/25				BB				5,570,368
	18,748			Tibco Software, Inc., Term Loan, First Lien			5.580%				1-Month LIBOR				3.500%				12/04/20				B				18,827,104
	165,213			Total Software																							165,954,953
				Specialty Retail – 0.8% (0.5% of Total Investments)
	3,680			Petco Animal Supplies, Inc., Term Loan B1			5.590%				3-Month LIBOR				3.250%				1/26/23				B2				2,656,537
	8,706			Petsmart Inc., Term Loan B, First Lien			5.100%				1-Month LIBOR				3.000%				3/11/22				B3				7,257,043
	12,386			Total Specialty Retail																							9,913,580
				Technology Hardware, Storage & Peripherals – 2.2% (1.4% of Total Investments)
	14,944			Dell International LLC, Refinancing Term Loan B			4.080%				1-Month LIBOR				2.000%				9/07/23				BBB–				14,963,958
	5,000			Mitel US Holdings, Inc., Term Loan, First Lien, (WI/DD)			TBD				TBD				TBD				TBD				B				5,032,050
	7,184			Western Digital, Term Loan B			3.827%				1-Month LIBOR				1.750%				4/29/23				BBB–				7,195,140
	27,128			Total Technology Hardware, Storage & Peripherals																							27,191,148

 

78

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Principal Amount (000)				Description (1)		Coupon (2)				Reference Rate (2)				Spread (2)				Maturity (3)				Ratings (4)				Value
				Trading Companies & Distributors – 0.9% (0.6% of Total Investments)
$	10,918			HD Supply Waterworks, Ltd., Term Loan B			5.253%				6-Month LIBOR				3.000%				8/01/24				B+			$	10,978,910
				Transportation Infrastructure – 1.1% (0.7% of Total Investments)
	13,923			Avolon LLC, Term Loan B, (DD1)			4.086%				1-Month LIBOR				2.000%				1/15/25				BBB–				13,842,830
				Wireless Telecommunication Services – 0.9% (0.5% of Total Investments)
	4,938			Sprint Corporation, Term Loan, First Lien			4.625%				1-Month LIBOR				2.500%				2/02/24				BB–				4,944,906
	5,586			Syniverse Holdings, Inc., Tranche Term Loan C			7.078%				1-Month LIBOR				5.000%				3/09/23				B				5,601,110
	10,524			Total Wireless Telecommunication Services																							10,546,016
$	1,581,924			Total Variable Rate Senior Loan Interests (cost $1,581,632,324)																							1,557,459,059
Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				CORPORATE BONDS – 22.5% (14.0% of Total Investments)
				Airlines – 0.2% (0.1% of Total Investments)
$	2,000			American Airlines Group Inc., 144A											4.625%				3/01/20				BB–			$	2,007,500
				Banks – 0.8% (0.5% of Total Investments)
	5,000			JP Morgan Chase & Company, (5)											2.161%				6/01/21				AA–				5,039,000
	5,000			Wells Fargo & Company, (5)											3.661%				3/04/21				A+				5,118,595
	10,000			Total Banks																							10,157,595
				Commercial Services & Supplies – 0.1% (0.1% of Total Investments)
	1,179			West Corporation, 144A											8.500%				10/15/25				B3				1,025,730
				Communications Equipment – 0.7% (0.4% of Total Investments)
	8,510			CommScope Technologies LLC, 144A, (5)											6.000%				6/15/25				BB–				8,765,300
				Diversified Financial Services – 0.2% (0.1% of Total Investments)
	3,000			Park Aerospace Holdings Ltd, 144A, (5)											5.500%				2/15/24				BB				2,962,500
				Diversified Telecommunication Services – 2.0% (1.2% of Total Investments)
	3,612			Intelsat Jackson Holdings SA											5.500%				8/01/23				CCC+				3,327,555
	6,000			Intelsat Jackson Holdings SA, 144A, (5)											9.750%				7/15/25				CCC+				6,412,500
	5,413			Intelsat Luxembourg SA											7.750%				6/01/21				Ca				5,142,350
	11,395			Intelsat Luxembourg SA											8.125%				6/01/23				CCC-				9,771,212
	26,420			Total Diversified Telecommunication Services																							24,653,617
				Food Products – 0.2% (0.1% of Total Investments)
	3,000			B&G Foods Inc.											5.250%				4/01/25				B+				2,880,000
				Health Care Equipment & Supplies – 0.6% (0.4% of Total Investments)
	6,965			Kinetic Concepts Inc., 144A, (5)											7.875%				2/15/21				B1				7,126,379
				Health Care Providers & Services – 7.0% (4.3% of Total Investments)
	5,000			Centene Corporation											4.750%				5/15/22				BB+				5,056,250
	4,000			Centene Corporation, 144A											5.375%				6/01/26				BB+				4,095,000
	9,500			DJO Finance LLC, 144A, (5)											8.125%				6/15/21				CCC				9,761,250
	2,282			Envision Healthcare Corporation, 144A											5.125%				7/01/22				B				2,313,377
	4,000			HCA Inc.											6.500%				2/15/20				BBB–				4,163,200
	4,000			HCA Inc.											5.250%				6/15/26				BBB–				4,060,000
	6,000			Molina Healthcare Inc.											5.375%				11/15/22				BB–				6,120,000
	5,000			Molina Healthcare Inc., 144A											4.875%				6/15/25				BB–				4,881,250
	12,650			Polaris Intermediate Corporation, 144A, (5)											8.500%				12/01/22				B–				13,076,938
	5,200			Select Medical Corporation, (5)											6.375%				6/01/21				B–				5,252,000
	1,500			Tenet Healthcare Corporation											4.750%				6/01/20				BB–				1,518,750
	17,000			Tenet Healthcare Corporation, (5)											6.000%				10/01/20				BB–				17,658,750
	8,000			WellCare Health Plans Inc., (5)											5.250%				4/01/25				BB				8,050,000
	84,132			Total Health Care Providers & Services																							86,006,765

 

79

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JQC		Nuveen Credit Strategies Income Fund (continued)
		Portfolio of Investments    July 31, 2018

 

Principal Amount (000)				Description (1)										Coupon				Maturity				Ratings (4)				Value
				Hotels, Restaurants & Leisure – 1.4% (0.9% of Total Investments)
$	16,080			Scientific Games International Inc., (5)											10.000%				12/01/22				B–			$	17,165,400
				Media – 2.7% (1.7% of Total Investments)
	2,860			Altice US Finance I Corporation, 144A, (5)											5.375%				7/15/23				BB				2,885,025
	4,000			CCO Holdings LLC, 144A, (5)											5.125%				5/01/23				BB+				3,990,000
	7,000			CSC Holdings LLC, 144A, (5)											5.500%				4/15/27				Ba2				6,737,500
	6,000			Hughes Satellite Systems Corporation, (5)											5.250%				8/01/26				BBB–				5,730,000
	10,609			iHeartCommunications Inc., (6)											9.000%				12/15/19				CC				8,275,020
	42,258			iHeartCommunications Inc., (cash 12.000%, PIK 2.000%), (6)											14.000%				2/01/21				C				5,599,207
	240			iHeartCommunications Inc., (6)											9.000%				3/01/21				CC				183,600
	72,967			Total Media																							33,400,352
				Oil, Gas & Consumable Fuels – 1.6% (1.0% of Total Investments)
	16,000			California Resources Corporation, 144A											8.000%				12/15/22				CCC+				14,320,000
	5,000			Mcdermott Escrow 1, 144A											10.625%				5/01/24				B2				5,187,500
	21,000			Total Oil, Gas & Consumable Fuels																							19,507,500
				Pharmaceuticals – 0.6% (0.4% of Total Investments)
	7,000			Bausch Health Companies Inc., 144A, (5)											6.500%				3/15/22				BB–				7,298,900
	4,850			Concordia International Corporation, 144A, (6)											9.500%				10/21/22				C				291,000
	11,850			Total Pharmaceuticals																							7,589,900
				Semiconductors & Semiconductor Equipment – 0.4% (0.3% of Total Investments)
	3,167			Advanced Micro Devices Inc., (5)											7.500%				8/15/22				B				3,523,288
	1,719			Advanced Micro Devices Inc.											7.000%				7/01/24				B				1,817,843
	4,886			Total Semiconductors & Semiconductor Equipment																							5,341,131
				Software – 0.0% (0.0% of Total Investments)
	19,375			Avaya Holdings Corporation, 144A, (6), (9)											7.000%				4/01/19				N/R				—
	9,250			Avaya Holdings Corporation, 144A, (6), (9)											10.500%				3/01/21				N/R				—
	28,625			Total Software																							—
				Technology Hardware, Storage & Peripherals – 0.8% (0.5% of Total Investments)
	5,000			Dell International LLC, 144A, (5)											5.875%				6/15/21				BB+				5,118,374
	5,000			Dell International LLC, 144A, (5)											7.125%				6/15/24				BB+				5,375,000
	10,000			Total Technology Hardware, Storage & Peripherals																							10,493,374
				Wireless Telecommunication Services – 3.2% (2.0% of Total Investments)
	1,000			Hughes Satellite Systems Corporation											6.625%				8/01/26				BB–				952,500
	2,500			Sprint Corporation											7.250%				9/15/21				B+				2,628,125
	22,000			Sprint Corporation, (5)											7.875%				9/15/23				B+				23,457,500
	12,000			T-Mobile USA Inc., (5)											6.375%				3/01/25				BB+				12,510,000
	37,500			Total Wireless Telecommunication Services																							39,548,125
$	348,114			Total Corporate Bonds (cost $311,438,326)																							278,631,168
Shares				Description (1), (9)																						Value
				EXCHANGE-TRADED FUNDS – 4.2% (2.6% of Total Investments)
	2,259,313			Invesco Senior Loan ETF																						$	52,009,385
				Total Exchange-Traded Funds (cost $52,264,894)																							52,009,385
Shares				Description (1)																						Value
				COMMON STOCKS – 2.3% (1.5% of Total Investments)
				Diversified Consumer Services – 0.3% (0.2% of Total Investments)
	403,318			Cengage Learning Holdings II Inc., (7), (8)																						$	3,896,455

 

80

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Shares				Description (1)																						Value
				Energy Equipment & Services – 0.6% (0.4% of Total Investments)
	133,936			Ocean Rig UDW Inc., (7)																						$	3,755,565
	10,935			Vantage Drilling International, (7), (8)																							3,225,825
				Total Energy Equipment & Services																							6,981,390
				Health Care Providers & Services – 0.0% (0.0% of Total Investments)
	227,437			Millennium Health LLC, (7), (8)																							9,780
	211,860			Millennium Health LLC, (7), (9)																							—
	198,883			Millennium Health LLC, (7), (9)																							—
				Total Health Care Providers & Services																							9,780
				Marine – 0.1% (0.1% of Total Investments)
	28,051			HGIM Corporation, (8)																							1,304,372
	6,278			HGIM Corporation, (7), (8)																							291,927
				Total Marine																							1,596,299
				Media – 0.4% (0.2% of Total Investments)
	51,719			Affinion Group Holdings Inc., (7), (8)																							715,429
	262,501			Cumulus Media Inc., (7), (8)																							4,243,854
	17,987			Tribune Media Company, (8)																							6,296
				Total Media																							4,965,579
				Software – 0.9% (0.6% of Total Investments)
	545,726			Avaya Holdings Corporation, (7)																							11,231,041
				Total Common Stocks (cost $49,657,180)																							28,680,544
Shares				Description (1)																						Value
				COMMON STOCK RIGHTS – 0.2% (0.1% of Total Investments)
				Oil, Gas & Consumable Fuels – 0.2% (0.1% of Total Investments)
	10,775			Fieldwood Energy LLC, (7), (8)																						$	567,487
	49,247			Fieldwood Energy LLC, (7), (9)																							2,142,460
				Total Common Stock Rights (cost $1,440,786)																							2,709,947
Shares				Description (1)																						Value
				WARRANTS – 0.0% (0.0% of Total Investments)
	37,723			Avaya Holdings Corporation																							145,234
				Total Warrants (cost $4,921,202)																							145,234
				Total Long-Term Investments (cost $2,001,354,712)																							1,919,635,337
Shares				Description (1)										Coupon												Value
				SHORT-TERM INVESTMENTS – 5.4% (3.4% of Total Investments)
				INVESTMENT COMPANIES – 5.4% (3.4% of Total Investments)
	66,713,030			BlackRock Liquidity Funds T-Fund Portfolio, (10)											1.809% (11)											$	66,713,030
				Total Short-Term Investments (cost $66,713,030)																							66,713,030
				Total Investments (cost $2,068,067,742) – 160.5%																							1,986,348,367
				Borrowings – (45.3)% (12), (13)																							(561,000,000	)
				Reverse Repurchase Agreements – (11.7)% (14)																							(145,000,000	)
				Other Assets Less Liabilities – (3.5)% (15)																							(43,086,262	)
				Net Assets Applicable to Common Shares – 100%																						$	1,237,262,105

 

81

---

JQC		Nuveen Credit Strategies Income Fund (continued)
		Portfolio of Investments    July 31, 2018

 

 

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. Ratings are not covered by the report of independent registered public accounting firm.

 

(5)	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 $234,592,563 have been pledged as collateral for reverse repurchase agreements.

 

(6)

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.

 

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

 

(8)	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.

 

(9)

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.

 

(10)	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 the http://www.sec.gov.

 

(11)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

 

(12)	Borrowings as a percentage of Total Investments is 28.2%.

 

(13)	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.

 

(14)	Reverse Repurchase Agreements as a percentage of Total Investments is 7.3%.

 

(15)

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.

 

82

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Statement of Assets and Liabilities

July 31, 2018

 

		NSL				JFR				JRO				JSD				JQC
Assets
Long-term investments, at value (cost $435,448,873, $1,054,402,121, $741,219,144, $289,136,000 and $2,001,354,712, respectively)		$	420,634,225			$	1,028,387,683			$	720,885,567			$	284,183,206			$	1,919,635,337
Short-term investments, at value (cost approximates value)			10,121,429				23,541,090				17,156,361				8,118,505				66,713,030
Cash			—				—				43,750				37				—
Cash collateral at brokers for investments in swaps(1)			1,160,000				2,383,000				2,113,000				275,491				1,294
Credit default swaps premiums paid			—				—				—				10,980				—
Unrealized appreciation on interest rate swaps			—				2,861				—				16,275				—
Receivable for:
Interest			1,740,640				4,399,178				3,074,619				1,276,560				9,725,394
Investments sold			3,281,163				8,123,791				7,366,486				3,456,168				35,343,300
Reclaims			—				—				—				—				17,480
Shares sold			—				31,001				—				—				—
Other assets			128,912				150,042				115,765				29,312				412,389
Total assets			437,066,369				1,067,018,646				750,755,548				297,366,534				2,031,848,224
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, $55 and $18, respectively)			1,038				2,642				1,765				53				18
Unrealized depreciation on interest rate swaps			1,198,980				2,433,446				2,331,087				189,879				—
Payable for:
Dividends			1,268,771				3,241,747				2,339,654				949,425				4,980,541
Investments purchased			10,844,216				24,632,406				17,683,936				8,403,470				79,229,498
Unfunded senior loans			61,505				131,189				78,926				61,505				—
Variation margin on swaps contracts			—				—				—				529				—
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)			42,401,767				124,022,961				82,913,025				34,564,434				—
Accrued expenses:
Interest			584				—				430,927				—				2,182,634
Management fees			290,337				698,377				494,273				197,208				1,323,430
Trustees fees			84,820				156,418				99,088				18,416				409,407
Other			161,933				242,614				204,443				97,589				460,591
Total liabilities			170,313,951				409,861,800				285,377,124				116,482,508				794,586,119
Net assets applicable to common shares		$	266,752,418			$	657,156,846			$	465,378,424			$	180,884,026			$	1,237,262,105
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		$	6.91			$	11.55			$	11.47			$	17.92			$	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			287,799,483				708,896,922				503,528,297				191,865,113				1,388,019,831
Undistributed (Over-distribution of) net investment income			492,596				(6,939,292	)			(4,665,678	)			(1,022,611	)			(21,887,770	)
Accumulated net realized gain (loss)			(5,912,182	)			(16,924,767	)			(11,225,024	)			(4,891,049	)			(48,508,929	)
Net unrealized appreciation (depreciation)			(16,013,698	)			(28,445,202	)			(22,664,783	)			(5,168,383	)			(81,718,697	)
Net assets applicable to common shares		$	266,752,418			$	657,156,846			$	465,378,424			$	180,884,026			$	1,237,262,105
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.

 

83

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Statement of Operations

Year Ended July 31, 2018

 

		NSL				JFR				JRO				JSD				JQC
Investment Income
Interest and dividends		$	23,740,502			$	55,730,682			$	39,691,202			$	16,939,908			$	94,569,602
Fees			460,734				1,165,689				924,760				365,260				2,427,962
Foreign tax withheld on dividend income			—				—				—				—				(6,057	)
Total investment income			24,201,236				56,896,371				40,615,962				17,305,168				96,991,507
Expenses
Management fees			3,414,347				8,243,070				5,822,784				2,318,385				15,597,131
Interest expense and amortization of offering costs			3,857,691				10,543,262				7,381,791				2,585,263				20,608,669
Custodian fees			130,124				279,608				196,702				103,577				407,375
Trustees fees			13,007				31,934				22,378				8,827				59,867
Professional fees			120,668				167,679				169,968				122,594				95,015
Shareholder reporting expenses			68,075				156,831				139,153				54,628				192,403
Shareholder servicing agent fees			14,302				35,952				29,238				13,174				2,711
Stock exchange listing fees			10,845				6,267				11,142				6,850				38,124
Investor relations expenses			29,263				68,777				49,101				21,702				126,268
Other			26,021				65,532				45,804				67,964				36,489
Total expenses			7,684,343				19,598,912				13,868,061				5,302,964				37,164,052
Net investment income (loss)			16,516,893				37,297,459				26,747,901				12,002,204				59,827,455
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments and foreign currency			988,609				(3,918,156	)			(2,177,791	)			(1,771,955	)			(9,945,000	)
Swaps			(170,366	)			710,097				661,463				(201,725	)			1,412,527
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(1,461,678	)			795,592				828,220				1,590,671				(5,536,690	)
Swaps			(650,645	)			(3,024,738	)			(2,851,257	)			(104,691	)			(1,375,436	)
Net realized and unrealized gain (loss)			(1,294,080	)			(5,437,205	)			(3,539,365	)			(487,700	)			(15,444,599	)
Net increase (decrease) in net assets applicable to common shares from operations		$	15,222,813			$	31,860,254			$	23,208,536			$	11,514,504			$	44,382,856

 

See accompanying notes to financial statements.

 

84

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Statement of Changes in Net Assets

 

		NSL								JFR
		Year Ended 7/31/18				Year Ended 7/31/17				Year Ended 7/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	16,516,893			$	17,911,275			$	37,297,459			$	40,564,055
Net realized gain (loss) from:
Investments and foreign currency			988,609				(4,031,259	)			(3,918,156	)			(8,532,524	)
Swaps			(170,366	)			91,003				710,097				613,807
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(1,461,678	)			12,529,108				795,592				32,737,753
Swaps			(650,645	)			(548,335	)			(3,024,738	)			594,153
Net increase (decrease) in net assets applicable to common shares from operations			15,222,813				25,951,792				31,860,254				65,977,244
Distributions to Common Shareholders
From net investment income			(17,553,641	)			(17,939,860	)			(44,003,590	)			(43,953,958	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(17,553,641	)			(17,939,860	)			(44,003,590	)			(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			(2,330,828	)			8,011,932				(6,706,239	)			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		$	266,752,418			$	269,083,246			$	657,156,846			$	663,863,085
Undistributed (Over-distribution of) net investment income at the end of period		$	492,596			$	1,414,437			$	(6,939,292	)		$	(2,196,740	)

 

See accompanying notes to financial statements.

 

85

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Statement of Changes in Net Assets (continued)

 

 

		JRO								JSD
		Year Ended 7/31/18				Year Ended 7/31/17				Year Ended 7/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	26,747,901			$	29,600,300			$	12,002,204			$	13,027,167
Net realized gain (loss) from:
Investments and foreign currency			(2,177,791	)			(5,253,292	)			(1,771,955	)			(394,906	)
Swaps			661,463				551,837				(201,725	)			(219,417	)
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			828,220				21,359,115				1,590,671				6,049,708
Swaps			(2,851,257	)			520,170				(104,691	)			36,637
Net increase (decrease) in net assets applicable to common shares from operations			23,208,536				46,778,130				11,514,504				18,499,189
Distributions to Common Shareholders
From net investment income			(32,185,250	)			(32,191,923	)			(13,098,094	)			(12,568,708	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(32,185,250	)			(32,191,923	)			(13,098,094	)			(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			217,494				29,972,101				(1,583,590	)			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		$	465,378,424			$	465,160,930			$	180,884,026			$	182,467,616
Undistributed (Over-distribution of) net investment income at the end of period		$	(4,665,678	)		$	(965,676	)		$	(1,022,611	)		$	(11,416	)

 

See accompanying notes to financial statements.

 

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		JQC
		Year Ended 7/31/18				Year Ended 7/31/17
Operations
Net investment income (loss)		$	59,827,455			$	70,740,263
Net realized gain (loss) from:
Investments and foreign currency			(9,945,000	)			(10,861,280	)
Swaps			1,412,527				773,240
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency			(5,536,690	)			33,609,756
Swaps			(1,375,436	)			921,111
Net increase (decrease) in net assets applicable to common shares from operations			44,382,856				95,183,090
Distributions to Common Shareholders
From net investment income			(72,567,457	)			(84,990,137	)
Decrease in net assets applicable to common shares from distributions to common shareholders			(72,567,457	)			(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			(28,184,601	)			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		$	1,237,262,105			$	1,265,446,706
Undistributed (Over-distribution of) net investment income at the end of period		$	(21,887,770	)		$	(12,939,539	)

 

See accompanying notes to financial statements.

 

87

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Statement of Cash Flows

Year Ended July 31, 2018

 

		NSL				JFR				JRO				JSD				JQC
Cash Flows from Operating Activities:
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations		$	15,222,813			$	31,860,254			$	23,208,536			$	11,514,504			$	44,382,856
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			(123,473,935	)			(317,870,164	)			(234,308,007	)			(82,502,625	)			(883,387,759	)
Proceeds from sales and maturities of investments			121,364,217				287,964,525				208,129,580				83,305,125				857,737,464
Proceeds from (Purchases of) short-term investments, net			2,459,891				29,136,652				21,192,342				(1,859,724	)			13,041,389
Proceeds from (Payments for) cash denominated in foreign currencies, net			—				—				—				55				18
Premiums received (paid) for credit default swaps			—				—				—				(10,980	)			395,974
Payment-in-kind distributions			(108,806	)			(232,993	)			(238,542	)			(68,096	)			(437,796	)
Taxes paid			(49,617	)			(35,669	)			(14,960	)			—				—
Proceeds from litigation settlement			—				—				—				1,231				195,177
Amortization (Accretion) of premiums and discounts, net			(2,259,416	)			(3,685,479	)			(2,977,050	)			(1,757,985	)			(270,946	)
Amortization of deferred offering costs			177,576				214,436				243,222				192,939				—
(Increase) Decrease in:
Cash collateral at brokers for investments in swaps			(529,000	)			(2,383,000	)			(2,113,000	)			(5,491	)			796,336
Receivable for dividends			—				—				—				—				72
Receivable for interest			790,897				1,424,786				1,377,112				476,258				2,067,514
Receivable for investments sold			6,535,865				16,213,151				11,121,217				5,147,107				2,269,475
Receivable for reclaims			—				—				—				—				15,176
Receivable for shares sold			—				29,353				637,360				—				—
Receivable for variation margin on swap contracts			—				—				—				—				5,302
Other assets			(16,497	)			102,586				(17,874	)			84,587				(73,072	)
Increase (Decrease) in:
Payable for investments purchased			(3,491,122	)			(9,667,745	)			(7,153,758	)			(1,657,217	)			21,631,767
Payable for offering costs			—				(74,579	)			—				—				—
Payable for unfunded senior loans			38,661				85,502				44,660				38,661				—
Payable for variation margin on swap contracts			—				—				—				529				—
Accrued interest			441				(24	)			129,037				(1,702	)			427,205
Accrued management fees			(1,525	)			(4,014	)			1,393				(1,169	)			(17,815	)
Accrued Trustees fees			16,422				28,439				17,746				2,793				73,533
Accrued other expenses			(21,439	)			112,116				44,639				4,311				90,658
Net realized (gain) loss from:
Investments and foreign currency			(988,609	)			3,918,156				2,177,791				1,771,955				9,945,000
Paydowns			—				(113,466	)			(75,644	)			—				—
Change in net unrealized (appreciation) depreciation of:
Investments and foreign currency			1,461,678				(795,592	)			(828,220	)			(1,590,671	)			5,536,690
Swaps(1)			650,645				3,024,738				2,851,257				62,704				—
Net cash provided by (used in) operating activities			17,779,140				39,251,969				23,448,837				13,147,099				74,424,218
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			(17,780,433	)			(44,392,322	)			(32,557,222	)			(13,148,018	)			(74,642,114	)
Net cash provided by (used in) financing activities			(17,780,433	)			(39,281,092	)			(23,422,887	)			(13,148,018	)			(74,642,114	)
Net Increase (Decrease) in Cash			(1,293	)			(29,123	)			25,950				(919	)			(217,896	)
Cash at the beginning of period			1,293				29,123				17,800				956				217,896
Cash at the end of period		$	—			$	—			$	43,750			$	37			$	—
Supplemental Disclosure of Cash Flow Information		NSL				JFR				JRO				JSD				JQC
Cash paid for interest (excluding borrowing and amortization of offering costs)		$	3,615,154			$	10,372,959			$	6,930,126			$	2,365,965			$	20,019,985
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.

 

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89

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Financial Highlights

 

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		$	6.97			$	0.43			$	(0.04	)		$	0.39			$	(0.45	)		$	—			$	(0.45	)		$	—			$	—			$	—			$	6.91			$	6.13
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
JFR
Year Ended 7/31:
2018			11.76				0.66				(0.10	)			0.56				(0.77	)			—				(0.77	)			—				—				—	*			11.55				10.30
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

 

90

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								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)
	5.91	%			(3.78	)%		$	266,752				2.90	%			6.24	%			29	%
	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
	5.01				(6.64	)			657,157				2.99				5.68				29
	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

 

(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:

 

 

(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.

*	Rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

91

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Financial Highlights (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		$	11.70			$	0.66			$	(0.09	)		$	0.57			$	(0.80	)		$	—				(0.80	)		$	—			$	—	*		$	11.47			$	10.23
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
JSD
Year Ended 7/31:
2018			18.07				1.19				(0.04	)			1.15				(1.30	)			—				(1.30	)			—				—				17.92				16.67
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

 

92

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								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)
	5.06	%			(7.38	)%		$	465,378				2.99	%			5.77	%			30	%
	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
	6.66				1.33				180,884				2.96				6.69				29
	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

 

(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:

 

 

(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.

*	Rounds to less than $0.01 per share.

 

See accompanying notes to financial statements.

 

93

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Financial Highlights (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		$	9.32			$	0.44			$	(0.12	)		$	0.32			$	(0.53	)		$	—			$	(0.53	)		$	—			$	9.11			$	7.89
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

 

(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 (as described in Note 9 – Fund Leverage), where applicable.
		•		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 Interest Expense to Average Net Assets Applicable to Common Shares
Year Ended 7/31:
2018			1.67	%
2017			1.23
2016			1.01
2015			0.66
2014			0.52

 

94

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								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)				Expenses				Net Investment Income (Loss)				Portfolio Turnover Rate(e)
	3.64	%			(3.09	)%		$	1,237,262				3.01	%			4.84	%			N/A				N/A				45	%
	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

 

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

*	Rounds to less than $0.01 per share.

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

 

See accompanying notes to financial statements.

 

95

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Financial Highlights (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(a)				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		$	114,000			$	3,717			$	—			$	—			$	43,000			$	2,699			$	2.70
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
JFR
Year Ended 7/31:
2018			254,300				4,077				—				—				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
JRO
Year Ended 7/31:
2018			178,800				4,073				—				—				84,000				2,771				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
JSD
Year Ended 7/31:
2018			72,000				3,998				—				—				35,000				2,691				2.69
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				—				—				—				—				—
JQC
Year Ended 7/31:
2018			561,000				3,205				—				—				—				—				—
2017			561,000				3,256				—				—				—				—				—
2016			561,000				3,238				—				—				—				—				—
2015			640,000				3,101				—				—				—				—				—
2014			606,000				3,304				—				—				—				—				—

 

96

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(a)

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:

 

 

 

See accompanying notes to financial statements.

 

97

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Notes to Financial Statements

 

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 July 31, 2018, and the period covered by these Notes to Financial Statements is the fiscal year ended July 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

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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		$	10,841,094			$	24,625,388			$	17,678,933			$	8,401,389			$	72,049,172

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.

 

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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.

 

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Investments in investment companies are valued at their respective net asset value (“NAV”) on the valuation date and are generally classified as Level 1.

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		$	—			$	361,594,545			$	—			$	361,594,545
Corporate Bonds**			—				50,347,024				—	***			50,347,024
Common Stocks**			4,619,855				3,549,753				61,451				8,231,059
Common Stocks Rights**			—				87,164				328,980				416,144
Warrants			45,453				—				—				45,453
Short-Term Investments:
Investment Companies			10,121,429				—				—				10,121,429
Investments in Derivatives:
Interest Rate Swaps****			—				(1,198,980	)			—				(1,198,980	)
Total		$	14,786,737			$	414,379,506			$	390,431			$	429,556,674
JFR
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	858,465,241			$	—			$	858,465,241
Corporate Bonds**			—				128,743,393				—	***			128,743,393
Common Stocks**			9,719,872				8,789,266				122,902				18,632,040
Investment Companies			11,344,819				—				—				11,344,819
Asset-Backed Securities			—				10,324,307				—				10,324,307
Common Stock Rights**			—				161,319				608,931				770,250
Warrants			80,858				—				—				80,858
Convertible Bonds			—				26,775				—				26,775
Short-Term Investments:
Investment Companies			23,541,090				—				—				23,541,090
Investments in Derivatives:
Interest Rate Swaps****			—				(2,430,585	)			—				(2,430,585	)
Total		$	44,686,639			$	1,004,079,716			$	731,833			$	1,049,498,188

 

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JRO		Level 1				Level 2				Level 3				Total
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	607,965,953			$	—			$	607,965,953
Corporate Bonds**			—				92,721,037				—	***			92,721,037
Common Stocks**			7,683,417				6,895,305				92,176				14,670,898
Asset-Backed Securities			—				4,655,546				—				4,655,546
Common Stock Rights**			—				166,428				628,247				794,675
Warrants			60,133				—				—				60,133
Convertible Bonds			—				17,325				—				17,325
Short-Term Investments:
Investment Companies			17,156,361				—				—				17,156,361
Investments in Derivatives:
Interest Rate Swaps****			—				(2,331,087	)			—				(2,331,087	)
Total		$	24,899,911			$	710,090,507			$	720,423			$	735,710,841
JSD
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	241,464,881			$	—			$	241,464,881
Corporate Bonds**			—				37,008,096				—	***			37,008,096
Common Stocks**			3,235,236				1,951,935				61,451				5,248,622
Common Stock Rights**			—				89,797				339,073				428,870
Warrants			32,737				—				—				32,737
Short-Term Investments:
Investment Companies			8,118,505				—				—				8,118,505
Investments in Derivatives:
Credit Default Swaps****			—				(41,987	)			—				(41,987	)
Interest Rate Swaps****			—				(173,604	)			—				(173,604	)
Total		$	11,386,478			$	280,299,118			$	400,524			$	292,086,120
JQC
Long-Term Investments*:
Variable Rate Senior Loan Interests		$	—			$	1,557,459,059			$	—			$	1,557,459,059
Corporate Bonds**			—				278,631,168				—	***			278,631,168
Exchange-Traded Funds			52,009,385				—				—				52,009,385
Common Stocks**			14,986,606				13,693,938				—	***			28,680,544
Common Stock Rights**			—				567,487				2,142,460				2,709,947
Warrants**			145,234				—				—				145,234
Short-Term Investments:
Investment Companies			66,713,030				—				—				66,713,030
Total		$	133,854,255			$	1,850,351,652			$	2,142,460			$	1,986,348,367

*	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.

 

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(ii)

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

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

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, 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

 

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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”).

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			$	123,160,000			$	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

 

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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 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*		$	2,200,000			$	7,880,000

*	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.

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		$	(1,198,980	)
JFR
Interest rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps		$	2,861							Unrealized depreciation on interest rate swaps		$	(2,433,446	)
JRO
Interest rate		Swaps (OTC Uncleared)		—		$	—							Unrealized depreciation on interest rate swaps		$	(2,331,087	)

 

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Notes to Financial Statements (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**^		$	(41,987	)
Interest Rate		Swaps (OTC Uncleared)		Unrealized appreciation on interest rate swaps		$	16,275							Unrealized depreciation on interest rate swaps		$	(189,879	)
Total						$	16,275									$	(231,866	)

**	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		$	—			$	(1,198,980	)		$	(1,198,980	)		$	1,160,000			$	(38,980	)
JFR		Morgan Stanley Capital Services LLC			2,861				(2,433,446	)			(2,430,585	)			2,383,000				(47,585	)
JRO		Morgan Stanley Capital Services LLC			—				(2,331,087	)			(2,331,087	)			2,113,000				(218,087	)
JSD		Morgan Stanley Capital Services LLC			16,275				(189,879	)			(173,604	)			173,604				—

***	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		$	(170,366	)		$	(650,645	)
JFR		Interest rate		Swaps		$	710,097			$	(3,024,738	)
JRO		Interest rate		Swaps		$	661,463			$	(2,851,257	)
JSD
		Credit		Swaps		$	(85,971	)		$	(41,987	)
		Interest rate		Swaps			(115,754	)			(62,704	)
Total						$	(201,725	)		$	(104,691	)
JQC		Credit		Swaps		$	1,412,527			$	(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

 

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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
		Year Ended 7/31/18*				Year Ended 7/31/17**				Year Ended 7/31/18				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
		Year Ended 7/31/18				Year Ended 7/31/17***				Year Ended 7/31/18*				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 initial shelf registrations were recorded as a prepaid expense and recognized as “Deferred offering costs” on the Statement of Assets and Liabilities. These costs are amortized pro rata as shares are sold and are recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any deferred offering costs remaining one year after effectiveness of the initial shelf registration will be expensed. Costs incurred by the Funds to keep the shelf registration current are expensed as incurred and 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
		Year Ended 7/31/18				Year Ended 7/31/17				Year Ended 7/31/18				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	%

 

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Notes to Financial Statements (continued)

 

										JSD
										Year Ended 7/31/18				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, NSL, JFR, JRO and JSD had $42,401,767, $124,022,961, $82,913,025 and $34,564,434 Term Preferred at liquidation preference, net of deferred offering costs, respectively. Further details of the Funds’ Term Preferred Shares outstanding as of the end of the reporting period, 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

 

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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			2.00	%			3.38	%			3.28	%			1.75	%

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.

JFR incurred offering costs of $17,767, $34,114, $48,328 and $85,995 in connection with their issuance of Series 2019, Series 2022, Series 2024 and Series 2027 Term Preferred, respectively, which were expensed as incurred and are recognized as a component of “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

 

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Notes to Financial Statements (continued)

 

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	)
		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		$	123,473,935			$	317,870,164			$	234,308,007			$	82,502,625			$	883,387,759
Sales and maturities		$	121,364,217			$	287,964,525			$	208,129,580			$	83,305,125			$	857,737,464

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 July 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		$	448,641,948			$	1,090,186,055			$	766,704,800			$	300,101,248			$	2,085,912,656
Gross unrealized:
Appreciation			7,483,662				17,517,187				12,980,933				5,818,494				17,827,036
Depreciation			(25,369,956	)			(55,774,469	)			(41,643,805	)			(13,618,031	)			(117,391,325	)
Net unrealized appreciation (depreciation) of investments		$	(17,886,294	)		$	(38,257,282	)		$	(28,662,872	)		$	(7,799,537	)		$	(99,564,289	)
						NSL				JFR				JRO				JSD
Tax cost of swaps						$	—			$	—			$	—			$	(31,007	)
Net unrealized appreciation (depreciation) of swaps							(1,198,980	)			(2,430,585	)			(2,331,087	)			(173,604	)

 

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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, distressed PIK bond adjustments and federal taxes paid, resulted in reclassifications among the Funds’ components of common share net assets as of July 31, 2018, the Funds’ tax year end, as follows:

 

		NSL				JFR				JRO				JSD				JQC
Paid-in-surplus		$	(29,464,537)			$	(67,257,711)			$	(46,592,886)			$	(192,942)			$	(8,513,146)
Undistributed (Over-distribution of) net investment income			114,907				1,963,579				1,737,347				84,695				3,791,771
Accumulated net realized gain (loss)			29,349,630				65,294,132				44,855,539				108,247				4,721,375

The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2018, the Funds’ tax year end, were as follows:

 

		NSL				JFR				JRO				JSD				JQC
Undistributed net ordinary income1		$	2,985,455			$	4,877,606			$	3,199,983			$	1,685,802			$	857,230
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 2, 2018, paid on August 1, 2018. 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’ tax years ended July 31, 2018 and July 31, 2017, was designated for purposes of the dividends paid deduction as follows:

 

2018		NSL				JFR				JRO				JSD				JQC
Distributions from net ordinary income2		$	18,645,372			$	48,769,652			$	35,379,514			$	13,766,120			$	74,671,845
Distributions from net long-term capital gains			—				—				—				—				—
2017		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, 2018, the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.

 

		NSL				JFR				JRO				JSD				JQC
Not subject to expiration:
Short-term		$	—			$	43,342			$	304,388			$	14,921			$	9,492,644
Long-term			4,076,891				13,159,712				8,137,862				3,779,388				38,892,992
Total		$	4,076,891			$	13,203,054			$	8,442,250			$	3,794,309			$	48,385,636

As of July 31, 2018, the Funds’ tax year end, the following Funds’ capital loss carryforwards expired as follows:

 

		NSL				JFR				JRO				JQC
Expired capital loss carryforwards		$	29,264,459			$	67,020,214			$	46,332,843			$	8,513,146

During the Funds’ tax year ended, July 31, 2018, NSL utilized $721,041 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.

 

111

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Notes to Financial Statements (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 July 31, 2018, the complex-level fee for each Fund was 0.1588%.

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		$	61,505			$	131,189			$	78,926			$	61,505

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.

 

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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			2.38	%			2.38	%			2.38	%

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 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 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			2.39	%

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		$	610,000,000

 

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Notes to Financial Statements (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			2.89	%

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	)		$	(145,370,675	)

*	The Fund may repurchase the reverse repurchase agreement prior to the maturity date and/or counterparty may accelerate maturity upon pre-specified advance notice.

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			2.90	%

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		$	(145,370,675	)		$	145,370,675			$	—

*	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

 

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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.

12. Subsequent Events

Borrowings

On September 11, 2018, JQC renewed its Borrowing through January 28, 2019. The Fund decreased its maximum commitment amount to $550,000,000 and the interest charged on the Fund’s Borrowings was changed to the 3-Month LIBOR plus 1.10%. All other items of the Borrowings remain unchanged.

Reverse Repurchase Agreements

On September 11, 2018, JQC increased its outstanding balances on its reverse repurchase agreements to $200,000,000 and the interest charged was changed to the 3-Month LIBOR plus 0.75%.

 

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Additional Fund Information

(Unaudited)

 

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

 

 

Distribution Information

The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interst-Related Dividends and/or short-term capital gain dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended July 31, 2018:

 

		NSL				JFR				JRO				JSD				JQC
% of Interest-Related Dividends			60.1%				58.9%				58.7%				63.2%				69.5%

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.

 

 

 

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Glossary of Terms Used in this Report

(Unaudited)

 

∎

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.

 

∎

Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.

 

∎

Leverage: 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.

 

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Reinvest Automatically, Easily and Conveniently

 

 

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Annual Investment Management Agreement Approval Process

(Unaudited)

 

At a meeting held on May 22-24, 2018 (the “May Meeting”), the Board of Trustees (each, a “Board,” and each Trustee, a “Board Member”) of each Fund, including the Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved, for its respective Fund, the renewal of the management agreement (the “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (the “Sub-Advisory Agreement”) with Symphony Asset Management LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as investment sub-adviser to such Fund. Following an initial two-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.”

In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by each Fund Adviser; a review of the Sub-Adviser and the applicable investment teams; an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the secondary market for Nuveen closed-end funds (including, among other things an analysis of performance, distribution and valuation and capital raising trends in the broader closed-end fund market and in particular to Nuveen closed-end funds; a review of the leverage management actions taken on behalf of the Nuveen closed-end funds and the resulting impact on performance; and a description of the distribution management process and any capital management activities); a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued during the year for the benefit of particular Nuveen funds and/or the complex; a description of the profitability or financial data of Nuveen and the various sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Board Members held an in-person meeting on April 10-11, 2018 (the “April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the various sub-advisers to the Nuveen funds. Prior to the May Meeting, the Board Members also received and reviewed supplemental information provided in response to questions posed by the Board Members.

The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; the management of leveraging financing for the Nuveen closed-end funds; the secondary market trading of the Nuveen closed-end funds and any actions to address discounts; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers; valuation of securities; fund expenses; and overall market and regulatory developments. The Board further continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible. As a result, the Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Fund Advisers in their review of the Advisory Agreements. Throughout the year and during the annual review of Advisory Agreements, the Independent Board Members met in executive sessions with independent legal counsel and had the benefit of counsel’s advice.

 

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Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process. The following summarizes the principal factors, but not all the factors, the Board considered in deciding to renew the Advisory Agreements and its conclusions.

 

A.

Nature, Extent and Quality of Services

In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund and the resulting performance of each Fund. With respect to the Adviser, the Board recognized the comprehensive set of management, oversight and administrative services the Adviser and its affiliates provided to manage and operate the Nuveen funds in a highly regulated industry. As illustrative, these services included, but were not limited to, product management; investment oversight, risk management and securities valuation services; fund accounting and administration services; board support and administration services; compliance and regulatory oversight services; legal support; and with respect to closed-end funds, leverage, capital and distribution management services.

In addition to the services necessary to operate and maintain the Nuveen funds, the Board recognized the Adviser’s continued program of improvements and innovations to make the Nuveen fund complex more relevant and attractive to existing and new investors and to accommodate the new and changing regulatory requirements in an increasingly complex regulatory environment. The Board noted that some of the initiatives the Adviser had taken over recent years to benefit the complex and particular Nuveen funds included, among other things:

 

•

Fund Rationalizations – continuing efforts to rationalize the product line through mergers, liquidations and repositionings in seeking to enhance shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches more relevant to current shareholder needs;

 

•

Product Innovations – developing product innovations and launching new products that will help the Nuveen fund complex offer a variety of products that will attract new investors and retain existing investors, such as launching the target term funds, exchange-traded funds (“ETFs”) and multi-asset class funds;

 

•

Risk Management Enhancements – continuing efforts to enhance risk management, including enhancing reporting to increase the efficiency of risk monitoring, implementing programs to strengthen the ability to detect and mitigate operational risks, dedicating resources and staffing necessary to create standards to help ensure compliance with new liquidity requirements, and implementing a price verification system;

 

•

Additional Compliance Services – the continuing investment of significant resources, time and additional staffing to meet the various new regulatory requirements affecting the Nuveen funds over the past several years, the further implementation of unified compliance policies and processes, the development of additional compliance training modules, and the reorganization of the compliance team adding further depth to its senior leadership;

 

•

Expanded Dividend Management Services – as the Nuveen fund complex has grown, the additional services necessary to manage the distributions of the varied funds offered and investing in automated systems to assist in this process; and

 

•

with respect specifically to closed-end funds, such initiatives also included:

 

••

Leverage Management Services – continuing activities to expand financing relationships and develop new product structures to lower fund leverage expenses and to manage associated risks, particularly in an interest rate increasing environment;

 

••

Capital Management Services – continuing capital management activities through the share repurchase program and additional equity offerings in seeking to increase net asset value and/or improve fund performance for the respective Nuveen funds;

 

••

Data and Market Analytics – continuing development of databases that help with obtaining and analyzing ownership data of closed-end funds;

 

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••

Enhanced Secondary Market Reporting – providing enhanced reporting and commentary on the secondary market trading of closed-end funds which permit more efficient analysis of the performance of the Nuveen funds compared to peers and of trends in the marketplace; and

 

••

Tender Option Bond Services – providing the additional support services necessary for Nuveen funds that seek to use tender option bonds to meet new regulatory requirements.

The Board also recognized the Adviser’s investor relations program which seeks to advance the Nuveen closed-end funds through, among other things, raising awareness and delivering education regarding closed-end funds to investors and financial advisors and promoting the Nuveen closed-end funds with such investors.

In addition to the services provided by the Adviser, the Board also noted the business related risks the Adviser incurred in managing the Nuveen funds, including entrepreneurial, legal and litigation risks.

The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and the investment and compliance oversight over the Sub-Adviser provided by the Adviser. The Board recognized that the Sub-Adviser generally provided the portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment teams, the members’ experience and any changes to the team during the year, the team’s assets under management, the stability and history of the organization, the team’s investment approach and the performance of the Funds over various periods. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements.

Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement.

 

B.

The Investment Performance of the Funds and Fund Advisers

As part of its evaluation of the services provided by the Fund Advisers, the Board considered the investment performance of each Fund. In this regard, the Board reviewed fund performance over the quarter, one-, three- and five-year periods ending December 31, 2017, as well as performance data for the first quarter of 2018 ending March 31, 2018. The Independent Board Members noted that they reviewed and discussed fund performance over various time periods with management at their quarterly meetings throughout the year and their review and analysis of performance during the annual review of Advisory Agreements incorporated such discussions.

The Board reviewed performance on an absolute basis and in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). The Board considered the Adviser’s analysis of each Nuveen fund’s performance, including, in particular, an analysis of the Nuveen funds determined to be performance outliers and the factors contributing to their underperformance. In addition to the foregoing, in recognizing the importance of secondary market trading to shareholders of closed-end funds, the Board reviewed, among other things, the premium or discount to net asset value of the Nuveen closed-end funds as of a specified date as well as relative to the premiums or discounts of certain peers and the funds’ total return based on net asset value and market price over various periods. The Board considers the review of premiums and discounts of the closed-end funds to be a continuing priority and as such, the Board and/or its Closed-end Fund Committee also receives an update on the secondary closed-end fund market and evaluates the premiums and discounts of the Nuveen closed-end funds at each quarterly meeting, reviewing, among other things, the premium and discount trends in the broader closed-end fund market, by asset category and by closed-end fund; the historical total return performance data for the Nuveen closed-end funds based on net asset value and price over various periods; the volatility trends in the market; the distribution data of the Nuveen closed-end funds and as compared to peer averages; and a summary of the common share shelf offerings and share repurchase activity during the applicable quarter. As the Board’s Closed-end Fund Committee oversees matters particularly impacting the closed-end fund product line, the committee further engages in more in-depth discussions of the premiums and discounts of the Nuveen closed-end funds at each of its quarterly meetings.

 

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Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

In reviewing performance data, the Independent Board Members appreciated some of the inherent limitations of such data. In this regard, the Independent Board Members recognized that there may be limitations with the comparative data of certain peer groups or benchmarks as they may pursue objective(s), strategies or have other characteristics that are different from the respective Nuveen fund and therefore the performance results necessarily are different and limit the value of the comparisons. As an example, some funds may utilize leverage which may add to or detract from performance compared to an unlevered benchmark. The Independent Board Members also noted that management had ranked the relevancy of the peer group as low, medium or high to help the Board evaluate the value of the comparative peer performance data. The Board was aware that the performance data was measured as of a specific date and a different time period may reflect significantly different results and a period of underperformance can significantly impact long term performance figures. The Board further recognized that a shareholder’s experience in a Fund depends on his or her own holding period which may differ from that reviewed by the Independent Board Members.

In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers. The Independent Board Members noted that only a limited number of the Nuveen funds appeared to be underperforming performance outliers at the end of 2017 and considered the factors contributing to the respective fund’s performance and whether there were any performance concerns that needed to be addressed. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.

For Nuveen Senior Income Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the second quartile in the five-year period. In addition, the Fund outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the first quartile in the five-year period. In addition, the Fund outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Floating Rate Income Opportunity Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the first quartile in the five-year period. In addition, the Fund outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Short Duration Credit Opportunities Fund, the Board noted that the Fund ranked in the third quartile of its Performance Peer Group in the one- and three-year periods and the second quartile in the five-year period. In addition, the Fund outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.

For Nuveen Credit Strategies Income Fund, the Board noted that, although the Fund ranked in the third quartile of its Performance Peer Group and outperformed its benchmark in the five-year period, the Fund ranked in the fourth quartile and underperformed its benchmark in the one- and three-year periods. The Board recognized the Fund had experienced periods of challenged performance and had traded in the secondary market at a discount and discussed with the Adviser the factors that contributed to the Fund’s underperformance and discount. The Board considered the historic changes to the Fund’s mandate over the years which had provided the Fund with greater flexibility to invest in equities and high yield bonds. The Board noted that as the Fund had a broader mandate than its peers, the Fund’s Performance Peer Group was ranked low in relevancy. The Board discussed the rationale for the broader mandate and any steps the Adviser had taken or proposed to address performance concerns. The Board noted that it would continue to monitor the performance of this Fund.

 

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C.

Fees, Expenses and Profitability

1.

Fees and Expenses

In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Fund. More specifically, the Independent Board Members reviewed, among other things, each Fund’s gross and net management fee rates and net total expense ratio in relation to those of a comparable universe of funds (the “Peer Universe”) established by Broadridge. The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and recognized that differences between the applicable fund and its respective Peer Universe may limit some of the value of the comparative data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund. In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio (excluding investment-related costs of leverage for closed-end funds) of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”). The Board noted that the number of Nuveen funds classified as an Expense Outlier Fund pursuant to the foregoing criteria had decreased over the past few years with only a limited number of the Nuveen funds identified as Expense Outlier Funds in 2017. The Independent Board Members reviewed an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. In addition, although the Board reviewed a fund’s total net expenses both including and excluding investment-related expenses (i.e., leverage costs) and taxes for certain of the Nuveen closed-end funds, the Board recognized that leverage expenses will vary across funds and in comparison to peers because of differences in the forms and terms of leverage employed by the respective fund. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees (excluding leverage costs and leveraged assets for the closed-end funds) to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe.

In their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, as applicable. The Board considered that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $47.4 million and fund-level breakpoints reduced fees by $54.6 million in 2017.

The Board considered the sub-advisory fees paid to the Sub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees the Sub-Adviser charges to other clients.

The Independent Board Members noted that each Fund had a net management fee and a net expense ratio below the respective peer averages.

Based on their review of the information provided, the Board determined that each Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund.

 

2.

Comparisons with the Fees of Other Clients

In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged for certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, such other clients may include retail and institutional managed accounts, hedge funds and investment companies outside the Nuveen family. The Board further noted that the Adviser also advised certain ETFs sponsored by Nuveen.

The Board recognized that each Fund had an affiliated sub-adviser and reviewed, among other things, the range of fees assessed for managed accounts and hedge funds. With respect to hedge funds, the Board noted the performance fee the Sub-Adviser assesses for advising a hedge fund or account. The Board also reviewed the fee range and average fee rate of certain selected investment strategies offered in retail and institutional managed accounts by the Sub-Adviser, and the hedge funds advised by the Sub-Adviser (along with their performance fee) and of the non-Nuveen investment companies sub-advised by affiliated sub-advisers. In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to other clients compared to the services provided to the Nuveen funds as well as the differences in portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of

 

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(Unaudited)

 

which contribute to variations in the fee schedules. With respect to ETFs, the Board considered the differences in the passive management of Nuveen’s Nushares ETFs compared to the active management of other Nuveen funds which also contributed to differing management fee levels compared to such other Nuveen funds. In general, the Board noted that the higher fee levels reflect higher levels of services provided by Nuveen, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial risks incurred in sponsoring and advising a registered investment company.

 

3.

Profitability of Fund Advisers

In conjunction with their review of fees, the Independent Board Members considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2017 and 2016. In considering profitability, the Independent Board Members reviewed the level of profitability realized by Nuveen including and excluding any distribution expenses incurred by Nuveen from its own resources. The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over the years. For comparability purposes, the Board recognized that a prior year’s profitability would be restated to reflect any refinements to the methodology. The Independent Board Members were aware of the inherent limitations in calculating profitability as the use of different reasonable allocation methodologies may lead to significantly different results and in reviewing profitability margins over extended periods given the refinements to the methodology over time. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review and discuss any proposed changes to the methodology prior to the full Board’s review.

In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services for each of the last two calendar years. The Independent Board Members also reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2017 versus 2016. The Board noted that Nuveen recently launched its ETF product line in 2016 and reviewed the revenues, expenses and operating margin from this product line.

In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also examined comparative profitability data reviewing, among other things, the revenues, expenses and adjusted total company margins of other advisory firms that had publicly available information and comparable assets under management (based on asset size and asset composition) for 2017 and as compared to their adjusted operating margins for 2016. The Independent Board Members, however, recognized the difficulty in comparing the profitability of various fund managers given the limited public information available and the subjective nature of calculating profitability which may be affected by numerous factors including the fund manager’s organizational structure, types of funds, other lines of business, methodology used to allocate expenses and cost of capital. Nevertheless, considering such limitations and based on the information provided, the Board noted that Nuveen’s adjusted operating margins appeared reasonable when compared to the adjusted margins of the peers.

Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2017 and 2016 calendar years to consider the financial strength of TIAA.

In reviewing profitability, the Independent Board Members also considered the profitability of the various sub-advisers from their relationships with the respective Nuveen fund(s). The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2017.

 

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In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.

Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.

 

D.

Economies of Scale and Whether Fee Levels Reflect These Economies of Scale

The Independent Board Members considered the extent to which economies of scale may be achieved as a Fund grows and whether these economies of scale have been shared with shareholders. Although the Board recognized that economies of scale are difficult to measure, the Independent Board Members noted that there are several methods that may be used in seeking to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waivers and/or expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the Nuveen funds. With respect to breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex level reduces fees on certain funds as the eligible assets in the complex pass certain thresholds. Subject to exceptions for certain Nuveen funds, the Independent Board Members reviewed the fund-level and complex-level fee schedules and any resulting savings in fees. In addition, with respect to closed-end funds, the Independent Board Members noted that, although such funds may from time-to-time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. Further, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, improvements in technology, additional staffing, product innovations and other organizational changes designed to expand or enhance the services provided to the benefit of all of the Nuveen funds.

Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders.

 

E.

Indirect Benefits

The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Independent Board Members reviewed the revenues that an affiliate of the Adviser received in 2017 as a result of serving as co-manager in the initial public offerings of new closed-end funds and as the underwriter on shelf offerings of existing closed-end funds.

In addition to the above, the Independent Board Members considered whether the Sub-Adviser uses commissions paid by the Funds on portfolio transactions to obtain research products and other services (“soft dollar transactions”). The Board recognized that the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board noted, however, that the benefits for sub-advisers transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although the Sub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds or is acquired through the commissions paid on portfolio transactions of other funds or clients.

Based on their review, the Board concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.

 

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Annual Investment Management Agreement Approval Process (continued)

(Unaudited)

 

 

F.

Other Considerations

The Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.

 

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Board Members & Officers

(Unaudited)

 

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is set at eleven. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent board members”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed and Term(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Independent Board Members:
∎  TERENCE J. TOTH						Formerly, a Co-Founding Partner, Promus Capital (2008-2017); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its Investment Committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).
1959 333 W. Wacker Drive Chicago, IL 6o6o6		Chairman and Board Member		2008 Class II				166
∎  JACK B. EVANS						President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, Public Member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy and The Gazette Company; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.
1948 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		1999 Class III				166
∎  WILLIAM C. HUNTER						Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director of Wellmark, Inc. (since 2009); past Director (2005-2015), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.
1948 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2003 Class I				166
∎  ALBIN F. MOSCHNER						Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Director, USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions with Zenith Electronics Corporation (1991-1996).
1952 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2016 Class III				166

 

127

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Board Members & Officers (continued)

(Unaudited)

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed and Term(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Independent Board Members (continued):
∎  JOHN K. NELSON						Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.
1962 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2013 Class II				166
∎  WILLIAM J. SCHNEIDER						Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition.
1944 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		1996 Class III				166
∎  JUDITH M. STOCKDALE						Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).
1947 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		1997 Class I				166
∎  CAROLE E. STONE						Former Director, Chicago Board Options Exchange, Inc. (2006-2017); and C2 Options Exchange, Incorporated (2009-2017); Director, CBOE Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).
1947 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2007 Class I				166
∎  MARGARET L. WOLFF						Formerly, member of the Board of Directors (2013-2017) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College.
1955 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2016 Class I				166

 

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Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed and Term(1)		Principal Occupation(s) Including other Directorships During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Board Member
Independent Board Members (continued):
∎  ROBERT L. YOUNG(2)						Formerly, Chief Operating Officer and Director, J.P.Morgan Investment Management Inc. (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P.Morgan Funds; formerly, Director and various officer positions for J.P.Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly, One Group Dealer Services, Inc.) (1999-2017).
1963 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2017 Class II				164
Interested Board Member:
∎  MARGO L. COOK(3)(4)						President (since April 2017), formerly, Co-Chief Executive Officer and Co-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc.; President, Global Products and Solutions (since July 2017), and, Co-Chief Executive Officer (since 2015), formerly, Executive Vice President (2013-2015), of Nuveen Securities, LLC; Executive Vice President (since February 2017) of Nuveen, LLC; President (since August 2017), formerly Co-President (October 2016- August 2017), formerly, Senior Executive Vice President of Nuveen Fund Advisors, LLC (Executive Vice President since 2011); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst.
1964 333 W. Wacker Drive Chicago, IL 6o6o6		Board Member		2016 Class III				166
Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(4)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds:
∎  CEDRIC H. ANTOSIEWICZ						Senior Managing Director (since 2017), formerly, Managing Director (2004-2017) of Nuveen Securities, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2014-2017) of Nuveen Fund Advisors, LLC.
1962 333 W. Wacker Drive Chicago, IL 6o6o6		Chief Administrative Officer		2007				75
∎  STEPHEN D. FOY						Managing Director (since 2014), formerly, Senior Vice President (2013-2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Managing Director (since 2016) of Nuveen Securities, LLC Managing Director (since 2016) of Nuveen Alternative Investments, LLC; Certified Public Accountant.
1954 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President and Controller		1998				166
∎  NATHANIEL T. JONES						Managing Director (since 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011-2016) of Nuveen.; Chartered Financial Analyst.
1979 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President and Treasurer		2016				166
∎  WALTER M. KELLY						Managing Director (since 2017), formerly, Senior Vice President (2008-2017) of Nuveen.
1970 333 W. Wacker Drive Chicago, IL 6o6o6		Chief Compliance Officer and Vice President		2003				166

 

129

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Board Members & Officers (continued)

(Unaudited)

 

Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(4)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds (continued):
∎  DAVID J. LAMB						Managing Director (since 2017), formerly, Senior Vice President of Nuveen (since 2006), Vice President prior to 2006.
1963 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President		2015				75
∎  TINA M. LAZAR						Managing Director (since 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC.
1961 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President		2002				166
∎  KEVIN J. MCCARTHY						Senior Managing Director (since 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011-2016); Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC.
1966 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President and Assistant Secretary		2007				166
∎  WILLIAM T. MEYERS						Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen Securities, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen, has held various positions with Nuveen since 1991.
1966 333 W. Wacker Drive Chicago, IL 60606		Vice President		2018				75
∎  MICHAEL A. PERRY						Executive Vice President since February 2017, previously Managing Director from 2016), of Nuveen Fund Advisors, LLC and Nuveen Alternative Investments, LLC; Executive Vice President (since 2017), formerly, Managing Director (2015-2017), of Nuveen Securities, LLC; formerly, Managing Director (2010-2015) of UBS Securities, LLC.
1967 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President		2017				75
∎  CHRISTOPHER M. ROHRBACHER						Managing Director (since 2017) of Nuveen Securities, LLC; 2008 Managing Director (since 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since 2016) of Nuveen Fund Advisors, LLC.
1971 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President and Assistant Secretary		2008				166
∎  WILLIAM A. SIFFERMANN						Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen.
1975 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President		2017				166
∎  JOEL T. SLAGER						Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013).
1978 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President and Assistant Secretary		2013				166

 

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Name, Year of Birth & Address		Position(s) Held with the Funds		Year First Elected or Appointed(4)		Principal Occupation(s) During Past 5 Years		Number of Portfolios in Fund Complex Overseen by Officer
Officers of the Funds (continued):
∎  MARK L. WINGET						Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2008); Vice President (since 2010) and Associate General Counsel (since 2008) of Nuveen.
1968 333 W. Wacker Drive Chicago, IL 60606		Vice President and Assistant Secretary		2008				166
∎  GIFFORD R. ZIMMERMAN						Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst.
1956 333 W. Wacker Drive Chicago, IL 6o6o6		Vice President Secretary		1988				166

 

(1)

The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares, when applicable, to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.

(2)	On May 25, 2017, Mr. Young was appointed as a Board Member, effective July 1, 2017. He is a Board Member of each of the Nuveen Funds, except Nuveen Diversified Dividend and Income Fund and Nuveen Real Estate Income Fund.

(3)	“Interested person” as defined in the 1940 Act, by reason of her position with Nuveen, LLC. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.

(4)	Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

 

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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/closed-end-funds

 

Distributed by Nuveen Investments, LLC  |  333 West Wacker Drive  | Chicago, IL 60606  | www.nuveen.com				EAN-A-0718D         600788-INV-Y-09/19

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ITEM 2. CODE OF ETHICS.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

As of the end of the period covered by this report, the registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone, Jack B. Evans and William C. Hunter, who are “independent” for purposes of Item 3 of Form N-CSR.

Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.

Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.

Mr. Hunter was formerly a Senior Vice President at the Federal Reserve Bank of Chicago. As part of his role as Senior Vice President, Mr. Hunter was the senior officer responsible for all operations of each of the Economic Research, Statistics, and Community and Consumer Affairs units at the Federal Reserve Bank of Chicago. In such capacity, Mr. Hunter oversaw the subunits of the Statistics and Community and Consumer Affairs divisions responsible for the analysis and evaluation of bank and bank holding company financial statements and financial filings. Prior to serving as Senior Vice President at the Federal Reserve Bank of Chicago, Mr. Hunter was the Vice President of the Financial Markets unit at the Federal Reserve Bank of Atlanta where he supervised financial staff and bank holding company analysts who analyzed and evaluated bank and bank holding company financial statements. Mr. Hunter also currently serves on the Boards of Directors of Xerox Corporation and Wellmark, Inc. as well as on the Audit Committees of such Boards. As an Audit Committee member, Mr. Hunter’s responsibilities include, among other things, reviewing financial statements, internal audits and internal controls over financial reporting. Mr. Hunter also formerly was a Professor of Finance at the University of Connecticut School of Business and has authored numerous scholarly articles on the topics of finance, accounting and economics.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Nuveen Floating Rate Income Opportunity Fund

The following tables show the amount of fees that KPMG LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with KPMG LLP the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.

The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND

 

Fiscal Year Ended		Audit Fees Billed to Fund 1				Audit-Related Fees Billed to Fund 2				Tax Fees Billed to Fund 3				All Other Fees Billed to Fund 4
July 31, 2018		$	34,470			$	15,500			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%			0	%
July 31, 2017		$	32,850			$	51,000			$	0			$	18,000
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%			0	%

 

¹ “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements.

² “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.

³ “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.

⁴ “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage.

SERVICES THAT THE FUND’S AUDITOR BILLED TO THE

ADVISER AND AFFILIATED FUND SERVICE PROVIDERS

The following tables show the amount of fees billed by KPMG LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.

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The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to KPMG LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.

 

Fiscal Year Ended		Audit-Related Fees     Billed to Adviser and         Affiliated Fund Service     Providers				Tax Fees Billed to     Adviser and Affiliated Fund Service Providers				All Other Fees Billed to Adviser     and Affiliated Fund     Service Providers
July 31, 2018		$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%
July 31, 2017		$	0			$	0			$	0
Percentage approved pursuant to pre-approval exception			0	%			0	%			0	%

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NON-AUDIT SERVICES

The following table shows the amount of fees that KPMG LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non-audit services that KPMG LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from KPMG LLP about any non-audit services that KPMG LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating KPMG LLP ’s independence.

 

Fiscal Year Ended		Total Non-Audit Fees     Billed to Fund				Total Non-Audit Fees billed to Adviser and Affiliated Fund Service     Providers (engagements     related directly to the operations and financial reporting of the Fund)				Total Non-Audit Fees billed to Adviser and     Affiliated Fund Service     Providers (all other engagements)				Total
July 31, 2018		$	0			$	0			$	0			$	0
July 31, 2017		$	18,000			$	0			$	0			$	18,000

“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.

Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). As of the end of the period covered by this report, the members of the audit committee are Jack B. Evans, Chair, William C. Hunter, John K. Nelson, Carole E. Stone and Terence J. Toth.

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

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ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management, LLC (“Symphony” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser’s policies and procedures. The Adviser periodically monitors the Sub-Adviser’s voting to ensure that it is carrying out its duties. The Sub-Adviser’s proxy voting policies and procedures are summarized as follows:

Symphony has adopted and implemented proxy voting guidelines to ensure that proxies are voted in the best interest of its Clients. These are merely guidelines and specific situations may call for a vote which does not follow the guidelines. In determining how to vote proxies, Symphony will follow the Proxy Voting Guidelines of the independent third party which Symphony has retained to provide proxy voting services (“Symphony’s Proxy Guidelines”).

Symphony has created a Proxy Voting Committee to periodically review Symphony’s Proxy Guidelines, address conflicts of interest, specific situations and any portfolio manager’s decision to deviate from Symphony’s Proxy Guideline, (including the third party’s guidelines). Under certain circumstances, Symphony may vote one way for some Clients and another way for other Clients. For example, votes for a Client who provides specific voting instructions may differ from votes for Clients who do not provide proxy voting instructions. However, when Symphony has discretion, proxies will generally be voted the same way for all Clients. In addition, conflicts of interest in voting proxies may arise between Clients, between Symphony and its employees, or a lending or other material relationship. As a general rule, conflicts will be resolved by Symphony voting in accordance with Symphony’s Proxy Guidelines when:

 

•

Symphony manages the account of a corporation or a pension fund sponsored by a corporation in which Clients of Symphony also own stock. Symphony will vote the proxy for its other Clients in accordance with Symphony’s Proxy Guidelines and will follow any directions from the corporation or the pension plan, if different than Symphony’s Proxy Guidelines;

 

•

An employee or a member of his/her immediate family is on the Board of Directors or a member of senior management of the company that is the issuer of securities held in Client’s account;

 

•

Symphony has a borrowing or other material relationship with a corporation whose securities are the subject of the proxy.

Proxies will always be voted in the best interest of Symphony’s Clients. Those situations that do not fit within the general rules for the resolution of conflicts of interest will be reviewed by the Proxy Voting Committee. The Proxy Voting Committee, after consulting with senior management, if appropriate, will determine how the proxy should be voted. For example, when a portfolio manager decides not to follow Symphony’s Proxy Guidelines, the Proxy Voting Committee will review a portfolio manager’s recommendation and determine how to vote the proxy. Decisions by the Proxy Voting Committee will be documented and kept with records related to the voting of proxies. A summary of specific votes will be retained in accordance with Symphony’s Books and Records Requirements which are set forth Symphony’s Compliance Manual and Code of Ethics.

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ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Nuveen Fund Advisors, LLC is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the selection and on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Symphony Asset Management LLC (“Symphony”, also referred to as “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio managers of the Sub-Adviser.

 

Item 8(a)(1).

PORTFOLIO MANAGER BIOGRAPHIES

As of the date of filing this report, the following individual had primary responsibility for the day-to-day implementation of the registrant’s investment strategies:

 

•

Scott Caraher, Portfolio Manager

Scott Caraher, Portfolio Manager of the Fund, is a member of Symphony’s fixed-income team and his responsibilities include portfolio management and trading for Symphony’s bank loan strategies and research for its fixed-income strategies. Prior to joining Symphony in 2002, Mr. Caraher was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.

 

Item8 (a)(2).

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS

 

 

OTHER ACCOUNTS MANAGED by Scott Caraher as of 7/31/18
(a) Registered Investment Companies
Number of accounts			6
Assets		$	4.13 billion
(b) Other pooled accounts
Non-performance fee accounts
Number of accounts			4
Assets		$	1.19 billion
Performance fee accounts
Number of accounts			0
Assets		$	0
(c) Other
Non-performance fee accounts
Number of accounts			6
Assets		$	1.21 billion
Performance fee accounts
Number of accounts			0
Assets		$	0

POTENTIAL MATERIAL CONFLICTS OF INTEREST

As described above, the portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies and separately managed accounts. Fees earned by the Sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Sub-adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash flows and account sizes, and other factors. In addition, the Sub-adviser has adopted trade allocation procedures so that accounts with like investment strategies are treated fairly and equitably over time.

 

Item 8(a)(3).

FUND MANAGER COMPENSATION

As of the most recently completed fiscal year end, Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term incentives.

The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base salaries paid by similar financial services companies for persons playing similar roles.

Each portfolio manager is also eligible to receive an annual bonus from a pool based on Symphony’s aggregate asset-based and performance fees after all operating expenses. Bonus compensation for each individual is based on a variety of factors, including the performance of Symphony, the Fund, the team and the individual. Fund performance is assessed on a pre-tax total return risk-adjusted basis, and generally measured relative to the Fund’s primary benchmark and/or industry peer group for one, three or five year periods as applicable.

Finally, certain key employees of Symphony, including the portfolio managers, have received profits interests in Symphony which entitle their holders to participate in the firm’s growth over time.

 

Item 8(a)(4).

OWNERSHIP OF JRO SECURITIES AS OF JULY 31, 2018

 

Name of Portfolio Manager		None				$1 - $10,000				$10,001-$50,000				$50,001-$100,000				$100,001- $500,000				$500,001- $1,000,000				Over $1,000,000
Scott Caraher																			X

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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.

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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 13. EXHIBITS.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.)

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Floating Rate Income Opportunity Fund

 

By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Vice President and Secretary
Date: October 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: October 5, 2018
By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller
		(principal financial officer)
Date: October 5, 2018